EXCHANGE TRADED CONCEPTS TRUST

ETC 6 Meridian Hedged Equity-Index Option Strategy ETF

ETC 6 Meridian Low Beta Equity Strategy ETF

ETC 6 Meridian Mega Cap Equity ETF

ETC 6 Meridian Small Cap Equity ETF

ETC 6 Meridian Quality Growth ETF

Annual Report

November 30, 2021

 

6 Meridian

Table of Contents

 

Management Discussion of Fund Performance

 

1

Schedules of Investments

 

11

Statements of Assets and Liabilities

 

23

Statements of Operations

 

25

Statements of Changes in Net Assets

 

27

Financial Highlights

 

32

Notes to Financial Statements

 

33

Report of Independent Registered Public Accounting Firm

 

46

Trustees and Officers of the Trust

 

47

Disclosure of Fund Expenses

 

49

Notice to Shareholders

 

50

Supplemental Information

 

51

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.

 

6 Meridian

ETC 6 Meridian Hedged Equity-Index Option Strategy ETF

Management Discussion of Fund Performance

(Unaudited)

Dear Shareholders,

Thank you for your investment in the ETC 6 Meridian Hedged Equity-Index Option Strategy ETF (“SIXH” or the “Fund”). The following information pertains to the fiscal year December 1, 2020 through November 30, 2021.

The Fund is an actively managed exchange-traded fund that seeks capital appreciation by investing in a portfolio of equity securities, mainly common stocks, while selling call options against market indices or funds. The Fund may invest in securities of companies of any capitalization. The Fund’s sub-adviser, 6 Meridian LLC (the “Sub-Adviser”), employs a strategy pairing a portfolio of equity securities with an index call option writing overlay designed to reduce the exposure of the Fund to broad equity market risk with the goal of providing risk-adjusted returns. Pursuant to this investment strategy, the Sub-Adviser will sell (or write) call options on broad equity market indices or funds. In constructing the equity portfolio, the Sub-Adviser uses quantitatively-driven methods emphasizing high quality large-capitalization stocks.

The Fund saw positive performance derived from its holdings from its tilt towards higher momentum, higher value, and higher quality stocks; however, the Fund was negatively impacted relative to the S&P 500 Index by very strong performance in the lowest quality quintile that is pre-screened out of the investment universe for the Fund. For purposes of this model, quality is measured as gross profitability. Other factors that contributed to the lagging performance were the Fund’s tilt towards lower beta (high beta outperformed) and higher yielding securities (lower yielding outperformed). Beta is intended to measure the exposure of a security to broad market risk, and is defined here as the co-movement of the return of a security with the return of the securities included in the investable universe scaled by the volatility of the investable universe’s returns.

SIXH’s performance was further negatively impacted relative to the S&P 500® Index by its usage of writing covered calls in an upward market environment.

For the fiscal year ended November 30, 2021, the Fund’s net asset value increased 12.76%, and the market price increased 13.22%, while the Cboe S&P 500® BuyWrite Index, a broad equity market index that also writes options against its portfolio, increased 18.16% over the same period.

The Fund began trading on May 8, 2020, and had 8,350,000 shares outstanding as of November 30, 2021. We appreciate your investment in the ETC 6 Meridian Hedged Equity-Index Option Strategy ETF.

Sincerely,

J. Garrett Stevens,
Chief Executive Officer
Exchange Traded Concepts, Adviser to the Fund

The Cboe S&P 500® BuyWrite Index is a benchmark index designed to show the hypothetical performance of a portfolio that engages in a buy-write strategy using S&P 500® index call options.

This material represents an assessment of the market environment at a specific point in time and is not intended to be a forecast of future events, or a guarantee of future results. This information should not be relied upon by the reader as research or investment advice.

