AXS Astoria Inflation Sensitive ETF
(PPI)
AXS Change Finance ESG ETF
(CHGX)
AXS First Priority CLO Bond ETF
(AAA)
AXS Green Alpha ETF
(NXTE)
AXS Brendan Wood TopGun Index ETF
(TGN)
AXS Esoterica NextG Economy ETF
(WUGI)
SEMI-ANNUAL REPORT
SEPTEMBER 30, 2023
AXS ETFs
Each a series of Investment Managers Series Trust II
Table of Contents
Schedule of Investments | 1 |
Statements of Assets and Liabilities | 23 |
Statements of Operations | 25 |
Statements of Changes in Net Assets | 31 |
Statement of Cash Flows | 37 |
Financial Highlights | 38 |
Notes to Financial Statements | 44 |
Supplemental Information | 61 |
Expense Examples | 63 |
This report and the financial statements contained herein are provided for the general information of the shareholders of the AXS ETFs. This report is not authorized for distribution to prospective investors in the ETFs unless preceded or accompanied by an effective prospectus.
www.axsinvestments.com
AXS Astoria Inflation Sensitive ETF
SCHEDULE OF INVESTMENTS
As of September 30, 2023 (Unaudited)
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — 76.7% | ||||||||
AEROSPACE/DEFENSE — 5.8% | ||||||||
10,755 | Airbus S.E. | $ | 1,445,903 | |||||
7,335 | Rheinmetall A.G. | 1,894,111 | ||||||
3,340,014 | ||||||||
BUILDING MATERIALS — 3.0% | ||||||||
13,995 | Builders FirstSource, Inc.* | 1,742,238 | ||||||
CHEMICALS — 4.2% | ||||||||
21,092 | Nutrien Ltd. | 1,308,577 | ||||||
22,712 | Olin Corp. | 1,135,146 | ||||||
2,443,723 | ||||||||
COMMERCIAL SERVICES — 2.4% | ||||||||
3,138 | United Rentals, Inc. | 1,395,061 | ||||||
DISTRIBUTION/WHOLESALE — 4.6% | ||||||||
58,453 | Sumitomo Corp. | 1,168,864 | ||||||
2,158 | W.W. Grainger, Inc. | 1,492,991 | ||||||
2,661,855 | ||||||||
ELECTRONICS — 2.2% | ||||||||
35,932 | ABB Ltd. | 1,288,336 | ||||||
HAND/MACHINE TOOLS — 2.3% | ||||||||
7,480 | Lincoln Electric Holdings, Inc. | 1,359,789 | ||||||
IRON/STEEL — 8.6% | ||||||||
68,154 | Fortescue Metals Group Ltd. | 920,199 | ||||||
9,268 | Nucor Corp. | 1,449,052 | ||||||
3,702 | Reliance Steel & Aluminum Co. | 970,776 | ||||||
15,386 | Steel Dynamics, Inc. | 1,649,687 | ||||||
4,989,714 | ||||||||
MACHINERY-DIVERSIFIED — 1.7% | ||||||||
8,167 | AGCO Corp. | 965,993 | ||||||
MINING — 8.5% | ||||||||
51,274 | BHP Group Ltd. | 1,464,331 | ||||||
616,624 | Pilbara Minerals Ltd. | 1,711,267 | ||||||
27,648 | Rio Tinto PLC | 1,746,006 | ||||||
4,921,604 | ||||||||
OIL & GAS — 28.3% | ||||||||
30,845 | Canadian Natural Resources Ltd. | 2,004,013 | ||||||
9,357 | Chevron Corp. | 1,577,777 |
1
AXS Astoria Inflation Sensitive ETF
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2023 (Unaudited)
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
OIL & GAS (Continued) | ||||||||
34,849 | Devon Energy Corp. | $ | 1,662,297 | |||||
15,124 | EOG Resources, Inc. | 1,917,118 | ||||||
131,269 | Inpex Corp. | 1,984,539 | ||||||
29,308 | Ovintiv, Inc. | 1,394,182 | ||||||
51,605 | Suncor Energy, Inc. | 1,782,892 | ||||||
30,738 | Tourmaline Oil Corp. | 1,553,951 | ||||||
10,847 | Valero Energy Corp. | 1,537,128 | ||||||
40,385 | Woodside Energy Group Ltd. | 951,093 | ||||||
16,364,990 | ||||||||
PACKAGING & CONTAINERS — 2.1% | ||||||||
53,261 | Graphic Packaging Holding Co. | 1,186,655 | ||||||
SEMICONDUCTORS — 3.0% | ||||||||
9,387 | Disco Corp. | 1,734,920 | ||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $41,919,873) | 44,394,892 | |||||||
EXCHANGE-TRADED FUNDS — 22.4% | ||||||||
20,294 | Aberdeen Standard Physical Precious Metals Basket Shares ETF* | 1,707,838 | ||||||
22,785 | iShares 0-5 Year TIPS Bond ETF | 2,208,322 | ||||||
28,826 | Schwab U.S. TIPS ETF | 1,455,425 | ||||||
71,055 | SPDR Gold MiniShares Trust* | 2,604,876 | ||||||
46,701 | Vanguard Short-Term Inflation-Protected Securities ETF | 2,208,023 | ||||||
152,464 | WisdomTree Enhanced Commodity Strategy Fund | 2,747,401 | ||||||
TOTAL EXCHANGE-TRADED FUNDS | ||||||||
(Cost $13,308,761) | 12,931,885 | |||||||
TOTAL INVESTMENTS — 99.1% | ||||||||
(Cost $55,228,634) | 57,326,777 | |||||||
Other Assets in Excess of Liabilities — 0.9% | 533,292 | |||||||
TOTAL NET ASSETS — 100.0% | $ | 57,860,069 |
PLC – Public Limited Company
ETF – Exchange-Traded Fund
* | Non-income producing security. |
See accompanying Notes to Financial Statements.
