BNY
Mellon
ETF
Trust
ANNUAL
REPORT
October
31,
2023
BNY
Mellon
US
Large
Cap
Core
Equity
ETF
BNY
Mellon
US
Mid
Cap
Core
Equity
ETF
BNY
Mellon
US
Small
Cap
Core
Equity
ETF
BNY
Mellon
International
Equity
ETF
BNY
Mellon
Emerging
Markets
Equity
ETF
BNY
Mellon
Core
Bond
ETF
BNY
Mellon
High
Yield
Beta
ETF
Contents
The
Funds
Discussion
of
Funds’
Performance
3
Fund
Performance
17
Understanding
Your
Fund’s
Expenses
24
Statements
of
Investments
25
Statements
of
Assets
and
Liabilities
123
Statements
of
Operations
126
Statements
of
Changes
in
Net
Assets
129
Financial
Highlights
133
Notes
to
Financial
Statements
140
Report
of
Independent
Registered
Public
Accounting
Firm
152
Important
Tax
Information
153
Board
Members
Information
154
Officers
of
the
Trust
155
FOR
MORE
INFORMATION
Back
Cover
Save
time.
Save
paper.
View
your
next
shareholder
report
online
as
soon
as
it’s
available.
Log
into
www.
im.bnymellon.com
and
sign
up
for
eCommunications.
It’s
simple
and
only
takes
a
few
minutes.
The
views
expressed
herein
are
current
to
the
date
of
this
report.
These
views
and
the
composition
of
the
funds’
portfolios
are
subject
to
change
at
any
time
based
on
market
and
other
conditions.
Not
FDIC-Insured
Not
Bank-Guaranteed
May
Lose
Value
3
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
For
the
period
from
November
1,
2022,
through
October
31,
2023,
as
provided
by
David
France,
CFA,
Todd
Frysinger,
CFA,
Vlasta
Sheremeta,
CFA,
Michael
Stoll
and
Marlene
Walker
Smith,
Portfolio
Managers
employed
by
the
fund’s
sub-adviser,
Mellon
Investments
Corporation.
Market
and
Fund
Performance
Overview
For
the
12-month
period
ended
October
31,
2023,
the
BNY
Mellon
US
Large
Cap
Core
Equity
ETF
(the
“fund”)
produced
a
net
asset
value
total
return
of
13.00%.
1
In
comparison,
the
Morningstar
®
US
Large
Cap
Index
SM
(the
“Index”)
2
,
the
fund’s
benchmark,
returned
13.01%
for
the
same
period.
3,4
Large-cap
equities
gained
ground
during
the
reporting
period
as
inflationary
pressures
eased,
the
U.S.
Federal
Reserve
(the
“Fed”)
reduced
the
pace
of
interest-rate
hikes,
and
economic
growth
remained
positive.
The
difference
in
returns
between
the
fund
and
the
Index
resulted
primarily
from
transaction
costs
and
operating
expenses
that
are
not
reflected
in
Index
results.
The
Fund’s
Investment
Approach
The
fund
seeks
to
match
the
performance
of
the
Index
5
.
To
pursue
its
goal,
the
fund
normally
invests
substantially
all
of
its
assets
in
equity
securities
comprising
the
Index.
The
Index
is
a
float-adjusted,
market
capitalization-weighted
index
designed
to
measure
the
performance
of
U.S.
large-
capitalization
stocks.
The
Index’s
initial
universe
of
eligible
securities
includes
common
stock,
tracking
stock
and
shares
of
real
estate
investment
trusts
(REITs)
issued
by
U.S.
companies
and
traded
on
the
New
York
Stock
Exchange,
NASDAQ
or
NYSE
Market
LLC.
At
each
reconstitution,
the
initial
universe
is
screened
to
exclude
securities
based
on
the
number
of
non-
trading
days
in
the
preceding
quarter
and
trading
volume
during
the
preceding
six-month
period.
Securities
with
more
than
10
non-trading
days
in
the
preceding
quarter,
or
that
have
a
bottom
25%
liquidity
score,
as
ranked
by
the
Index
provider
based
on
the
preceding
six-month
trading
volume,
are
excluded.
The
remaining
securities
comprise
the
investable
universe.
The
Index
is
composed
of
the
securities
of
companies
whose
cumulative
total
market
capitalization
represents
approximately
the
top
70%
of
the
remaining
securities
comprising
the
investable
universe.
The
Index
rebalances
quarterly
in
March,
June,
September
and
December,
and
reconstitutes
semi-annually
in
June
and
December.
Equities
Gain
Ground
as
Inflation
Eases
Large-cap
U.S.
equities
gained
ground
during
the
reporting
period
as
interest-rate
hikes
implemented
by
the
Fed
gained
traction
in
the
fight
against
inflation.
Inflation
decreased
from
more
than
7%
annually
in
November
2022
to
between
3%
and
4%
from
June
through
September
2023,
while
the
federal
funds
rate
rose
by
more
than
2%
to
a
range
of
5.25%–5.50%.
Counter
to
expectations,
despite
the
rise
in
interest
rates,
economic
growth
remained
relatively
strong,
bolstered
by
robust
consumer
spending.
As
a
result,
investor
expectations
turned
to
hopes
for
a
“soft
landing,”
in
which
the
Fed
would
bring
inflation
under
control
without
triggering
a
serious
recession.
Growth-oriented
stocks
performed
particularly
well
in
this
environment,
with
market
strength
led
by
mega-cap
technology-related
names
leveraged
to
advances
in
artificial
intelligence
(“AI”).
