SEMI-ANNUAL REPORT
Syntax Stratified LargeCap ETF
Syntax Stratified MidCap ETF
Syntax Stratified SmallCap ETF
Syntax Stratified U.S. Total Market ETF
Syntax Stratified U.S. Total Market Hedged ETF
Syntax Stratified Total Market II ETF
June 30, 2023

 

Syntax ETF Trust
Semi-Annual Report
June 30, 2023
(Unaudited)
Table of Contents
 1
23
25
27
30
36
49
This report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective prospectus.

 

Table of Contents
Syntax Stratified LargeCap ETF
Schedule of Investments
June 30, 2023 (Unaudited)
Security Description Shares Value
COMMON STOCK—99.8%    
3M Co.
 1,963 $196,477
A O Smith Corp.
 2,667 194,104
Abbott Laboratories
 603 65,739
AbbVie, Inc.
 1,667 224,595
Accenture PLC, Class A
 532 164,165
Activision Blizzard, Inc.(a)
 4,052 341,584
Adobe, Inc.(a)
 358 175,058
Advance Auto Parts, Inc.
 1,925 135,327
Advanced Micro Devices, Inc.(a)
 1,045 119,036
AES Corp.
 18,248 378,281
Aflac, Inc.
 2,369 165,356
Agilent Technologies, Inc.
 1,050 126,262
Air Products & Chemicals, Inc.
 167 50,022
Akamai Technologies, Inc.(a)
 3,523 316,612
Alaska Air Group, Inc.(a)
 3,014 160,285
Albemarle Corp.
 212 47,295
Alexandria Real Estate Equities, Inc., REIT
 1,347 152,871
Align Technology, Inc.(a)
 321 113,518
Allegion PLC
 655 78,613
Alliant Energy Corp.
 1,412 74,102
Allstate Corp.
 1,459 159,089
Alphabet, Inc., Class A(a)
 1,775 212,467
Alphabet, Inc., Class C(a)
 1,767 213,754
Altria Group, Inc.
 8,102 367,021
Amazon.com, Inc.(a)
 1,172 152,782
Amcor PLC
 8,142 81,257
Ameren Corp.
 905 73,911
American Airlines Group, Inc.(a)
 9,427 169,120
American Electric Power Co., Inc.
 2,924 246,201
American Express Co.
 253 44,073
American International Group, Inc.
 4,297 247,249
American Tower Corp., REIT
 346 67,103
American Water Works Co., Inc.
 2,219 316,762
Ameriprise Financial, Inc.
 346 114,927
AmerisourceBergen Corp.
 1,093 210,326
AMETEK, Inc.
 812 131,447
Amgen, Inc.
 1,047 232,455
Amphenol Corp., Class A
 2,343 199,038
Analog Devices, Inc.
 1,190 231,824
ANSYS, Inc.(a)
 499 164,805
Aon PLC, Class A
 118 40,734
APA Corp.
 2,096 71,620
Apple, Inc.
 2,706 524,883
Applied Materials, Inc.
 1,198 173,159
Aptiv PLC(a)
 3,746 382,429
Arch Capital Group Ltd.(a)
 2,284 170,957
Archer-Daniels-Midland Co.
 5,055 381,956
Arista Networks, Inc.(a)
 1,201 194,634
Arthur J Gallagher & Co.
 172 37,766
Assurant, Inc.
 1,297 163,059
AT&T, Inc.
 20,434 325,922
Security Description Shares Value
Atmos Energy Corp.
 2,775 $322,843
Autodesk, Inc.(a)
 814 166,553
Automatic Data Processing, Inc.
 1,005 220,889
AutoZone, Inc.(a)
 48 119,681
AvalonBay Communities, Inc., REIT
 581 109,966
Avery Dennison Corp.
 379 65,112
Axon Enterprise, Inc.(a)
 418 81,560
Baker Hughes Co.
 10,868 343,537
Ball Corp.
 1,553 90,400
Bank of America Corp.
 4,180 119,924
Bank of New York Mellon Corp.
 2,445 108,851
Bath & Body Works, Inc.
 11,589 434,587
Baxter International, Inc.
 1,163 52,986
Becton Dickinson & Co.
 191 50,426
Berkshire Hathaway, Inc., Class B(a)
 1,461 498,201
Best Buy Co., Inc.
 3,246 266,010
Biogen, Inc.(a)
 742 211,359
Bio-Rad Laboratories, Inc., Class A(a)
 230 87,198
Bio-Techne Corp.
 1,553 126,771
BlackRock, Inc.
 163 112,656
Boeing Co.(a)
 752 158,792
Booking Holdings, Inc.(a)
 85 229,528
BorgWarner, Inc.
 7,999 391,231
Boston Properties, Inc., REIT
 3,017 173,749
Boston Scientific Corp.(a)
 1,191 64,421
Bristol-Myers Squibb Co.
 3,550 227,022
Broadcom, Inc.
 271 235,074
Broadridge Financial Solutions, Inc.
 704 116,604
Brown & Brown, Inc.
 561 38,619
Brown-Forman Corp., Class B
 3,794 253,363
Bunge Ltd.
 3,921 369,946
Cadence Design Systems, Inc.(a)
 1,426 334,426
Caesars Entertainment, Inc.(a)
 1,348 68,708
Camden Property Trust
 962 104,733
Campbell Soup Co.
 4,549 207,935
Capital One Financial Corp.
 2,930 320,454
Cardinal Health, Inc.
 2,254 213,161
CarMax, Inc.(a)
 1,553 129,986
Carnival Corp.(a)
 6,241 117,518
Carrier Global Corp.
 1,618 80,431
Catalent, Inc.(a)
 5,934 257,298
Caterpillar, Inc.
 516 126,962
Cboe Global Markets, Inc.
 311 42,921
CBRE Group, Inc., Class A(a)
 459 37,046
CDW Corp.
 720 132,120
Celanese Corp.
 570 66,006
Centene Corp.(a)
 3,778 254,826
CenterPoint Energy, Inc.
 8,435 245,880
Ceridian HCM Holding, Inc.(a)
 3,429 229,640
CF Industries Holdings, Inc.
 1,201 83,373
CH Robinson Worldwide, Inc.
 909 85,764
 
See accompanying notes to financial statements.
1

 

Table of Contents
Syntax Stratified LargeCap ETF
Schedule of Investments  (continued)
June 30, 2023 (Unaudited)
Security Description Shares Value
Charles River Laboratories International, Inc.(a)
 616 $129,514
Charles Schwab Corp.
 4,449 252,169
Charter Communications, Inc., Class A(a)
 1,487 546,279
Chevron Corp.
 4,626 727,901
Chipotle Mexican Grill, Inc.(a)
 235 502,665
Chubb Ltd.
 856 164,831
Church & Dwight Co., Inc.
 5,195 520,695
Cigna Group
 740 207,644
Cincinnati Financial Corp.
 1,601 155,809
Cintas Corp.
 380 188,890
Cisco Systems, Inc.
 3,942 203,959
Citigroup, Inc.
 2,534 116,665
Citizens Financial Group, Inc.
 1,919 50,048
Clorox Co.
 3,124 496,841
CME Group, Inc.
 238 44,099
CMS Energy Corp.
 1,240 72,850
Coca-Cola Co.
 4,041 243,349
Cognizant Technology Solutions Corp., Class A
 2,106 137,480
Colgate-Palmolive Co.
 6,441 496,215
Comcast Corp., Class A
 12,156 505,082
Comerica, Inc.
 11,646 493,325
Conagra Brands, Inc.
 6,097 205,591
ConocoPhillips
 673 69,730
Consolidated Edison, Inc.
 2,614 236,306
Constellation Brands, Inc., Class A
 1,012 249,084
Constellation Energy Corp.
 3,931 359,883
Cooper Companies, Inc.
 278 106,594
Copart, Inc.(a)
 2,536 231,309
Corning, Inc.
 5,599 196,189
Corteva, Inc.
 1,442 82,627
CoStar Group, Inc.(a)
 506 45,034
Costco Wholesale Corp.
 1,420 764,500
Coterra Energy, Inc.
 4,975 125,867
Crown Castle, Inc., REIT
 570 64,946
CSX Corp.
 2,518 85,864
Cummins, Inc.
 328 80,412
CVS Health Corp.
 9,079 627,631
Danaher Corp.
 346 83,040
Darden Restaurants, Inc.
 3,023 505,083
DaVita, Inc.(a)
 831 83,491
Deere & Co.
 327 132,497
Delta Air Lines, Inc.(a)
 3,738 177,705
DENTSPLY SIRONA, Inc.
 1,270 50,825
Devon Energy Corp.
 2,449 118,385
Dexcom, Inc.(a)
 791 101,651
Diamondback Energy, Inc.
 531 69,752
Digital Realty Trust, Inc., REIT
 3,127 356,071
Discover Financial Services
 2,855 333,607
Dollar General Corp.
 1,069 181,495
Dollar Tree, Inc.(a)
 1,238 177,653
Dominion Energy, Inc.
 4,606 238,545
Security Description Shares Value
Domino's Pizza, Inc.
 1,636 $551,316
Dover Corp.
 1,389 205,086
Dow, Inc.
 1,258 67,001
DR Horton, Inc.
 2,146 261,147
DTE Energy Co.
 2,192 241,164
Duke Energy Corp.
 825 74,036
DuPont de Nemours, Inc.
 671 47,936
DXC Technology Co.(a)
 4,999 133,573
Eastman Chemical Co.
 581 48,641
Eaton Corp. PLC
 1,303 262,033
eBay, Inc.
 3,168 141,578
Ecolab, Inc.
 261 48,726
Edison International
 3,613 250,923
Edwards Lifesciences Corp.(a)
 727 68,578
Electronic Arts, Inc.
 2,588 335,664
Elevance Health, Inc.
 559 248,358
Eli Lilly & Co.
 515 241,525
Emerson Electric Co.
 416 37,602
Enphase Energy, Inc.(a)
 1,396 233,802
Entergy Corp.
 2,407 234,370
EOG Resources, Inc.
 596 68,206
EPAM Systems, Inc.(a)
 615 138,221
EQT Corp.
 3,179 130,752
Equifax, Inc.
 181 42,589
Equinix, Inc., REIT
 442 346,501
Equity Residential, REIT
 1,640 108,191
Essex Property Trust, Inc., REIT
 461 108,012
Estee Lauder Companies, Inc., Class A
 2,768 543,580
Etsy, Inc.(a)
 1,584 134,022
Everest Re Group Ltd.
 469 160,332
Evergy, Inc.
 1,262 73,726
Eversource Energy
 1,066 75,601
Exelon Corp.
 9,147 372,649
Expedia Group, Inc.(a)
 1,969 215,389
Expeditors International of Washington, Inc.
 704 85,276
Extra Space Storage, Inc., REIT
 757 112,679
Exxon Mobil Corp.
 6,843 733,912
F5, Inc.(a)
 1,331 194,672
FactSet Research Systems, Inc.
 106 42,469
Fair Isaac Corp.(a)
 55 44,507
Fastenal Co.
 2,229 131,489
Federal Realty Investment Trust
 676 65,417
FedEx Corp.
 368 91,227
Fidelity National Information Services, Inc.
 995 54,427
Fifth Third Bancorp
 2,057 53,914
First Solar, Inc.(a)
 957 181,916
FirstEnergy Corp.
 6,332 246,188
Fiserv, Inc.(a)
 464 58,534
FleetCor Technologies, Inc.(a)
 184 46,199
FMC Corp.
 775 80,864
Ford Motor Co.
 17,812 269,496
Fortinet, Inc.(a)
 3,196 241,586
 
See accompanying notes to financial statements.
2

 

Table of Contents
Syntax Stratified LargeCap ETF
Schedule of Investments  (continued)
June 30, 2023 (Unaudited)
Security Description Shares Value
Fortive Corp.
 517 $38,656
Fox Corp., Class A
 2,914 99,076
Fox Corp., Class B
 3,119 99,465
Franklin Resources, Inc.
 4,134 110,419
Freeport-McMoRan, Inc.
 6,460 258,400
Garmin Ltd.
 4,645 484,427
Gartner, Inc.(a)
 379 132,767
GE HealthCare Technologies, Inc.
 1,060 86,114
Gen Digital, Inc.
 12,202 226,347
Generac Holdings, Inc.(a)
 630 93,952
General Dynamics Corp.
 767 165,020
General Electric Co.
 1,843 202,454
General Mills, Inc.
 2,548 195,432
General Motors Co.
 6,755 260,473
Genuine Parts Co.
 782 132,338
Gilead Sciences, Inc.
 2,942 226,740
Global Payments, Inc.
 435 42,856
Globe Life, Inc.
 1,506 165,088
Goldman Sachs Group, Inc.
 727 234,487
Halliburton Co.
 10,093 332,968
Hartford Financial Services Group, Inc.
 3,432 247,173
Hasbro, Inc.
 3,046 197,289
HCA Healthcare, Inc.
 1,204 365,390
Healthpeak Properties, Inc., REIT
 3,939 79,174
Henry Schein, Inc.(a)
 2,616 212,158
Hershey Co.
 720 179,784
Hess Corp.
 508 69,063
Hewlett Packard Enterprise Co.
 15,486 260,165
Hilton Worldwide Holdings, Inc.
 772 112,365
Hologic, Inc.(a)
 1,044 84,533
Home Depot, Inc.
 821 255,035
Honeywell International, Inc.
 989 205,217
Hormel Foods Corp.
 8,968 360,693
Host Hotels & Resorts, Inc., REIT
 6,127 103,117
Howmet Aerospace, Inc.
 1,593 78,949
HP, Inc.
 16,423 504,350
Humana, Inc.
 514 229,825
Huntington Bancshares, Inc.
 4,969 53,566
Huntington Ingalls Industries, Inc.
 380 86,488
IDEX Corp.
 886 190,720
IDEXX Laboratories, Inc.(a)
 182 91,406
Illinois Tool Works, Inc.
 826 206,632
Illumina, Inc.(a)
 613 114,931
Incyte Corp.(a)
 3,776 235,056
Ingersoll Rand, Inc.
 2,937 191,962
Insulet Corp.(a)
 345 99,477
Intel Corp.
 4,165 139,278
Intercontinental Exchange, Inc.
 395 44,667
International Business Machines Corp.
 2,412 322,750
International Flavors & Fragrances, Inc.
 598 47,595
International Paper Co.
 1,933 61,489
Interpublic Group of Companies, Inc.
 4,119 158,911
Security Description Shares Value
Intuit, Inc.
 500 $229,095
Intuitive Surgical, Inc.(a)
 395 135,066
Invesco Ltd.
 6,735 113,215
Invitation Homes, Inc.
 3,170 109,048
IQVIA Holdings, Inc.(a)
 595 133,738
Iron Mountain, Inc., REIT
 1,159 65,854
J M Smucker Co.
 1,367 201,865
Jack Henry & Associates, Inc.
 348 58,231
Jacobs Solutions, Inc.
 3,154 374,979
JB Hunt Transport Services, Inc.
 483 87,437
Johnson & Johnson
 1,441 238,514
Johnson Controls International PLC
 1,156 78,770
JPMorgan Chase & Co.
 868 126,242
Juniper Networks, Inc.
 6,482 203,081
Kellogg Co.
 2,729 183,935
Keurig Dr Pepper, Inc.
 7,811 244,250
KeyCorp
 5,096 47,087
Keysight Technologies, Inc.(a)
 1,215 203,452
Kimberly-Clark Corp.
 3,629 501,020
Kimco Realty Corp., REIT
 3,363 66,318
Kinder Morgan, Inc.
 14,350 247,107
KLA Corp.
 346 167,817
Kraft Heinz Co.
 5,684 201,782
Kroger Co.
 15,878 746,266
L3Harris Technologies, Inc.
 433 84,768
Laboratory Corp. of America Holdings
 753 181,721
Lam Research Corp.
 268 172,286
Lamb Weston Holdings, Inc.
 1,841 211,623
Las Vegas Sands Corp.(a)
 1,117 64,786
Leidos Holdings, Inc.
 1,572 139,091
Lennar Corp., Class A
 2,141 268,289
Lincoln National Corp.
 7,073 182,200
Linde PLC
 131 49,921
Live Nation Entertainment, Inc.(a)
 972 88,559
LKQ Corp.
 2,248 130,991
Lockheed Martin Corp.
 171 78,725
Loews Corp.
 8,243 489,469
Lowe's Companies, Inc.
 1,170 264,069
LyondellBasell Industries N.V., Class A
 735 67,495
M&T Bank Corp.
 425 52,598
Marathon Oil Corp.
 2,975 68,485
Marathon Petroleum Corp.
 4,329 504,761
MarketAxess Holdings, Inc.
 152 39,736
Marriott International, Inc., Class A
 611 112,235
Marsh & McLennan Companies, Inc.
 199 37,428
Martin Marietta Materials, Inc.
 381 175,904
Masco Corp.
 3,396 194,862
Mastercard, Inc., Class A
 122 47,983
Match Group, Inc.(a)
 10,455 437,542
McCormick & Co., Inc.
 2,311 201,589
McDonald's Corp.
 1,707 509,386
McKesson Corp.
 500 213,655
 
See accompanying notes to financial statements.
3

 

Table of Contents
Syntax Stratified LargeCap ETF
Schedule of Investments  (continued)
June 30, 2023 (Unaudited)
Security Description Shares Value
Medtronic PLC
 726 $63,961
Merck & Co., Inc.
 2,075 239,434
Meta Platforms, Inc., Class A(a)
 1,642 471,221
MetLife, Inc.
 3,027 171,116
Mettler-Toledo International, Inc.(a)
 95 124,606
MGM Resorts International
 1,582 69,481
Microchip Technology, Inc.
 1,630 146,032
Micron Technology, Inc.
 1,996 125,968
Microsoft Corp.
 996 339,178
Mid-America Apartment Communities, Inc., REIT
 708 107,517
Moderna, Inc.(a)
 1,868 226,962
Mohawk Industries, Inc.(a)
 1,921 198,170
Molina Healthcare, Inc.(a)
 921 277,442
Molson Coors Beverage Co., Class B
 3,681 242,357
Mondelez International, Inc., Class A
 2,509 183,006
Monolithic Power Systems, Inc.
 435 235,000
Monster Beverage Corp.(a)
 4,271 245,326
Moody's Corp.
 121 42,074
Morgan Stanley
 2,842 242,707
Mosaic Co.
 2,319 81,165
Motorola Solutions, Inc.
 1,760 516,173
MSCI, Inc.
 83 38,951
Nasdaq, Inc.
 750 37,388
NetApp, Inc.
 3,508 268,011
Netflix, Inc.(a)
 516 227,293
Newell Brands, Inc.
 21,648 188,338
Newmont Corp.
 5,895 251,481
News Corp., Class A
 5,093 99,314
News Corp., Class B
 5,035 99,290
NextEra Energy, Inc.
 3,305 245,231
NIKE, Inc., Class B
 3,082 340,160
NiSource, Inc.
 12,029 328,993
Nordson Corp.
 155 38,468
Norfolk Southern Corp.
 379 85,942
Northern Trust Corp.
 1,450 107,503
Northrop Grumman Corp.
 183 83,411
Norwegian Cruise Line Holdings Ltd.(a)
 4,752 103,451
NRG Energy, Inc.
 10,764 402,466
Nucor Corp.
 1,679 275,322
NVIDIA Corp.
 337 142,558
NVR, Inc.(a)
 45 285,778
NXP Semiconductors N.V.
 1,171 239,680
Occidental Petroleum Corp.
 1,177 69,208
Old Dominion Freight Line, Inc.
 271 100,202
Omnicom Group, Inc.
 1,727 164,324
ON Semiconductor Corp.(a)
 2,441 230,870
ONEOK, Inc.
 4,092 252,558
Oracle Corp.
 2,974 354,174
O'Reilly Automotive, Inc.(a)
 133 127,055
Organon & Co.
 11,616 241,729
Otis Worldwide Corp.
 855 76,104
Security Description Shares Value
PACCAR, Inc.
 1,589 $132,920
Packaging Corp. of America
 469 61,983
Palo Alto Networks, Inc.(a)
 993 253,721
Paramount Global, Class B
 12,149 193,291
Parker-Hannifin Corp.
 204 79,568
Paychex, Inc.
 1,951 218,258
Paycom Software, Inc.
 715 229,687
PayPal Holdings, Inc.(a)
 857 57,188
Pentair PLC
 3,100 200,260
PepsiCo, Inc.
 1,000 185,220
Pfizer, Inc.
 5,906 216,632
PG&E Corp.(a)
 4,461 77,086
Philip Morris International, Inc.
 3,961 386,673
Phillips 66
 4,953 472,417
Pinnacle West Capital Corp.
 933 76,002
Pioneer Natural Resources Co.
 601 124,515
PNC Financial Services Group, Inc.
 426 53,655
Pool Corp.
 374 140,115
PPG Industries, Inc.
 464 68,811
PPL Corp.
 2,806 74,247
Principal Financial Group, Inc.
 2,283 173,143
Procter & Gamble Co.
 3,331 505,446
Progressive Corp.
 1,245 164,801
Prologis, Inc., REIT
 534 65,484
Prudential Financial, Inc.
 1,932 170,441
PTC, Inc.(a)
 1,180 167,914
Public Service Enterprise Group, Inc.
 3,941 246,746
Public Storage, REIT
 377 110,039
PulteGroup, Inc.
 3,398 263,957
Qorvo, Inc.(a)
 2,215 225,996
QUALCOMM, Inc.
 1,827 217,486
Quanta Services, Inc.
 2,007 394,275
Quest Diagnostics, Inc.
 1,211 170,218
Ralph Lauren Corp.
 4,171 514,284
Raymond James Financial, Inc.
 2,559 265,547
Raytheon Technologies Corp.
 821 80,425
Realty Income Corp., REIT
 1,065 63,676
Regency Centers Corp., REIT
 1,072 66,217
Regeneron Pharmaceuticals, Inc.(a)
 307 220,592
Regions Financial Corp.
 2,952 52,605
Republic Services, Inc.
 1,284 196,670
ResMed, Inc.
 457 99,855
Revvity, Inc.
 739 87,786
Robert Half International, Inc.
 2,242 168,643
Rockwell Automation, Inc.
 116 38,216
Rollins, Inc.
 4,491 192,350
Roper Technologies, Inc.
 81 38,945
Ross Stores, Inc.
 4,743 531,833
Royal Caribbean Cruises Ltd.(a)
 889 92,225
S&P Global, Inc.
 108 43,296
Salesforce, Inc.(a)
 1,516 320,270
SBA Communications Corp., REIT
 287 66,515
 