2
AXS Astoria Inflation Sensitive ETF
SUMMARY OF INVESTMENTS
As of September 30, 2023 (Unaudited)
Percent of Total | ||||
Security Type | Net Assets | |||
Common Stocks | ||||
Oil & Gas | 28.3 | % | ||
Iron/Steel | 8.6 | % | ||
Mining | 8.5 | % | ||
Aerospace/Defense | 5.8 | % | ||
Distribution/Wholesale | 4.6 | % | ||
Chemicals | 4.2 | % | ||
Building Materials | 3.0 | % | ||
Semiconductors | 3.0 | % | ||
Commercial Services | 2.4 | % | ||
Hand/Machine Tools | 2.3 | % | ||
Electronics | 2.2 | % | ||
Packaging & Containers | 2.1 | % | ||
Machinery-Diversified | 1.7 | % | ||
Total Common Stocks | 76.7 | % | ||
Exchange-Traded Funds | 22.4 | % | ||
Total Investments | 99.1 | % | ||
Other Assets in Excess of Liabilities | 0.9 | % | ||
Total Net Assets | 100.0 | % |
See accompanying Notes to Financial Statements.
3
AXS Change Finance ESG ETF
SCHEDULE OF INVESTMENTS
As of September 30, 2023 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 99.8% | ||||||||
APPAREL — 1.0% | ||||||||
12,250 | NIKE, Inc. - Class B | $ | 1,171,345 | |||||
BIOTECHNOLOGY — 1.1% | ||||||||
4,860 | Amgen, Inc. | 1,306,174 | ||||||
BUILDING MATERIALS — 2.0% | ||||||||
21,687 | Carrier Global Corp. | 1,197,123 | ||||||
5,709 | Vulcan Materials Co. | 1,153,332 | ||||||
2,350,455 | ||||||||
CHEMICALS — 1.9% | ||||||||
6,779 | Ecolab, Inc. | 1,148,363 | ||||||
8,789 | PPG Industries, Inc. | 1,140,812 | ||||||
2,289,175 | ||||||||
COMMERCIAL SERVICES — 5.9% | ||||||||
4,894 | Automatic Data Processing, Inc. | 1,177,398 | ||||||
6,028 | Equifax, Inc. | 1,104,209 | ||||||
4,585 | FleetCor Technologies, Inc.* | 1,170,734 | ||||||
3,699 | Moody's Corp. | 1,169,513 | ||||||
19,931 | PayPal Holdings, Inc.* | 1,165,166 | ||||||
3,187 | S&P Global, Inc. | 1,164,562 | ||||||
6,951,582 | ||||||||
COMPUTERS — 6.1% | ||||||||
3,849 | Accenture PLC - Class A1 | 1,182,066 | ||||||
6,632 | Apple, Inc. | 1,135,465 | ||||||
17,398 | Cognizant Technology Solutions Corp. - Class A | 1,178,541 | ||||||
7,642 | Crowdstrike Holdings, Inc. - Class A* | 1,279,118 | ||||||
20,692 | Fortinet, Inc.* | 1,214,207 | ||||||
8,485 | International Business Machines Corp. | 1,190,445 | ||||||
7,179,842 | ||||||||
COSMETICS/PERSONAL CARE — 1.0% | ||||||||
7,762 | Estee Lauder Cos., Inc. - Class A | 1,121,997 | ||||||
DISTRIBUTION/WHOLESALE — 2.0% | ||||||||
21,638 | Fastenal Co. | 1,182,300 | ||||||
1,745 | W.W. Grainger, Inc. | 1,207,261 | ||||||
2,389,561 | ||||||||
DIVERSIFIED FINANCIAL SERVICES — 9.1% | ||||||||
7,886 | American Express Co. | 1,176,512 | ||||||
3,690 | Ameriprise Financial, Inc. | 1,216,519 | ||||||
14,265 | Apollo Global Management, Inc. | 1,280,427 |
4
AXS Change Finance ESG ETF
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2023 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
DIVERSIFIED FINANCIAL SERVICES (Continued) | ||||||||
1,778 | BlackRock, Inc. | $ | 1,149,459 | |||||
21,064 | Charles Schwab Corp. | 1,156,414 | ||||||
6,146 | CME Group, Inc. | 1,230,552 | ||||||
10,560 | Intercontinental Exchange, Inc. | 1,161,811 | ||||||
3,019 | Mastercard, Inc. - Class A | 1,195,252 | ||||||
5,071 | Visa, Inc. - Class A | 1,166,381 | ||||||
10,733,327 | ||||||||
ELECTRIC — 1.0% | ||||||||
16,407 | Ormat Technologies, Inc. | 1,147,177 | ||||||
ENERGY-ALTERNATE SOURCES — 0.8% | ||||||||
79,714 | Sunrun, Inc.* | 1,001,208 | ||||||
FOOD — 2.0% | ||||||||
41,698 | Conagra Brands, Inc. | 1,143,359 | ||||||
17,888 | Sysco Corp. | 1,181,502 | ||||||
2,324,861 | ||||||||
HAND/MACHINE TOOLS — 0.9% | ||||||||
13,201 | Stanley Black & Decker, Inc. | 1,103,340 | ||||||
HEALTHCARE-PRODUCTS — 4.0% | ||||||||
12,107 | Abbott Laboratories | 1,172,563 | ||||||
15,287 | Medtronic PLC1 | 1,197,889 | ||||||
4,394 | Stryker Corp. | 1,200,749 | ||||||
2,237 | Thermo Fisher Scientific, Inc. | 1,132,302 | ||||||
4,703,503 | ||||||||
HEALTHCARE-SERVICES — 1.1% | ||||||||
2,614 | UnitedHealth Group, Inc. | 1,317,953 | ||||||
HOME BUILDERS — 1.9% | ||||||||
10,461 | Lennar Corp. - Class A | 1,174,038 | ||||||
15,183 | PulteGroup, Inc. | 1,124,301 | ||||||
2,298,339 | ||||||||
HOUSEHOLD PRODUCTS/WARES — 2.0% | ||||||||
12,874 | Church & Dwight Co., Inc. | 1,179,645 | ||||||
