Alpha Architect ETFs

 

Alpha Architect U.S. Quantitative Value ETF

 

Alpha Architect International Quantitative Value ETF

 

Alpha Architect U.S. Quantitative Momentum ETF

 

Alpha Architect International Quantitative Momentum ETF

 

Alpha Architect Value Momentum Trend ETF

 

Semi-Annual Report

 

March 31, 2022

 

 

 

 

ALPHA ARCHITECT ETFs

 

TABLE OF CONTENTS

 

    Page
Sector Allocations   1 – 3
Schedule of Investments   4 – 16
Schedule of Securities Sold Short   17
Statements of Assets and Liabilities   18 – 20
Statements of Operations   21 – 23
Statements of Changes in Net Assets   24 – 26
Financial Highlights   27
Notes to Financial Statements   28 – 39
Expense Example   40
Liquidity Risk Management Program   41
Federal Tax Information   42
Officers and Affiliated Trustee   43
Independent Trustees   43
Information About Portfolio Holdings   44
Information About Proxy Voting   44
Privacy Policy   44

 

 

 

 

ALPHA ARCHITECT ETFs

 

Tabular Presentation of Schedule of Investments

As of March 31, 2022 (Unaudited)

Alpha Architect U.S. Quantitative Value ETF

 

Sector1   % Net Assets  
Manufacturing     44.4 %2
Retail Trade     18.7 %
Mining, Quarrying, and Oil and Gas Extraction     14.9 %
Transportation and Warehousing     5.9 %
Health Care and Social Assistance     3.9 %
Wholesale Trade     3.8 %
Educational Services     2.1 %
Information     2.1 %
Administrative and Support and Waste Management and Remediation Services     1.9 %
Construction     1.8 %
Other3     0.5 %
Total     100.0 %

 

Tabular Presentation of Schedule of Investments

As of March 31, 2022 (Unaudited)

Alpha Architect International Quantitative Value ETF

 

Sector1   % Net Assets  
Materials     18.2 %
Industrials     17.1 %
Consumer Discretionary     16.5 %
Energy     10.5 %
Automobile & Components     5.6 %
Metal Ore Mining     4.3 %
Transportation and Warehousing     4.2 %
Information Technology     4.0 %
Machinery     2.1 %
Mining     2.0 %
Professional, Scientific, and Technical Services     2.0 %
Manufacturing     2.0 %
Health Care     2.0 %
Technology     1.9 %
Financials     1.9 %
Consumer Staples     1.8 %
Mining, Quarrying, and Oil and Gas Extraction     1.8 %
Other3     2.1 %
Total     100.0 %

 

  1  

 

 

ALPHA ARCHITECT ETFs

 

Tabular Presentation of Schedule of Investments

As of March 31, 2022 (Unaudited)

Alpha Architect U.S. Quantitative Momentum ETF

 

Sector1   % Net Assets  
Manufacturing     23.8 %
Mining, Quarrying, and Oil and Gas Extraction     19.8 %
Finance and Insurance     16.7 %
Retail Trade     14.2 %
Professional, Scientific, and Technical Services     5.6 %
Utilities     4.3 %
Administrative and Support and Waste Management and Remediation Services     3.7 %
Real Estate and Rental and Leasing     3.6 %
Construction     2.2 %
Health Care and Social Assistance     2.0 %
Wholesale Trade     1.8 %
Accommodation and Food Services     1.8 %
Other3     0.5 %
Total     100.0 %

 

Tabular Presentation of Schedule of Investments

As of March 31, 2022 (Unaudited)

Alpha Architect International Quantitative Momentum ETF

 

Sector1   % Net Assets  
Industrials     17.2 %
Financials     15.4 %
Utilities     9.6 %
Information Technology     9.5 %
Health Care     8.0 %
Materials     8.0 %
Energy     7.1 %
Consumer Staples     6.3 %
Consumer Discretionary     6.0 %
Telecommunication Services     3.9 %
Finance and Insurance     2.1 %
Oil & Gas & Consumable Fuels     2.0 %
Mining, Quarrying, and Oil and Gas Extraction     1.9 %
Real Estate     1.9 %
Other3     1.1 %
Total     100.0 %

 

  2  

 

 

Tabular Presentation of Schedule of Investments

As of March 31, 2022 (Unaudited)

Alpha Architect Value Momentum Trend ETF

 

Sector1   % Net Assets  
Investment Companies - Long     99.0 %
Investment Companies - Short     -27.0 %
Other3     28.0 %
Total     100.0 %

 

1. Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment adviser’s internal sector classifications.

2. For purposes of the Fund’s compliance with its concentration limits, the Fund uses various sub-classifications and none of the Fund’s holdings in the sub-classifications exceed 25% of the Fund’s total assets.

3. Cash, cash equivalents, short-term investments and other assets less liabilities.

 

  3  

 

 

Alpha Architect U.S. Quantitative Value ETF
Schedule of Investments
March 31, 2022 (Unaudited)

 

Shares       Value
COMMON STOCKS - 99.5%         
         
Animal Slaughtering and Processing - 2.1%         
51,870   Tyson Foods, Inc.   $ 4,649,108  
             
Automobile Dealers - 3.6%         
39,000   AutoNation, Inc. (a)     3,883,620  
13,505   Lithia Motors, Inc.     4,053,121  
          7,936,741  
Basic Chemical Manufacturing - 4.1%         
43,432   LyondellBasell Industries N.V. ADR (b)     4,465,678  
86,949   Olin Corp.     4,545,694  
          9,011,372  
Building Material and Supplies Dealers - 1.7%         
59,624   Builders FirstSource, Inc. (a)     3,848,133  
             
Clothing Stores - 5.8%         
236,387   American Eagle Outfitters, Inc.     3,971,302  
46,951   Carter’s, Inc.     4,319,022  
121,227   Tapestry, Inc.     4,503,583  
          12,793,907  
Coal Mining - 4.2%         
30,874   Arch Resources, Inc.     4,241,470  
207,500   Peabody Energy Corp. (a)     5,089,975  
          9,331,445  
Computer and Peripheral Equipment Manufacturing - 4.2%        
131,096   HP, Inc.     4,758,785  
93,325   Western Digital Corp. (a)     4,633,586  
          9,392,371  
Cutlery and Handtool Manufacturing - 2.0%         
21,423   Snap-on, Inc.     4,401,998  
             
Deep Sea, Coastal, and Great Lakes Water Transportation - 2.1%         
38,770   Matson, Inc.     4,676,437  
             
Department Stores - 1.8%         
166,898   Macy’s, Inc.     4,065,635  
             
Educational Support Services - 2.1%         
47,794   Grand Canyon Education, Inc. (a)     4,641,275  
             
Electrical Equipment and Component Manufacturing - 1.9%         
42,312   Atkore, Inc. (a)     4,165,193  
             
Employment Services - 2.0%         
46,326   ManpowerGroup, Inc.     4,350,938  
             
Footwear Manufacturing - 1.9%        
55,623   Crocs, Inc. (a)     4,249,597  

 

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

 

  4  

 

 

Alpha Architect U.S. Quantitative Value ETF
Schedule of Investments (Continued)
March 31, 2022 (Unaudited)

 

Shares       Value
General Freight Trucking - 1.8%         
48,870   ArcBest Corp.   $ 3,934,035  
             
Glass and Glass Product Manufacturing - 1.9%         
46,759   Owens Corning     4,278,448  
             
Home Furnishings Stores - 1.8%         
27,954   Williams-Sonoma, Inc.     4,053,330  
             
Household Appliance Manufacturing - 1.9%         
23,811   Whirlpool Corp.     4,114,065  
             
Household Appliances and Electrical and Electronic Goods Merchant Wholesalers - 1.9%         
35,659   Arrow Electronics, Inc. (a)     4,230,227  
             
Industrial Machinery Manufacturing - 1.9%         
73,937   Kulicke & Soffa Industries, Inc.     4,141,951  
             
Iron and Steel Mills and Ferroalloy Manufacturing - 4.4%         
33,527   Nucor Corp.     4,983,789  
55,999   Steel Dynamics, Inc.     4,671,997  
          9,655,786  
Jewelry, Luggage, and Leather Goods Stores - 1.8%         
56,225   Signet Jewelers Ltd. ADR (b)     4,087,557  
             
Medical and Diagnostic Laboratories - 3.9%         
16,542   Laboratory Corp. of America Holdings (a)     4,361,464  
31,115   Quest Diagnostics, Inc.     4,258,399  
          8,619,863  
Metal and Mineral (except Petroleum) Merchant Wholesalers - 1.9%         
23,559   Reliance Steel & Aluminum Co.   4,319,543  
             
Metal Ore Mining - 4.5%         
165,544   Cleveland-Cliffs, Inc. (a)     5,332,172  
92,100   Freeport-McMoRan, Inc.     4,581,054  
          9,913,226  
Motor Vehicle Body and Trailer Manufacturing - 1.9%         
76,341   Winnebago Industries, Inc.     4,124,704  
             
Oil and Gas Extraction - 4.2%         
115,197   APA Corp.     4,761,092  
30,647   Oasis Petroleum, Inc.     4,483,656  
          9,244,748  
Pesticide, Fertilizer, and Other Agricultural Chemical Manufacturing - 2.2%         
74,100   Mosaic Co.     4,927,650  
             
Pharmaceutical and Medicine Manufacturing - 2.1%         
6,566   Regeneron Pharmaceuticals, Inc. (a)     4,585,826  
             
Residential Building Construction - 1.8%         
95,691   PulteGroup, Inc.     4,009,453  

 

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

 

  5  

 

 

Alpha Architect U.S. Quantitative Value ETF
Schedule of Investments (Continued)
March 31, 2022 (Unaudited)

 

Shares       Value
Resin, Synthetic Rubber, and Artificial Synthetic Fibers and Filaments Manufacturing - 4.1%         
32,169   Celanese Corp.   $ 4,595,985  
37,277   Westlake Corp.     4,599,982  
          9,195,967  
Satellite Telecommunications - 2.1%         
409,149   Lumen Technologies, Inc.     4,611,109  
             
Sawmills and Wood Preservation - 1.8%         
63,206   Louisiana-Pacific Corp.     3,926,357  
             
Scheduled Air Transportation - 2.0%         
52,500   Atlas Air Worldwide Holdings, Inc. (a)     4,534,425  
             
Semiconductor and Other Electronic Component Manufacturing - 2.0%     
73,754   Jabil, Inc.     4,552,834  
             
Sporting Goods, Hobby, and Musical Instrument Stores - 1.8%         
40,370   Dicks Sporting Goods, Inc. (c)     4,037,807  
             
Steel Product Manufacturing from Purchased Steel - 2.2%         
130,757   United States Steel Corp.     4,934,769  
             
Support Activities for Mining - 4.1%         
193,675   Magnolia Oil & Gas Corp.     4,580,414  
85,730   Matador Resources Co.     4,541,976  
          9,122,390  
    TOTAL COMMON STOCKS (Cost $212,394,003)     220,670,220  
             
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 0.1%        
356,096   First American Government Obligations Fund - Class X, 0.19% (d)     356,096  
    TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $356,096)     356,096  
             
MONEY MARKET FUNDS - 0.5%        
1,026,851   First American Government Obligations Fund - Class X, 0.19% (d)     1,026,851  
    TOTAL MONEY MARKET FUNDS (Cost $1,026,851)     1,026,851  
             
    TOTAL INVESTMENTS (Cost $213,776,950) - 100.1%     222,053,167  
    Other Liabilities in Excess of Assets - (0.1%)     (280,591 )
    TOTAL NET ASSETS - 100.0%   $ 221,772,576  

 

Percentages are stated as a percent of net assets.

