EXCHANGE TRADED CONCEPTS TRUST
ETC 6 Meridian Hedged Equity-Index Option Strategy ETF
ETC 6 Meridian Low Beta Equity Strategy ETF
ETC 6 Meridian Mega Cap Equity ETF
ETC 6 Meridian Small Cap Equity ETF
ETC 6 Meridian Quality Growth ETF
Semi-Annual Report
May
31,
2022
(Unaudited)
6 Meridian
Table of Contents
1 | ||
13 | ||
15 | ||
17 | ||
22 | ||
23 | ||
33 | ||
35 | ||
36 | ||
37 |
The Funds file their complete schedule of Fund holdings with the Securities and Exchange Commission (the “Commission”) for the first and third quarters of each fiscal year as an exhibit to each Fund’s report on Form N-PORT within sixty days after the period end. Each Fund’s Form N-PORT reports are available on the Commission’s website at https://www.sec.gov.
Exchange Traded Concepts, LLC’s proxy voting policies and procedures are attached to the Funds’ Statement of Additional Information (the “SAI”). The SAI, as well as information relating to how each Fund voted proxies relating to its securities during the most recent 12-month period ended June 30, is available without charge, upon request, by calling 866-SIXM-ETF (749-6383) and on the Commission’s website at https://www.sec.gov.
Hedged Equity-Index Option Strategy ETF
Schedule of Investments
May 31, 2022 (Unaudited)
Description |
Shares |
Fair Value | |||
COMMON STOCK — 93.6% |
|
||||
Communication Services — 6.6% |
|
||||
Alphabet, Cl A* |
1,480 |
$ |
3,367,355 | ||
Comcast, Cl A |
85,360 |
|
3,779,741 | ||
Verizon Communications |
224,074 |
|
11,492,755 | ||
|
18,639,851 | ||||
Consumer Discretionary — 5.5% |
|
||||
Home Depot(A) |
11,247 |
|
3,405,029 | ||
Lowe’s(A) |
16,996 |
|
3,319,319 | ||
NIKE, Cl B |
27,385 |
|
3,254,707 | ||
Target(A) |
15,024 |
|
2,432,085 | ||
Tesla* |
3,822 |
|
2,898,070 | ||
|
15,309,210 | ||||
Consumer Staples — 21.7% |
|
||||
Altria Group(A) |
187,053 |
|
10,117,697 | ||
Colgate-Palmolive |
91,857 |
|
7,239,250 | ||
Costco Wholesale(A) |
6,527 |
|
3,043,018 | ||
Kraft Heinz(A) |
164,504 |
|
6,223,186 | ||
Mondelez International, Cl A |
54,128 |
|
3,440,376 | ||
PepsiCo |
20,581 |
|
3,452,463 | ||
Philip Morris International(A) |
105,092 |
|
11,166,025 | ||
Procter & Gamble |
21,798 |
|
3,223,488 | ||
Walgreens Boots Alliance |
162,415 |
|
7,118,650 | ||
Walmart |
45,437 |
|
5,844,561 | ||
|
60,868,714 | ||||
Energy — 9.5% |
|
||||
Chevron |
86,458 |
|
15,100,754 | ||
Exxon Mobil(A) |
119,880 |
|
11,508,480 | ||
|
26,609,234 |
Description |
Shares |
Fair Value | |||
Financials — 10.2% |
|
||||
American Express |
20,119 |
$ |
3,396,490 | ||
American International Group |
58,462 |
|
3,430,550 | ||
Berkshire Hathaway, Cl B* |
10,851 |
|
3,428,699 | ||
Capital One Financial |
27,265 |
|
3,486,102 | ||
JPMorgan Chase |
28,666 |
|
3,790,505 | ||
Morgan Stanley |
42,126 |
|
3,628,734 | ||
US Bancorp |
141,368 |
|
7,502,400 | ||
|
28,663,480 | ||||
Health Care — 23.1% |
|
||||
AbbVie(A) |
70,053 |
|
10,323,711 | ||
Bristol-Myers Squibb |
45,987 |
|
3,469,719 | ||
CVS Health(A) |
71,562 |
|
6,923,624 | ||
Eli Lilly |
23,848 |
|
7,474,917 | ||
Gilead Sciences |
171,762 |
|
11,138,765 | ||
Johnson & Johnson(A) |
19,326 |
|
3,469,597 | ||
Merck |
39,393 |
|
3,625,338 | ||
Pfizer(A) |
285,724 |
|
15,154,802 | ||
UnitedHealth Group |
6,889 |
|
3,422,317 | ||
|
65,002,790 | ||||
Industrials — 1.2% |
|
||||
General Dynamics |
14,802 |
|
3,329,118 | ||
Information Technology — 12.1% |
|
||||
Adobe(A)* |
8,476 |
|
3,530,084 | ||
Apple |
43,719 |
|
6,507,136 | ||
Broadcom |
5,989 |
|
3,474,399 | ||
Intel |
76,797 |
|
3,411,323 | ||
International Business Machines(A) |
25,952 |
|
3,603,176 | ||
NVIDIA(A) |
35,353 |
|
6,601,111 | ||
QUALCOMM |
23,767 |
|
3,403,910 | ||
Texas Instruments(A) |
19,843 |
|
3,507,449 | ||
|
34,038,588 | ||||
Materials — 2.5% |
|
||||
Dow |
102,980 |
|
7,000,580 | ||
Real Estate — 1.2% |
|
||||
Simon Property Group‡ |
29,550 |
|
3,387,908 | ||
|
|||||
Total
Common Stock |
|
262,849,473 | |||
EXCHANGE-TRADED FUND — 6.9% |
|
||||
SPDR S&P 500 ETF Trust(A) |
47,183 |
|
19,483,276 | ||
Total
Exchange-Traded Fund |
|
19,483,276 |
The accompanying notes are an integral part of the financial statements.
1
ETC 6 Meridian
Hedged Equity-Index Option Strategy ETF
Schedule of Investments
May 31, 2022 (Unaudited) (Concluded)
Description |
Shares |
Fair Value | ||||
SHORT-TERM INVESTMENT — 0.1% |
|
| ||||
Invesco Government & Agency, CI Institutional, 2.26%(B) |
287,111 |
$ |
287,111 |
| ||
Total Short-Term Investment (Cost $287,111) |
|
287,111 |
| |||
Total
Investments — 100.6% |
$ |
282,619,860 |
| |||
WRITTEN OPTION(C) — -0.6% |
|
| ||||
Total Written Option (Premiums Received |
$ |
(1,547,522 |
) |
Percentages are based on Net Assets of $280,897,450.
* Non-income producing security.
(A) All or a portion of these securities has been pledged as collateral on written options with a fair value of $29,446,370.
(B) The rate reported is the 7-day effective yield as of May 31, 2022.
(C) Refer to table below for details on Options Contracts
Description |
Number
of |
Notional
|
Exercise
|
Expiration
|
Value | |||||||||||
WRITTEN OPTION — (0.6)% |
|
|
|
|
|
| ||||||||||
Call Options |
|
|
|
|
|
| ||||||||||
S&P 500 Index |
(202 |
) |
$ |
(83,469,430 |
) |
$ |
4,150 |
06/18/22 |
$ |
(1,547,522 |
) | |||||
|
|
|
|
|
(1,547,522 |
) | ||||||||||
Total Written Option |
|
|
|
|
|
| ||||||||||
(Premiums Received $1,335,228) |
|
|
|
|
$ |
(1,547,522 |
) |
Cl — Class
ETF — Exchange Traded Fund
PLC — Public Limited Company
SPDR — Standard & Poor’s Depository Receipt
S&P — Standard & Poor’s
As of May 31, 2022, all of the Fund’s investments were considered Level 1, in accordance with the authoritative guidance under U.S. GAAP.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
2
ETC 6 Meridian
Low Beta Equity Strategy ETF
Schedule of Investments
May 31, 2022 (Unaudited)
Description |
Shares |
Fair Value | |||
COMMON STOCK — 99.8% |
|
||||
Communication Services — 3.3% |
|
||||
ATN International |
16,635 |
$ |
733,437 | ||
Cable One |
381 |
|
496,480 | ||
Charter Communications, Cl A* |
978 |
|
495,778 | ||
Cogent Communications Holdings |
9,570 |
|
577,932 | ||
New York Times, Cl A |
14,348 |
|
494,863 | ||
Shenandoah Telecommunications |
26,908 |
|
617,808 | ||
Verizon Communications |
11,230 |
|
575,987 | ||
World Wrestling Entertainment, Cl A |
11,578 |
|
773,063 | ||
|
4,765,348 | ||||
Consumer Discretionary — 2.8% |
|
||||
Dollar General |
2,960 |
|
652,206 | ||
Helen of Troy* |
2,942 |
|
544,829 | ||
Murphy USA |
3,258 |
|
811,633 | ||
Papa John’s International |
4,938 |
|
434,593 | ||
Service International |
9,540 |
|
668,086 | ||
Standard Motor Products |
12,762 |
|
509,842 | ||
Wendy’s |
26,398 |
|
492,060 | ||
|
4,113,249 | ||||
Consumer Staples — 19.2% |
|
||||
Altria Group |
11,928 |
|
645,186 | ||
B&G Foods |
19,526 |
|
441,483 | ||
BellRing Brands* |
7,294 |
|
190,738 | ||
BJ’s Wholesale Club Holdings* |
10,003 |
|
578,874 | ||
Boston Beer, Cl A* |
1,428 |
|
507,368 | ||
Brown-Forman, Cl B |
8,917 |
|
589,592 | ||
Cal-Maine Foods |
14,512 |
|
692,659 | ||
Campbell Soup |
319 |
|
15,283 | ||
Casey’s General Stores |
3,219 |
|
674,509 | ||
Church & Dwight |
5,930 |
|
534,056 |
Description |
Shares |
Fair Value | |||
Consumer Staples (continued) |
|
||||
Coca-Cola |
9,821 |
$ |
622,455 | ||
Coca-Cola Consolidated |
1,054 |
|
595,478 | ||
Colgate-Palmolive |
7,380 |
|
581,618 | ||
Conagra Brands |
17,244 |
|
567,155 | ||
Edgewell Personal Care |
13,937 |
|
507,307 | ||
Flowers Foods |
21,289 |
|
587,576 | ||
General Mills |
8,812 |
|
615,518 | ||
Grocery Outlet Holding* |
23,725 |
|
907,481 | ||
Hain Celestial Group* |
16,170 |
|
426,080 | ||
Hershey |
2,954 |
|
625,391 | ||
Hormel Foods |
12,746 |
|
620,348 | ||
Hostess Brands, Cl A* |
29,333 |
|
623,326 | ||
Ingredion |
7,023 |
|
665,008 | ||
J & J Snack Foods |
3,991 |
|
511,726 | ||
J M Smucker |
4,375 |
|
548,494 | ||
John B Sanfilippo & Son |
7,529 |
|
575,065 | ||
Kellogg |
9,727 |
|
678,361 | ||
Kraft Heinz |
17,234 |
|
651,962 | ||
Kroger |
13,378 |
|
708,633 | ||
Lancaster Colony |
3,893 |
|
474,557 | ||
McCormick |
5,889 |
|
546,028 | ||
Mondelez International, Cl A |
8,933 |
|
567,781 | ||
National Beverage |
14,067 |
|
698,146 | ||
PepsiCo |
3,472 |
|
582,428 | ||
Philip Morris International |
5,780 |
|
614,125 | ||
Pilgrim’s Pride* |
21,567 |
|
718,613 | ||
Post Holdings* |
5,753 |
|
473,069 | ||
Procter & Gamble |
3,705 |
|
547,895 | ||
Sanderson Farms |
3,297 |
|
657,752 | ||
SpartanNash |
23,218 |
|
798,931 | ||
Sprouts Farmers Market* |
20,792 |
|
563,255 | ||
Tootsie Roll Industries |
18,878 |
|
624,295 | ||
TreeHouse Foods* |
16,587 |
|
682,058 | ||
Tyson Foods, Cl A |
6,784 |
|
607,914 | ||
Universal |
11,744 |
|
747,857 | ||
USANA Health Sciences* |
6,485 |
|
456,090 | ||
Walmart |
4,293 |
|
552,209 | ||
WD-40 |
2,727 |
|
514,830 | ||
|
27,916,563 | ||||
Energy — 0.5% |
|
||||
DT Midstream |
11,700 |
|
679,770 | ||
Financials — 7.5% |
|
||||
Alleghany* |
871 |
|
726,223 | ||
Allstate |
4,903 |
|
670,191 | ||
AMERISAFE |
11,571 |
|
583,178 |
The accompanying notes are an integral part of the financial statements.
