Gotham Enhanced 500 ETF (GSPY)
Gotham 1000 Value ETF (GVLU)
Annual Report
September 30, 2022
of
Tidal ETF Trust
This report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective prospectus.
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TABLE OF CONTENTS |
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1 | |
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4 | |
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6 | |
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8 | |
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23 | |
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24 | |
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25 | |
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27 | |
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29 | |
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38 | |
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39 | |
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41 | |
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Basis for Trustees’ Approval of Investment Advisory and Sub-Advisory Agreements |
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43 |
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46 | |
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47 |
Gotham ETFs
Gotham ETFs
|
1 |
Gotham Enhanced 500 ETF (“GSPY”)
•GSPY is an actively-managed exchange-traded fund (“ETF”) that buys all 500 stocks in the S&P 500® Index but reweights them, buying more of the ones we think are cheaper and less of the ones we believe are more expensive. Gotham’s investment process puts an emphasis on companies with strong cash flow generation and operating fundamentals.
•GSPY currently1 trades at 15x Gotham’s proprietary free cash flow yield (vs. 20x for the S&P 500® Index) and earns higher returns on tangible capital than the benchmark.
•As of 9/30/22, the five largest positions in the strategy were AAPL, MSFT, AMZN, GOOGL and META. The strategy was overweight Health Care, Communication Services, Energy and Information Technology, and underweight the rest of the sectors.
•Over the trailing 12 months ending 9/30/22, GSPY returned -14.62%, whereas the S&P 500® Index returned -15.47% over the same time period.
•GSPY is nearing $300mm2 in assets and we are excited about the opportunity set for our first ETF.
•Top contributors and detractors (where applicable) by sector and stock positions are below:
Sector Contributors/Detractors
|
|
Average
|
Average
|
|
Largest Contributors |
|
|
|
Energy |
1.65% |
4.48% |
|
Health Care |
0.65% |
15.10% |
|
Largest Detractors |
| |
|
Communication Services |
-5.38% |
11.66% |
|
Information Technology |
-5.24% |
28.46% |
Stock Contributors/Detractors
|
|
Average
|
Average
|
|
Largest Contributors |
|
|
|
Exxon Mobil Corp. |
0.43% |
1.01% |
|
Unitedhealth Group, Inc. |
0.34% |
1.20% |
|
Largest Detractors |
| |
|
Meta Platforms, Inc. |
-2.04% |
2.43% |
|
Amazon.com, Inc. |
-1.56% |
4.47% |
Past performance does not guarantee future results.
Must be preceded or accompanied by a prospectus.
The risks of investing in GSPY and GVLU are described in their prospectuses.
1As of 11/2/2022. Companies for which there is not applicable data to calculate Gotham’s proprietary free cash flow yield, primarily financial companies, have been excluded.
2$282mm as of 11/2/2022
Gotham ETFs
|
2 |
Gotham 1000 Value ETF (“GVLU”)
•GVLU is an actively-managed ETF consisting of 400-600 securities selected from a universe of the largest 1,400 U.S. securities, weighted towards those stocks priced at the largest discount to Gotham’s assessment of value. Gotham’s investment process puts an emphasis on companies with strong cash flow generation and operating fundamentals.
•GVLU has a position weighted Gotham proprietary free cash flow yield of 13.21% that is roughly double the Russell 1000 Index with incrementally better operating fundamentals.
•Since inception on 6/7/2022 through 9/30/22, GVLU returned -16.58%, whereas the Russell 1000 Value Index returned -14.53% over the same time period.
•GVLU is nearing $40mm1 in assets and we are excited about the opportunity set for this “deep” value-oriented ETF.
•Top contributors and detractors (where applicable) by sector and stock positions are below:
Sector Contributors/Detractors
|
|
Average
|
Average
|
|
Largest Contributors |
|
|
|
No sector was a contributor for the period. | ||
|
Largest Detractors |
| |
|
Materials |
-2.70% |
11.62% |
|
Financials |
-1.78% |
16.09% |
Stock Contributors/Detractors
|
|
Average
|
Average
|
|
Largest Contributors |
|
|
|
Regeneron Pharmaceuticals, Inc. |
0.09% |
0.52% |
|
Dick’s Sporting Goods, Inc. |
0.08% |
0.23% |
|
Largest Detractors |
| |
|
Matson, Inc. |
-0.17% |
0.45% |
|
Western Digital, Corp. |
-0.16% |
0.30% |
Past performance does not guarantee future results.
