BNY
Mellon
ETF
Trust
Annual
Report
October
31,
2021
BNY
Mellon
US
Large
Cap
Core
Equity
ETF
BNY
Mellon
US
Mid
Cap
Core
Equity
ETF
BNY
Mellon
US
Small
Cap
Core
Equity
ETF
BNY
Mellon
International
Equity
ETF
BNY
Mellon
Emerging
Markets
Equity
ETF
BNY
Mellon
Core
Bond
ETF
BNY
Mellon
Short
Duration
Corporate
Bond
ETF
BNY
Mellon
High
Yield
Beta
ETF
Contents
The
Funds
Discussion
of
Funds’
Performance
3
Fund
Performance
19
Understanding
Your
Fund’s
Expenses
27
Statements
of
Investments
28
Statements
of
Assets
and
Liabilities
117
Statements
of
Operations
120
Statements
of
Changes
in
Net
Assets
123
Financial
Highlights
127
Notes
to
Financial
Statements
135
Report
of
Independent
Registered
Public
Accounting
Firm
147
Important
Tax
Information
148
Information
About
the
Approval
of
the
Applicable
Fund’s
Sub-Investment
Advisory
Agreement
149
Liquidity
Risk
Management
Program
151
Board
Members
Information
152
Officers
of
the
Trust
153
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The
views
expressed
herein
are
current
to
the
date
of
this
report.
These
views
and
the
composition
of
the
funds’
portfolios
are
subject
to
change
at
any
time
based
on
market
and
other
conditions.
Not
FDIC-Insured
Not
Bank-Guaranteed
May
Lose
Value
3
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
For
the
period
November
1,
2020,
through
October
31,
2021,
as
provided
by
David
France,
CFA,
Todd
Frysinger,
CFA,
Vlasta
Sheremeta,
CFA,
Michael
Stoll,
and
Marlene
Walker
Smith,
Portfolio
Managers
Market
and
Fund
Performance
Overview
For
the
12-month
period
ending
October
31,
2021,
the
BNY
Mellon
US
Large
Cap
Core
Equity
ETF
produced
a
net
asset
total
return
of
42.08%
.
1
In
comparison,
the
Morningstar
®
US
Large
Cap
Index
SM
(the
“Index”),
the
fund’s
benchmark,
returned
42.15%
for
the
same
period.
2
Large-cap
equities
rose
during
the
reporting
period,
supported
by
government
stimulus
programs,
accommodative
central
bank
policies,
strong
corporate
earnings
and
improving
investor
sentiment
as
vaccines
for
the
COVID-19
pandemic
rolled
out.
The
difference
in
returns
between
the
fund
and
the
Index
resulted
primarily
from
transaction
costs
and
operating
expenses
that
are
not
reflected
in
Index
results.
The
Fund’s
Investment
Approach
The
fund
seeks
to
match
the
performance
of
the
Index.
To
pursue
its
goal,
the
fund
normally
invests
substantially
all
of
its
assets
in
equity
securities
comprising
the
Morningstar
®
US
Large
Cap
Index
SM
.
The
Index
is
a
float-adjusted,
market
capitalization-weighted
index
designed
to
measure
the
performance
of
U.S.
large-
capitalization
stocks.
The
Index’s
initial
universe
of
eligible
securities
includes
common
stock,
tracking
stock
and
shares
of
real
estate
investment
trusts
(REITs)
issued
by
U.S.
companies
and
traded
on
the
New
York
Stock
Exchange,
NASDAQ
or
NYSE
Market
LLC.
At
each
reconstitution,
the
initial
universe
is
screened
to
exclude
securities
based
on
the
number
of
non-
trading
days
in
the
preceding
quarter
and
trading
volume
during
the
preceding
six-month
period.
Securities
with
more
than
10
non-trading
days
in
the
preceding
quarter,
or
that
have
a
bottom
25%
liquidity
score
as
ranked
by
the
Index
provider
based
on
the
preceding
six-month
trading
volume,
are
excluded.
The
remaining
securities
comprise
the
investable
universe.
The
Index
is
composed
of
the
securities
of
companies
whose
cumulative
total
market
capitalization
represents
approximately
the
top
70%
of
the
remaining
securities
comprising
the
investable
universe.
The
Index
rebalances
quarterly
in
March,
June,
September
and
December,
and
reconstitutes
semi-annually
in
June
and
December.
Stocks
Gain
on
Economic
Growth
and
Government
Stimulus
Investor
sentiment
turned
optimistic
in
November
2020
with
the
resolution
in
the
U.S.
presidential
election
and
progress
toward
a
COVID-19
vaccine.
Vaccine
approvals
and
passage
of
the
latest
in
a
series
of
pandemic-related
U.S.
fiscal
stimulus
packages
in
December
helped
to
support
the
stock
market
rally
into
the
new
year.
A
strong
risk-on
rally
ensued,
particularly
in
areas
of
the
market
that
had
been
hard
hit
by
the
pandemic,
such
as
travel
and
leisure
names.
In
2021,
equity
strength
rotated
out
of
technology
and
growth
stocks
benefiting
from
the
pandemic
into
COVID-19-sensitive
sectors
of
the
market,
which
had
previously
lagged,
as
well
as
cyclical
and
value-oriented
areas
of
the
market
on
the
theory
that
these
sectors
were
offering
more
attractive
valuations
and
would
benefit
most
from
economic
reopening.
