EXCHANGE TRADED CONCEPTS TRUST
ETC 6 Meridian Hedged Equity-Index Option Strategy ETF
ETC 6 Meridian Low Beta Equity Strategy ETF
ETC 6 Meridian Mega Cap Equity ETF
ETC 6 Meridian Small Cap Equity ETF
ETC 6 Meridian Quality Growth ETF
Annual Report
November 30, 2022
ETC 6 Meridian
Table of Contents
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55 |
The Funds file their complete schedule of holdings with the U.S. Securities and Exchange Commission (the “Commission”) for the first and third quarters of each fiscal year as an exhibit to each Fund’s report on Form N-PORT within sixty days after the end of the period. Each Fund’s Form N-PORT reports are available on the Commission’s website at https://www.sec.gov.
Exchange Traded Concepts, LLC’s proxy voting policies and procedures are attached to the Funds’ Statement of Additional Information (the “SAI”). The SAI, as well as information relating to how each Fund voted proxies relating to each Fund’s securities during the most recent 12-month period ended June 30, is available without charge, upon request, by calling 866-SIXM-ETF (749-6383) and on the Commission’s website at https://www.sec.gov.
Hedged Equity-Index Option Strategy ETF
Management Discussion of Fund Performance
(Unaudited)
Dear Shareholders,
Thank you for your investment in the ETC 6 Meridian Hedged Equity-Index Option Strategy ETF (the “Fund”). The following information pertains to the fiscal year December 1, 2021 through November 30, 2022.
The Fund is an actively managed exchange-traded fund that seeks to provide capital appreciation by investing in a portfolio of equity securities, mostly common stocks, while selling call options against market indices or funds. The Fund may invest in securities of companies of any capitalization. The Fund’s sub-adviser, Madison Avenue Financial Solutions, LLC (the “Sub-Adviser”), employs a strategy pairing a portfolio of equity securities with an index call option writing overlay designed to reduce the exposure of the Fund to broad equity market risk with the goal of providing good risk-adjusted returns. Pursuant to this investment strategy, the Sub-Adviser will sell (or write) call options on broad equity market indices or funds. In constructing the equity portfolio, the Sub-Adviser uses quantitatively-driven methods emphasizing high quality large-capitalization stocks.
Utilizing the same underlying holdings as the ETC 6 Meridian Mega Cap Equity ETF, which saw strong performance from positioning in the top quintile of low beta (low exposure to market risk) and high yield (high dividends or income paid) factors, the Fund was also able to provide positive relative performance from its option writing overlay. The options reduced the overall beta of the portfolio relative to the S&P 500® Index, and, in the tough and volatile equity environment that occurred over the fiscal year, the options proved to be a positive aspect of the Fund’s strategy.
For the fiscal year ended November 30, 2022, the Fund’s market price increased 11.95%, and the net asset value increased 11.44%, while the Cboe S&P 500® BuyWrite Index, a broad market index that also writes options against its portfolio, decreased 6.82% over the same period.
The Fund commenced operations on May 8, 2020, with 9,775,000 shares outstanding as of November 30, 2022.
We appreciate your investment in the ETC 6 Meridian Hedged Equity-Index Option Strategy ETF.
Sincerely,
J. Garrett
Stevens,
Chief Executive Officer
Exchange Traded Concepts, Adviser to the
Fund
The Cboe S&P 500® BuyWrite Index is a benchmark index designed to show the hypothetical performance of a portfolio that engages in a buy-write strategy using S&P 500® index call options.
This material represents an assessment of the market environment at a specific point in time and is not intended to be a forecast of future events, or a guarantee of future results. This information should not be relied upon by the reader as research or investment advice.
1
ETC 6 Meridian
Hedged Equity-Index Option Strategy ETF
Management Discussion of Fund Performance
(Unaudited) (Concluded)
Growth of a $10,000 Investment‡
(at Net Asset Value)‡
|
AVERAGE ANNUAL
TOTAL RETURN | |||||
|
One
Year |
Annualized
| ||||
|
Net Asset Value |
Market Price |
Net Asset Value |
Market Price | ||
|
ETC 6 Meridian Hedged Equity-Index Option Strategy ETF |
11.44% |
11.95% |
11.89% |
12.12% | |
|
Cboe S&P 500® BuyWrite Index |
-6.82% |
-6.82% |
10.01% |
10.01% | |
* Fund commenced operations on May 8, 2020.