Must be preceded or accompanied by a prospectus.
The risks of investing in GSPY and GVLU are described in their prospectuses.
1$38.6mm as of 11/2/2022
|
SHAREHOLDER LETTER (Continued) |
Gotham ETFs
|
3 |
Important Information
The Gotham Enhanced 500 ETF (GSPY) compares its performance to the S&P 500® Index. The Gotham 1000 Value ETF (GVLU) compares its performance to the Russell 1000 Value Index. Returns for both indexes include the reinvestment of income. An index does not reflect operational and transactional costs which apply to an ETF. It is not possible to invest directly in an index.
The S&P 500® Index is a commonly followed equity index and is generally considered a barometer of the U.S. equity market. The Russell 1000 Index tracks the performance of the largest 1,000 U.S. public companies. The Russell 1000 Value Index measures the performance of those Russell 1000 companies with lower price/book ratios and lower predicted and historical growth rates.
There is no guarantee that either Fund’s investment strategy will be successful. Shares may trade at a premium or discount to their NAV in the secondary market. These variations may be greater when markets are volatile or subject to unusual conditions. A high portfolio turnover rate increases transaction costs, which may increase a Fund’s expenses. The Funds are newer and have limited operating histories. You can lose money on your investment in the Fund(s). Diversification does not ensure profit or protect against loss in declining markets. Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. For a complete list of portfolio holdings, please refer to the Schedule of Investments provided in this report.
“Gotham free cash flow yield” and “Gotham return on tangible capital estimates” are based on Gotham’s proprietary methodology and are used to compare companies in a consistently meaningful way. Gotham’s analyst team uses some discretion in calculating a company’s pre-tax cash flow, return on capital as well as enterprise value. This information is updated throughout the year to account for company performance. The metrics for any one company or portfolio can change daily to reflect either new information and/or changing stock price. The aggregate cash flow and return on capital metrics combine the metrics for the individual companies held by the Fund or index. Gotham free cash flow yield and Gotham return on tangible capital are position-weighted averages that take each company’s Gotham free cash flow yield or Gotham return on tangible capital divided by its adjusted enterprise value. Gotham free cash flow yield and Gotham return on tangible capital do not represent income received by the Funds, nor income received by shareholders in the Funds.
Gotham ETFs are distributed by Foreside Fund Services, LLC.
|
4 |
Gotham Enhanced 500 ETF
|
Average Total Returns for the Periods Ended September 30, 2022 |
|
1 Year |
|
Since
Inception |
|
Gotham Enhanced 500 ETF - NAV |
|
-14.62% |
|
-0.78% |
|
Gotham Enhanced 500 ETF - Market |
|
-14.69% |
|
-0.74% |
|
S&P 500® Total Return Index |
|
-15.47% |
|
-0.83% |
This chart illustrates the performance of a hypothetical $10,000 investment made on December 28, 2020 (commencement of operations), and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns reflect fee waivers in effect for the NAV return. In the absence of such waivers, total return would be reduced. The chart assumes reinvestment of capital gains, dividends, and return of capital, if applicable, for a fund and dividends for an index.
Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Gotham Enhanced 500 ETF (the “Fund”) may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling (855) 998-4779. The Fund’s gross expense ratio is 0.65% and net expense ratio is 0.50% as of the Fund’s prospectus dated January 28, 2022. The Fund’s investment adviser has agreed to waive a portion of its management fees for the Fund to limit the Fund’s Total Annual Fund Operating Expenses After Fee Waiver to 0.50% until at least December 31, 2023.
|
5 |
Gotham 1000 Value ETF
|
5 |
|
PERFORMANCE DATA at September 30, 2022 (Unaudited) |
|
Average Total Returns for the Periods Ended September 30, 2022 |
|
3 Month(1) |
|
Since
Inception |
|
Gotham 1000 Value ETF - NAV |
|
-5.11% |
|
-16.58% |
|
Gotham 1000 Value ETF - Market |
|
-5.07% |
|
-16.56% |
|
Russell 1000 Total Return Index |
|
-4.61% |
|
-13.37% |
|
Russell 1000 Value Total Return Index |
|
-5.62% |
|
-14.53% |
(1)Not annualized.
This chart illustrates the performance of a hypothetical $10,000 investment made on June 7, 2022 (commencement of operations), and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns reflect fee waivers in effect for the NAV return. In the absence of such waivers, total return would be reduced. The chart assumes reinvestment of capital gains, dividends, and return of capital, if applicable, for a fund and dividends for an index.
Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Gotham 1000 Value ETF (the “Fund”) may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling (855) 998-4779. The Fund’s gross expense ratio is 0.65% and net expense ratio is 0.50% as of the Fund’s prospectus dated June 3, 2022. The Fund’s investment adviser has agreed to waive a portion of its management fees for the Fund to limit the Fund’s Total Annual Fund Operating Expenses After Fee Waiver to 0.50% until at least January 31, 2024.
Gotham Enhanced 500 ETF
|
6 |
The accompanying notes are an integral part of these financial statements.
|
Sector: |
% of Net Assets | ||||
|
Consumer, Non-Cyclical |
|
|
24.0 |
% |
|
|
Technology |
|
|
23.1 |
|
|
|
Communications |
|
|
16.8 |
|
|
|
Financial |
|
|
10.6 |
|
|
|
Consumer, Cyclical |
|
|
8.3 |
|
|
|
Industrial |
|
|
7.0 |
|
|
|
Energy |
|
|
6.3 |
|
|
|
Basic Materials |
|
|
2.1 |
|
|
|
Utilities |
|
|
1.5 |
|
|
|
Cash & Cash Equivalents(1) |
|
|
0.3 |
|
|
|
Total |
|
|
100.0 |
% |
|
(1)Represents cash, short-term investments, and liabilities in excess of other assets.
Gotham 1000 Value ETF
|
7 |
The accompanying notes are an integral part of these financial statements.
|
Sector: |
|
% of Net Assets | |||
|
Consumer, Non-Cyclical |
|
|
19.2 |
% |
|
|
Financial |
|
|
16.6 |
|
|
|
Energy |
|
|
14.5 |
|
|
|
Industrial |
|
|
12.3 |
|
|
|
Consumer, Cyclical |
|
|
11.6 |
|
|
|
Basic Materials |
|
|
11.0 |
|
|
|
Technology |
|
|
6.9 |
|
|
|
Communications |
|
|
6.0 |
|
|
|
Utilities |
|
|
1.6 |
|
|
|
Cash & Cash Equivalents(1) |
|
|
0.3 |
|
|
|
Total |
|
|
100.0 |
% |
|
(1)Represents cash, short-term investments, and other assets in excess of liabilities.
|
PORTFOLIO ALLOCATIONS at September 30, 2022 (Unaudited) |
Gotham Enhanced 500 ETF
|
8 |
The accompanying notes are an integral part of these financial statements.
|
|
|
Shares |
|
Value |
| ||
|
Common Stocks — 99.7% |
|
|
|
|
| ||
|
|
|
|
|
|
| ||
|
Advertising — 0.2% |
|
|
|
|
| ||
|
The Interpublic Group of Companies, Inc. |
|
8,209 |
|
$210,150 |
| ||
|
Omnicom Group, Inc. (1) |
|
4,223 |
|
266,429 |
| ||
|
|
|
|
|
|
|
476,579 |
|
|
Aerospace & Defense — 1.3% |
|
|
|
|
| ||
|
The Boeing Co. (2) |
|
1,478 |
|
178,956 |
| ||
|
General Dynamics Corp. |
|
5,718 |
|
1,213,188 |
| ||
|
Howmet Aerospace, Inc. |
|
1,064 |
|
32,909 |
| ||
|
L3Harris Technologies, Inc. |
|
535 |
|
111,189 |
| ||
|
Lockheed Martin Corp. |
|
2,522 |
|
974,223 |
| ||
|
Northrop Grumman Corp. |
|
1,255 |
|
590,252 |
| ||
|
Raytheon Technologies Corp. |
|
3,638 |
|
297,807 |
| ||
|
Teledyne Technologies, Inc. (2) |
|
113 |
|
38,134 |
| ||
|
TransDigm Group, Inc. (1) |
|
135 |
|
70,851 |
| ||
|
|
|
|
|
|
|
3,507,509 |
|
|
Agriculture — 1.7% |
|
|
|
|
| ||
|
Altria Group, Inc. |
|
39,542 |
|
1,596,706 |
| ||
|
Archer-Daniels-Midland Co. |
|
12,108 |
|
974,088 |
| ||
|
Philip Morris International, Inc. |
|
23,979 |
|
1,990,497 |
| ||
|
|
|
|
|
|
|
4,561,291 |
|
|
Airlines — 0.1% |
|
|
|
|
| ||
|
Alaska Air Group, Inc. (2) |
|
309 |
|
12,097 |
| ||
|
American Airlines Group, Inc. (1)(2) |
1,633 |
|
19,661 |
| |||
|
Delta Air Lines, Inc. (2) |
|
1,592 |
|
44,672 |
| ||
|