Value-
oriented
and
interest-rate-sensitive
stocks
underperformed,
with
the
utilities,
real
estate
and
health
care
sectors
lagging
the
Index
by
the
widest
margin.
Market
sentiment
shifted
during
the
last
three
months
of
the
period,
as
hawkish
comments
from
the
Fed
dashed
hopes
that
the
central
bank
might
soon
reverse
course
and
begin
to
reduce
interest
rates.
As
investors
absorbed
the
increasing
likelihood
that
rates
would
remain
higher
for
longer,
stocks
lost
some
of
their
earlier
gains.
Growth-Oriented
Technology
Shares
Lead
Markets
Higher
Communication
services
stocks
produced
the
strongest
returns
in
the
Index,
led
by
fast-growing
technology-centric
companies
such
as
Meta
Platforms,
Inc.
and
Netflix,
Inc.
as
investors’
risk
appetites
increased.
The
information
technology
sector,
with
an
abundance
of
growth-oriented
technology
companies,
outperformed
as
well,
with
notably
strong
returns
from
AI-
related
semiconductor
manufacturers,
such
as
NVIDIA
Corp.
and
Broadcom,
Inc.
The
materials
sector,
leveraged
to
robust
industrial
activity,
also
produced
relatively
strong
returns,
with
leading
names
including
metals
producer
Southern
Copper
Corp.
and
specialty
chemicals
company
Air
Products
&
Chemicals,
Inc.
Conversely,
the
utilities
sector
came
under
pressure
as
rising
interest
rates
undermined
the
appeal
of
high
yielding
stocks.
Notable
underperformers
included
Dominion
Energy,
Inc.
and
NextEra
Energy,
Inc.
Real
estate
stocks,
such
as
Crown
Castle,
Inc.
and
Public
Storage,
lost
ground
as
rising
mortgage
rates
impacted
the
residential
market,
while
underused
office
space
hurt
commercial
property
values.
Finally,
health
care
lagged
as
demand
for
COVID-19
vaccines
and
treatments
slowed
as
the
pandemic
waned,
driving
share
price
contraction
for
companies
such
as
Moderna,
Inc.
and
Pfizer,
Inc.
The
fund’s
use
of
derivatives
during
the
period
was
limited
to
futures
contracts
employed
solely
to
offset
the
impact
of
cash
positions,
which
the
fund
holds
pursuant
to
its
operations,
but
the
Index
does
not.
Such
holdings
helped
the
fund
more
closely
match
the
performance
of
the
Index.
Replicating
the
Performance
of
the
Index
Although
the
Fed
may
not
raise
rates
further
in
the
coming
months,
the
impact
of
recent
rate
hikes
is
likely
to
continue
rippling
through
the
economy
for
some
time
to
come.
Time
will
tell
if
the
rate
increases
already
imposed
can
bring
inflation
down
to
the
Fed’s
target
of
2%,
and
if
the
economy
can
continue
to
grow,
despite
the
impact
of
higher
borrowing
costs
for
consumers
and
businesses
alike.
However
developments
unfold,
in
seeking
to
match
the
performance
of
the
Index,
we
do
not
actively
manage
investments
in
response
to
macroeconomic
trends.
As
always,
we
continue
to
monitor
factors
that
affect
the
fund’s
investments.
4
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
(continued)
November
15,
2023
1
Total
return
includes
reinvestment
of
dividends
and
any
capital
gains
paid.
A
fund’s
net
asset
value
(NAV)
is
the
sum
of
all
its
assets
less
any
liabilities,
divided
by
the
number
of
shares
outstanding.
Exchange-Traded
Funds
(“ETFs”)
are
bought
and
sold
at
market
prices,
not
NAV,
therefore
an
investor’s
return
at
market
price
may
differ
from
NAV.
Past
performance
is
no
guarantee
of
future
results.
Share
price,
yield
and
investment
return
fluctuate
such
that
upon
redemption,
fund
shares
may
be
worth
more
or
less
than
their
original
cost.
2
Effective
November
15,
2023,
the
fund
changed
its
benchmark
to
Solactive
GBS
United
States
500
Index
TR.
3
Source:
Morningstar,
Inc.
The
Morningstar
®
US
Large
Cap
Index
SM
is
a
float-
adjusted,
market
capitalization-weighted
index
that
is
designed
to
measure
the
performance
of
U.S.
large-capitalization
stocks.
The
Index’s
initial
universe
of
eligible
securities
includes
common
stock,
tracking
stock
and
shares
of
real
estate
investment
trusts
(REITs)
issued
by
U.S.
companies
and
traded
on
the
New
York
Stock
Exchange,
NASDAQ
or
NYSE
Market
LLC.
At
each
reconstitution,
the
initial
universe
is
screened
to
exclude
securities
based
on
the
number
of
non-trading
days
in
the
preceding
quarter
and
trading
volume
during
the
preceding
six-month
period.
Securities
with
more
than
10
non-trading
days
in
the
preceding
quarter,
or
that
have
a
bottom
25%
liquidity
score,
as
ranked
by
the
index
provider
based
on
the
preceding
six-month
trading
volume,
are
excluded.
The
remaining
securities
comprise
the
investable
universe.
The
Index
is
composed
of
the
securities
of
companies
whose
cumulative
total
market
capitalization
represents
approximately
the
top
70%
of
the
remaining
securities
comprising
the
investable
universe.
Investors
cannot
invest
directly
in
any
index.
Investors
cannot
invest
directly
in
any
index.