9,672 | Kimberly-Clark Corp. | 1,168,861 | ||||||
2,348,506 | ||||||||
INSURANCE — 3.1% | ||||||||
21,290 | American International Group, Inc. | 1,290,174 | ||||||
3,737 | Aon PLC - Class A1 | 1,211,610 |
5
AXS Change Finance ESG ETF
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2023 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
INSURANCE (Continued) | ||||||||
6,389 | Marsh & McLennan Cos., Inc. | $ | 1,215,827 | |||||
3,717,611 | ||||||||
INTERNET — 4.0% | ||||||||
9,149 | Alphabet, Inc. - Class A* | 1,197,238 | ||||||
9,070 | Alphabet, Inc. - Class C* | 1,195,880 | ||||||
2,873 | Netflix, Inc.* | 1,084,845 | ||||||
5,121 | Palo Alto Networks, Inc.* | 1,200,567 | ||||||
4,678,530 | ||||||||
MACHINERY-DIVERSIFIED — 1.9% | ||||||||
3,031 | Deere & Co. | 1,143,839 | ||||||
3,993 | Rockwell Automation, Inc. | 1,141,479 | ||||||
2,285,318 | ||||||||
MEDIA — 2.0% | ||||||||
26,646 | Comcast Corp. - Class A | 1,181,484 | ||||||
14,889 | Walt Disney Co.* | 1,206,753 | ||||||
2,388,237 | ||||||||
PHARMACEUTICALS — 10.4% | ||||||||
8,477 | AbbVie, Inc. | 1,263,582 | ||||||
20,210 | Bristol-Myers Squibb Co. | 1,172,988 | ||||||
14,266 | Cardinal Health, Inc. | 1,238,574 | ||||||
7,079 | Cencora, Inc. | 1,274,008 | ||||||
4,510 | Cigna Group | 1,290,176 | ||||||
2,248 | Eli Lilly & Co. | 1,207,468 | ||||||
7,706 | Johnson & Johnson | 1,200,209 | ||||||
3,021 | McKesson Corp. | 1,313,682 | ||||||
11,432 | Merck & Co., Inc. | 1,176,924 | ||||||
35,216 | Pfizer, Inc. | 1,168,115 | ||||||
12,305,726 | ||||||||
REITS — 1.9% | ||||||||
1,594 | Equinix, Inc. | 1,157,658 | ||||||
10,031 | Prologis, Inc. | 1,125,579 | ||||||
2,283,237 | ||||||||
RETAIL — 5.0% | ||||||||
492 | AutoZone, Inc.* | 1,249,675 | ||||||
8,105 | Genuine Parts Co. | 1,170,200 | ||||||
1,325 | O'Reilly Automotive, Inc.* | 1,204,239 | ||||||
10,229 | Ross Stores, Inc. | 1,155,366 | ||||||
13,472 | TJX Cos., Inc. | 1,197,391 | ||||||
5,976,871 |
6
AXS Change Finance ESG ETF
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2023 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
SEMICONDUCTORS — 11.9% | ||||||||
11,786 | Advanced Micro Devices, Inc.* | $ | 1,211,836 | |||||
6,853 | Analog Devices, Inc. | 1,199,892 | ||||||
1,351 | Broadcom, Inc. | 1,122,114 | ||||||
35,455 | Intel Corp. | 1,260,425 | ||||||
2,483 | KLA Corp. | 1,138,853 | ||||||
21,389 | Marvell Technology, Inc. | 1,157,787 | ||||||
15,224 | Microchip Technology, Inc. | 1,188,233 | ||||||
17,813 | Micron Technology, Inc. | 1,211,818 | ||||||
2,525 | NVIDIA Corp. | 1,098,350 | ||||||
12,655 | ON Semiconductor Corp.* | 1,176,282 | ||||||
10,878 | QUALCOMM, Inc. | 1,208,111 | ||||||
7,414 | Texas Instruments, Inc. | 1,178,900 | ||||||
14,152,601 | ||||||||
SOFTWARE — 12.9% | ||||||||
2,228 | Adobe, Inc.* | 1,136,057 | ||||||
5,614 | Autodesk, Inc.* | 1,161,593 | ||||||
5,182 | Cadence Design Systems, Inc.* | 1,214,143 | ||||||
2,299 | Intuit, Inc. | 1,174,651 | ||||||
3,801 | Microsoft Corp. | 1,200,166 | ||||||
2,292 | MSCI, Inc. | 1,175,979 | ||||||
10,349 | Oracle Corp. | 1,096,166 | ||||||
10,193 | Paychex, Inc. | 1,175,559 | ||||||
5,626 | Salesforce, Inc.* | 1,140,840 | ||||||
2,115 | ServiceNow, Inc.* | 1,182,200 | ||||||
2,714 | Synopsys, Inc.* | 1,245,644 | ||||||
7,381 | VMware, Inc. - Class A* | 1,228,789 | ||||||
5,095 | Workday, Inc. - Class A* | 1,094,661 | ||||||
15,226,448 | ||||||||
TELECOMMUNICATIONS — 2.0% | ||||||||
6,382 | Arista Networks, Inc.* | 1,173,841 | ||||||
21,725 | Cisco Systems, Inc. | 1,167,936 | ||||||
2,341,777 |
7
AXS Change Finance ESG ETF
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2023 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
WATER — 0.9% | ||||||||
8,980 | American Water Works Co., Inc. | $ | 1,111,993 | |||||
TOTAL COMMON STOCKS | ||||||||
(Cost $116,072,990) | 118,206,694 | |||||||
TOTAL INVESTMENTS — 99.8% | ||||||||
(Cost $116,072,990) | 118,206,694 | |||||||
Other Assets in Excess of Liabilities — 0.2% | 258,382 | |||||||
TOTAL NET ASSETS — 100.0% | $ | 118,465,076 |
PLC – Public Limited Company
* | Non-income producing security. |
1 | Foreign security denominated in U.S. Dollars. |
See accompanying Notes to Financial Statements.