Southwest Airlines Co. (2) |
|
1,441 |
|
44,440 |
| ||
|
United Airlines Holdings, Inc. (2) |
|
807 |
|
26,252 |
| ||
|
|
|
|
|
|
|
147,122 |
|
|
Apparel — 0.2% |
|
|
|
|
| ||
|
Nike, Inc. - Class B |
|
3,888 |
|
323,171 |
| ||
|
Ralph Lauren Corp. |
|
193 |
|
16,391 |
| ||
|
Tapestry, Inc. (1) |
|
5,844 |
|
166,145 |
| ||
|
VF Corp. |
|
1,098 |
|
32,841 |
| ||
|
|
|
|
|
|
|
538,548 |
|
|
Auto Manufacturers — 2.2% |
|
|
|
|
| ||
|
Cummins, Inc. |
|
398 |
|
80,997 |
| ||
|
Ford Motor Co. |
|
81,639 |
|
914,357 |
| ||
|
General Motors Co. |
|
11,789 |
|
378,309 |
| ||
|
PACCAR, Inc. |
|
849 |
|
71,053 |
| ||
|
Tesla, Inc. (2) |
|
16,525 |
|
4,383,256 |
| ||
|
|
|
|
|
|
|
5,827,972 |
|
|
Auto Parts & Equipment — 0.1% |
|
|
|
| |||
|
Aptiv PLC (2) |
|
666 |
|
52,088 |
| ||
|
BorgWarner, Inc. |
|
2,507 |
|
78,720 |
| ||
|
|
|
|
|
|
130,808 |
||
|
|
|
Shares |
|
Value |
| ||
|
Common Stocks — 99.7% (Continued) |
|
|
| ||||
|
|
|
|
|
|
|
|
|
|
Banks — 2.0% |
|
|
|
|
| ||
|
Bank of America Corp. |
|
21,483 |
|
$648,787 |
| ||
|
The Bank of New York Mellon Corp. |
|
1,963 |
|
75,615 |
| ||
|
Citigroup, Inc. |
|
5,277 |
|
219,893 |
| ||
|
Citizens Financial Group, Inc. |
|
1,204 |
|
41,369 |
| ||
|
Comerica, Inc. |
|
318 |
|
22,610 |
| ||
|
Fifth Third Bancorp |
|
1,687 |
|
53,916 |
| ||
|
First Republic Bank |
|
479 |
|
62,533 |
| ||
|
The Goldman Sachs Group, Inc. |
|
944 |
|
276,639 |
| ||
|
Huntington Bancshares, Inc. |
|
3,504 |
|
46,183 |
| ||
|
JPMorgan Chase & Co. |
|
21,657 |
|
2,263,156 |
| ||
|
KeyCorp |
|
2,265 |
|
36,285 |
| ||
|
M&T Bank Corp. |
|
427 |
|
75,289 |
| ||
|
Morgan Stanley |
|
4,868 |
|
384,621 |
| ||
|
Northern Trust Corp. |
|
507 |
|
43,379 |
| ||
|
The PNC Financial Services Group, Inc. |
|
1,115 |
|
166,603 |
| ||
|
Regions Financial Corp. |
|
2,452 |
|
49,212 |
| ||
|
Signature Bank |
|
152 |
|
22,952 |
| ||
|
State Street Corp. |
|
893 |
|
54,303 |
| ||
|
SVB Financial Group (2) |
|
150 |
|
50,367 |
| ||
|
Truist Financial Corp. |
|
3,297 |
|
143,551 |
| ||
|
U.S. Bancorp |
|
4,012 |
|
161,764 |
| ||
|
Wells Fargo & Co. |
|
10,703 |
|
430,475 |
| ||
|
Zions Bancorp N.A. |
|
367 |
|
18,666 |
| ||
|
|
|
|
|
|
|
5,348,168 |
|
|
Beverages — 1.4% |
|
|
|
|
| ||
|
Brown-Forman Corp. - Class B |
|
1,167 |
|
77,687 |
| ||
|
The Coca-Cola Co. |
|
45,653 |
|
2,557,481 |
| ||
|
Constellation Brands, Inc. - Class A |
|
520 |
|
119,434 |
| ||
|
Keurig Dr Pepper, Inc. (1) |
|
3,441 |
|
123,257 |
| ||
|
Molson Coors Brewing Co. - Class B |
|
599 |
|
28,746 |
| ||
|
Monster Beverage Corp. (2) |
|
1,301 |
|
113,135 |
| ||
|
PepsiCo, Inc. |
|
3,890 |
|
635,081 |
| ||
|
|
|
|
|
|
|
3,654,821 |
|
|
Biotechnology — 3.1% |
|
|
|
|
| ||
|
Amgen, Inc. |
|
8,095 |
|
1,824,613 |
| ||
|
Biogen, Inc. (2) |
|
2,958 |
|
789,786 |
| ||
|
Bio-Rad Laboratories, Inc. - Class A (2) |
|
72 |
|
30,034 |
| ||
|
Corteva, Inc. |
|
2,032 |
|
116,129 |
| ||
|
Gilead Sciences, Inc. |
|
28,665 |
|
1,768,344 |
| ||
|
Illumina, Inc. (2) |
|
1,272 |
|
242,685 |
| ||
|
Incyte Corp. (2) |
|
1,794 |
|
119,552 |
| ||
Gotham Enhanced 500 ETF
|
9 |
The accompanying notes are an integral part of these financial statements.