‡ Unaudited
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that shares, when redeemed or sold in the market, may be worth more or less than their original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike the Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the Index returns, the performance would have been lower. Please note that one cannot invest directly in an unmanaged index.
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. A prospectus, containing this and other information, is available at www.6meridianfunds.com. Investors should read the prospectus carefully before investing. There are risks associated with investing, including possible loss of principal.
Current performance may be lower or higher than the performance data shown above.
Performance data current to the most recent month-end is available at www.6meridianfunds.com.
There are no assurances that the Fund will meet its stated objective.
The Fund’s holdings and allocations are subject to change and should not be considered recommendations to buy individual securities.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
2
ETC 6 Meridian
Low Beta Equity Strategy ETF
Management Discussion of Fund Performance
(Unaudited)
Dear Shareholders,
Thank you for your investment in the ETC 6 Meridian Low Beta Equity Strategy ETF (the “Fund”). The following information pertains to the fiscal year of December 1, 2021 through November 30, 2022.
The Fund is an actively managed exchange-traded fund that seeks to provide capital appreciation by investing in equity securities, mainly common stocks. The Fund may invest in equity securities of companies of any capitalization. The Fund may also invest in real estate investment trusts. The Fund’s Sub-Adviser, Madison Avenue Financial Solutions, LLC (the “Sub-Adviser”), uses a quantitatively driven strategy designed to emphasize high quality securities with a relatively low exposure to broad equity market risk. The Sub-Adviser believes that, when held over a full market cycle, high quality securities with lower relative exposure to broad market risk may produce higher risk-adjusted returns than securities of lower quality with higher relative exposure to broad market risk.
Beta is intended to measure the exposure of a security to broad market risk and is defined here as the co-movement of the return of a security with the return of the securities included in the investable universe scaled by the volatility of the investable universe’s returns. Low beta stocks outperformed high beta stocks for most of the fiscal year as volatility across all assets was heightened from inflationary pressures and geopolitical conflict. The Fund saw its largest benefits from its overweighting of stocks in the Consumer Staples Sector and Utilities Sector, and large underweighting of stocks in the Consumer Discretionary Sector and Information Technology Sector, which are more sensitive to interest rates and discretionary spending.
For the fiscal year ended November 30, 2022, the Fund’s market price increased 2.65% and the net asset value increased 2.80%, while the S&P 500® Index, a broad market index, decreased 9.21% over the same period.
The Fund commenced operations on May 8, 2020, with 4,600,000 shares outstanding as of November 30, 2022.
We appreciate your investment in the ETC 6 Meridian Low Beta Equity Strategy ETF.
Sincerely,
J. Garrett
Stevens,
Chief Executive Officer
Exchange Traded Concepts, Adviser to the
Fund
The Equal Blend is an equal blend of the S&P 500® Index, S&P SmallCap 600® Index and S&P Midcap 400® Index.
The S&P 500® Index is a market-value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry group representation, with each stock’s weight in the S&P 500® Index proportionate to its market value.
The S&P SmallCap 600® Index seeks to measure the small-cap segment of the U.S. equity market. The index is designed to track companies that meet specific inclusion criteria to ensure that they are liquid and financially viable.
The S&P Midcap 400® Index tracks the performance of companies considered to be in the mid-range of market capitalization of market value.
This material represents an assessment of the market environment at a specific point in time and is not intended to be a forecast of future events, or a guarantee of future results. This information should not be relied upon by the reader as research or investment advice.
3
ETC 6 Meridian
Low Beta Equity Strategy ETF
Management Discussion of Fund Performance
(Unaudited) (Concluded)
Growth of a $10,000 Investment‡
(at Net Asset Value)‡
|
AVERAGE
ANNUAL TOTAL RETURN | |||||
|
One
Year |
Annualized
| ||||
|
Net Asset Value |
Market Price |
Net Asset Value |
Market Price | ||
|
ETC 6 Meridian Low Beta Equity Strategy ETF |
2.80% |
2.65% |
12.97% |
12.94% | |
|
Equal Blend of the following 3 Indices: |
-6.14% |
-6.14% |
19.37% |
19.37% | |
|
S&P 500® Index |
-9.21% |
-9.21% |
15.59% |
15.59% | |
|
S&P SmallCap 600® Index |
-5.99% |
-5.99% |
22.19% |
22.19% | |
|
S&P MidCap 400® Index |
-3.29% |
-3.29% |
20.01% |
20.01% | |
* Fund commenced operations on May 8, 2020.