The
Index
continued
to
gain
ground
despite
increasing
inflationary
pressures,
weakening
consumer
confidence,
disappointing
employment
numbers,
and
the
spread
of
the
Delta
variant
of
the
virus.
Stocks
dipped
in
September
as
U.S.
economic
growth
showed
evidence
of
slowing,
and
the
U.S.
Federal
Reserve
(the
“Fed”)
raised
its
inflation
estimates
while
stating
its
intention
to
begin
tapering
its
quantitative
easing
program
in
November.
However,
equities
rebounded
in
October
as
a
majority
of
companies
reported
better-than-expected
earnings.
By
the
end
of
the
period,
the
Index
had
once
more
reached
new
record
territory.
Energy
and
Financials
Lead
the
Market
Oil
and
gas
prices
soared
during
the
period
in
response
to
increasing
demand
from
economic
reopenings
and
pandemic-
related
supply
bottlenecks.
Most
energy
stocks
benefited,
with
the
sector
leading
the
Index
higher.
Within
financials,
the
next-best
performing
sector,
banking
profitability
was
supported
by
the
steepening
yield
curve,
rising
interest
rates,
high
levels
of
capital
market
trading
and
volatility,
and
increasing
numbers
of
mergers
and
acquisitions.
Information
technology,
the
largest
sector
in
the
Index,
also
outperformed
as
a
wide
range
of
technology-
based
products
and
services
were
increasingly
integrated
into
corporate
and
daily
life.
The
weakest-performing
sectors
in
the
Index
included
utilities
and
consumer
staples.
Utilities
were
hurt
by
rising
energy
costs
that
many
were
unable
to
pass
along
to
consumers
due
to
regulatory
constraints.
Climate
change-related
extreme
weather
events
in
some
areas,
such
as
Texas,
further
undermined
utility
company
profitability.
Consumer
staples
companies
faced
increasing
costs
as
supply-chain
disruptions
and
rising
inflationary
pressures
drove
prices
for
agricultural
products
and
industrial
materials
higher.
Replicating
the
Performance
of
the
Index
In
seeking
to
match
the
performance
of
the
Index,
we
do
not
actively
manage
investments
in
response
to
macroeconomic
trends.
We
note,
however,
that
equity
markets
are
likely
to
face
a
number
of
headwinds
in
the
coming
months,
making
the
exceptionally
strong
returns
of
the
current
reporting
period
less
likely
to
be
repeated
in
the
near
future.
Increasing
inflationary
pressures,
driven
by
strong
demand
and
supply-chain
disruptions,
have
increased
the
possibility
that
the
Fed
may
soon
taper
its
asset-buying
program
and
eventually
begin
to
raise
interest
rates,
removing
some
support
for
equity
markets
and
signaling
a
phase
of
slower
economic
growth.
At
the
same
time,
we
see
no
indications
of
an
end
to
the
current
growth
cycle
as
global
economies
continue
to
reopen
in
the
wake
of
the
pandemic,
4
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
(continued)
potentially
setting
the
stage
for
further
market
appreciation.
As
always,
we
continue
to
monitor
factors
that
affect
the
fund’s
investments.
November
15,
2021
1
DUE
TO
RECENT
MARKET
VOLATILITY,
CURRENT
PERFORMANCE
MAY
BE
DIFFERENT
THAN
THE
FIGURES
SHOWN.
Investors
should
note
that
the
fund’s
short-term
performance
is
highly
unusual,
in
part
due
to
unusually
favorable
market
conditions,
and
is
unlikely
to
be
repeated
or
consistently
achieved
in
the
future.
ETFs
trade
like
stocks,
are
subject
to
investment
risk,
including
possible
loss
of
principal.
ETF
shares
are
listed
on
an
exchange,
and
shares
are
generally
purchased
and
sold
in
the
secondary
market
at
market
price.
At
times,
the
market
price
may
be
at
a
premium
or
discount
to
the
ETF’s
per
share
NAV.
In
addition,
ETFs
are
subject
to
the
risk
that
an
active
trading
market
for
an
ETF’s
shares
may
not
develop
or
be
maintained.
Buying
or
selling
ETF
shares
on
an
exchange
may
require
payment
of
brokerage
commissions.
2
Source:
Morningstar,
Inc.
The
Morningstar
®
US
Large
Cap
Index
SM
is
a
float-
adjusted,
market-
capitalization
weighted
index
that
is
designed
to
measure
the
performance
of
U.S.
large-capitalization
stocks.
The
Index’s
initial
universe
of
eligible
securities
includes
common
stock,
tracking
stock
and
shares
of
real
estate
investment
trusts
(REITs)
issued
by
U.S.
companies
and
traded
on
the
New
York
Stock
Exchange,
NASDAQ
or
NYSE
Market
LLC.
At
each
reconstitution,
the
initial
universe
is
screened
to
exclude
securities
based
on
the
number
of
non-trading
days
in
the
preceding
quarter
and
trading
volume
during
the
preceding
six-month
period.