|
SCHEDULE OF INVESTMENTS at September 30, 2022 (Continued) |
|
|
|
Shares |
|
Value |
| ||
|
Common Stocks — 99.7% (Continued) |
|
|
| ||||
|
|
|
|
|
|
| ||
|
Biotechnology — 3.1% (Continued) |
|
|
| ||||
|
Moderna, Inc. (2) |
|
8,112 |
|
$959,244 |
| ||
|
Regeneron Pharmaceuticals, Inc. (2) |
970 |
|
668,204 |
| |||
|
Vertex Pharmaceuticals, Inc. (2) |
|
5,199 |
|
1,505,318 |
| ||
|
|
|
|
|
|
|
8,023,909 |
|
|
Building Materials — 0.4% |
|
|
|
|
| ||
|
Carrier Global Corp. |
|
17,614 |
|
626,354 |
| ||
|
Fortune Brands Home & Security, Inc. |
|
371 |
|
19,919 |
| ||
|
Johnson Controls International PLC |
|
1,945 |
|
95,733 |
| ||
|
Martin Marietta Materials, Inc. |
|
151 |
|
48,636 |
| ||
|
Masco Corp. |
|
4,580 |
|
213,840 |
| ||
|
Mohawk Industries, Inc. (2) |
|
178 |
|
16,232 |
| ||
|
Vulcan Materials Co. |
|
323 |
|
50,940 |
| ||
|
|
|
|
|
|
|
1,071,654 |
|
|
Chemicals — 1.3% |
|
|
|
|
| ||
|
Air Products and Chemicals, Inc. |
543 |
|
126,372 |
| |||
|
Albemarle Corp. |
|
294 |
|
77,745 |
| ||
|
Celanese Corp. |
|
2,200 |
|
198,748 |
| ||
|
CF Industries Holdings, Inc. |
|
4,722 |
|
454,493 |
| ||
|
Dow, Inc. |
|
14,937 |
|
656,182 |
| ||
|
DuPont de Nemours, Inc. |
|
1,415 |
|
71,316 |
| ||
|
Eastman Chemical Co. |
|
2,493 |
|
177,128 |
| ||
|
Ecolab, Inc. |
|
694 |
|
100,227 |
| ||
|
FMC Corp. |
|
356 |
|
37,629 |
| ||
|
International Flavors & Fragrances, Inc. |
|
626 |
|
56,860 |
| ||
|
Linde PLC |
|
1,421 |
|
383,087 |
| ||
|
LyondellBasell Industries NV - Class A |
|
6,859 |
|
516,346 |
| ||
|
The Mosaic Co. |
|
7,342 |
|
354,839 |
| ||
|
PPG Industries, Inc. |
|
571 |
|
63,204 |
| ||
|
The Sherwin-Williams Co. |
|
642 |
|
131,450 |
| ||
|
|
|
|
|
|
|
3,405,626 |
|
|
Commercial Services — 1.0% |
|
|
|
|
| ||
|
Automatic Data Processing, Inc. |
|
2,116 |
|
478,618 |
| ||
|
Cintas Corp. |
|
251 |
|
97,436 |
| ||
|
CoStar Group, Inc. (2) |
|
959 |
|
66,794 |
| ||
|
Equifax, Inc. |
|
302 |
|
51,772 |
| ||
|
FleetCor Technologies, Inc. (2) |
|
215 |
|
37,876 |
| ||
|
Gartner, Inc. (2) |
|
225 |
|
62,255 |
| ||
|
Global Payments, Inc. |
|
701 |
|
75,743 |
| ||
|
MarketAxess Holdings, Inc. |
|
93 |
|
20,692 |
| ||
|
Moody’s Corp. |
|
518 |
|
125,931 |
| ||
|
Nielsen Holdings PLC |
|
5,656 |
|
156,784 |
| ||
|
PayPal Holdings, Inc. (2) |
|
10,294 |
|
886,005 |
|||
|
|
|
Shares |
|
Value |