‡ Unaudited
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that shares, when redeemed or sold in the market, may be worth more or less than their original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike the Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the Index returns, the performance would have been lower. Please note that one cannot invest directly in an unmanaged index.
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. A prospectus, containing this and other information, is available at www.6meridianfunds.com. Investors should read the prospectus carefully before investing. There are risks associated with investing, including possible loss of principal.
Current performance may be lower or higher than the performance data shown above.
Performance data current to the most recent month-end is available at www.6meridianfunds.com.
There are no assurances that the Fund will meet its stated objective.
The Fund’s holdings and allocations are subject to change and should not be considered recommendations to buy individual securities.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
4
ETC 6 Meridian
Mega Cap Equity ETF
Management Discussion of Fund Performance
(Unaudited)
Dear Shareholders,
Thank you for your investment in the ETC 6 Meridian Mega Cap Equity ETF (the “Fund”). The following information pertains to the fiscal year December 1, 2021, through November 30, 2022.
The Fund is an actively managed exchange traded fund that seeks to provide capital appreciation by investing in mega capitalization equity securities, mainly common stocks. The Fund’s sub-adviser, Madison Avenue Financial Solutions, LLC (the “Sub-Adviser”), considers mega capitalization companies to be the largest 10% of stocks included in the Russell 3000 Index by market capitalization. In selecting investments for the Fund, the Sub-Adviser uses a quantitatively driven strategy designed to emphasize high quality large-capitalization stocks.
The Fund’s positive performance during the period relative to its benchmark, the S&P 500® Index, was heavily influenced by the Fund’s tilt towards 1st quintile securities across both low beta (low exposure to market risk) and high yield (high dividends or income paid) factors within its investable universe. The portfolio also benefitted from having overweight positions in the Consumer Staples Sector, Energy Sector, and Healthcare Sector, each of which performed well relative to the overall market.
For the fiscal year ended November 30, 2022, the Fund’s market price increased 2.58% and the net asset value increased 2.73%, while the S&P 500® Index, a broad market index, decreased 9.21% over the same period.
The Fund commenced operations on May 8, 2020, with 5,125,000 shares outstanding as of November 30, 2022.
We appreciate your investment in the ETC 6 Meridian Mega Cap Equity ETF.
Sincerely,
J. Garrett
Stevens,
Chief Executive Officer
Exchange Traded Concepts, Adviser to the
Fund
The S&P 500® Index is a market-value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry group representation, with each stock’s weight in the S&P 500® Index proportionate to its market value.
This material represents an assessment of the market environment at a specific point in time and is not intended to be a forecast of future events, or a guarantee of future results. This information should not be relied upon by the reader as research or investment advice.
5
ETC 6 Meridian
Mega Cap Equity ETF
Management Discussion of Fund Performance
(Unaudited) (Concluded)
Growth of a $10,000 Investment‡
(at Net Asset Value)‡
|
AVERAGE
ANNUAL TOTAL RETURN | |||||
|
One
Year |
Annualized
| ||||
|
Net
Asset |
Market
|
Net
Asset |
Market
| ||
|
ETC 6 Meridian Mega Cap Equity ETF |
2.73% |
2.58% |
15.14% |
15.05% | |
|
S&P 500® Index |
-9.21% |
-9.21% |
15.59% |
15.59% | |
* Fund commenced operations on May 8, 2020.
‡ Unaudited
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that shares, when redeemed or sold in the market, may be worth more or less than their original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike the Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the Index returns, the performance would have been lower. Please note that one cannot invest directly in an unmanaged index.
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. A prospectus, containing this and other information, is available at www.6meridianfunds.com. Investors should read the prospectus carefully before investing. There are risks associated with investing, including possible loss of principal.
Current performance may be lower or higher than the performance data shown above.
Performance data current to the most recent month-end is available at www.6meridianfunds.com.
There are no assurances that the Fund will meet its stated objective.
The Fund’s holdings and allocations are subject to change and should not be considered recommendations to buy individual securities.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
6
ETC 6 Meridian
Small Cap Equity ETF
Management Discussion of Fund Performance
(Unaudited)
Dear Shareholders,
Thank you for your investment in the ETC 6 Meridian Small Cap Equity ETF (the “Fund”). The following information pertains to the fiscal year December 1, 2021 through November 30, 2022.
