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.

TABLE OF CONTENTS

A Message to our Shareholders

1

Performance Data

4

Portfolio Allocations

6

Schedules of Investments

8

Statements of Assets and Liabilities

23

Statements of Operations

24

Statements of Changes in Net Assets

25

Financial Highlights

27

Notes to Financial Statements

29

Report of Independent Registered Public Accounting Firm

38

Expense Examples

39

Trustees and Executive Officers

41

Basis for Trustees’ Approval of Investment Advisory and Sub-Advisory Agreements

43

Statement Regarding Liquidity Risk Management Program

46

Other Information

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
Contribution

Average
Exposure

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
Contribution

Average
Exposure

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

SHAREHOLDER LETTER

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
Contribution

Average
Exposure

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
Contribution

Average
Exposure

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

PERFORMANCE DATA at September 30, 2022 (Unaudited)

Average Total Returns for the Periods Ended September 30, 2022

1 Year

Since Inception
(12/28/20)
(Annualized)

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
(6/7/22)
(1)

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.

PORTFOLIO ALLOCATIONS at September 30, 2022 (Unaudited)

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


SCHEDULE OF INVESTMENTS at September 30, 2022

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 PL

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)