3
ETC 6 Meridian
Low Beta Equity Strategy ETF
Schedule of Investments
May 31, 2022 (Unaudited) (Continued)
Description |
Shares |
Fair Value | |||
Financials (continued) |
|
||||
Capitol Federal Financial |
54,756 |
$ |
555,773 | ||
Cboe Global Markets |
4,976 |
|
558,855 | ||
Ellington Financial‡ |
36,981 |
|
572,836 | ||
Employers Holdings |
15,488 |
|
641,358 | ||
Encore Capital Group* |
9,053 |
|
553,229 | ||
FirstCash Holdings |
8,580 |
|
640,497 | ||
Hanover Insurance Group |
4,249 |
|
622,903 | ||
Hartford Financial Services Group |
8,494 |
|
615,900 | ||
Horace Mann Educators |
15,074 |
|
609,894 | ||
KKR Real Estate Finance Trust‡ |
28,404 |
|
580,009 | ||
Mercury General |
11,389 |
|
557,492 | ||
PRA Group* |
13,213 |
|
488,881 | ||
Progressive |
5,487 |
|
655,038 | ||
RenaissanceRe Holdings |
3,871 |
|
594,276 | ||
Safety Insurance Group |
6,968 |
|
647,048 | ||
|
10,873,581 | ||||
Health Care — 21.6% |
|
||||
AbbVie |
4,254 |
|
626,912 | ||
Allscripts Healthcare Solutions* |
29,032 |
|
496,157 | ||
AmerisourceBergen, Cl A |
4,382 |
|
678,290 | ||
Amgen |
2,692 |
|
691,144 | ||
AMN Healthcare Services* |
5,768 |
|
558,919 | ||
Amphastar Pharmaceuticals* |
23,922 |
|
888,463 | ||
Anika Therapeutics* |
19,959 |
|
433,909 | ||
Anthem |
1,336 |
|
680,839 | ||
Baxter International |
6,901 |
|
524,821 | ||
Becton Dickinson |
2,221 |
|
568,132 | ||
Bristol-Myers Squibb |
9,216 |
|
695,347 | ||
Bruker |
8,849 |
|
552,886 | ||
Cardinal Health |
11,524 |
|
649,032 | ||
Centene* |
7,428 |
|
604,936 | ||
Cerner |
6,543 |
|
620,604 | ||
Chemed |
1,278 |
|
619,063 | ||
Cigna |
2,701 |
|
724,651 | ||
Collegium Pharmaceutical* |
33,000 |
|
515,460 | ||
Computer Programs and Systems* |
21,604 |
|
688,951 | ||
CorVel* |
3,993 |
|
595,596 | ||
CVS Health |
5,515 |
|
533,576 | ||
DaVita* |
5,474 |
|
533,660 | ||
Eagle Pharmaceuticals* |
13,433 |
|
627,321 | ||
Encompass Health |
9,939 |
|
651,402 | ||
Gilead Sciences |
9,374 |
|
607,904 | ||
HealthStream* |
25,137 |
|
512,041 | ||
Humana |
1,393 |
|
632,742 | ||
ICU Medical* |
2,819 |
|
512,043 |
Description |
Shares |
Fair Value | |||
Health Care (continued) |
|
||||
Innoviva* |
38,301 |
$ |
581,026 | ||
Jazz Pharmaceuticals* |
4,246 |
|
635,541 | ||
Johnson & Johnson |
3,489 |
|
626,380 | ||
Laboratory Corp of America Holdings |
2,155 |
|
531,682 | ||
LivaNova* |
8,167 |
|
555,928 | ||
Masimo* |
2,690 |
|
377,757 | ||
Merck |
7,625 |
|
701,729 | ||
Meridian Bioscience* |
24,979 |
|
686,922 | ||
Mesa Laboratories |
2,223 |
|
465,163 | ||
Molina Healthcare* |
2,000 |
|
580,440 | ||
Neurocrine Biosciences* |
7,378 |
|
689,769 | ||
Omnicell* |
3,943 |
|
438,304 | ||
OraSure Technologies* |
88,116 |
|
365,681 | ||
Orthofix Medical* |
19,794 |
|
544,137 | ||
Pacira BioSciences* |
9,302 |
|
588,352 | ||
Perrigo PLC |
16,325 |
|
650,715 | ||
Pfizer |
11,301 |
|
599,405 | ||
Prestige Consumer Healthcare* |
10,267 |
|
573,104 | ||
Quest Diagnostics |
4,462 |
|
629,231 | ||
QuidelOrtho* |
6,059 |
|
575,786 | ||
Repligen* |
2,979 |
|
489,956 | ||
Supernus Pharmaceuticals* |
19,361 |
|
539,591 | ||
Syneos Health, Cl A* |
6,664 |
|
492,403 | ||
Tandem Diabetes Care* |
5,109 |
|
348,281 | ||
United Therapeutics* |
2,970 |
|
684,110 | ||
Vertex Pharmaceuticals* |
2,473 |
|
664,371 | ||
|
31,640,565 | ||||
Industrials — 9.0% |
|
||||
3M |
3,723 |
|
555,807 | ||
Aerojet Rocketdyne Holdings* |
16,166 |
|
658,603 | ||
CACI International, Cl A* |
2,357 |
|
660,832 | ||
CH Robinson Worldwide |
6,751 |
|
732,551 | ||
Forrester Research* |
11,246 |
|
588,503 | ||
FTI Consulting* |
4,063 |
|
682,584 | ||
Heartland Express |
41,508 |
|
592,734 | ||
Knight-Swift Transportation Holdings, Cl A |
10,737 |
|
522,248 | ||
L3Harris Technologies |
2,807 |
|
676,206 | ||
Lockheed Martin |
1,532 |
|
674,249 | ||
ManTech International, Cl A |
7,414 |
|
709,148 | ||
Marten Transport |
35,973 |
|
631,686 | ||
MDU Resources Group |
21,002 |
|
575,035 | ||
Northrop Grumman |
1,617 |
|
756,707 | ||
NV5 Global* |
5,896 |
|
726,269 | ||
Science Applications International |
7,214 |
|
624,444 | ||
Stericycle* |
10,273 |
|
519,300 |
The accompanying notes are an integral part of the financial statements.
4
ETC 6 Meridian
Low Beta Equity Strategy ETF
Schedule of Investments
May 31, 2022 (Unaudited) (Continued)
Description |
Shares |
Fair Value | |||
Industrials (continued) |
|
||||
Toro |
6,236 |
$ |
514,408 | ||
UniFirst |
3,312 |
|
541,313 | ||
Waste Management |
4,124 |
|
653,696 | ||
Werner Enterprises |
13,598 |
|
551,671 | ||
|
13,147,994 | ||||
Information Technology — 5.0% |
|
||||
Aspen Technology* |
1 |
|
228 | ||
Coherent* |
2,345 |
|
635,401 | ||
CSG Systems International |
10,448 |
|
649,761 | ||
EVERTEC |
14,165 |
|
537,420 | ||
ExlService Holdings* |
4,893 |
|
695,735 | ||
Genpact |
12,284 |
|
545,041 | ||
International Business Machines |
4,366 |
|
606,175 | ||
Knowles* |
28,255 |
|
543,061 | ||
NortonLifeLock |
21,709 |
|
528,397 | ||
OSI Systems* |
7,574 |
|
635,611 | ||
Qualys* |
4,637 |
|
605,964 | ||
TTM Technologies* |
44,474 |
|
635,533 | ||
Western Union |
33,018 |
|
598,947 | ||
|
7,217,274 | ||||
Materials — 4.5% |
|
||||
AptarGroup |
5,197 |
|
556,547 | ||
Balchem |
4,288 |
|
533,556 | ||
Ball |
6,387 |
|
452,774 | ||
International Paper |
12,803 |
|
620,305 | ||
NewMarket |
2,004 |
|
660,358 | ||
Newmont |
9,825 |
|
666,626 | ||
Packaging Corp of America |
4,080 |
|
641,703 | ||
Royal Gold |
5,853 |
|
661,857 | ||
RPM International |
6,930 |
|
610,533 | ||
Silgan Holdings |
13,571 |
|
594,546 | ||
Sonoco Products |
10,620 |
|
620,951 | ||
|
6,619,756 | ||||
Real Estate — 9.1% |
|
||||
Apartment Income‡ |
11,346 |
|
508,982 | ||
Camden Property Trust‡ |
3,597 |
|
516,134 | ||
CareTrust‡ |
30,574 |
|
566,536 | ||
Centerspace‡ |
6,466 |
|
536,549 | ||
Community Healthcare Trust‡ |
13,906 |
|
523,978 | ||
Corporate Office Properties Trust‡ |
23,950 |
|
661,978 | ||
Easterly Government Properties, Cl A‡ |
29,347 |
|
576,082 | ||
Extra Space Storage‡ |
2,972 |
|
529,610 | ||
First Industrial Realty Trust‡ |
9,935 |
|
528,045 | ||
Four Corners Property Trust‡ |
22,856 |
|
630,140 | ||
Getty Realty‡ |
21,037 |
|
587,774 |
Description |
Shares |
Fair Value | |||
Real Estate (continued) |
|
||||
Independence Realty Trust‡ |
25,358 |
$ |
596,167 | ||
Industrial Logistics Properties Trust‡ |
26,442 |
|
403,505 | ||
Lexington Realty Trust‡ |
39,746 |
|
459,464 | ||
LTC Properties‡ |
17,890 |
|
693,058 | ||
National Retail Properties‡ |
13,906 |
|
616,036 | ||
NexPoint Residential Trust‡ |
7,748 |
|
569,323 | ||
Omega Healthcare Investors‡ |
22,022 |
|
655,595 | ||
Physicians Realty Trust‡ |
34,365 |
|
637,471 | ||
PS Business Parks‡ |
3,667 |
|
688,038 | ||
Public Storage‡ |
1,647 |
|
544,564 | ||
Uniti Group‡ |
52,041 |
|
590,145 | ||
Washington Real Estate Investment Trust‡ |
24,698 |
|
599,914 | ||
|
13,219,088 | ||||
Utilities — 17.3% |
|
||||
ALLETE |
9,460 |
|
586,709 | ||
Alliant Energy |
10,127 |
|
646,305 | ||
Ameren |
6,889 |
|
655,764 | ||
American Electric Power |
6,712 |
|
684,825 | ||
American States Water |
6,748 |
|
534,779 | ||
American Water Works |
3,850 |
|
582,313 | ||
Avista |
13,557 |
|
588,916 | ||
Black Hills |
9,220 |
|
706,806 | ||
California Water Service Group |
10,020 |
|
537,773 | ||
Chesapeake Utilities |
4,537 |
|
606,007 | ||
CMS Energy |
9,258 |
|
657,688 | ||
Consolidated Edison |
6,957 |
|
690,553 | ||
Dominion Energy |
7,470 |
|
629,123 | ||
DTE Energy |
4,985 |
|
661,559 | ||
Duke Energy |
5,745 |
|
646,427 | ||
Essential Utilities |
13,118 |
|
606,838 | ||
Evergy |
9,183 |
|
642,259 | ||
Eversource Energy |
6,824 |
|
629,992 | ||
FirstEnergy |
14,479 |
|
622,018 | ||
Hawaiian Electric Industries |
14,263 |
|
615,734 | ||
IDACORP |
5,576 |
|
607,896 | ||
Middlesex Water |
6,162 |
|
523,955 | ||
National Fuel Gas |
10,114 |
|
743,682 | ||
New Jersey Resources |
14,976 |
|
687,698 | ||
NiSource |
20,403 |
|
641,674 | ||
Northwest Natural Holding |
12,749 |
|
692,143 | ||
NorthWestern |
10,308 |
|
631,571 | ||
OGE Energy |
15,864 |
|
655,183 | ||
ONE Gas |
7,949 |
|
691,722 | ||
PNM Resources |
13,179 |
|
626,398 | ||
PPL |
20,364 |
|
614,586 |
The accompanying notes are an integral part of the financial statements.
5
ETC 6 Meridian
Low Beta Equity Strategy ETF
Schedule of Investments
May 31, 2022 (Unaudited) (Concluded)
Description |
Shares |
Fair Value | |||
Utilities (continued) |
|
||||
Public Service Enterprise Group |
8,982 |
$ |
615,626 | ||
South Jersey Industries |
24,005 |
|
836,575 | ||
Southern |
8,718 |
|
659,604 | ||
Spire |
9,400 |
|
736,020 | ||
UGI |
14,342 |
|
612,977 | ||
Unitil |
11,753 |
|
679,441 | ||
WEC Energy Group |
6,325 |
|
664,568 | ||
Xcel Energy |
8,707 |
|
655,985 | ||
|
25,109,692 | ||||
Total
Common Stock |
|
145,302,880 | |||
SHORT-TERM INVESTMENT — 0.6% |
|
||||
Invesco Government & Agency, CI Institutional, 0.67%(A) |
939,646 |
|
939,646 | ||
Total
Short-Term Investment |
|
939,646 | |||
Total
Investments — 100.4% |
$ |
146,242,526 |
Percentages are based on Net Assets of $145,602,192.
‡ Real Estate Investment Trust
* Non-income producing security.
(A) The rate reported is the 7-day effective yield as of May 31, 2022.
Cl — Class
PLC — Public Limited Company
As of May 31, 2022, all of the Fund’s investments were considered Level 1, in accordance with the authoritative guidance under U.S. GAAP.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
6
ETC 6 Meridian
Mega Cap Equity ETF
Schedule of Investments
May 31, 2022 (Unaudited)
Description |
Shares |
Fair Value | |||
COMMON STOCK — 99.8% |
|
||||
Communication Services — 7.1% |
|
||||
Alphabet, Cl A* |
921 |
$ |
2,095,496 | ||
Comcast, Cl A |
53,071 |
|
2,349,984 | ||
Verizon Communications |
139,311 |
|
7,145,261 | ||
|
11,590,741 | ||||
Consumer Discretionary — 5.8% |
|
||||
Home Depot |
6,993 |
|
2,117,131 | ||
Lowe’s |
10,568 |
|
2,063,930 | ||
NIKE, Cl B |
17,027 |
|
2,023,659 | ||
Target |
9,343 |
|
1,512,445 | ||
Tesla* |
2,377 |
|
1,802,384 | ||
|
9,519,549 | ||||
Consumer Staples — 23.1% |
|
||||
Altria Group |
116,293 |
|
6,290,288 | ||
Colgate-Palmolive |
57,111 |
|
4,500,917 | ||
Costco Wholesale |
4,058 |
|
1,891,921 | ||
Kraft Heinz |
102,277 |
|
3,869,139 | ||
Mondelez International, Cl A |
33,653 |
|
2,138,985 | ||
PepsiCo |
12,796 |
|
2,146,529 | ||
Philip Morris International |
65,338 |
|
6,942,163 | ||
Procter & Gamble |
13,554 |
|
2,004,366 | ||
Walgreens Boots Alliance |
100,979 |
|
4,425,909 | ||
Walmart |
28,251 |
|
3,633,926 | ||
|
37,844,143 | ||||
Energy — 10.1% |
|
||||
Chevron |
53,753 |
|
9,388,499 | ||
Exxon Mobil |
74,532 |
|
7,155,072 | ||
|
16,543,571 |
Description |
Shares |
Fair Value | |||
Financials — 10.9% |
|
||||
American Express |
12,509 |
$ |
2,111,769 | ||
American International Group |
36,348 |
|
2,132,901 | ||
Berkshire Hathaway, Cl B* |
6,747 |
|
2,131,917 | ||
Capital One Financial |
16,951 |
|
2,167,355 | ||
JPMorgan Chase |
17,823 |
|
2,356,735 | ||
Morgan Stanley |
26,192 |
|
2,256,179 | ||
US Bancorp |
87,894 |
|
4,664,535 | ||
|
17,821,391 | ||||
Health Care — 24.6% |
|
||||
AbbVie |
43,554 |
|
6,418,553 | ||
Bristol-Myers Squibb |
28,592 |
|
2,157,266 | ||
CVS Health |
44,493 |
|
4,304,697 | ||
Eli Lilly |
14,828 |
|
4,647,688 | ||
Gilead Sciences |
106,787 |
|
6,925,137 | ||
Johnson & Johnson |
12,017 |
|
2,157,412 | ||
Merck |
24,492 |
|
2,253,999 | ||
Pfizer |
177,639 |
|
9,421,973 | ||
UnitedHealth Group |
4,284 |
|
2,128,206 | ||
|
40,414,931 | ||||
Industrials — 1.3% |
|
||||
General Dynamics |
9,204 |
|
2,070,072 | ||
|
|||||
Information Technology — 12.9% |
|
||||
Adobe* |
5,271 |
|
2,195,266 | ||
Apple |
27,182 |
|
4,045,769 | ||
Broadcom |
3,725 |
|
2,160,984 | ||
Intel |
47,747 |
|
2,120,922 | ||
International Business Machines |
16,136 |
|
2,240,322 | ||
NVIDIA |
21,981 |
|
4,104,293 | ||
QUALCOMM |
14,777 |
|
2,116,362 | ||
Texas Instruments |
12,337 |
|
2,180,688 | ||
|
21,164,606 | ||||
Materials — 2.7% |
|
||||
Dow |
64,026 |
|
4,352,487 | ||
|
|||||
Real Estate — 1.3% |
|
||||
Simon Property Group‡ |
18,373 |
|
2,106,464 | ||
Total
Common Stock |
|
163,427,955 |
The accompanying notes are an integral part of the financial statements.