4
Morningstar
®
is
a
service
mark
of
Morningstar,
Inc.
and
has
been
licensed
for
use
for
certain
purposes
by
BNY
Mellon
ETF
Investment
Adviser,
LLC.
The
fund
is
not
sponsored,
endorsed,
sold
or
promoted
by
Morningstar,
and
Morningstar
makes
no
representation
regarding
the
advisability
of
investing
in
the
fund.
5
Effective
November
15,
2023,
the
fund
changed
its
investment
objective.
Please
see
Note
6
and
the
fund’s
prospectus
for
more
details.
ETFs
trade
like
stocks,
are
subject
to
investment
risk,
including
possible
loss
of
principal.
ETF
shares
are
listed
on
an
exchange,
and
shares
are
generally
purchased
and
sold
in
the
secondary
market
at
market
price.
At
times,
the
market
price
may
be
at
a
premium
or
discount
to
the
ETF’s
per
share
NAV.
In
addition,
ETFs
are
subject
to
the
risk
that
an
active
trading
market
for
an
ETF’s
shares
may
not
develop
or
be
maintained.
Buying
or
selling
ETF
shares
on
an
exchange
may
require
payment
of
brokerage
commissions.
Equities
are
subject
generally
to
market,
market
sector,
market
liquidity,
issuer
and
investment
style
risks,
among
other
factors,
to
varying
degrees,
all
of
which
are
more
fully
described
in
the
fund’s
prospectus.
The
fund
may,
but
is
not
required,
to
use
derivative
instruments.
A
small
investment
in
derivatives
could
have
a
potentially
large
impact
on
the
fund’s
performance.
The
use
of
derivatives
involves
risks
different
from,
or
possibly
greater
than,
the
risks
associated
with
investing
directly
in
the
underlying
assets.
The
BNY
Mellon
ETFs
are
not
sponsored,
promoted,
sold
or
supported
in
any
other
manner
by
Solactive
AG
nor
does
Solactive
AG
offer
any
express
or
implicit
guarantee
or
assurance
either
with
regard
to
the
results
of
using
the
Index
and/or
Index
trade
mark
or
the
Index
Price
at
any
time
or
in
any
other
respect.
The
Index
is
calculated
and
published
by
Solactive
AG.
Solactive
AG
uses
its
best
efforts
to
ensure
that
the
Index
is
calculated
correctly.
Irrespective
of
its
obligations
towards
BNY
Mellon,
Solactive
AG
has
no
obligation
to
point
out
errors
in
the
Index
to
third
parties
including
but
not
limited
to
investors
and/or
financial
intermediaries
of
the
BNY
Mellon
ETFs.
Neither
publication
of
the
Index
by
Solactive
AG
nor
the
licensing
of
the
Index
or
Index
trade
mark
for
the
purpose
of
use
in
connection
with
the
BNY
Mellon
ETFs
constitutes
a
recommendation
by
Solactive
AG
to
invest
capital
in
said
financial
instrument
nor
does
it
in
any
way
represent
an
assurance
or
opinion
of
Solactive
AG
with
regard
to
any
investment
in
the
BNY
Mellon
ETFs.
5
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
For
the
period
from
November
1,
2022,
through
October
31,
2023,
as
provided
by
David
France,
CFA,
Todd
Frysinger,
CFA,
Vlasta
Sheremeta,
CFA,
Michael
Stoll
and
Marlene
Walker
Smith,
Portfolio
Managers
employed
by
the
fund’s
sub-adviser,
Mellon
Investments
Corporation.
Market
and
Fund
Performance
Overview
For
the
12-month
period
ended
October
31,
2023,
the
BNY
Mellon
US
Mid
Cap
Core
Equity
ETF
(the
“fund”)
produced
a
net
asset
value
total
return
of
-0.89%.
1
In
comparison,
the
Morningstar
®
US
Mid
Cap
Index
SM
(the
“Index”)
2
,
the
fund’s
benchmark,
returned
-0.87%
for
the
same
period.
3,4
Equities
produced
mixed
performance
during
the
reporting
period
as
inflationary
pressures
eased
and
economic
growth
remained
positive,
but
the
U.S.
Federal
Reserve
(the
“Fed”)
warned
that
interest
rates
were
likely
to
remain
elevated.
The
difference
in
returns
between
the
fund
and
the
Index
resulted
primarily
from
transaction
costs
and
operating
expenses
that
are
not
reflected
in
Index
results.
The
Fund’s
Investment
Approach
The
fund
seeks
to
match
the
performance
of
the
Index
5
.
To
pursue
its
goal,
the
fund
normally
invests
substantially
all
of
its
assets
in
equity
securities
comprising
the
Index.
The
Index
is
a
float-adjusted,
market
capitalization-weighted
index
designed
to
measure
the
performance
of
U.S.
medium-
capitalization
stocks.
The
Index’s
initial
universe
of
eligible
securities
includes
common
stock,
tracking
stock
and
shares
of
real
estate
investment
trusts
(REITs)
issued
by
U.S.
companies
and
traded
on
the
New
York
Stock
Exchange,
NASDAQ
or
NYSE
Market
LLC.
At
each
reconstitution,
the
initial
universe
is
screened
to
exclude
securities
based
on
the
number
of
non-
trading
days
in
the
preceding
quarter
and
trading
volume
during
the
preceding
six-month
period.
Securities
with
more
than
10
non-trading
days
in
the
preceding
quarter,
or
that
have
a
bottom
25%
liquidity
score,
as
ranked
by
the
Index
provider
based
on
the
preceding
six-month
trading
volume,
are
excluded.