See accompanying notes to financial statements.
4

 

Table of Contents
Syntax Stratified LargeCap ETF
Schedule of Investments  (continued)
June 30, 2023 (Unaudited)
Security Description Shares Value
Schlumberger NV
 6,861 $337,012
Seagate Technology Holdings PLC
 4,016 248,470
Sealed Air Corp.
 2,118 84,720
Sempra Energy
 507 73,814
ServiceNow, Inc.(a)
 607 341,116
Sherwin-Williams Co.
 271 71,956
Simon Property Group, Inc., REIT
 589 68,018
Skyworks Solutions, Inc.
 2,088 231,121
Snap-on, Inc.
 685 197,410
SolarEdge Technologies, Inc.(a)
 870 234,073
Southern Co.
 1,056 74,184
Southwest Airlines Co.
 4,798 173,736
Stanley Black & Decker, Inc.
 2,169 203,257
Starbucks Corp.
 5,000 495,300
State Street Corp.
 1,468 107,428
Steel Dynamics, Inc.
 2,469 268,948
STERIS PLC
 590 132,738
Stryker Corp.
 434 132,409
Synchrony Financial
 9,689 328,651
Synopsys, Inc.(a)
 745 324,380
Sysco Corp.
 10,111 750,236
T Rowe Price Group, Inc.
 953 106,755
Take-Two Interactive Software, Inc.(a)
 2,433 358,040
Tapestry, Inc.
 7,644 327,163
Targa Resources Corp.
 3,452 262,697
Target Corp.
 1,281 168,964
TE Connectivity Ltd.
 1,431 200,569
Teledyne Technologies, Inc.(a)
 90 37,000
Teleflex, Inc.
 209 50,584
Teradyne, Inc.
 1,552 172,784
Tesla, Inc.(a)
 1,005 263,079
Texas Instruments, Inc.
 1,271 228,805
Textron, Inc.
 2,497 168,872
Thermo Fisher Scientific, Inc.
 236 123,133
TJX Companies, Inc.
 6,166 522,815
T-Mobile US, Inc.(a)
 2,483 344,889
Tractor Supply Co.
 566 125,143
Trane Technologies PLC
 418 79,947
TransDigm Group, Inc.
 89 79,581
Travelers Companies, Inc.
 925 160,635
Trimble, Inc.(a)
 694 36,740
Truist Financial Corp.
 1,664 50,502
Tyler Technologies, Inc.(a)
 835 347,752
Tyson Foods, Inc., Class A
 7,283 371,724
UDR, Inc., REIT
 2,550 109,548
Ulta Beauty, Inc.(a)
 578 272,004
Union Pacific Corp.
 409 83,690
United Airlines Holdings, Inc.(a)
 2,911 159,727
United Parcel Service, Inc., Class B
 477 85,502
United Rentals, Inc.
 312 138,955
UnitedHealth Group, Inc.
 525 252,336
Security Description Shares   Value
Universal Health Services, Inc., Class B
 2,390   $377,070
US Bancorp
 1,657   54,747
Valero Energy Corp.
 4,316   506,267
Ventas, Inc., REIT
 1,777   83,999
VeriSign, Inc.(a)
 1,473   332,854
Verisk Analytics, Inc.
 187   42,268
Verizon Communications, Inc.
 9,196   341,999
Vertex Pharmaceuticals, Inc.(a)
 690   242,818
VF Corp.
 17,078   326,019
Viatris, Inc.
 24,599   245,498
VICI Properties, Inc.
 2,017   63,394
Visa, Inc., Class A
 195   46,309
Vulcan Materials Co.
 784   176,745
W R Berkley Corp.
 2,852   169,865
Walgreens Boots Alliance, Inc.
 20,759   591,424
Walmart, Inc.
 4,788   752,578
Walt Disney Co.(a)
 2,127   189,899
Warner Bros Discovery, Inc.(a)
 14,128   177,165
Waste Management, Inc.
 1,122   194,577
Waters Corp.(a)
 493   131,404
WEC Energy Group, Inc.
 830   73,239
Wells Fargo & Co.
 2,907   124,071
Welltower, Inc., REIT
 1,002   81,052
West Pharmaceutical Services, Inc.
 140   53,546
Western Digital Corp.(a)
 6,151   233,307
Westinghouse Air Brake Technologies Corp.
 1,239   135,881
Westrock Co.
 2,065   60,030
Weyerhaeuser Co., REIT
 5,495   184,137
Whirlpool Corp.
 1,293   192,385
Williams Companies, Inc.
 8,049   262,639
Willis Towers Watson PLC
 160   37,680
WW Grainger, Inc.
 174   137,215
Wynn Resorts Ltd.
 636   67,168
Xcel Energy, Inc.
 1,180   73,361
Xylem, Inc.
 1,667   187,738
Yum! Brands, Inc.
 3,669   508,340
Zebra Technologies Corp., Class A(a)
 449   132,828
Zimmer Biomet Holdings, Inc.
 897   130,603
Zions Bancorp NA
 15,871   426,295
Zoetis, Inc.
 1,415   243,677
TOTAL INVESTMENTS—99.8%

(Cost $91,514,026)
     96,896,668
OTHER ASSETS IN EXCESS OF LIABILITIES—0.2%
     196,141
NET ASSETS—100.0%
     $97,092,809
    
(a) Non-income producing security.
    
PLC=Public Limited Company
REIT=Real Estate Investment Trust
 
See accompanying notes to financial statements.
5

 

Table of Contents
Syntax Stratified LargeCap ETF
Schedule of Investments  (continued)
June 30, 2023 (Unaudited)
INDUSTRY BREAKDOWN
As of June 30, 2023*
INDUSTRY PERCENTAGE OF
NET ASSETS
Marketed Pharmaceuticals
 3.3%
Software for Specific Uses
 3.2
Restaurants
 3.2
Food Distributors
 3.1
Competitive Electric Utilities
 3.0
Downstream Energy
 3.0
Processed Foods
 3.0
Real Estate Operators and Developers
 2.2
Telecommunication Networks
 2.1
Consumer Electronics
 2.1
Commercial Hardware
 2.1
Consumer Insurance
 2.1
Upstream Energy
 2.1
Content Providers
 2.0
Commercial Insurance
 2.0
Real Estate Rental
 2.0
Regulated Electric Utilities
 2.0
Non Real Estate Banking
 2.0
Transportation Services
 1.7
Distribution Services
 1.6
Electric and Electronic Components
 1.6
Consumer Equipment Retail
 1.6
Mechanical Components
 1.6
Auto Products
 1.6
Consumer Equipment Manufacture
 1.6
Specialty Services
 1.6
Diversified Household and Personal Products
 1.6
Alcohol and Tobacco
 1.5
Primary Foods
 1.5
Personal Products
 1.5
Capital Markets
 1.5
Healthcare Providers and Facilities
 1.5
Analog and Mixed Signal Integrated Circuits
 1.4
Internet Services
1.4
Digital Integrated Circuits
 1.4
Semiconductor Services and Equipment
 1.4
Investment Services
 1.4
Management and IT Services
 1.4
Search and Social Networks
 1.4
Transaction Services
 1.4
Online Distribution Networks
 1.4
Healthcare Insurance
 1.3
Drugstores
 1.3
INDUSTRY PERCENTAGE OF
NET ASSETS
Transport Aerospace and Defense Equipment
 1.2%
Healthcare Products Distribution
 1.1
Apparel Retailers
 1.1
Metals
 1.1
Medical Devices
 1.1
Hospital Equipment
 1.1
Other Natural Resources
 1.1
Midstream Energy
 1.1
Industrial Conglomerates
 1.0
Medical Research Services and Equipment
 1.0
Chemicals
 1.0
Accessories and Footwear
 1.0
Gas and Water Utilities
 1.0
Production Equipment
 0.8
Other Pharmaceuticals
 0.8
Operating Systems and Middleware
 0.7
Brokers and Dealers
 0.5
Branded Apparel
 0.5
Consumer Paper Products
 0.5
Software for Specific Industries
 0.4
Other Assets in Excess of Liabilities
 0.2
Total 100.0%
*    The Fund’s industry breakdown is expressed as a percentage of net assets and may change over time.
See accompanying notes to financial statements.
6

 

Table of Contents
Syntax Stratified MidCap ETF
Schedule of Investments
June 30, 2023 (Unaudited)
Security Description Shares Value
COMMON STOCK—99.8%    
Acadia Healthcare Co., Inc.(a)
 900 $71,676
ACI Worldwide, Inc.(a)
 868 20,112
Acuity Brands, Inc.
 97 15,819
Adient PLC(a)
 246 9,427
Advanced Drainage Systems, Inc.
 99 11,264
AECOM
 222 18,801
Affiliated Managers Group, Inc.
 274 41,070
AGCO Corp.
 249 32,724
Agree Realty Corp., REIT
 88 5,754
Alcoa Corp.
 497 16,863
Allegro MicroSystems, Inc.(a)
 1,581 71,366
ALLETE, Inc.
 333 19,304
Amedisys, Inc.(a)
 267 24,414
American Financial Group, Inc.
 150 17,813
Amkor Technology, Inc.
 2,110 62,773
Annaly Capital Management, Inc.
 1,535 30,715
Antero Midstream Corp.
 2,122 24,615
Antero Resources Corp.(a)
 479 11,031
Apartment Income REIT Corp.
 666 24,036
AptarGroup, Inc.
 78 9,037
Aramark
 1,017 43,782
Arrow Electronics, Inc.(a)
 57 8,164
Arrowhead Pharmaceuticals, Inc.(a)
 1,984 70,749
ASGN, Inc.(a)
 243 18,378
Ashland, Inc.
 120 10,429
Aspen Technology, Inc.(a)
 375 62,854
Associated Banc-Corp
 1,811 29,393
Autoliv, Inc.
 103 8,759
AutoNation, Inc.(a)
 258 42,469
Avient Corp.
 260 10,634
Avis Budget Group, Inc.(a)
 191 43,676
Avnet, Inc.
 166 8,375
Axalta Coating Systems Ltd.(a)
 326 10,696
Azenta, Inc.(a)
 906 42,292
Bank OZK
 163 6,546
Belden, Inc.
 143 13,678
BellRing Brands, Inc.(a)
 1,287 47,104
Berry Global Group, Inc.
 95 6,112
BJ's Wholesale Club Holdings, Inc.(a)
 396 24,952
Black Hills Corp.
 363 21,874
Blackbaud, Inc.(a)
 280 19,930
Boston Beer Co., Inc., Class A(a)
 94 28,993
Boyd Gaming Corp.
 201 13,943
Brighthouse Financial, Inc.(a)
 1,103 52,227
Brink's Co.
 322 21,841
Brixmor Property Group, Inc.
 270 5,940
Bruker Corp.
 218 16,115
Brunswick Corp.
 274 23,739
Builders FirstSource, Inc.(a)
 126 17,136
BWX Technologies, Inc.
 135 9,662
Cable One, Inc.
 122 80,164
Security Description Shares Value
Cabot Corp.
 138 $9,231
CACI International, Inc., Class A(a)
 65 22,155
Cadence Bank
 312 6,128
Calix, Inc.(a)
 795 39,678
Capri Holdings Ltd.(a)
 766 27,492
Carlisle Companies, Inc.
 40 10,261
Carter's, Inc.
 424 30,782
Casey's General Stores, Inc.
 103 25,120
Cathay General Bancorp
 190 6,116
Celsius Holdings, Inc.(a)
 330 49,233
ChampionX Corp.
 829 25,732
Chart Industries, Inc.(a)
 77 12,304
Chemed Corp.
 44 23,833
Chemours Co.
 317 11,694
Choice Hotels International, Inc.
 115 13,515
Chord Energy Corp.
 68 10,458
Churchill Downs, Inc.
 96 13,360
Ciena Corp.(a)
 990 42,065
Cirrus Logic, Inc.(a)
 800 64,808
Clean Harbors, Inc.(a)
 145 23,842
Cleveland-Cliffs, Inc.(a)
 1,095 18,352
CNO Financial Group, Inc.
 2,094 49,565
CNX Resources Corp.(a)
 607 10,756
Coca-Cola Consolidated, Inc.
 70 44,521
Cognex Corp.
 742 41,567
Coherent Corp.(a)
 337 17,180
Columbia Banking System, Inc.
 281 5,699
Columbia Sportswear Co.
 366 28,270
Commerce Bancshares, Inc.
 269 13,100
Commercial Metals Co.
 379 19,958
CommVault Systems, Inc.(a)
 576 41,829
Concentrix Corp.
 246 19,865
Corporate Office Properties Trust
 282 6,698
Coty, Inc., Class A(a)
 10,393 127,730
Cousins Properties, Inc.
 314 7,159
Crane Co.
 110 9,803
Crane NXT Co.
 157 8,861
Crocs, Inc.(a)
 244 27,435
Crown Holdings, Inc.
 70 6,081
CubeSmart
 552 24,652
Cullen/Frost Bankers, Inc.
 125 13,441
Curtiss-Wright Corp.
 49 8,999
Darling Ingredients, Inc.(a)
 484 30,874
Deckers Outdoor Corp.(a)
 56 29,549
Dick's Sporting Goods, Inc.
 226 29,875
Donaldson Co., Inc.
 168 10,502
Doximity, Inc., Class A(a)
 2,585 87,942
Dropbox, Inc., Class A(a)
 1,705 45,472
DT Midstream, Inc.
 472 23,397
Dynatrace, Inc.(a)
 1,204 61,970
Eagle Materials, Inc.
 84 15,659
East West Bancorp, Inc.
 123 6,493
 
See accompanying notes to financial statements.
7

 

Table of Contents
Syntax Stratified MidCap ETF
Schedule of Investments  (continued)
June 30, 2023 (Unaudited)
Security Description Shares Value
EastGroup Properties, Inc.
 58 $10,069
EMCOR Group, Inc.
 103 19,032
Encompass Health Corp.
 387 26,204
Energizer Holdings, Inc.
 3,701 124,280
EnerSys
 147 15,952
Enovis Corp.(a)
 573 36,741
Envestnet, Inc.(a)
 375 22,256
Envista Holdings Corp.(a)
 1,030 34,855
EPR Properties
 129 6,037
Equitrans Midstream Corp.
 2,499 23,890
Esab Corp.
 474 31,540
Essent Group Ltd.
 660 30,888
Essential Utilities, Inc.
 551 21,990
Euronet Worldwide, Inc.(a)
 312 36,619
Evercore, Inc., Class A
 148 18,291
Exelixis, Inc.(a)
 3,649 69,732
ExlService Holdings, Inc.(a)
 133 20,091
Exponent, Inc.
 184 17,171
Federated Hermes, Inc.
 1,086 38,933
First American Financial Corp.
 624 35,581
First Financial Bankshares, Inc.
 222 6,325
First Horizon Corp.
 1,164 13,118
First Industrial Realty Trust, Inc.
 197 10,370
FirstCash Holdings, Inc.
 421 39,292
Five Below, Inc.(a)
 165 32,429
Flowers Foods, Inc.
 1,219 30,329
Flowserve Corp.
 281 10,439
Fluor Corp.(a)
 792 23,443
FNB Corp.
 543 6,212
Foot Locker, Inc.
 1,097 29,740
Fortune Brands Innovations, Inc.
 233 16,764
Fox Factory Holding Corp.(a)
 100 10,851
Frontier Communications Parent, Inc.(a)
 4,888 91,112
FTI Consulting, Inc.(a)
 90 17,118
GameStop Corp., Class A(a)
 1,350 32,738
Gap, Inc.
 2,949 26,335
GATX Corp.
 123 15,835
Genpact Ltd.
 544 20,438
Gentex Corp.
 832 24,344
Glacier Bancorp, Inc.
 190 5,922
Globus Medical, Inc., Class A(a)
 588 35,010
Goodyear Tire & Rubber Co.(a)
 717 9,809
Graco, Inc.
 124 10,707
Graham Holdings Co., Class B
 72 41,147
Grand Canyon Education, Inc.(a)
 386 39,839
Graphic Packaging Holding Co.
 220 5,287
Greif, Inc., Class A
 84 5,787
Grocery Outlet Holding Corp.(a)
 880 26,937
GXO Logistics, Inc.(a)
 254 15,956
H&R Block, Inc.
 1,289 41,080
Haemonetics Corp.(a)
 114 9,706
Halozyme Therapeutics, Inc.(a)
 2,065 74,485
Security Description Shares Value
Hancock Whitney Corp.
 331 $12,704
Hanover Insurance Group, Inc.
 151 17,068
Harley-Davidson, Inc.
 683 24,048
Hawaiian Electric Industries, Inc.
 540 19,548
Healthcare Realty Trust, Inc.
 3,112 58,692
HealthEquity, Inc.(a)
 539 34,032
Helen of Troy Ltd.(a)
 156 16,851
Hertz Global Holdings, Inc.(a)
 2,131 39,189
Hexcel Corp.
 141 10,719
HF Sinclair Corp.
 501 22,350
Highwoods Properties, Inc.
 304 7,269
Hilton Grand Vacations, Inc.(a)
 299 13,587
Home BancShares, Inc.
 275 6,270
Hubbell, Inc.
 48 15,915
ICU Medical, Inc.(a)
 54 9,622
IDACORP, Inc.
 193 19,802
Inari Medical, Inc.(a)
 170 9,884
Independence Realty Trust, Inc., REIT
 1,339 24,397
Ingredion, Inc.
 287 30,408
Insperity, Inc.
 278 33,071
Integra LifeSciences Holdings Corp.(a)
 251 10,324
Interactive Brokers Group, Inc., Class A
 513 42,615
International Bancshares Corp.
 135 5,967
IPG Photonics Corp.(a)
 277 37,622
Iridium Communications, Inc.
 1,293 80,321
ITT, Inc.
 101 9,414
Jabil, Inc.
 576 62,168
Janus Henderson Group PLC
 1,452 39,567
Jazz Pharmaceuticals PLC(a)
 554 68,679
Jefferies Financial Group, Inc.
 551 18,277
JetBlue Airways Corp.(a)
 4,939 43,760
Jones Lang LaSalle, Inc.(a)
 113 17,605
KB Home
 839 43,385
KBR, Inc.
 288 18,737
Kemper Corp.
 1,073 51,783
Kilroy Realty Corp.
 229 6,891
Kinsale Capital Group, Inc.
 47 17,587
Kirby Corp.(a)
 307 23,624
Kite Realty Group Trust, REIT
 281 6,278
Knife River Corp.(a)
 310 13,485
Knight-Swift Transportation Holdings, Inc.
 275 15,279
Kohl's Corp.
 1,285 29,619
Kyndryl Holdings, Inc.(a)
 1,644 21,832
Lamar Advertising Co., Class A
 61 6,054
Lancaster Colony Corp.
 154 30,968
Landstar System, Inc.
 84 16,173
Lantheus Holdings, Inc.(a)
 192 16,113
Lattice Semiconductor Corp.(a)
 760 73,013
Lear Corp.
 65 9,331
Leggett & Platt, Inc.
 481 14,247
Lennox International, Inc.
 51 16,630
Life Storage, Inc.
 194 25,794
 
See accompanying notes to financial statements.
8

 