7
ETC 6 Meridian
Mega Cap Equity ETF
Schedule of Investments
May 31, 2022 (Unaudited) (Concluded)
Description |
Shares |
Fair Value | |||
SHORT-TERM INVESTMENT — 0.3% |
|
||||
Invesco Government & Agency, CI Institutional, 0.67%(A) |
444,799 |
$ |
444,799 | ||
Total
Short-Term Investment |
|
444,799 | |||
Total
Investments — 100.1% |
$ |
163,872,754 |
Percentages are based on Net Assets of $163,757,082.
* Non-income producing security.
(A) The rate reported is the 7-day effective yield as of May 31, 2022.
Cl — Class
PLC — Public Limited Company
As of May 31, 2022, all of the Fund’s investments were considered Level 1, in accordance with the authoritative guidance under U.S. GAAP.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
8
ETC 6 Meridian
Small Cap Equity ETF
Schedule of Investments
May 31, 2022 (Unaudited)
Description |
Shares |
Fair Value | |||
COMMON STOCK — 99.6% |
|
||||
Communication Services — 2.3% |
|
||||
Shenandoah Telecommunications |
36,102 |
$ |
828,902 | ||
Thryv Holdings* |
24,923 |
|
652,733 | ||
|
1,481,635 | ||||
Consumer Discretionary — 19.6% |
|
||||
Asbury Automotive Group* |
4,688 |
|
849,231 | ||
Buckle |
21,038 |
|
691,309 | ||
Cato, Cl A |
47,043 |
|
613,911 | ||
Century Communities |
12,029 |
|
654,017 | ||
Conn’s* |
33,297 |
|
439,520 | ||
Ethan Allen Interiors |
30,521 |
|
709,918 | ||
Genesco* |
12,379 |
|
697,061 | ||
G-III Apparel Group* |
28,475 |
|
713,584 | ||
Group 1 Automotive |
4,580 |
|
822,522 | ||
Haverty Furniture |
26,320 |
|
743,803 | ||
LGI Homes* |
6,169 |
|
604,500 | ||
MarineMax* |
16,537 |
|
684,797 | ||
Movado Group |
20,780 |
|
705,065 | ||
Perdoceo Education* |
72,357 |
|
789,415 | ||
Shoe Carnival |
23,783 |
|
648,325 | ||
Sturm Ruger |
11,668 |
|
792,141 | ||
Vista Outdoor* |
19,452 |
|
749,680 | ||
Zumiez* |
17,833 |
|
585,101 | ||
|
12,493,900 | ||||
Consumer Staples — 12.9% |
|
||||
B&G Foods |
24,464 |
|
553,131 | ||
Cal-Maine Foods |
19,250 |
|
918,802 | ||
Coca-Cola Consolidated |
1,343 |
|
758,755 | ||
Hostess Brands, Cl A* |
37,481 |
|
796,471 | ||
J & J Snack Foods |
5,139 |
|
658,923 | ||
John B Sanfilippo & Son |
9,662 |
|
737,984 | ||
Tootsie Roll Industries |
24,056 |
|
795,532 | ||
TreeHouse Foods* |
20,775 |
|
854,268 |
Description |
Shares |
Fair Value | |||
Consumer Staples (continued) |
|
||||
USANA Health Sciences* |
8,194 |
$ |
576,284 | ||
Vector Group |
69,416 |
|
854,511 | ||
WD-40 |
3,470 |
|
655,101 | ||
|
8,159,762 | ||||
Financials — 14.0% |
|
||||
Ambac Financial Group* |
54,126 |
|
579,689 | ||
BankUnited |
17,927 |
|
746,839 | ||
Customers Bancorp* |
12,847 |
|
530,581 | ||
Enova International* |
19,839 |
|
626,516 | ||
Greenhill |
41,915 |
|
515,555 | ||
HomeStreet |
15,797 |
|
636,777 | ||
KKR Real Estate Finance Trust‡ |
36,415 |
|
743,594 | ||
Meta Financial Group |
13,338 |
|
554,461 | ||
Piper Sandler |
5,166 |
|
680,827 | ||
PRA Group* |
16,909 |
|
625,633 | ||
S&T Bancorp |
24,803 |
|
729,456 | ||
Safety Insurance Group |
8,938 |
|
829,983 | ||
Stewart Information Services |
10,377 |
|
575,820 | ||
Virtus Investment Partners |
3,067 |
|
590,888 | ||
|
8,966,619 | ||||
Health Care — 11.1% |
|
||||
Amphastar Pharmaceuticals* |
30,233 |
|
1,122,854 | ||
Collegium Pharmaceutical* |
43,283 |
|
676,080 | ||
Eagle Pharmaceuticals* |
17,236 |
|
804,921 | ||
HealthStream* |
32,138 |
|
654,651 | ||
Innoviva* |
100,348 |
|
1,522,280 | ||
iTeos Therapeutics* |
21,878 |
|
382,865 | ||
Mesa Laboratories |
2,839 |
|
594,060 | ||
Omnicell* |
5,060 |
|
562,470 | ||
Prestige Consumer Healthcare* |
12,540 |
|
699,983 | ||
|
7,020,164 | ||||
Industrials — 9.8% |
|
||||
Aerojet Rocketdyne Holdings* |
20,217 |
|
823,641 | ||
Boise Cascade |
9,583 |
|
740,958 | ||
Encore Wire |
6,805 |
|
850,761 | ||
Heartland Express |
52,536 |
|
750,214 | ||
Heidrick & Struggles International |
17,534 |
|
605,975 | ||
ManTech International, Cl A |
10,411 |
|
995,812 | ||
Matson |
8,113 |
|
729,196 | ||
Mueller Industries |
13,842 |
|
745,392 | ||
|
6,241,949 | ||||
Information Technology — 5.1% |
|
||||
CSG Systems International |
13,434 |
|
835,460 | ||
OSI Systems* |
9,600 |
|
805,633 | ||
TTM Technologies* |
56,018 |
|
800,497 | ||
Xperi Holding |
47,101 |
|
775,282 | ||
|
3,216,872 |
The accompanying notes are an integral part of the financial statements.
9
ETC 6 Meridian
Small Cap Equity ETF
Schedule of Investments
May 31, 2022 (Unaudited) (Concluded)
Description |
Shares |
Fair Value | |||
Materials — 3.8% |
|
||||
AdvanSix |
18,793 |
$ |
870,680 | ||
SunCoke Energy |
102,691 |
|
830,770 | ||
Trinseo |
14,423 |
|
682,064 | ||
|
2,383,514 | ||||
Real Estate — 10.9% |
|
||||
Centerspace‡ |
8,286 |
|
687,572 | ||
Community Healthcare Trust‡ |
17,768 |
|
669,498 | ||
Easterly Government Properties, Cl A‡ |
37,284 |
|
731,885 | ||
Getty Realty‡ |
26,632 |
|
744,098 | ||
Independence Realty Trust‡ |
32,588 |
|
766,144 | ||
Industrial Logistics Properties Trust‡ |
33,850 |
|
516,551 | ||
Lexington Realty Trust‡ |
50,570 |
|
584,589 | ||
LTC Properties‡ |
22,506 |
|
871,883 | ||
NexPoint Residential Trust‡ |
9,871 |
|
725,321 | ||
Realogy Holdings* |
47,683 |
|
590,316 | ||
|
6,887,857 | ||||
Utilities — 10.1% |
|
||||
American States Water |
8,574 |
|
679,490 | ||
Avista |
17,374 |
|
754,727 | ||
California Water Service Group |
12,713 |
|
682,306 | ||
Chesapeake Utilities |
5,772 |
|
770,966 | ||
Middlesex Water |
7,957 |
|
676,584 | ||
Northwest Natural Holding |
16,169 |
|
877,815 | ||
South Jersey Industries |
30,642 |
|
1,067,873 | ||
Unitil |
15,079 |
|
871,717 | ||
|
6,381,478 | ||||
Total
Common Stock |
|
63,233,750 |
Description |
Shares |
Fair Value | |||
SHORT-TERM INVESTMENT — 0.4% |
|
||||
Invesco Government & Agency, CI Institutional, 0.67%(A) |
259,078 |
$ |
259,078 | ||
Total
Short-Term Investment |
|
259,078 | |||
Total
Investments — 100.0% |
$ |
63,492,828 |
Percentages are based on Net Assets of $63,469,391.
‡ Real Estate Investment Trust
* Non-income producing security.
(A) The rate reported is the 7-day effective yield as of May 31, 2022.
Cl — Class
As of May 31, 2022, all of the Fund’s investments were considered Level 1, in accordance with the authoritative guidance under U.S. GAAP.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
10
ETC 6 Meridian
Quality Growth ETF
Schedule of Investments
May 31, 2022 (Unaudited)
Description |
Shares |
Fair Value | |||
COMMON STOCK — 99.6% |
|
||||
Communication Services — 9.7% |
|
||||
Alphabet, Cl A* |
519 |
$ |
1,180,850 | ||
Cargurus, Cl A* |
1,150 |
|
29,118 | ||
Meta Platforms, Cl A* |
6,433 |
|
1,245,685 | ||
Pinterest, Cl A* |
6,470 |
|
127,136 | ||
|
2,582,789 | ||||
Consumer Discretionary — 11.1% |
|
||||
Columbia Sportswear |
357 |
|
27,767 | ||
Deckers Outdoor* |
315 |
|
84,596 | ||
Lululemon Athletica* |
1,314 |
|
384,595 | ||
NIKE, Cl B |
8,967 |
|
1,065,729 | ||
NVR* |
32 |
|
142,420 | ||
Pool |
423 |
|
168,616 | ||
Revolve Group, Cl A* |
722 |
|
21,212 | ||
Shutterstock |
247 |
|
14,869 | ||
Skyline Champion* |
534 |
|
28,371 | ||
Sleep Number* |
227 |
|
10,426 | ||
Target |
4,988 |
|
807,457 | ||
Wayfair, Cl A* |
1,047 |
|
62,182 | ||
Williams-Sonoma |
769 |
|
98,371 | ||
YETI Holdings* |
836 |
|
38,247 | ||
|
2,954,858 | ||||
Consumer Staples — 4.7% |
|
||||
Church & Dwight |
2,656 |
|
239,200 | ||
Freshpet* |
441 |
|
31,739 | ||
Hershey |
2,183 |
|
462,162 | ||
Lancaster Colony |
207 |
|
25,233 | ||
Medifast |
114 |
|
19,010 | ||
Monster Beverage* |
4,058 |
|
361,649 | ||
Nu Skin Enterprises, Cl A |
510 |
|
23,791 | ||
Sanderson Farms |
225 |
|
44,888 | ||
Sprouts Farmers Market* |
1,178 |
|
31,912 | ||
WD-40 |
142 |
|
26,808 | ||
|
1,266,392 |
Description |
Shares |
Fair Value | |||
Energy — 0.4% |
|
||||
Texas Pacific Land |
65 |
$ |
101,789 | ||
|
|||||
Financials — 3.0% |
|
||||
Cohen & Steers |
257 |
|
19,586 | ||
FactSet Research Systems |
397 |
|
151,566 | ||
Houlihan Lokey, Cl A |
708 |
|
60,846 | ||
MarketAxess Holdings |
373 |
|
105,067 | ||
Moelis, Cl A |
775 |
|
36,363 | ||
S&P Global |
354 |
|
123,716 | ||
T Rowe Price Group |
2,329 |
|
295,992 | ||
|
793,136 | ||||
Health Care — 28.7% |
|
||||
Abbott Laboratories |
10,168 |
|
1,194,333 | ||
ABIOMED* |
474 |
|
124,994 | ||
Align Technology* |
789 |
|
219,058 | ||
Chemed |
162 |
|
78,473 | ||
Corcept Therapeutics* |
1,082 |
|
22,549 | ||
CorVel* |
96 |
|
14,319 | ||
Edwards Lifesciences* |
6,651 |
|
670,753 | ||
Fulgent Genetics* |
196 |
|
10,684 | ||
Globus Medical, Cl A* |
1,075 |
|
71,595 | ||
Incyte* |
1,963 |
|
148,972 | ||
Intuitive Surgical* |
3,699 |
|
842,040 | ||
Masimo* |
544 |
|
76,394 | ||
Mettler-Toledo International* |
238 |
|
306,097 | ||
Neogen* |
1,148 |
|
30,376 | ||
Neurocrine Biosciences* |
983 |
|
91,901 | ||
Regeneron Pharmaceuticals* |
1,108 |
|
736,532 | ||
ResMed |
1,545 |
|
314,346 | ||
STAAR Surgical* |
491 |
|
32,377 | ||
Tenet Healthcare* |
1,206 |
|
78,040 | ||
UnitedHealth Group |
2,694 |
|
1,338,326 | ||
Veeva Systems, Cl A* |
1,609 |
|
273,948 | ||
Vericel* |
472 |
|
12,815 | ||
Vertex Pharmaceuticals* |
2,719 |
|
730,459 | ||
West Pharmaceutical Services |
788 |
|
244,579 | ||
|
7,663,960 | ||||
Industrials — 7.9% |
|
||||
AAON |
452 |
|
24,218 | ||
Copart* |
2,271 |
|
260,097 | ||
Expeditors International of Washington |
1,824 |
|
198,524 | ||
Exponent |
599 |
|
54,144 | ||
Fastenal |
6,470 |
|
346,534 | ||
Graco |
1,815 |
|
114,890 | ||
Kforce |
210 |
|
13,793 | ||
Landstar System |
418 |
|
63,298 | ||
Mueller Industries |
592 |
|
31,879 |
The accompanying notes are an integral part of the financial statements.