1

6 Meridian

ETC 6 Meridian Hedged Equity-Index Option Strategy ETF

Management Discussion of Fund Performance

(Unaudited) (Concluded)

Growth of a $10,000 Investment

(at Net Asset Value)

 

AVERAGE ANNUAL TOTAL RETURN
FOR THE YEAR ENDED
NOVEMBER 30, 2021

 

One Year
Return

Annualized
Inception To Date*

 

Net Asset Value

Market Price

Net Asset Value

Market Price

ETC 6 Meridian Hedged Equity-Index Option Strategy ETF

12.76%

13.22%

12.19%

12.24%

Cboe S&P 500® BuyWrite Index

18.16%

18.16%

22.33%

22.33%

*       Fund commenced operations on May 8, 2020.

‡      Unaudited

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that shares, when redeemed or sold in the market, may be worth more or less than their original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike the Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the Index returns, the performance would have been lower. Please note that one cannot invest directly in an unmanaged index.

Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. A prospectus, containing this and other information, is available at www.6meridianfunds.com. Investors should read the prospectus carefully before investing. There are risks associated with investing, including possible loss of principal.

Current performance may be lower or higher than the performance data shown above.

Performance data current to the most recent month-end is available at www.6meridianfunds.com.

There are no assurances that the Fund will meet its stated objective.

The Fund’s holdings and allocations are subject to change and should not be considered recommendations to buy individual securities.

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

2

6 Meridian

ETC 6 Meridian Low Beta Equity Strategy ETF

Management Discussion of Fund Performance

(Unaudited)

Dear Shareholders,

Thank you for your investment in the ETC 6 Meridian Low Beta Equity Strategy ETF (“SIXL” or the “Fund”). The following information pertains to the fiscal year December 1, 2020, through November 30, 2021.

The Fund is an actively managed exchange-traded fund that seeks capital appreciation by investing in equity securities, mainly common stocks. The Fund may invest in equity securities of companies of any capitalization. The Fund may also invest in real estate investment trusts. The Fund’s sub-adviser, 6 Meridian LLC (the “Sub-Adviser”), uses a quantitatively driven strategy designed to emphasize high quality securities with a relatively low exposure to broad equity market risk. The Sub-Adviser believes that, when held over a full market cycle, high quality securities with lower relative exposure to broad market risk may produce higher risk-adjusted returns than securities of lower quality with higher relative exposure to broad market risk.

Beta is intended to measure the exposure of a security to broad market risk, and is defined here as the co-movement of the return of a security with the return of the securities included in the investable universe scaled by the volatility of the investable universe’s returns. Low beta stocks were largely out of favor during the fiscal year as investors were positioned to take advantage of the post-Covid recovery in higher growth and more cyclical equities. The Fund has a tilt towards more defensive stocks and industries while underweighting the higher growth technology space.

For the fiscal year ended November 30, 2021, the Fund’s market price increased 17.96%, and the net asset value increased 18.07% while the S&P 500® Index, a broad equity market index, increased 27.92% over the same period.

The Fund began trading on May 8, 2020, and had 4,075,000 shares outstanding as of November 30, 2021. We appreciate your investment in the ETC 6 Meridian Low Beta Equity Strategy ETF.

Sincerely,

J. Garrett Stevens,
Chief Executive Officer
Exchange Traded Concepts, Adviser to the Fund

3

6 Meridian

ETC 6 Meridian Low Beta Equity Strategy ETF

Management Discussion of Fund Performance

(Unaudited) (Concluded)

Growth of a $10,000 Investment

(at Net Asset Value)

 

AVERAGE ANNUAL TOTAL RETURN
FOR THE YEAR ENDED
NOVEMBER 30, 2021

 

One Year
Return

Annualized
Inception To Date*

 

Net Asset Value

Market Price

Net Asset Value

Market Price

ETC 6 Meridian Low Beta Equity Strategy ETF

17.96%

18.07%

20.02%

20.08%

Equal Blend of the following 3 Indices:

28.77%

28.77%

39.19%

39.19%

S&P 500® Index

27.92%

27.92%

34.89%

34.89%

S&P SmallCap 600® Index

31.42%

31.42%

44.48%

44.48%

S&P MidCap 400® Index

26.47%

26.47%

37.76%

37.76%

*       Fund commenced operations on May 8, 2020.