Table of Contents
Syntax Stratified MidCap ETF
Schedule of Investments  (continued)
June 30, 2023 (Unaudited)
Security Description Shares Value
Light & Wonder, Inc.(a)
 1,245 $85,606
Lincoln Electric Holdings, Inc.
 162 32,178
Lithia Motors, Inc.
 145 44,096
Littelfuse, Inc.
 56 16,313
LivaNova PLC(a)
 688 35,384
Louisiana-Pacific Corp.
 214 16,046
Lumentum Holdings, Inc.(a)
 800 45,384
MACOM Technology Solutions Holdings, Inc.(a)
 1,022 66,972
Macy's, Inc.
 1,811 29,067
Manhattan Associates, Inc.(a)
 111 22,187
ManpowerGroup, Inc.
 230 18,262
Marriott Vacations Worldwide Corp.
 105 12,886
Masimo Corp.(a)
 104 17,113
MasTec, Inc.(a)
 169 19,937
Matador Resources Co.
 200 10,464
Mattel, Inc.(a)
 838 16,375
Maximus, Inc.
 415 35,072
MDU Resources Group, Inc.
 656 13,737
Medical Properties Trust, Inc.
 6,683 61,885
Medpace Holdings, Inc.(a)
 198 47,554
Mercury Systems, Inc.(a)
 306 10,585
MGIC Investment Corp.
 1,935 30,554
Middleby Corp.(a)
 218 32,227
MKS Instruments, Inc.
 609 65,833
MP Materials Corp.(a)
 799 18,281
MSA Safety, Inc.
 266 46,273
MSC Industrial Direct Co., Inc., Class A
 108 10,290
Murphy Oil Corp.
 266 10,188
Murphy USA, Inc.
 83 25,822
National Fuel Gas Co.
 439 22,547
National Instruments Corp.
 1,065 61,131
National Storage Affiliates Trust
 670 23,336
NCR Corp.(a)
 3,254 82,001
Neogen Corp.(a)
 881 19,162
Neurocrine Biosciences, Inc.(a)
 752 70,914
New Jersey Resources Corp.
 461 21,759
New York Community Bancorp, Inc.
 593 6,665
New York Times Co., Class A
 1,110 43,712
NewMarket Corp.
 25 10,053
Nexstar Media Group, Inc.
 248 41,304
NNN REIT, Inc.
 136 5,819
Nordstrom, Inc.
 1,433 29,334
NorthWestern Corp.
 345 19,582
NOV, Inc.
 1,486 23,835
Novanta, Inc.(a)
 78 14,360
nVent Electric PLC
 324 16,741
OGE Energy Corp.
 566 20,325
Old National Bancorp
 470 6,552
Old Republic International Corp.
 694 17,468
Olin Corp.
 198 10,175
Ollie's Bargain Outlet Holdings, Inc.(a)
 371 21,492
Security Description Shares Value
Omega Healthcare Investors, Inc.
 1,973 $60,551
Omnicell, Inc.(a)
 139 10,240
ONE Gas, Inc.
 279 21,430
Option Care Health, Inc.(a)
 799 25,960
Ormat Technologies, Inc.
 239 19,230
Oshkosh Corp.
 370 32,038
Ovintiv, Inc.
 270 10,279
Owens Corning
 75 9,788
Papa John's International, Inc.
 581 42,895
Park Hotels & Resorts, Inc.
 980 12,564
Patterson Companies, Inc.
 370 12,306
Paylocity Holding Corp.(a)
 111 20,483
PBF Energy, Inc., Class A
 551 22,558
PDC Energy, Inc.
 144 10,244
Penn Entertainment, Inc.(a)
 521 12,520
Penumbra, Inc.(a)
 30 10,322
Performance Food Group Co.(a)
 444 26,747
Perrigo Co. PLC
 2,103 71,397
Physicians Realty Trust
 476 6,659
Pilgrim's Pride Corp.(a)
 1,361 29,248
Pinnacle Financial Partners, Inc.
 118 6,685
Planet Fitness, Inc., Class A(a)
 340 22,930
PNM Resources, Inc.
 441 19,889
Polaris, Inc.
 196 23,702
Portland General Electric Co.
 411 19,247
Post Holdings, Inc.(a)
 526 45,578
PotlatchDeltic Corp.
 285 15,062
Power Integrations, Inc.
 665 62,956
Primerica, Inc.
 254 50,231
Progyny, Inc.(a)
 607 23,879
Prosperity Bancshares, Inc.
 104 5,874
PVH Corp.
 343 29,145
Qualys, Inc.(a)
 479 61,872
QuidelOrtho Corp.(a)
 195 16,158
R1 RCM, Inc.(a)
 1,046 19,299
Range Resources Corp.
 357 10,496
Rayonier, Inc.
 454 14,256
Regal Rexnord Corp.
 59 9,080
Reinsurance Group of America, Inc.
 213 29,541
Reliance Steel & Aluminum Co.
 71 19,283
RenaissanceRe Holdings Ltd.
 161 30,030
Repligen Corp.(a)
 253 35,789
Rexford Industrial Realty, Inc.
 200 10,444
RH(a)
 57 18,787
RLI Corp.
 135 18,423
Royal Gold, Inc.
 145 16,643
RPM International, Inc.
 123 11,037
Ryder System, Inc.
 190 16,110
Sabra Health Care REIT, Inc.
 5,231 61,569
Saia, Inc.(a)
 54 18,490
Science Applications International Corp.
 193 21,709
Scotts Miracle-Gro Co.
 1,997 125,192
 
See accompanying notes to financial statements.
9

 

Table of Contents
Syntax Stratified MidCap ETF
Schedule of Investments  (continued)
June 30, 2023 (Unaudited)
Security Description Shares Value
SEI Investments Co.
 694 $41,376
Selective Insurance Group, Inc.
 174 16,695
Sensient Technologies Corp.
 135 9,603
Service Corp. International
 358 23,123
Shockwave Medical, Inc.(a)
 34 9,704
Silgan Holdings, Inc.
 127 5,955
Silicon Laboratories, Inc.(a)
 404 63,727
Simpson Manufacturing Co., Inc.
 66 9,141
Skechers USA, Inc., Class A(a)
 529 27,857
SLM Corp.
 2,422 39,527
Sonoco Products Co.
 95 5,607
Sotera Health Co.(a)
 1,578 29,730
SouthState Corp.
 93 6,119
Southwest Gas Holdings, Inc.
 371 23,614
Southwestern Energy Co.(a)
 1,944 11,683
Spire, Inc.
 346 21,950
Spirit Realty Capital, Inc.
 146 5,749
Sprouts Farmers Market, Inc.(a)
 722 26,519
STAAR Surgical Co.(a)
 639 33,592
STAG Industrial, Inc., REIT
 285 10,226
Starwood Property Trust, Inc.
 343 6,654
Stericycle, Inc.(a)
 507 23,545
Stifel Financial Corp.
 694 41,411
Sunrun, Inc.(a)
 1,093 19,521
Super Micro Computer, Inc.(a)
 157 39,132
Synaptics, Inc.(a)
 755 64,462
Syneos Health, Inc.(a)
 983 41,424
Synovus Financial Corp.
 208 6,292
Taylor Morrison Home Corp.(a)
 878 42,820
TD SYNNEX Corp.
 82 7,708
TEGNA, Inc.
 2,514 40,827
Tempur Sealy International, Inc.
 405 16,228
Tenet Healthcare Corp.(a)
 844 68,685
Teradata Corp.(a)
 832 44,437
Terex Corp.
 561 33,565
Tetra Tech, Inc.
 115 18,830
Texas Capital Bancshares, Inc.(a)
 587 30,231
Texas Roadhouse, Inc.
 569 63,887
Thor Industries, Inc.
 246 25,461
Timken Co.
 105 9,611
Toll Brothers, Inc.
 552 43,647
TopBuild Corp.(a)
 68 18,089
Topgolf Callaway Brands Corp.(a)
 780 15,483
Toro Co.
 316 32,121
Travel & Leisure Co.
 333 13,433
Trex Co., Inc.(a)
 264 17,308
TripAdvisor, Inc.(a)
 4,957 81,741
U.S. Foods Holding Corp.(a)
 591 26,004
UFP Industries, Inc.
 64 6,211
UGI Corp.
 784 21,144
UMB Financial Corp.
 209 12,728
Security Description Shares   Value
Under Armour, Inc., Class A(a)
 1,908   $13,776
Under Armour, Inc., Class C(a)
 2,071   13,896
United Bankshares, Inc.
 199   5,904
United States Steel Corp.
 783   19,583
United Therapeutics Corp.(a)
 309   68,212
Univar Solutions, Inc.(a)
 286   10,250
Universal Display Corp.
 91   13,116
Unum Group
 1,077   51,373
Valaris Ltd.(a)
 379   23,850
Valley National Bancorp
 772   5,983
Valmont Industries, Inc.
 33   9,605
Valvoline, Inc.
 275   10,315
Vicor Corp.(a)
 268   14,472
Vishay Intertechnology, Inc.
 481   14,141
Visteon Corp.(a)
 153   21,972
Vontier Corp.
 1,330   42,839
Vornado Realty Trust, REIT
 441   8,000
Voya Financial, Inc.
 572   41,018
Watsco, Inc.
 28   10,681
Watts Water Technologies, Inc., Class A
 59   10,840
Webster Financial Corp.
 794   29,974
Wendy's Co.
 1,839   39,998
Werner Enterprises, Inc.
 351   15,507
WESCO International, Inc.
 50   8,953
Western Union Co.
 2,972   34,862
Westlake Corp.
 92   10,991
WEX, Inc.(a)
 193   35,140
Williams-Sonoma, Inc.
 183   22,901
Wingstop, Inc.
 326   65,252
Wintrust Financial Corp.
 193   14,016
Wolfspeed, Inc.(a)
 246   13,675
Woodward, Inc.
 80   9,513
World Wrestling Entertainment, Inc., Class A
 413   44,798
Worthington Industries, Inc.
 144   10,004
Wyndham Hotels & Resorts, Inc.
 188   12,891
Xerox Holdings Corp.
 3,616   53,842
XPO, Inc.(a)
 318   18,762
YETI Holdings, Inc.(a)
 428   16,624
Ziff Davis, Inc.(a)
 1,243   87,085
ZoomInfo Technologies, Inc.(a)
 785   19,931
TOTAL INVESTMENTS—99.8%

(Cost $9,800,777)
     10,628,270
OTHER ASSETS IN EXCESS OF LIABILITIES—0.2%
     17,962
NET ASSETS—100.0%
     $10,646,232
    
(a) Non-income producing security.
    
PLC=Public Limited Company
REIT=Real Estate Investment Trust
 
See accompanying notes to financial statements.
10

 

Table of Contents
Syntax Stratified MidCap ETF
Schedule of Investments  (continued)
June 30, 2023 (Unaudited)
INDUSTRY BREAKDOWN
As of June 30, 2023*
INDUSTRY PERCENTAGE OF
NET ASSETS
Healthcare Providers and Facilities
 4.5%
Software for Specific Uses
 4.3
Production Equipment
 4.1
Marketed Pharmaceuticals
 3.3
Commercial Hardware
 3.1
Analog and Mixed Signal Integrated Circuits
 3.1
Transaction Services
 2.5
Restaurants
 2.4
Consumer Insurance
 2.4
Content Providers
 2.4
Telecommunication Networks
 2.4
Household Products
 2.3
Real Estate Operators and Developers
 2.3
Real Estate Rental
 2.3
Commercial Insurance
 2.3
Investment Services
 2.3
Real Estate Banking
 2.2
Management and IT Services
 2.2
Transportation Services
 2.0
Processed Foods
 1.9
Distribution Services
 1.8
Specialty Services
 1.8
Upstream Energy
 1.8
Electric and Electronic Components
 1.8
Auto Products
 1.8
Consumer Equipment Manufacture
 1.7
Mechanical Components
 1.7
Gas and Water Utilities
 1.7
Search and Social Networks
 1.6
Medical Research Services and Equipment
 1.6
Consumer Equipment Retail
 1.5
Non Real Estate Banking
 1.5
Hospital Equipment
 1.5
Accessories and Footwear
 1.3
Medical Devices
 1.3
Digital Integrated Circuits
 1.3
Food Distributors
 1.2
Other Natural Resources
 1.2
Metals
 1.2
Semiconductor Services and Equipment
 1.2
Personal Products
 1.2
Chemicals
 1.2
Regulated Electric Utilities
 1.1
Apparel Retailers
 1.1
Branded Apparel
 1.1
INDUSTRY PERCENTAGE OF
NET ASSETS
Downstream Energy
 0.9%
Midstream Energy
 0.9
Primary Foods
 0.9
Internet Services
0.8
Brokers and Dealers
 0.8
Other Pharmaceuticals
 0.7
Clinical Stage Pharmaceuticals
 0.7
Contract Electronics Services
 0.6
Competitive Electric Utilities
 0.5
Consumer Electronics
 0.5
Vitamins and Nutritional Supplements
 0.4
Consumer Services
 0.4
Software for Specific Industries
 0.4
Alcohol and Tobacco
 0.3
Healthcare Insurance
 0.2
Industrial Conglomerates
 0.2
Healthcare Products Distribution
 0.1
Other Assets in Excess of Liabilities
 0.2
Total 100.0%
*    The Fund’s industry breakdown is expressed as a percentage of net assets and may change over time.
See accompanying notes to financial statements.
11

 

Table of Contents
Syntax Stratified SmallCap ETF
Schedule of Investments
June 30, 2023 (Unaudited)
Security Description Shares Value
COMMON STOCK—99.9%    
3D Systems Corp.(a)
 2,639 $26,205
8x8, Inc.(a)
 18,392 77,798
A10 Networks, Inc.
 5,049 73,665
AAON, Inc.
 160 15,170
AAR Corp.(a)
 325 18,772
Aaron's Co., Inc.
 5,126 72,482
Abercrombie & Fitch Co., Class A(a)
 525 19,782
ABM Industries, Inc.
 580 24,737
Academy Sports & Outdoors, Inc.
 714 38,592
Acadia Realty Trust, REIT
 663 9,541
AdaptHealth Corp.(a)
 6,966 84,776
Addus HomeCare Corp.(a)
 291 26,976
Adeia, Inc.
 5,180 57,032
Adtalem Global Education, Inc.(a)
 642 22,046
ADTRAN Holdings, Inc.
 7,617 80,207
Advanced Energy Industries, Inc.
 512 57,062
AdvanSix, Inc.
 504 17,630
Aerojet Rocketdyne Holdings, Inc.(a)
 286 15,693
AeroVironment, Inc.(a)
 439 44,901
Agiliti, Inc.(a)
 4,073 67,204
Agilysys, Inc.(a)
 326 22,377
Alamo Group, Inc.
 100 18,391
Alarm.com Holdings, Inc.(a)
 1,421 73,437
Albany International Corp., Class A
 397 37,032
Alexander & Baldwin, Inc.
 508 9,439
Allegiant Travel Co.(a)
 494 62,382
Alpha & Omega Semiconductor Ltd.(a)
 2,467 80,918
Ambac Financial Group, Inc.(a)
 2,587 36,839
AMC Networks, Inc., Class A(a)
 4,490 53,655
American Assets Trust, Inc., REIT
 605 11,616
American Axle & Manufacturing Holdings, Inc.(a)
 4,739 39,192
American Eagle Outfitters, Inc.
 1,511 17,830
American Equity Investment Life Holding Co.
 1,131 58,936
American States Water Co.
 715 62,205
American Vanguard Corp.
 288 5,147
American Woodmark Corp.(a)
 260 19,856
America's Car-Mart, Inc.(a)
 290 28,936
Ameris Bancorp
 88 3,010
AMERISAFE, Inc.
 810 43,189
AMN Healthcare Services, Inc.(a)
 95 10,366
Amphastar Pharmaceuticals, Inc.(a)
 1,048 60,229
Andersons, Inc.
 689 31,797
AngioDynamics, Inc.(a)
 2,493 26,002
ANI Pharmaceuticals, Inc.(a)
 964 51,892
Anika Therapeutics, Inc.(a)
 1,487 38,632
Anywhere Real Estate, Inc.(a)
 3,765 25,150
Apogee Enterprises, Inc.
 327 15,523
Apollo Commercial Real Estate Finance, Inc., REIT
 289 3,271
Apollo Medical Holdings, Inc.(a)
 2,164 68,382
Security Description Shares Value
Applied Industrial Technologies, Inc.
 132 $19,118
Arbor Realty Trust, Inc.
 1,575 23,342
ArcBest Corp.
 189 18,673
Archrock, Inc.
 1,444 14,801
Arconic Corp.(a)
 532 15,737
Arcosa, Inc.
 208 15,760
Arcus Biosciences, Inc.(a)
 1,137 23,092
Arlo Technologies, Inc.(a)
 2,362 25,769
Armada Hoffler Properties, Inc., REIT
 1,011 11,808
ARMOUR Residential REIT, Inc.
 1,997 10,644
Artisan Partners Asset Management, Inc., Class A
 1,990 78,227
Artivion, Inc.(a)
 1,735 29,825
Asbury Automotive Group, Inc.(a)
 117 28,129
Assured Guaranty Ltd.
 998 55,688
Astec Industries, Inc.
 425 19,312
ATI, Inc.(a)
 388 17,161
Atlantic Union Bankshares Corp.
 110 2,855
ATN International, Inc.
 1,344 49,190
Avanos Medical, Inc.(a)
 1,059 27,068
Avantax, Inc.(a)
 3,191 71,415
Avid Bioservices, Inc.(a)
 1,846 25,789
Avid Technology, Inc.(a)
 1,023 26,087
Avista Corp.
 1,548 60,790
Axcelis Technologies, Inc.(a)
 77 14,116
Axos Financial, Inc.(a)
 381 15,027
AZZ, Inc.
 381 16,558
B Riley Financial, Inc.
 482 22,162
B&G Foods, Inc.
 1,473 20,504
Badger Meter, Inc.
 140 20,658
Balchem Corp.
 66 8,897
Banc of California, Inc.
 246 2,849
BancFirst Corp.
 36 3,312
Bancorp, Inc.(a)
 668 21,810
Bank of Hawaii Corp.
 350 14,431
BankUnited, Inc.
 139 2,995
Banner Corp.
 69 3,013
Barnes Group, Inc.
 330 13,923
Benchmark Electronics, Inc.
 1,950 50,369
Berkshire Hills Bancorp, Inc.
 134 2,778
BioLife Solutions, Inc.(a)
 1,349 29,813
BJ's Restaurants, Inc.(a)
 733 23,309
Bloomin' Brands, Inc.
 899 24,174
Boise Cascade Co.
 233 21,052
Boot Barn Holdings, Inc.(a)
 368 31,166
Brady Corp., Class A
 434 20,645
Brandywine Realty Trust, REIT
 2,945 13,694
Bread Financial Holdings, Inc.
 790 24,798
Brightsphere Investment Group, Inc.
 3,147 65,930
Brinker International, Inc.(a)
 642 23,497
Bristow Group, Inc.(a)
 597 17,152
Brookline Bancorp, Inc.
 331 2,893
 
See accompanying notes to financial statements.
12

 

Table of Contents
Syntax Stratified SmallCap ETF
Schedule of Investments  (continued)
June 30, 2023 (Unaudited)
Security Description Shares Value
Buckle, Inc.
 1,598 $55,291
Calavo Growers, Inc.
 981 28,469
Caleres, Inc.
 1,130 27,041
California Resources Corp.
 575 26,042
California Water Service Group
 1,147 59,220
Callon Petroleum Co.(a)
 716 25,110
Cal-Maine Foods, Inc.
 620 27,900
Capitol Federal Financial, Inc.
 2,451 15,123
CareTrust REIT, Inc.
 5,460 108,436
Cargurus, Inc.(a)
 2,935 66,419
Carpenter Technology Corp.
 303 17,007
Cars.com, Inc.(a)
 3,372 66,833
Catalyst Pharmaceuticals, Inc.(a)
 1,762 23,681
Cavco Industries, Inc.(a)
 98 28,910
Centerspace, REIT
 192 11,781
Central Garden & Pet Co.(a)
 258 10,003
Central Garden & Pet Co., Class A(a)
 273 9,954
Central Pacific Financial Corp.
 964 15,144
Century Aluminum Co.(a)
 1,824 15,905
Century Communities, Inc.
 382 29,269
Cerence, Inc.(a)
 2,403 70,240
Certara, Inc.(a)
 2,105 38,332
CEVA, Inc.(a)
 1,942 49,618
Chatham Lodging Trust, REIT
 1,544 14,452
Cheesecake Factory, Inc.
 702 24,275
Chefs' Warehouse, Inc.(a)
 2,011 71,913
Chesapeake Utilities Corp.
 493 58,667
Chico's FAS, Inc.(a)
 3,151 16,858
Chuy's Holdings, Inc.(a)
 596 24,329
Cinemark Holdings, Inc.(a)
 2,881 47,537
CIRCOR International, Inc.(a)
 750 42,338
City Holding Co.
 165 14,848
Civitas Resources, Inc.
 335 23,239
Clearfield, Inc.(a)
 1,504 71,214
Clearwater Paper Corp.(a)
 1,316 41,217
Cogent Communications Holdings, Inc.
 858 57,735
Coherus Biosciences, Inc.(a)
 8,833 37,717
Cohu, Inc.(a)
 625 25,975
Collegium Pharmaceutical, Inc.(a)
 1,883 40,466
Comfort Systems USA, Inc.
 135 22,167
Community Bank System, Inc.
 496 23,252
Community Health Systems, Inc.(a)
 4,153 18,273
Community Healthcare Trust, Inc., REIT
 3,106 102,560
Compass Minerals International, Inc.
 433 14,722
Computer Programs and Systems, Inc.(a)
 2,894 71,453
Comstock Resources, Inc.
 2,400 27,840
CONMED Corp.
 203 27,586
Consensus Cloud Solutions, Inc.(a)
 2,016 62,496
CONSOL Energy, Inc.
 246 16,681
Consolidated Communications Holdings, Inc.(a)
 14,658 56,140
Corcept Therapeutics, Inc.(a)
 1,754 39,027
Security Description Shares Value
Core Laboratories, Inc.
 575 $13,369
CoreCivic, Inc.(a)
 1,947 18,321
Corsair Gaming, Inc.(a)
 2,870 50,914
CorVel Corp.(a)
 118 22,833
Cracker Barrel Old Country Store, Inc.
 255 23,761
Cross Country Healthcare, Inc.(a)
 377 10,586
CSG Systems International, Inc.
 573 30,220
CTS Corp.
 769 32,782
Cushman & Wakefield PLC(a)
 2,631 21,522
Customers Bancorp, Inc.(a)
 989 29,927
CVB Financial Corp.
 218 2,895
CVR Energy, Inc.
 1,954 58,542
Cytek Biosciences, Inc.(a)
 3,790 32,367
Cytokinetics, Inc.(a)
 644 21,007
Dana, Inc.
 2,410 40,970
Dave & Buster's Entertainment, Inc.(a)
 471 20,988
Deluxe Corp.
 3,138 54,852
Designer Brands, Inc., Class A
 3,130 31,613
DiamondRock Hospitality Co., REIT
 1,853 14,843
Digi International, Inc.(a)
 1,438 56,643
Digital Turbine, Inc.(a)
 2,645 24,546
Dime Community Bancshares, Inc.
 169 2,979
Dine Brands Global, Inc.
 373 21,645
Diodes, Inc.(a)
 785 72,605
DISH Network Corp., Class A(a)
 8,215 54,137
Donnelley Financial Solutions, Inc.(a)
 1,540 70,116
Dorian LPG Ltd.
 2,274 58,328
Dorman Products, Inc.(a)
 429 33,818
DoubleVerify Holdings, Inc.(a)
 662 25,765
Douglas Emmett, Inc.
 1,040 13,073
Dril-Quip, Inc.(a)
 567 13,194
DXP Enterprises, Inc.(a)
 503 18,314
Dycom Industries, Inc.(a)
 195 22,162
Dynavax Technologies Corp.(a)
 1,799 23,243
Eagle Bancorp, Inc.
 135 2,857
Easterly Government Properties, Inc., REIT
 900 13,050
Ebix, Inc.
 3,228 81,346
Edgewell Personal Care Co.
 1,032 42,632
El Pollo Loco Holdings, Inc.
 5,696 49,954
elf Beauty, Inc.(a)
 411 46,949
Ellington Financial, Inc., REIT
 776 10,709
Elme Communities, REIT
 751 12,346
Embecta Corp.
 2,810 60,696
Emergent BioSolutions, Inc.(a)
 2,486 18,272
Employers Holdings, Inc.
 1,108 41,450
Enanta Pharmaceuticals, Inc.(a)
 786 16,820
Encore Capital Group, Inc.(a)
 489 23,775
Encore Wire Corp.
 290 53,920
Enerpac Tool Group Corp.
 556 15,012
Enhabit, Inc.(a)
 2,144 24,656
Enova International, Inc.(a)
 464 24,648
EnPro Industries, Inc.
 115 15,356
 
