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

 

Management Discussion of Fund Performance

 

1

Schedules of Investments

 

11

Statements of Assets and Liabilities

 

23

Statements of Operations

 

25

Statements of Changes in Net Assets

 

27

Financial Highlights

 

32

Notes to the Financial Statements

 

33

Report of Independent Registered Public Accounting Firm

 

44

Trustee and Officers of the Trust

 

45

Disclosure of Fund Expenses

 

47

Approval of Investment Advisory Agreements

 

48

Notice to Shareholders

 

54

Supplemental Information

 

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.

 

ETC 6 Meridian

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
FOR THE YEAR ENDED
NOVEMBER 30, 2022

 

One Year
Return

Annualized
Inception To Date*

 

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
FOR THE YEAR ENDED
NOVEMBER 30, 2022

 

One Year
Return

Annualized
Inception To Date*

 

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
FOR THE YEAR ENDED
NOVEMBER 30, 2022

 

One Year
Return

Annualized
Inception To Date*

 

Net Asset
Value

Market
Price

Net Asset
Value

Market
Price

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
FOR THE YEAR ENDED
NOVEMBER 30, 2022

 

One Year
Return

Annualized
Inception To Date*

 

Net Asset
Value

Market
Price

Net Asset
Value

Market
Price

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
FOR THE YEAR ENDED
NOVEMBER 30, 2022

   

One Year
Return

Annualized
Inception To Date*

   

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

ETC 6 Meridian

Hedged Equity-Index Option Strategy ETF

Schedule of Investments

November 30, 2022

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
(Cost $291,066,535)

     

 

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%
(Cost $310,224,443)

     

$

324,699,019

 

 

WRITTEN OPTIONS — -2.9%

 

 

 

 

 

Total Written Options
(Premiums Received $4,518,664)

     

$

(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
Contracts

 

Notional
Amount

 

Exercise
Price

 

Expiration
Date

 

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
(Premiums Received $4,518,664)

   

 

 

 

   

 

       

$

(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,
Cl A*

 

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
Trust

 

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