 

ADR - American Depository Receipt

 

(a) Non-Income producing security.
(b) Foreign Issued Security.
(c) This security or a portion of this security was out on loan as of March 31, 2022. Total loaned securities had a market value of $332,867 as of March 31, 2022.
(d) Rate shown is the 7-day effective yield.

 

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

 

  6  

 

 

Alpha Architect International Quantitative Value ETF
Schedule of Investments
March 31, 2022 (Unaudited)

 

Shares       Value  
COMMON STOCKS - 97.9%        
         
Australia - 10.8%         
84,339   BHP Group Ltd.   $ 3,265,994  
194,312   BlueScope Steel Ltd.     3,033,126  
216,689   Fortescue Metals Group Ltd.     3,349,991  
79,762   JB Hi-Fi Ltd.     3,236,176  
112,206   Sonic Healthcare Ltd.     2,979,039  
          15,864,326  
Austria - 2.0%         
60,000   OMV AG     2,880,027  
             
Bermuda - 1.9%         
221,880   Golden Ocean Group Ltd.     2,752,125  
             
Denmark - 1.8%         
899   AP Moller - Maersk A/S     2,723,432  
             
France - 7.5%         
21,385   Arkema S.A.     2,572,730  
45,447   Cie de Saint-Gobain     2,728,479  
136,011   Rexel S.A.     2,923,496  
56,724   TotalEnergies SE     2,888,440  
          11,113,145  
Germany - 10.6%         
24,907   Aurubis AG     2,988,179  
53,861   Covestro AG (a)     2,731,333  
57,608   Deutsche Post AG     2,775,406  
18,262   Rheinmetall AG     3,880,890  
19,174   Wacker Chemie AG     3,282,456  
          15,658,264  
Israel - 2.1%         
41,763   ZIM Integrated Shipping Services Ltd. ADR     3,036,588  
             
Italy - 1.8%         
183,887   Eni S.p.A.     2,704,346  

 

  7  

 

 

Alpha Architect International Quantitative Value ETF
Schedule of Investments (Continued)
March 31, 2022 (Unaudited)

 

Shares       Value  
Japan - 32.3%         
64,584   AGC, Inc.   $ 2,602,140  
78,510   Aisin Corp.     2,705,351  
69,528   Bridgestone Corp.     2,717,383  
71,850   Dentsu Group, Inc.     2,962,765  
55,198   Ebara Corp.     3,101,317  
155,102   Japan Tobacco, Inc.     2,659,565  
158,938   NGK Spark Plug Co., Ltd.     2,581,078  
275,492   Nikon Corp.     2,973,521  
155,910   Nippon Steel Corp.     2,780,357  
39,356   Nitto Denko Corp.     2,851,322  
29,566   Screen Holdings Co., Ltd.   3,001,772  
186,486   Seiko Epson Corp.     2,820,114  
31,686   Shimamura Co., Ltd.     2,829,200  
295,876   Sumitomo Rubber Industries Ltd.     2,731,761  
204,550   The Yokohama Rubber Co., Ltd.     2,842,933  
156,818   Toyota Boshoku Corp.     2,578,854  
127,654   Yamaha Motor Co., Ltd.     2,889,884  
          47,629,317  
Luxembourg - 1.5%         
51,018   Aperam S.A.     2,269,411  
             
Norway - 4.6%         
92,078   Aker BP ASA     3,457,690  
90,456   Equinor ASA     3,402,946  
          6,860,636  
Singapore - 2.1%         
2,803,168   Yangzijiang Shipbuilding Holdings Ltd.     3,164,383  
             
Spain - 2.0%         
218,718   Repsol S.A.     2,885,108  
             
Sweden - 8.2%         
63,800   Boliden AB   3,244,148  
153,777   SKF AB     2,517,864  
520,880   SSAB AB     3,495,653  
307,557   Telefonaktiebolaget LM Ericsson     2,822,914  
          12,080,579  
United Kingdom - 8.7%         
374,575   Barratt Developments PLC     2,570,516  
694,887   Kingfisher PLC     2,331,382  
36,761   Rio Tinto PLC     2,936,572  
541,824   Royal Mail PLC     2,341,707  
1,508,727   Taylor Wimpey PLC     2,590,387  
          12,770,564  
    TOTAL COMMON STOCKS (Cost $145,747,990)     144,392,251  

 

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

 

  8  

 

 

Alpha Architect International Quantitative Value ETF
Schedule of Investments (Continued)
March 31, 2022 (Unaudited)

 

Shares       Value  
MONEY MARKET FUNDS - 0.9%        
1,340,555   First American Government Obligations Fund - Class X, 0.19% (b)   $ 1,340,555  
    TOTAL MONEY MARKET FUNDS (Cost $1,340,555)     1,340,555  
             
    TOTAL INVESTMENTS (Cost $147,088,545) - 98.8%     145,732,806  
    Other Assets in Excess of Liabilities - 1.2%     1,742,889  
    TOTAL NET ASSETS - 100.0%   $ 147,475,695  

 

Percentages are stated as a percent of net assets.

 

ADR - American Depository Receipt

PLC - Public Limited Company

 

(a) 144A Restricted Security.
(b) Rate shown is the 7-day effective yield.

 

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

 

  9  

 

 

Alpha Architect U.S. Quantitative Momentum ETF
Schedule of Investments
March 31, 2022 (Unaudited)

 

Shares       Value  
COMMON STOCKS - 99.5%         
         
Aerospace Product and Parts Manufacturing - 2.0%         
24,437   Textron, Inc.   $ 1,817,624  
             
Architectural and Structural Metals Manufacturing - 1.8%         
14,662   Encore Wire Corp.     1,672,494  
             
Automobile Dealers - 1.9%         
18,018   Penske Automotive Group, Inc.     1,688,647  
             
Automotive Parts, Accessories, and Tire Stores - 2.1%         
934   AutoZone, Inc. (a)     1,909,638  
             
Building Material and Supplies Dealers - 1.7%         
24,169   Builders FirstSource, Inc. (a)     1,559,867  
             
Computer Systems Design and Related Services - 4.3%         
36,408   KBR, Inc.     1,992,610  
17,149   Perficient, Inc. (a)     1,887,933  
          3,880,543  
Depository Credit Intermediation - 3.2%         
5,013   Signature Bank     1,471,266  
30,557   Wells Fargo & Co.     1,480,792  
          2,952,058  
Electric Lighting Equipment Manufacturing - 2.0%         
9,557   Acuity Brands, Inc.     1,809,140  
             
Electric Power Generation, Transmission and Distribution - 2.1%         
40,761   Exelon Corp.     1,941,447  
             
Fabricated Metal Product Manufacturing - 1.8%         
11,508   Watts Water Technologies, Inc.     1,606,402  
             
Financial Investment Activities - 5.7%         
22,520   Ares Management Corp.     1,829,300  
13,726   Blackstone, Inc.     1,742,378  
28,313   KKR & Co., Inc.     1,655,461  
          5,227,139  
Gasoline Stations - 2.0%         
9,281   Murphy USA, Inc.     1,855,829  
             
General Medical and Surgical Hospitals - 2.0%        
21,179   Tenet Healthcare Corp. (a)     1,820,547  
             
Grocery Stores - 4.5%         
58,741   Albertsons Cos., Inc.     1,953,138  
37,946   Kroger Co.     2,176,962  
          4,130,100  

 

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

 

  10  

 

 

Alpha Architect U.S. Quantitative Momentum ETF
Schedule of Investments (Continued)
March 31, 2022 (Unaudited)

 

Shares       Value  
Industrial Machinery Manufacturing - 1.8%         
10,634   Dover Corp.   $ 1,668,475  
             
Information Services - 2.0%         
5,989   Gartner, Inc. (a)     1,781,488  
             
Insurance Carriers - 6.1%         
12,473   American Financial Group, Inc.     1,816,318  
3,758   Anthem, Inc.     1,846,005  
3,620   UnitedHealth Group, Inc.     1,846,091  
          5,508,414  
Iron and Steel Mills and Ferroalloy Manufacturing - 2.3%         
13,863   Nucor Corp.     2,060,735  
             
Jewelry, Luggage, and Leather Goods Stores - 1.8%         
22,761   Signet Jewelers Ltd. ADR (b)     1,654,725  
             
Miscellaneous Durable Goods Merchant Wholesalers - 1.8%         
3,944   Pool Corp.     1,667,720  
             
Natural Gas Distribution - 2.1%         
13,951   Cheniere Energy, Inc.     1,934,306  
             
Nondepository Credit Intermediation - 3.6%         
3,124   Credit Acceptance Corp. (a)     1,719,356  
93,420   Navient Corp.     1,591,877  
          3,311,233  
Offices of Real Estate Agents and Brokers - 1.8%         
6,935   Jones Lang LaSalle, Inc. (a)   1,660,655  
             
Oil and Gas Extraction - 17.5%         
77,623   Antero Resources Corp. (a)     2,369,830  
36,505   Civitas Resources, Inc.     2,179,714  
19,041   ConocoPhillips     1,904,100  
24,385   Denbury, Inc. (a)     1,915,929  
31,918   Devon Energy Corp.     1,887,312  
13,149   Diamondback Energy, Inc.     1,802,465  
13,597   Oasis Petroleum, Inc.     1,989,241  
7,508   Pioneer Natural Resources Co.     1,877,225  
          15,925,816  
Pesticide, Fertilizer, and Other Agricultural Chemical Manufacturing - 2.6%         
22,654   CF Industries Holdings, Inc.     2,334,721  
             