See accompanying notes to financial statements.
13

 

Table of Contents
Syntax Stratified SmallCap ETF
Schedule of Investments  (continued)
June 30, 2023 (Unaudited)
Security Description Shares Value
Ensign Group, Inc.
 291 $27,779
Enviri Corp.(a)
 1,767 17,440
ePlus, Inc.(a)
 1,306 73,528
ESCO Technologies, Inc.
 223 23,109
Essential Properties Realty Trust, Inc., REIT
 485 11,417
Ethan Allen Interiors, Inc.
 637 18,014
EVERTEC, Inc.
 790 29,096
EW Scripps Co., Class A(a)
 6,402 58,578
eXp World Holdings, Inc.
 1,160 23,525
Extreme Networks, Inc.(a)
 2,317 60,358
EZCORP, Inc., Class A(a)
 2,777 23,271
Fabrinet(a)
 422 54,809
FB Financial Corp.
 106 2,973
Federal Signal Corp.
 306 19,593
First Bancorp
 2,111 25,796
First Bancorp
 95 2,826
First Commonwealth Financial Corp.
 219 2,770
First Financial Bancorp
 143 2,923
First Hawaiian, Inc.
 165 2,972
FormFactor, Inc.(a)
 783 26,794
Forrester Research, Inc.(a)
 1,229 35,752
Forward Air Corp.
 263 27,907
Four Corners Property Trust, Inc., REIT
 363 9,220
Franklin BSP Realty Trust, Inc.
 726 10,280
Franklin Electric Co., Inc.
 360 37,044
Fresh Del Monte Produce, Inc.
 1,141 29,335
Frontdoor, Inc.(a)
 844 26,924
Fulgent Genetics, Inc.(a)
 807 29,883
Fulton Financial Corp.
 240 2,861
FutureFuel Corp.
 565 5,000
Gentherm, Inc.(a)
 621 35,093
Genworth Financial, Inc., Class A(a)
 8,392 41,960
GEO Group, Inc., REIT(a)
 2,383 17,062
Getty Realty Corp., REIT
 272 9,199
Gibraltar Industries, Inc.(a)
 231 14,535
G-III Apparel Group Ltd.(a)
 1,775 34,204
Glaukos Corp.(a)
 398 28,342
Global Net Lease, Inc., REIT
 1,255 12,901
GMS, Inc.(a)
 263 18,200
Gogo, Inc.(a)
 3,154 53,650
Golden Entertainment, Inc.(a)
 396 16,553
Granite Construction, Inc.
 542 21,561
Green Brick Partners, Inc.(a)
 485 27,548
Green Dot Corp., Class A(a)
 1,499 28,091
Green Plains, Inc.(a)
 966 31,144
Greenbrier Companies, Inc.
 608 26,205
Griffon Corp.
 1,767 71,210
Group 1 Automotive, Inc.
 112 28,907
Guess?, Inc.
 864 16,805
Hain Celestial Group, Inc.(a)
 1,652 20,667
Hanesbrands, Inc.
 7,770 35,276
Hanmi Financial Corp.
 192 2,867
Security Description Shares Value
Harmonic, Inc.(a)
 3,985 $64,437
Harmony Biosciences Holdings, Inc.(a)
 585 20,586
Haverty Furniture Companies, Inc.
 2,514 75,973
Hawaiian Holdings, Inc.(a)
 5,876 63,285
Hawkins, Inc.
 705 33,621
Haynes International, Inc.
 306 15,551
HB Fuller Co.
 78 5,578
HCI Group, Inc.
 818 50,536
Healthcare Services Group, Inc.
 1,904 28,427
HealthStream, Inc.
 1,512 37,135
Heartland Express, Inc.
 1,005 16,492
Heidrick & Struggles International, Inc.
 388 10,270
Helix Energy Solutions Group, Inc.(a)
 1,970 14,539
Helmerich & Payne, Inc.
 410 14,535
Heritage Financial Corp.
 183 2,959
Hibbett, Inc.
 989 35,891
Hillenbrand, Inc.
 493 25,281
Hilltop Holdings, Inc.
 96 3,020
HNI Corp.
 673 18,965
Hope Bancorp, Inc.
 345 2,905
Horace Mann Educators Corp.
 1,518 45,024
Hostess Brands, Inc.(a)
 747 18,914
Hub Group, Inc., Class A(a)
 347 27,871
Hudson Pacific Properties, Inc.
 2,515 10,613
Ichor Holdings Ltd.(a)
 400 15,000
Independent Bank Corp.
 63 2,804
Independent Bank Group, Inc.
 83 2,866
Ingevity Corp.(a)
 165 9,596
Innospec, Inc.
 51 5,122
Innovative Industrial Properties, Inc., REIT
 168 12,266
Innoviva, Inc.(a)
 3,080 39,208
Insight Enterprises, Inc.(a)
 126 18,439
Installed Building Products, Inc.
 155 21,725
Insteel Industries, Inc.
 424 13,195
Integer Holdings Corp.(a)
 323 28,621
Inter Parfums, Inc.
 324 43,815
InterDigital, Inc.
 610 58,895
Interface, Inc.
 1,646 14,468
Invesco Mortgage Capital, Inc.
 952 10,919
iRobot Corp.(a)
 447 20,227
Ironwood Pharmaceuticals, Inc.(a)
 3,589 38,187
iTeos Therapeutics, Inc.(a)
 1,681 22,256
Itron, Inc.(a)
 302 21,774
J & J Snack Foods Corp.
 126 19,953
Jack in the Box, Inc.
 600 58,518
James River Group Holdings Ltd.
 2,132 38,930
JBG SMITH Properties
 850 12,784
John B Sanfilippo & Son, Inc.
 161 18,880
John Bean Technologies Corp.
 216 26,201
John Wiley & Sons, Inc., Class A
 915 31,137
Kaiser Aluminum Corp.
 531 38,041
Kaman Corp.
 653 15,887
 
See accompanying notes to financial statements.
14

 

Table of Contents
Syntax Stratified SmallCap ETF
Schedule of Investments  (continued)
June 30, 2023 (Unaudited)
Security Description Shares Value
Kelly Services, Inc., Class A
 554 $9,756
Kennametal, Inc.
 910 25,835
Kennedy-Wilson Holdings, Inc.
 700 11,431
KKR Real Estate Finance Trust, Inc., REIT
 262 3,189
Knowles Corp.(a)
 3,109 56,149
Kontoor Brands, Inc.
 863 36,332
Koppers Holdings, Inc.
 1,107 37,749
Korn Ferry
 198 9,809
Kulicke & Soffa Industries, Inc.
 240 14,268
Lakeland Financial Corp.
 490 23,775
La-Z-Boy, Inc.
 631 18,072
LCI Industries
 439 55,472
LeMaitre Vascular, Inc.
 409 27,518
Leslie's, Inc.(a)
 6,936 65,129
LGI Homes, Inc.(a)
 208 28,057
Ligand Pharmaceuticals, Inc.(a)
 650 46,865
Lindsay Corp.
 146 17,424
Liquidity Services, Inc.(a)
 3,793 62,584
Livent Corp.(a)
 197 5,404
LiveRamp Holdings, Inc.(a)
 963 27,503
LTC Properties, Inc., REIT
 801 26,449
Lumen Technologies, Inc.
 29,864 67,493
LXP Industrial Trust, REIT
 1,174 11,447
M/I Homes, Inc.(a)
 359 31,301
Macerich Co.
 855 9,636
Marcus & Millichap, Inc.
 733 23,097
Marcus Corp.
 3,394 50,333
MarineMax, Inc.(a)
 795 27,157
Marten Transport Ltd.
 737 15,846
Masterbrand, Inc.(a)
 1,676 19,492
Materion Corp.
 141 16,102
Mativ, Inc.
 2,120 32,054
Matson, Inc.
 212 16,479
Matthews International Corp., Class A
 439 18,710
MaxLinear, Inc.(a)
 1,640 51,758
MDC Holdings, Inc.
 606 28,343
Medifast, Inc.
 810 74,650
Mercer International, Inc.
 3,820 30,827
Mercury General Corp.
 1,605 48,583
Merit Medical Systems, Inc.(a)
 323 27,016
Meritage Homes Corp.
 206 29,308
Mesa Laboratories, Inc.
 235 30,198
Methode Electronics, Inc.
 796 26,682
MGP Ingredients, Inc.
 709 75,353
Middlesex Water Co.
 771 62,189
MillerKnoll, Inc.
 1,246 18,416
Minerals Technologies, Inc.
 158 9,115
Mister Car Wash, Inc.(a)
 3,085 29,770
ModivCare, Inc.(a)
 304 13,744
Moelis & Co., Class A
 415 18,816
Monarch Casino & Resort, Inc.
 261 18,387
Monro, Inc.
 651 26,450
Security Description Shares Value
Moog, Inc., Class A
 143 $15,505
Movado Group, Inc.
 1,569 42,096
Mr Cooper Group, Inc.(a)
 733 37,119
Mueller Industries, Inc.
 430 37,530
Myers Industries, Inc.
 660 12,824
MYR Group, Inc.(a)
 157 21,719
Myriad Genetics, Inc.(a)
 659 15,276
N-able, Inc.(a)
 1,650 23,777
Nabors Industries Ltd.(a)
 142 13,210
National Bank Holdings Corp., Class A
 803 23,319
National Beverage Corp.(a)
 410 19,824
National Presto Industries, Inc.
 539 39,455
National Vision Holdings, Inc.(a)
 1,651 40,103
Navient Corp.
 1,310 24,340
NBT Bancorp, Inc.
 85 2,707
NeoGenomics, Inc.(a)
 934 15,009
NETGEAR, Inc.(a)
 3,933 55,691
NetScout Systems, Inc.(a)
 1,779 55,060
New York Mortgage Trust, Inc.
 1,029 10,208
NexPoint Residential Trust, Inc., REIT
 258 11,734
NextGen Healthcare, Inc.(a)
 2,208 35,814
NexTier Oilfield Solutions, Inc.(a)
 1,685 15,064
NMI Holdings, Inc., Class A(a)
 1,364 35,218
Northern Oil & Gas, Inc.
 725 24,882
Northfield Bancorp, Inc.
 266 2,921
Northwest Bancshares, Inc.
 1,392 14,755
Northwest Natural Holding Co.
 1,487 64,015
NOW, Inc.(a)
 1,420 14,711
Nu Skin Enterprises, Inc., Class A
 1,248 41,434
NuVasive, Inc.(a)
 1,820 75,694
NV5 Global, Inc.(a)
 217 24,037
Oceaneering International, Inc.(a)
 802 14,997
ODP Corp.(a)
 821 38,439
Office Properties Income Trust, REIT
 1,655 12,744
OFG Bancorp
 987 25,741
O-I Glass, Inc.(a)
 1,715 36,581
Oil States International, Inc.(a)
 2,028 15,149
Olympic Steel, Inc.
 323 15,827
OmniAb, Inc.(a),(b)
 198 —
OmniAb, Inc.(a),(b)
 198 —
OneSpan, Inc.(a)
 4,565 67,745
Onto Innovation, Inc.(a)
 215 25,041
OPENLANE, Inc.(a)
 1,787 27,198
OraSure Technologies, Inc.(a)
 5,849 29,303
Orion Office REIT, Inc.
 2,016 13,326
Orthofix Medical, Inc.(a)
 3,764 67,978
OSI Systems, Inc.(a)
 168 19,795
Otter Tail Corp.
 830 65,537
Outfront Media, Inc.
 630 9,904
Owens & Minor, Inc.(a)
 3,473 66,126
Oxford Industries, Inc.
 182 17,912
Pacific Premier Bancorp, Inc.
 146 3,019
 
See accompanying notes to financial statements.
15

 

Table of Contents
Syntax Stratified SmallCap ETF
Schedule of Investments  (continued)
June 30, 2023 (Unaudited)
Security Description Shares Value
Pacira BioSciences, Inc.(a)
 1,137 $45,560
PacWest Bancorp
 365 2,975
Palomar Holdings, Inc.(a)
 811 47,070
Par Pacific Holdings, Inc.(a)
 2,258 60,085
Park National Corp.
 31 3,172
Pathward Financial, Inc.
 541 25,081
Patrick Industries, Inc.
 462 36,960
Patterson-UTI Energy, Inc.
 1,270 15,202
Payoneer Global, Inc.(a)
 6,378 30,678
PC Connection, Inc.
 387 17,454
PDF Solutions, Inc.(a)
 313 14,116
Pebblebrook Hotel Trust
 1,080 15,055
Pediatrix Medical Group, Inc.(a)
 5,024 71,391
PennyMac Mortgage Investment Trust, REIT
 810 10,919
Perdoceo Education Corp.(a)
 2,174 26,675
Perficient, Inc.(a)
 963 80,247
PGT Innovations, Inc.(a)
 644 18,773
Phibro Animal Health Corp., Class A
 3,545 48,567
Phillips Edison & Co., Inc., REIT
 295 10,054
Photronics, Inc.(a)
 597 15,397
Piper Sandler Companies
 133 17,192
Pitney Bowes, Inc.
 7,475 26,462
Plexus Corp.(a)
 1,131 111,109
Powell Industries, Inc.
 857 51,926
PRA Group, Inc.(a)
 1,038 23,718
Preferred Bank
 60 3,299
Prestige Consumer Healthcare, Inc.(a)
 826 49,089
PriceSmart, Inc.
 864 63,988
Privia Health Group, Inc.(a)
 545 14,230
ProAssurance Corp.
 3,012 45,451
PROG Holdings, Inc.(a)
 704 22,612
Progress Software Corp.
 399 23,182
ProPetro Holding Corp.(a)
 1,869 15,401
Proto Labs, Inc.(a)
 1,530 53,489
Provident Financial Services, Inc.
 173 2,827
Quaker Chemical Corp.
 27 5,262
Quanex Building Products Corp.
 673 18,070
QuinStreet, Inc.(a)
 1,933 17,068
Radian Group, Inc.
 1,365 34,507
RadNet, Inc.(a)
 479 15,625
Rambus, Inc.(a)
 1,128 72,384
RE/MAX Holdings, Inc., Class A
 1,253 24,133
Ready Capital Corp., REIT
 285 3,215
Redwood Trust, Inc., REIT
 2,504 15,950
REGENXBIO, Inc.(a)
 1,023 20,450
Renasant Corp.
 107 2,796
Resideo Technologies, Inc.(a)
 1,030 18,190
Resources Connection, Inc.
 1,065 16,731
Retail Opportunity Investments Corp., REIT
 708 9,565
REX American Resources Corp.(a)
 901 31,364
Rogers Corp.(a)
 33 5,344
RPC, Inc.
 1,886 13,485
Security Description Shares Value
RPT Realty, REIT
 922 $9,635
RXO, Inc.(a)
 738 16,730
S&T Bancorp, Inc.
 106 2,882
Sabre Corp.(a)
 18,413 58,737
Safehold, Inc.
 471 11,177
Safety Insurance Group, Inc.
 624 44,753
Sally Beauty Holdings, Inc.(a)
 2,981 36,815
Sanmina Corp.(a)
 1,940 116,924
Saul Centers, Inc., REIT
 255 9,392
ScanSource, Inc.(a)
 585 17,293
Scholastic Corp.
 847 32,940
Schrodinger, Inc.(a)
 980 48,922
Seacoast Banking Corp. of Florida
 133 2,939
Select Medical Holdings Corp.
 2,520 80,287
Semtech Corp.(a)
 3,348 85,240
Seneca Foods Corp., Class A(a)
 643 21,013
Service Properties Trust, REIT
 1,721 14,955
ServisFirst Bancshares, Inc.
 69 2,823
Shake Shack, Inc., Class A(a)
 781 60,699
Shenandoah Telecommunications Co.
 2,645 51,392
Shoe Carnival, Inc.
 1,198 28,129
Shutterstock, Inc.
 1,252 60,935
Signet Jewelers Ltd.
 720 46,987
Simmons First National Corp., Class A
 171 2,950
Simply Good Foods Co.(a)
 548 20,051
Simulations Plus, Inc.
 797 34,534
SiriusPoint Ltd.(a)
 5,874 53,042
SITE Centers Corp., REIT
 725 9,585
SiTime Corp.(a)
 650 76,680
Six Flags Entertainment Corp.(a)
 653 16,965
SJW Group
 858 60,154
SkyWest, Inc.(a)
 1,584 64,500
SL Green Realty Corp.
 485 14,574
Sleep Number Corp.(a)
 879 23,979
SM Energy Co.
 825 26,095
SMART Global Holdings, Inc.(a)
 2,988 86,682
Sonic Automotive, Inc., Class A
 590 28,125
Sonos, Inc.(a)
 3,409 55,669
Southside Bancshares, Inc.
 111 2,904
SpartanNash Co.
 2,914 65,594
SPS Commerce, Inc.(a)
 137 26,312
SPX Technologies, Inc.(a)
 635 53,956
St. Joe Co.
 262 12,665
Standard Motor Products, Inc.
 958 35,944
Standex International Corp.
 457 64,652
Stellar Bancorp, Inc.
 123 2,815
Stepan Co.
 89 8,505
Steven Madden Ltd.
 1,293 42,268
Stewart Information Services Corp.
 1,648 67,799
StoneX Group, Inc.(a)
 273 22,681
Strategic Education, Inc.
 354 24,015
Stride, Inc.(a)
 654 24,348
 
See accompanying notes to financial statements.
16

 

Table of Contents
Syntax Stratified SmallCap ETF
Schedule of Investments  (continued)
June 30, 2023 (Unaudited)
Security Description Shares Value
Sturm Ruger & Co., Inc.
 2,065 $109,362
Summit Hotel Properties, Inc., REIT
 2,240 14,582
Sun Country Airlines Holdings, Inc.(a)
 2,759 62,022
SunCoke Energy, Inc.
 2,068 16,275
SunPower Corp.(a)
 5,905 57,869
Sunstone Hotel Investors, Inc.
 1,441 14,583
Supernus Pharmaceuticals, Inc.(a)
 590 17,735
Sylvamo Corp.
 826 33,412
Talos Energy, Inc.(a)
 1,730 23,995
Tandem Diabetes Care, Inc.(a)
 2,905 71,289
Tanger Factory Outlet Centers, Inc., REIT
 436 9,623
TechTarget, Inc.(a)
 503 15,658
Telephone and Data Systems, Inc.
 7,220 59,421
Tennant Co.
 325 26,361
Thryv Holdings, Inc.(a)
 2,451 60,295
TimkenSteel Corp.(a)
 814 17,558
Titan International, Inc.(a)
 1,231 14,132
Tompkins Financial Corp.
 52 2,896
Tootsie Roll Industries, Inc.
 508 17,988
TreeHouse Foods, Inc.(a)
 395 19,900
Tri Pointe Homes, Inc.(a)
 832 27,340
Trinity Industries, Inc.
 803 20,645
Trinseo PLC
 1,214 15,381
Triumph Financial, Inc.(a)
 442 26,838
Triumph Group, Inc.(a)
 1,262 15,611
TrueBlue, Inc.(a)
 570 10,095
Trupanion, Inc.(a)
 1,888 37,156
TrustCo Bank Corp. NY
 525 15,020
Trustmark Corp.
 136 2,872
TTEC Holdings, Inc.
 291 9,847
TTM Technologies, Inc.(a)
 3,884 53,988
Two Harbors Investment Corp.
 754 10,466
UFP Technologies, Inc.(a)
 105 20,354
Ultra Clean Holdings, Inc.(a)
 379 14,576
UniFirst Corp.
 150 23,252
uniQure N.V.(a)
 1,218 13,958
United Community Banks, Inc.
 116 2,899
United Fire Group, Inc.
 1,847 41,853
United Natural Foods, Inc.(a)
 3,157 61,719
Uniti Group, Inc., REIT
 2,814 13,001
Unitil Corp.
 1,202 60,953
Universal Corp.
 1,402 70,016
Universal Health Realty Income Trust, REIT
 264 12,561
Universal Insurance Holdings, Inc.
 3,013 46,491
Upbound Group, Inc.
 2,088 64,999
Urban Edge Properties
 644 9,937
Urban Outfitters, Inc.(a)
 1,642 54,399
Urstadt Biddle Properties, Inc., REIT, Class A
 458 9,737
US Physical Therapy, Inc.
 141 17,116
Security Description Shares   Value
US Silica Holdings, Inc.(a)
 1,110   $13,464
USANA Health Sciences, Inc.(a)
 309   19,479
Vanda Pharmaceuticals, Inc.(a)
 6,305   41,550
Varex Imaging Corp.(a)
 1,353   31,890
Vector Group Ltd.
 5,613   71,903
Veeco Instruments, Inc.(a)
 542   13,919
Veradigm, Inc.(a)
 3,056   38,506
Vericel Corp.(a)
 2,054   77,169
Veris Residential, Inc., REIT(a)
 765   12,278
Veritex Holdings, Inc.
 156   2,797
Veritiv Corp.
 152   19,093
Verra Mobility Corp.(a)
 1,530   30,172
Viad Corp.(a)
 695   18,682
Viasat, Inc.(a)
 990   40,847
Viavi Solutions, Inc.(a)
 2,444   27,691
Victoria's Secret & Co.(a)
 990   17,256
Vir Biotechnology, Inc.(a)
 942   23,107
Virtus Investment Partners, Inc.
 342   67,535
Vista Outdoor, Inc.(a)
 3,885   107,498
Vital Energy, Inc.(a)
 535   24,155
Wabash National Corp.
 694   17,794
Walker & Dunlop, Inc.
 452   35,749
Warrior Met Coal, Inc.
 426   16,593
Washington Federal, Inc.
 545   14,453
WD-40 Co.
 92   17,356
Westamerica BanCorp
 72   2,758
Whitestone REIT
 994   9,642
Winnebago Industries, Inc.
 822   54,819
WisdomTree, Inc.
 10,018   68,723
Wolverine World Wide, Inc.
 2,993   43,967
World Acceptance Corp.(a)
 194   25,998
World Kinect Corp.
 2,178   45,041
WSFS Financial Corp.
 78   2,942
Xencor, Inc.(a)
 890   22,223
Xenia Hotels & Resorts, Inc., REIT
 1,212   14,920
XPEL, Inc.(a)
 470   39,583
Xperi, Inc.(a)
 4,191   55,112
Yelp, Inc.(a)
 1,716   62,480
Zynex, Inc.(a)
 8,191   78,552
TOTAL INVESTMENTS—99.9%

(Cost $16,425,442)
     18,315,473
OTHER ASSETS IN EXCESS OF LIABILITIES—0.1%
     23,940
NET ASSETS—100.0%
     $18,339,413
    
(a) Non-income producing security.
(b) Fair valued by Adviser.
    