The
remaining
securities
comprise
the
investable
universe.
The
Index
is
composed
of
the
securities
of
companies
whose
cumulative
total
market
capitalization
falls
approximately
between
the
bottom
10%-30%
of
the
remaining
securities
comprising
the
investable
universe.
The
Index
rebalances
quarterly
in
March,
June,
September
and
December,
and
reconstitutes
semi-annually
in
June
and
December.
Equities
Deliver
Mixed
Returns
as
Inflation
Eases
and
Rates
Rise
U.S.
equities
gained
ground
during
the
first
three
quarters
of
the
reporting
period
as
interest-rate
hikes
implemented
by
the
Fed
gained
traction
in
the
fight
against
inflation.
Inflation
decreased
from
more
than
7%
annually
in
November
2022
to
between
3%
and
4%
from
June
through
September
2023,
while
the
federal
funds
rate
rose
by
more
than
2%
to
a
range
of
5.25%–5.50%.
Counter
to
expectations,
despite
the
rise
in
interest
rates,
economic
growth
remained
relatively
strong,
bolstered
by
robust
consumer
spending.
As
a
result,
investor
expectations
turned
to
hopes
for
a
“soft
landing,”
in
which
the
Fed
would
bring
inflation
under
control
without
triggering
a
serious
recession.
Growth-
oriented
stocks
performed
particularly
well
in
this
environment,
with
market
strength
led
by
mega-cap
technology-related
names
leveraged
to
advances
in
artificial
intelligence
(“AI”).
Small-
and
mid-cap
stocks
underperformed
their
large-cap
counterparts
by
a
significant
margin.
Value-oriented
and
interest-rate-sensitive
stocks
underperformed
as
well,
with
the
consumer
staples,
health
care
and
financial
sector
producing
the
weakest
returns.
Market
sentiment
shifted
during
the
last
three
months
of
the
period,
as
hawkish
comments
from
the
Fed
dashed
hopes
that
the
central
bank
might
soon
reverse
course
and
begin
to
reduce
interest
rates.
As
investors
absorbed
the
increasing
likelihood
that
rates
would
remain
higher
for
longer,
stocks
lost
their
earlier
gains,
with
the
Index
ending
in
slightly
negative
territory.
Economically
Sensitive
Shares
Outperform
While
Defensives
Lag
Sectors
leveraged
to
U.S.
economic
growth
produced
the
strongest
returns
in
the
Index,
led
by
industrials.
Top
performers
included
building
products
and
equipment
makers
Builders
FirstSource,
Inc.
and
Lennox
International,
Inc.,
both
of
which
benefited
from
unexpectedly
strong
residential
housing
demand,
and
online
vehicle
auctioneer
Copart,
Inc.,
which
saw
brisk
trade
in
used
vehicles.
The
information
technology
sector,
with
an
abundance
of
growth-oriented
technology
companies,
outperformed
as
well,
with
notably
strong
returns
from
electric
component
maker
Jabil,
Inc.
and
database
software
developer
MongoDB,
Inc.
The
consumer
discretionary
sector
also
delivered
positive
returns,
bolstered
by
high
levels
of
consumer
spending.
Leading
names
included
residential
construction
company
PulteGroup,
Inc.
and
home
delivery
service
DoorDash,
Inc.
Conversely,
the
consumer
staples
sector
came
under
pressure
as
market
sentiment
turned
away
from
relatively
defensive
areas.
Notably
weak
performers
included
food
ingredient
producer
Darling
Ingredients,
Inc.,
retail
pharmacy
chain
Walgreens
Boots
Alliance,
Inc.
and
discount
retailer
Dollar
Tree,
Inc.
In
the
financials
sector,
rising
interest
rates
led
to
balance
sheet
difficulties
for
some
regional
banks,
causing
Signature
Bank
,
SVB
Financial
Group
and
First
Republic
Bank
to
fail
in
March
2023,
and
undermining
the
stock
prices
of
others
due
to
fear
of
spreading
financial
contagion.
In
health
care,
significant
underperformers
included
medical
device
makers
Masimo
Corp.
and
Insulet
Corp.,
and
drug-related
products
supplier
Catalent,
Inc.
The
fund’s
use
of
derivatives
during
the
period
was
limited
to
futures
contracts
employed
solely
to
offset
the
impact
of
cash
positions,
which
the
fund
holds
pursuant
to
its
operations,
but
the
Index
does
not.
Such
holdings
helped
the
fund
more
closely
match
the
performance
of
the
Index.
Replicating
the
Performance
of
the
Index
Although
the
Fed
may
not
raise
rates
further
in
the
coming
months,
the
impact
of
recent
rate
hikes
is
likely
to
continue
rippling
through
the
economy
for
some
time
to
come.
Time
will
6
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
(continued)
tell
if
the
rate
increases
already
imposed
can
bring
inflation
down
the
Fed’s
target
of
2%,
and
if
the
economy
can
continue
to
grow
despite
the
impact
of
higher
borrowing
costs
for
consumers
and
businesses
alike.
However
developments
unfold,
in
seeking
to
match
the
performance
of
the
Index,
we
do
not
actively
manage
investments
in
response
to
macroeconomic
trends.
As
always,
we
continue
to
monitor
factors
that
affect
the
fund’s
investments.
November
15,
2023
1
Total
return
includes
reinvestment
of
dividends
and
any
capital
gains
paid.
