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
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 |
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 |
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 |
STATEMENTS OF CHANGES IN NET ASSETS
| Alpha Architect U.S. Quantitative Value ETF |
Alpha Architect International Quantitative Value ETF |
|||||||||||||||
|
For the Six Months EndedMarch 31, 2022 (Unaudited) |
For the Year Ended September 30, 2021 |
For the Six Months EndedMarch 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 EndedMarch 31, 2022 (Unaudited) |
For the Year Ended September 30, 2021 |
For the Six Months EndedMarch 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 March 31, 2022 |
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 |
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 |
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 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 | ) | ||||||||||