PLC=Public Limited Company
REIT=Real Estate Investment Trust
 
See accompanying notes to financial statements.
17

 

Table of Contents
Syntax Stratified SmallCap ETF
Schedule of Investments  (continued)
June 30, 2023 (Unaudited)
INDUSTRY BREAKDOWN
As of June 30, 2023*
INDUSTRY PERCENTAGE OF
NET ASSETS
Healthcare Providers and Facilities
 3.7%
Software for Specific Uses
 3.0
Transportation Services
 2.6
Real Estate Operators and Developers
 2.5
Consumer Equipment Manufacture
 2.5
Telecommunication Networks
 2.5
Commercial Hardware
 2.4
Management and IT Services
 2.4
Real Estate Banking
 2.4
Upstream Energy
 2.4
Medical Devices
 2.4
Auto Products
 2.4
Consumer Equipment Retail
 2.3
Commercial Insurance
 2.3
Investment Services
 2.3
Consumer Insurance
 2.3
Non Real Estate Banking
 2.3
Real Estate Rental
 2.3
Transaction Services
 2.3
Content Providers
 2.2
Marketed Pharmaceuticals
 2.2
Mechanical Components
 2.2
Gas and Water Utilities
 2.0
Food Distributors
 1.8
Distribution Services
 1.8
Restaurants
 1.8
Software for Specific Industries
 1.8
Specialty Services
 1.8
Production Equipment
 1.7
Digital Integrated Circuits
 1.7
Analog and Mixed Signal Integrated Circuits
 1.7
Apparel Retailers
 1.7
Electric and Electronic Components
 1.7
Other Pharmaceuticals
 1.6
Hospital Equipment
 1.5
Contract Electronics Services
 1.5
Semiconductor Services and Equipment
 1.4
Online Distribution Networks
 1.4
Consumer Electronics
 1.2
Healthcare Products Distribution
 1.2
Alcohol and Tobacco
 1.2
Chemicals
 1.2
Metals
 1.2
Branded Apparel
 1.2
Other Natural Resources
 1.1
INDUSTRY PERCENTAGE OF
NET ASSETS
Primary Foods
 1.1%
Processed Foods
 1.1
Search and Social Networks
 1.0
Regulated Electric Utilities
 1.0
Personal Products
 1.0
Transport Aerospace and Defense Equipment
 0.9
Downstream Energy
 0.9
Clinical Stage Pharmaceuticals
 0.8
Industrial Conglomerates
 0.7
Accessories and Footwear
 0.7
Medical Research Services and Equipment
 0.6
Midstream Energy
 0.3
Competitive Electric Utilities
 0.3
Consumer Paper Products
 0.2
Brokers and Dealers
 0.1
Vitamins and Nutritional Supplements
 0.1
Other Assets in Excess of Liabilities
 0.1
Total 100.0%
*    The Fund’s industry breakdown is expressed as a percentage of net assets and may change over time.
See accompanying notes to financial statements.
18

 

Table of Contents
Syntax Stratified U.S. Total Market ETF
Schedule of Investments
June 30, 2023 (Unaudited)
Security Description Shares   Value
EXCHANGE-TRADED FUNDS—100.0%      
Syntax Stratified LargeCap ETF(a)
 187,944   $12,816,897
Syntax Stratified MidCap ETF(a)
 39,218   1,519,654
Syntax Stratified SmallCap ETF(a)
 17,439   753,081
TOTAL INVESTMENTS—100.0%

(Cost $14,505,604)
     15,089,632
OTHER ASSETS IN EXCESS OF LIABILITIES—0.0%*
     7,246
NET ASSETS—100.0%
     $15,096,878
    
(a) Affiliated investment. The Fund's transactions and earnings are as follows:
Affiliated Investments Value
December 31, 2022 		Purchases
at Cost 		Proceeds
from Sales 		Net
Realized
Gain (Loss) 		Net Change in
Unrealized
Appreciation
(Depreciation) 		Value
June 30, 2023 		Shares as of
June 30, 2023 		Dividend
Income 		Net Capital
Gain
Distributions
Syntax Stratified Large Cap ETF
 $10,227,667 $4,407,043 $(2,672,647) $177,767 $677,067 $12,816,897 187,944 $— $—
Syntax Stratified MidCap ETF
 1,219,902 535,810 (364,969) 6,695 122,216 1,519,654 39,218 — —
Syntax Stratified SmallCap ETF
 603,858 288,361 (173,270) (2,496) 36,628 753,081 17,439 — —
Total $12,051,427 $5,231,214 $(3,210,886) $181,966 $835,911 $15,089,632 244,601 $— $—
    
* Amount shown represents less than 0.05% of net assets.
    
ETF=Exchange Traded Fund
PORTFOLIO COMPOSITION
AS OF June 30, 2023
ASSET TYPE PERCENTAGE OF
NET ASSETS
Large Cap ETF
 84.9%
Mid Cap ETF
 10.1
Small Cap ETF
 5.0
Other Assets in Excess of Liabilities
 0.0*
Total 100.0%
    
* Amount shown represents less than 0.05% of net assets.
See accompanying notes to financial statements.
19

 

Table of Contents
Syntax Stratified U.S. Total Market Hedged ETF
Schedule of Investments
June 30, 2023 (Unaudited)
Security Description Shares   Value
EXCHANGE-TRADED FUNDS—93.7%      
Syntax Stratified LargeCap ETF(a)
 437,130   $29,810,211
Syntax Stratified MidCap ETF(a)
 91,215   3,534,481
Syntax Stratified SmallCap ETF(a)
 40,561   1,751,574
TOTAL EXCHANGE-TRADED FUNDS

(Cost $33,977,298)
     $35,096,266
TOTAL PURCHASED OPTIONS—7.5%

(Cost $4,464,608)
     $2,829,860
TOTAL INVESTMENTS—101.2%

(Cost $38,441,906)
     37,926,126
LIABILITIES IN EXCESS OF OTHER ASSETS—(1.2)%
     (450,990)
NET ASSETS—100.0%
     $37,475,136
    
(a) Affiliated investment. The Fund's transactions and earnings are as follows:
Affiliated Investments Value
December 31, 2022 		Purchases
at Cost 		Proceeds
from Sales 		Net
Realized
Gain (Loss) 		Net Change in
Unrealized
Appreciation
(Depreciation) 		Value
June 30, 2023 		Shares as of
June 30, 2023 		Dividend
Income 		Net Capital
Gain
Distributions
Syntax Stratified Large Cap ETF
 $30,028,261 $102,285 $(2,403,771) $94,272 $1,989,164 $29,810,211 437,130 $— $—
Syntax Stratified MidCap ETF
 3,582,911 — (393,400) (16,101) 361,071 3,534,481 91,215 — —
Syntax Stratified SmallCap ETF
 1,773,361 45,774 (182,586) 1,937 113,088 1,751,574 40,561 — —
Total $35,384,533 $148,059 $(2,979,757) $80,108 $2,463,323 $35,096,266 568,906 $— $—
    
ETF=Exchange Traded Fund
    
Purchased Call Options — 4.9%
Exchange-Traded Options — 4.9%
    
Description Number of
Contracts 		Notional
Amount 		Cost Exercise
Price 		Expiration
Date 		Value
SPDR S&P 500 ETF Trust
 431 $19,105,368 $1,167,379 $455 12/20/24 $1,828,086
Total     $1,167,379     $1,828,086
    
Purchased Put Options — 2.6%
Exchange-Traded Options — 2.6%
    
Description Number of
Contracts 		Notional
Amount 		Cost Exercise
Price 		Expiration
Date 		Value
SPDR S&P 500 ETF Trust
 861 $38,166,408 $3,297,229 $375 12/20/24 $1,001,774
Total     $3,297,229     $1,001,774
Total Purchased Options — 7.5%     $4,464,608     $2,829,860
             
See accompanying notes to financial statements.
20

 

Table of Contents
Syntax Stratified U.S. Total Market Hedged ETF
Schedule of Investments  (continued)
June 30, 2023 (Unaudited)
Written Call Options — (1.3)%
Exchange-Traded Options — (1.3)%
    
Description Number of
Contracts 		Notional
Amount 		Proceeds
Received 		Exercise
Price 		Expiration
Date 		Value
SPDR S&P 500 ETF Trust
 431 $(19,105,368) $(443,266) $520 12/20/24 $(496,081)
Total     $(443,266)     $(496,081)
PORTFOLIO COMPOSITION
AS OF June 30, 2023
ASSET TYPE PERCENTAGE OF
NET ASSETS
Large Cap ETF
 79.6%
Mid Cap ETF
 9.4
Small Cap ETF
 4.7
Purchased Options
 7.5
Written Options
 (1.3)
Other Assets in Excess of Liabilities
 0.1
Total 100.0%
See accompanying notes to financial statements.
21

 

Table of Contents
Syntax Stratified Total Market II ETF
Schedule of Investments
June 30, 2023 (Unaudited)
Security Description Shares   Value
EXCHANGE-TRADED FUNDS—100.0%      
Syntax Stratified LargeCap ETF(a)
 105,219   $7,175,441
Syntax Stratified MidCap ETF(a)
 21,956   850,771
Syntax Stratified SmallCap ETF(a)
 9,763   421,603
TOTAL INVESTMENTS—100.0%

(Cost $7,489,418)
     8,447,815
OTHER ASSETS IN EXCESS OF LIABILITIES—0.0%*
     4,157
NET ASSETS—100.0%
     $8,451,972
    
(a) Affiliated investment. The Fund's transactions and earnings are as follows:
Affiliated Investments Value
December 31, 2022 		Purchases
at Cost 		Proceeds
from Sales 		Net
Realized
Gain (Loss) 		Net Change in
Unrealized
Appreciation
(Depreciation) 		Value
June 30, 2023 		Shares as of
June 30, 2023 		Dividend
Income 		Net Capital
Gain
Distributions
Syntax Stratified Large Cap ETF
 $6,680,122 $28,468 $(8,766) $632 $474,985 $7,175,441 105,219 $— $—
Syntax Stratified MidCap ETF
 796,872 — (23,802) 726 76,975 850,771 21,956 — —
Syntax Stratified SmallCap ETF
 394,418 11,395 (9,015) (248) 25,053 421,603 9,763 — —
Total $7,871,412 $39,863 $(41,583) $1,110 $577,013 $8,447,815 136,938 $— $—
    
* Amount shown represents less than 0.05% of net assets.
    
ETF=Exchange Traded Fund
PORTFOLIO COMPOSITION
AS OF June 30, 2023
ASSET TYPE PERCENTAGE OF
NET ASSETS
Large Cap ETF
 84.9%
Mid Cap ETF
 10.1
Small Cap ETF
 5.0
Other Assets in Excess of Liabilities
 0.0*
Total 100.0%
    
* Amount shown represents less than 0.05% of net assets.
See accompanying notes to financial statements.
22

 

Table of Contents
Syntax ETF Trust
Statements of Assets and Liabilities
June 30, 2023 (Unaudited)
  Syntax Stratified
LargeCap ETF 		  Syntax Stratified
MidCap ETF 		  Syntax Stratified
SmallCap ETF
ASSETS          
Investments in securities of unaffiliated issuers
 $96,896,668   $10,628,270   $18,315,473
Total Investments
 96,896,668   10,628,270   18,315,473
Cash
 122,777   11,180   16,319
Dividends receivable
 97,646   9,795   13,606
Total Assets
 97,117,091   10,649,245   18,345,398
LIABILITIES          
Accrued Management fee
 23,891   2,970   5,913
Accrued Other fees
 391   43   72
Total Liabilities
 24,282   3,013   5,985
NET ASSETS
$97,092,809   $10,646,232   $18,339,413
NET ASSETS CONSISTS OF:          
Paid in Capital
 $92,910,690   $10,210,725   $18,016,764
Distributable earnings (loss)
 4,182,119   435,507   322,649
NET ASSETS
 $97,092,809   $10,646,232   $18,339,413
NET ASSET VALUE PER SHARE
 $68.14   $38.71   $43.15
SHARES OUTSTANDING (unlimited number of shares authorized, no par value)
 1,425,000   275,000   425,000
COST OF INVESTMENTS
 $91,514,026   $9,800,777   $16,425,442
    
See accompanying notes to financial statements.
23

 

Table of Contents
Syntax ETF Trust
Statements of Assets and Liabilities
June 30, 2023 (Unaudited)
  Syntax Stratified
U.S. Total Market ETF 		  Syntax Stratified U.S. Total
Market Hedged ETF 		  Syntax Stratified Total
Market II ETF
ASSETS          
Investments in securities of unaffiliated issuers
 $—   $2,829,860   $—
Investments in securities of affiliated issuers
 15,089,632   35,096,266   8,447,815
Total Investments
 15,089,632   37,926,126   8,447,815
Cash
 7,737   45,873   4,429
Cash at broker
 —   10,078   —
Total Assets
 15,097,369   37,982,077   8,452,244
LIABILITIES          
Written options, at value
 —   496,081   —
Accrued Management fee
 429   10,713   238
Accrued Other fees
 62   147   34
Total Liabilities
 491   506,941   272
NET ASSETS
$15,096,878   $37,475,136   $8,451,972
NET ASSETS CONSISTS OF:          
Paid in Capital
 $14,336,514   $38,300,178   $7,493,643
Distributable earnings (loss)
 760,364   (825,042)   958,329
NET ASSETS
 $15,096,878   $37,475,136   $8,451,972
NET ASSET VALUE PER SHARE
 $43.13   $39.45   $42.26
SHARES OUTSTANDING (unlimited number of shares authorized, no par value)
 350,000   950,000   200,000
Investments in securities of unaffiliated issuers
 $—   $4,464,608   $—
Investments in securities of affiliated issuers
 14,505,604   33,977,298   7,489,418
TOTAL COST OF INVESTMENTS
 $14,505,604   $38,441,906   $7,489,418
WRITTEN OPTIONS PREMIUM
 $—   $443,266   $—
See accompanying notes to financial statements.
24

 

Table of Contents
Syntax ETF Trust
Statements of Operations
For the year or period ended June 30, 2023
  Syntax Stratified
LargeCap ETF 		  Syntax Stratified
MidCap ETF 		  Syntax Stratified
SmallCap ETF
  Six Months Ended
June 30, 2023
(Unaudited) 		  Six Months Ended
June 30, 2023
(Unaudited) 		  Six Months Ended
June 30, 2023
(Unaudited)
INVESTMENT INCOME          
Dividend income (net of foreign taxes withheld of $391, $66 and $100, respectively)
 $998,667   $83,480   $151,559
Total Investment Income
998,667   83,480   151,559
EXPENSES          
Management fee
 219,730   23,877   40,683
Other fees
 2,392   259   443
Total Expenses
 222,122   24,136   41,126
Expense Waiver/Reimbursement
 (73,243)   (5,306)   (4,520)
Net Expenses
 148,879   18,830   36,606
NET INVESTMENT INCOME (LOSS)
 849,788   64,650   114,953
REALIZED AND UNREALIZED GAIN (LOSS)          
Net realized gain (loss) from transactions in investment securities
 (2,483,761)   (315,357)   (762,962)
Net realized gain (loss) from in-kind redemptions of investment securities
 2,391,490   207,347   376,780
Net realized gain (loss)
 (92,271)   (108,010)   (386,182)
Net change in unrealized appreciation (depreciation) on investments
 5,901,714   1,025,827   1,507,182
NET REALIZED AND UNREALIZED GAIN (LOSS)
 5,809,443   917,817   1,121,000
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
 $6,659,231   $982,467   $1,235,953
    
See accompanying notes to financial statements.
25

 

Table of Contents
Syntax ETF Trust
Statements of Operations
For the year or period ended June 30, 2023
  Syntax Stratified
U.S. Total Market ETF 		  Syntax Stratified U.S. Total
Market Hedged ETF 		  Syntax Stratified Total
Market II ETF
  Six Months Ended
June 30, 2023
(Unaudited) 		  Six Months Ended
June 30, 2023
(Unaudited) 		  Six Months Ended(a)
June 30, 2023
(Unaudited)
INVESTMENT INCOME          
Total Investment Income
$—   $—   $—
EXPENSES          
Management fee
 57,839   187,256   30,263
Other fees
 377   917   198
Total Expenses
 58,216   188,173   30,461
Expense Waiver/Reimbursement
 (55,128)   (119,878)   (28,845)
Net Expenses
 3,088   68,295   1,616
NET INVESTMENT INCOME (LOSS)
 (3,088)   (68,295)   (1,616)
REALIZED AND UNREALIZED GAIN (LOSS)          
Net realized gain (loss) from transactions in investment securities
 —   (85,975)   —
Net realized gain (loss) from transactions in affiliated investment securities
 (13,256)   (21,395)   1,110
Net realized gain (loss) from in-kind redemptions of affiliated investment securities
 195,222   101,503   —
Net realized gain (loss) from transactions in written options
 —   5,195   —
Net realized gain (loss)
 181,966   (672)   1,110
Net change in unrealized appreciation (depreciation) on investments
 —   (1,470,086)   —
Net change in unrealized appreciation (depreciation) on affiliated investments
 835,911   2,463,323   577,013
Net change in unrealized appreciation (depreciation) on written options
 —   (88,884)   —
Net change in unrealized appreciation/depreciation
 835,911   904,353   577,013
NET REALIZED AND UNREALIZED GAIN (LOSS)
 1,017,877   903,681   578,123
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
 $1,014,789   $835,386   $576,507
(a) Fund commenced operations on June 14, 2022.
See accompanying notes to financial statements.
26

 

Table of Contents
Syntax ETF Trust
Statements of Changes in Net Assets
  Syntax Stratified
LargeCap ETF 		  Syntax Stratified
MidCap ETF
  Six Months Ended
June 30, 2023
(Unaudited) 		  Year Ended
December 31, 2022 		  Six Months Ended
June 30, 2023
(Unaudited) 		  Year Ended
December 31, 2022
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:              
Net investment income (loss)
 $849,788   $1,566,033   $64,650   $94,191
Net realized gain (loss)
 (92,271)   10,384,726   (108,010)   116,559
Net change in unrealized appreciation (depreciation)
 5,901,714   (20,614,829)   1,025,827   (1,692,568)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
 6,659,231   (8,664,070)   982,467   (1,481,818)
DISTRIBUTIONS TO SHAREHOLDERS              
Distributions to Shareholders
 —   (1,615,742)   —   (98,761)
INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS:              
Proceeds from Shares Sold
 4,805,462   40,681,880   —   3,611,175
Cost of Shares Redeemed
 (11,590,461)   (41,868,028)   (902,596)   (1,645,322)
INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS:
 (6,784,999)   (1,186,148)   (902,596)   1,965,853
NET INCREASE (DECREASE) IN NET ASSETS DURING THE PERIOD
 (125,768)   (11,465,960)   79,871   385,274
NET ASSETS AT BEGINNING OF PERIOD
 97,218,577   108,684,537   10,566,361   10,181,087
NET ASSETS AT END OF PERIOD
 $97,092,809   $97,218,577   $10,646,232   $10,566,361
SHARE TRANSACTIONS:              
Shares sold
 75,000   650,000   —   100,000
Shares redeemed
 (175,000)   (650,000)   (25,000)   (50,000)
NET INCREASE (DECREASE)
 (100,000)   —   (25,000)   50,000
    