The Fund is an actively managed exchange-traded fund that seeks to provide capital appreciation by investing primarily in small-capitalization equity securities, mainly common stocks. The Fund also may invest in equity securities of companies of any capitalization and in real estate investment trusts. The Fund’s sub-adviser, Madison Avenue Financial Solutions, LLC (the “Sub-Adviser”), considers small-capitalization securities to be those with market capitalizations within the range of the market capitalization of companies included in the S&P SmallCap 600® Index. In selecting investments for the Fund, the Sub-Adviser uses a quantitatively-driven strategy designed to emphasize high quality small-capitalization securities.
After strong performance period the prior fiscal year, the Fund was negatively affected by being underweight in the Energy Sector, which was up 56% over the period. The Fund did, however, see a relative benefit from being overweight in the Utilities Sector and the low beta factor, as low beta stocks were less correlated to the broader market’s decline than were high beta stocks
For the fiscal year ended November 30, 2022, the Fund’s market price decreased 8.94% and the net asset value decreased 8.58% while the S&P SmallCap 600® Index, a broad market index, decreased 5.99% over the same period.
The Fund commenced operations on May 8, 2020, with 1,475,000 shares outstanding as of November 30, 2022.
We appreciate your investment in the ETC 6 Meridian Small Cap Equity ETF.
Sincerely,
J. Garrett
Stevens,
Chief Executive Officer
Exchange Traded Concepts, Adviser to the
Fund
The S&P SmallCap 600® Index seeks to measure the small-cap segment of the U.S. equity market. The index is designed to track companies that meet specific inclusion criteria to ensure that they are liquid and financially viable.
This material represents an assessment of the market environment at a specific point in time and is not intended to be a forecast of future events, or a guarantee of future results. This information should not be relied upon by the reader as research or investment advice.
7
ETC 6 Meridian
Small Cap Equity ETF
Management Discussion of Fund Performance
(Unaudited) (Concluded)
Growth of a $10,000 Investment‡
(at Net Asset Value)‡
|
AVERAGE
ANNUAL TOTAL RETURN | |||||
|
One
Year |
Annualized
| ||||
|
Net
Asset |
Market
|
Net
Asset |
Market
| ||
|
ETC 6 Meridian Small Cap Equity ETF |
-8.58% |
-8.94% |
23.50% |
23.44% | |
|
S&P SmallCap 600® Index |
-5.99% |
-5.99% |
22.19% |
22.19% | |
* Fund commenced operations on May 8, 2020.
‡ Unaudited
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that shares, when redeemed or sold in the market, may be worth more or less than their original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike the Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the Index returns, the performance would have been lower. Please note that one cannot invest directly in an unmanaged index.
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. A prospectus, containing this and other information, is available at www.6meridianfunds.com. Investors should read the prospectus carefully before investing. There are risks associated with investing, including possible loss of principal.
Current performance may be lower or higher than the performance data shown above.
Performance data current to the most recent month-end is available at www.6meridianfunds.com.
There are no assurances that the Fund will meet its stated objective.
The Fund’s holdings and allocations are subject to change and should not be considered recommendations to buy individual securities.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
8
ETC 6 Meridian
Quality Growth ETF
Management Discussion of Fund Performance
(Unaudited)
Dear Shareholders,
Thank you for your investment in the ETC 6 Meridian Quality Growth ETF (the “Fund”). The following information relates to the fiscal year December 1, 2021 through November 30, 2022.
The Fund is an actively managed exchange-traded fund that seeks capital appreciation by investing in equity securities. The Fund invests mainly in common stocks and may invest in the securities of companies of any capitalization. In selecting investments for the Fund, the Fund’s sub-adviser, Madison Avenue Financial Solutions, LLC (the “Sub-Adviser”), uses a quantitatively-driven strategy designed to emphasize securities of companies that exhibit high quality and growth characteristics relative to their peers. Quality is defined as high and improving profitability, low leverage and low default probability, and low net equity and debt issuance relative to dividends and net buybacks. From an initial universe consisting of companies in the broad U.S. equity market, the Sub-Adviser excludes micro-cap companies (i.e., companies with a market capitalization of less than $500 million) and securities of companies that exhibit poor liquidity and momentum characteristics.