‡      Unaudited

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that shares, when redeemed or sold in the market, may be worth more or less than their original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike the Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the Index returns, the performance would have been lower. Please note that one cannot invest directly in an unmanaged index.

Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. A prospectus, containing this and other information, is available at www.6meridianfunds.com. Investors should read the prospectus carefully before investing. There are risks associated with investing, including possible loss of principal.

Current performance may be lower or higher than the performance data shown above.

Performance data current to the most recent month-end is available at www.6meridianfunds.com.

There are no assurances that the Fund will meet its stated objective.

The Fund’s holdings and allocations are subject to change and should not be considered recommendations to buy individual securities.

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

4

6 Meridian

ETC 6 Meridian Mega Cap Equity ETF

Management Discussion of Fund Performance

(Unaudited)

Dear Shareholders,

Thank you for your investment in the ETC 6 Meridian Mega Cap Equity ETF (“SIXA” or the “Fund”). The following information pertains to the fiscal year December 1, 2020 through November 30, 2021.

The Fund is an actively managed ETF that seeks capital appreciation by investing in mega capitalization equity securities, mainly common stocks. The Fund’s sub-adviser, 6 Meridian LLC (the “Sub-Adviser”), considers mega capitalization companies to be the largest 10% of stocks included in the Russell 3000 Index by market capitalization. In selecting investments for the Fund, the Sub-Adviser uses a quantitatively-driven strategy designed to emphasize high quality large-capitalization stocks.

The Fund saw positive performance from its tilt towards higher momentum, higher value, and higher quality stocks; however, the Fund was negatively impacted relative to the S&P 500® Index by very strong performance in the lowest quality quintile that is pre-screened out of the investment universe for the Fund. For purposes of this model, quality is measured as gross profitability. Other factors that contributed to the lagging performance were the Fund’s tilt towards lower beta (high beta outperformed) and higher yielding securities (lower yielding outperformed). Beta is intended to measure the exposure of a security to broad market risk, and is defined here as the co-movement of the return of a security with the return of the securities included in the investable universe scaled by the volatility of the investable universe’s returns.

For the fiscal year ended November 30, 2021, the Fund’s net asset value increased 20.59%, and the market price increased 20.60%, while the S&P 500® Index, a broad equity market index, increased 27.92%, over the same period.

The Fund began trading on May 8, 2020, and had 4,600,000 shares outstanding as of November 30, 2021. We appreciate your investment in the ETC 6 Meridian Mega Cap Equity ETF.

Sincerely,

J. Garrett Stevens,
Chief Executive Officer
Exchange Traded Concepts, Adviser to the Fund

The S&P 500® Index is a market-value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry group representation, with each stock’s weight in the S&P 500® Index proportionate to its market value.

This material represents an assessment of the market environment at a specific point in time and is not intended to be a forecast of future events, or a guarantee of future results. This information should not be relied upon by the reader as research or investment advice.

5

6 Meridian

ETC 6 Meridian Mega Cap Equity ETF

Management Discussion of Fund Performance

(Unaudited) (Concluded)

Growth of a $10,000 Investment

(at Net Asset Value)

 

AVERAGE ANNUAL TOTAL RETURN
FOR THE YEAR ENDED
NOVEMBER 30, 2021

 

One Year
Return

Annualized Inception To Date*

 

Net Asset
Value

Market
Price

Net Asset
Value

Market
Price

ETC 6 Meridian Mega Cap Equity ETF

20.59%

20.60%

23.89%

23.84%

S&P 500® Index

27.92%

27.92%

34.89%

34.89%

*       Fund commenced operations on May 8, 2020.

‡      Unaudited

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that shares, when redeemed or sold in the market, may be worth more or less than their original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike the Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the Index returns, the performance would have been lower. Please note that one cannot invest directly in an unmanaged index.

Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. A prospectus, containing this and other information, is available at www.6meridianfunds.com. Investors should read the prospectus carefully before investing. There are risks associated with investing, including possible loss of principal.

Current performance may be lower or higher than the performance data shown above.