See accompanying notes to financial statements.
27

 

Table of Contents
Syntax ETF Trust
Statements of Changes in Net Assets
  Syntax Stratified
SmallCap ETF 		  Syntax Stratified
U.S. Total Market ETF
  Six Months Ended
June 30, 2023
(Unaudited) 		  Year Ended
December 31, 2022 		  Six Months Ended
June 30, 2023
(Unaudited) 		  Year Ended
December 31, 2022
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:              
Net investment income (loss)
 $114,953   $191,554   $(3,088)   $188,361
Net realized gain (loss)
 (386,182)   (554,098)   181,966   431,524
Net change in unrealized appreciation (depreciation)
 1,507,182   (3,915,877)   835,911   (2,256,593)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
 1,235,953   (4,278,421)   1,014,789   (1,636,708)
DISTRIBUTIONS TO SHAREHOLDERS              
Distributions to Shareholders
 —   (205,319)   —   (199,218)
INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS:              
Proceeds from Shares Sold
 —   3,505,189   5,151,601   6,300,901
Cost of Shares Redeemed
 (1,152,490)   (2,175,507)   (3,127,092)   (9,439,823)
INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS:
 (1,152,490)   1,329,682   2,024,509   (3,138,922)
NET INCREASE (DECREASE) IN NET ASSETS DURING THE PERIOD
 83,463   (3,154,058)   3,039,298   (4,974,848)
NET ASSETS AT BEGINNING OF PERIOD
 18,255,950   21,410,008   12,057,580   17,032,428
NET ASSETS AT END OF PERIOD
 $18,339,413   $18,255,950   $15,096,878   $12,057,580
SHARE TRANSACTIONS:              
Shares sold
 —   75,000   125,000   150,000
Shares redeemed
 (25,000)   (50,000)   (75,000)   (225,000)
NET INCREASE (DECREASE)
 (25,000)   25,000   50,000   (75,000)
    
See accompanying notes to financial statements.
28

 

Table of Contents
Syntax ETF Trust
Statements of Changes in Net Assets
  Syntax Stratified U.S. Total
Market Hedged ETF 		  Syntax Stratified Total
Market II ETF
  Six Months Ended
June 30, 2023
(Unaudited) 		  Year Ended
December 31, 2022 		  Six Months Ended
June 30, 2023
(Unaudited) 		  For the Period
June 14, 2022(a)
to December 31, 2022
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:              
Net investment income (loss)
 $(68,295)   $408,508   $(1,616)   $123,564
Net realized gain (loss)
 (672)   1,831,889   1,110   289,750
Net change in unrealized appreciation (depreciation)
 904,353   (4,071,870)   577,013   381,384
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
 835,386   (1,831,473)   576,507   794,698
DISTRIBUTIONS TO SHAREHOLDERS              
Distributions to Shareholders
 —   (1,332,695)   —   (146,930)
INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS:              
Proceeds from Shares Sold
 —   4,999,857   —   18,582,640
Cost of Shares Redeemed
 (2,953,846)   (7,769,157)   —   (11,354,943)
INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS:
 (2,953,846)   (2,769,300)   —   7,227,697
NET INCREASE (DECREASE) IN NET ASSETS DURING THE PERIOD
 (2,118,460)   (5,933,468)   576,507   7,875,465
NET ASSETS AT BEGINNING OF PERIOD
 39,593,596   45,527,064   7,875,465   —
NET ASSETS AT END OF PERIOD
 $37,475,136   $39,593,596   $8,451,972   $7,875,465
SHARE TRANSACTIONS:              
Shares sold
 —   125,000   —   500,000
Shares redeemed
 (75,000)   (200,000)   —   (300,000)
NET INCREASE (DECREASE)
 (75,000)   (75,000)   —   200,000
(a) Fund commenced operations on June 14, 2022.
See accompanying notes to financial statements.
29

 

Table of Contents
Syntax ETF Trust
Financial Highlights
Selected data for a share outstanding throughout each period
  Syntax Stratified
LargeCap ETF
  Six Months Ended
June 30, 2023
(Unaudited) 		  Year Ended
December 31, 2022 		  Year Ended
December 31, 2021 		  Year Ended
December 31, 2020 		  For the
Period
January 2, 2019(a)
to December 31, 2019
Net asset value, beginning of period
 $63.75   $71.27   $55.99   $50.73   $40.00
Income (loss) from investment operations:                  
Net investment income (loss)(b)
 0.57   1.03   0.92   0.88   0.84
Net realized and unrealized gain (loss)
 3.82   (7.47)   15.14   5.29   10.68
Total from investment operations
 4.39   (6.44)   16.06   6.17   11.52
Less Distributions from:                  
Net investment income
 —   (1.08)   (0.78)   (0.82)   (0.79)
Net realized gains
 —   —   —   (0.09)   —
Net asset value, end of period
 $68.14   $63.75   $71.27   $55.99   $50.73
Total return(c)
 6.88%(d)   (9.02)%(e)   28.76%   12.18%   28.81%(d)
Ratios and Supplemental Data:                  
Net assets, end of period (000s)
 $97,093   $97,219   $108,685   $41,989   $62,149
Ratios to average net assets:                  
Total expenses
 0.45%(f)   0.45%   0.45%   0.45%   0.80%(f)
Net expenses(g)
 0.30%(f)   0.30%   0.30%   0.30%   0.30%(f)
Net investment income (loss)(g)
 1.74%(f)   1.58%   1.39%   1.83%   1.80%(f)
Portfolio turnover rate(h)
 10%(d)   31%   25%   36%   34%(d)
(a) Fund commenced operations on January 2, 2019.
(b) Per Share numbers have been calculated using the average shares method.
(c) Total return is calculated assuming a purchase of Shares at net asset value per Share on the first day and a sale at net asset value per Share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in this calculation. Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Performance would have been lower had the waivers/reimbursements not been in effect.
(d) Not annualized.
(e) If the Sub-Adviser had not made a special reimbursement during the period ended December 31, 2022, the total return would have been (9.13)%. See Note 6.
(f) Annualized.
(g) Net of expenses waived/reimbursed by the Advisor.
(h) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions of Shares.
See accompanying notes to financial statements.
30

 

Table of Contents
Syntax ETF Trust
Financial Highlights
Selected data for a share outstanding throughout each period
  Syntax Stratified
MidCap ETF
  Six Months Ended
June 30, 2023
(Unaudited) 		  Year Ended
December 31, 2022 		  Year Ended
December 31, 2021 		  For the
Period
January 16, 2020(a)
to December 31, 2020
Net asset value, beginning of period
 $35.22   $40.72   $34.21   $30.00
Income (loss) from investment operations:              
Net investment income (loss)(b)
 0.22   0.35   0.31   0.29
Net realized and unrealized gain (loss)
 3.27   (5.49)   7.14   4.22
Total from investment operations
 3.49   (5.14)   7.45   4.51
Less Distributions from:              
Net investment income
 —   (0.36)   (0.28)   (0.30)
Net realized gains
 —   —   (0.66)   —
Net asset value, end of period
 $38.71   $35.22   $40.72   $34.21
Total return(c)
 9.92%(d)   (12.61)%   21.95%   15.04%(d)
Ratios and Supplemental Data:              
Net assets, end of period (000s)
 $10,646   $10,566   $10,181   $3,421
Ratios to average net assets:              
Total expenses
 0.45%(e)   0.45%   0.45%   0.45%(e)
Net expenses(f)
 0.35%(e)   0.35%   0.34%   0.30%(e)
Net investment income (loss)(f)
 1.22%(e)   0.97%   0.77%   1.10%(e)
Portfolio turnover rate(g)
 22%(d)   45%   50%   52%(d)
(a) Fund commenced operations on January 16, 2020.
(b) Per Share numbers have been calculated using the average shares method.
(c) Total return is calculated assuming a purchase of Shares at net asset value per Share on the first day and a sale at net asset value per Share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in this calculation. Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Performance would have been lower had the waivers/reimbursements not been in effect.
(d) Not annualized.
(e) Annualized.
(f) Net of expenses waived/reimbursed by the Advisor.
(g) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions of Shares.
See accompanying notes to financial statements.
31

 

Table of Contents
Syntax ETF Trust
Financial Highlights
Selected data for a share outstanding throughout each period
  Syntax Stratified
SmallCap ETF
  Six Months Ended
June 30, 2023
(Unaudited) 		  Year Ended
December 31, 2022 		  Year Ended
December 31, 2021 		  For the
Period
May 28, 2020(a)
to December 31, 2020
Net asset value, beginning of period
 $40.57   $50.38   $43.07   $30.00
Income (loss) from investment operations:              
Net investment income (loss)(b)
 0.27   0.44   0.45   0.20
Net realized and unrealized gain (loss)
 2.31   (9.79)   10.44   13.24
Total from investment operations
 2.58   (9.35)   10.89   13.44
Less Distributions from:              
Net investment income
 —   (0.46)   (0.47)   (0.19)
Net realized gains
 —   —   (3.11)   (0.18)
Net asset value, end of period
 $43.15   $40.57   $50.38   $43.07
Total return(c)
 6.37%(d)   (18.55)%(e)   25.72%   44.82%(d)
Ratios and Supplemental Data:              
Net assets, end of period (000s)
 $18,339   $18,256   $21,410   $17,226
Ratios to average net assets:              
Total expenses
 0.45%(f)   0.45%   0.45%   0.45%(f)
Net expenses(g)
 0.40%(f)   0.40%   0.37%   0.30%(f)
Net investment income (loss)(g)
 1.27%(f)   1.01%   0.87%   0.93%(f)
Portfolio turnover rate(h)
 22%(d)   50%   40%   40%(d)
(a) Fund commenced operations on May 28, 2020.
(b) Per Share numbers have been calculated using the average shares method.
(c) Total return is calculated assuming a purchase of Shares at net asset value per Share on the first day and a sale at net asset value per Share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in this calculation. Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Performance would have been lower had the waivers/reimbursements not been in effect.
(d) Not annualized.
(e) If the Sub-Adviser had not made a special reimbursement during the period ended December 31, 2022, the total return would have been (18.68)%. See Note 6.
(f) Annualized.
(g) Net of expenses waived/reimbursed by the Advisor.
(h) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions of Shares.
See accompanying notes to financial statements.
32

 

Table of Contents
Syntax ETF Trust
Financial Highlights
Selected data for a share outstanding throughout each period
  Syntax Stratified
U.S. Total Market ETF
  Six Months Ended
June 30, 2023
(Unaudited) 		  Year Ended
December 31, 2022 		  For the
Period
March 18, 2021(a)
to December 31, 2021
Net asset value, beginning of period
 $40.19   $45.42   $40.00
Income (loss) from investment operations:          
Net investment income (loss)(b)
 (0.01)   0.78   0.56
Net realized and unrealized gain (loss)
 2.95   (5.34)   5.52
Total from investment operations
 2.94   (4.56)   6.08
Less Distributions from:          
Net investment income
 —   (0.63)   (0.62)
Net realized gains
 —   (0.04)   (0.04)
Net asset value, end of period
 $43.13   $40.19   $45.42
Total return(c)
 7.32%(d)   (10.05)%   15.20%(d)
Ratios and Supplemental Data:          
Net assets, end of period (000s)
 $15,097   $12,058   $17,032
Ratios to average net assets:          
Total expenses
 0.75%(e)   0.75%   0.76%(e)
Net expenses(f)
 0.04%(e)   0.04%   0.05%(e)
Net investment income (loss)(f)
 (0.04)%(e)   1.87%   1.64%(e)
Portfolio turnover rate(g)
 1%(d)   1%   2%(d)
(a) Fund commenced operations on March 18, 2021.
(b) Per Share numbers have been calculated using the average shares method.
(c) Total return is calculated assuming a purchase of Shares at net asset value per Share on the first day and a sale at net asset value per Share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in this calculation. Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Performance would have been lower had the waivers/reimbursements not been in effect.
(d) Not annualized.
(e) Annualized.
(f) Net of expenses waived/reimbursed by the Advisor.
(g) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions of Shares.
See accompanying notes to financial statements.
33

 

Table of Contents
Syntax ETF Trust
Financial Highlights
Selected data for a share outstanding throughout each period
  Syntax Stratified U.S. Total
Market Hedged ETF
  Six Months Ended
June 30, 2023
(Unaudited) 		  Year Ended
December 31, 2022 		  For the
Period
June 15, 2021(a)
to December 31, 2021
Net asset value, beginning of period
 $38.63   $41.39   $40.40
Income (loss) from investment operations:          
Net investment income (loss)(b)
 (0.07)   0.37   0.43
Net realized and unrealized gain (loss)
 0.89   (1.83)   1.00(c)
Total from investment operations
 0.82   (1.46)   1.43
Less Distributions from:          
Net investment income
 —   (0.40)   (0.44)
Net realized gains
 —   (0.90)   —
Net asset value, end of period
 $39.45   $38.63   $41.39
Total return(d)
 2.12%(e)   (3.53)%   3.54%(e)
Ratios and Supplemental Data:          
Net assets, end of period (000s)
 $37,475   $39,594   $45,527
Ratios to average net assets:          
Total expenses
 1.00%(f)   1.00%   1.00%(f)
Net expenses(g)
 0.36%(f)   0.38%   0.38%(f)
Net investment income (loss)(g)
 (0.36)%(f)   0.94%   1.96%(f)
Portfolio turnover rate(h)
 0%(e),(i)   35%   88%(e)
(a) Fund commenced operations on June 15, 2021.
(b) Per Share numbers have been calculated using the average shares method.
(c) As required by SEC standard per share data calculation methodology, this represents a balancing figure derived from the other amounts in the financial highlights table that captures all other changes affecting net asset value per share. This per share gain or loss amount does not correlate to the aggregate of the net realized and unrealized gain or loss in the Statements of Operations for the year ended December 31, 2021, primarily due to the timing of sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund’s portfolio.
(d) Total return is calculated assuming a purchase of Shares at net asset value per Share on the first day and a sale at net asset value per Share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in this calculation. Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Performance would have been lower had the waivers/reimbursements not been in effect.
(e) Not annualized.
(f) Annualized.
(g) Net of expenses waived/reimbursed by the Advisor.
(h) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions of Shares.
(i) Amount is less than 0.5%.
See accompanying notes to financial statements.
34

 

Table of Contents
Syntax ETF Trust
Financial Highlights
Selected data for a share outstanding throughout each period
  Syntax Stratified Total
Market II ETF
  Six Months Ended
June 30, 2023
(Unaudited) 		  For the
Period
June 14, 2022(a)
to December 31, 2022
Net asset value, beginning of period
 $39.38   $37.04
Income (loss) from investment operations:      
Net investment income (loss)(b)
 (0.01)   0.41
Net realized and unrealized gain (loss)
 2.89   2.67
Total from investment operations
 2.88   3.08
Less Distributions from:      
Net investment income
 —   (0.62)
Net realized gains
 —   (0.12)
Net asset value, end of period
 $42.26   $39.38
Total return(c)
 7.32%(d)   8.29%(d)
Ratios and Supplemental Data:      
Net assets, end of period (000s)
 $8,452   $7,875
Ratios to average net assets:      
Total expenses
 0.75%(e)   0.75%(e)
Net expenses(f)
 0.04%(e)   0.05%(e)
Net investment income (loss)(f)
 (0.04)%(e)   1.79%(e)
Portfolio turnover rate(g)
 1%(d)   11%(d)
(a) Fund commenced operations on June 14, 2022.
(b) Per Share numbers have been calculated using the average shares method.
(c) Total return is calculated assuming a purchase of Shares at net asset value per Share on the first day and a sale at net asset value per Share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in this calculation. Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Performance would have been lower had the waivers/reimbursements not been in effect.
(d) Not annualized.
(e) Annualized.
(f) Net of expenses waived/reimbursed by the Advisor.
(g) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions of Shares.
See accompanying notes to financial statements.
35

 

Table of Contents
Syntax ETF Trust
Notes to Financial Statements
June 30, 2023 (Unaudited)
Note  1—Organization
Syntax ETF Trust (the “Trust”), was organized under the laws of the State of Delaware as a statutory trust on June 27, 2013 pursuant to an Agreement and Declaration of Trust (the “Trust Deed”). Syntax Stratified LargeCap ETF, Syntax Stratified MidCap ETF, Syntax Stratified SmallCap ETF, Syntax Stratified U.S. Total Market ETF, Syntax Stratified U.S. Total Market Hedged ETF and Syntax Stratified Total Market II ETF (each a “Fund”, and collectively, the “Funds”), are each a series of the Trust.
Each Fund is registered under the U.S. Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end, diversified management investment company. The Funds have no fixed termination date and will continue unless a Fund is otherwise terminated under the terms of the Trust or unless and until required by law. Syntax Advisors, LLC (the “Advisor” or “Syntax Advisors”), a New York limited liability company, serves as the Funds’ investment adviser.
Investment Objectives:
The following Funds seek to provide investment results that, before expenses, correspond generally to the total return performance of publicly traded equity securities of companies comprising the respective index listed below (each, an “Underlying Index”):
Fund   Underlying Index
Syntax Stratified LargeCap ETF
   Syntax Stratified LargeCap Index
Syntax Stratified MidCap ETF
   Syntax Stratified MidCap Index
Syntax Stratified SmallCap ETF
   Syntax Stratified SmallCap Index
Each Fund’s investment objective is to provide long-term total investment returns (capital gains plus income). To achieve the investment objective for Syntax Stratified LargeCap ETF, Syntax Stratified MidCap ETF and Syntax Stratified SmallCap ETF, the Advisor will seek to track the performance of each Underlying Index, which are stratified-weight versions of the widely used S&P 500® Index, S&P MidCap 400® Index and S&P SmallCap 600® Index, respectively. In addition, the Funds may invest in cash and cash equivalents or money market instruments, such as repurchase agreements and money market funds.
The Syntax Stratified U.S. Total Market ETF seeks to obtain capital growth that meets or exceeds the performance of the S&P Composite 1500® Index (“1500 Index”) by investing in Syntax Stratified Weight ETFs (each, an “Underlying Fund” and collectively, the “Syntax Underlying Funds” or “Underlying Funds”), exchange traded funds (“ETFs”) or underlying securities that provide Stratified WeightTM U.S. total equity market exposure. The targeted Underlying Funds and/or the securities will comprise the Syntax Stratified LargeCap ETF, the Syntax Stratified MidCap ETF, and the Syntax Stratified SmallCap ETF, or portfolios of securities that hold comparable securities in comparable classes in a Stratified Weight methodology.
The Syntax Stratified U.S. Total Market Hedged ETF seeks to obtain capital growth that meets or exceeds the performance of the 1500 Index over a full market cycle by investing in the Underlying Funds or underlying securities that provide Stratified WeightTM U.S. total equity market exposure to companies in the 1500 Index while seeking risk-managed growth via a defined risk hedging process. The Fund will also invest in index options for risk management purposes and to seek to generate additional returns. The strategy used to select the Fund’s equity investments and its hedging strategy is called the “Stratified Defined Risk Strategy”. In order to accomplish the Fund’s hedging strategy, Swan Global Investments, LLC utilizes a put options hedging strategy to hedge some of the Fund’s equity exposure. The put strategy is executed using mostly exchange-traded S&P 500 Index put options that have an inverse relationship to the S&P 500 Index. To seek to generate additional returns or hedge, the Options Sub-Adviser also buys and sells shorter-term (generally 1-3 month) put and call options on equity indices, and engages in various longer-term (12-24 month) spread option strategies.
36

 

Table of Contents
Syntax ETF Trust
Notes to Financial Statements  (continued)
June 30, 2023 (Unaudited)
Note  1—Organization–(continued)
The Syntax Stratified Total Market II ETF seeks to obtain capital growth that exceeds the performance of the 1500 Index over a full market cycle by investing in ETFs or underlying securities that provide Stratified WeightTM U.S. total equity market exposure to companies in the 1500 Index.
Refer to the Additional Strategies Information section of each Fund’s prospectus for more information on the methodology of the Syntax Indices.
Note  2—Significant Accounting Policies
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 Financial Services – Investment Companies. The accompanying financial statements of the Funds are prepared in accordance with accounting principles generally accepted in the United States (“GAAP”) and in accordance with ASC as set forth by the FASB. Each Fund maintains its financial records in U.S. dollars and follows the accrual basis of accounting.
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts of assets, liabilities, and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the year or period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies used by the Funds.
In-Kind Seeding
The seeding (capital required to fund initial creation units to commence trading) of the Syntax ETFs was provided by two different methods: cash delivered at closing and in-kind seeding. The Syntax Stratified U.S. Total Market ETF was seeded by cash only. All of the other Syntax ETFs were seeded by a combination of cash and in-kind seeding. The particulars of the in-kind seeding for each of the remaining Syntax ETFs are described below:
Syntax Stratified LargeCap ETF was seeded through the exchange of ETF Shares for the securities held by the Syntax 500 Series of Syntax Index Series LP on January 2, 2019, Syntax Stratified MidCap ETF was seeded through the exchange of ETF Shares for the securities held by the Syntax 400 Series of Syntax Index Series LP on January 16, 2020, Syntax Stratified SmallCap ETF was seeded through the exchange of ETF Shares for the securities held by affiliated funds managed by the Advisor on May 28, 2020, the Syntax Stratified U.S. Total Market Hedged ETF was seeded through the exchange of ETF shares for the securities held by affiliated funds managed by the Advisor and private accounts on June 15, 2021 and Syntax Stratified Total Market II ETF was seeded through the exchange of ETF shares for the securities held by affiliated funds managed by the Advisor and private accounts on June 14, 2022 (the “Transactions”). The Syntax Index Series LP was managed by the Advisor.
The Transactions were structured as tax-free exchanges of shares. The Syntax Stratified LargeCap ETF, Syntax Stratified MidCap ETF and Syntax Stratified SmallCap ETF carried forward the historical cost basis of investments and cumulative unrealized gains and losses as reported by the respective affiliated funds managed by the Advisor prior to the Transactions to align ongoing financial reporting. Investment companies carry substantially all their assets at fair market value for periodic and ongoing reporting. The primary use of historical cost basis is to determine both realized and unrealized gains and losses.
37