Securities
with
more
than
10
non-trading
days
in
the
preceding
quarter,
or
that
have
a
bottom
25%
liquidity
score
as
ranked
by
the
index
provider
based
on
the
preceding
six-month
trading
volume,
are
excluded.
The
remaining
securities
comprise
the
investable
universe.
The
Index
is
composed
of
the
securities
of
companies
whose
cumulative
total
market
capitalization
represents
approximately
the
top
70%
of
the
remaining
securities
comprising
the
investable
universe.
Investors
cannot
invest
directly
in
any
index.
Investors
cannot
invest
directly
in
any
index.
3
Morningstar
®
a
service
mark
of
Morningstar,
Inc.
and
has
been
licensed
for
use
for
certain
purposes
by
the
Adviser.
The
fund
is
not
sponsored,
endorsed,
sold
or
promoted
by
Morningstar,
and
Morningstar
makes
no
representation
regarding
the
advisability
of
investing
in
the
fund.
Equities
are
subject
generally
to
market,
market
sector,
market
liquidity,
issuer
and
investment
style
risks,
among
other
factors,
to
varying
degrees,
all
of
which
are
more
fully
described
in
the
fund’s
prospectus.
Recent
market
risks
include
pandemic
risks
related
to
COVID-19.
The
effects
of
COVID-19
have
contributed
to
increased
volatility
in
global
markets
and
will
likely
affect
certain
countries,
companies,
industries
and
market
sectors
more
dramatically
than
others.
To
the
extent
the
fund
may
overweight
its
investments
in
certain
countries,
companies,
industries
or
market
sectors,
such
positions
will
increase
the
fund's
exposure
to
risk
of
loss
from
adverse
developments
affecting
those
countries,
companies,
industries
or
sectors.
5
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
For
the
period
November
1,
2020,
through
October
31,
2021,
as
provided
by
David
France,
CFA,
Todd
Frysinger,
CFA,
Vlasta
Sheremeta,
CFA,
Michael
Stoll,
and
Marlene
Walker
Smith,
Portfolio
Managers
Market
and
Fund
Performance
Overview
For
the
12-month
period
ending
October
31,
2021,
the
BNY
Mellon
US
Mid
Cap
Core
Equity
ETF
produced
a
net
asset
total
return
of
44.87%
.
1
In
comparison,
the
Morningstar
®
US
Mid
Cap
Index
SM
(the
“Index”),
the
fund’s
benchmark,
produced
a
total
return
of
45.36%
for
the
same
period.
2,3
Mid-cap
equities
rose
during
the
reporting
period,
supported
by
government
stimulus
programs,
accommodative
central
bank
policies,
strong
corporate
earnings
and
improving
investor
sentiment
as
vaccines
for
the
COVID-19
pandemic
rolled
out.
The
difference
in
returns
between
the
fund
and
the
Index
resulted
primarily
from
transaction
costs
and
operating
expenses
that
are
not
reflected
in
Index
results.
The
Fund’s
Investment
Approach
The
fund
seeks
to
match
the
performance
of
the
Index.
To
pursue
its
goal,
the
fund
normally
invests
substantially
all
of
its
assets
in
equity
securities
comprising
the
Morningstar
®
US
Mid
Cap
Index
SM
.
The
Index
is
a
float-adjusted,
market
capitalization-weighted
index
designed
to
measure
the
performance
of
U.S.
medium-
capitalization
stocks.
The
Index’s
initial
universe
of
eligible
securities
includes
common
stock,
tracking
stock
and
shares
of
real
estate
investment
trusts
(REITs)
issued
by
U.S.
companies
and
traded
on
the
New
York
Stock
Exchange,
NASDAQ
or
NYSE
Market
LLC.
At
each
reconstitution,
the
initial
universe
is
screened
to
exclude
securities
based
on
the
number
of
non-
trading
days
in
the
preceding
quarter
and
trading
volume
during
the
preceding
six-month
period.
Securities
with
more
than
10
non-trading
days
in
the
preceding
quarter,
or
that
have
a
bottom
25%
liquidity
score
as
ranked
by
the
Index
provider
based
on
the
preceding
six-month
trading
volume,
are
excluded.
The
remaining
securities
comprise
the
investable
universe.
The
Index
is
composed
of
the
securities
of
companies
whose
cumulative
total
market
capitalization
falls
approximately
between
the
bottom
10%-30%
of
the
remaining
securities
comprising
the
investable
universe.
The
Index
rebalances
quarterly
in
March,
June,
September
and
December,
and
reconstitutes
semi-annually
in
June
and
December.
Stocks
Gain
on
Economic
Growth
and
Government
Stimulus
Investor
sentiment
turned
optimistic
in
November
2020
with
the
resolution
in
the
U.S.
presidential
election
and
progress
toward
a
COVID-19
vaccine.
Vaccine
approvals
and
passage
of
the
latest
in
a
series
of
pandemic-related
U.S.
fiscal
stimulus
packages
in
December
helped
to
support
the
stock
market
rally
into
the
new
year.
A
strong
risk-on
rally
ensued,
particularly
in
areas
of
the
market
that
had
been
hard
hit
by
the
pandemic,
such
as
travel
and
leisure
names.