A
fund’s
net
asset
value
(NAV)
is
the
sum
of
all
its
assets
less
any
liabilities,
divided
by
the
number
of
shares
outstanding.
ETFs
are
bought
and
sold
at
market
prices,
not
NAV,
therefore
an
investor’s
return
at
market
price
may
differ
from
NAV.
Past
performance
is
no
guarantee
of
future
results.
Share
price,
yield
and
investment
return
fluctuate
such
that
upon
redemption,
fund
shares
may
be
worth
more
or
less
than
their
original
cost.
2
Effective
November
15,
2023,
the
fund
changed
its
benchmark
to
Solactive
GBS
United
States
400
Index
TR.
3
Source:
Morningstar,
Inc.
The
Morningstar
®
US
Mid
Cap
Index
SM
is
a
float-adjusted,
market
capitalization-weighted
index
that
is
designed
to
measure
the
performance
of
U.S.
mid-capitalization
stocks.
The
Index’s
initial
universe
of
eligible
securities
includes
common
stock,
tracking
stock
and
shares
of
real
estate
investment
trusts
(REITs)
issued
by
U.S.
companies
and
traded
on
the
New
York
Stock
Exchange,
NASDAQ
or
NYSE
Market
LLC.
At
each
reconstitution,
the
initial
universe
is
screened
to
exclude
securities
based
on
the
number
of
non-trading
days
in
the
preceding
quarter
and
trading
volume
during
the
preceding
six-month
period.
Securities
with
more
than
10
non-trading
days
in
the
preceding
quarter,
or
that
have
a
bottom
25%
liquidity
score,
as
ranked
by
the
Index
provider
based
on
the
preceding
six-month
trading
volume,
are
excluded.
The
remaining
securities
comprise
the
investable
universe.
The
Index
is
composed
of
the
securities
of
companies
whose
cumulative
total
market
capitalization
falls
approximately
between
the
bottom
10%-30%
of
the
remaining
securities
comprising
the
investable
universe.
Investors
cannot
invest
directly
in
any
index.
4
Morningstar
®
is
a
service
mark
of
Morningstar,
Inc.
and
has
been
licensed
for
use
for
certain
purposes
by
BNY
Mellon
ETF
Investment
Adviser,
LLC.
The
fund
is
not
sponsored,
endorsed,
sold
or
promoted
by
Morningstar,
and
Morningstar
makes
no
representation
regarding
the
advisability
of
investing
in
the
fund.
5
Effective
November
15,
2023,
the
fund
changed
its
investment
objective.
Please
see
Note
6
and
the
fund’s
prospectus
for
more
details.
Please
note:
the
position
in
any
security
highlighted
with
italicized
typeface
was
sold
during
the
reporting
period.
ETFs
trade
like
stocks,
are
subject
to
investment
risk,
including
possible
loss
of
principal.
ETF
shares
are
listed
on
an
exchange,
and
shares
are
generally
purchased
and
sold
in
the
secondary
market
at
market
price.
At
times,
the
market
price
may
be
at
a
premium
or
discount
to
the
ETF’s
per
share
NAV.
In
addition,
ETFs
are
subject
to
the
risk
that
an
active
trading
market
for
an
ETF’s
shares
may
not
develop
or
be
maintained.
Buying
or
selling
ETF
shares
on
an
exchange
may
require
payment
of
brokerage
commissions.
Equities
are
subject
generally
to
market,
market
sector,
market
liquidity,
issuer
and
investment
style
risks,
among
other
factors,
to
varying
degrees,
all
of
which
are
more
fully
described
in
the
fund’s
prospectus.
The
fund
may,
but
is
not
required,
to
use
derivative
instruments.
A
small
investment
in
derivatives
could
have
a
potentially
large
impact
on
the
fund’s
performance.
The
use
of
derivatives
involves
risks
different
from,
or
possibly
greater
than,
the
risks
associated
with
investing
directly
in
the
underlying
assets.
The
prices
of
mid-cap
company
stocks
tend
to
be
more
volatile
than
the
prices
of
large
company
stocks,
mainly
because
these
companies
have
less
established
and
more
volatile
earnings
histories.
They
also
tend
to
be
less
liquid
than
larger
company
stocks.
The
BNY
Mellon
ETFs
are
not
sponsored,
promoted,
sold
or
supported
in
any
other
manner
by
Solactive
AG
nor
does
Solactive
AG
offer
any
express
or
implicit
guarantee
or
assurance
either
with
regard
to
the
results
of
using
the
Index
and/or
Index
trade
mark
or
the
Index
Price
at
any
time
or
in
any
other
respect.
The
Index
is
calculated
and
published
by
Solactive
AG.
Solactive
AG
uses
its
best
efforts
to
ensure
that
the
Index
is
calculated
correctly.
Irrespective
of
its
obligations
towards
BNY
Mellon,
Solactive
AG
has
no
obligation
to
point
out
errors
in
the
Index
to
third
parties
including
but
not
limited
to
investors
and/or
financial
intermediaries
of
the
BNY
Mellon
ETFs.
Neither
publication
of
the
Index
by
Solactive
AG
nor
the
licensing
of
the
Index
or
Index
trade
mark
for
the
purpose
of
use
in
connection
with
the
BNY
Mellon
ETFs
constitutes
a
recommendation
by
Solactive
AG
to
invest
capital
in
said
financial
instrument
nor
does
it
in
any
way
represent
an
assurance
or
opinion
of
Solactive
AG
with
regard
to
any
investment
in
the
BNY
Mellon
ETFs.