 

Table of Contents
Syntax ETF Trust
Notes to Financial Statements  (continued)
June 30, 2023 (Unaudited)
Note  2—Significant Accounting Policies–(continued)
The Transactions resulted in the following:
  Initial Market Value of Securities acquired by Fund   Cost Basis   Unrealized Gain (Loss)
Syntax Stratified LargeCap ETF
 $33,554,457   $35,543,619   (1,989,162)
Syntax Stratified MidCap ETF
 2,785,553   2,336,742   448,811
Syntax Stratified SmallCap ETF
 11,391,517   10,089,586   1,301,931
Net assets and other attributes contributed for Syntax Stratified U.S. Total Market Hedged ETF were $4,064,100 in cash and securities at fair market of $39,364,199 and unrealized appreciation of $19,014,829, in exchange for 1,075,000 shares at a NAV of $40.40. Net assets and other attributes contributed for Syntax Stratified Total Market II ETF were $8,150,000 in cash and securities at fair market of $3,888,326 and unrealized appreciation of $1,363,061 in exchange for 325,000 shares at a NAV of $37.04. The fair value of assets contributed for Syntax Stratified U.S. Total Market Hedged ETF and Syntax Stratified Total Market II ETF became the new cost basis for financial reporting purposes.
Investment Valuation
The Funds value their investments at fair value. The following methodologies are used to determine the market value or fair value of investments. Equity investments (including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. Exchange traded purchased and written options shall be valued at the mean between the current bid and ask prices on the day of valuation.
Effective September 8, 2022, the Adviser has been designated as the Funds' valuation designee pursuant to Rule 2a-5 under the 1940 Act with responsibility for fair valuation subject to oversight by the Funds' Board of Trustees. Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued at fair value using methods determined in good faith by or at the direction of the Board of Trustees (“Trustees”) of the Fund in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
The three levels of the fair value hierarchy are as follows:
• Level 1 — Quoted prices in active markets for identical investments
38

 

Table of Contents
Syntax ETF Trust
Notes to Financial Statements  (continued)
June 30, 2023 (Unaudited)
Note  2—Significant Accounting Policies–(continued)
• Level 2 — Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
• Level 3 — Significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments)
The following table summarizes the value of each Fund’s investments within the fair value hierarchy as of June 30, 2023.
Description Level 1 Level 2 Level 3 Total
Syntax Stratified LargeCap ETF        
INVESTMENTS:        
Common Stock
 $96,896,668 $— $— $96,896,668
Total $96,896,668 $— $— $96,896,668
Syntax Stratified MidCap ETF        
INVESTMENTS:        
Common Stock
 $10,628,270 $— $— $10,628,270
Total $10,628,270 $— $— $10,628,270
Syntax Stratified SmallCap ETF        
INVESTMENTS:        
Common Stock
 $18,315,473 $— $—* $18,315,473
Total $18,315,473 $— $— $18,315,473
Syntax Stratified U.S. Total Market ETF        
INVESTMENTS:        
Exchange-Traded Funds
 $15,089,632 $— $— $15,089,632
Total $15,089,632 $— $— $15,089,632
Syntax Stratified U.S. Total Market Hedged ETF        
INVESTMENTS:        
Exchange-Traded Funds
 $35,096,266 $— $— $35,096,266
Purchased Options
 $2,829,860 $— $— $2,829,860
Total $37,926,126 $— $— $37,926,126
OTHER FINANCIAL INSTRUMENTS:        
Written Options
 $(496,081) $— $— $(496,081)
Total $(496,081) $— $— $(496,081)
Syntax Stratified Total Market II ETF        
INVESTMENTS:        
Exchange-Traded Funds
 $8,447,815 $— $— $8,447,815
Total $8,447,815 $— $— $8,447,815
    
* As of June 30, 2023, level 3 common stocks held in Syntax Stratified SmallCapETF represented 0.0% of the Fund’s net assets.
Refer to the Schedule of Investments for industry classifications.
39

 

Table of Contents
Syntax ETF Trust
Notes to Financial Statements  (continued)
June 30, 2023 (Unaudited)
Note  2—Significant Accounting Policies–(continued)
Distributions
Funds declare and distribute dividends from net investment income to its holders of Shares (“Shareholders”), if any, annually. Capital gain distributions, if any, are generally declared and paid annually. Additional distributions may be paid by the Funds to avoid imposition of federal income and excise tax on any remaining undistributed net investment income and capital gains. The amount and character of income and gains to be distributed are determined in accordance with federal tax regulations which may differ from net investment income and realized gains recognized for GAAP purposes.
Cash
Cash consists of cash held at the Funds’ custodian, State Street Bank and Trust Company.
Investment Transactions and Investment Income
Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Funds are informed of the ex-dividend dates, net of foreign taxes. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis commencing on the settlement date.
Distributions received by the Funds may include a return of capital that is estimated by the Advisor. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains. The Funds may invest in real estate investment trusts (“REITs”) if they are part of the index. REITs determine the characterization of their income annually and may characterize a portion of their distributions as a return of capital or capital gain. The Funds' policy is to record all REIT distributions as dividend income initially and re-designate the prior calendar year’s return of capital or capital gain distributions at year end.
Organizational and Offering costs
Syntax Advisors has agreed to pay all of the Funds’ organizational and offering costs. The organizational and offering costs are not subject to repayment to Syntax Advisors by the Funds.
Federal Income Taxes
For U.S. federal income tax purposes, each Fund intends to qualify as a “regulated investment company” under Sub-chapter M of the Internal Revenue Code of 1986, as amended (a “RIC”), and intends to continue to qualify as a RIC. As a RIC, each Fund will generally not be subject to U.S. federal income tax for any taxable year on income, including net capital gains, that it distributes to its Shareholders, provided that it distributes on a timely basis at least 90% of its “investment company taxable income” determined prior to the deduction for dividends paid by the Funds (generally, its taxable income other than net capital gain) for such taxable year. In addition, provided that the Funds distribute substantially all of their ordinary income and capital gains during each calendar year, the Funds will not be subject to U.S. federal excise tax. Income and capital gain distributions are determined in accordance with tax regulations which may differ from GAAP. These book-tax differences are primarily due to differing treatments for in-kind transactions, losses deferred due to wash sales, corporate actions, distributions in excess of current earnings and capital loss carryover. In addition, Syntax Stratified U.S. Total Market Hedged ETF claimed a portion of the payments made to redeeming shareholders as a distribution for income tax purposes.
40

 

Table of Contents
Syntax ETF Trust
Notes to Financial Statements  (continued)
June 30, 2023 (Unaudited)
Note  2—Significant Accounting Policies–(continued)
GAAP requires the evaluation of tax positions taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. For GAAP purposes, the Funds recognize the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained, assuming examination by tax authorities.
Each Fund has reviewed its tax positions and has determined that no provision for income tax is required in the Fund’s financial statements. Generally, the Funds' tax returns for the prior three fiscal years remain subject to examinations by the Funds’ major tax jurisdictions, which include the United States of America, and the State of New York. The Funds recognize interest and penalties, if any, related to tax liabilities as income tax expense in the Statements of Operations. There were no such expenses for the period ended June 30, 2023.
No income tax returns are currently under examination. The Advisor has analyzed the relevant tax laws and regulations and their application to the Funds’ facts and circumstances and does not believe there are any uncertain tax positions that require recognition of any tax liabilities. Any potential tax liability is also subject to ongoing interpretation of laws by taxing authorities. The tax treatment of each of the Fund’s investments may change over time based on factors including, but not limited to, new tax laws, regulations and interpretations thereof.
During the year ended December 31, 2022, Syntax Stratified U.S. Total Market Hedged ETF utilized capital loss carryforwards of $900,422.
At June 30, 2023, gross unrealized appreciation and gross unrealized depreciation of investment based on cost, including open derivative contracts, for federal income tax purposes were as follows:
  Tax Cost   Gross
Unrealized
Appreciation 		  Gross
Unrealized
Depreciation 		  Net Unrealized
Appreciation
(Depreciation)
Syntax Stratified LargeCap ETF
 $91,514,026   $11,454,644   (6,072,002)   $5,382,642
Syntax Stratified MidCap ETF
 9,800,777   1,506,363   (678,870)   827,493
Syntax Stratified SmallCap ETF
 16,425,442   3,427,281   (1,537,250)   1,890,031
Syntax Stratified U.S. Total Market ETF
 14,505,604   657,324   (73,296)   584,028
Syntax Stratified U.S. Total Market Hedged ETF
 38,441,906   2,167,952   (2,736,547)   (568,595)
Syntax Stratified Total Market II ETF
 7,489,418   958,397   —   958,397
Note  3—Derivative Financial Instruments
Syntax Stratified U.S. Total Market Hedged ETF invests in purchased and written options as part of its hedging strategy.
Purchased Options — Upon the purchase of a call or put option, the premium paid by the Fund is included in the Statements of Assets and Liabilities at Investment in securities of unaffiliated issuers. The amount of the investment is subsequently marked-to-market to reflect the current market value of the option purchased, in accordance with the Fund’s policies on investment valuations discussed above. As the purchaser of an index option, the Fund has the right to receive a cash payment equal to any depreciation in the value of the index below the exercise price of the option (in the case of a put) or equal to any appreciation in the value of the index over the exercise price of the option (in the case of a call) as of the valuation date of the option. If an option which the Fund had purchased expires on the stipulated expiration date, the Fund will realize a loss in the amount of the cost of the option. If the Fund enters into a closing sale transaction, the Fund will realize a gain or loss, depending on whether the sales proceeds from the closing sale transaction are greater or less than the cost of the option. If the Fund exercises a put option on a security, it will realize a gain or loss from the sale of the underlying security, and the proceeds from such sale will be decreased by the premium originally paid. If the Fund exercises a call option on a security, the cost of the security which the Fund purchases upon exercise will be increased by the premium originally paid. The risk associated with purchasing options is limited to the premium originally paid.
41

 

Table of Contents
Syntax ETF Trust
Notes to Financial Statements  (continued)
June 30, 2023 (Unaudited)
Note  3—Derivative Financial Instruments–(continued)
Written Options — Upon the writing of a call or a put option, the premium received by the Fund is included in the Statements of Assets and Liabilities at Written options, at value. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written, in accordance with the Fund’s policies on investment valuations discussed above. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or are closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. When an index option is exercised, the Fund is required to deliver an amount of cash determined by the excess of the exercise price of the option over the value of the index (in the case of a put) or the excess of the value of the index over the exercise price of the option (in the case of a call) at contract termination. If a put option on a security is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund, as a writer of an option, may have no control over whether the underlying securities or other assets may be sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the securities or other assets underlying the written option. The Fund may also bear the risk of not being able to enter into a closing transaction if a liquid secondary market does not exist.
The following is a summary of the location and the Fund’s fair values of derivative investments disclosed, if any, within the Statements of Assets and Liabilities, categorized by primary market risk exposure as of June 30, 2023.
Asset Derivatives    
Location Equity
Contracts 		Total
Purchased options:    
Investments in securities of unaffiliated issuers $2,829,860 $2,829,860
Total $2,829,860 $2,829,860
    
Liability Derivatives    
Location Equity
Contracts 		Total
Written options:    
Written options, at value $(496,081) $(496,081)
Total $(496,081) $(496,081)
The following is a summary of the location and the effect of derivative investments, if any, within the Statements of Operations, categorized by primary market risk exposure for the period ended June 30, 2023.
Realized Gain (Loss) on Derivative Instruments    
Location Equity
Contracts 		Total
Purchased options:    
Net realized gain (loss) from transactions in investment securities $(85,975) $(85,975)
Net realized gain (loss) from transactions in written options $5,195 $5,195
Total $(80,780) $(80,780)
     
42

 

Table of Contents
Syntax ETF Trust
Notes to Financial Statements  (continued)
June 30, 2023 (Unaudited)
Note  3—Derivative Financial Instruments–(continued)
Change in Unrealized Appreciation (Depreciation) on Derivative Instruments    
Location Equity
Contracts 		Total
Purchased options:    
Net change in unrealized appreciation (depreciation) on investment securities $(1,470,086) $(1,470,086)
Net change in unrealized appreciation (depreciation) on written options $(88,884) $(88,884)
Total $(1,558,970) $(1,558,970)
The following is a summary of the ending monthly average volume on derivative activity during the period ended June 30, 2023.
Options:  
Average value of option contracts purchased $3,343,982
Average value of option contracts written 355,072
Note  4—Investment Transactions
Purchases and sales of investments (including purchased options and excluding in-kind transactions and short term investments) for the year or period ended June 30, 2023, were as follows:
  Purchases   Sales
Syntax Stratified LargeCap ETF
 $11,160,918   $10,273,991
Syntax Stratified MidCap ETF
 2,402,069   2,326,893
Syntax Stratified SmallCap ETF
 4,206,305   4,074,331
Syntax Stratified U.S. Total Market ETF
 79,636   83,910
Syntax Stratified U.S. Total Market Hedged ETF
 148,059   489,851
Syntax Stratified Total Market II ETF
 39,863   41,583
For the year or period ended June 30, 2023, the following Funds had in-kind contributions and redemptions in the amounts as follows:
  In-kind Contributions   In-kind Redemptions
Syntax Stratified LargeCap ETF
 $4,804,270   $11,585,765
Syntax Stratified MidCap ETF
 —   902,572
Syntax Stratified SmallCap ETF
 —   1,148,038
Syntax Stratified U.S. Total Market ETF
 5,151,578   3,126,976
Syntax Stratified U.S. Total Market Hedged ETF
 —   2,724,911
Syntax Stratified Total Market II ETF
 —   —
Note  5—Capital Share Transactions
Each Fund will issue or redeem capital shares to certain institutional investors (typically market makers or other broker dealers) on a continuous basis through the Distributor in large blocks of 25,000 capital shares (“Creation Units”). The capital shares are only redeemable in Creation Unit aggregations. Transactions in shares of each Fund are disclosed in detail on the Statements of Changes in Net Assets. Creation Unit transactions are typically conducted in exchange for the deposit or delivery of a designated portfolio of in-kind securities (“Deposit Securities”) and/or cash constituting a substantial replication, or a representation, of the securities included in the Underlying Index.
43

 

Table of Contents
Syntax ETF Trust
Notes to Financial Statements  (continued)
June 30, 2023 (Unaudited)
Note  5—Capital Share Transactions–(continued)
Investors purchasing and redeeming Creation Units may be charged a transaction fee to cover the transfer and other transactional costs it incurs to issue or redeem Creation Units. The standard transaction fee charge is $1,250, $1,000 and $1,500 for Syntax Stratified LargeCap ETF, Syntax Stratified MidCap ETF and Syntax Stratified SmallCap ETF, respectively. The standard transaction fee charge is $50 for Syntax Stratified U.S. Total Market ETF, Syntax Stratified U.S. Total Market Hedged ETF and Syntax Stratified Total Market II ETF.
The Adviser may charge an additional, variable fee (sometimes referred to as a “cash-in-lieu” fee) to the extent a Fund permits Authorized Participants to create or redeem Creation Units for cash, or otherwise substitute cash for any Deposit Security. Such cash-in-lieu fees are payable to a fund and are charged to defray the transaction cost to a fund of buying (or selling) Deposit Securities, to cover spreads and slippage costs and to protect existing shareholders. The cash-in-lieu fees will be negotiated between the Adviser and the Authorized Participant and may be different for any given transaction, Business Day or Authorized Participant; however, in no instance will such cash-in-lieu fees exceed 2% of the value of a Creation Unit. From time to time, the Adviser, in its sole discretion, may adjust a fund’s cash-in-lieu fees or reimburse Authorized Participants for all or a portion of the creation or redemption transaction fees.
Note  6—Fund Fees and Expenses
Investment Management Fees: Each Fund pays the Advisor monthly, in arrears, a unitary management fee based on a percentage of the Fund’s average daily net assets that is subject to an Expense Limitation Agreement. The management fee rate for each fund is as follows:
  Annual Rate
Syntax Stratified LargeCap ETF
 0.45%
Syntax Stratified MidCap ETF
 0.45%
Syntax Stratified SmallCap ETF
 0.45%
Syntax Stratified U.S. Total Market ETF
 0.75%
Syntax Stratified U.S. Total Market Hedged ETF
 1.00%
Syntax Stratified Total Market II ETF
 0.75%
Syntax Stratified U.S. Total Market ETF, Syntax Stratified U.S. Total Market Hedged ETF and Syntax Stratified Total Market II ETF may incur “Acquired Fund Fees and Expenses.” Acquired Fund Fees and Expenses reflect each Fund’s pro rata share of the fees and expenses incurred by investing in other investment companies, including ETFs. The impact of Acquired Fund Fees and Expenses are included in the total returns of the Fund unless they are waived. The Advisor to the Funds has contractually agreed to reimburse a portion of its management fees for the Fund in an amount equal to the Acquired Fund Fees and Expenses, if any, attributable to the Fund in other series of the Trust or, for Syntax Stratified U.S. Total Market Hedged ETF, funds advised or sub-advised by Vantage Consulting Group Inc., the equity sub-adviser, or Swan Global Investments, LLC, the options sub-adviser, through May 1, 2024 for Syntax Stratified U.S. Total Market ETF, Syntax Stratified U.S. Total Market Hedged ETF and Syntax Stratified Total Market II ETF. The Advisor reimbursed management fees of $24,281, $54,338 and $12,705 for acquired fund fees and expenses in affiliated funds for Syntax Stratified U.S. Total Market ETF, Syntax Stratified U.S. Total Market Hedged ETF and Syntax Stratified Total Market II ETF, respectively. These amounts are included in Expense Waiver/Reimbursement in the Statements of Operations and are not subject to recoupment.
The Advisor provides investment advisory, supervisory and administration services under an investment management agreement. The Advisor has agreed to waive its fees and/or absorb expenses of the Funds to ensure that Total Annual Operating Expenses (excluding any (i) interest expense, (ii) taxes, (iii) acquired fund fees and expenses (only with respect to each of the Syntax Stratified LargeCap, MidCap and SmallCap ETFs), (iv) brokerage expenses and other expenses (such as stamp taxes) connected with the execution of portfolio transactions or in connection with creation and redemption transactions, (v) expenses associated with shareholder meetings, (vi) compensation and expenses of the Independent Trustees, (vii) compensation and expenses of the Trust’s chief compliance officer and his or her staff, (viii)
44

 

Table of Contents
Syntax ETF Trust
Notes to Financial Statements  (continued)
June 30, 2023 (Unaudited)
Note  6—Fund Fees and Expenses–(continued)
distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act, (ix) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith, and (x) extraordinary expenses of the Fund) ("Excluded Expenses") do not exceed the following expense limitations shown below.
In addition, the Adviser has agreed to waive its fees and/or absorb Excluded Expenses of each fund to ensure that Total Annual Operating Expenses do not exceed the following expense limitation:
  Expense Limit
Syntax Stratified LargeCap ETF
 0.30%
Syntax Stratified MidCap ETF
 0.35%
Syntax Stratified SmallCap ETF
 0.40%
Syntax Stratified U.S. Total Market ETF
 0.35%
Syntax Stratified U.S. Total Market Hedged ETF
 0.65%
Syntax Stratified Total Market II ETF
 0.35%
These arrangements cannot be terminated prior to one year from the effective date of the prospectus without the approval of the Board of Trustees. In connection with this arrangement, the Advisor has waived and reimbursed the following amounts in expenses for the year or period ended June 30, 2023 as noted below.
  Expenses Waived and Reimbursed
Syntax Stratified LargeCap ETF
 $73,243
Syntax Stratified MidCap ETF
 5,306
Syntax Stratified SmallCap ETF
 4,520
Syntax Stratified U.S. Total Market ETF
 30,847
Syntax Stratified U.S. Total Market Hedged ETF
 65,540
Syntax Stratified Total Market II ETF
 16,140
Subject to approval by the Funds' Board of Trustees, any waiver and/or reimbursement under an expense limitation agreement entered into between the Advisor and the Trust is subject to repayment by a Fund within 36 months following the month in which fees are waived or reimbursed, if such repayment does not cause the Fund’s expense ratio (after the repayment is taken into account) to exceed both: (i) the expense limit in place at the time such amounts were waived or reimbursed; and (ii) the Fund’s current expense limit as noted above. At June 30, 2023, the waivers and reimbursements subject to repayment are as follows:
  2023   2024   2025   2026
Syntax Stratified LargeCap ETF
 $26,293   $120,877   $149,044   $73,243
Syntax Stratified MidCap ETF
 2,220   9,028   9,684   5,306
Syntax Stratified SmallCap ETF
 9,714   17,104   9,526   4,520
Syntax Stratified U.S. Total Market ETF
 —   58,102   40,344   30,847
Syntax Stratified U.S. Total Market Hedged ETF
 —   86,619   152,651   65,540
Syntax Stratified Total Market II ETF
 —   —   27,622   16,140
Distributor, Distribution and Service Fees: Foreside Fund Services, LLC (“Distributor”) is the Distributor of Fund shares. The Distributor will not distribute Fund shares in less than Creation Units and does not maintain a secondary market in Fund shares. The Distributor may enter into selected dealer agreements with other broker-dealers or other qualified financial institutions for the sale of Creation Units of Fund shares.
45

