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
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23 | ||
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25 | ||
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27 | ||
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32 | ||
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33 | ||
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46 | ||
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47 | ||
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49 | ||
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50 | ||
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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 | |||||
|
One
Year |
Annualized
| ||||
|
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 | |||||
|
One
Year |
Annualized
| ||||
|
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 | |||||
|
One
Year |
Annualized Inception To Date* | ||||
|
Net
Asset |
Market
|
Net
Asset |
Market
| ||
|
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 | |||||
|
One
Year |
Annualized
Inception | ||||
|
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 | |||
|
Cumulative Inception to Date* | |||
|
Net Asset
|
Market
| ||
|
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
|
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 |
|
238,390,779 | |||
|
EXCHANGE TRADED FUND — 5.1% |
|
||||
|
SPDR S&P 500 ETF Trust(A) |
27,861 |
|
12,692,357 | ||
|
Total
Exchange Traded Fund |
|
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, |
363,835 |
$ |
363,835 |
|
||||
|
Total
Short-Term Investment |
|
363,835 |
|
|||||
|
Total
Investments — 102.0% |
$ |
251,446,971 |
|
|||||
|
WRITTEN OPTIONS(C)* — -1.2% |
|
|
||||||
|
Total
Written Options |
$ |
(2,912,335 |
) |
|||||
Percentages are based on Net Assets of $246,619,217.
|
Description |
Number
of |
Notional
|
Exercise
|
Expiration
|
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 |
|
|
|
|
$ |
(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 |
|
|||