11
ETC 6 Meridian
Quality Growth ETF
Schedule of Investments
May 31, 2022 (Unaudited) (Concluded)
Description |
Shares |
Fair Value | |||
Industrials (continued) |
|
||||
Old Dominion Freight Line |
1,227 |
$ |
316,860 | ||
Robert Half International |
1,126 |
|
101,508 | ||
Rollins |
2,560 |
|
90,778 | ||
Simpson Manufacturing |
464 |
|
50,274 | ||
Toro |
1,114 |
|
91,894 | ||
Trex* |
1,257 |
|
80,097 | ||
Vicor* |
311 |
|
20,930 | ||
WW Grainger |
491 |
|
239,151 | ||
|
2,098,869 | ||||
Information Technology — 33.7% |
|
||||
Accenture PLC, Cl A |
3,785 |
|
1,129,671 | ||
Adobe* |
2,566 |
|
1,068,688 | ||
Apple |
8,427 |
|
1,254,275 | ||
Arista Networks* |
2,461 |
|
251,711 | ||
Badger Meter |
312 |
|
24,692 | ||
Cadence Design Systems* |
2,918 |
|
448,584 | ||
CommVault Systems* |
452 |
|
27,577 | ||
Gartner* |
838 |
|
219,891 | ||
Intuit |
2,149 |
|
890,675 | ||
Jack Henry & Associates |
784 |
|
147,486 | ||
Manhattan Associates* |
670 |
|
81,023 | ||
Microsoft |
4,806 |
|
1,306,606 | ||
Monolithic Power Systems |
460 |
|
207,179 | ||
Power Integrations |
588 |
|
49,615 | ||
Qualys* |
357 |
|
46,653 | ||
SPS Commerce* |
372 |
|
39,819 | ||
Texas Instruments |
7,402 |
|
1,308,378 | ||
Ubiquiti |
70 |
|
18,309 | ||
Zebra Technologies, Cl A* |
578 |
|
195,474 | ||
Zoom Video Communications, Cl A* |
2,631 |
|
282,701 | ||
|
8,999,007 | ||||
Materials — 0.4% |
|
||||
Balchem |
345 |
|
42,928 | ||
Louisiana-Pacific |
939 |
|
64,848 | ||
|
107,776 | ||||
Real Estate — 0.0% |
|
||||
eXp World Holdings |
707 |
|
9,877 | ||
Total
Common Stock |
|
26,578,453 |
Description |
Shares |
Fair Value | |||
SHORT-TERM INVESTMENT — 0.4% |
|
||||
Invesco Government & Agency, CI Institutional, 0.67%(A) |
105,673 |
$ |
105,673 | ||
Total
Short-Term Investment |
|
105,673 | |||
Total
Investments — 100.0% |
$ |
26,684,126 |
Percentages are based on Net Assets of $26,673,279.
* Non-income producing security.
(A) The rate reported is the 7-day effective yield as of May 31, 2022.
Cl — Class
PLC — Public Limited Company
As of May 31, 2022, all of the Fund’s investments were considered Level 1, in accordance with the authoritative guidance under U.S. GAAP.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
12
ETC
|
ETC
|
ETC
| ||||||||
Assets: |
|
|
|
|
||||||
Investments, at Cost |
$ |
280,479,481 |
|
$ |
139,656,805 |
$ |
161,953,798 | |||
Investments at Fair Value |
$ |
282,619,860 |
|
$ |
146,242,526 |
$ |
163,872,754 | |||
Cash and Cash Equivalents |
|
744 |
|
|
1,918 |
|
— | |||
Dividends Receivable |
|
686,652 |
|
|
197,143 |
|
427,872 | |||
Deposits at Broker for Options |
|
2,407 |
|
|
— |
|
— | |||
Prepaid Expenses |
|
5,213 |
|
|
4,940 |
|
4,992 | |||
Total Assets |
|
283,314,876 |
|
|
146,446,527 |
|
164,305,618 | |||
|
|
|
|
|||||||
Liabilities: |
|
|
|
|
||||||
Options Written, at Value (Premium Received $1,335,228, $— and $—, respectively) |
|
1,547,522 |
|
|
— |
|
— | |||
Income distributions Payable |
|
658,013 |
|
|
125,840 |
|
416,442 | |||
Advisory Fees Payable |
|
142,363 |
|
|
73,972 |
|
83,801 | |||
Payable due to Administrator |
|
16,337 |
|
|
8,489 |
|
9,617 | |||
Audit Expenses |
|
8,700 |
|
|
8,700 |
|
8,700 | |||
Payable for Trustees’ Fee |
|
8,256 |
|
|
4,038 |
|
5,002 | |||
Chief Compliance Officer Fees Payable |
|
1,961 |
|
|
936 |
|
1,186 | |||
Payable for Investment Securities Purchased |
|
— |
|
|
603,179 |
|
— | |||
Payable due to Custodian |
|
— |
|
|
— |
|
19 | |||
Other Accrued Expenses |
|
34,274 |
|
|
19,181 |
|
23,769 | |||
|
|
|
|
|||||||
Total Liabilities |
|
2,417,426 |
|
|
844,335 |
|
548,536 | |||
|
|
|
|
|||||||
Net Assets |
$ |
280,897,450 |
|
$ |
145,602,192 |
$ |
163,757,082 | |||
|
|
|
|
|||||||
Net Assets Consist of: |
|
|
|
|
||||||
Paid-in Capital |
$ |
296,028,468 |
|
$ |
140,618,207 |
$ |
163,265,503 | |||
Total Distributable Earnings/(Loss) |
|
(15,131,018 |
) |
|
4,983,985 |
|
491,579 | |||
|
|
|
|
|||||||
Net Assets |
$ |
280,897,450 |
|
$ |
145,602,192 |
$ |
163,757,082 | |||
Outstanding
Shares of Beneficial Interest |
|
8,950,000 |
|
|
4,325,000 |
|
4,750,000 | |||
Net Asset Value, Offering and Redemption Price Per Share |
$ |
31.39 |
|
$ |
33.67 |
$ |
34.48 |
Amounts designated as “—” are $0.
The accompanying notes are an integral part of the financial statements.
13
6 Meridian
Statements of Assets and Liabilities
May 31, 2022 (Unaudited) (Concluded)
ETC
|
ETC
| |||||||
Assets: |
|
|
|
| ||||
Investments, at Cost |
$ |
64,736,834 |
|
$ |
31,452,336 |
| ||
Investments at Fair Value |
$ |
63,492,828 |
|
$ |
26,684,126 |
| ||
Receivable for Capital Shares Sold |
|
1,113,498 |
|
|
— |
| ||
Dividends Receivable |
|
67,936 |
|
|
16,000 |
| ||
Prepaid Expenses |
|
4,748 |
|
|
4,658 |
| ||
Total Assets |
|
64,679,010 |
|
|
26,704,784 |
| ||
Liabilities: |
|
|
|
| ||||
Payable for Investment Securities Purchased |
|
1,106,824 |
|
|
— |
| ||
Income distributions Payable |
|
44,513 |
|
|
— |
| ||
Advisory Fees Payable |
|
31,805 |
|
|
12,048 |
| ||
Audit Expenses |
|
8,700 |
|
|
8,700 |
| ||
Payable due to Administrator |
|
3,650 |
|
|
1,553 |
| ||
Payable for Trustees’ Fee |
|
1,705 |
|
|
734 |
| ||
Chief Compliance Officer Fees Payable |
|
390 |
|
|
168 |
| ||
Payable for Offering Costs |
|
— |
|
|
1,003 |
| ||
Other Accrued Expenses |
|
12,032 |
|
|
7,299 |
| ||
|
|
|
| |||||
Total Liabilities |
|
1,209,619 |
|
|
31,505 |
| ||
|
|
|
| |||||
Net Assets |
$ |
63,469,391 |
|
$ |
26,673,279 |
| ||
|
|
|
| |||||
Net Assets Consist of: |
|
|
|
| ||||
Paid-in Capital |
$ |
64,640,879 |
|
$ |
32,674,072 |
| ||
Total Distributable Earnings/(Losses) |
|
(1,171,488 |
) |
|
(6,000,793 |
) | ||
|
|
|
| |||||
Net Assets |
$ |
63,469,391 |
|
$ |
26,673,279 |
| ||
Outstanding
Shares of Beneficial Interest |
|
1,425,000 |
|
|
1,275,000 |
| ||
Net Asset Value, Offering and Redemption Price Per Share |
$ |
44.54 |
|
$ |
20.92 |
|
Amounts designated as “—” are $0.
The accompanying notes are an integral part of the financial statements.
14
ETC
|
ETC
|
ETC
| ||||||||||
Investment Income: |
|
|
|
|
|
| ||||||
Dividend Income |
$ |
3,543,069 |
|
$ |
1,328,249 |
|
$ |
2,238,035 |
| |||
|
|
|
|
|
| |||||||
Total Investment Income |
|
3,543,069 |
|
|
1,328,249 |
|
|
2,238,035 |
| |||
|
|
|
|
|
| |||||||
Expenses: |
|
|
|
|
|
| ||||||
Advisory Fees |
|
812,146 |
|
|
437,366 |
|
|
502,187 |
| |||
Dividend Expense |
|
26,318 |
|
|
— |
|
|
— |
| |||
Chief Compliance Officer Fees |
|
6,808 |
|
|
3,730 |
|
|
4,235 |
| |||
Administration Fees |
|
93,197 |
|
|
50,189 |
|
|
57,628 |
| |||
Trustees’ Fees |
|
24,411 |
|
|
13,349 |
|
|
15,168 |
| |||
Transfer Agent Fees |
|
21,507 |
|
|
17,052 |
|
|
20,687 |
| |||
Printing Fees |
|
6,766 |
|
|
3,699 |
|
|
4,136 |
| |||
Custodian Fees |
|
14,343 |
|
|
9,810 |
|
|
10,010 |
| |||
Pricing Fees |
|
760 |
|
|
1,385 |
|
|
557 |
| |||
Legal Fees |
|
8,511 |
|
|
4,667 |
|
|
5,282 |
| |||
Audit Fees |
|
8,450 |
|
|
8,450 |
|
|
8,450 |
| |||
Registration Fees |
|
5,723 |
|
|
5,694 |
|
|
5,147 |
| |||
Other Fees |
|
17,684 |
|
|
10,768 |
|
|
11,875 |
| |||
Total Expenses |
|
1,046,624 |
|
|
566,159 |
|
|
645,362 |
| |||
|
|
|
|
|
| |||||||
Net Investment Income |
|
2,496,445 |
|
|
762,090 |
|
|
1,592,673 |
| |||
|
|
|
|
|
| |||||||
Net Realized Gain (Loss) on: |
|
|
|
|
|
| ||||||
Investments(1) |
|
8,099,577 |
|
|
1,473,158 |
|
|
4,844,829 |
| |||
Written Options |
|
18,562,243 |
|
|
— |
|
|
— |
| |||
|
|
|
|
|
| |||||||
Net Unrealized Appreciation (Depreciation) on: |
|
|
|
|
|
| ||||||
Investments |
|
(7,908,240 |
) |
|
(1,475,885 |
) |
|
(4,085,228 |
) | |||
Written Options |
|
(1,788,758 |
) |
|
— |
|
|
— |
| |||
Net Realized and Unrealized Gain (Loss) on Investments |
|
16,964,822 |
|
|
(2,727 |
) |
|
759,601 |
| |||
|
|
|
|
|
| |||||||
Net Increase in Net Assets Resulting from Operations |
$ |
19,461,267 |
|
$ |
759,363 |
|
$ |
2,352,274 |
|
(1) Includes realized gains as a result of in-kind transactions (see Note 4 in Notes to Financial Statements).
Amounts designated as “—” are $0.
The accompanying notes are an integral part of the financial statements.
15
6 Meridian
Statements of Operations
For the six months ended May 31, 2022 (Unaudited) (Concluded)
ETC |
ETC | |||||||
Investment Income: |
|
|
|
| ||||
Dividend Income |
$ |
688,485 |
|
$ |
113,157 |
| ||
Total Investment Income |
|
688,485 |
|
|
113,157 |
| ||
|
|
|
| |||||
Expenses: |
|
|
|
| ||||
Advisory Fees |
|
195,576 |
|
|
83,061 |
| ||
Chief Compliance Officer Fees |
|
1,665 |
|
|
704 |
| ||
Administration Fees |
|
22,443 |
|
|
9,532 |
| ||
Trustees’ Fees |
|
5,955 |
|
|
2,520 |
| ||
Transfer Agent Fees |
|
17,399 |
|
|
13,793 |
| ||
Printing Fees |
|
1,634 |
|
|
718 |
| ||
Custodian Fees |
|
4,467 |
|
|
2,112 |
| ||
Pricing Fees |
|
527 |
|
|
483 |
| ||
Offering Cost Fees |
|
— |
|
|
21,061 |
| ||
Legal Fees |
|
2,121 |
|
|
927 |
| ||
Audit Fees |
|
8,450 |
|
|
8,450 |
| ||
Registration Fees |
|
5,101 |
|
|
5,598 |
| ||
Other Fees |
|
5,913 |
|
|
3,996 |
| ||
Total Expenses |
|
271,251 |
|
|
152,955 |
| ||
Less: Advisory Fee Waiver |
|
— |
|
|
(16,838 |
) | ||
|
|
|
| |||||
Net Investment Income (Loss) |
|
417,234 |
|
|
(22,960 |
) | ||
|
|
|
| |||||
Net Realized Gain (Loss) on: |
|
|
|
| ||||
Investments(1) |
|
1,551,850 |
|
|
(1,028,899 |
) | ||
|
|
|
| |||||
Net Unrealized Appreciation (Depreciation) on: |
|
|
|
| ||||
Investments |
|
(7,892,273 |
) |
|
(5,685,218 |
) | ||
Net Realized and Unrealized Loss on Investments |
|
(6,340,423 |
) |
|
(6,714,117 |
) | ||
|
|
|
| |||||
Net Decrease in Net Assets Resulting from Operations |
$ |
(5,923,189 |
) |
$ |
(6,737,077 |
) |
(1) Includes realized gains as a result of in-kind transactions (see Note 4 in Notes to Financial Statements).
Amounts designated as “—” are $0.
The accompanying notes are an integral part of the financial statements.
16
ETC
6 Meridian Hedged Equity-Index | ||||||||
Six Months
ended |
Year ended
| |||||||
Operations: |
|
|
|
| ||||
Net Investment Income |
$ |
2,496,445 |
|
$ |
3,987,999 |
| ||
Net Realized Gain on Investments(1) |
|
8,099,577 |
|
|
52,448,917 |
| ||
Net Realized Gain (Loss) on Written Options |
|
18,562,243 |
|
|
(25,904,484 |
) | ||
Net Change in Unrealized Depreciation on Investments |
|
(7,908,240 |
) |
|
(12,657,666 |
) | ||
Net Change in Unrealized Gain/(Loss) on Written Options |
|
(1,788,758 |
) |
|
9,017,522 |
| ||
Net Increase in Net Assets Resulting from Operations |
|
19,461,267 |
|
|
26,892,288 |
| ||
|
|
|
| |||||
Distributions: |
|
(2,556,178 |
) |
|
(3,938,003 |
) | ||
|
|
|
| |||||
Capital Share Transactions: |
|
|
|
| ||||
Issued |
|
162,514,317 |
|
|
368,553,550 |
| ||
Redeemed |
|
(145,141,173 |
) |
|
(347,412,571 |
) | ||
Increase in Net Assets from Capital Share Transactions |
|
17,373,144 |
|
|
21,140,979 |
| ||
|
|
|
| |||||
Total Increase in Net Assets |
|
34,278,233 |
|
|
44,095,264 |
| ||
|
|
|
| |||||
Net Assets: |
|
|
|
| ||||
Beginning of Year/Period |
|
246,619,217 |
|
|
202,523,953 |
| ||
End of Year/Period |
$ |
280,897,450 |
|
$ |
246,619,217 |
| ||
|
|
|
| |||||
Share Transactions: |
|
|
|
| ||||
Issued |
|
5,325,000 |
|
|
12,725,000 |
| ||
Redeemed |
|
(4,725,000 |
) |
|
(11,975,000 |
) | ||
|
|
|
| |||||
Net Increase in Shares Outstanding from Share Transactions |
|
600,000 |
|
|
750,000 |
|
(1) Includes realized gains as a result of in-kind transactions (see Note 4 in Notes to Financial Statements).