8
AXS Change Finance ESG ETF
SUMMARY OF INVESTMENTS
As of September 30, 2023 (Unaudited)
Security Type/Industry | Percent of Total Net Assets | |||
Common Stocks | ||||
Software | 12.9 | % | ||
Semiconductors | 11.9 | % | ||
Pharmaceuticals | 10.4 | % | ||
Diversified Financial Services | 9.1 | % | ||
Computers | 6.1 | % | ||
Commercial Services | 5.9 | % | ||
Retail | 5.0 | % | ||
Internet | 4.0 | % | ||
Healthcare-Products | 4.0 | % | ||
Insurance | 3.1 | % | ||
Household Products/Wares | 2.0 | % | ||
Telecommunications | 2.0 | % | ||
Media | 2.0 | % | ||
Distribution/Wholesale | 2.0 | % | ||
Food | 2.0 | % | ||
Building Materials | 2.0 | % | ||
REITS | 1.9 | % | ||
Home Builders | 1.9 | % | ||
Chemicals | 1.9 | % | ||
Machinery-Diversified | 1.9 | % | ||
Healthcare-Services | 1.1 | % | ||
Biotechnology | 1.1 | % | ||
Cosmetics/Personal Care | 1.0 | % | ||
Apparel | 1.0 | % | ||
Electric | 1.0 | % | ||
Water | 0.9 | % | ||
Hand/Machine Tools | 0.9 | % | ||
Energy-Alternate Sources | 0.8 | % | ||
Total Common Stocks | 99.8 | % | ||
Total Investments | 99.8 | % | ||
Other Assets in Excess of Liabilities | 0.2 | % | ||
Total Net Assets | 100.0 | % |
See accompanying Notes to Financial Statements.
9
AXS First Priority CLO Bond ETF
SCHEDULE OF INVESTMENTS
As of September 30, 2023 (Unaudited)
Principal Amount | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 92.3% | ||||||||
AIMCO CLO Series | ||||||||
$ | 350,000 | Series 2017-AA, 6.638%, (3-Month Term SOFR+131.16 basis points), 4/20/20341,2,3 | $ | 346,814 | ||||
AMMC CLO XI Ltd. | ||||||||
326,790 | Series 2012-11A, 6.641%, (3-Month Term SOFR+127.16 basis points), 4/30/20311,2,3 | 325,451 | ||||||
AMMC CLO XVIII Ltd. | ||||||||
226,625 | Series 2016-18A, 6.750%, (3-Month Term SOFR+136.16 basis points), 5/26/20311,2,3 | 226,151 | ||||||
Bain Capital Credit CLO | ||||||||
248,359 | Series 2018-1A, 6.567%, (3-Month Term SOFR+122.16 basis points), 4/23/20311,2,3 | 247,587 | ||||||
Barings CLO Ltd. | ||||||||
279,908 | Series 2015-2A, 6.778%, (3-Month Term SOFR+145.16 basis points), 10/20/20301,2,3 | 279,472 | ||||||
Battalion CLO XX Ltd. | ||||||||
250,000 | Series 2021-20A, 6.750%, (3-Month Term SOFR+144.16 basis points), 7/15/20341,2,3 | 248,687 | ||||||
Burnham Park CLO Ltd. | ||||||||
221,937 | Series 2016-1A, 6.738%, (3-Month Term SOFR+141.16 basis points), 10/20/20291,2,3 | 221,744 | ||||||
Cedar Funding VII CLO Ltd. | ||||||||
369,759 | Series 2018-7A, 6.588%, (3-Month Term SOFR+126.16 basis points), 1/20/20311,2,3 | 368,555 | ||||||
CIFC Funding Ltd. | ||||||||
290,000 | Series 2021-4A, 6.620%, (3-Month Term SOFR+131.16 basis points), 7/15/20331,2,3 | 289,481 | ||||||
250,000 | Series 2014-4RA, 6.740%, (3-Month Term SOFR+143.16 basis points), 1/17/20351,2,3 | 248,700 | ||||||
Elmwood CLO IV Ltd. | ||||||||
250,000 | Series 2020-1A, 6.810%, (3-Month Term SOFR+150.16 basis points), 4/15/20331,2,3 | 249,437 | ||||||
Generate CLO IV Ltd. | ||||||||
365,388 | Series 4A, 6.678%, (3-Month Term SOFR+135.16 basis points), 4/20/20321,2,3 | 364,247 | ||||||
LCM XVIII LP | ||||||||
347,322 | Series 18A, 6.608%, (3-Month Term SOFR+128.16 basis points), 4/20/20311,2,3 | 346,040 | ||||||
LCM XX LP | ||||||||
2,525 | Series 20A, 6.628%, (3-Month Term SOFR+130.16 basis points), 10/20/20271,2,3 | 2,526 | ||||||
Madison Park Funding XLI Ltd. | ||||||||
135,192 | Series 12A, 6.437%, (3-Month Term SOFR+109.16 basis points), 4/22/20271,2,3 | 135,023 | ||||||
Magnetite XII Ltd. | ||||||||
375,000 | Series 2015-12A, 6.670%, (3-Month Term SOFR+136.16 basis points), 10/15/20311,2,3 | 374,104 |
10
AXS First Priority CLO Bond ETF
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2023 (Unaudited)
Principal Amount | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (Continued) | ||||||||
Palmer Square CLO Ltd. | ||||||||
$ | 198,828 | Series 2014-1A, 6.700%, (3-Month Term SOFR+139.16 basis points), 1/17/20311,2,3 | $ | 198,625 | ||||
Recette CLO Ltd. | ||||||||
250,000 | Series 2015-1A, 6.668%, (3-Month Term SOFR+134.16 basis points), 4/20/20341,2,3 | 247,913 | ||||||
Rockford Tower CLO Ltd. | ||||||||
300,000 | Series 2021-1A, 6.758%, (3-Month Term SOFR+143.16 basis points), 7/20/20341,2,3 | 297,648 | ||||||
Shackleton CLO IV Ltd. | ||||||||
348,882 | Series 2013-4RA, 6.563%, (3-Month USD Libor+100 basis points), 4/13/20311,2,3 | 348,004 | ||||||
Symphony CLO XXII Ltd. | ||||||||
375,000 | Series 2020-22A, 6.862%, (3-Month Term SOFR+155.16 basis points), 4/18/20331,2,3 | 374,071 | ||||||
Thompson Park CLO Ltd. | ||||||||
250,000 | Series 2021-1A, 6.570%, (3-Month Term SOFR+126.16 basis points), 4/15/20341,2,3 | 248,896 | ||||||
TICP CLO IX Ltd. | ||||||||
226,056 | Series 2017-9A, 6.728%, (3-Month Term SOFR+140.16 basis points), 1/20/20311,2,3 | 226,017 | ||||||
Vibrant CLO XI Ltd. | ||||||||
300,000 | Series 2019-11A, 6.708%, (3-Month Term SOFR+138.16 basis points), 7/20/20321,2,3 | 297,856 | ||||||
Voya CLO Ltd. | ||||||||
375,000 | Series 2018-3A, 6.720%, (3-Month Term SOFR+141.16 basis points), 10/15/20311,2,3 | 373,888 | ||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||||
(Cost $6,875,408) | 6,886,937 | |||||||
TOTAL INVESTMENTS — 92.3% | ||||||||
(Cost $6,875,408) | 6,886,937 | |||||||
Other Assets in Excess of Liabilities — 7.7% | 575,920 | |||||||
TOTAL NET ASSETS — 100.0% | $ | 7,462,857 |
LP – Limited Partnership
1 | Callable. |
2 | Floating rate security. |
3 | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities are restricted and may be resold in transactions exempt from registration normally to qualified institutional buyers. The total value of these securities is $6,886,937, which represents 92.3% of total net assets of the Fund. |
See accompanying Notes to Financial Statements.