Exposure to growth equities during the past fiscal year was difficult due to the Federal Reserve’s monetary policy actions in raising interest rates. Increasing rates at this speed is unfavorable to longer duration assets such as the stocks that the Fund holds. While the Fund invests in high quality growth stocks, sentiment to growth names in general was not strong during the past fiscal year. The Fund’s performance lagged the Russell 1000 Growth Index at the start of 2022, but subsequently outperformed the index in 5 of the last 6 months of the Fund’s fiscal year, benefitting the most from being overweight in Health Care Sector stocks and underweight in Consumer Discretionary Sector stocks.
The Fund had negative performance during the fiscal year ended November 30, 2022. The market price for the Fund decreased 18.67% and the net asset value decreased 18.23% while the Russell 1000 Growth Index and S&P 500® Index, returned negative 21.64% and negative 9.21% respectively, over the same period.
The Fund commenced operations on May 10, 2021, with 1,325,000 shares outstanding as of November 30, 2022.
We appreciate your investment in the ETC 6 Meridian Quality Growth ETF.
Sincerely,
J. Garrett
Stevens,
Chief Executive Officer
Exchange Traded Concepts, Adviser to the
Fund
The Russell 1000® Growth Index seeks to track the investment results of an index composed of large- and mid-capitalization U.S. equities that exhibit growth characteristics.
The S&P 500® Index is a market-value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry group representation, with each stock’s weight in the S&P 500® Index proportionate to its market value.
This material represents an assessment of the market environment at a specific point in time and is not intended to be a forecast of future events, or a guarantee of future results. This information should not be relied upon by the reader as research or investment advice.
9
ETC 6 Meridian
Quality Growth ETF
Management Discussion of Fund Performance
(Unaudited) (Concluded)
Growth of a $10,000 Investment‡
(at Net Asset Value)‡
|
AVERAGE
ANNUAL TOTAL RETURN | |||||
|
One
Year |
Annualized
| ||||
|
Net Asset Value |
Market Price |
Net Asset Value |
Market Price | ||
|
ETC 6 Meridian Quality Growth ETF |
-18.23% |
-18.67% |
-6.41% |
-6.60% | |
|
Russell 1000® Growth Index |
-21.64% |
-21.64% |
-4.11% |
-4.11% | |
|
S&P 500® Index |
-9.21% |
-9.21% |
-0.13% |
-0.13% | |
* Fund commenced operations on May 10, 2021.
‡ Unaudited
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that shares, when redeemed or sold in the market, may be worth more or less than their original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike the Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the Index returns, the performance would have been lower. Please note that one cannot invest directly in an unmanaged index.
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. A prospectus, containing this and other information, is available at www.6meridianfunds.com. Investors should read the prospectus carefully before investing. There are risks associated with investing, including possible loss of principal.
Current performance may be lower or higher than the performance data shown above.
Performance data current to the most recent month-end is available at www.6meridianfunds.com.
There are no assurances that the Fund will meet its stated objective.
The Fund’s holdings and allocations are subject to change and should not be considered recommendations to buy individual securities.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
10
|
Description |
Shares |
Fair Value | |||
|
COMMON STOCK — 97.0% |
|
||||
|
Communication Services — 7.7% |
|
||||
|
Alphabet, Cl A* |
40,968 |
$ |
4,137,358 | ||
|
AT&T |
424,863 |
|
8,191,359 | ||
|
T-Mobile US* |
25,548 |
|
3,869,500 | ||
|