| ||
|
Common Stocks — 99.7% (Continued) |
|
|
| ||||
|
|
|
|
|
|
| ||
|
Commercial Services — 1.0% (Continued) |
|
|
| ||||
|
Quanta Services, Inc. |
|
351 |
|
$44,714 |
| ||
|
Robert Half International, Inc. |
|
2,287 |
|
174,955 |
| ||
|
Rollins, Inc. |
|
1,195 |
|
41,443 |
| ||
|
S&P Global, Inc. |
|
862 |
|
263,212 |
| ||
|
United Rentals, Inc. (2) |
|
174 |
|
47,001 |
| ||
|
Verisk Analytics, Inc. |
|
402 |
|
68,553 |
| ||
|
|
|
|
|
|
|
2,699,784 |
|
|
Computers — 9.0% |
|
|
|
|
| ||
|
Accenture PLC - Class A |
|
12,841 |
|
3,303,989 |
| ||
|
Apple, Inc. |
|
130,281 |
|
18,004,834 |
| ||
|
Cognizant Technology Solutions Corp. - Class A |
|
4,188 |
|
240,559 |
| ||
|
DXC Technology Co. (2) |
|
5,539 |
|
135,595 |
| ||
|
EPAM Systems, Inc. (2) |
|
464 |
|
168,056 |
| ||
|
Fortinet, Inc. (2) |
|
1,994 |
|
97,965 |
| ||
|
Hewlett Packard Enterprise Co. |
|
3,155 |
|
37,797 |
| ||
|
HP, Inc. |
|
24,416 |
|
608,447 |
| ||
|
International Business Machines Corp. |
|
2,546 |
|
302,490 |
| ||
|
Leidos Holdings, Inc. |
|
340 |
|
29,740 |
| ||
|
NetApp, Inc. |
|
4,483 |
|
277,274 |
| ||
|
Seagate Technology Holdings PLC |
|
3,758 |
|
200,038 |
| ||
|
Western Digital Corp. (2) |
|
6,371 |
|
207,376 |
| ||
|
|
|
|
|
|
|
23,614,160 |
|
|
Cosmetics & Personal Care — 0.6% |
|
|
| ||||
|
Colgate-Palmolive Co. |
|
2,358 |
|
165,650 |
| ||
|
The Estee Lauder Companies, Inc. - Class A |
|
877 |
|
189,344 |
| ||
|
The Procter & Gamble Co. |
|
8,587 |
|
1,084,109 |
| ||
|
|
|
|
|
|
|
1,439,103 |
|
|
Distribution & Wholesale — 0.2% |
|
|
| ||||
|
Copart, Inc. (2) |
|
577 |
|
61,393 |
| ||
|
Fastenal Co. |
|
1,417 |
|
65,238 |
| ||
|
LKQ Corp. |
|
5,616 |
|
264,794 |
| ||
|
Pool Corp. (1) |
|
99 |
|
31,503 |
| ||
|
W.W. Grainger, Inc. |
|
399 |
|
195,187 |
| ||
|
|
|
|
|
|
|
618,115 |
|
|
Diversified Financial Services — 4.0% |
|
|
| ||||
|
American Express Co. |
|
1,842 |
|
248,504 |
| ||
|
Ameriprise Financial, Inc. |
|
306 |
|
77,097 |
| ||
|
BlackRock, Inc. |
|
3,112 |
|
1,712,471 |
| ||
|
Capital One Financial Corp. |
|
1,085 |
|
100,004 |
| ||
|
Cboe Global Markets, Inc. |
|
257 |
|
30,164 |
| ||
|
The Charles Schwab Corp. |
|
5,286 |
|
379,905 |
| ||
|
CME Group, Inc. |
|
1,002 |
|
177,484 |
| ||
Gotham Enhanced 500 ETF
|
10 |
The accompanying notes are an integral part of these financial statements.