11
AXS First Priority CLO Bond ETF
SUMMARY OF INVESTMENTS
As of September 30, 2023 (Unaudited)
Security Type | Percent of Total Net Assets | |||
Collateralized Mortgage Obligations | 92.3 | % | ||
Total Investments | 92.3 | % | ||
Other Assets in Excess of Liabilities | 7.7 | % | ||
Total Net Assets | 100.0 | % |
See accompanying Notes to Financial Statements.
12
AXS Green Alpha ETF
SCHEDULE OF INVESTMENTS
As of September 30, 2023 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 99.5% | ||||||||
AGRICULTURE — 0.3% | ||||||||
17,260 | Vital Farms, Inc.* | $ | 199,871 | |||||
AUTO MANUFACTURERS — 5.0% | ||||||||
18,941 | Rivian Automotive, Inc. - Class A* | 459,888 | ||||||
7,452 | Tesla, Inc.* | 1,864,639 | ||||||
65,940 | XPeng, Inc. - ADR*,1 | 1,210,658 | ||||||
3,535,185 | ||||||||
AUTO PARTS & EQUIPMENT — 1.0% | ||||||||
107,955 | QuantumScape Corp.* | 722,219 | ||||||
BIOTECHNOLOGY — 13.0% | ||||||||
30,120 | Arcturus Therapeutics Holdings, Inc.* | 769,566 | ||||||
5,454 | BioNTech S.E. - ADR*,1 | 592,523 | ||||||
103,146 | Caribou Biosciences, Inc.* | 493,038 | ||||||
56,704 | CRISPR Therapeutics A.G.*,1 | 2,573,795 | ||||||
120,294 | Editas Medicine, Inc.* | 938,293 | ||||||
4,010 | Illumina, Inc.* | 550,493 | ||||||
20,902 | Intellia Therapeutics, Inc.* | 660,921 | ||||||
18,535 | Moderna, Inc.* | 1,914,480 | ||||||
41,202 | Prime Medicine, Inc.* | 393,067 | ||||||
17,567 | Verve Therapeutics, Inc.* | 232,938 | ||||||
9,119,114 | ||||||||
BUILDING MATERIALS — 1.1% | ||||||||
12,893 | Trex Co., Inc.* | 794,596 | ||||||
CHEMICALS — 0.9% | ||||||||
20,220 | Daqo New Energy Corp. - ADR*,1 | 612,059 | ||||||
COMPUTERS — 7.2% | ||||||||
4,946 | Apple, Inc. | 846,805 | ||||||
2,244 | Crowdstrike Holdings, Inc. - Class A* | 375,601 | ||||||
19,843 | International Business Machines Corp. | 2,783,973 | ||||||
23,848 | Rapid7, Inc.* | 1,091,761 | ||||||
5,098,140 | ||||||||
DIVERSIFIED FINANCIAL SERVICES — 2.1% | ||||||||
70,281 | Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 1,489,957 | ||||||
ELECTRIC — 3.0% | ||||||||
89,184 | Brookfield Renewable Corp. - Class A1 | 2,135,065 | ||||||
ELECTRONICS — 2.1% | ||||||||
28,214 | ABB Ltd. - ADR1 | 1,004,136 |
13
AXS Green Alpha ETF
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2023 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
ELECTRONICS (Continued) | ||||||||
4,693 | Advanced Energy Industries, Inc. | $ | 483,942 | |||||
1,488,078 | ||||||||
ENERGY-ALTERNATE SOURCES — 14.1% | ||||||||
42,619 | Canadian Solar, Inc.*,1 | 1,048,854 | ||||||
4,498 | Enphase Energy, Inc.* | 540,435 | ||||||
10,309 | First Solar, Inc.* | 1,665,831 | ||||||
14,723 | Fluence Energy, Inc.* | 338,482 | ||||||
65,888 | FREYR Battery S.A.*,1 | 322,192 | ||||||
43,417 | JinkoSolar Holding Co., Ltd. - ADR*,1 | 1,318,574 | ||||||
35,538 | Maxeon Solar Technologies Ltd.*,1 | 411,886 | ||||||
2,312 | SolarEdge Technologies, Inc.* | 299,427 | ||||||
82,145 | SunPower Corp.* | 506,835 | ||||||
27,756 | Sunrun, Inc.* | 348,615 | ||||||
109,419 | TPI Composites, Inc.* | 289,960 | ||||||
130,810 | Vestas Wind Systems A/S* | 2,814,852 | ||||||
9,905,943 | ||||||||
ENVIRONMENTAL CONTROL — 0.7% | ||||||||
134,671 | Li-Cycle Holdings Corp.*,1 | 478,082 | ||||||
FOOD — 3.6% | ||||||||
7,911 | Danone S.A. | 437,718 | ||||||