 

Table of Contents
Syntax ETF Trust
Notes to Financial Statements  (continued)
June 30, 2023 (Unaudited)
Note  6—Fund Fees and Expenses–(continued)
Each Fund has a distribution and service plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act, to which payments at an annual rate of up to 0.25% of the Fund’s average daily net assets may be made for the sale and distribution of its Fund shares. No payments pursuant to the Distribution Plan will be made through at least the next twelve (12) months of operations. Additionally, the implementation of any such payments would be approved by the Board prior to implementation.
Vantage Consulting Group, Inc. (“Vantage” or the “Sub-Adviser”) serves as the sub-adviser to the Funds. It performs both the day-to-day management of the Funds and places orders for the purchase and sale of individual securities for the Funds (equity portfolio only in the case of SHUS). Syntax Advisors compensates Vantage for its services to the Funds.
Swan Global Investments, LLC ("Swan") serves as the options sub-adviser to SHUS. It performs both the day-to-day management of the option strategy for SHUS, and places orders for the purchase and sale of options for SHUS. Syntax Advisors compensates Swan for its services to the Funds.
During the year ended December 31, 2022, the Sub-Adviser reimbursed Syntax Stratified LargeCap ETF and Syntax Stratified SmallCap ETF in the amounts of $123,526 and $26,029, respectively, in connection with trading matters.
An interested Trustee and officers of the Trust are affiliated with the Advisor and receive no compensation from the Trust for serving as officers and/or Trustee.
Note  7—Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience and knowledge of management, the Funds expect the risk of loss to be remote.
Note  8—Risks
As with all investments, there are certain risks of investing in each Fund. Fund Shares will change in value, and you could lose money by investing in the Funds.
Market Risk: Overall securities market risks will affect the value of individual instruments in which the Funds invests, and the market price of a security may fluctuate, sometimes rapidly and unpredictably. U.S. securities markets may additionally be impacted by negative external and or direct and indirect economic factors such as global trade policies, economic growth and market conditions, interest rates, war, terrorism, natural and environmental disasters, public health emergencies and political events. The adverse impact of any one or more of these events on the market value of fund investments could be significant and cause losses.
Market Disruption Risk: Geopolitical and other events, including but not limited to war, terrorism, economic uncertainty, trade disputes and public health crises have led, and in the future may lead, to disruptions in the U.S. and world economies and markets, which in turn may increase financial market volatility and have significant adverse direct or indirect effects on the Fund and its investments. Market disruptions could cause the Fund to lose money and encounter operational difficulties. In particular, the global COVID-19 pandemic has had, and is expected to continue to have, a severely adverse impact on the economies of many nations, individual companies and the market in general. The ongoing effects, duration and costs of the COVID-19 pandemic are impossible to predict, and the circumstances surrounding the COVID-19 pandemic will continue to evolve, including the risk of future increased rates of infection due to low vaccination rates and/or the lack of effectiveness of current vaccines against new variants. On February 24, 2022, Russia launched an invasion of Ukraine which has resulted in increased volatility in various financial markets and across various sectors. The U.S. and other countries, along with certain international organizations, have imposed economic sanctions on Russia and certain Russian individuals, banking entities and corporations as a response to the
46

 

Table of Contents
Syntax ETF Trust
Notes to Financial Statements  (continued)
June 30, 2023 (Unaudited)
Note  8—Risks–(continued)
invasion. The extent and duration of the military action, resulting sanctions, future market disruptions in the region and potential negative impact on other regional and global economic markets of the world are impossible to predict. Such major events have caused temporary market closures, supply chain disruptions, extreme volatility, severe losses, reduced liquidity and increased trading costs. Further, such events may have an impact on the Fund and its investments and could impact the Fund’s ability to purchase or sell securities or cause elevated tracking error and increased premiums or discounts to the Fund’s NAV.
Strategy Risk: The performance of a Syntax stratified-weight version of a major benchmark index may vary significantly from its capitalization-weighted or equal-weighted counterpart due to their differing weighting methodologies. The Syntax indices diversify by adjusting stock weights every quarter to target sector weights grouped by related business risks. Neither a capitalization-weighted benchmark index nor an equally weighted benchmark index with the same constituents has target sector weighting rules; individual security weights vary according to their weighted average market value or the total number of constituents, respectively. As a result, a benchmark index may, at any point in time, hold larger proportions of outperforming stocks and/or sectors. Conversely, a benchmark index may hold smaller proportions of underperforming stocks and/or sectors. Accordingly, a benchmark index may significantly outperform a stratified-weight version of the same index. There is no assurance that the performance of a fund tracking a Syntax stratified-weight benchmark index will be positive, avoid a loss of capital, or meet or exceed that of either a fund tracking a similarly constituted capitalization-weighted or equally weighted benchmark index over any period of time.
Equity Securities Risk: The value of equity securities may increase or decrease as a result of market fluctuations, changes in interest rates and perceived trends in stock prices.
Large-Capitalization Securities Risk: Returns on investments in securities of large companies could trail the returns on investments in securities of smaller and mid-sized companies. Larger companies may be unable to respond as quickly as smaller and mid-sized companies to competitive challenges or to changes in business, product, financial, or market conditions. Larger companies may not be able to maintain growth at the high rates that may be achieved by well-managed smaller and mid-sized companies. Under certain market conditions the capitalization of a large-size company could decline to the extent that it exhibits the characteristics of a mid-capitalization company.
Small-And Mid-Capitalization Securities Risk: Investing in securities of small and mid-sized companies may involve greater volatility than investing in larger and more established companies because small and mid-sized companies (i) can be subject to more abrupt or erratic share price changes than larger, more established companies, (ii) are more vulnerable to adverse business and economic developments, and (iii) are more thinly traded and less liquid relative to those of larger companies.
Passive Strategy/Index Risk: Each Fund may invest in Syntax Underlying Funds or securities that are managed with a passive investment strategy, attempting to track the performance of an unmanaged index of securities. This differs from an actively-managed fund, which typically seeks to outperform a benchmark index. Because the Syntax Underlying Funds or securities are designed to track the performance of an index, securities may be purchased, retained or sold at times when a more actively managed fund would not do so. As a result, the Fund may hold constituent securities of the Index regardless of the current or projected performance of a specific security or a particular industry or market sector. Maintaining investments in securities regardless of market conditions or the performance of individual securities could cause the Syntax Underlying Fund's or securities’ return to be lower than if the Fund employed an active strategy. There is no guarantee that the Syntax Underlying Fund’s or securities’ investment results will have a high degree of correlation to those of their respective benchmark or that the Fund will achieve its investment objective.
Market Trading Risk: Each Fund faces numerous market trading risks, including the potential lack of an active market for Fund Shares, losses from trading in secondary markets, periods of high volatility and disruption in the creation/redemption process of each Fund. Any of these factors, among others, may lead to the Fund Shares trading at a
47

 

Table of Contents
Syntax ETF Trust
Notes to Financial Statements  (continued)
June 30, 2023 (Unaudited)
Note  8—Risks–(continued)
premium or discount to NAV. Accordingly, investors may pay more than NAV when purchasing Shares or receive less than NAV when selling Shares. Such divergence is likely to be greater under stressed market conditions.
Options Risk: Purchased put options may expire worthless and may have imperfect correlation to the value of the Syntax Stratified U.S. Total Market Hedged ETF’s sector-based investments. Written call and put options may limit the Fund’s participation in equity market gains and may amplify losses in market declines. The Fund’s losses are potentially large in a written put or call transaction. If unhedged, written calls expose the Fund to potentially unlimited losses.
Options Based Risk: Syntax Stratified U.S. Total Market Hedged ETF’s purchase of exchange-traded put options based upon the S&P 500 Index to hedge against downward movements in the Underlying Funds or Securities creates the risk that the hedge may not be effective because the Underlying Funds or Securities contain more constituents and at different weightings than the S&P 500 Index. At times, the performance of the Underlying Funds or Securities can and will differ from the S&P 500 Index upon which the options are based. The implementation of the Defined Risk Strategy also will involve additional purchases and sales of options based on indices other than the S&P 500, which also could create options basis risk.
Derivatives Risk: Syntax Stratified U.S. Total Market Hedged ETF invests in derivatives. Derivatives are financial instruments that derive their performance from an underlying reference asset, such as an index. The return on a derivative instrument may not correlate with the return of its underlying reference asset. Derivatives are subject to a number of risks described in the Fund’s Prospectus, such as market risk and issuer-specific risk. Derivatives can be volatile and may be less liquid than other securities. As a result, the value of an investment in the Fund or the Syntax Underlying Funds may change quickly and without warning and you may lose money.
Please see the Funds' prospectus for a complete discussion of these and other risks.
Note  9—Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date on which the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
48

 

Table of Contents
Syntax ETF Trust
Other Information
June 30, 2023 (Unaudited)
Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of Fund shares and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2023 to June 30, 2023.
The table below illustrates your Fund’s cost in two ways:
Based on actual fund return ——This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from each Fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, 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 given for the Fund under the heading “Expenses Paid During Period”.
Based on hypothetical 5% return ——This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Funds had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as brokerage commissions on purchases and sales of Fund shares. Therefore, the hypothetical 5% return section of the table 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 transaction costs were included, your costs would have been higher.
    Actual   Hypothetical (assuming a 5%
return before expenses)
  Annualized
Expense Ratio 		  Ending Account
Value 		  Expenses Paid
During Period 		  Ending Account
Value 		  Expenses Paid
During Period(a)
Syntax Stratified LargeCap ETF
 0.30%   $1,068.80   $1.54   $1,023.30   $1.51
    
(a) Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181 for the Fund and the Hypothetical numbers shown, then divided by 365.
    
    Actual   Hypothetical (assuming a 5%
return before expenses)
  Annualized
Expense Ratio 		  Ending Account
Value 		  Expenses Paid
During Period 		  Ending Account
Value 		  Expenses Paid
During Period(a)
Syntax Stratified MidCap ETF
 0.35%   $1,099.20   $1.82   $1,023.10   $1.76
    
(a) Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181 for the Fund and the Hypothetical numbers shown, then divided by 365.
    
49

 

Table of Contents
Syntax ETF Trust
Other Information  (continued)
June 30, 2023 (Unaudited)
    Actual   Hypothetical (assuming a 5%
return before expenses)
  Annualized
Expense Ratio 		  Ending Account
Value 		  Expenses Paid
During Period 		  Ending Account
Value 		  Expenses Paid
During Period(a)
Syntax Stratified SmallCap ETF
 0.40%   $1,063.70   $2.05   $1,022.80   $2.01
    
(a) Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181 for the Fund and the Hypothetical numbers shown, then divided by 365.
    
    Actual   Hypothetical (assuming a 5%
return before expenses)
  Annualized
Expense Ratio 		  Ending Account
Value 		  Expenses Paid
During Period 		  Ending Account
Value 		  Expenses Paid
During Period(a)
Syntax Stratified U.S. Total Market ETF
 0.04%   $1,073.20   $0.21   $1,024.60   $0.20
    
(a) Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181 for the Fund and the Hypothetical numbers shown, then divided by 365.
    
    Actual   Hypothetical (assuming a 5%
return before expenses)
  Annualized
Expense Ratio 		  Ending Account
Value 		  Expenses Paid
During Period 		  Ending Account
Value 		  Expenses Paid
During Period(a)
Syntax Stratified U.S. Total Market Hedged ETF
 0.36%   $1,021.20   $1.80   $1,023.00   $1.81
    
(a) Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181 for the Fund and the Hypothetical numbers shown, then divided by 365.
    
    Actual   Hypothetical (assuming a 5%
return before expenses)
  Annualized
Expense Ratio 		  Ending Account
Value 		  Expenses Paid
During Period 		  Ending Account
Value 		  Expenses Paid
During Period(a)
Syntax Stratified Total Market II ETF
 0.04%   $1,073.20   $0.21   $1,024.60   $0.20
    
(a) Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181 for the Fund and the Hypothetical numbers shown, then divided by 365.
50

 

Table of Contents
Syntax ETF Trust
Other Information  (continued)
June 30, 2023 (Unaudited)
Liquidity Risk Management Program
Each Fund has implemented a written liquidity risk management program (Program) and related procedures to manage its liquidity in accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (Liquidity Rule). The Liquidity Rule defines “liquidity risk” as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of the remaining investors’ interests in the fund. The Funds’ Board of Trustees has designated the investment adviser to serve as the administrator of the Program and the related procedures. As part of the Program, the administrator reviews each Fund’s investment strategy and the liquidity of its investments, short-term and long-term cash flow projections, and the relationship between the Fund’s portfolio liquidity and its arbitrage mechanism and its efficiency including the prices and spreads at which a Fund’s shares trade. Under the Program, the administrator assesses, manages, and periodically reviews each Fund’s liquidity risk, and is responsible for making certain reports to the Funds’ Board of Trustees and the Securities and Exchange Commission (SEC) regarding the liquidity of each Fund’s investments, and to notify the Board of Trustees and the SEC of certain liquidity events specified in the Liquidity Rule. The liquidity of the Funds’ portfolio investments is based on a number of factors including, but not limited to, relevant market, trading and investment-specific considerations under the Program.
At a meeting of the Funds’ Board of Trustees, the administrator provided a written report to the Funds’ Board of Trustees pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the period June 1, 2022 through May 31, 2023 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor each Funds’ liquidity risk.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to each Fund’s prospectus for more information regarding a Fund’s exposure to liquidity risk and other principal risks to which an investment in a Fund may be subject.
51

 

Table of Contents
Syntax ETF Trust
Other Information  (continued)
June 30, 2023 (Unaudited)
Approval of Investment Advisory and Sub-Advisory Agreements
At a meeting held in February 2023, the Board of Trustees of the Trust (the “Board”) evaluated proposals under the same terms and conditions of the original Investment Advisory Agreement and each of the Sub-Advisory Agreements (collectively, the “Agreements”) between the Trust and Syntax Advisors, LLC (the “Advisor” or “Syntax”) and Vantage Consulting Group Inc. (the “Sub-Adviser”) and Swan Global Investments Inc. (the “Options Sub-Adviser”, and together with the “Sub-Adviser”, the “Sub-Advisers”) with respect to  renewals for the Syntax Stratified LargeCap ETF, Syntax Stratified MidCap ETF, Syntax Stratified SmallCap ETF, Syntax Stratified U.S. Total Market ETF,  Syntax Stratified U.S. Total Market Hedged ETF and the Syntax Stratified Total Market II ETF (collectively, the “Syntax ETFs”). The Trustees who are not “interested persons” of the Trust within the meaning of the Investment Company Act of 1940, as amended (the “Independent Trustees”), also met separately to consider the Agreements. The Independent Trustees were advised by legal counsel throughout the process.
To evaluate the Agreements, the Board requested and received such materials as the Board, with the advice of counsel, deemed reasonably necessary. In deciding whether to approve the Agreements, the Board considered various factors, including the (i) nature, extent and quality of services provided by the Advisor and the Sub-Advisers, as applicable, with respect to the Syntax ETFs under the Agreements, (ii) investment performance of the Syntax ETFs, (iii) profits realized by the Advisor and its affiliates from its relationship with the Trust, (iv) fees charged to comparable funds, (v) other benefits to the Advisor, and (vi) extent to which economies of scale would be shared as the Syntax ETFs grow.
Nature, Extent and Quality of the Services to be Provided. The Trustees considered the nature, extent and quality of the services expected to be provided by the Advisor and Sub-Advisers. In particular, the Trustees considered the proposed investment strategies and approach for the various Syntax ETFs; the experience, capability and integrity of Syntax’s senior management; the financial resources of Syntax; Syntax’s management oversight process; the continuous and regular portfolio management services to be provided by the Sub-Advisers; the experience of the Sub-Advisers with the proposed investment strategies; and the professional qualifications and experience of each Sub-Adviser’s portfolio management team. The Trustees also considered the advisory and other services to be provided by Syntax.
Based on these and other considerations, the Trustees determined that Syntax and each of the Sub-Advisers can provide investment and related services that are appropriate in scope and extent in light of the proposed investment programs for the applicable Syntax ETFs.
Investment Performance. The Trustees considered the Sub-Advisers’ past performance, investment advisory experience, capabilities and resources. The Trustees recognized that not all Syntax ETF strategies are yet in existence and therefore had no historical performance as ETFs for the Trustees to review. However, the Trustees considered the performance history of the Syntax ETFs and they considered Syntax’s representation of simulated back-tested performance for strategy performance. On the basis of this information and the Trustees’ assessment of the nature, extent and quality of the services to be provided by Syntax and the Sub-Advisers, the Trustees concluded that the Sub-Advisers are capable of generating a level of investment performance that is appropriate in light of the Syntax ETFs’ proposed investment objectives, policies and strategies.
Advisory and Sub-Advisory Fees and Total Expense Ratio. The Trustees considered the proposed unitary fee and anticipated total expense ratios of the Syntax ETFs, including information comparing the advisory fees and total expense ratios of the Syntax ETFs to the investment advisory fees and total expense ratios of comparable investment companies in their respective peer universes. The Trustees also considered the applicable fees to be charged by each of the Sub-Advisers for their respective sub-advisory services. The Trustees further noted that Syntax proposed to enter into an expense limitation arrangement with the Syntax ETFs, which could result in Syntax waiving fees for the benefit of shareholders. On the basis of these and other considerations, together with the other information it considered, the Trustees determined that the advisory and sub-advisory fees to be received by Syntax and the Sub-Advisers under the Agreements are reasonable in light of the services to be provided.
52

 

Table of Contents
Syntax ETF Trust
Other Information  (continued)
June 30, 2023 (Unaudited)
Cost of Services to be Provided and Profitability. The Trustees noted that certain of the Syntax ETFs were not yet in existence and therefore no revenue, cost or profitability data was available for the Board to review. However, the Trustees considered comparable information for the operational Syntax ETFs and the nature of the unitary fee structure under which the Advisor pays most other service provider fees out of its management fee for the Syntax ETFs. They reviewed projected profitability information provided by Syntax regarding its costs of procuring advisory services as well as the costs of providing administration, transfer agency and other services to the Syntax ETFs. Based on this information, the Trustees determined that the profitability of Syntax and its affiliates from their relationships with the Syntax ETFs was not anticipated to be excessive.
Economies of Scale. In evaluating the extent to which the proposed fees payable under the Agreements reflected economies of scale or would permit economies of scale to be realized in the future, the Trustees noted that they would have the opportunity to periodically reexamine the appropriateness of the advisory fees payable by the Syntax ETFs to Syntax, and the sub-advisory fees payable by Syntax to the Sub-Advisers, in light of any economies of scale experienced in the future.
Fall-Out Benefits. The Trustees considered any other benefits expected to be derived by Syntax, its affiliates, and/or the Sub-Advisers from their relationships with the Syntax ETFs. No such benefits were expected. The Trustees noted that they would have the opportunity in the future to review the benefits over time.
Other Considerations. The Trustees considered the investment objectives of the Syntax ETFs. The Trustees noted that Syntax has made a commitment to the recruitment and retention of quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Syntax ETFs in a professional manner that is consistent with the best interests of the Syntax ETFs and their shareholders. In this regard, the Trustees favorably considered Syntax’s procedures and policies to enforce compliance and oversee the portfolio management activities of the Sub-Advisers.
Conclusion. After consideration of the factors described above, none of which was dispositive in and of itself and may have been weighed differently by each Trustee, as well as other secondary factors, the Trustees, including all of the Independent Trustees, concluded that the approval of the Agreements would be in the best interests of the Syntax ETFs and their respective shareholders and unanimously approved the Agreements.
53

 

Table of Contents
Syntax ETF Trust
Other Information  (continued)
June 30, 2023 (Unaudited)
Premium/Discount Information
Information regarding how often the Shares of each Fund traded on the exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund during the past calendar year can be found at www.syntaxadvisors.com.
Proxy Voting Policies and Procedures and Records
A description of the Funds' proxy voting policies and procedures that are used by the Funds' investment adviser to vote proxies relating to the Funds' portfolio of securities are available (i) without charge, upon request by calling 1-866-972-4492 (toll free) or (ii) on the SEC’s website at www.sec.gov. Information regarding how the investment adviser voted for the 12-month period ended June 30, is available by August 31 of each year by calling the same number, on the SEC’s website at www.sec.gov, and on the Funds' website at www.syntaxadvisors.com.
Quarterly Portfolio Schedule
Following the Funds' first and third fiscal quarter-ends, a complete schedule of investments is filed with the SEC as an exhibit on Form N-PORT, which can be found on the SEC’s website at www.sec.gov. The Funds' schedules of investments are available upon request, without charge, by calling 1-866-972-4492 (toll free) and on the Funds’ website at www.syntaxadvisors.com.
Other information regarding the Funds is available on the Funds’ website at www.syntaxadvisors.com as well as on the website of the Securities and Exchange Commission at www.sec.gov.
54

 

Table of Contents
Syntax ETF Trust
(Unaudited)
Fund Advisor
Syntax Advisors, LLC
One Liberty Plaza 46th FI.
New York, NY 10006
Administrator, Custodian and Transfer Agent
State Street Bank and Trust Company
One Congress Street, Suite 1
Boston, MA 02111
Distributor
Foreside Fund Services, LLC
Three Canal Plaza, Suite 100
Portland, ME 04101
Independent Registered Public Accounting Firm
Cohen & Company, Ltd.
1350 Euclid Ave., Suite 800
Cleveland, OH 44115