Pipeline Transportation of Natural Gas - 2.3%         
27,822   Targa Resources Corp.     2,099,726  
             
Plastics Product Manufacturing - 1.8%         
24,391   Sealed Air Corp.     1,633,221  
             
Professional, Scientific, and Technical Services - 1.6%         
8,714   Concentrix Corp.     1,451,404  

  

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

 

  11  

 

 

Alpha Architect U.S. Quantitative Momentum ETF
Schedule of Investments (Continued)
March 31, 2022 (Unaudited)

 

Shares       Value  
Rubber Product Manufacturing - 2.0%         
7,208   Carlisle Cos., Inc.   $ 1,772,591  
Securities and Commodity Contracts Intermediation and Brokerage - 1.6%         
16,426   Houlihan Lokey, Inc.   1,442,203  
             
Semiconductor and Other Electronic Component Manufacturing - 2.0%         
29,214   Jabil, Inc.     1,803,380  
             
Software Publishers - 2.2%         
5,743   Fortinet, Inc. (a)     1,962,613  
             
Support Services - 1.6%         
20,824   GXO Logistics, Inc. (a)     1,485,584  
             
Traveler Accommodation - 1.8%         
33,749   Red Rock Resorts, Inc.     1,638,852  
             
Waste Treatment and Disposal - 2.1%         
14,477   Republic Services, Inc.     1,918,203  
    TOTAL COMMON STOCKS (Cost $84,133,301)     90,587,540  
             
MONEY MARKET FUNDS - 0.5%        
457,430   First American Government Obligations Fund - Class X, 0.19% (c)     457,430  
    TOTAL MONEY MARKET FUNDS (Cost $457,430)     457,430  
             
    TOTAL INVESTMENTS (Cost $84,590,731) - 100.0%     91,044,970  
    Other Liabilities in Excess of Assets - (0.0%) (d)     (12,616 )
    TOTAL NET ASSETS - 100.0%   $ 91,032,354  

 

Percentages are stated as a percent of net assets.

 

ADR - American Depository Receipt 

 

(a) Non-Income producing security.
(b) Foreign Issued Security.
(c) Rate shown is the 7-day effective yield.
(d) Represents less than 0.05% of net assets.

 

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

 

  12  

 

 

Alpha Architect International Quantitative Momentum ETF
Schedule of Investments
March 31, 2022 (Unaudited)

 

Shares       Value  
COMMON STOCKS - 98.9%        
         
Australia - 5.1%         
172,468   IGO Ltd.   $ 1,814,556  
577,053   Whitehaven Coal Ltd.     1,792,010  
          3,606,566  
Austria - 2.0%         
13,581   Verbund AG     1,434,798  
             
Belgium - 2.0%         
8,474   D’ieteren Group     1,435,223  
             
Bermuda - 1.9%         
106,421   Golden Ocean Group Ltd.     1,320,010  
             
Cayman Islands - 1.7%         
332,562   SITC International Holdings Co., Ltd.     1,178,124  
             
Denmark - 4.0%         
435   A.P. Moller - Maersk A/S     1,317,790  
13,342   Novo Nordisk A/S     1,485,972  
          2,803,762  
Finland - 1.8%         
123,704   Nordea Bank Abp     1,280,141  
             
France - 7.8%         
10,347   Arkema S.A.     1,244,799  
6,459   Capgemini SE     1,446,925  
992   Hermes International     1,417,300  
41,126   Veolia Environnement S.A.     1,323,475  
          5,432,499  
Germany - 3.7%         
101,958   E.ON SE     1,189,049  
51,146   Freenet AG     1,374,908  
1   Nordex SE (a)     18  
          2,563,975  
Isle Of Man - 1.7%         
154,073   Playtech PLC (a)     1,198,193  
             
Israel - 11.8%         
130,405   Bank Hapoalim BM     1,297,471  
126,303   Bank Leumi Le-Israel BM     1,367,085  
120,528   ICL Group Ltd.     1,443,949  
208,003   Israel Discount Bank Ltd.     1,301,038  
34,983   Mizrahi Tefahot Bank Ltd.     1,372,527  
111,658   Phoenix Holdings Ltd.     1,471,348  
          8,253,418  
Italy - 1.9%         
88,812   Eni S.p.A.   1,306,119  

 

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

 

  13  

 

 

Alpha Architect International Quantitative Momentum ETF
Schedule of Investments (Continued)
March 31, 2022 (Unaudited)

 

Shares       Value  
Japan - 13.9%         
33,700   Daiseki Co., Ltd.   $ 1,278,906  
132,900   Inpex Corp.     1,572,006  
130,800   Marubeni Corp.     1,532,124  
50,700   Mitsui OSK Lines Ltd.     1,424,298  
14,800   Nippon Yusen KK     1,308,099  
7,208   Shift, Inc. (a)     1,282,448  
73,600   Toyota Motor Corp.     1,343,650  
          9,741,531  
Jersey - 1.8%         
9,061   Ferguson PLC     1,235,526  
             
Luxembourg - 1.6%         
24,802   Aperam S.A.     1,103,256  
             
Netherlands - 4.1%         
112,260   ABN AMRO Bank N.V.     1,445,800  
8,393   IMCD N.V.     1,441,466  
          2,887,266  
Norway - 6.3%         
43,410   Equinor ASA   1,633,080  
51,840   Nordic Semiconductor ASA (a)     1,337,829  
145,809   Norsk Hydro ASA     1,425,985  
          4,396,894  
Portugal - 2.2%         
63,327   Jeronimo Martins SGPS, S.A.     1,522,314  
             
Singapore - 2.1%         
54,800   DBS Group Holdings Ltd.     1,448,691  
             
Sweden - 3.9%         
35,183   Getinge AB     1,410,703  
298,894   Samhallsbyggnadsbolaget i Norden AB     1,343,090  
          2,753,793  
Switzerland - 4.0%         
2,303   Bachem Holding AG     1,273,560  
130   Chocoladefabriken Lindt & Spruengli AG     1,550,349  
          2,823,909  
United Kingdom - 13.6%         
226,366   Beazley PLC     1,251,311  
31,447   British American Tobacco PLC     1,319,655  
557,581   BT Group PLC     1,334,550  
1,324,346   Centrica PLC (a)     1,393,169  
66,433   GlaxoSmithKline PLC     1,437,502  
91,804   National Grid PLC     1,413,891  
146,958   Sage Group PLC     1,353,672  
          9,503,750  
    TOTAL COMMON STOCKS (Cost $67,730,862)     69,229,758  

 

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

 

  14  

 

 

Alpha Architect International Quantitative Momentum ETF
Schedule of Investments (Continued)
March 31, 2022 (Unaudited)

 

Shares       Value  
MONEY MARKET FUNDS - 0.4%        
267,317   First American Government Obligations Fund - Class X, 0.19% (b)   $ 267,317  
    TOTAL MONEY MARKET FUNDS (Cost $267,317)     267,317  
             
    TOTAL INVESTMENTS (Cost $67,998,179) - 99.3%     69,497,075  
    Other Assets in Excess of Liabilities - 0.7%     481,179  
    TOTAL NET ASSETS - 100.0%   $ 69,978,254  

 

Percentages are stated as a percent of net assets.

 

ADR - American Depository Receipt

PLC - Public Limited Company

 

(a) Non-Income producing security.
(b) Rate shown is the 7-day effective yield.

 

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

 

  15  

 

 

Alpha Architect Value Momentum Trend ETF
Schedule of Investments
March 31, 2022 (Unaudited)

 

Shares     Value  
INVESTMENT COMPANIES - 98.6%      
       
International Developed Equity - 56.0%      
418,842   Alpha Architect International Quantitative Momentum ETF (a)(b)   $ 12,318,604  
455,460   Alpha Architect International Quantitative Value ETF (a)(b)     12,078,799  
          24,397,403  
U.S. Equity - 42.6%        
193,147   Alpha Architect U.S. Quantitative Momentum ETF (a)(b)     9,543,393  
247,408   Alpha Architect U.S. Quantitative Value ETF (a)(b)     9,050,185  
          18,593,578  
    TOTAL INVESTMENT COMPANIES (Cost $41,733,140)     42,990,981  
             
MONEY MARKET FUNDS - 0.4%        
183,359   First American Government Obligations Fund - Class X, 0.19% (c)     183,359  
    TOTAL MONEY MARKET FUNDS (Cost $183,359)     183,359  
             
    TOTAL INVESTMENTS (Cost $41,916,499) - 99.0%     43,174,340  
    TOTAL SECURITIES SOLD SHORT (Proceeds $12,243,561) - (27.0%)     (11,787,555 )
    Other Assets in Excess of Liabilities - 28.0%     12,236,129  
    TOTAL NET ASSETS - 100.0%   $ 43,622,914  

 

Percentages are stated as a percent of net assets.

 

(a) Affiliated Fund.
(b) All or a portion of these securities have been segregated as collateral for broker agreements. The total value of securities segregated amounted to $22,699,041.
(c) Rate shown is the 7-day effective yield.