71,170 | Natural Grocers by Vitamin Cottage, Inc. | 918,805 | ||||||
26,693 | Sprouts Farmers Market, Inc.* | 1,142,460 | ||||||
2,498,983 | ||||||||
HEALTHCARE-PRODUCTS — 1.8% | ||||||||
154,987 | Pacific Biosciences of California, Inc.* | 1,294,142 | ||||||
HEALTHCARE-SERVICES — 0.5% | ||||||||
197,993 | Ginkgo Bioworks Holdings, Inc.* | 358,367 | ||||||
INVESTMENT COMPANIES — 2.2% | ||||||||
132,240 | Horizon Technology Finance Corp. | 1,571,011 | ||||||
IRON/STEEL — 0.5% | ||||||||
7,164 | Commercial Metals Co. | 353,973 | ||||||
OFFICE FURNISHINGS — 1.4% | ||||||||
41,580 | Interface, Inc. | 407,900 | ||||||
51,623 | Steelcase, Inc. - Class A | 576,629 | ||||||
984,529 |
14
AXS Green Alpha ETF
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2023 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
REITS — 13.1% | ||||||||
11,192 | Alexandria Real Estate Equities, Inc. | $ | 1,120,319 | |||||
14,661 | Boston Properties, Inc. | 872,036 | ||||||
13,443 | Digital Realty Trust, Inc. | 1,626,872 | ||||||
1,965 | Equinix, Inc. | 1,427,101 | ||||||
175,519 | Hudson Pacific Properties, Inc. | 1,167,201 | ||||||
27,227 | Kilroy Realty Corp. | 860,646 | ||||||
34,699 | SL Green Realty Corp. | 1,294,273 | ||||||
38,549 | Vornado Realty Trust | 874,291 | ||||||
9,242,739 | ||||||||
SEMICONDUCTORS — 24.2% | ||||||||
3,885 | Analog Devices, Inc. | 680,225 | ||||||
25,961 | Applied Materials, Inc. | 3,594,300 | ||||||
3,931 | ASML Holding N.V.1 | 2,314,022 | ||||||
55,356 | Infineon Technologies A.G. | 1,837,659 | ||||||
4,327 | Lam Research Corp. | 2,712,034 | ||||||
16,160 | QUALCOMM, Inc. | 1,794,730 | ||||||
43,079 | Taiwan Semiconductor Manufacturing Co., Ltd. - ADR1 | 3,743,565 | ||||||
9,442 | Wolfspeed, Inc.* | 359,740 | ||||||
17,036,275 | ||||||||
TELECOMMUNICATIONS — 1.7% | ||||||||
55,175 | SK Telecom Co., Ltd. - ADR1 | 1,184,056 | ||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $74,395,265) | 70,102,384 | |||||||
TOTAL INVESTMENTS — 99.5% | ||||||||
(Cost $74,395,265) | 70,102,384 | |||||||
Other Assets in Excess of Liabilities — 0.5% | 339,008 | |||||||
TOTAL NET ASSETS — 100.0% | $ | 70,441,392 |
ADR – American Depository Receipt
* | Non-income producing security. |
1 | Foreign security denominated in U.S. Dollars. |
See accompanying Notes to Financial Statements.
15
AXS Green Alpha ETF
SUMMARY OF INVESTMENTS
As of September 30, 2023 (Unaudited)
Security Type/Industry | Percent of Total Net Assets | |||
Common Stocks | ||||
Semiconductors | 24.2 | % | ||
Energy-Alternate Sources | 14.1 | % | ||
REITS | 13.1 | % | ||
Biotechnology | 13.0 | % | ||
Computers | 7.2 | % | ||
Auto Manufacturers | 5.0 | % | ||
Food | 3.6 | % | ||
Electric | 3.0 | % | ||
Investment Companies | 2.2 | % | ||
Electronics | 2.1 | % | ||
Diversified Financial Services | 2.1 | % | ||
Healthcare-Products | 1.8 | % | ||
Telecommunications | 1.7 | % | ||
Office Furnishings | 1.4 | % | ||
Building Materials | 1.1 | % | ||
Auto Parts & Equipment | 1.0 | % | ||
Chemicals | 0.9 | % | ||
Environmental Control | 0.7 | % | ||
Healthcare-Services | 0.5 | % | ||
Iron/Steel | 0.5 | % | ||
Agriculture | 0.3 | % | ||
Total Common Stocks | 99.5 | % | ||
Total Investments | 99.5 | % | ||
Other Assets in Excess of Liabilities | 0.5 | % | ||
Total Net Assets | 100.0 | % |
See accompanying Notes to Financial Statements.