In
2021,
equity
strength
rotated
out
of
technology
and
growth
stocks
benefiting
from
the
pandemic
into
COVID-19-sensitive
sectors
of
the
market,
which
had
previously
lagged,
as
well
as
cyclical
and
value-oriented
areas
of
the
market
on
the
theory
that
these
sectors
were
offering
more
attractive
valuations
and
would
benefit
most
from
economic
reopening.
The
Index
continued
to
gain
ground
despite
increasing
inflationary
pressures,
weakening
consumer
confidence,
disappointing
employment
numbers
and
the
spread
of
the
Delta
variant
of
the
virus.
Stocks
dipped
in
September
as
U.S.
economic
growth
showed
evidence
of
slowing,
and
the
U.S.
Federal
Reserve
(the
“Fed”)
raised
its
inflation
estimates
while
stating
its
intention
to
begin
tapering
its
quantitative
easing
program
in
November.
However,
equities
rebounded
in
October
as
a
majority
of
companies
reported
better-than-expected
earnings.
By
the
end
of
the
period,
the
Index
had
once
more
reached
new
record
territory.
For
the
period
as
a
whole,
mid-cap
stocks
tended
to
outperform
their
large-cap
counterparts.
Energy
and
Financials
Lead
the
Market
Oil
and
gas
prices
soared
during
the
period
in
response
to
increasing
demand
from
economic
reopenings
and
pandemic-
related
supply
bottlenecks.
Most
energy
stocks
benefited,
with
the
sector
leading
the
Index
higher.
Within
financials,
the
next-best
performing
sector,
banking
profitability
was
supported
by
the
steepening
yield
curve,
rising
interest
rates,
high
levels
of
capital
market
trading
and
volatility,
and
increasing
numbers
of
mergers
and
acquisitions.
Information
technology,
the
largest
sector
in
the
Index,
also
outperformed
as
a
wide
range
of
technology-
based
products
and
services
were
increasingly
integrated
into
corporate
and
daily
life.
The
weakest-performing
sectors
in
the
Index
included
utilities
and
consumer
staples.
Utilities
were
hurt
by
rising
energy
costs
that
many
were
unable
to
pass
along
to
consumers
due
to
regulatory
constraints.
Climate
change-related
extreme
weather
events
in
some
areas,
such
as
Texas,
further
undermined
utility
company
profitability.
Consumer
staples
companies
faced
increasing
costs
as
supply-chain
disruptions
and
rising
inflationary
pressures
drove
prices
for
agricultural
products
and
industrial
materials
higher.
Replicating
the
Performance
of
the
Index
In
seeking
to
match
the
performance
of
the
Index,
we
do
not
actively
manage
investments
in
response
to
macroeconomic
trends.
We
note,
however,
that
equity
markets
are
likely
to
face
a
number
of
headwinds
in
the
coming
months,
making
the
exceptionally
strong
returns
of
current
reporting
period
less
likely
to
be
repeated
in
the
near
future.
Increasing
inflationary
pressures,
driven
by
strong
demand
and
supply-chain
disruptions,
have
increased
the
possibility
that
the
Fed
may
soon
taper
its
asset-buying
program
and
eventually
begin
to
raise
interest
rates,
removing
some
support
for
equity
markets
and
signaling
a
phase
of
slower
economic
growth.
Mid-cap
stocks
have
historically
been
more
vulnerable
to
economic
slowdowns
than
larger-cap
issues.
At
the
same
time,
we
see
no
indications
of
an
end
to
6
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
(continued)
the
current
growth
cycle
as
global
economies
continue
to
reopen
in
the
wake
of
the
pandemic,
potentially
setting
the
stage
for
further
market
appreciation.
As
always,
we
continue
to
monitor
factors
that
affect
the
fund’s
investments.
November
15,
2021
1
DUE
TO
RECENT
MARKET
VOLATILITY,
CURRENT
PERFORMANCE
MAY
BE
DIFFERENT
THAN
THE
FIGURES
SHOWN.
Investors
should
note
that
the
fund’s
short-term
performance
is
highly
unusual,
in
part
due
to
unusually
favorable
market
conditions,
and
is
unlikely
to
be
repeated
or
consistently
achieved
in
the
future.
ETFs
trade
like
stocks,
are
subject
to
investment
risk,
including
possible
loss
of
principal.
ETF
shares
are
listed
on
an
exchange,
and
shares
are
generally
purchased
and
sold
in
the
secondary
market
at
market
price.
At
times,
the
market
price
may
be
at
a
premium
or
discount
to
the
ETF’s
per
share
NAV.
In
addition,
ETFs
are
subject
to
the
risk
that
an
active
trading
market
for
an
ETF’s
shares
may
not
develop
or
be
maintained.
Buying
or
selling
ETF
shares
on
an
exchange
may
require
payment
of
brokerage
commissions.
2
Source:
Morningstar,
Inc.
The
Morningstar
®
US
Mid
Cap
Index
SM
is
a
float-adjusted,
market
capitalization-weighted
index
that
is
designed
to
measure
the
performance
of
U.S.
mid-capitalization
stocks.
The
Index’s
initial
universe
of
eligible
securities
includes
common
stock,
tracking
stock
and
shares
of
real
estate
investment
trusts
(REITs)
issued
by
U.S.
companies
and
traded
on
the
New
York
Stock
Exchange,
NASDAQ
or
NYSE
Market
LLC.