Verizon Communications |
207,261 |
|
8,079,034 | ||
|
|
24,277,251 | ||||
|
Consumer Discretionary — 3.9% |
|
||||
|
Home Depot(A) |
13,074 |
|
4,235,845 | ||
|
Lowe’s(A) |
19,858 |
|
4,220,818 | ||
|
Target |
23,575 |
|
3,938,675 | ||
|
|
12,395,338 | ||||
|
Consumer Staples — 20.6% |
|
||||
|
Altria Group(A) |
251,094 |
|
11,695,959 | ||
|
Colgate-Palmolive |
104,892 |
|
8,127,032 | ||
|
Costco Wholesale |
7,716 |
|
4,160,853 | ||
|
Kraft Heinz(A) |
201,327 |
|
7,922,217 | ||
|
PepsiCo |
42,655 |
|
7,912,929 | ||
|
Philip Morris International(A) |
126,487 |
|
12,606,960 | ||
|
Procter & Gamble |
28,751 |
|
4,288,499 | ||
|
Walmart |
54,417 |
|
8,294,239 | ||
|
|
65,008,688 | ||||
|
Energy — 8.6% |
|
||||
|
Chevron(A) |
42,812 |
|
7,847,868 | ||
|
ConocoPhillips(A) |
92,137 |
|
11,379,841 | ||
|
Exxon Mobil(A) |
69,891 |
|
7,781,664 | ||
|
|
27,009,373 | ||||
|
Financials — 13.2% |
|
||||
|
American Express |
26,081 |
|
4,110,104 | ||
|
American International Group |
67,933 |
|
4,287,252 | ||
|
Bank of New York Mellon |
91,960 |
|
4,220,964 | ||
|
Capital One Financial |
36,523 |
|
3,770,635 | ||
|
Description |
Shares |
Fair Value | |||
|
Financials (continued) |
|
||||
|
Citigroup(A) |
168,884 |
$ |
8,175,674 | ||
|
JPMorgan Chase |
30,758 |
|
4,250,140 | ||
|
Morgan Stanley |
47,124 |
|
4,385,831 | ||
|
US Bancorp(A) |
182,453 |
|
8,281,542 | ||
|
|
41,482,142 | ||||
|
Health Care — 23.7% |
|
||||
|
AbbVie(A) |
79,351 |
|
12,789,794 | ||
|
Amgen(A) |
28,647 |
|
8,204,501 | ||
|
Bristol-Myers Squibb(A) |
99,973 |
|
8,025,832 | ||
|
CVS Health(A) |
40,888 |
|
4,165,670 | ||
|
Eli Lilly |
21,385 |
|
7,935,546 | ||
|
Gilead Sciences(A) |
49,355 |
|
4,334,850 | ||
|
Johnson & Johnson(A) |
22,252 |
|
3,960,856 | ||
|
Merck(A) |
76,529 |
|
8,427,373 | ||
|
Pfizer(A) |
249,582 |
|
12,511,546 | ||
|
UnitedHealth Group |
6,969 |
|
3,817,339 | ||
|
|
74,173,307 | ||||
|
Industrials — 4.9% |
|
||||
|
3M |
30,780 |
|
3,877,357 | ||
|
General Dynamics |
15,497 |
|
3,911,288 | ||
|
Lockheed Martin(A) |
15,909 |
|
7,718,887 | ||
|
|
15,507,532 | ||||
|
Information Technology — 7.8% |
|
||||
|
Accenture PLC, Cl A |
13,633 |
|
4,102,579 | ||
|
Apple |
25,250 |
|
3,737,758 | ||
|
International Business Machines(A) |
56,006 |
|
8,339,293 | ||
|
QUALCOMM |
32,911 |
|
4,162,912 | ||
|
Texas Instruments(A) |
24,103 |
|
4,349,627 | ||
|
|
24,692,169 | ||||
|
Materials — 2.7% |
|
||||
|
Dow(A) |
165,705 |
|
8,445,984 | ||
|
Real Estate — 1.3% |
|
||||
|
Simon Property Group‡ |
35,527 |
|
4,243,345 | ||
|
Utilities — 2.6% |
|
||||
|
Duke Energy |
83,118 |
|
8,305,982 | ||
|
Total
Common Stock |
|
305,541,111 | |||
The accompanying notes are an integral part of the financial statements.
11
ETC 6 Meridian
Hedged Equity-Index Option Strategy ETF
Schedule of Investments
November 30, 2022 (Concluded)
|
Description |
Shares |
Fair Value |
| |||||
|
SHORT-TERM INVESTMENT — 6.1% |
|
|
||||||
|
Invesco Government & Agency Portfolio, CI Institutional, 3.73%(B) |
19,157,908 |
$ |
19,157,908 |
|
||||
|
Total Short-Term Investment (Cost $19,157,908) |
|
19,157,908 |
|
|||||
|
Total
Investments — 103.1% |
$ |
324,699,019 |
|
|||||
|
WRITTEN OPTIONS — -2.9% |
|
|
||||||
|
Total
Written Options |
$ |
(9,214,936 |
) |
|||||
A list of the Exchange Traded Option Contracts held by the Fund at November 30, 2022, is as follows:
|
Description |
Number of
|
Notional
|
Exercise
|
Expiration
|
Value | ||||||||||
|
WRITTEN OPTIONS — (2.9)% |
|
|
|
|
| ||||||||||
|
Call Options |
|
|
|
|
| ||||||||||
|
S&P 500 Index* |
(575 |
) |
$ |
230,000,000 |
$ |
4,000 |
12/17/22 |
$ |
(7,291,000 |
) | |||||
|
S&P 500 Index* |
(196 |
) |
|
78,988,000 |
|
4,030 |
12/17/22 |
|
(1,923,936 |
) | |||||
|
|
|
|
|
(9,214,936 |
) | ||||||||||
|
Total
Written Options |
|
|
|
$ |
(9,214,936 |
) | |||||||||
Percentages are based on Net Assets of $314,875,394.