16
AXS Brendan Wood TopGun Index ETF
SCHEDULE OF INVESTMENTS
As of September 30, 2023 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 99.6% | ||||||||
BANKS — 7.9% | ||||||||
533 | JPMorgan Chase & Co. | $ | 77,295 | |||||
763 | Royal Bank of Canada1 | 66,717 | ||||||
144,012 | ||||||||
COMPUTERS — 5.4% | ||||||||
591 | Crowdstrike Holdings, Inc. - Class A* | 98,922 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 8.7% | ||||||||
203 | Mastercard, Inc. - Class A | 80,370 | ||||||
340 | Visa, Inc. - Class A | 78,203 | ||||||
158,573 | ||||||||
ENVIRONMENTAL CONTROL — 3.9% | ||||||||
533 | Waste Connections, Inc.1 | 71,582 | ||||||
HEALTHCARE-PRODUCTS — 3.6% | ||||||||
266 | Danaher Corp. | 65,995 | ||||||
HEALTHCARE-SERVICES — 3.7% | ||||||||
134 | UnitedHealth Group, Inc. | 67,561 | ||||||
INSURANCE — 11.7% | ||||||||
492 | Intact Financial Corp. | 71,729 | ||||||
377 | Marsh & McLennan Cos., Inc. | 71,743 | ||||||
490 | Progressive Corp. | 68,257 | ||||||
211,729 | ||||||||
INTERNET — 4.6% | ||||||||
636 | Alphabet, Inc. - Class A* | 83,227 | ||||||
MINING — 7.2% | ||||||||
1,365 | Agnico Eagle Mines Ltd.1 | 62,039 | ||||||
517 | Franco-Nevada Corp.1 | 69,015 | ||||||
131,054 | ||||||||
OIL & GAS — 4.1% | ||||||||
1,480 | Tourmaline Oil Corp. | 74,477 | ||||||
REITS — 3.2% | ||||||||
514 | Prologis, Inc. | 57,676 | ||||||
RETAIL — 4.1% | ||||||||
132 | Costco Wholesale Corp. | 74,575 |
17
AXS Brendan Wood TopGun Index ETF
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2023 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
SEMICONDUCTORS — 7.6% | ||||||||
776 | Advanced Micro Devices, Inc.* | $ | 79,787 | |||||
99 | ASML Holding N.V.1 | 58,278 | ||||||
138,065 | ||||||||
SOFTWARE — 16.1% | ||||||||
32 | Constellation Software, Inc. | 66,063 | ||||||
261 | Microsoft Corp. | 82,411 | ||||||
132 | ServiceNow, Inc.* | 73,782 | ||||||
461 | Snowflake, Inc. - Class A* | 70,427 | ||||||
292,683 | ||||||||
TRANSPORTATION — 3.9% | ||||||||
945 | Canadian Pacific Kansas City Ltd.1 | 70,317 | ||||||
VENTURE CAPITAL — 3.9% | ||||||||
2,240 | Brookfield Corp.1 | 70,045 | ||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $1,746,589) | 1,810,493 | |||||||
RIGHTS — 0.0% | ||||||||
SOFTWARE — 0.0% | ||||||||
32 | Constellation Software, Inc. Expiration Date: 12/31/2049 | 1 | ||||||
TOTAL RIGHTS | ||||||||
(Cost $19) | 1 | |||||||
WARRANTS — 0.0% | ||||||||
SOFTWARE — 0.0% | ||||||||
32 | Constellation Software, Inc. Expiration Date: 03/31/20402 | — | ||||||
TOTAL WARRANTS | ||||||||
(Cost $0) | — | |||||||
TOTAL INVESTMENTS — 99.6% | ||||||||
(Cost $1,746,608) | 1,810,494 | |||||||
Other Assets in Excess of Liabilities — 0.4% | 6,365 | |||||||
TOTAL NET ASSETS — 100.0% | $ | 1,816,859 |
* | Non-income producing security. |
1 | Foreign security denominated in U.S. Dollars. |
2 | Level 3 securities fair valued under procedures established by the Board of Trustees, represents 0.00% of Net Assets. |
The total value of these securities is $0.
See accompanying Notes to Financial Statements.
18
AXS Brendan Wood TopGun Index ETF
SUMMARY OF INVESTMENTS
As of September 30, 2023 (Unaudited)
Security Type | Percent of Total Net Assets | |||
Common Stocks | ||||
Software | 16.1 | % | ||
Insurance | 11.7 | % | ||
Diversified Financial Services | 8.7 | % | ||
Banks | 7.9 | % | ||
Semiconductors | 7.6 | % | ||
Mining | 7.2 | % | ||
Computers | 5.4 | % | ||
Internet | 4.6 | % | ||
Retail | 4.1 | % | ||
Oil & Gas | 4.1 | % | ||
Venture Capital | 3.9 | % | ||
Environmental Control | 3.9 | % | ||
Transportation | 3.9 | % | ||
Healthcare-Services | 3.7 | % | ||
Healthcare-Products | 3.6 | % | ||
REITS | 3.2 | % | ||
Total Common Stocks | 99.6 | % | ||
Rights | ||||
Software | 0.0 | % | ||
Total Rights | 0.0 | % | ||
Warrants | ||||
Software | 0.0 | % | ||
Total Warrants | 0.0 | % | ||
Total Investments | 99.6 | % | ||
Other Assets in Excess of Liabilities | 0.4 | % | ||
Total Net Assets | 100.0 | % |
See accompanying Notes to Financial Statements.
19
AXS Esoterica NextG Economy ETF
SCHEDULE OF INVESTMENTS
As of September 30, 2023 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 90.3% | ||||||||
AUTO MANUFACTURERS — 5.2% | ||||||||
3,571 | Tesla, Inc.* | $ | 893,536 | |||||
11,570 | XPeng, Inc. - ADR* | 212,425 | ||||||
1,105,961 | ||||||||
COMMERCIAL SERVICES — 0.7% | ||||||||
107 | Adyen N.V.* | 79,946 | ||||||
1,270 | Block, Inc.* | 56,210 | ||||||
136,156 | ||||||||
COMPUTERS — 1.7% | ||||||||
2,316 | Zscaler, Inc.* | 360,346 | ||||||
INTERNET — 13.4% | ||||||||
3,030 | Alphabet, Inc. - Class C* | 399,505 | ||||||
8,560 | Amazon.com, Inc.* | 1,088,147 | ||||||
3,798 | JD.com, Inc. - ADR | 110,636 | ||||||
389 | JD.com, Inc. - Class A | 5,717 | ||||||
39,520 | Meituan - Class B* | 578,279 | ||||||
2,958 | PDD Holdings, Inc. - ADR* | 290,091 | ||||||
3,185 | Sea Ltd. - ADR* | 139,981 | ||||||
5,598 | Tencent Holdings Ltd. | 218,864 | ||||||
2,831,220 | ||||||||
REAL ESTATE — 1.7% | ||||||||
23,029 | KE Holdings, Inc. - ADR | 357,410 | ||||||
SEMICONDUCTORS — 39.1% | ||||||||
16,157 | Advanced Micro Devices, Inc.* | 1,661,263 | ||||||
2,850 | Applied Materials, Inc. | 394,582 | ||||||
30,870 | Marvell Technology, Inc. | 1,670,993 | ||||||
9,280 | NVIDIA Corp. | 4,036,707 | ||||||
980 | QUALCOMM, Inc. | 108,839 | ||||||
4,882 | Taiwan Semiconductor Manufacturing Co., Ltd. - ADR | 424,246 | ||||||
8,296,630 | ||||||||
SOFTWARE — 28.5% | ||||||||
3,214 | Atlassian Corp. - Class A* | 647,653 | ||||||
6,052 | Cloudflare, Inc. - Class A* | 381,518 | ||||||
6,634 | Confluent, Inc. - Class A* | 196,433 | ||||||
10,901 | Datadog, Inc. - Class A* | 992,972 | ||||||
5,795 | Microsoft Corp. | 1,829,771 | ||||||
1,742 | MongoDB, Inc.* | 602,488 | ||||||
1,945 | Oracle Corp. | 206,014 | ||||||
385 | ServiceNow, Inc.* | 215,200 |
20
AXS Esoterica NextG Economy ETF
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2023 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
SOFTWARE (Continued) | ||||||||
6,393 | Snowflake, Inc. - Class A* | $ | 976,659 | |||||
6,048,708 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $20,161,655) | 19,136,431 | |||||||
EXCHANGE-TRADED FUNDS — 5.5% | ||||||||
7,022 | iShares 20+ Year Treasury Bond ETF* | 622,781 | ||||||
5,361 | iShares TIPS Bond ETF* | 556,043 | ||||||
TOTAL EXCHANGE-TRADED FUNDS | ||||||||
(Cost $1,296,364) | 1,178,824 | |||||||
TOTAL INVESTMENTS — 95.8% | ||||||||
(Cost $21,458,019) | 20,315,255 | |||||||
Other Assets in Excess of Liabilities — 4.2% | 885,203 | |||||||
TOTAL NET ASSETS — 100.0% | $ | 21,200,458 |
ADR – American Depository Receipt
ETF – Exchange-Traded Fund
*Non-income producing security.