Amounts designated as “—” are $0.
The accompanying notes are an integral part of the financial statements.
17
6 Meridian
Statements of Changes in Net Assets (Continued)
ETC 6 Meridian Low Beta Equity Strategy ETF | ||||||||
Six Months ended
|
Year
ended | |||||||
Operations: |
|
|
|
| ||||
Net Investment Income |
$ |
762,090 |
|
$ |
787,029 |
| ||
Net Realized Gain on Investments(1) |
|
1,473,158 |
|
|
18,088,315 |
| ||
Net Change in Unrealized Depreciation on Investments |
|
(1,475,885 |
) |
|
(1,643,112 |
) | ||
Net Increase in Net Assets Resulting from Operations |
|
759,363 |
|
|
17,232,232 |
| ||
|
|
|
| |||||
Distributions: |
|
(778,610 |
) |
|
(812,365 |
) | ||
|
|
|
| |||||
Capital Share Transactions: |
|
|
|
| ||||
Issued |
|
41,922,656 |
|
|
93,154,294 |
| ||
Redeemed |
|
(33,350,268 |
) |
|
(65,807,713 |
) | ||
Increase in Net Assets from Capital Share Transactions |
|
8,572,388 |
|
|
27,346,581 |
| ||
|
|
|
| |||||
Total Increase in Net Assets |
|
8,553,141 |
|
|
43,766,448 |
| ||
|
|
|
| |||||
Net Assets: |
|
|
|
| ||||
Beginning of Year/Period |
|
137,049,051 |
|
|
93,282,603 |
| ||
End of Year/Period |
$ |
145,602,192 |
|
$ |
137,049,051 |
| ||
|
|
|
| |||||
Share Transactions: |
|
|
|
| ||||
Issued |
|
1,250,000 |
|
|
2,775,000 |
| ||
Redeemed |
|
(1,000,000 |
) |
|
(1,950,000 |
) | ||
|
|
|
| |||||
Net Increase in Shares Outstanding from Share Transactions |
|
250,000 |
|
|
825,000 |
|
(1) Includes realized gains as a result of in-kind transactions (see Note 4 in Notes to Financial Statements).
The accompanying notes are an integral part of the financial statements.
18
6 Meridian
Statements of Changes in Net Assets (Continued)
ETC 6
Meridian Mega Cap | ||||||||
Six Months ended
|
Year
ended | |||||||
Operations: |
|
|
|
| ||||
Net Investment Income |
$ |
1,592,673 |
|
$ |
2,565,082 |
| ||
Net Realized Gain on Investments(1) |
|
4,844,829 |
|
|
30,886,423 |
| ||
Net Change in Unrealized Depreciation on Investments |
|
(4,085,228 |
) |
|
(7,036,859 |
) | ||
Net Increase in Net Assets Resulting from Operations |
|
2,352,274 |
|
|
26,414,646 |
| ||
|
|
|
| |||||
Distributions: |
|
(1,631,159 |
) |
|
(2,635,002 |
) | ||
|
|
|
| |||||
Capital Share Transactions: |
|
|
|
| ||||
Issued |
|
100,976,696 |
|
|
225,065,126 |
| ||
Redeemed |
|
(96,620,982 |
) |
|
(205,991,448 |
) | ||
Increase in Net Assets from Capital Share Transactions |
|
4,355,714 |
|
|
19,073,678 |
| ||
|
|
|
| |||||
Total Increase in Net Assets |
|
5,076,829 |
|
|
42,853,322 |
| ||
|
|
|
| |||||
Net Assets: |
|
|
|
| ||||
Beginning of Year/Period |
|
158,680,253 |
|
|
115,826,931 |
| ||
End of Year/Period |
$ |
163,757,082 |
|
$ |
158,680,253 |
| ||
|
|
|
| |||||
Share Transactions: |
|
|
|
| ||||
Issued |
|
2,875,000 |
|
|
6,850,000 |
| ||
Redeemed |
|
(2,725,000 |
) |
|
(6,225,000 |
) | ||
|
|
|
| |||||
Net Increase in Shares Outstanding from Share Transactions |
|
150,000 |
|
|
625,000 |
|
(1) Includes realized gains as a result of in-kind transactions (see Note 4 in Notes to Financial Statements).
The accompanying notes are an integral part of the financial statements.
19
6 Meridian
Statements of Changes in Net Assets (Continued)
ETC 6
Meridian Small Cap | ||||||||
Six Months ended
|
Year
ended | |||||||
Operations: |
|
|
|
| ||||
Net Investment Income |
$ |
417,234 |
|
$ |
457,264 |
| ||
Net Realized Gain on Investments(1) |
|
1,551,850 |
|
|
14,570,660 |
| ||
Net Change in Unrealized Appreciation (Depreciation) on Investments |
|
(7,892,273 |
) |
|
248,109 |
| ||
Net Increase (Decrease) in Net Assets Resulting from Operations |
|
(5,923,189 |
) |
|
15,276,033 |
| ||
|
|
|
| |||||
Distributions: |
|
(451,753 |
) |
|
(415,999 |
) | ||
|
|
|
| |||||
Capital Share Transactions: |
|
|
|
| ||||
Issued |
|
26,268,485 |
|
|
58,895,529 |
| ||
Redeemed |
|
(18,996,275 |
) |
|
(43,606,590 |
) | ||
Increase in Net Assets from Capital Share Transactions |
|
7,272,210 |
|
|
15,288,939 |
| ||
|
|
|
| |||||
Total Increase in Net Assets |
|
897,268 |
|
|
30,148,973 |
| ||
|
|
|
| |||||
Net Assets: |
|
|
|
| ||||
Beginning of Year/Period |
|
62,572,123 |
|
|
32,423,150 |
| ||
End of Year/Period |
$ |
63,469,391 |
|
$ |
62,572,123 |
| ||
|
|
|
| |||||
Share Transactions: |
|
|
|
| ||||
Issued |
|
550,000 |
|
|
1,325,000 |
| ||
Redeemed |
|
(400,000 |
) |
|
(975,000 |
) | ||
|
|
|
| |||||
Net Increase in Shares Outstanding from Share Transactions |
|
150,000 |
|
|
350,000 |
|
(1) Includes realized gains as a result of in-kind transactions (see Note 4 in Notes to Financial Statements).
The accompanying notes are an integral part of the financial statements.
20
6 Meridian
Statements of Changes in Net Assets (Concluded)
ETC 6
Meridian Quality | ||||||||
Six Months ended
|
Period
ended | |||||||
Operations: |
|
|
|
| ||||
Net Investment Loss |
$ |
(22,960 |
) |
$ |
(15,182 |
) | ||
Net Realized Gain (Loss) on Investments(2) |
|
(1,028,899 |
) |
|
333,599 |
| ||
Net Change in Unrealized Appreciation (Depreciation) on Investments |
|
(5,685,218 |
) |
|
917,008 |
| ||
Net Increase (Decrease) in Net Assets Resulting from Operations |
|
(6,737,077 |
) |
|
1,235,425 |
| ||
|
|
|
| |||||
Distributions: |
|
— |
|
|
(222 |
) | ||
|
|
|
| |||||
Capital Share Transactions: |
|
|
|
| ||||
Issued |
|
13,928,375 |
|
|
28,170,071 |
| ||
Redeemed |
|
(5,960,528 |
) |
|
(3,962,765 |
) | ||
Increase in Net Assets from Capital Share Transactions |
|
7,967,847 |
|
|
24,207,306 |
| ||
|
|
|
| |||||
Total Increase in Net Assets |
|
1,230,770 |
|
|
25,442,509 |
| ||
|
|
|
| |||||
Net Assets: |
|
|
|
| ||||
Beginning of Year/Period |
|
25,442,509 |
|
|
— |
| ||
End of Year/Period |
$ |
26,673,279 |
|
$ |
25,442,509 |
| ||
|
|
|
| |||||
Share Transactions: |
|
|
|
| ||||
Issued |
|
575,000 |
|
|
1,100,000 |
| ||
Redeemed |
|
(250,000 |
) |
|
(150,000 |
) | ||
|
|
|
| |||||
Net Increase in Shares Outstanding from Share Transactions |
|
325,000 |
|
|
950,000 |
|
(1) Commenced operations on May 10, 2021
(2) Includes realized gains as a result of in-kind transactions (see Note 4 in Notes to Financial Statements).
Amounts designated as “—” are $0.
The accompanying notes are an integral part of the financial statements.
21
Selected Per Share Data & Ratios
For the Six Months ended May 31, 2022 (Unaudited), the Year or Period Ended November 30.
For a Share Outstanding Throughout the Year/Period
Net Asset |
Net |
Net |
Total |
Distributions |
Distributions |
Return |
Total
|
Net |
Market |
Total |
Net |
Ratio of |
Ratio of |
Ratio of |
Portfolio
| |||||||||||||||||||||||||||||||||||||||
ETC 6 Meridian Hedged Equity-Index Option Strategy ETF |
|
| ||||||||||||||||||||||||||||||||||||||||||||||||||||
2022† |
$ |
29.54 |
$ |
0.29 |
|
$ |
1.85 |
|
$ |
2.14 |
|
$ |
(0.29 |
) |
$ |
— |
|
— |
|
$ |
(0.29 |
) |
$ |
31.39 |
$ |
31.40 |
7.28 |
% |
$ |
280,897 |
0.79 |
% |
0.79 |
% |
1.88 |
% |
90 |
% | ||||||||||||||||
2021 |
|
26.65 |
|
0.50 |
|
|
2.88 |
|
|
3.38 |
|
|
(0.49 |
) |
|
— |
|
— |
|
|
(0.49 |
) |
|
29.54 |
|
29.56 |
12.76 |
|
|
246,619 |
0.84 |
(7) |
0.84 |
(7) |
1.72 |
(7) |
171 |
| ||||||||||||||||
2020(3) |
|
25.34 |
|
0.25 |
|
|
1.30 |
|
|
1.55 |
|
|
(0.24 |
) |
|
— |
|
— |
|
|
(0.24 |
) |
|
26.65 |
|
26.56 |
6.14 |
|
|
202,524 |
0.87 |
(4)(5) |
0.87 |
(4)(5) |
1.71 |
(4)(5) |
49 |
| ||||||||||||||||
ETC 6 Meridian Low Beta Equity Strategy ETF |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||
2022† |
$ |
33.63 |
$ |
0.18 |
|
$ |
0.04 |
|
$ |
0.22 |
|
$ |
(0.18 |
) |
$ |
— |
|
— |
|
$ |
(0.18 |
) |
$ |
33.67 |
$ |
33.67 |
0.65 |
% |
$ |
145,602 |
0.79 |
% |
0.79 |
% |
1.06 |
% |
39 |
% | ||||||||||||||||
2021 |
|
28.70 |
|
0.21 |
|
|
4.94 |
|
|
5.15 |
|
|
(0.22 |
) |
|
— |
|
— |
|
|
(0.22 |
) |
|
33.63 |
|
33.66 |
17.96 |
|
|
137,049 |
0.82 |
|
0.82 |
|
0.64 |
|
70 |
| ||||||||||||||||
2020(3) |
|
25.54 |
|
0.10 |
|
|
3.15 |
|
|
3.25 |
|
|
(0.09 |
) |
|
— |
|
— |
|
|
(0.09 |
) |
|
28.70 |
|
28.70 |
12.72 |
|
|
93,283 |
0.88 |
(4) |
0.88 |
(4) |
0.65 |
(4) |
13 |
| ||||||||||||||||
ETC 6 Meridian Mega Cap Equity ETF |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||
2022† |
$ |
34.50 |
$ |
0.34 |
|
$ |
(0.01 |
) |
$ |
0.33 |
|
$ |
(0.35 |
) |
$ |
— |
|
— |
|
$ |
(0.35 |
) |
$ |
34.48 |
$ |
39.49 |
0.94 |
% |
$ |
163,757 |
0.78 |
% |
0.78 |
% |
1.93 |
% |
92 |
% | ||||||||||||||||
2021 |
|
29.14 |
|
0.58 |
|
|
5.39 |
|
|
5.97 |
|
|
(0.58 |
) |
|
(0.03 |
) |
— |
|
|
(0.61 |
) |
|
34.50 |
|
34.48 |
20.59 |
|
|
158,680 |
0.82 |
|
0.82 |
|
1.76 |
|
166 |
| ||||||||||||||||
2020(3) |
|
25.38 |
|
0.27 |
|
|
3.74 |
|
|
4.01 |
|
|
(0.25 |
) |
|
— |
|
— |
|
|
(0.25 |
) |
|
29.14 |
|
29.12 |
15.88 |
|
|
115,827 |
0.86 |
(4) |
0.86 |
(4) |
1.72 |
(4) |
38 |
| ||||||||||||||||
ETC 6 Meridian Small Cap Equity ETF |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||
2022† |
$ |
49.08 |
$ |
0.31 |
|
$ |
(4.51 |
) |
$ |
(4.20 |
) |
$ |
(0.34 |
) |
$ |
— |
|
— |
|
$ |
(0.34 |
) |
$ |
44.54 |
$ |
44.53 |
(8.62 |
)% |
$ |
63,469 |
0.85 |
% |
0.85 |
% |
1.30 |
% |
48 |
% | ||||||||||||||||
2021 |
|
35.05 |
|
0.40 |
|
|
14.00 |
|
|
14.40 |
|
|
(0.37 |
) |
|
— |
|
— |
|
|
(0.37 |
) |
|
49.08 |
|
49.22 |
41.20 |
|
|
62,572 |
0.88 |
|
0.88 |
|
0.87 |
|
104 |
| ||||||||||||||||
2020(3) |
|
26.43 |
|
0.13 |
|
|
8.60 |
|
|
8.73 |
|
|
(0.11 |
) |
|
— |
|
— |
|
|
(0.11 |
) |
|
35.05 |
|
35.01 |
33.11 |
|
|
32,423 |
1.00 |
(4) |
1.10 |
(4) |
0.76 |
(4) |
29 |
| ||||||||||||||||
ETC 6 Meridian Quality Growth ETF |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||
2022† |
$ |
26.78 |
$ |
(0.02 |
) |
$ |
(5.84 |
) |
$ |
(5.86 |
) |
$ |
— |
|
$ |
— |
|
— |
|
$ |
— |
|
$ |
20.92 |
$ |
20.93 |
(21.88 |
)% |
$ |
26,673 |
1.00 |
% |
1.13 |
% |
(0.17 |
)% |
37 |
% | ||||||||||||||||
2021(6) |
|
24.28 |
|
(0.03 |
) |
|
2.53 |
|
|
2.50 |
|
|
— |
|
|
— |
|
— |
** |
|
— |
|
|
26.78 |
|
26.84 |
10.30 |
|
|
25,443 |
1.00 |
(4) |
1.52 |
(4) |
(0.18 |
)(4) |
40 |
|
* Per share data calculated using average shares method.