 

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

 

  16  

 

 

Alpha Architect Value Momentum Trend ETF
Schedule of Securities Sold Short
March 31, 2022 (Unaudited)

 

Shares       Value  
INVESTMENT COMPANIES - 27.0%        
160,157   iShares TR MSCI EAFE ETF   $ 11,787,555  
    TOTAL INVESTMENT COMPANIES (Proceeds $12,243,561)   $ 11,787,555  

 

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

 

  17  

 

 

ALPHA ARCHITECT ETFs

 

STATEMENTS OF ASSETS AND LIABILITIES

March 31, 2022 (Unaudited)

 

 

    Alpha Architect U.S. Quantitative Value
ETF
    Alpha Architect International Quantitative Value
ETF
 
Assets:                
Investments, at value   $ 222,053,167     $ 145,732,806  
Dividends and interest receivable     168,122       1,812,990  
Spot trade receivable     -       869  
Securities lending income receivable (Note 4)     290       -  
Total assets     222,221,579       147,546,665  
Liabilities:                
Collateral received for securities loaned (Note 4)     356,096       -  
Accrued investment advisory fees     92,907       70,970  
Total liabilities     449,003       70,970  
Net Assets   $ 221,772,576     $ 147,475,695  
                 
Net Assets Consist of:                
Capital stock   $ 273,102,739     $ 201,993,197  
Total distributable earnings (accumulated deficit)     (51,330,163 )     (54,517,502 )
Net Assets:   $ 221,772,576     $ 147,475,695  
                 
Calculation of Net Asset Value Per Share:                
Net Assets   $ 221,772,576     $ 147,475,695  
Shares Outstanding (unlimited shares of beneficial interest authorized, no par value)     6,070,000       5,525,000  
Net Asset Value per Share   $ 36.54     $ 26.69  
                 
Cost of Investments   $ 213,776,950     $ 147,088,545  

 

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

 

  18  

 

 

ALPHA ARCHITECT ETFs

 

STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)

March 31, 2022 (Unaudited)

 

 

    Alpha Architect U.S. Quantitative Momentum
ETF
    Alpha Architect International Quantitative Momentum
ETF
 
Assets:                
Investments, at value   $ 91,044,970     $ 69,497,075  
Dividends and interest receivable     24,454       515,222  
Total assets     91,069,424       70,012,297  
Liabilities:                
Accrued investment advisory fees     37,070       34,037  
Spot trade payable     -       6  
Total liabilities     37,070       34,043  
Net Assets   $ 91,032,354     $ 69,978,254  
                 
Net Assets Consist of:                
Capital stock   $ 140,099,176     $ 121,616,713  
Total distributable earnings (accumulated deficit)     (49,066,822 )     (51,638,459 )
Net Assets:   $ 91,032,354     $ 69,978,254  
                 
Calculation of Net Asset Value Per Share:                
Net Assets   $ 91,032,354     $ 69,978,254  
Shares Outstanding (unlimited shares of beneficial interest authorized, no par value)     1,850,000       2,375,000  
Net Asset Value per Share   $ 49.21     $ 29.46  
                 
Cost of Investments   $ 84,590,731     $ 67,998,179  

 

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

 

  19  

 

 

ALPHA ARCHITECT ETFs

 

STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)

March 31, 2022 (Unaudited)

 

 

    Alpha Architect Value Momentum Trend
ETF
 
Assets:        
Investments in affiliates, at value   $ 42,990,981  
Non-affiliated investments, at value     183,359  
Deposit at broker for securities sold short     12,248,909  
Securities lending income receivable (Note 4)     2,636  
Interest receivable     17  
Total assets     55,425,902  
Liabilities:        
Securities sold short, at value     11,787,555  
Accrued investment advisory fees     8,972  
Broker interest payable     6,461  
Total liabilities     11,802,988  
Net Assets   $ 43,622,914  
         
Net Assets Consist of:        
Capital Stock   $ 61,048,378  
Total distributable earnings (accumulated deficit)     (17,425,464 )
Net Assets:   $ 43,622,914  
         
Calculation of Net Asset Value Per Share:        
Net Assets   $ 43,622,914  
Shares Outstanding (unlimited shares of beneficial interest authorized, no par value)     1,690,000  
Net Asset Value per Share   $ 25.81  
         
Cost of Investments in Affiliates   $ 41,733,140  
Cost of Non-Affiliated Investments   $ 183,359  
Proceeds from Securities Sold Short   $ 12,243,561  

 

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

 

  20  

 

 

ALPHA ARCHITECT ETFs

 

STATEMENTS OF OPERATIONS

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

 

 

    Alpha Architect U.S. Quantitative Value
ETF
    Alpha Architect International Quantitative Value
ETF
 
Investment Income:                
Dividend income (net of foreign withholding tax of $0 and $200,132, respectively)   $ 2,456,665     $ 3,343,880  
Securities lending income     1,003       751  
Interest income     151       108  
Total investment income     2,457,819       3,344,739  
                 
Expenses:                
Investment advisory fees     559,030       403,006  
Total expenses     559,030       403,006  
                 
Net investment income     1,898,789       2,941,733  
                 
Realized and Unrealized Gain (Loss) on Investments:                
Net realized gain (loss) on:                
Investments     11,162,530       (3,994,068 )
Foreign currency     -       (67,736 )
      11,162,530       (4,061,804 )
Net change in unrealized appreciation (depreciation) on:                
Investments     2,938,603       5,211,127  
Foreign currency     -       (2,293,608 )
      2,938,603       2,917,519  
Net realized and unrealized gain (loss) on investments:     14,101,133       (1,144,285 )
Net increase in net assets resulting from operations   $ 15,999,922     $ 1,797,448  

 

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

 

  21  

 

 

ALPHA ARCHITECT ETFs

 

STATEMENTS OF OPERATIONS (CONTINUED)

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

 

 

    Alpha Architect U.S. Quantitative Momentum
ETF
    Alpha Architect International Quantitative Momentum
ETF
 
Investment Income:                
Dividend income (net of foreign withholding tax of $0 and $99,988, respectively)   $ 733,288     $ 809,355  
Interest income     71       27  
Securities lending income     44       -  
Total investment income     733,403       809,382  
                 
Expenses:                
Investment advisory fees     216,950       210,192  
Total expenses     216,950       210,192  
                 
Net investment income     516,453       599,190  
                 
Realized and Unrealized Loss on Investments:                
Net realized loss on:                
Investments     (9,017,717 )     (10,969,522 )
Foreign currency     -       (39,913 )
      (9,017,717 )     (11,009,435 )
Net change in unrealized appreciation (depreciation) on:                
Investments     8,552,369       (82,029 )
Foreign currency     -       672,449  
      8,552,369       590,420  
Net realized and unrealized loss     (465,348 )     (10,419,015 )
Net increase (decrease) in net assets resulting from operations   $ 51,105     $ (9,819,825 )

 

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

 

  22  

 

 

ALPHA ARCHITECT ETFs

 

STATEMENTS OF OPERATIONS (CONTINUED)

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

 

 

    Alpha Architect Value Momentum Trend
ETF
 
Investment Income:        
Dividend income from affiliates   $ 557,737  
Securities lending income     4,405  
Interest income     38  
Total investment income     562,180  
         
Expenses:        
Dividend expense     248,377  
Investment advisory fees     101,575  
Broker Interest Expense     19,081  
Total expenses     369,033  
Less: Reimbursement of expenses from Advisor (Note 3)     (46,413 )
Net expenses     322,620  
         
Net investment income     239,560  
         
Realized and Unrealized Gain (Loss) on Investments:        
Net realized gain (loss) on:        
Investments in affiliates     465,705  
Securities sold short     (373,994 )
      91,711  
Net change in unrealized appreciation (depreciation) on:        
Investments in affiliates     (1,940,742 )
Securities sold short     456,006  
      (1,484,736 )
Net realized and unrealized loss on investments     (1,393,025 )
Net decrease in net assets resulting from operations   $ (1,153,465 )

 

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

 

  23  

 

 

ALPHA ARCHITECT ETFs

 

STATEMENTS OF CHANGES IN NET ASSETS

 

 

    Alpha Architect U.S.
Quantitative Value ETF
    Alpha Architect International
Quantitative Value ETF
 
   

For the

Six Months Ended
March 31,
2022
(Unaudited)
    For the
Year Ended
September 30,
2021
   

For the

Six Months Ended
March 31,
2022
(Unaudited)
    For the
Year Ended
September 30,
2021
 
Increase (Decrease) in Net Assets from:                      
Operations:                                
Net investment income   $ 1,898,789     $ 2,308,436     $ 2,941,733     $ 3,497,367  
Net realized gain (loss) on investments     11,162,530       49,082,936       (4,061,804 )     8,026,266  
Net change in unrealized appreciation (depreciation) on investments     2,938,603       231,432       2,917,519       (1,796,219 )
Net increase in net assets resulting from operations     15,999,922       51,622,804       1,797,448       9,727,414  
                                 
Distributions to Shareholders:                                
Net investment income     (2,202,304 )     (2,358,917 )     (3,473,344 )     (2,566,179 )
Total distributions     (2,202,304 )     (2,358,917 )     (3,473,344 )     (2,566,179 )
                                 
Capital Share Transactions:                                
Proceeds from shares sold     135,500,997       373,495,070       74,556,938       256,365,180  
Payments for shares redeemed     (141,293,802 )     (322,643,741 )     (59,038,278 )     (222,462,888 )
Net increase (decrease) in net assets from net change in capital share transactions     (5,792,805 )     50,851,329       15,518,660       33,902,292  
Total increase in net assets     8,004,813       100,115,216       13,842,764       41,063,527  
Net Assets:                                
Beginning of period     213,767,763       113,652,547       133,632,931       92,569,404  
End of period   $ 221,772,576     $ 213,767,763     $ 147,475,695     $ 133,632,931  
                                 
Changes in Shares Outstanding                                
Shares outstanding, beginning of period     6,260,000       4,650,000       4,925,000       3,750,000  
Shares sold     3,680,000       11,760,000       2,875,000       9,300,000  
Shares repurchased     (3,870,000 )     (10,150,000 )     (2,275,000 )     (8,125,000 )
Shares outstanding, end of period     6,070,000       6,260,000       5,525,000       4,925,000  

 

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

 

  24  

 

 

ALPHA ARCHITECT ETFs

 

STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)

 

 

    Alpha Architect U.S.
Quantitative Momentum ETF
    Alpha Architect International
Quantitative Momentum ETF
 
   

For the

Six Months Ended
March 31,
2022
(Unaudited)
    For the
Year Ended
September 30,
2021
   

For the

Six Months Ended
March 31,
2022
(Unaudited)
    For the
Year Ended
September 30,
2021
 
Increase (Decrease) in Net Assets from:                        
Operations:                                
Net investment income   $ 516,453     $ (122,484 )   $ 599,190     $ 739,770  
Net realized gain (loss) on investments     (9,017,717 )     21,479,757       (11,009,435 )     23,961,750  
Net change in unrealized appreciation (depreciation) on investments     8,552,369       (10,937,654 )     590,420       (7,649,091 )
Net increase (decrease) in net assets resulting from operations     51,105       10,419,619       (9,819,825 )     17,052,429  
                                 
Distributions to Shareholders:                                
Net investment income     (112,054 )     -       (789,442 )     (150,000 )
Total distributions     (112,054 )     -       (789,442 )     (150,000 )
                                 
Capital Share Transactions:                                
Proceeds from shares sold     48,197,376       181,109,679       41,367,809       128,333,599  
Payments for shares redeemed     (42,218,104 )     (179,722,907 )     (32,687,043 )     (156,353,568 )
Net increase (decrease) in net assets from net change in capital share transactions     5,979,272       1,386,772       8,680,766       (28,019,969 )
Total increase (decrease) in net assets     5,918,323       11,806,391       (1,928,501 )     (11,117,540 )
Net Assets:                                
Beginning of period     85,114,031       73,307,640       71,906,755       83,024,295  
End of period   $ 91,032,354     $ 85,114,031     $ 69,978,254     $ 71,906,755  
                                 