Performance data current to the most recent month-end is available at www.6meridianfunds.com.

There are no assurances that the Fund will meet its stated objective.

The Fund’s holdings and allocations are subject to change and should not be considered recommendations to buy individual securities.

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

6

6 Meridian

ETC 6 Meridian Small Cap Equity ETF

Management Discussion of Fund Performance

(Unaudited)

Dear Shareholders,

Thank you for your investment in the ETC 6 Meridian Small Cap Equity ETF (“SIXS” or the “Fund”). The following information pertains to the fiscal year December 1, 2020, through November 30, 2021.

The Fund is an actively managed exchange-traded fund that seeks capital appreciation by investing in small-capitalization equity securities, mainly common stocks. The Fund’s sub-adviser, 6 Meridian LLC (the “Sub-Adviser”), considers small-capitalization securities to be those with market capitalizations within the range of the market capitalization of companies included in the S&P SmallCap 600® Index. The Fund may also invest in equity securities of companies of any capitalization and may also invest in real estate investment trusts. In selecting investments for the Fund, the Sub-Adviser uses a quantitatively-driven strategy designed to emphasize high quality small-capitalization securities.

Small-capitalization companies had a strong year on the expectations for strong economic growth on the heels of the fiscal stimulus measures taken by the U.S. Government. SIXS’s performance benefitted from its tilt towards high quality and value while being slowed by its lower beta exposure, a theme consistent with the beta factor during the fiscal year. Low beta stocks were largely out of favor during the fiscal year as investors were positioned to take advantage of the post-Covid recovery in higher growth and more cyclical equities. Beta is intended to measure the exposure of a security to broad market risk, and is defined here as the co-movement of the return of a security with the return of the securities included in the investable universe scaled by the volatility of the investable universe’s returns.

For the fiscal year ended November 30, 2021, the Fund’s net asset value increased 41.20%, and the market price increased 41.76%, while the S&P SmallCap 600® Index, a broad equity market index, increased 31.42% over the same period.

The Fund began trading on May 8, 2020, and had 1,275,000 shares outstanding as of November 30, 2021. We appreciate your investment in the ETC 6 Meridian Small Cap Equity ETF.

Sincerely,

J. Garrett Stevens,
Chief Executive Officer
Exchange Traded Concepts, Adviser to the Fund

The S&P SmallCap 600® Index seeks to measure the small-cap segment of the U.S. equity market. The index is designed to track companies that meet specific inclusion criteria to ensure that they are liquid and financially viable.

This material represents an assessment of the market environment at a specific point in time and is not intended to be a forecast of future events, or a guarantee of future results. This information should not be relied upon by the reader as research or investment advice.

7

6 Meridian

ETC 6 Meridian Small Cap Equity ETF

Management Discussion of Fund Performance

(Unaudited) (Concluded)

Growth of a $10,000 Investment

(at Net Asset Value)

 

AVERAGE ANNUAL TOTAL RETURN
FOR THE YEAR ENDED
NOVEMBER 30, 2021

   

One Year
Return

Annualized Inception
To Date*

   

Net Asset Value

Market Price

Net Asset Value

Market Price

 

ETC 6 Meridian Small Cap Equity ETF

41.20%

41.76%

49.78%

50.05%

 

S&P SmallCap 600® Index

31.42%

31.42%

44.48%

44.48%

*       Fund commenced operations on May 8, 2020.

‡      Unaudited

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that shares, when redeemed or sold in the market, may be worth more or less than their original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike the Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the Index returns, the performance would have been lower. Please note that one cannot invest directly in an unmanaged index.

Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. A prospectus, containing this and other information, is available at www.6meridianfunds.com. Investors should read the prospectus carefully before investing. There are risks associated with investing, including possible loss of principal.

Current performance may be lower or higher than the performance data shown above.

Performance data current to the most recent month-end is available at www.6meridianfunds.com.

There are no assurances that the Fund will meet its stated objective.

The Fund’s holdings and allocations are subject to change and should not be considered recommendations to buy individual securities.