At
each
reconstitution,
the
initial
universe
is
screened
to
exclude
securities
based
on
the
number
of
non-trading
days
in
the
preceding
quarter
and
trading
volume
during
the
preceding
six-month
period.
Securities
with
more
than
10
non-trading
days
in
the
preceding
quarter,
or
that
have
a
bottom
25%
liquidity
score
as
ranked
by
the
index
provider
based
on
the
preceding
six-month
trading
volume,
are
excluded.
The
remaining
securities
comprise
the
investable
universe.
The
index
is
composed
of
the
securities
of
companies
whose
cumulative
total
market
capitalization
falls
approximately
between
the
bottom
10%-30%
of
the
remaining
securities
comprising
the
investable
universe.
Investors
cannot
invest
directly
in
any
index.
3
Morningstar
®
is
a
service
mark
of
Morningstar,
Inc.
and
has
been
licensed
for
use
for
certain
purposes
by
the
Adviser.
The
fund
is
not
sponsored,
endorsed,
sold
or
promoted
by
Morningstar,
and
Morningstar
makes
no
representation
regarding
the
advisability
of
investing
in
the
fund.
Equities
are
subject
generally
to
market,
market
sector,
market
liquidity,
issuer
and
investment
style
risks,
among
other
factors,
to
varying
degrees,
all
of
which
are
more
fully
described
in
the
fund’s
prospectus.
Recent
market
risks
include
pandemic
risks
related
to
COVID-19.
The
effects
of
COVID-19
have
contributed
to
increased
volatility
in
global
markets
and
will
likely
affect
certain
countries,
companies,
industries
and
market
sectors
more
dramatically
than
others.
To
the
extent
the
fund
may
overweight
its
investments
in
certain
countries,
companies,
industries
or
market
sectors,
such
positions
will
increase
the
fund's
exposure
to
risk
of
loss
from
adverse
developments
affecting
those
countries,
companies,
industries
or
sectors.
The
prices
of
mid-cap
company
stocks
tend
to
be
more
volatile
than
the
prices
of
large
company
stocks,
mainly
because
these
companies
have
less
established
and
more
volatile
earnings
histories.
They
also
tend
to
be
less
liquid
than
larger
company
stocks.
7
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
For
the
period
November
1,
2020,
through
October
31,
2021,
as
provided
by
David
France,
CFA,
Todd
Frysinger,
CFA,
Vlasta
Sheremeta,
CFA,
Michael
Stoll,
and
Marlene
Walker
Smith,
Portfolio
Managers
Market
and
Fund
Performance
Overview
For
the
12-month
period
ending
October
31,
2021,
the
BNY
Mellon
US
Small
Cap
Core
Equity
ETF
produced
a
net
asset
total
return
of
47.08%.
1
In
comparison,
the
Morningstar
®
US
Small
Cap
Index
SM
(the
“Index”),
the
fund’s
benchmark,
produced
a
47.51%
total
return
for
the
same
period.
2,3
Small-cap
equities
rose
during
the
reporting
period,
supported
by
government
stimulus
programs,
accommodative
central
bank
policies,
strong
corporate
earnings
and
improving
investor
sentiment
as
vaccines
for
the
COVID-19
pandemic
rolled
out.
The
difference
in
returns
between
the
fund
and
the
Index
resulted
primarily
from
transaction
costs
and
operating
expenses
that
are
not
reflected
in
Index
results.
The
Fund’s
Investment
Approach
The
fund
seeks
to
match
the
performance
of
the
Index.
To
pursue
its
goal,
the
fund
normally
invests
substantially
all
of
its
assets
in
equity
securities
comprising
the
Morningstar®
US
Small
Cap
Index
SM
.
The
Index
is
a
float-adjusted,
market
capitalization-weighted
index
designed
to
measure
the
performance
of
U.S.
small-
capitalization
stocks.
The
index’s
initial
universe
of
eligible
securities
includes
common
stock,
tracking
stock
and
shares
of
real
estate
investment
trusts
(REITs)
issued
by
U.S.
companies
and
traded
on
the
New
York
Stock
Exchange,
NASDAQ
or
NYSE
Market
LLC.
At
each
reconstitution,
the
initial
universe
is
screened
to
exclude
securities
based
on
the
number
of
non-
trading
days
in
the
preceding
quarter
and
trading
volume
during
the
preceding
six-month
period.
Securities
with
more
than
10
non-trading
days
in
the
preceding
quarter,
or
that
have
a
bottom
25%
liquidity
score
as
ranked
by
the
Index
provider
based
on
the
preceding
six-month
trading
volume,
are
excluded.
The
remaining
securities
comprise
the
investable
universe.
The
Index
is
composed
of
the
securities
of
companies
whose
cumulative
total
market
capitalization
represents
approximately
the
bottom
3%-10%
of
the
remaining
securities
comprising
the
investable
universe.
The
Index
rebalances
quarterly
in
March,
June,
September
and
December,
and
reconstitutes
semi-annually
in
June
and
December.
Stocks
Gain
on
Economic
Growth
and
Government
Stimulus
Investor
sentiment
turned
optimistic
in
November
2020
with
the
resolution
in
the
U.S.
presidential
election
and
progress
toward
a
COVID-19
vaccine.