7
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
For
the
period
from
November
1,
2022,
through
October
31,
2023,
as
provided
by
David
France,
CFA,
Todd
Frysinger,
CFA,
Vlasta
Sheremeta,
CFA,
Michael
Stoll
and
Marlene
Walker
Smith,
Portfolio
Managers
employed
by
the
fund’s
sub-adviser,
Mellon
Investments
Corporation.
Market
and
Fund
Performance
Overview
For
the
12-month
period
ended
October
31,
2023,
the
BNY
Mellon
US
Small
Cap
Core
Equity
ETF
(the
“fund”)
produced
a
net
asset
value
total
return
of
-2.59%.
1
In
comparison,
the
Morningstar
®
US
Small
Cap
Index
SM
(the
“Index”)
2
,
the
fund’s
benchmark,
produced
a
return
of
-2.66%
for
the
same
period.
3,4
Equities
produced
mixed
performance
during
the
reporting
period
as
inflationary
pressures
eased
and
economic
growth
remained
positive,
but
the
U.S.
Federal
Reserve
(the
“Fed”)
warned
that
interest
rates
were
likely
to
remain
elevated.
The
difference
in
returns
between
the
fund
and
the
Index
resulted
primarily
from
transaction
costs
and
operating
expenses
that
are
not
reflected
in
Index
results.
The
Fund’s
Investment
Approach
The
fund
seeks
to
match
the
performance
of
the
Index
5
.
To
pursue
its
goal,
the
fund
normally
invests
substantially
all
of
its
assets
in
equity
securities
comprising
the
Index.
The
Index
is
a
float-adjusted,
market
capitalization-weighted
index
designed
to
measure
the
performance
of
U.S.
small-
capitalization
stocks.
The
Index’s
initial
universe
of
eligible
securities
includes
common
stock,
tracking
stock
and
shares
of
real
estate
investment
trusts
(REITs)
issued
by
U.S.
companies
and
traded
on
the
New
York
Stock
Exchange,
NASDAQ
or
NYSE
Market
LLC.
At
each
reconstitution,
the
initial
universe
is
screened
to
exclude
securities
based
on
the
number
of
non-
trading
days
in
the
preceding
quarter
and
trading
volume
during
the
preceding
six-month
period.
Securities
with
more
than
10
non-trading
days
in
the
preceding
quarter,
or
that
have
a
bottom
25%
liquidity
score,
as
ranked
by
the
Index
provider
based
on
the
preceding
six-month
trading
volume,
are
excluded.
The
remaining
securities
comprise
the
investable
universe.
The
Index
is
composed
of
the
securities
of
companies
whose
cumulative
total
market
capitalization
represents
approximately
the
bottom
3%-10%
of
the
remaining
securities
comprising
the
investable
universe.
The
Index
rebalances
quarterly
in
March,
June,
September
and
December,
and
reconstitutes
semi-annually
in
June
and
December.
Equities
Deliver
Mixed
Returns
as
Inflation
Eases
and
Rates
Rise
U.S.
equities
gained
ground
during
the
first
three
quarters
of
the
reporting
period
as
interest-rate
hikes
implemented
by
the
Fed
gained
traction
in
the
fight
against
inflation.
Inflation
decreased
from
more
than
7%
annually
in
November
2022
to
between
3%
and
4%
from
June
through
September
2023,
while
the
federal
funds
rate
rose
by
more
than
2%
to
a
range
of
5.25%–5.50%.
Counter
to
expectations,
despite
the
rise
in
interest
rates,
economic
growth
remained
relatively
strong,
bolstered
by
robust
consumer
spending.
As
a
result,
investor
expectations
turned
to
hopes
for
a
“soft
landing,”
in
which
the
Fed
would
bring
rates
under
control
without
triggering
a
serious
recession.
Growth-
oriented
stocks
performed
particularly
well
in
this
environment,
with
market
strength
led
by
mega-cap
technology-related
names
leveraged
to
advances
in
artificial
intelligence
(“AI”).
Small-
and
mid-cap
stocks
underperformed
their
large-cap
counterparts
by
a
significant
margin.
Value-oriented
and
interest-rate-sensitive
stocks
underperformed
as
well,
with
the
consumer
staples,
health
care
and
financial
sector
producing
the
weakest
returns.
Market
sentiment
shifted
during
the
last
three
months
of
the
period,
as
hawkish
comments
from
the
Fed
dashed
hopes
that
the
central
bank
might
soon
reverse
course
and
begin
to
reduce
interest
rates.
As
investors
absorbed
the
increasing
likelihood
that
rates
would
remain
higher
for
longer,
stocks
lost
their
earlier
gains,
with
the
Index
ending
in
mildly
negative
territory.
Defensive
sectors,
particularly
consumer
staples,
performed
relatively
well
during
this
portion
of
the
period.
Mixed
Performance
Across
Sectors
Stocks
delivered
mixed
returns
across
sectors,
with
some
traditionally
defensive
areas,
such
as
consumer
staples,
outperforming
while
others,
such
as
utilities
and
communication
services,
lagged.
Within
consumer
staples,
top
performers
included
nutrition
products
maker
BellRing
Brands,
Inc.
and
cosmetics
and
beauty
products
company
e.l.f.
Beauty,
Inc.
In
energy,
where
rising
oil
prices
bolstered
corporate
earnings,
notably
strong
names
included
oilfield
services
provider
Weatherford
International
PLC,
offshore
contract
drilling
company
Transocean
Ltd.
and
exploration
&
production
firm
Permian
Resources
Corp.