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

8

6 Meridian

ETC 6 Meridian Quality Growth ETF

Management Discussion of Fund Performance

(Unaudited)

Dear Shareholders,

Thank you for your investment in the ETC 6 Meridian Quality Growth ETF (“SXQG” or the “Fund”). The information presented in this report relates to the operations of SXQG for the fiscal period May 11, 2021 (Commencement of Operations) through November 30, 2021.

The Fund is an actively managed exchange-traded fund that seeks capital appreciation by investing in equity securities. The Fund invests mainly in common stocks and may invest in the securities of companies of any capitalization. In selecting investments for the Fund, the Fund’s sub-adviser, 6 Meridian LLC (the “Sub-Adviser”), uses a quantitatively-driven strategy designed to emphasize securities of companies that exhibit high quality and growth characteristics relative to their peers. Quality is defined as high and improving profitability, low leverage and low default probability, and low net equity and debt issuance relative to dividends and net buybacks. From an initial universe consisting of companies in the broad U.S. equity market, the Sub-Adviser excludes micro-cap companies (i.e., companies with a market capitalization of less than $500 million) and securities of companies that exhibit poor liquidity and momentum characteristics.

With an inception date of May 11, 2021, this fund does not yet have a full year of performance under its belt. With that said, it has benefitted from its exposure to growth factors while simultaneously seeing some drag from its exclusion of the lowest quality that outperformed over the past year.

The Fund had positive performance during the fiscal year ended November 30, 2021. The net asset value for SXQG increased 10.30% and the market price increased 10.55%, while the S&P 500® Index, a broad equity market index, gained 11.27%, over the same period.

The Fund began trading on May 10, 2021, and had 950,000 shares outstanding as of November 30, 2021. We appreciate your investment in the ETC 6 Meridian Quality Growth ETF.

Sincerely,

J. Garrett Stevens,
Chief Executive Officer
Exchange Traded Concepts, Adviser to the Fund

The S&P 500® Index is a market-value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry group representation, with each stock’s weight in the S&P 500® Index proportionate to its market value.

This material represents an assessment of the market environment at a specific point in time and is not intended to be a forecast of future events, or a guarantee of future results. This information should not be relied upon by the reader as research or investment advice.

9

6 Meridian

ETC 6 Meridian Quality Growth ETF

Management Discussion of Fund Performance

(Unaudited)(Concluded)

Growth of a $10,000 Investment

(at Net Asset Value)

 

AVERAGE ANNUAL TOTAL RETURN
FOR THE YEAR ENDED
NOVEMBER 30, 2021

 

Cumulative Inception to Date*

 

Net Asset
Value

Market
Price

ETC 6 Meridian Quality Growth ETF

10.30%

10.55%

S&P 500® Index

11.27%

11.27%

*       Fund commenced operations on May 10, 2021.

‡      Unaudited

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that shares, when redeemed or sold in the market, may be worth more or less than their original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike the Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the Index returns, the performance would have been lower. Please note that one cannot invest directly in an unmanaged index.

Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. A prospectus, containing this and other information, is available at www.6meridianfunds.com. Investors should read the prospectus carefully before investing. There are risks associated with investing, including possible loss of principal.

Current performance may be lower or higher than the performance data shown above.

Performance data current to the most recent month-end is available at www.6meridianfunds.com.

There are no assurances that the Fund will meet its stated objective.

The Fund’s holdings and allocations are subject to change and should not be considered recommendations to buy individual securities.