Vaccine
approvals
and
passage
of
the
latest
in
a
series
of
pandemic-related
U.S.
fiscal
stimulus
packages
in
December
helped
to
support
the
stock
market
rally
into
the
new
year.
A
strong
risk-on
rally
ensued,
particularly
in
areas
of
the
market
that
had
been
hard
hit
by
the
pandemic,
such
as
travel
and
leisure
names.
In
2021,
equity
strength
rotated
out
of
technology
and
growth
stocks
benefiting
from
the
pandemic
into
COVID-
19-sensitive
sectors
of
the
market,
which
had
previously
lagged,
as
well
as
cyclical
and
value-oriented
areas
of
the
market
on
the
theory
that
these
sectors
were
offering
more
attractive
valuations
and
would
benefit
most
from
economic
reopening.
Buoyed
by
risk-on
sentiment,
small-cap
stocks
strongly
outperformed
larger-capitalization
groups
from
the
beginning
of
the
period
through
mid-March
2021.
The
Index
continued
to
gain
modest
ground
until
summer,
when
increasing
inflationary
pressures,
weakening
consumer
confidence,
disappointing
employment
numbers,
and
the
spread
of
the
Delta
variant
of
the
virus
began
to
take
a
toll.
From
mid-June
through
August,
the
Index
trended
lower
even
as
mid-
and
large-cap
indices
continued
to
climb.
Stocks
dipped
broadly
in
September
as
U.S.
economic
growth
showed
evidence
of
slowing,
and
the
U.S.
Federal
Reserve
(the
“Fed”)
raised
its
inflation
estimates
while
stating
its
intention
to
begin
tapering
its
quantitative
easing
program
in
November.
However,
equity
markets
rebounded
in
October
with
small-cap
stocks
once
again
outperforming
as
better-than-expected
earnings
reports
bolstered
investor
sentiment.
By
the
end
of
the
reporting
period,
the
Index
had
once
more
reached
new
record
territory,
outperforming
comparable
mid-
and
large-cap
indices
for
the
period
as
a
whole.
Energy
and
Financials
Lead
the
Market
Oil
and
gas
prices
soared
during
the
period
in
response
to
increasing
demand
from
economic
reopenings
and
pandemic-
related
supply
bottlenecks.
Most
energy
stocks
benefited,
with
the
sector
leading
the
Index
higher.
Within
financials,
the
next-
best
performing
sector,
banking
profitability
was
supported
by
the
steepening
yield
curve,
rising
interest
rates,
high
levels
of
capital
market
trading
and
volatility,
and
increasing
numbers
of
mergers
and
acquisitions.
Information
technology
and
industrials
also
outperformed,
supported
by
broad
economic
growth.
The
weakest-performing
sectors
in
the
Index
included
utilities
and
consumer
staples.
Utilities
were
hurt
by
rising
energy
costs
that
many
were
unable
to
pass
along
to
consumers
due
to
regulatory
constraints.
Climate
change-related
extreme
weather
events
in
some
areas,
such
as
Texas,
further
undermined
utility
company
profitability.
Consumer
staples
companies
faced
increasing
costs
as
supply
chain
disruptions
and
rising
inflationary
pressures
drove
prices
for
agricultural
products
and
industrial
materials
higher.
Replicating
the
Performance
of
the
Index
In
seeking
to
match
the
performance
of
the
Index,
we
do
not
actively
manage
investments
in
response
to
macroeconomic
trends.
We
note,
however,
that
equity
markets
are
likely
to
face
a
number
of
headwinds
in
the
coming
months,
making
the
exceptionally
strong
returns
of
the
current
reporting
period
less
likely
to
be
repeated
in
the
near
future.
Increasing
inflationary
pressures,
driven
by
strong
demand
and
supply-chain
disruptions,
have
increased
the
possibility
that
the
Fed
may
soon
taper
its
asset-buying
program
and
eventually
begin
to
raise
interest
rates,
removing
some
support
for
equity
markets
and
signaling
a
phase
8
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
(continued)
of
slower
economic
growth.
Small-cap
stocks
have
historically
been
more
vulnerable
to
economic
slowdowns
than
larger-cap
issues.
At
the
same
time,
we
see
no
indications
of
an
end
to
the
current
growth
cycle
as
global
economies
continue
to
reopen
in
the
wake
of
the
pandemic,
potentially
setting
the
stage
for
further
market
appreciation.
As
always,
we
continue
to
monitor
factors
that
affect
the
fund’s
investments.
November
15,
2021
1
DUE
TO
RECENT
MARKET
VOLATILITY,
CURRENT
PERFORMANCE
MAY
BE
DIFFERENT
THAN
THE
FIGURES
SHOWN.
Investors
should
note
that
the
fund’s
short-term
performance
is
highly
unusual,
in
part
due
to
unusually
favorable
market
conditions,
and
is
unlikely
to
be
repeated
or
consistently
achieved
in
the
future.
ETFs
trade
like
stocks,
are
subject
to
investment
risk,
including
possible
loss
of
principal.
ETF
shares
are
listed
on
an
exchange,
and
shares
are
generally
purchased
and
sold
in
the
secondary
market
at
market
price.