In
information
technology,
leading
names
included
mobile
application
development
platform
AppLovin
Corp.,
computer
server
and
storage
solutions
provider
Super
Micro
Computer,
Inc.
and
semiconductor
provider
Rambus,
Inc.
Conversely,
the
utilities
sector
came
under
pressure
as
rising
interest
rates
undermined
the
appeal
of
high
yielding
stocks.
Notable
underperformers
included
Hawaiian
Electric
Industries,
Inc.,
which
faced
potential
liability
related
to
wildfires
that
occurred
in
Hawaii
in
August
2023,
Sunnova
Energy
International,
Inc.
and
Clearway
Energy,
Inc.
In
communication
services,
shares
in
movie
chain
operator
AMC
Entertainment
Holdings,
Inc.,
satellite
provider
DISH
Network
Corp.
and
communications
services
provider
Altice
USA,
Inc.
lagged.
Finally,
in
health
care,
relatively
weak
performers
included
biotechnology
developers
Fate
Therapeutics,
Inc.
and
Revance
Therapeutics,
Inc.
and
medical
device
maker
NovoCure
Ltd.
The
fund’s
use
of
derivatives
during
the
period
was
limited
to
futures
contracts
employed
solely
to
offset
the
impact
of
cash
positions,
which
the
fund
holds
pursuant
to
its
operations,
but
the
Index
does
not.
Such
holdings
helped
the
fund
more
closely
match
the
performance
of
the
Index.
8
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
(continued)
Replicating
the
Performance
of
the
Index
Although
the
Fed
may
not
raise
rates
further
in
the
coming
months,
the
impact
of
recent
rate
hikes
is
likely
to
continue
rippling
through
the
economy
for
some
time
to
come.
Time
will
tell
if
the
rate
increases
already
imposed
can
bring
inflation
down
the
Fed’s
target
of
2%,
and
if
the
economy
can
continue
to
grow
despite
the
impact
of
higher
borrowing
costs
for
consumers
and
businesses
alike.
However
developments
unfold,
in
seeking
to
match
the
performance
of
the
Index,
we
do
not
actively
manage
investments
in
response
to
macroeconomic
trends.
As
always,
we
continue
to
monitor
factors
that
affect
the
fund’s
investments.
November
15,
2023
1
Total
return
includes
reinvestment
of
dividends
and
any
capital
gains
paid.
A
fund’s
net
asset
value
(NAV)
is
the
sum
of
all
its
assets
less
any
liabilities,
divided
by
the
number
of
shares
outstanding.
ETFs
are
bought
and
sold
at
market
prices,
not
NAV,
therefore
an
investor’s
return
at
market
price
may
differ
from
NAV.
Past
performance
is
no
guarantee
of
future
results.
Share
price,
yield
and
investment
return
fluctuate
such
that
upon
redemption,
fund
shares
may
be
worth
more
or
less
than
their
original
cost.
2
Effective
November
15,
2023,
the
fund
changed
its
benchmark
to
Solactive
GBS
United
States
600
Index
TR.
3
Source:
Morningstar,
Inc.
The
Morningstar
®
US
Small
Cap
Index
SM
is
a
float-
adjusted,
market
capitalization-weighted
index
that
is
designed
to
measure
the
performance
of
U.S.
small-capitalization
stocks.
The
Index’s
initial
universe
of
eligible
securities
includes
common
stock,
tracking
stock
and
shares
of
real
estate
investment
trusts
(REITs)
issued
by
U.S.
companies
and
traded
on
the
New
York
Stock
Exchange,
NASDAQ
or
NYSE
Market
LLC.
At
each
reconstitution,
the
initial
universe
is
screened
to
exclude
securities
based
on
the
number
of
non-trading
days
in
the
preceding
quarter
and
trading
volume
during
the
preceding
six-month
period.
Securities
with
more
than
10
non-trading
days
in
the
preceding
quarter,
or
that
have
a
bottom
25%
liquidity
score,
as
ranked
by
the
Index
provider
based
on
the
preceding
six-month
trading
volume,
are
excluded.
The
remaining
securities
comprise
the
investable
universe.
The
Index
is
composed
of
the
securities
of
companies
whose
cumulative
total
market
capitalization
represents
approximately
the
bottom
3%-10%
of
the
remaining
securities
comprising
the
investable
universe.
Investors
cannot
invest
directly
in
any
index.
4
Morningstar
®
is
a
service
mark
of
Morningstar,
Inc.
and
has
been
licensed
for
use
for
certain
purposes
by
BNY
Mellon
ETF
Investment
Adviser,
LLC.
The
fund
is
not
sponsored,
endorsed,
sold
or
promoted
by
Morningstar,
and
Morningstar
makes
no
representation
regarding
the
advisability
of
investing
in
the
fund.
5
Effective
November
15,
2023,
the
fund
changed
its
investment
objective.
Please
see
Note
6
and
the
fund’s
prospectus
for
more
details.
Please
note:
the
position
in
any
security
highlighted
with
italicized
typeface
was
sold
during
the
reporting
period.
ETFs
trade
like
stocks,
are
subject
to
investment
risk,
including
possible
loss
of
principal.
ETF
shares
are
listed
on
an
exchange,
and
shares
are
generally
purchased
and
sold
in
the
secondary
market
at
market
price.
At
times,
the
market
price
may
be
at
a
premium
or
discount
to
the
ETF’s
per
share
NAV.