|
SCHEDULE OF INVESTMENTS at September 30, 2022 (Continued) |
|
|
|
Shares |
|
Value |
| ||
|
Common Stocks — 99.7% (Continued) |
|
|
| ||||
|
|
|
|
|
|
| ||
|
Diversified Financial Services — 4.0% (Continued) |
| ||||||
|
Discover Financial Services |
|
685 |
|
$62,280 |
| ||
|
Franklin Resources, Inc. (1) |
|
10,615 |
|
228,435 |
| ||
|
Intercontinental Exchange, Inc. |
|
11,339 |
|
1,024,479 |
| ||
|
Invesco Ltd. (1) |
|
9,435 |
|
129,260 |
| ||
|
Mastercard, Inc. - Class A |
|
7,779 |
|
2,211,881 |
| ||
|
Nasdaq, Inc. |
|
9,984 |
|
565,893 |
| ||
|
Raymond James Financial, Inc. |
|
566 |
|
55,932 |
| ||
|
Synchrony Financial |
|
1,224 |
|
34,505 |
| ||
|
T. Rowe Price Group, Inc. (1) |
|
4,684 |
|
491,867 |
| ||
|
Visa, Inc. - Class A (1) |
|
16,740 |
|
2,973,861 |
| ||
|
|
|
|
|
|
|
10,504,022 |
|
|
Electric — 1.5% |
|
|
|
|
| ||
|
The AES Corp. |
|
1,887 |
|
42,646 |
| ||
|
Alliant Energy Corp. |
|
609 |
|
32,271 |
| ||
|
Ameren Corp. |
|
669 |
|
53,888 |
| ||
|
American Electric Power Co., Inc. |
1,261 |
|
109,014 |
| |||
|
CenterPoint Energy, Inc. |
|
1,553 |
|
43,764 |
| ||
|
CMS Energy Corp. |
|
714 |
|
41,583 |
| ||
|
Consolidated Edison, Inc. |
|
868 |
|
74,440 |
| ||
|
Constellation Energy Corp. |
|
6,610 |
|
549,886 |
| ||
|
Dominion Energy, Inc. |
|
2,212 |
|
152,871 |
| ||
|
DTE Energy Co. |
|
547 |
|
62,932 |
| ||
|
Duke Energy Corp. |
|
1,890 |
|
175,808 |
| ||
|
Edison International |
|
945 |
|
53,468 |
| ||
|
Entergy Corp. |
|
500 |
|
50,315 |
| ||
|
Evergy, Inc. |
|
561 |
|
33,323 |
| ||
|
Eversource Energy |
|
844 |
|
65,798 |
| ||
|
Exelon Corp. |
|
20,136 |
|
754,295 |
| ||
|
FirstEnergy Corp. |
|
1,393 |
|
51,541 |
| ||
|
NextEra Energy, Inc. |
|
4,778 |
|
374,643 |
| ||
|
NRG Energy, Inc. |
|
4,856 |
|
185,839 |
| ||
|
Pinnacle West Capital Corp. |
|
278 |
|
17,934 |
| ||
|
PPL Corp. |
|
2,067 |
|
52,398 |
| ||
|
Public Service Enterprise Group, Inc. |
|
7,371 |
|
414,471 |
| ||
|
Sempra Energy |
|
787 |
|
118,003 |
| ||
|
The Southern Co. |
|
2,612 |
|
177,616 |
| ||
|
WEC Energy Group, Inc. |
|
776 |
|
69,398 |
| ||
|
Xcel Energy, Inc. |
|
1,336 |
|
85,504 |
| ||
|
|
|
|
|
|
|
3,843,649 |
|
|
Electrical Components & Equipment — 0.1% |
|
|
| ||||
|
AMETEK, Inc. |
|
611 |
|
69,293 |
| ||
|
Emerson Electric Co. |
|
1,600 |
|
117,152 |
| ||
|
Generac Holdings, Inc. (1)(2) |
|
155 |
|
27,612 |
| ||
|
|
|
|
|
|
|
214,057 |
|
|
|
|
Shares |
|
Value |
| ||
|
Common Stocks — 99.7% (Continued) |
|
|
| ||||
|
|
|
|
|
|
|
|
|
|
Electronics — 0.8% |
|
|
|
|
| ||
|
Agilent Technologies, Inc. |
|
735 |
|
$89,339 |