** Amount represents less than $0.01.
† For the six-month period ended May 31, 2022 (unaudited). All ratios for the period have been annualized.
(1) Total return is for the period indicated and has not been annualized for periods less than one year. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of Fund shares.
(2) Portfolio turnover rate is for the period indicated and periods of less than one year have not been annualized. Excludes effect of securities received or delivered from processing in-kind creations or redemptions.
(3) Commenced operations on May 8, 2020.
(4) Annualized.
(5) The expense ratio includes interest expense. Had this expense been excluded the ratio’s would have been 0.83%, 0.83% and 1.75%.
(6) Commenced operations on May 10, 2021.
(7) The expense and investment income ratio includes interest expense. Had this expense been excluded the ratio’s would have been 0.80%, 0.80%, and 1.76%
Amounts designated as “—” are $0.
The accompanying notes are an integral part of the financial statements.
22
1. ORGANIZATION
Exchange Traded Concepts Trust (the “Trust”) is a Delaware statutory trust formed on July 17, 2009. The Trust is registered with the Commission under the Investment Company Act of 1940 (the “1940 Act”) as an open-end management investment company with multiple investment portfolios. The financial statements herein are those of the ETC 6 Meridian Hedged Equity-Index Option Strategy ETF, ETC 6 Meridian Low Beta Equity Strategy ETF, ETC 6 Meridian Mega Cap Equity ETF, ETC 6 Meridian Small Cap Equity ETF and ETC 6 Meridian Quality Growth ETF (each, a “Fund” and collectively, the “Funds”).
Each Fund seeks to provide capital appreciation. The ETC 6 Meridian Low Beta Equity Strategy ETF and ETC 6 Meridian Small Equity ETF are classified as “diversified” under the 1940 Act. The ETC 6 Meridian Hedged Equity-Index Option Strategy ETF, ETC 6 Meridian Mega Cap Equity ETF and ETC 6 Meridian Quality Growth ETF are classified as “non-diversified” under the 1940 Act (see “Non-Diversification Risk” under Note 6). Exchange Traded Concepts, LLC (the “Adviser”), an Oklahoma limited liability Company, serves as the investment adviser for the Funds and is subject to the oversight of the Board of Trustees (the “Board”). The Funds, other than the ETC 6 Meridian Quality Growth ETF, commenced operations on May 8, 2020. The ETC 6 Meridian Quality Growth ETF commenced operations on May 10, 2021.
Shares of each Fund are listed and traded on the NYSE Arca, Inc. (the “Exchange”). Market prices for the shares may be different from their net asset value (“NAV”). The Funds issue and redeem shares on a continuous basis to certain institutional investors (typically market makers or other broker-dealers) at NAV only in large blocks of shares, typically 25,000 shares, called “Creation Units”. Creation Unit transactions for a Fund are typically conducted in exchange for the deposit or delivery of a portfolio of securities closely approximating the holdings of that Fund and a specified amount of cash. Once created, shares trade in a secondary market at market prices that change throughout the day in share amounts less than a Creation Unit.
2. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the Trust, are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) for investment companies. The accompanying financial statements have been prepared in accordance with U.S. GAAP on the accrual basis of accounting. Management has reviewed Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services — Investment Companies ASC (“ASC 946”), and concluded that the Funds meet criteria of an “investment company,” and therefore, the Funds prepare its financial statements in accordance with investment company accounting as outlined in ASC 946.
Use of Estimates and Indemnifications — Each Fund is an investment company in conformity with U.S. GAAP. Therefore, the Funds follows the accounting and reporting guidelines for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
In the normal course of business, the Trust, on behalf of the Funds, enters into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements cannot be known; however, the Funds expect any risk of loss to be remote.
Security Valuation — The Funds’ investments are recorded at fair value. Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ), including securities traded over the counter, are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded (or at approximately 4:00 pm Eastern Time if a security’s primary exchange is normally open at that time), or, if there is no such reported sale, at the most recent quoted bid for long positions and the most recent ask price for short positions. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. If available, debt securities are priced based upon valuations provided
23
6 Meridian
Notes to Financial Statements
May 31, 2022 (Unaudited) (Continued)
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
by independent, third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the fair value for such securities. Debt obligations with remaining maturities of sixty days or less when acquired will be valued at their market value. If a market value is not available from a pricing vendor or from an independent broker, the security shall be fair valued according to the Trust’s Fair Value Procedures.
Options are valued at the last quoted sales price. If there is no such reported sale on the valuation date, long positions are valued at the most recent bid price, and short positions are valued at the most recent ask price.
Prices for most securities held by the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker.
Securities for which market prices are not “readily available” are valued in accordance with fair value procedures established by the Board. The Funds’ fair value procedures are implemented through a fair value committee (the “Committee”) designated by the Board. Some of the more common reasons that may necessitate that a security be valued using fair value procedures include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when, under normal conditions, it would be open; the security has not been traded for an extended period of time; the security’s primary pricing source is not able or willing to provide a price; or trading of the security is subject to local government-imposed restrictions. In addition, the Funds may fair value their securities if an event that may materially affect the value of the Funds’ securities that traded outside of the United States (a ‘‘Significant Event’’) has occurred between the time of the security’s last close and the time that the Funds calculates their net asset value. A Significant Event may relate to a single issuer or to an entire market sector. Events that may be Significant Events include, but are not limited to: government actions, natural disasters, armed conflict, acts of terrorism and significant market fluctuations. If the Adviser becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Funds calculate their net asset value, it may request that a Committee meeting be called. When a security is valued in accordance with the fair value procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee.
In accordance with the authoritative guidance on fair value measurements and disclosure under GAAP, the Funds disclose fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset, or paid to transfer a liability, in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are described below:
• Level 1 – Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Funds has the ability to access at the measurement date;
• Level 2 – Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and
• Level 3 – Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity).
The valuation techniques used by the Funds to measure fair value during the year/period ended May 31, 2022 maximized the use of observable inputs and minimized the use of unobservable inputs.
For the six months ended May 31, 2022, there have been no significant changes to the Funds’ fair valuation methodologies.
24
6 Meridian
Notes to Financial Statements
May 31, 2022 (Unaudited) (Continued)
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
Federal Income Taxes — It is the Funds’ intention to qualify as a regulated investment company for Federal income tax purposes by complying with the appropriate provisions of Subchapter M of the Internal Revenue Code of 1986, as amended. Accordingly, no provisions for federal income taxes have been made in the financial statements.
The Funds’ policy is to classify interest and penalties associated with underpayment of federal and state income taxes, if any, as income tax expense on their Statements of Operations. As of May 31, 2022, the Funds did not have any interest or penalties associated with the underpayment of any income taxes. Tax years that are open, remain subject to examination by tax jurisdictions. The Funds have reviewed all major jurisdictions and concluded that there is no impact on the Funds’ net assets and no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken on its tax returns.
Security Transactions and Investment Income — Security transactions are accounted for on trade date. Costs used in determining realized gains and losses on the sale of investment securities are based on specific identification. Dividend income is recorded on the ex-dividend date. Interest income is recognized on the accrual basis. Withholding taxes and reclaims on foreign dividends have been provided for in accordance with the Funds’ understanding of the applicable country’s tax rules and rates.
Options — The ETC 6 Meridian Hedged Equity-Index Option Strategy ETF may purchase and sell put and call options. A call option gives a holder the right to purchase a specific security or an index at a specified price (“exercise price”) within a specified period of time. A put option gives a holder the right to sell a specific security or an index at a specified price within a specified period of time. The initial purchaser of a call option pays the “writer,” i.e., the party selling the option, a premium which is paid at the time of purchase and is retained by the writer whether or not such option is exercised. The Fund may purchase put options to hedge its portfolio against the risk of a decline in the market value of securities held and may purchase call options to hedge against an increase in the price of securities it is committed to purchase. The Fund may write put and call options along with a long position in options to increase its ability to hedge against a change in the market value of the securities it holds or is committed to purchase. The ETC 6 Meridian Hedge Equity-Index Option Strategy ETF entered into written and purchased options during the six months ended May 31, 2022. These options were index options composed entirely of equity risk.
Options that relate to particular securities may or may not be listed on a national securities exchange and issued by the Options Clearing Corporation. Options trading is a highly specialized activity that entails greater than ordinary investment risk. Options on particular securities may be more volatile than the underlying securities, and therefore, on a percentage basis, an investment in options may be subject to greater fluctuation than an investment in the underlying securities themselves. Refer to the Fund’s Schedule of Investments for details regarding open option contracts as of May 31, 2022, if applicable. The amount of realized gain (loss) on Purchased and Written Option is presented on the Statement of Operations as “Net Realized Gain (Loss) on Purchased and Written Options” The change in the net fair value of the Purchased and Written Options is included in the Statement of Operations as “Net Change in Unrealized Appreciation (Depreciation) on Purchased and Written Options”.
For the six months ended May 31, 2022, the average quarterly notional amount of options held were as follows:
ETC 6 Meridian Hedged Equity-Index Option Strategy ETF |
|
| ||
Average Quarterly Notional Balance Long |
$ |
— |
| |
Average Quarterly Notional Balance Short |
|
(203,664,457 |
) |
Cash and Cash Equivalents — Idle cash may be swept into various overnight demand deposits and is classified as Cash and Cash equivalents on the Statements of Assets and Liabilities. The Fund maintains cash in bank deposit accounts which, at times, may exceed United States federally insured limits. Amounts swept overnight are available on the next business day.
Dividends and Distributions to Shareholders — Each Fund pays out dividends from its net investment income monthly and distributes its net capital gains, if any, to investors at least annually. All distributions are recorded on ex-dividend date.
25
6 Meridian
Notes to Financial Statements
May 31, 2022 (Unaudited) (Continued)
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
Offering costs — Offering costs, including costs of printing initial prospectus, legal and registration fees, are expensed monthly from inception for each Fund. During the six months ended May 31, 2022, the ETC 6 Meridian Quality Growth ETF expensed $21,061 of offering costs.
Creation Units — The Funds issue and redeem shares at NAV and only in large blocks of shares (each block of shares for the Funds is called a “Creation Unit” or multiples thereof). Purchasers of Creation Units at NAV must pay a standard creation transaction fee as presented in the table below. An authorized participant who holds Creation Units (“Authorized Participants”) and wishes to redeem at NAV would also pay a standard redemption transaction fee as presented in the table below. The Adviser may retain all or a portion of the transaction fee to the extent the Adviser bears the expenses that otherwise would be borne by a Fund in connection with the purchase or redemption of a Creation Unit, which the transaction fee is designed to cover.
Except when aggregated in Creation Units, shares are not redeemable securities of the Funds. Shares of the Funds may only be purchased or redeemed by certain 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 Depository Trust Company (“DTC”) participant and, in each case, must have executed an Authorized Participant Agreement with the Funds’ distributor. Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the shares directly from the Funds. Rather, most retail investors will purchase shares in the secondary market with the assistance of a broker and will be subject to customary brokerage commissions or fees.
The following table discloses the Creation Unit breakdown based on the NAV as of May 31, 2022:
Creation |
Creation
|
Value |
Redemption
| ||||||||
ETC 6 Meridian Hedged Equity-Index Option Strategy ETF |
25,000 |
$ |
500 |
$ |
784,750 |
$ |
500 | ||||
ETC 6 Meridian Low Beta Equity Strategy ETF |
25,000 |
|
1,000 |
|
841,750 |
|
1,000 | ||||
ETC 6 Meridian Mega Cap Equity ETF |
25,000 |
|
500 |
|
862,000 |
|
500 | ||||
ETC 6 Meridian Small Cap Equity ETF |
25,000 |
|
500 |
|
1,113,500 |
|
500 | ||||
ETC 6 Meridian Quality Growth ETF |
25,000 |
|
500 |
|
523,000 |
|
500 |
To the extent contemplated by a participant agreement, in the event an Authorized Participant has submitted a redemption request in proper form but is unable to transfer all or part of the shares comprising a Creation Unit to be redeemed to the Distributor, on behalf of a Fund, by the time as set forth in a participant agreement, the Distributor may nonetheless accept the redemption request in reliance on the undertaking by the Authorized Participant to deliver the missing shares as soon as possible, which undertaking shall be secured by the Authorized Participant’s delivery and maintenance of collateral equal to a percentage of the value of the missing shares as specified in the participant agreement. A participant agreement may permit a Fund to use such collateral to purchase the missing shares, and could subject an Authorized Participant to liability for any shortfall between the cost of a Fund acquiring such shares and the value of the collateral.
3. SERVICE PROVIDERS
Investment Advisory Agreement
The Adviser is located at 10900 Hefner Pointe Drive, Suite 400, Oklahoma City, Oklahoma 73120, its principal place of business, and 295 Madison Avenue, New York, New York 10017. The Adviser serves as investment adviser to the Trust, including the Funds, pursuant to an investment advisory agreement (“Advisory Agreement”). Under the Advisory Agreement, the Adviser provides investment advisory services to each Fund. The Adviser is responsible for, among other things, overseeing the Sub-Adviser (as defined below), including regular review of the
26
6 Meridian
Notes to Financial Statements
May 31, 2022 (Unaudited) (Continued)
3. SERVICE PROVIDERS (continued)
Sub-Adviser’s performance, and trading portfolio securities on behalf of each Fund and selecting broker-dealers to execute purchase and sale transactions, subject to the oversight of the Board. The Adviser also arranges for transfer agency, custody, fund administration and accounting, and other non-distribution related services necessary for the Funds to operate. The Adviser administers each Fund’s business affairs, provides office facilities and equipment and certain clerical, bookkeeping and administrative services, and provides its officers and employees to serve as officers or Trustees of the Trust.
For the services it provides to each Fund, the Adviser receives a fee, which is calculated daily and paid monthly, at an annual rate of 0.61% of average daily net assets of each Fund.