In
addition,
ETFs
are
subject
to
the
risk
that
an
active
trading
market
for
an
ETF’s
shares
may
not
develop
or
be
maintained.
Buying
or
selling
ETF
shares
on
an
exchange
may
require
payment
of
brokerage
commissions.
Equities
are
subject
generally
to
market,
market
sector,
market
liquidity,
issuer
and
investment
style
risks,
among
other
factors,
to
varying
degrees,
all
of
which
are
more
fully
described
in
the
fund’s
prospectus.
The
prices
of
small
company
stocks
tend
to
be
more
volatile
than
the
prices
of
large
company
stocks,
mainly
because
these
companies
have
less
established
and
more
volatile
earnings
histories.
They
also
tend
to
be
less
liquid
than
larger
company
stocks.
The
fund
may,
but
is
not
required,
to
use
derivative
instruments.
A
small
investment
in
derivatives
could
have
a
potentially
large
impact
on
the
fund’s
performance.
The
use
of
derivatives
involves
risks
different
from,
or
possibly
greater
than,
the
risks
associated
with
investing
directly
in
the
underlying
assets.
The
BNY
Mellon
ETFs
are
not
sponsored,
promoted,
sold
or
supported
in
any
other
manner
by
Solactive
AG
nor
does
Solactive
AG
offer
any
express
or
implicit
guarantee
or
assurance
either
with
regard
to
the
results
of
using
the
Index
and/or
Index
trade
mark
or
the
Index
Price
at
any
time
or
in
any
other
respect.
The
Index
is
calculated
and
published
by
Solactive
AG.
Solactive
AG
uses
its
best
efforts
to
ensure
that
the
Index
is
calculated
correctly.
Irrespective
of
its
obligations
towards
BNY
Mellon,
Solactive
AG
has
no
obligation
to
point
out
errors
in
the
Index
to
third
parties
including
but
not
limited
to
investors
and/or
financial
intermediaries
of
the
BNY
Mellon
ETFs.
Neither
publication
of
the
Index
by
Solactive
AG
nor
the
licensing
of
the
Index
or
Index
trade
mark
for
the
purpose
of
use
in
connection
with
the
BNY
Mellon
ETFs
constitutes
a
recommendation
by
Solactive
AG
to
invest
capital
in
said
financial
instrument
nor
does
it
in
any
way
represent
an
assurance
or
opinion
of
Solactive
AG
with
regard
to
any
investment
in
the
BNY
Mellon
ETFs.
9
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
For
the
period
from
November
1,
2022,
through
October
31,
2023,
as
provided
by
David
France,
CFA,
Todd
Frysinger,
CFA,
Vlasta
Sheremeta,
CFA,
Michael
Stoll
and
Marlene
Walker
Smith,
Portfolio
Managers
employed
by
the
fund’s
sub-adviser,
Mellon
Investments
Corporation.
Market
and
Fund
Performance
Overview
For
the
12-month
period
ended
October
31,
2023,
the
BNY
Mellon
International
Equity
ETF
(the
“fund”)
produced
a
net
asset
value
total
return
of
13.32%.
1
This
compares
with
a
13.12%
total
return
for
the
fund’s
benchmark,
the
Morningstar
®
Developed
Markets
ex-US
Large
Cap
Index
SM
(the
“Index”)
2
,
during
the
same
period.
3,4
International
markets
gained
ground
during
the
reporting
period
as
central
bank
rate
hikes
showed
progress
in
slowing
inflation
rates,
the
Chinese
economy
reopened
after
the
government
rescinded
its
“zero-COVID-19”
policy,
and
the
U.S.
dollar
weakened
relative
to
most
international
currencies.
The
difference
in
returns
between
the
fund
and
the
Index
resulted
primarily
from
transaction
costs
and
operating
expenses
that
are
not
reflected
in
Index
results.
The
Fund’s
Investment
Approach
The
fund
seeks
to
track
the
performance
of
the
Index
5
.
To
pursue
its
goal,
the
fund
normally
invests
substantially
all
of
its
assets
in
equity
securities
comprising
the
Index,
depositary
receipts
based
on
securities
comprising
the
Index,
exchange-traded
funds
(ETFs)
providing
exposure
to
such
securities,
and
derivatives
with
economic
characteristics
similar
to
such
securities
or
the
Index.
The
fund’s
derivatives
investments
may
include
futures,
currency
forwards,
total
return
swaps
and
structured
notes.
The
Index
is
a
float-adjusted,
market
capitalization-weighted
index
designed
to
measure
the
performance
of
developed-
markets
(excluding
the
United
States)
large-capitalization
stocks.
The
Index’s
initial
universe
of
eligible
securities
includes
equity
securities
(including
common
stock,
preferred
stock
and
shares
of
real
estate
investment
trusts
(REITs)),
issued
by
developed-
markets
companies
(excluding
the
United
States)
and
traded
on
a
major
foreign
exchange.
At
each
reconstitution,
the
initial
universe
is
screened
to
exclude
securities
based
on
the
number
of
non-trading
days,
trading
volume
and
turnover
during
the
preceding
six-month
period,
and
market
capitalization.
The
Index
rebalances
quarterly
in
March,
June,
September
and
December,
and
reconstitutes
semi-annually
in
June
and
December.
Equities
Gain
Ground
as
Inflation
Eases
International
developed-markets
equities
climbed
during
the
reporting
period
as
interest-rate
hikes
implemented
by
central
banks
gained
traction
in
the
fight
against
rampant
inflation.
In
October
2022,
just