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

10

ETC 6 Meridian

Hedged Equity-Index Option Strategy ETF

Schedule of Investments

November 30, 2021

Description

 

Shares

 

Fair Value

COMMON STOCK — 96.8%

 

 

 

Communication Services — 6.3%

 

 

 

Alphabet, Cl C*

 

2,258

 

$

6,433,132

AT&T

 

255,972

 

 

5,843,841

Meta Platforms, Cl A*(A)

 

9,840

 

 

3,192,686

       

 

15,469,659

Consumer Discretionary — 7.9%

     

 

 

Home Depot(A)

 

8,860

 

 

3,549,405

Lowe’s(A)

 

14,010

 

 

3,426,706

McDonald’s

 

12,957

 

 

3,169,282

NIKE, Cl B

 

19,521

 

 

3,303,734

Target(A)

 

12,589

 

 

3,069,702

Tesla*

 

2,687

 

 

3,075,970

       

 

19,594,799

Consumer Staples — 15.1%

     

 

 

Altria Group

 

147,424

 

 

6,286,159

Coca-Cola

 

57,805

 

 

3,031,872

Costco Wholesale(A)

 

6,601

 

 

3,560,447

Kraft Heinz(A)

 

176,804

 

 

5,942,382

Mondelez International, Cl A

 

53,306

 

 

3,141,856

PepsiCo

 

40,270

 

 

6,434,341

Philip Morris International(A)

 

104,273

 

 

8,961,222

       

 

37,358,279

Energy — 2.6%

     

 

 

Chevron

 

56,701

 

 

6,399,842

Financials — 18.2%

     

 

 

American Express

 

37,277

 

 

5,677,287

Bank of America

 

67,855

 

 

3,017,512

Description

 

Shares

 

Fair Value

Financials (continued)

 

 

 

Berkshire Hathaway, Cl B*

 

11,343

 

$

3,138,495

Capital One Financial

 

42,442

 

 

5,964,374

Goldman Sachs Group

 

15,584

 

 

5,937,348

JPMorgan Chase

 

19,122

 

 

3,037,147

MetLife

 

151,850

 

 

8,907,521

US Bancorp

 

106,845

 

 

5,912,803

Wells Fargo

 

62,790

 

 

3,000,106

       

 

44,592,593

Health Care — 23.0%

     

 

 

Abbott Laboratories

 

25,181

 

 

3,167,014

AbbVie(A)

 

28,280

 

 

3,260,118

CVS Health

 

107,459

 

 

9,570,299

Eli Lilly(A)

 

39,072

 

 

9,691,419

Gilead Sciences

 

148,403

 

 

10,229,419

Johnson & Johnson(A)

 

19,917

 

 

3,105,658

Merck

 

73,930

 

 

5,538,096

Pfizer

 

223,216

 

 

11,993,396

       

 

56,555,419

Industrials — 2.5%

     

 

 

3M

 

36,162

 

 

6,148,986

Information Technology — 14.8%

 

 

 

Accenture PLC, Cl A

 

9,138

 

 

3,265,921

Adobe*(A)

 

5,072

 

 

3,397,479

Apple

 

21,797

 

 

3,603,044

Cisco Systems

 

57,877

 

 

3,173,975

Intel

 

65,527

 

 

3,223,928

International Business Machines(A)

 

51,426

 

 

6,021,985

Kyndryl Holdings*(A)

 

10,284

 

 

162,487

NVIDIA(A)

 

12,572

 

 

4,108,027

Oracle

 

68,807

 

 

6,243,547

Texas Instruments(A)

 

17,319

 

 

3,331,656

       

 

36,532,049

Materials — 3.9%

     

 

 

Dow

 

113,057

 

 

6,210,221

DuPont de Nemours

 

45,583

 

 

3,371,319

       

 

9,581,540

Utilities — 2.5%

     

 

 

Duke Energy

 

63,474

 

 

6,157,613

Total Common Stock
(Cost $228,765,096)

     

 

238,390,779

EXCHANGE TRADED FUND — 5.1%

 

 

 

SPDR S&P 500 ETF Trust(A)

 

27,861

 

 

12,692,357

Total Exchange Traded Fund
(Cost $12,269,421)

     

 

12,692,357

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

11

ETC 6 Meridian

Hedged Equity-Index Option Strategy ETF

Schedule of Investments

November 30, 2021 (Concluded)

Description

 

Shares

 

Fair Value

   

SHORT-TERM INVESTMENT — 0.1%

 

 

 

 

 

Invesco Government & Agency,
CI Institutional, 0.03%(B)

 

363,835

 

$

363,835

 

 

Total Short-Term Investment
(Cost $363,835)

     

 

363,835

 

 

Total Investments — 102.0%
(Cost $241,398,352)

     

$

251,446,971

 

 

WRITTEN OPTIONS(C)* — -1.2%

 

 

 

 

 

Total Written Options
(Premiums Received $4,488,799)

     

$

(2,912,335

)

 

Percentages are based on Net Assets of $246,619,217.