At
times,
the
market
price
may
be
at
a
premium
or
discount
to
the
ETF’s
per
share
NAV.
In
addition,
ETFs
are
subject
to
the
risk
that
an
active
trading
market
for
an
ETF’s
shares
may
not
develop
or
be
maintained.
Buying
or
selling
ETF
shares
on
an
exchange
may
require
payment
of
brokerage
commissions.
2
Source:
Morningstar,
Inc.
The
Morningstar®
US
Small
Cap
Index
SM
is
a
float-
adjusted,
market
capitalization-weighted
index
that
is
designed
to
measure
the
performance
of
U.S.
small-capitalization
stocks.
The
Index’s
initial
universe
of
eligible
securities
includes
common
stock,
tracking
stock
and
shares
of
real
estate
investment
trusts
(REITs)
issued
by
U.S.
companies
and
traded
on
the
New
York
Stock
Exchange,
NASDAQ
or
NYSE
Market
LLC.
At
each
reconstitution,
the
initial
universe
is
screened
to
exclude
securities
based
on
the
number
of
non-trading
days
in
the
preceding
quarter
and
trading
volume
during
the
preceding
six-month
period.
Securities
with
more
than
10
non-trading
days
in
the
preceding
quarter,
or
that
have
a
bottom
25%
liquidity
score
as
ranked
by
the
index
provider
based
on
the
preceding
six-month
trading
volume,
are
excluded.
The
remaining
securities
comprise
the
investable
universe.
The
Index
is
composed
of
the
securities
of
companies
whose
cumulative
total
market
capitalization
represents
approximately
the
bottom
3%-10%
of
the
remaining
securities
comprising
the
investable
universe.
Investors
cannot
invest
directly
in
any
index.
3
Morningstar®
is
a
service
mark
of
Morningstar,
Inc.
and
has
been
licensed
for
use
for
certain
purposes
by
the
Adviser.
The
fund
is
not
sponsored,
endorsed,
sold
or
promoted
by
Morningstar,
and
Morningstar
makes
no
representation
regarding
the
advisability
of
investing
in
the
fund.
Equities
are
subject
generally
to
market,
market
sector,
market
liquidity,
issuer
and
investment
style
risks,
among
other
factors,
to
varying
degrees,
all
of
which
are
more
fully
described
in
the
fund’s
prospectus.
Recent
market
risks
include
pandemic
risks
related
to
COVID-19.
The
effects
of
COVID-19
have
contributed
to
increased
volatility
in
global
markets
and
will
likely
affect
certain
countries,
companies,
industries
and
market
sectors
more
dramatically
than
others.
To
the
extent
the
fund
may
overweight
its
investments
in
certain
countries,
companies,
industries
or
market
sectors,
such
positions
will
increase
the
fund's
exposure
to
risk
of
loss
from
adverse
developments
affecting
those
countries,
companies,
industries
or
sectors.
The
prices
of
small
company
stocks
tend
to
be
more
volatile
than
the
prices
of
large
company
stocks,
mainly
because
these
companies
have
less
established
and
more
volatile
earnings
histories.
They
also
tend
to
be
less
liquid
than
larger
company
stocks.
9
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
For
the
period
November
1,
2020,
October
31,
2021,
as
provided
by
David
France,
CFA,
Todd
Frysinger,
CFA,
Vlasta
Sheremeta,
CFA,
Michael
Stoll,
and
Marlene
Walker
Smith,
Portfolio
Managers
Market
and
Fund
Performance
Overview
For
the
12-month
period
ending
October
31,
2021,
the
BNY
Mellon
International
Equity
ETF
produced
a
net
asset
total
return
of
36.10
%.
1
This
compares
with
a
36.05%
total
return
for
the
fund’s
benchmark,
the
Morningstar
®
Developed
Markets
ex-
US
Large
Cap
Index
SM
(the
“Index”),
during
the
same
period.
2,3
International
equities
rose
during
the
reporting
period,
supported
by
accommodative
central
bank
policies,
strong
corporate
earnings
and
improving
investor
sentiment
as
vaccines
for
the
COVID-19
pandemic
rolled
out.
The
difference
in
returns
between
the
fund
and
the
Index
resulted
primarily
from
transaction
costs
and
operating
expenses
that
are
not
reflected
in
Index
results.
The
Fund’s
Investment
Approach
The
fund
seeks
to
track
the
performance
of
the
Index.
To
pursue
its
goal,
the
fund
normally
invests
substantially
all
of
its
assets
in
equity
securities
comprising
the
Morningstar
®
Developed
Markets
ex-US
Large
Cap
Index
SM
,
depositary
receipts
based
on
securities
comprising
the
Index,
exchange-traded
funds
(ETFs)
providing
exposure
to
such
securities,
and
derivatives
with
economic
characteristics
similar
to
such
securities
or
the
Index.
The
fund’s
derivatives
investments
may
include
futures,
currency
forwards,
total
return
swaps
and
structured
notes.
The
Index
is
a
float-adjusted,
market
capitalization-weighted
index
designed
to
measure
the
performance
of
developed
market
(excluding
the
United
States)
large-capitalization
stocks.
The
Index’s
initial
universe
of
eligible
securities
includes
equity
securities
(including
common
stock,
preferred
stock
and
shares
of
real
estate
investment
trusts
(REITs)),
issued
by
developed
market
companies
(excluding
the
United
States)
and
traded
on
a
major
foreign
exchange.