‡ Real Estate Investment Trust
* Non-income producing security.
(A) All or a portion of these securities has been pledged as collateral on written options with a fair value of $34,696,910.
(B) The rate reported is the 7-day effective yield as of November 30, 2022.
Cl — Class
PLC — Public Limited Company
As of November 30, 2022, all of the Fund’s investments were considered Level 1, in accordance with the authoritative guidance under U.S. GAAP.
The accompanying notes are an integral part of the financial statements.
12
ETC 6 Meridian
Low Beta Equity Strategy ETF
Schedule of Investments
November 30, 2022
|
Description |
Shares |
Fair Value | |||
|
COMMON STOCK — 99.5% |
|
||||
|
Communication Services — 4.4% |
|
||||
|
Activision Blizzard |
8,073 |
$ |
596,998 | ||
|
AT&T |
34,903 |
|
672,930 | ||
|
ATN International |
13,890 |
|
672,415 | ||
|
Cable One |
455 |
|
329,552 | ||
|
Charter
Communications, |
1,457 |
|
570,110 | ||
|
Electronic Arts |
4,972 |
|
650,238 | ||
|
Scholastic |
13,821 |
|
568,320 | ||
|
Shenandoah Telecommunications |
29,059 |
|
565,779 | ||
|
TEGNA |
30,591 |
|
603,866 | ||
|
Telephone and Data Systems |
40,430 |
|
426,132 | ||
|
Verizon Communications |
14,129 |
|
550,748 | ||
|
World Wrestling Entertainment, Cl A |
9,059 |
|
723,633 | ||
|
|
6,930,721 | ||||
|
Consumer Discretionary — 2.9% |
|
||||
|
Graham Holdings, Cl B |
1,059 |
|
681,657 | ||
|
Grand Canyon Education* |
6,666 |
|
753,726 | ||
|
H&R Block |
16,303 |
|
712,604 | ||
|
Helen of Troy* |
4,884 |
|
481,269 | ||
|
McDonald’s |
2,452 |
|
668,881 | ||
|
Murphy USA |
2,198 |
|
650,190 | ||
|
Service International |
8,694 |
|
621,186 | ||
|
|
4,569,513 | ||||
|
Consumer Staples — 20.8% |
|
||||
|
Altria Group |
14,619 |
|
680,953 | ||
|
B&G Foods |
24,990 |
|
331,867 | ||
|
Description |
Shares |
Fair Value | |||
|
Consumer Staples (continued) |
|
||||
|
Brown-Forman, Cl B |
8,612 |
$ |
628,848 | ||
|
Calavo Growers |
15,603 |
|
545,481 | ||
|
Cal-Maine Foods |
12,313 |
|
717,602 | ||
|
Campbell Soup |
13,020 |
|
698,783 | ||
|
Casey’s General Stores |
3,144 |
|
764,055 | ||
|
Church & Dwight |
7,362 |
|
602,727 | ||
|
Clorox |
4,456 |
|
662,384 | ||
|
Coca-Cola |
10,065 |
|
640,235 | ||
|
Colgate-Palmolive |
7,982 |
|
618,445 | ||
|
Conagra Brands |
18,783 |
|
713,378 | ||
|
Constellation Brands, Cl A |
2,614 |
|
672,713 | ||
|
Edgewell Personal Care |
16,177 |
|
699,008 | ||
|
Flowers Foods |
23,036 |
|
692,232 | ||
|
Fresh Del Monte Produce |
21,349 |
|
590,940 | ||
|
General Mills |
8,469 |
|
722,406 | ||
|
Grocery Outlet Holding* |
15,125 |
|
457,834 | ||
|
Hershey |
2,795 |
|
657,300 | ||
|
Hormel Foods |
12,972 |
|
609,684 | ||
|
Hostess Brands, Cl A* |
28,346 |
|
748,334 | ||
|
Ingredion |
7,057 |
|
691,374 | ||
|
J & J Snack Foods |
4,751 |
|
779,259 | ||
|
J M Smucker |
4,784 |
|