Description

 

Number of
Contracts

 

Notional
Amount

 

Exercise
Price

 

Expiration
Date

 

Value

WRITTEN OPTIONS — (1.2)%

   

 

 

 

 

 

 

 

       

 

 

 

Call Options

   

 

 

 

 

 

 

 

       

 

 

 

S&P 500 Index*

 

(141

)

 

$

(64,394,700

)

 

$

4,730

 

01/22/22

 

$

(791,715

)

S&P 500 Index*

 

(208

)

 

 

(94,993,600

)

 

 

4,700

 

01/22/22

 

 

(1,456,000

)

S&P 500 Index*

 

(209

)

 

 

(95,450,300

)

 

 

4,675

 

12/18/21

 

 

(664,620

)

     

 

 

 

 

 

 

 

       

 

(2,912,335

)

Total Written Options
(Premiums Received $4,488,799)

   

 

 

 

 

 

 

 

       

$

(2,912,335

)

*       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 $28,213,012.

(B)          The rate reported is the 7-day effective yield as of November 30, 2021.

(C)         Refer to table below for details on Options Contracts

Cl       — Class

ETF    — Exchange Traded Fund

PLC   — Public Limited Company

SPDR — Standard & Poor’s Depository Receipt

S&P    — Standard & Poor’s

As of November 30, 2021, all of the Fund’s investments were considered Level 1, in accordance with the authoritative guidance under U.S. GAAP.

For the year ended November 30, 2021, there have been no transfers in or out of Level 3.

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 6 Meridian

Low Beta Equity Strategy ETF

Schedule of Investments

November 30, 2021

Description

 

Shares

 

Fair Value

COMMON STOCK — 99.7%

Communication Services — 3.8%

AT&T

 

20,713

 

$

472,878

Cable One

 

293

 

 

519,214

Discovery, Cl A*

 

20,353

 

 

473,614

Fox

 

16,523

 

 

590,037

New York Times, Cl A

 

12,400

 

 

589,000

QuinStreet*

 

32,628

 

 

499,535

Shenandoah Telecommunications

 

19,429

 

 

493,302

ViacomCBS, Cl B

 

14,871

 

 

460,257

World Wrestling Entertainment, Cl A

 

11,870

 

 

585,903

Ziff Davis*

 

4,082

 

 

464,817

       

 

5,148,557

Consumer Discretionary — 8.8%

 

 

 

AutoZone*

 

350

 

 

635,975

Dollar General

 

2,456

 

 

543,513

Domino’s Pizza

 

1,073

 

 

562,402

Dorman Products*

 

5,895

 

 

654,227

Grand Canyon Education*

 

6,276

 

 

454,822

H&R Block

 

23,213

 

 

549,684

Hasbro

 

5,793

 

 

561,399

Helen of Troy*

 

2,565

 

 

616,882

LGI Homes*

 

3,627

 

 

521,055

McDonald’s

 

2,456

 

 

600,738

Murphy USA

 

3,834

 

 

664,547

Ollie’s Bargain Outlet Holdings*

 

6,491

 

 

401,728

O’Reilly Automotive*

 

950

 

 

606,252

Papa John’s International

 

5,008

 

 

610,576

Service International

 

9,092

 

 

601,526

Description

 

Shares

 

Fair Value

Consumer Discretionary (continued)

Shutterstock

 

5,501

 

$

627,169

Sturm Ruger

 

7,536

 

 

540,256

Target

 

2,212

 

 

539,374

Wendy’s

 

25,810

 

 

531,170

Williams-Sonoma

 

3,684

 

 

717,790

Yum! Brands

 

4,319

 

 