Changes in Shares Outstanding                                
Shares outstanding, beginning of period     1,730,000       1,750,000       2,100,000       2,900,000  
Shares sold     1,000,000       3,440,000       1,300,000       3,800,000  
Shares repurchased     (880,000 )     (3,460,000 )     (1,025,000 )     (4,600,000 )
Shares outstanding, end of period     1,850,000       1,730,000       2,375,000       2,100,000  

 

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

 

  25  

 

 

ALPHA ARCHITECT ETFs

 

STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)

 

 

    Alpha Architect Value
Momentum Trend ETF
 
   

For the
Six Months Ended

March 31,

2022
(Unaudited)

    For the
Year Ended
September 30,
2021
 
Increase (Decrease) in Net Assets from:                
Operations:                
Net investment income   $ 239,560     $ 279,319  
Net realized gain (loss) on investments     91,711       (1,326,534 )
Net change in unrealized appreciation (depreciation) on investments     (1,484,736 )     6,360,728  
Net increase (decrease) in net assets resulting from operations     (1,153,465 )     5,313,513  
                 
Distributions to Shareholders:                
Net investment income     (331,835 )     (40,000 )
Total distributions     (331,835 )     (40,000 )
                 
Capital Share Transactions:                
Proceeds from shares sold     1,055,050       2,979,058  
Payments for shares redeemed     (1,585,284 )     (12,223,328 )
Net decrease in net assets from net change in capital share transactions     (530,234 )     (9,244,270 )
Total decrease in net assets     (2,015,534 )     (3,970,757 )
Net Assets:                
Beginning of period     45,638,448       49,609,205  
End of period   $ 43,622,914     $ 45,638,448  
                 
Changes in Shares Outstanding                
Shares outstanding, beginning of period     1,710,000       2,075,000  
Shares sold     40,000       110,000  
Shares repurchased     (60,000 )     (475,000 )
Shares outstanding, end of period     1,690,000       1,710,000  

 

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

 

  26  

 

 

ALPHA ARCHITECT ETFs

 

FINANCIAL HIGHLIGHTS
For the Period Ended March 31, 2022 (Unaudited)

 

 

                                                                      Ratios to Average Net Assets  
    Net Asset Value, Beginning of Period     Net Investment Income (Loss)(1)     Net Realized and Unrealized Gains (Loss) on Investments     Net Increase (Decrease) in Net Asset Value Resulting from Operations     Distributions from Net Investment Income     Return of Capital Distribution     Total Distributions     Net Asset Value, End of Period     Total Return(2)     Net Assets, End of Period (000’s)     Net Expenses(3)(4)     Gross Expenses(3)     Net Investment Income (Loss)(3)     Portfolio Turnover Rate(5)  
Alpha Architect U.S. Quantitative Value ETF                                                                                                                
Six Months Ended March 31, 2022 (Unaudited)   $ 34.15       0.30       2.42       2.72       (0.33 )     -       (0.33 )   $ 36.54       7.97 %   $ 221,773       0.49 %     0.49 %     1.66 %     29 %
Year Ended September 30, 2021   $ 24.44       0.42       9.74       10.16       (0.45 )     -       (0.45 )   $ 34.15       41.82 %   $ 213,768       0.49 %     0.49 %     1.33 %     44 %
Year Ended September 30, 2020   $ 27.86       0.59       (3.51 )     (2.92 )     (0.50 )     -       (0.50 )   $ 24.44       (10.52 %)   $ 113,653       0.49 %     0.49 %     2.36 %     78 %
Year Ended September 30, 2019   $ 31.04       0.51       (3.32 )     (2.81 )     (0.37 )     -       (0.37 )   $ 27.86       (8.43 %)   $ 91,941       0.59 %     0.59 %     1.83 %     77 %
Year Ended September 30, 2018   $ 27.11       0.39       3.88       4.27       (0.34 )     -       (0.34 )   $ 31.04       15.72 %   $ 124,150       0.79 %     0.79 %     1.28 %     46 %
Year Ended September 30, 2017   $ 23.12       0.32       3.98       4.30       (0.31 )     -       (0.31 )   $ 27.11       0.19 %   $ 74,565       0.79 %     0.79 %     1.28 %     81 %
                                                                                                                 
Alpha Architect International Quantitative Value ETF                                                                                                                
Six Months Ended March 31, 2022 (Unaudited)   $ 27.13       0.57       (0.33 )     0.24       (0.67 )     -       (0.67 )   $ 26.69       0.89 %   $ 147,476       0.59 %     0.59 %     4.31 %     58 %
Year Ended September 30, 2021   $ 24.69       0.78       2.19       2.97       (0.53 )     -       (0.53 )   $ 27.13       12.00 %   $ 133,633       0.60 %     0.60 %     2.78 %     103 %
Year Ended September 30, 2020   $ 26.76       0.58       (2.05 )     (1.47 )     (0.60 )     -       (0.60 )   $ 24.69       (5.47 %)   $ 92,569       0.59 %     0.59 %     2.26 %     76 %
Year Ended September 30, 2019   $ 30.78       0.73       (3.99 )     (3.26 )     (0.76 )     -       (0.76 )   $ 26.76       (10.46 %)   $ 80,294       0.66 %     0.66 %     2.70 %     76 %
Year Ended September 30, 2018   $ 31.89       0.84       (1.11 )     (0.27 )     (0.84 )     -       (0.84 )   $ 30.78       (0.92 %)   $ 103,097       0.79 %     0.79 %     2.62 %     30 %
Year Ended September 30, 2017   $ 24.66       0.62       7.13       7.75       (0.52 )     -       (0.52 )   $ 31.89       31.77 %   $ 68,554       79.00 %     79.00 %     218.00 %     44 %
                                                                                                                 
Alpha Architect U.S. Quantitative Momentum ETF                                                                                                                
Six Months Ended March 31, 2022 (Unaudited)   $ 49.20       0.29       (0.22 )     0.07       (0.06 )     -       (0.06 )   $ 49.21       0.14 %   $ 91,032       0.49 %     0.49 %     1.17 %     66 %
Year Ended September 30, 2021   $ 41.89       (0.07 )     7.38       7.31       -       -       -     $ 49.20       17.45 %   $ 85,114       0.49 %     0.49 %     (0.13 %)     120 %
Year Ended September 30, 2020   $ 30.02       0.06       11.85       11.91       (0.02 )     (0.02 )     (0.04 )   $ 41.89       39.79 %   $ 73,308       0.49 %     0.49 %     0.18 %     84 %
Year Ended September 30, 2019   $ 33.99       (0.00 )(6)     (3.96 )     (3.96 )     (0.01 )     -       (0.01 )   $ 30.02       (11.63 %)   $ 55,544       0.59 %     0.59 %     (0.01 %)     115 %
Year Ended September 30, 2018   $ 27.15       (0.03 )     6.87       6.84       -       -       -     $ 33.99       25.19 %   $ 84,981       0.79 %     0.79 %     (0.11 %)     91 %
Year Ended September 30, 2017   $ 24.56       0.06       2.61       2.67       (0.07 )     (0.01 )     (0.08 )   $ 27.15       10.90 %   $ 39,370       0.79 %     0.79 %     0.24 %     168 %
                                                                                                                 
Alpha Architect International Quantitative Momentum ETF                                                                                                                
Six Months Ended March 31, 2022 (Unaudited)   $ 34.24       0.27       (4.69 )     (4.42 )     (0.36 )     -       (0.36 )   $ 29.46       (13.04 %)   $ 69,978       0.59 %     0.59 %     1.68 %     92 %
Year Ended September 30, 2021   $ 28.63       0.28       5.40       5.68       (0.07 )     -       (0.07 )   $ 34.24       19.83 %   $ 71,907       0.60 %     0.60 %     0.84 %     99 %
Year Ended September 30, 2020   $ 25.63       0.29       2.97       3.26       (0.26 )     -       (0.26 )   $ 28.63       13.00 %   $ 83,024       0.59 %     0.59 %     1.13 %     158 %
Year Ended September 30, 2019   $ 28.39       0.28       (2.69 )     (2.41 )     (0.35 )     -       (0.35 )   $ 25.63       (8.45 %)   $ 56,388       0.66 %     0.66 %     1.09 %     135 %
Year Ended September 30, 2018   $ 28.24       0.27       0.15       0.42       (0.27 )     -       (0.27 )   $ 28.39       1.42 %   $ 65,296       0.79 %     0.79 %     0.91 %     119 %
Year Ended September 30, 2017   $ 25.88       0.28       2.26       2.54       (0.18 )     -       (0.18 )   $ 28.24       9.90 %   $ 43,767       0.79 %     0.79 %     1.11 %     105 %
                                                                                                                 
Alpha Architect Value Momentum Trend ETF(7)                                                                                                                
Six Months Ended March 31, 2022 (Unaudited)   $ 26.69       0.14       (0.82 )     (0.68 )     (0.20 )     -       (0.20 )   $ 25.81       (2.58 %)   $ 43,623       1.43 %     1.63 %     1.06 %     2 %
Year Ended September 30, 2021   $ 23.91       0.15       2.65       2.80       (0.02 )     -       (0.02 )   $ 26.69       11.73 %   $ 45,639       0.28 %     0.49 %     0.57 %     3 %
Year Ended September 30, 2020   $ 23.52       0.03       0.72       0.75       (0.36 )     -       (0.36 )   $ 23.91       3.10 %   $ 49,609       1.18 %     1.40 %     0.14 %     20 %
Year Ended September 30, 2019   $ 28.98       0.09       (5.43 )     (5.34 )     (0.12 )     -       (0.12 )   $ 23.52       (18.43 %)   $ 81,154       1.84 %     2.14 %     0.37 %     155 %
Year Ended September 30, 2018   $ 27.10       0.34       1.87       2.21       (0.33 )     -       (0.33 )   $ 28.98       8.17 %   $ 130,416       0.01 %(8)     0.46 %(8)     1.16 %(5)     44 %
May 3, 2017(9) to September 30, 2017   $ 25.00       0.13       2.06       2.19       (0.09 )     (0.00 )(6)     (0.09 )   $ 27.10       8.77 %   $ 40,644       0.00 %     0.45 %     1.27 %     0 %

 

(1) Net investment income (loss) per share represents net investment income (loss) divided by the daily average shares of beneficial interest outstanding throughout each period.
(2) All returns reflect reinvested dividends, if any, but do not reflect the impact of taxes. Total return for a period of less than one year is not annualized.
(3) For periods of less than one year, these ratios are annualized.
(4) Net expenses include effects of any reimbursement or recoupment.
(5) Portfolio turnover is not annualized and is calculated without regard to short-term securities having a maturity of less than one year.
(6) Rounds to less than $0.005.
(7) Net and gross expenses do not include expenses of the investment companies in which the Fund invests.
(8) The net expenses, total expenses, and net investment income (loss) ratios excluding the effect of broker interest expense on securities sold short were 0.00%, 0.45%, and 1.17%, respectively.
(9) Commencement of operations.