With respect to the ETC 6 Meridian Hedged Equity-Index Option Strategy ETF, ETC 6 Meridian Low Beta Equity Strategy ETF, ETC 6 Meridian Mega Cap Equity ETF, and ETC 6 Meridian Small Cap Equity ETF, due to an administrative error, the Board did not approve the continuance of the investment advisory agreement between the Trust, on behalf of the ETC 6 Meridian Hedged Equity-Index Option Strategy ETF, ETC 6 Meridian Low Beta Equity Strategy ETF, ETC 6 Meridian Mega Cap Equity ETF, and ETC 6 Meridian Small Cap Equity ETF, and the Adviser (the “Original Agreement”) prior to the expiration of its initial term at the end of the day on May 6, 2022.
The Board unanimously approved a new investment advisory agreement between the Trust and the Adviser with respect to the Funds at a meeting on June 22, 2022, subject to shareholder approval. Despite the termination of the Original Agreement, the Adviser is providing uninterrupted services to the Funds consistent with its terms and conditions and is ensuring that the Funds continue to operate and function normally.
The Board is soliciting shareholder approval of a new investment advisory agreement with respect to the ETC 6 Meridian Hedged Equity-Index Option Strategy ETF, ETC 6 Meridian Low Beta Equity Strategy ETF, ETC 6 Meridian Mega Cap Equity ETF, and ETC 6 Meridian Small Cap Equity ETF, which is identical in all material respects to the Original Agreement, and seeking shareholder approval of the payment of the accrued but unpaid advisory fees to the Adviser.
The Adviser has contractually agreed to waive its fees and reimburse expenses to the extent necessary to keep total annual operating expenses of each Fund (excluding amounts payable pursuant to any plan adopted in accordance with Rule 12b-1, interest expense, taxes, brokerage commissions, acquired fund fees and expenses, other expenditures which are capitalized in accordance with generally accepted accounting principles, and extraordinary expenses) (the “Excluded Expenses) from exceeding 1.00% of each Fund’s average daily net assets until at least April 1, 2023. The expense limitation agreement may be terminated, without payment of any penalty: (i) by the Trust for any reason and at any time and (ii) by the Adviser, for any reason, upon ninety (90) days’ prior written notice to the Trust, such termination to be effective as of the close of business on the last day of the then-current one-year period. If it becomes unnecessary for the Adviser to waive fees or reimburse expenses, the Board may permit the Adviser to retain the difference between the Funds’ total annual operating expenses and the expense limitation currently in effect, or, if lower, the expense limitation that was in effect at the time of the waiver and/or reimbursement, to recapture all or a portion of its prior fee waivers or expense reimbursements within three years of the date they were waived or reimbursed. The fees which were waived and/or reimbursed to the Fund by the Adviser, which may be subject to possible future reimbursement, up to the expense cap in place at the time the expenses were waived and reimbursed to the Adviser are as follows:
Reimbursement
|
Expiration
| ||||
ETC 6 Meridian Small Cap Equity ETF |
$ |
13,217 |
November 30, 2023 | ||
ETC 6 Meridian Quality Growth ETF |
|
42,622 |
November 30, 2024 | ||
ETC 6 Meridian Quality Growth ETF |
|
16,838 |
May 31, 2025 |
Pursuant to an arrangement between the Adviser and the Sub-Adviser (defined below), the Sub-Adviser has agreed to assume the Adviser’s obligation to pay Fund expenses (except for Excluded Expenses) and has agreed, to the extent applicable, to pay the Adviser a minimum fee.
27
6 Meridian
Notes to Financial Statements
May 31, 2022 (Unaudited) (Continued)
3. SERVICE PROVIDERS (continued)
A Trustee and certain officers of the Trust are affiliated with the Adviser and receive no compensation from the Trust for serving as officers and/or Trustee.
Sub-Advisory Agreement
Hightower 6M Holding, LLC (the “Sub-Adviser”), a Delaware limited liability company, serves as the Funds’ sub-adviser pursuant to a sub-advisory agreement (“Sub-Advisory Agreement”). Under the Sub-Advisory Agreement, the Sub-Adviser makes investment decisions for the Funds and continuously reviews, supervises, and administers the investment program of the Funds, subject to the supervision of the Adviser and the oversight of the Board.
Under the Sub-Advisory Agreement, with respect to each Fund, the Adviser pays the Sub-Adviser a fee out of the fee the Adviser receives from the Funds, calculated daily and paid monthly at an annual rate of 0.49% of the Funds’ average daily net assets.
Distribution Arrangement
SEI Investments Distribution Co. (the “Distributor”) serves as the Funds’ underwriter and distributor of each Fund’s shares pursuant to an amended and restated Distribution Agreement (the “Distribution Agreement”). Under the Distribution Agreement, the Distributor, as agent, receives orders to purchase shares in Creation Units and transmits such orders to the Funds’ custodian and transfer agent. The Distributor has no obligation to sell any specific quantity of a Fund’s shares. The Distributor bears the following costs and expenses relating to the distribution of shares: (i) the expenses of maintaining its registration or qualification as a dealer or broker under federal or state laws; (ii) filing fees; and (iii) all other expenses incurred in connection with the distribution services, that are not reimbursed by the Adviser, as contemplated in the Distribution Agreement. The Distributor does not maintain any secondary market in any Fund’s shares.
The Funds have adopted a Distribution and Service Plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Plan, the Funds are authorized to pay an amount up to 0.25% of their average daily assets each year for certain distribution-related activities. For the six months ended May 31, 2022, no fees were paid by the Funds under the Plan and the Plan will only be implemented with approval of the Board.
Administrator, Custodian and Transfer Agent
SEI Investments Global Funds Services (the “Administrator”) serves as the Funds’ Administrator pursuant to an Administration Agreement. Bank of New York Mellon (the “Custodian” and “Transfer Agent”) serves as the Funds’ Custodian and Transfer agent pursuant to a Custodian Agreement and Transfer Agency Services Agreement. The Adviser of the Funds pay these fees.
An officer of the Trust is affiliated with the Administrator and receives no compensation from the Trust for serving as an officer.
4. INVESTMENT TRANSACTIONS
For the six months ended May 31, 2022, the purchases and sales of investments in securities, excluding in-kind transactions, long-term U.S. Government and short-term securities were:
Purchases |
Sales and
| |||||
ETC 6 Meridian Hedged Equity-Index Option Strategy ETF |
$ |
249,429,523 |
$ |
235,868,179 | ||
ETC 6 Meridian Low Beta Equity Strategy ETF |
|
55,458,553 |
|
55,583,809 | ||
ETC 6 Meridian Mega Cap Equity ETF |
|
150,098,145 |
|
152,627,792 | ||
ETC 6 Meridian Small Cap Equity ETF |
|
30,787,903 |
|
30,869,961 | ||
ETC 6 Meridian Quality Growth ETF |
|
10,629,924 |
|
10,092,753 |
28
6 Meridian
Notes to Financial Statements
May 31, 2022 (Unaudited) (Continued)
4. INVESTMENT TRANSACTIONS (continued)
There were no purchases or sales of long-term U.S. Government securities by any of the Funds.
For the six months ended May 31, 2022, in-kind transactions associated with creations and redemptions were:
Purchases |
Sales |
Net Realized
| |||||||
ETC 6 Meridian Hedged Equity-Index Option Strategy ETF |
$ |
160,219,751 |
$ |
142,722,818 |
$ |
22,448,959 | |||
ETC 6 Meridian Low Beta Equity Strategy ETF |
|
41,078,613 |
|
32,252,171 |
|
6,300,572 | |||
ETC 6 Meridian Mega Cap Equity ETF |
|
99,947,137 |
|
93,058,120 |
|
14,485,853 | |||
ETC 6 Meridian Small Cap Equity ETF |
|
26,103,449 |
|
18,873,917 |
|
4,691,203 | |||
ETC 6 Meridian Quality Growth ETF |
|
13,192,041 |
|
5,578,375 |
|
715,700 |
For the year/period ended November 30, 2021, the ETC 6 Meridian Hedged Equity-Index Option Strategy ETF, ETC 6 Meridian Low Beta Equity Strategy ETF, ETC 6 Meridian Mega Cap Equity ETF, ETC 6 Meridian Small Cap Equity ETF and ETC 6 Meridian Quality Growth Fund had $58,191,573, $20,707,273, $35,223,600, $15,635,777 and $514,325 of net redemptions as a result of in-kind transactions, respectively.
5. TAX INFORMATION
The amount and character of income and capital gain distributions to be paid, if any, are determined in accordance with Federal income tax regulations, which may differ from U.S. GAAP. As a result, net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. These book/tax differences may be temporary or permanent. To the extent these differences are permanent in nature, they are charged or credited to paid-in capital or total distributable earnings as appropriate, in the period that the differences arise.
The tax character of dividends and distributions paid during the year/period ended November 30, 2021 were as follows:
Ordinary
|
Return of
|
Totals | |||||||
ETC 6 Meridian Hedged Equity-Index Option Strategy ETF |
|
|
|
||||||
2021 |
$ |
3,938,003 |
$ |
— |
$ |
3,938,003 | |||
2020 |
|
1,754,443 |
|
— |
|
1,754,443 | |||
ETC 6 Meridian Low Beta Equity Strategy ETF |
|
|
|
||||||
2021 |
$ |
812,365 |
$ |
— |
$ |
812,365 | |||
2020 |
|
263,570 |
|
— |
|
263,570 | |||
ETC 6 Meridian Mega Cap Equity ETF |
|
|
|
||||||
2021 |
$ |
2,635,002 |
$ |
— |
$ |
2,635,002 | |||
2020 |
|
969,400 |
|
— |
|
969,400 | |||
ETC 6 Meridian Small Cap Equity ETF |
|
|
|
||||||
2021 |
$ |
415,999 |
$ |
— |
$ |
415,999 | |||
2020 |
|
87,651 |
|
— |
|
87,651 | |||
ETC 6 Meridian Quality Growth ETF |
|
|
|
||||||
2021 |
$ |
— |
$ |
222 |
$ |
222 |
29
6 Meridian
Notes to Financial Statements
May 31, 2022 (Unaudited) (Continued)
5. TAX INFORMATION (continued)
As of November 30, 2021, the components of Distributable Earnings (Accumulated Losses) on a tax basis were as follows:
ETC 6
|
ETC 6
|
ETC 6
|
ETC 6
|
ETC 6
| ||||||||||||||||
Undistributed Ordinary Income |
$ |
605,234 |
|
$ |
146,852 |
|
$ |
321,104 |
|
$ |
129,233 |
|
$ |
— |
| |||||
Post-October Losses |
|
(2,170,924 |
) |
|
— |
|
|
(835,606 |
) |
|
— |
|
|
— |
| |||||
Capital Loss Carryforwards |
|
(37,517,031 |
) |
|
(2,645,149 |
) |
|
(3,931,212 |
) |
|
(1,286,833 |
) |
|
(121,045 |
) | |||||
Unrealized Appreciation |
|
8,039,493 |
|
|
7,622,728 |
|
|
4,615,562 |
|
|
6,434,219 |
|
|
857,328 |
| |||||
Other Temporary Differences |
|
(992,879 |
) |
|
(121,199 |
) |
|
(399,384 |
) |
|
(73,165 |
) |
|
1 |
| |||||
Total Distributable Earnings (Accumulated Losses) |
$ |
(32,036,107 |
) |
$ |
5,003,232 |
|
$ |
(229,536 |
) |
$ |
5,203,454 |
|
$ |
736,284 |
|
The Funds are permitted to utilize capital losses that are carried forward and will retain their character as either short-term or long-term capital losses. As of November 30, 2021, the following Funds have capital loss carryforwards to offset capital gains for an unlimited period:
Non
Expiring |
Non
Expiring |
Total
| ||||||||||
ETC 6 Meridian Hedged Equity-Index Option Strategy ETF |
$ |
(18,712,137 |
) |
$ |
(18,804,894 |
) |
$ |
(37,517,031 |
) | |||
ETC 6 Meridian Low Beta Equity Strategy ETF |
|
(1,478,272 |
) |
|
(1,166,877 |
) |
|
(2,645,149 |
) | |||
ETC 6 Meridian Mega Cap Equity ETF |
|
(3,931,212 |
) |
|
— |
|
|
(3,931,212 |
) | |||
ETC 6 Meridian Small Cap Equity ETF |
|
(1,070,735 |
) |
|
(216,098 |
) |
|
(1,286,833 |
) | |||
ETC 6 Meridian Quality Growth ETF |
|
(121,405 |
) |
|
— |
|
|
(121,405 |
) |
For Federal income tax purposes, the cost of securities owned at November 30, 2021, and the net realized gains or losses on securities sold for the period, were different from amounts reported for financial reporting purposes primarily due to wash sales which cannot be used for Federal income tax purposes in the current period and have been deferred for use in future years. The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments and foreign currency transactions held by the Funds at May 31, 2022, were as follows:
Federal Tax
|
Aggregated
|
Aggregated
|
Net Unrealized
| |||||||||||
ETC 6 Meridian Hedged Equity-Index Option Strategy ETF |
$ |
280,479,481 |
$ |
12,392,341 |
$ |
(10,251,962 |
) |
$ |
2,140,379 |
| ||||
ETC 6 Meridian Low Beta Equity Strategy ETF |
|
139,656,805 |
|
13,382,792 |
|
(6,797,071 |
) |
|
6,585,721 |
| ||||
ETC 6 Meridian Mega Cap Equity ETF |
|
161,953,798 |
|
8,061,959 |
|
(6,143,003 |
) |
|
1,918,956 |
| ||||
ETC 6 Meridian Small Cap Equity ETF |
|
64,736,834 |
|
4,391,036 |
|
(5,635,042 |
) |
|
(1,244,006 |
) | ||||
ETC 6 Meridian Quality Growth ETF |
|
31,452,336 |
|
325,286 |
|
(5,093,496 |
) |
|
(4,768,210 |
) |
30
6 Meridian
Notes to Financial Statements
May 31, 2022 (Unaudited) (Continued)
6. PRINCIPAL RISKS OF INVESTING IN THE FUNDS
As with all exchange traded funds (“ETFs”), a shareholder of any of the Funds is subject to the risk that his or her investment could lose money. Unless otherwise indicated, each Fund is subject to the risks noted below. Any of these risks may adversely affect a Fund’s NAV, trading price, yield, total return and ability to meet its investment objective. Additional principal risks are disclosed in the Funds’ prospectus. Please refer to the Funds’ prospectus for a complete description of the principal risks of investing in a Fund.
Limited Authorized Participants, Market Makers and Liquidity Providers Risk. Because the Funds is an ETF, only a limited number of institutional investors (known as “Authorized Participants”) are authorized to purchase and redeem shares directly from the Funds. In addition, there may be a limited number of market makers and/or liquidity providers in the marketplace. To the extent either of the following events occurs, the risk of which is higher during periods of market stress, shares of the Funds may trade at a material discount to their NAV per share and possibly face delisting: (i) Authorized Participants exit the business or otherwise become unable to process creation and/or redemption orders and no other Authorized Participants step forward to perform these services, or (ii) market makers and/or liquidity providers exit the business or significantly reduce their business activities and no other entities step forward to perform their functions.