530,546

       

 

12,071,631

Consumer Staples — 16.4%

 

 

 

Altria Group

 

12,265

 

 

522,980

BJ’s Wholesale Club Holdings*

 

11,150

 

 

737,572

Boston Beer, Cl A*

 

873

 

 

393,871

Casey’s General Stores

 

2,989

 

 

580,733

Central Garden & Pet, Cl A*

 

12,527

 

 

603,551

Coca-Cola

 

10,283

 

 

539,343

Coca-Cola Consolidated

 

1,494

 

 

852,432

Colgate-Palmolive

 

7,371

 

 

552,972

Costco Wholesale

 

1,326

 

 

715,218

Edgewell Personal Care

 

14,032

 

 

595,799

elf Beauty*

 

20,565

 

 

619,418

Flowers Foods

 

25,435

 

 

656,732

Grocery Outlet Holding*

 

17,538

 

 

507,900

Hain Celestial Group*

 

14,559

 

 

574,061

Hershey

 

3,235

 

 

574,180

J & J Snack Foods

 

3,588

 

 

490,049

J M Smucker

 

4,476

 

 

566,080

Kraft Heinz

 

15,614

 

 

524,787

Kroger

 

13,760

 

 

571,453

Lancaster Colony

 

3,054

 

 

446,495

Molson Coors Beverage, Cl B

 

12,011

 

 

533,769

Mondelez International, Cl A

 

9,346

 

 

550,853

National Beverage*

 

13,266

 

 

689,036

Nu Skin Enterprises, Cl A

 

11,014

 

 

483,294

PepsiCo

 

3,742

 

 

597,897

Philip Morris International

 

5,797

 

 

498,194

Post Holdings*

 

5,820

 

 

562,212

Procter & Gamble

 

4,048

 

 

585,260

Sanderson Farms

 

3,169

 

 

595,075

Simply Good Foods*

 

16,054

 

 

593,516

Sprouts Farmers Market*

 

24,380

 

 

645,095

Tootsie Roll Industries

 

17,133

 

 

538,833

TreeHouse Foods*

 

13,674

 

 

501,836

Tyson Foods, Cl A

 

8,198

 

 

647,314

Universal

 

11,280

 

 

525,309

USANA Health Sciences*

 

6,075

 

 

605,799

Walgreens Boots Alliance

 

12,395

 

 

555,296

Walmart

 

4,036

 

 

567,583

WD-40

 

2,400

 

 

538,440

       

 

22,440,237

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

13

ETC 6 Meridian

Low Beta Equity Strategy ETF

Schedule of Investments

November 30, 2021 (Continued)

Description

 

Shares

 

Fair Value

Energy — 0.4%

     

 

 

DT Midstream

 

13,121

 

$

601,860

Financials — 7.9%

     

 

 

Allstate

 

4,473

 

 

486,305

Aon PLC, Cl A

 

2,222

 

 

657,201

Assurant

 

3,705

 

 

563,531

B Riley Financial

 

8,765

 

 

678,674

Brown & Brown

 

10,740

 

 

691,763

Cboe Global Markets

 

4,672

 

 

602,408

CME Group, Cl A

 

2,764

 

 

609,517

Employers Holdings

 

14,188

 

 

547,799

FactSet Research Systems

 

1,605

 

 

752,055

HCI Group

 

5,716

 

 

631,046

Horace Mann Educators

 

14,801

 

 

548,673

KKR Real Estate Finance Trust

 

27,653

 

 

570,481

Mercury General

 

9,812

 

 

500,608

Mr Cooper Group*

 

15,169

 

 

595,687

Progressive

 

6,050

 

 

562,287

RenaissanceRe Holdings

 

3,782

 

 

582,844

Safety Insurance Group

 

7,501

 

 

579,602

Stewart Information Services

 

10,077

 

 

717,684

       

 

10,878,165

Health Care — 19.3%

     

 

 

Abbott Laboratories

 

4,745

 

 

596,779

AbbVie

 

5,011

 

 

577,667

Amedisys*

 

2,249