 

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

 

  27  

 

 

ALPHA ARCHITECT ETFs

 

NOTES TO THE FINANCIAL STATEMENTS

MARCH 31, 2022 (UNAUDITED)

 

 

NOTE 1 – ORGANIZATION

 

Each of Alpha Architect U.S. Quantitative Value ETF, Alpha Architect International Quantitative Value ETF, Alpha Architect U.S. Quantitative Momentum ETF, Alpha Architect International Quantitative Momentum ETF, and Alpha Architect Value Momentum Trend ETF (individually, a “Fund” or collectively the “Funds”) is a series of the Alpha Architect ETF Trust (the “Trust”), which was organized as a Delaware statutory trust on October 11, 2013. The Trust is registered with the Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and the offering of the Funds’ shares (“Shares”) is registered under the Securities Act of 1933, as amended (the “Securities Act”). Each Fund is considered diversified under the 1940 Act. Each Fund qualifies as an investment company as defined in the Financial Accounting Standards Codification Topic 946-Financial Services-Investment Companies. Below is the investment objective along with a brief description of the respective investment strategy for each Fund.

 

Alpha Architect US Quantitative Value ETF. The investment objective is to seek long-term capital appreciation. The Fund is actively managed by Empowered Funds, LLC, d/b/a EA Advisers (the “Adviser”) the Fund’s investment adviser. The Adviser manages the Fund using proprietary methodology developed by Empirical Finance, LLC, d/b/a Alpha Architect (the Adviser’s parent) and licensed to the Adviser. The Adviser employs a multi-step, quantitative, rules-based methodology to identify a portfolio of approximately 50 to 100 undervalued U.S. equity securities with the potential for capital appreciation. A security is considered to be undervalued when it trades at a price below the price at which the Adviser believes it would trade if the market reflected all factors relating to the company’s worth. The Adviser analyzes an initial universe of liquid stocks that principally trade on a U.S. exchange. Typically, the minimum market capitalization for the smallest-capitalization stocks in the initial universe is above $1 billion.

 

Alpha Architect International Quantitative Value ETF. The investment objective is to seek long-term capital appreciation. The Fund is actively managed by Empowered Funds, LLC, d/b/a EA Advisers the Fund’s investment adviser. The Adviser manages the Fund using proprietary methodology developed by Empirical Finance, LLC, d/b/a Alpha Architect (the Adviser’s parent) and licensed to the Adviser. The Adviser employs a multi-step, quantitative, rules-based methodology to identify a portfolio of approximately 50 to 100 undervalued international equity securities with the potential for capital appreciation. A security is considered to be undervalued when it trades at a price below the price at which the Adviser believes it would trade if the market reflected all factors relating to the company’s worth. The Adviser analyzes an initial universe of liquid stocks that principally trade developed non-U.S. markets securities exchanges in countries included in the MSCI EAFE Index. Typically, the minimum market capitalization for the smallest-capitalization stocks in the initial universe is above $1 billion.

 

Alpha Architect U.S. Quantitative Momentum ETF. The investment objective is to seek long-term capital appreciation. The Fund is actively managed by Empowered Funds, LLC, d/b/a EA Advisers the Fund’s investment adviser. The Adviser manages the Fund using proprietary methodology developed by Empirical Finance, LLC, d/b/a Alpha Architect (the Adviser’s parent) and licensed to the Adviser. The Adviser employs a multi-step, quantitative, rules-based methodology to identify a portfolio of approximately 50 to 100 equity securities with the highest relative momentum, as described below. A “momentum” style of investing emphasizes investing in securities that have had higher recent total return performance compared to other securities. The Adviser analyzes an initial universe of liquid stocks that principally trade on a U.S. exchange. Typically, the minimum market capitalization for the smallest-capitalization stocks in the initial universe is above $1 billion.

 

Alpha Architect International Quantitative Momentum ETF. The investment objective is to seek long-term capital appreciation. The Fund is actively managed by Empowered Funds, LLC, d/b/a EA Advisers the Fund’s investment adviser. The Adviser manages the Fund using proprietary methodology developed by Empirical Finance, LLC, d/b/a Alpha Architect (the Adviser’s parent) and licensed to the Adviser. The Adviser employs a multi-step, quantitative, rules-based methodology to identify a portfolio of approximately 50 to 100 non-U.S. equity securities with the highest relative momentum, as described below. A “momentum” style of investing emphasizes investing insecurities that have had higher recent total return performance compared to other securities. The Adviser analyzes an initial universe of liquid stocks that principally trade on developed non-U.S. markets securities exchanges in countries included in the MSCI EAFE Index. Typically, the minimum market capitalization for the smallest-capitalization stocks in the initial universe is above $1 billion.

 

  28  

 

 

ALPHA ARCHITECT ETFs

 

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

MARCH 31, 2022 (UNAUDITED)

 

 

Alpha Architect Value Momentum Trend ETF. The investment objective is to seek long-term capital appreciation while attempting to minimize market drawdown. The Fund is actively managed by Empowered Funds, LLC, d/b/a EA Advisers the Fund’s investment adviser. The Adviser manages the Fund using proprietary methodology developed by Empirical Finance, LLC, d/b/a Alpha Architect (the Adviser’s parent) and licensed to the Adviser. The Fund is a “fund of funds,” meaning that it primarily invests its assets in the shares of other exchange-traded funds (“ETFs”), rather than in securities of individual companies. The Fund’s portfolio will be composed primarily of the other ETFs advised by the Adviser (the “Alpha Architect ETFs”). Currently, there are four Alpha Architect ETFs, which invest in either domestic or international equity securities, and employ either a “momentum” or a “value” investment strategy. In addition, the Fund may, from time to time, use hedging strategies. To seek to avoid down trending markets, the Fund may hedge up to 100% of the value of its long portfolio. The Adviser uses a mathematical modeling approach with respect to the use of hedging techniques. The Fund may use derivatives, including U.S. exchange-traded stock index futures or options thereon, to seek to hedge during times when the Adviser’s model indicates that the U.S. equity market or international equity market identifies unfavorable trends in each respective market.

 

Shares of the Funds are listed and traded on Cboe BZX Exchange, Inc. (“Cboe”). Market prices for the shares may be different from their net asset value (“NAV”). Each Fund issues and redeems shares on a continuous basis at NAV only in blocks of shares, called “Creation Units.” For Alpha Architect U.S. Quantitative Value ETF, Alpha Architect U.S. Quantitative Momentum ETF, and Alpha Architect Value Momentum Trend ETF, a creation unit consists of 10,000 shares. For Alpha Architect International Quantitative Value ETF and Alpha Architect International Quantitative Momentum ETF a Creation Unit consists of 25,000 shares. Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, shares generally trade in the secondary market at market prices that change throughout the day in share amounts less than a Creation Unit. Except when aggregated in Creation Units, shares are not redeemable securities of a Fund. Shares of a Fund may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem the shares directly from a Fund. Rather, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.

 

Authorized Participants may be required to pay a transaction fee to compensate the Trust or its custodian for costs incurred in connection with creation and redemption transactions. The standard transaction fee, which is payable to the Trust’s custodian, typically applies to in-kind purchases of a Fund effected through the clearing process on any business day, regardless of the number of Creation Units purchased or redeemed that day (“Standard Transaction Fees”). Variable fees are imposed to compensate the Funds for the transaction costs associated with the cash transactions fees. Certain fund deposits consisting of cash-in-lieu or cash value may be subject to a variable charge (“Variable Transaction Fees”), which is payable to the Funds, of up to 2.00% of the value of the order in addition to the Standard Transaction Fee. Variable Transaction Fees received by each Fund, if any, are displayed in the Capital Share Transactions sections of the Statements of Changes in Net Assets.

 

Because, among other things, the Funds impose transaction fees on purchases and redemptions of Shares to cover the custodial and other costs incurred by a Fund in effecting trades, the Board determined that it is not necessary to adopt policies and procedures to detect and deter market timing of the Funds’ Shares.

 

  29  

 

 

ALPHA ARCHITECT ETFs

 

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

MARCH 31, 2022 (UNAUDITED)

 

 

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

 

The following is a summary of significant accounting policies consistently followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

 

A. Security Valuation. Equity securities that are traded on a national securities exchange, except those listed on the NASDAQ Global Market® (“NASDAQ”), are valued at the last reported sale price on the exchange on which the security is principally traded. Securities traded on NASDAQ will be valued at the NASDAQ Official Closing Price (“NOCP”). If, on a particular day, an exchange-traded or NASDAQ security does not trade, then the most recent quoted bid for exchange-traded or the mean between the most recent quoted bid and ask price for NASDAQ securities will be used. Equity securities that are not traded on a listed exchange are generally valued at the last sale price in the over-the-counter market. If a non-exchange traded security does not trade on a particular day, then the mean between the last quoted closing bid and asked price will be used. Prices denominated in foreign currencies are converted to U.S. dollar equivalents at the current exchange rate, which approximates fair value. Redeemable securities issued by open-end investment companies are valued at the investment company’s applicable net asset value, with the exception of exchange-traded open-end investment companies which are priced as equity securities.

 

Securities for which quotations are not readily available are valued by a committee established by the Trust’s Board of Trustees (the “Board”) in accordance with procedures established by the Board. This “fair valuation” process is designed to value the subject security at the price the Trust would reasonably expect to receive upon its current sale. When a security is “fair valued,” consideration is given to the facts and circumstances relevant to the particular situation, including a review of various factors set forth in the pricing procedures adopted by the Board. The use of “fair value” pricing by a Fund may cause the net asset value of its shares to differ significantly from the net asset value that would be calculated without regard to such considerations. As of March 31, 2022, the Funds did not hold any “fair valued” securities.

 

As described above, the Funds may use various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are:

 

Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.

 

Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

 

Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability and would be based on the best information available.