736,784 | ||
|
John B Sanfilippo & Son |
8,505 |
|
720,288 | ||
|
Kellogg |
8,675 |
|
632,841 | ||
|
Keurig Dr Pepper |
16,619 |
|
642,657 | ||
|
Kimberly-Clark |
4,817 |
|
653,330 | ||
|
Kraft Heinz |
17,273 |
|
679,693 | ||
|
Kroger |
13,697 |
|
673,755 | ||
|
Lancaster Colony |
4,809 |
|
996,137 | ||
|
McCormick |
7,249 |
|
617,470 | ||
|
Molson Coors Beverage, Cl B |
11,992 |
|
660,879 | ||
|
Mondelez International, Cl A |
9,891 |
|
668,731 | ||
|
PepsiCo |
3,645 |
|
676,184 | ||
|
Philip Morris International |
6,494 |
|
647,257 | ||
|
Pilgrim’s Pride* |
20,653 |
|
540,282 | ||
|
Post Holdings* |
7,245 |
|
678,204 | ||
|
Procter & Gamble |
4,511 |
|
672,861 | ||
|
Seneca Foods, Cl A* |
11,815 |
|
759,468 | ||
|
SpartanNash |
19,567 |
|
642,776 | ||
|
Sprouts Farmers Market* |
23,738 |
|
814,926 | ||
|
Tootsie Roll Industries |
17,943 |
|
806,538 | ||
|
TreeHouse Foods* |
14,340 |
|
708,826 | ||
|
Tyson Foods, Cl A |
7,317 |
|
484,971 | ||
|
Universal |
11,632 |
|
661,977 | ||
|
USANA Health Sciences* |
9,223 |
|
507,634 | ||
|
Walmart |
4,829 |
|
736,036 | ||
|
WD-40 |
3,569 |
|
597,808 | ||
|
|
32,544,155 | ||||
The accompanying notes are an integral part of the financial statements.
13
ETC 6 Meridian
Low Beta Equity Strategy ETF
Schedule of Investments
November 30, 2022 (Continued)
|
Description |
Shares |
Fair Value | |||
|
Energy — 2.3% |
|
||||
|
Chevron |
4,020 |
$ |
736,906 | ||
|
Dorian LPG* |
38,191 |
|
743,579 | ||
|
DT Midstream |
11,804 |
|
712,135 | ||
|
Exxon Mobil |
6,813 |
|
758,560 | ||
|
Williams |
19,504 |
|
676,789 | ||
|
|
3,627,969 | ||||
|
Financials — 15.8% |
|
||||
|
Allstate |
5,539 |
|
741,672 | ||
|
American Financial Group |
4,916 |
|
699,154 | ||
|
AMERISAFE |
14,132 |
|
839,017 | ||
|
Assurant |
3,733 |
|
478,645 | ||
|
BancFirst |
5,818 |
|
593,087 | ||
|
Capitol Federal Financial |
66,482 |
|
556,454 | ||
|
City Holding |
7,467 |
|
761,037 | ||
|
Commerce Bancshares |
9,159 |
|
686,192 | ||
|
CVB Financial |
24,419 |
|
700,337 | ||
|
Employers Holdings |
17,045 |
|
792,081 | ||
|
Encore Capital Group* |
9,286 |
|
468,014 | ||
|
EZCORP, Cl A* |
77,028 |
|
771,821 | ||
|
First Horizon |
28,092 |
|
698,086 | ||
|
Hanover Insurance Group |
4,863 |
|
716,320 | ||
|
Heritage Financial |
23,166 |
|
762,161 | ||
|
Horace Mann Educators |
19,143 |
|
738,728 | ||
|
KKR
Real Estate Finance |
33,747 |
|
558,513 | ||
|
Lakeland Financial |
8,549 |
|
675,029 | ||
|
Mercury General |
16,034 |
|
581,714 | ||
|
NBT Bancorp |
15,912 |
|
734,498 | ||
|
Northfield Bancorp |
43,415 |
|
692,469 | ||
|
Northwest Bancshares |
45,034 |
|
688,570 | ||
|
PRA Group* |
16,447 |
|
565,448 | ||
|
ProAssurance |
30,005 |
|
599,800 | ||
|
Progressive |
5,656 |
|
747,440 | ||
|
Provident Financial Services |
26,643 |
|
600,267 | ||
|
RenaissanceRe Holdings |
5,156 |
||||