Market Risk. The market price of a security or instrument could decline, sometimes rapidly or unpredictably, due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic or political conditions throughout the world, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. Local, regional, or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the market generally and on specific securities. The market value of a security may also decline because of factors that affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry.
Models and Data Risk. The Sub-Adviser relies heavily on quantitative models as well as data and information supplied by third parties that are utilized by the models. To the extent the models do not perform as designed or as intended, the Funds’ strategy may not be successfully implemented and the Funds may lose value. If the models or data are incorrect or incomplete, any decisions made in reliance thereon may lead to the inclusion or exclusion of securities that would have been excluded or included had the models or data been correct and complete.
Non-Diversification Risk (ETC 6 Meridian Mega Cap Equity ETF, ETC 6 Meridian Hedged Equity-Index Option Strategy ETF and ETC 6 Meridian Quality Growth ETF). The Funds are a non-diversified investment company under the 1940 Act, meaning that, as compared to a diversified fund, it can invest a greater percentage of its assets in securities issued by or representing a small number of issuers. As a result, the performance of these issuers can have a substantial impact on the Funds’ performance.
Options Risk (ETC 6 Meridian Hedged Equity-Index Strategy ETF). Options give the holder of the option the right to buy (or to sell) a position in a security or in a contract to the writer of the option, at a certain price. They are subject to correlation risk because there may be an imperfect correlation between the options and the securities markets that cause a given transaction to fail to achieve its objectives. The successful use of options depends on the Sub-Adviser’s ability to correctly predict future price fluctuations and the degree of correlation between the options and securities markets. Exchanges can limit the number of positions that can be held or controlled by the Fund or the Sub-Adviser, thus limiting the ability to implement the Fund’s strategies. Options are also particularly subject to leverage risk and can be subject to liquidity risk.
31
6 Meridian
Notes to Financial Statements
May 31, 2022 (Unaudited) (Concluded)
7. OTHER
At May 31, 2022, the records of the Trust, reflected in the table below, shows the total shares outstanding held by Authorized Participants, in the form of Creation Units. However, the individual shares comprising such Creation Units are listed and traded on the Exchange and have been purchased and sold by persons other than Authorized Participants.
Fund Name |
Total
Shares |
Number
of | ||
ETC 6 Meridian Hedged Equity-Index Option Strategy ETF |
8,950,000 |
3 | ||
ETC 6 Meridian Low Beta Equity Strategy ETF |
4,325,000 |
3 | ||
ETC 6 Meridian Mega Cap Equity ETF |
4,750,000 |
4 | ||
ETC 6 Meridian Small Cap Equity ETF |
1,425,000 |
4 | ||
ETC 6 Meridian Quality Growth ETF |
1,275,000 |
3 |
8. RECENT MARKET EVENTS
The spread of COVID-19 around the world has caused significant volatility in U.S. and international markets. There is significant uncertainty around the breadth and duration of business disruptions related to the COVID-19 pandemic, as well as its impact on the U.S. and international economies. 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 developments may in turn impact the value of the Funds’ investments. The ultimate impact of the pandemic on the financial performance of the Funds’ investments is not reasonably able to be approximated at this time.
On February 24, 2022, Russia engaged in military actions in the sovereign territory of Ukraine. The current political and financial uncertainty surrounding Russia and Ukraine may increase market volatility and the economic risk of investing in securities in these countries and may also cause uncertainty for the global economy and broader financial markets. The ultimate fallout and long-term impact from these events are not known.
9. SUBSEQUENT EVENTS
The Funds have evaluated the need for additional disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no disclosure and/or adjustments were required to the financial statements.
32
All ETFs have operating expenses. As a shareholder of a Fund you incur an advisory fee. In addition to the advisory fee, a shareholder may pay brokerage expenses, taxes, interest, litigation expenses and other extraordinary expenses (including acquired fund fees and expenses), if any. It is important for you to understand the impact of these ongoing costs of your investment returns. Shareholders may incur brokerage commissions on their purchases and sales of a Fund’s shares, which are not reflected in the examples below.
The following examples use the annualized expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with those of other funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period (December 1, 2021 to May 31, 2022) (unless otherwise noted below). The table below illustrates a Fund’s cost in two ways:
Actual Fund Return. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Funds, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.
You can use this information, together with the actual amount you invested in a Fund, to estimate the expenses you paid over that period. Simply divide your actual account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”
Hypothetical 5% Return. This section helps you compare your Fund’s costs with those of other funds. It assumes that the Funds had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) for the period is unchanged. This example is useful in making comparisons because the Commission requires all funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expenses Paid During Period” column with those that appear in the same charts in the shareholder reports for other funds.
NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown may not apply to your specific investment.
33
6 Meridian
Disclosure of Fund Expenses
(Unaudited) (Concluded)
|
Beginning
|
Ending
|
Annualized
|
Expenses
| ||||
ETC 6 Meridian Hedged Equity-Index Option Strategy ETF |
||||||||
Actual Fund Return |
$ 1,000.00 |
$ 1,072.80 |
0.79% |
$ 4.08 | ||||
Hypothetical 5% Return |
$ 1,000.00 |
$ 1,020.99 |
0.79% |
$ 3.98 | ||||
ETC 6 Meridian Low Beta Equity Strategy ETF |
||||||||
Actual Fund Return |
$ 1,000.00 |
$ 1,006.50 |
0.79% |
$ 3.95 | ||||
Hypothetical 5% Return |
$ 1,000.00 |
$ 1,020.99 |
0.79% |
$ 3.98 | ||||
ETC 6 Meridian Mega Cap Equity ETF |
||||||||
Actual Fund Return |
$ 1,000.00 |
$ 1,009.40 |
0.78% |
$ 3.91 | ||||
Hypothetical 5% Return |
$ 1,000.00 |
$ 1,021.04 |
0.78% |
$ 3.93 | ||||
ETC 6 Meridian Small Cap Equity ETF |
||||||||
Actual Fund Return |
$ 1,000.00 |
$ 913.80 |
0.85% |
$ 4.06 | ||||
Hypothetical 5% Return |
$ 1,000.00 |
$ 1,020.69 |
0.85% |
$ 4.28 | ||||
ETC 6 Meridian Quality Growth ETF |
||||||||
Actual Fund Return |
$ 1,000.00 |
$ 781.20 |
1.00% |
$ 4.44 | ||||
Hypothetical 5% Return |
$ 1,000.00 |
$ 1,019.95 |
1.00% |
$ 5.04 |
(1) Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).
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NAV is the price per share at which the Funds issue and redeem shares. It is calculated in accordance with the standard formula for valuing mutual fund shares. The “Market Price” of a Fund generally is determined using the midpoint between the highest bid and the lowest offer on the stock exchange on which the shares of the Fund are listed for trading, as of the time that the Funds’ NAV is calculated. The Fund’s Market Price may be at, above or below its NAV. The NAV of a Fund will fluctuate with changes in the market value of a Fund’s holdings. The Market Price of a Fund will fluctuate in accordance with changes in its NAV, as well as market supply and demand.
Premiums or discounts are the differences (expressed as a percentage) between the NAV and Market Price of the Fund on a given day, generally at the time NAV is calculated. A premium is the amount that a Fund is trading above the reported NAV, expressed as a percentage of the NAV. A discount is the amount that a Fund is trading below the reported NAV, expressed as a percentage of the NAV.
Further information regarding premiums and discounts is available on the Funds’ website at www.6meridianfunds.com.
35
Pursuant to Rule 22e-4 under the Investment Company Act of 1940, the Trust, on behalf of the series of the Trust covered by this shareholder report (the “Funds”), has adopted a liquidity risk management program to govern the Trust’s approach to managing liquidity risk. Rule 22e-4 seeks to promote effective liquidity risk management, thereby reducing the risk that a Fund will be unable to meet its redemption obligations and mitigating dilution of the interests of its shareholders. The Trust’s liquidity risk management program (the “Program”), which adopts the liquidity risk management policies and procedures of Exchange Traded Concepts, LLC, the Trust’s investment adviser (the “Adviser”), is tailored to reflect the Funds’ particular risks, but not to eliminate all adverse impacts of liquidity risk, which would be incompatible with the nature of the Funds.
The Adviser, which is the administrator of the Program, has formed a Liquidity Risk Working Group (“LRWG”) consisting of certain individuals from the Adviser’s portfolio management, capital markets, and legal and compliance teams. The LRWG is responsible for conducting an initial assessment of the liquidity risk of the Funds and to manage the liquidity risk of the Funds on an ongoing basis. Meetings of the LRWG are held no less than monthly.
At the February 2022 meeting of the Board of Trustees of the Trust, the Trustees received a report pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the period ended December 31, 2021. The report concluded that the Program is adequately designed to assess and manage the Funds’ liquidity risk and has been effectively implemented. The report reflected that no material changes have been made to the Program since its implementation.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Funds’ prospectus for more information regarding a Fund’s exposure to liquidity risk and other principal risks to which an investment in a Fund may be subject.
36
On December 29, 2021, 6 Meridian LLC, the former sub-adviser to the Funds, concluded a transaction with Hightower Holdings, LLC (“Hightower”) pursuant to which Hightower 6M Holding, LLC, a wholly owned subsidiary of Hightower, acquired the assets of 6 Meridian LLC (the “Transaction”). The Transaction caused a change in control of 6 Meridian LLC under the Investment Company Act of 1940 (the “1940 Act”) and resulted in the assignment and automatic termination of the sub-advisory agreement dated May 6, 2020, between Exchange Traded Concepts, LLC (“ETC”) and 6 Meridian LLC pursuant to which 6 Meridian LLC had served as sub-adviser and provided sub-advisory services to the Funds (the “Prior Sub-Advisory Agreement”).
At a meeting held on December 9, 2021 (the “Meeting”), the Board, including the Trustees who are not “interested persons” of the Trust as defined by the 1940 Act (the “Independent Trustees”), approved a new investment sub-advisory agreement between ETC and Hightower 6M Holding, LLC (the “New Sub-Advisory Agreement”) pursuant to which Hightower 6M Holding, LLC currently serves as sub-adviser to the Funds and provides the same investment sub-advisory services that were provided under the Prior Sub-Advisory Agreement. In addition, the New Sub-Advisory Agreement includes the same terms as provided for in the Prior Sub-Advisory Agreement, including the rate of compensation. Hightower 6M Holding, LLC also does business as “6 Meridian” and is referred to as 6 Meridian below.
At the Meeting, the Board considered the approval of the New Sub-Advisory Agreement, noting that it had most recently considered and approved the Prior Sub-Advisory Agreement at its March 12, 2021 meeting. The Board considered and discussed information and analysis provided by ETC and 6 Meridian LLC for the Meeting and over the course of 6 Meridian LLC’s service to the Funds as sub-adviser. At the Meeting, the Board also discussed information provided by 6 Meridian LLC, Hightower, and ETC about the Transaction. The Board considered all factors that it deemed to be relevant. In its deliberations, the Board did not identify any single factor that was paramount or controlling and individual Trustees may have attributed different weights to various factors. Certain factors considered by the Board are addressed in more detail below.
Nature, Extent, and Quality of Services to be Provided
In considering the nature, extent and quality of the services to be provided by 6 Meridian after the Transaction, the Board considered 6 Meridian’s specific responsibilities in all aspects of day-to-day management of the Funds. The Board noted that such responsibilities would include making investment decisions for the Funds and continuously reviewing and administering each Fund’s investment program, subject to the supervision of ETC and oversight of the Board. The Board considered the qualifications, experience, and responsibilities of 6 Meridian’s investment personnel. The Board also considered the quality of 6 Meridian’s compliance infrastructure and the determination of the Trust’s Chief Compliance Officer that 6 Meridian has appropriate compliance policies and procedures in place. The Board noted that it had been provided with 6 Meridian’s and Hightower’s registration form on Form ADV as well as 6 Meridian’s and Hightower’s responses to a detailed series of questions, which included a description of 6 Meridian’s and Hightower’s operations, service offerings, personnel, compliance program, risk management program, and financial condition. Based on the factors above, as well as those discussed below, the Board concluded that it was satisfied with the nature, extent, and quality of the services expected to be provided to the Funds by 6 Meridian.
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6 Meridian
Board Consideration of Approval of Sub-Advisory Agreement
(Unaudited) (Concluded)
Performance
In connection with the assessment of 6 Meridian’s ability to perform its duties under the New Sub-Advisory Agreement, the Board considered the sufficiency of 6 Meridian’s resources and reviewed 6 Meridian’s overall investment experience, including its experience sub-advising the Funds as 6 Meridian, LLC.
Costs of Services to be Provided and Profitability
The Board reviewed the proposed sub-advisory fee to be paid to 6 Meridian for its services to each Fund, noting that the fee is the same under the New Sub-Advisory Agreement as it is under the Prior Sub-Advisory Agreement. The Board considered the costs and expenses to be incurred by 6 Meridian in providing advisory services and evaluated the compensation and benefits to be received by 6 Meridian from its relationship with the Funds. In light of this information, the Board concluded that the sub-advisory fee appeared reasonable in light of the services to be rendered.
Economies of Scale
The Board considered the potential for economies of scale as each Fund’s assets grow. The Board concluded that, to date, no significant economies of scale had been achieved, and noted that it would have an opportunity to evaluate the extent to which economies of scale are being shared in the future.
Conclusion
No single factor was determinative of the Board’s decision to approve the New Sub-Advisory Agreement on behalf of the Funds; rather, the Board based its determination on the total mix of information available to it. Based on a consideration of all the factors in their totality, the Board, including the Independent Trustees, determined that the New Sub-Advisory Agreement, including the compensation payable thereunder, was fair and reasonable to the Funds. The Board, including the Independent Trustees, therefore determined that the approval of the New Sub-Advisory Agreement is in the best interests of the Funds and their respective shareholders.
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10900
Hefner Pointe Drive, Suite 400
Oklahoma City, OK 73120
Investment Adviser:
Exchange Traded Concepts, LLC
10900 Hefner Pointe Drive, Suite 400
Oklahoma City, OK 73120
Sub-Adviser:
Hightower 6M Holding, LLC
8301 E 21st St. North
Suite 150
Wichita, KS 67206
Distributor:
SEI Investments Distribution Co.
One Freedom Valley Drive
Oaks, PA 19456
Administrator:
SEI Investments Global Funds Services
One Freedom Valley Drive
Oaks, PA 19456
Legal Counsel:
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue NW
Washington, DC 20004
Independent Registered Public Accounting Firm:
Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, OH 44115
This information must be preceded or accompanied by a current prospectus for the Funds.
MER-SA-001-0300