At
each
reconstitution,
the
initial
universe
is
screened
to
exclude
securities
based
on
the
number
of
non-trading
days,
trading
volume
and
turnover
during
the
preceding
six-month
period,
and
market
capitalization.
The
Index
rebalances
quarterly
in
March,
June,
September
and
December,
and
reconstitutes
semi-annually
in
June
and
December.
Stocks
Gain
on
Economic
Growth
and
Monetary
Policies
Investor
sentiment
turned
optimistic
in
November
2020
with
the
resolution
in
the
U.S.
presidential
election
and
progress
toward
a
COVID-19
vaccine.
Vaccine
approvals
and
passage
of
the
latest
in
a
series
of
pandemic-related
U.S.
fiscal
stimulus
packages
in
December
helped
to
support
the
stock
market
rally
into
the
new
year,
as
did
continuing
accommodative
monetary
policies
from
most
central
banks.
A
strong
risk-on
rally
ensued,
particularly
in
areas
of
the
market
that
had
been
hard
hit
by
the
pandemic,
such
as
travel
and
leisure
names.
In
2021,
equity
strength
rotated
out
of
technology
and
growth
stocks
benefiting
from
the
pandemic
into
COVID-19-sensitive
sectors
of
the
market,
which
had
previously
lagged,
as
well
as
cyclical
and
value-oriented
areas
of
the
market
on
the
theory
that
these
sectors
were
offering
more
attractive
valuations
and
would
benefit
most
from
economic
reopening.
The
Index
continued
to
gain
ground
through
mid-June
despite
increasing
inflationary
pressures
and
the
spread
of
the
Delta
variant
of
the
virus.
However,
waning
risk-on
sentiment
began
to
take
its
toll,
forcing
international
equity
markets
to
trade
sideways
through
the
end
of
the
reporting
period
even
as
U.S.
equities
continued
to
advance.
As
a
result,
the
Index
lagged
comparable
U.S.
indices
for
the
period
as
a
whole.
Western
Europe
Outperforms
From
a
regional
perspective,
Western
European
stocks
generally
outperformed
those
of
most
Asian
nations.
Throughout
the
period,
the
European
Union
and
the
UK
steadily
ramped
up
COVID-19
vaccination
rates,
making
the
region
less
susceptible
to
later
waves
of
infection
and
allowing
for
greater
levels
of
economic
reopening.
At
the
same
time,
the
region’s
central
banks
maintained
accommodative
monetary
policies
that
supported
equity
markets
gains.
Strong
corporate
financial
reports
further
bolstered
returns.
The
commodity-rich
Canadian
market
also
outperformed
due
to
rising
prices
for
many
of
country’s
exports,
including
oil,
natural
gas
and
lumber.
Conversely,
developed
Asian
markets
generally
underperformed
the
broader
Index,
although
they
produced
positive
absolute
returns.
Japanese
equities
languished
due
to
the
long-standing
structural
problems
of
the
country’s
aging
population
and
the
economy’s
anemic
growth
rate.
Hong
Kong
shares
suffered
from
the
country’s
political
and
economic
links
to
China,
which
experienced
slowing
economic
growth
and
upheaval
in
its
real
estate
sector.
From
a
sector
perspective,
energy,
financials
and
information
technology
led
the
international
equity
market’s
gains.
Energy
stocks
rose
as
oil
and
gas
prices
soared
in
response
to
increasing
demand
from
economic
reopenings
and
pandemic-
related
supply
bottlenecks.
Financial
stocks
benefited
from
the
steepening
yield
curve,
rising
interest
rates,
high
levels
of
capital
market
trading
and
volatility,
and
increasing
numbers
of
mergers
and
acquisitions.
Information
technology
shares
gained
as
a
wide
range
of
technology-based
products
and
services
were
increasingly
integrated
into
corporate
and
daily
life.
The
weakest-
performing
sectors
included
consumer
staples,
where
input
prices
for
agricultural
products
and
industrial
materials
rose
in
response
to
supply-chain
disruptions
and
increasing
inflationary
pressures,
and
utilities,
where
company
profits
were
hurt
by
rising
energy
costs.
Replicating
the
Performance
of
the
Index
In
seeking
to
match
the
performance
of
the
Index,
we
do
not
actively
manage
investments
in
response
to
macroeconomic
trends.
We
note,
however,
that
international
equity
markets
are
likely
to
face
a
number
of
headwinds
in
the
coming
months,
making
the
exceptionally
strong
returns
of
the
current
reporting
10
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
(continued)
period
less
likely
to
be
repeated
in
the
near
future.
Increasing
inflationary
pressures
and
the
possibility
that
central
banks
may
reverse
accommodative
policies
could
remove
some
support
for
equity
markets
and
signal
a
phase
of
slower
economic
growth.
On
the
other
hand,
we
believe
Europe
is
further
from
raising
rates
than
the
U.S.
Federal
Reserve,
while
recent
political
changes
in
Japan
offer
hope
for
improvements
in
investor
sentiment.
More
generally,
we
see
no
indications
of
an
end
to
the
current
growth
cycle
as
global
economies
<