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

  30  

 

 

ALPHA ARCHITECT ETFs

 

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

MARCH 31, 2022 (UNAUDITED)

 

 

The following is a summary of the fair value classification of each Fund’s investments as of March 31, 2022:

 

DESCRIPTION   LEVEL 1     LEVEL 2     LEVEL 3     TOTAL  
Alpha Architect U.S. Quantitative Value ETF                                
Assets*                                
Common Stocks   $ 220,670,220     $ -     $ -     $ 220,670,220  
Investments Purchased with Proceeds from Securities Lending     356,096       -       -       356,096  
Money Market Funds     1,026,851       -       -       1,026,851  
Total Investments in Securities   $ 222,053,167     $ -     $ -     $ 222,053,167  
                                 
Alpha Architect International Quantitative Value ETF                                
Assets*                                
Common Stocks   $ 144,392,251     $ -     $ -     $ 144,392,251  
Money Market Funds     1,340,555       -       -       1,340,555  
Total Investments in Securities   $ 145,732,806     $ -     $ -     $ 145,732,806  
                                 
Alpha Architect U.S. Quantitative Momentum ETF                                
Assets*                                
Common Stocks   $ 90,587,540     $ -     $ -     $ 90,587,540  
Money Market Funds     457,430       -       -       457,430  
Total Investments in Securities   $ 91,044,970     $ -     $ -     $ 91,044,970  
                                 
Alpha Architect International Quantitative Momentum ETF                                
Assets*                                
Common Stocks   $ 69,229,758     $ -     $ -     $ 69,229,758  
Money Market Funds     267,317       -       -       267,317  
Total Investments in Securities   $ 69,497,075     $ -     $ -     $ 69,497,075  
                                 
Alpha Architect Value Momentum Trend ETF                                
Assets*                                
Investment Companies   $ 42,990,981     $ -     $ -     $ 42,990,981  
Money Market Funds     183,359       -       -       183,359  
Total Investments in Securities   $ 43,174,340     $ -     $ -     $ 43,174,340  
Liabilities*                                
Investment Companies   $ (11,787,555 )   $ -     $ -     $ (11,787,555 )
Total Investments in Securities   $ (11,787,555 )   $ -     $ -     $ (11,787,555 )

 

* For further detail on each asset class, see the Schedule of Investments

 

  31  

 

 

ALPHA ARCHITECT ETFs

 

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

MARCH 31, 2022 (UNAUDITED)

 

 

During the fiscal year ended March 31, 2022, there were transfers between Levels 1 and 3. Transfers from Level 1 to Level 3 occurred because quoted prices were unavailable for the securities. Below is a reconciliation that details the activity of securities classified as Level 3 during the period ended March 31, 2022.

 

    Alpha Architect International Quantitative Value ETF  
    Rights  
Value, Beginning of Period   $ -  
Purchases     2,617,303  
Proceeds from Sales     (2,617,303 )
Net Realized Gains (Losses)     -  
Return of Capital     -  
Change in Unrealized Appreciation (Depreciation)     -  
Transfers In/(Out) of Level 3     -  
Value, End of Period   $ -  

 

B. Risks. Markets may perform poorly and the returns from the securities in which a Fund invests may underperform returns from the general securities markets. Securities markets may experience periods of high volatility and reduced liquidity in response to governmental actions or intervention, economic or market developments, or other external factors. The value of a company’s securities may rise or fall in response to company, market, economic or other news.

 

Foreign securities may underperform U.S. securities and may be more volatile than U.S. securities. Risks relating to investments in foreign securities (including, but not limited to, depositary receipts and participation certificates) and to securities of issuers with significant exposure to foreign markets include: currency exchange rate fluctuation; less available public information about the issuers of securities; less stringent regulatory standards; lack of uniform accounting, auditing and financial reporting standards; and country risks including less liquidity, high inflation rates, unfavorable economic practices, political instability and expropriation and nationalization risks.

 

The risks of foreign securities typically are greater in emerging and less developed markets. For example, in addition to the risks associated with investments in any foreign country, political, legal and economic structures in these less developed countries may be new and changing rapidly, which may cause instability and greater risk of loss. These securities markets may be less developed and securities in those markets are generally more volatile and less liquid than those in developed markets. Investing in emerging market countries may involve substantial risk due to, among other reasons, limited information; higher brokerage costs; different accounting, auditing and financial reporting standards; less developed legal systems and thinner trading markets as compared to those in developed countries; different clearing and settlement procedures and custodial services; and currency blockages or transfer restrictions. Emerging market countries also are more likely to experience high levels of inflation, deflation or currency devaluations, which could hurt their economies and securities markets. Certain emerging markets also may face other significant internal or external risks, including a heightened risk of war and ethnic, religious and racial conflicts. In addition, governments in many emerging market countries participate to a significant degree in their economies and securities markets, which may impair investment and economic growth of companies in those markets. Such markets may also be heavily reliant on foreign capital and, therefore, vulnerable to capital flight.

 

For Alpha Architect Value Momentum Trend ETF, the risks of hedging include hedging activity sometimes being ineffective due to unexpected changes in the market. Hedging also involves the risk that changes in the value of the related security or basket of securities will not match those of the instruments being hedged as expected, in which case any losses on the instruments being hedged may not be reduced.

 

  32  

 

 

ALPHA ARCHITECT ETFs

 

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

MARCH 31, 2022 (UNAUDITED)

 

 

The global outbreak of COVID-19 has disrupted economic markets and the prolonged economic impact is uncertain. The operational and financial performance of the issuers of securities in which the Funds invest depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn impact the value of the Funds’ investments.

 

See the Funds’ Prospectus and Statement of Additional Information regarding the risks of investing in shares of the Funds.

 

C. Foreign Currency. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts using the spot rate of exchange at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions.

 

The Funds do isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. That portion of gains (losses) attributable to the changes in market prices and the portion of gains (losses) attributable to changes in foreign exchange rates are included on the “Statement of Operations” under “Net realized gain (loss) – Foreign currency” and “Change in Net Unrealized Appreciation (Depreciation) – Foreign Currency,” respectively.

 

Each Fund reports net realized foreign exchange gains or losses that arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal year-end, resulting from changes in exchange rates.

 

D. Federal Income Taxes. Each Fund intends to continue to comply with the requirements of subchapter M of the Internal Revenue Code of 1986, as amended, as necessary to qualify as a regulated investment company and distribute substantially all net taxable investment income and net realized gains to shareholders in a manner which results in no tax cost to a Fund. Therefore, no federal income tax provision is required. As of and during the fiscal period ended March 31, 2022, the Funds did not have any tax positions that did not meet the “more-likely-than-not” threshold of being sustained by the applicable tax authority. As of and during the fiscal period ended March 31, 2022, the Funds did not have liabilities for any unrecognized tax benefits. A Fund would/will recognize interest and penalties, if any, related to unrecognized tax benefits on uncertain tax positions as income tax expense in the Statement of Operations. During the fiscal period ended March 31, 2022, the Funds did not incur any interest or penalties. Each Fund is subject to examination by U.S. taxing authorities for the tax periods since each Fund’s commencement of operations.

 

Each Fund may be subject to taxes imposed on realized and unrealized gains on securities of certain foreign countries in which the Fund invests. The foreign tax expense, if any, was recorded on an accrual basis and is included in “Net realized gain (loss) on investments” and “Net increase (decrease) in unrealized appreciation or depreciation on investments” on the accompanying Statements of Operations. The amount of foreign tax owed, if any, is included in “Payable for foreign taxes” on the accompanying Statements of Assets and Liabilities and is comprised of withholding taxes on foreign dividends and taxes on unrealized gains.

 

E. Security Transactions and Investment Income. Investment securities transactions are accounted for on the trade date. Gains and losses realized on sales of securities are determined on a specific identification basis. Dividend income is recorded on the ex-dividend date, net of any foreign taxes withheld at source. Interest income is recorded on an accrual basis. Withholding taxes on foreign dividends have been provided for in accordance with the Funds’ understanding of the applicable tax rules and regulations.

 

  33  

 

 

ALPHA ARCHITECT ETFs

 

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

MARCH 31, 2022 (UNAUDITED)

 

 

Distributions to shareholders from net investment income for Alpha Architect U.S. Quantitative Value ETF are declared and paid on a quarterly basis. Distributions to shareholders from net investment income for Alpha Architect International Quantitative Value ETF, Alpha Architect U.S. Quantitative Momentum ETF, Alpha Architect International Quantitative Momentum ETF, and Alpha Architect Value Momentum Trend ETF are declared and paid on an annual basis. Distributions to shareholders from net realized gains on securities normally are declared and paid on an annual basis. Distributions are recorded on the ex-dividend date. Each Fund may distribute more frequently, if necessary, for tax purposes.

 

F. Use of Estimates. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements, as well as the reported amounts of increases and decreases in net assets from operations during the period. Actual results could differ from those estimates.

 

G. Share Valuation. The NAV per share of each Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash and other assets, minus all liabilities (including estimated accrued expenses) by the total number of shares outstanding for the Fund, rounded to the nearest cent. The Funds’ shares will not be priced on the days on which the New York Stock Exchange (“NYSE”) is closed for regular trading. The offering and redemption price per share for each Fund is equal to the Fund’s net asset value per share.

 

J. Guarantees and Indemnifications. In the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. Additionally, as is customary, the Trust’s organizational documents permit the Trust to indemnify its officers and trustees against certain liabilities under certain circumstances. Each Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be against the Fund that have not yet occurred. As of the date of this Report, no claim has been made for indemnification pursuant to any such agreement of the Funds.

 

K. Reclassification of Capital Accounts. GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. In addition, the Funds realized net capital gains resulting from in-kind redemptions, in which shareholders exchanged Fund shares for securities held by the Funds rather than for cash. Because such gains are not taxable to the Funds, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital. No reclassifications were made for the fiscal period ended March 31, 2022.

 

NOTE 3 – COMMITMENTS AND OTHER RELATED PARTY TRANSACTIONS

 

Empowered Funds, LLC d/b/a EA Advisers serves as the investment adviser to the Funds. Pursuant to investment advisory agreements (the “Advisory Agreements”) between the Trust, on behalf of the Funds, and the Adviser, the Adviser provides investment advice to the Funds and oversees the day-to-day operations of the Funds, subject to the direction and control of the Board and the officers of the Trust. Under the Advisory Agreements, the Adviser is also responsible for arranging transfer agency, custody, fund administration and accounting, and other non-distribution related services necessary for the Funds to operate. The Adviser administers the Funds’ business affairs, provides office facilities and equipment and certain clerical, bookkeeping and administrative services. The Adviser agrees to pay all expenses incurred by the Funds except for the fee paid to the Adviser pursuant to the Advisory Agreement, payments under any distribution plan adopted pursuant to Rule 12b-1, brokerage expenses, acquired fund fees and expenses, taxes, interest (including borrowing costs), litigation expenses and other non-routine or extraordinary expenses.