| ||
|
Allegion PLC |
|
240 |
|
21,523 |
| ||
|
Amphenol Corp. - Class A |
|
11,790 |
|
789,459 |
| ||
|
Fortive Corp. |
|
2,876 |
|
167,671 |
| ||
|
Garmin Ltd. |
|
468 |
|
37,585 |
| ||
|
Honeywell International, Inc. |
|
1,903 |
|
317,744 |
| ||
|
Keysight Technologies, Inc. (2) |
|
440 |
|
69,238 |
| ||
|
Mettler-Toledo International, Inc. (2) |
55 |
|
59,627 |
| |||
|
TE Connectivity Ltd. |
|
3,917 |
|
432,280 |
| ||
|
Trimble, Inc. (2) |
|
627 |
|
34,027 |
| ||
|
|
|
|
|
|
|
2,018,493 |
|
|
Energy — Alternate Sources - 0.1% |
|
|
| ||||
|
Enphase Energy, Inc. (2) |
|
328 |
|
91,010 |
| ||
|
SolarEdge Technologies, Inc. (2) |
|
449 |
|
103,926 |
| ||
|
|
|
|
|
|
|
194,936 |
|
|
Engineering & Construction — 0.0% (4) |
|
|
| ||||
|
Jacobs Solutions, Inc. |
|
361 |
|
39,165 |
| ||
|
|
|
|
|
|
|
|
|
|
Entertainment — 0.0% (4) |
|
|
|
|
| ||
|
Caesars Entertainment, Inc. (2) |
|
548 |
|
17,678 |
| ||
|
Live Nation Entertainment, Inc. (2) |
567 |
|
43,115 |
| |||
|
|
|
|
|
|
|
60,793 |
|
|
Environmental Control — 0.2% |
|
|
|
|
| ||
|
Pentair PLC |
|
3,346 |
|
135,948 |
| ||
|
Republic Services, Inc. |
|
783 |
|
106,520 |
| ||
|
Waste Management, Inc. |
|
1,020 |
|
163,414 |
| ||
|
|
|
|
|
|
|
405,882 |
|
|
Food — 1.1% |
|
|
|
|
| ||
|
Campbell Soup Co. |
|
847 |
|
39,911 |
| ||
|
Conagra Brands, Inc. |
|
1,166 |
|
38,047 |
| ||
|
General Mills, Inc. |
|
12,255 |
|
938,855 |
| ||
|
The Hershey Co. |
|
583 |
|
128,534 |
| ||
|
Hormel Foods Corp. |
|
1,336 |
|
60,708 |
| ||
|
The J.M. Smucker Co. |
|
267 |
|
36,688 |
| ||
|
Kellogg Co. |
|
2,955 |
|
205,845 |
| ||
|
The Kraft Heinz Co. |
|
3,754 |
|
125,196 |
| ||
|
The Kroger Co. |
|
7,129 |
|
311,894 |
| ||
|
Lamb Weston Holdings, Inc. |
|
354 |
|
27,392 |
| ||
|
McCormick & Co., Inc. |
|
669 |
|
47,680 |
| ||
|
Mondelez International, Inc. - Class A |
|
6,413 |
|
351,625 |
| ||
|
Sysco Corp. |
|
1,261 |
|
89,165 |
| ||
|
Tyson Foods, Inc. - Class A |
|
8,070 |
|
532,055 |
| ||
|
|
|
|
|
|
|
2,933,595 |
|
Gotham Enhanced 500 ETF
|
11 |
The accompanying notes are an integral part of these financial statements.
|
SCHEDULE OF INVESTMENTS at September 30, 2022 (Continued) |
|
|
|
Shares |
|
Value |
| ||
|
Common Stocks — 99.7% (Continued) |
|
|
| ||||
|
|
|
|
|
|
|
|
|
|
Forest Products & Paper — 0.1% |
|
|
| ||||
|
International Paper Co. |
|
8,070 |
|
$255,819 |
| ||
|
|
|
|
|
|
|
|
|
|
Gas — 0.0% (4) |
|
|
|
|
| ||
|
Atmos Energy Corp. |
|
345 |
|
35,138 |
| ||
|
NiSource, Inc. |
|
1,003 |
|
25,266 |
| ||
|
|
|
|
|
|
|
60,404 |
|
|
Hand & Machine Tools — 0.0% (4) |
|
|
|||||