 

U.S. Bank, N.A. (the “Custodian”) acts as the securities lending agent (the “Securities Lending Agent”) for the Fund.

 

  34  

 

 

ALPHA ARCHITECT ETFs

 

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

MARCH 31, 2022 (UNAUDITED)

 

 

At a Board meeting held on October 1, 2021, the Trustees, including each Trustee, who is not an “interested person” of the Trust, as defined in the 1940 Act, approved the Advisory Agreement for the Alpha Architect U.S. Quantitative Value ETF, Alpha Architect International Quantitative Value ETF, Alpha Architect U.S. Quantitative Momentum ETF, Alpha Architect International Quantitative Momentum ETF, and Alpha Architect Value Momentum Trend ETF. A description of the Board’s consideration was included in the Funds’ annual report dated September 30, 2021.

 

The table below represents the annual rate (after fee waivers) based on average daily net assets that each Fund pays the Adviser monthly:

 

Alpha Architect U.S. Quantitative Value ETF     0.49 %
Alpha Architect International Quantitative Value ETF     0.59 %
Alpha Architect U.S. Quantitative Momentum ETF     0.49 %
Alpha Architect International Quantitative Momentum ETF     0.59 %
Alpha Architect Value Momentum Trend ETF     0.24 %

 

The Adviser has contractually agreed to waive all or a portion of its management fee for the Alpha Architect Value Momentum Trend ETF until at least January 31, 2023 to the extent necessary to prevent (i) management fees paid to the investment adviser for the Fund plus (ii) the aggregate amount of management fees paid to the Adviser for management of the Alpha Architect ETFs that are directly attributable to the Fund’s ownership of shares of the Alpha Architect ETFs, from exceeding 0.79% of the Fund’s daily net assets. This waiver agreement may be terminated only by agreement of the investment adviser and the Fund’s Board of Trustees. The fee waived is not subject to recoupment.

 

NOTE 4 – SECURITIES LENDING

 

On October 1, 2021, the Board approved the use of securities lending. The Funds may lend up to 33⅓% of the value of the securities in their portfolios to brokers, dealers and financial institutions (but not individuals) under terms of participation in a securities lending program administered by the Securities Lending Agent. The securities lending agreement requires that loans are collateralized at all times in an amount equal to at least 102% of the value of any domestic loaned securities at the time of the loan, plus accrued interest. The use of loans of foreign securities, which are denominated and payable in U.S. dollars, shall be collateralized in an amount equal to 105% of the value of any loaned securities at the time of the loan plus accrued interest. The Funds receive compensation in the form of fees and earn interest on the cash collateral. The amount of fees depends on a number of factors including the type of security and length of the loan. The Funds continue to receive interest payments or dividends on the securities loaned during the borrowing period. Gain or loss on the value of securities loaned that may occur during the term of the loan will be for the account of the Funds. The Funds have the right under the terms of the securities lending agreement to recall the securities from the borrower on demand.

 

The securities lending agreement provides that, in the event of a borrower’s material default, the Securities Lending Agent shall take all actions the Securities Lending Agent deems appropriate to liquidate the collateral, purchase replacement securities at the Securities Lending Agent’s expense, or pay the Fund an amount equal to the market value of the loaned securities, subject to certain limitations which are set forth in detail in the securities lending agreement between the Fund and the Securities Lending Agent.

 

As of the end of the current fiscal period, the Funds had loaned securities and received cash collateral for the loans. The cash collateral is invested by the Securities Lending Agent in accordance with the Trust-approved investment guidelines. Those guidelines require the cash collateral to be invested in readily marketable, high quality, short-term obligations; however, such investments are subject to risk of payment delays or default on the part of the issuer or counterparty or otherwise may not generate sufficient interest to support the costs associated with securities lending. The Funds could also experience delays in recovering their securities and possible loss of income or value if the borrower fails to return the borrowed securities, although the Funds are indemnified from this risk by contract with the Securities Lending Agent.

 

  35  

 

 

ALPHA ARCHITECT ETFs

 

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

MARCH 31, 2022 (UNAUDITED)

 

 

As of the end of the current fiscal period, the values of the securities on loan and payable for collateral due to broker for the Funds were as follows:

 

    Value of     Payable for  
    Securities     Collateral  
    on Loan     Received*  
Alpha Architect US Quantitative Value ETF   $ 332,867     $ 356,096  

 

* The cash collateral received was invested in the First American Money Market Government Obligations Fund as shown on the Schedule of Investments. The investment objective is to seek maximum current income to the extent consistent with the preservation of capital and maintenance of liquidity.

 

The interest income earned by the Funds on the investment of cash collateral received from borrowers for the securities loaned to them (“Securities Lending Income, Net”) is reflected in the Funds’ Statements of Operations. Net securities lending income earned on collateral investments and recognized by the Funds during the current fiscal period, was as follows:

 

Alpha Architect US Quantitative Value ETF   $ 1,003  
Alpha Architect International Quantitative Value ETF   751  
Alpha Architect US Quantitative Momentum ETF   44  
Alpha Architect International Quantitative Momentum ETF   -  
Alpha Architect Value Momentum Trend ETF   4,405  

 

NOTE 5 – PURCHASES AND SALES OF SECURITIES

 

For the fiscal period ended March 31, 2022, purchases and sales of securities for the Funds, excluding short-term securities and in-kind transactions, were as follows:

 

    Purchases     Sales  
Alpha Architect U.S. Quantitative Value ETF   $ 180,723,097     $ 65,285,032  
Alpha Architect International Quantitative Value ETF     132,904,670       78,231,112  
Alpha Architect U.S. Quantitative Momentum ETF     100,081,177       58,033,229  
Alpha Architect International Quantitative Momentum ETF     98,432,417       65,710,525  
Alpha Architect Value Momentum Trend ETF     965,285       1,412,727  

 

For the fiscal period ended March 31, 2022, in-kind transactions associated with creations and redemptions were as follows:

 

    Purchases     Sales  
Alpha Architect U.S. Quantitative Value ETF   $ 18,476,858     $ 139,902,418  
Alpha Architect International Quantitative Value ETF     17,362,158       58,226,125  
Alpha Architect U.S. Quantitative Momentum ETF     6,407,438       42,048,822  
Alpha Architect International Quantitative Momentum ETF     8,617,397       33,211,213  
Alpha Architect Value Momentum Trend ETF     1,054,716       1,566,705  

 

  36  

 

 

ALPHA ARCHITECT ETFs

 

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

MARCH 31, 2022 (UNAUDITED)

 

 

For the fiscal period ended March 31, 2022, short-term and long-term gains on in-kind transactions were as follows:

 

    Short Term     Long Term  
Alpha Architect U.S. Quantitative Value ETF   $ 19,945,155     $ 879,886  
Alpha Architect International Quantitative Value ETF     5,329,537       1,525,454  
Alpha Architect U.S. Quantitative Momentum ETF     4,901,112       -  
Alpha Architect International Quantitative Momentum ETF     5,418,872       1,663,190  
Alpha Architect Value Momentum Trend ETF     (3,624 )     255,589  

 

There were no purchases or sales of U.S. Government securities during the fiscal period.

 

NOTE 6 – TRANSACTIONS WITH AFFILIATES

 

The Alpha Architect Value Momentum Trend ETF’s (the “Fund”) transactions with affiliates represent holdings for which the Fund and the underlying Alpha Architect ETFs have the same investment adviser. The Alpha Architect Value Momentum Trend ETF had the following transactions with such affiliated Alpha Architect ETFs during the fiscal period March 31, 2022:

 

    Alpha Architect U.S. Quantitative Value
ETF
    Alpha Architect International Quantitative Value
ETF
    Alpha Architect U.S. Quantitative Momentum ETF     Alpha Architect International Quantitative Momentum ETF     Total  
Value, Beginning of Period   $ 9,861,507     $ 12,294,640     $ 9,237,459     $ 14,032,799     $ 45,426,405  
Purchases     229,319       442,376       620,118       728,187       2,020,000  
Proceeds from Sales     (1,749,298 )     (431,932 )     (341,798 )     (456,405 )     (2,979,433 )
Net Realized Gains (Losses)     310,970       (3,624 )     143,905       13,497       464,748  
Change in Unrealized Appreciation (Depreciation)     397,687       (222,661 )     (116,291 )     (1,999,474 )     (1,940,739 )
Value, End of Period     9,050,185       12,078,799       9,543,393       12,318,604       42,990,981  
Dividend Income     94,078       305,089       11,666       146,904       557,737  
Return of Capital Distributions     -       -       -       -       -  
Capital Gains Distributions     -       -       -       -       -  

 

    Alpha Architect U.S. Quantitative Value
ETF
   

Alpha Architect International Quantitative Value

ETF

    Alpha Architect U.S. Quantitative Momentum ETF     Alpha Architect International Quantitative Momentum ETF  
Shares, Beginning of Period     288,306       455,020       187,461       411,798  
Number of Shares Purchased     6,298       16,575       12,492       21,842  
Number of Shares Sold     (47,196 )     (16,135 )     (6,806 )     (14,798 )
Shares, End of Period     247,408       455,460       193,147       418,842  

 

  37  

 

 

ALPHA ARCHITECT ETFs

 

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

MARCH 31, 2022 (UNAUDITED)

 

 

NOTE 7 – TAX INFORMATION

 

The components of tax basis cost of investments and net unrealized appreciation (depreciation) for federal income tax purposes at March 31, 2022 were as follows:

 

    Alpha
Architect U.S.
Quantitative
Value ETF
    Alpha
Architect
International
Quantitative
Value ETF
    Alpha
Architect U.S.
Quantitative
Momentum
ETF
   

Alpha
Architect
International
Quantitative
Momentum

ETF

    Alpha
Architect
Value
Momentum
Trend ETF
 
Tax cost of Investments   $ 208,323,858     $ 137,117,081     $ 87,183,629     $ 70,822,838     $ 42,738,119  
Gross tax unrealized appreciation     11,098,452       5,616,237       3,998,058       6,398,417       5,769,047  
Gross tax unrealized depreciation     (5,789,115 )     (9,920,535 )     (6,096,188 )     (5,491,024 )     (2,851,523 )