See accompanying Notes to Financial Statements.
21
AXS Esoterica NextG Economy ETF
SUMMARY OF INVESTMENTS
As of September 30, 2023 (Unaudited)
Security Type/Industry | Percent of Total Net Assets | |||
Common Stocks | ||||
Semiconductors | 39.1 | % | ||
Software | 28.5 | % | ||
Internet | 13.4 | % | ||
Auto Manufacturers | 5.2 | % | ||
Computers | 1.7 | % | ||
Real Estate | 1.7 | % | ||
Commercial Services | 0.7 | % | ||
Total Common Stocks | 90.3 | % | ||
Exchange-Traded Funds | 5.5 | % | ||
Total Investments | 95.8 | % | ||
Other Assets in Excess of Liabilities | 4.2 | % | ||
Total Net Assets | 100.0 | % |
See accompanying Notes to Financial Statements.
22
AXS Funds
STATEMENTS OF ASSETS AND LIABILITIES
As of September 30, 2023 (Unaudited)
AXS Astoria Inflation Sensitive ETF | AXS Change Finance ESG ETF | AXS First Priority CLO Bond ETF | ||||||||||
Assets: | ||||||||||||
Investments, at value (cost $55,228,634, $116,072,990 and $6,875,408, respectively) | $ | 57,326,777 | $ | 118,206,694 | $ | 6,886,937 | ||||||
Cash | 337,880 | 210,436 | 482,058 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 597,612 | 1,670,587 | - | |||||||||
Dividends and interest | 61,947 | 69,030 | 93,079 | |||||||||
Reclaims receivable | 92,786 | 3,047 | - | |||||||||
Due from Advisor | - | - | 783 | |||||||||
Prepaid expenses | - | - | - | |||||||||
Other receivable (Note 3) | - | 11,348 | - | |||||||||
Total assets | 58,417,002 | 120,171,142 | 7,462,857 | |||||||||
Liabilities: | ||||||||||||
Foreign currency due to custodian, at value (proceeds $0, $0 and $0, respectively) | - | - | - | |||||||||
Payables: | ||||||||||||
Investment securities purchased | - | 1,667,919 | - | |||||||||
Advisory fees | 11,775 | 38,147 | - | |||||||||
Fund administration fees | - | - | - | |||||||||
Transfer agent fees and expenses | - | - | - | |||||||||
Custody fees | - | - | - | |||||||||
Due to custodian | 545,158 | - | - | |||||||||
Fund accounting fees | - | - | - | |||||||||
Auditing fees | - | - | - | |||||||||
Chief Compliance Officer fees | - | - | - | |||||||||
Legal fees | - | - | - | |||||||||
Trustees' fees and expenses | - | - | - | |||||||||
Trustees' deferred compensation (Note 3) | - | - | - | |||||||||
Shareholder reporting fees | - | - | - | |||||||||
Accrued other expenses | - | - | - | |||||||||
Total liabilities | 556,933 | 1,706,066 | - | |||||||||
Commitments and contingencies (Note 3) | ||||||||||||
Net Assets | $ | 57,860,069 | $ | 118,465,076 | $ | 7,462,857 | ||||||
Components of Net Assets: | ||||||||||||
Paid-in capital (par value of $0.01 per share with an unlimited number of shares authorized) | $ | 67,247,876 | $ | 133,800,385 | $ | 7,564,824 | ||||||
Total distributable earnings (accumulated deficit) | (9,387,807 | ) | (15,335,309 | ) | (101,967 | ) | ||||||
Net Assets | $ | 57,860,069 | $ | 118,465,076 | $ | 7,462,857 | ||||||
Shares of beneficial interest issued and outstanding | 2,250,000 | 4,000,000 | 300,000 | |||||||||
Net asset value per share | $ | 25.72 | $ | 29.62 | $ | 24.88 |
See accompanying Notes to Financial Statements.
23
AXS Funds
STATEMENTS OF ASSETS AND LIABILITIES - Continued
As of September 30, 2023 (Unaudited)
AXS Green Alpha ETF | AXS Brendan Wood TopGun Index ETF | AXS Esoterica NextG Economy ETF | ||||||||||
Assets: | ||||||||||||
Investments, at value (cost $74,395,265, $1,746,608 and $21,458,019, respectively) | $ | 70,102,384 | $ | 1,810,494 | $ | 20,315,255 | ||||||
Cash | 288,406 | 69,076 | 992,455 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | - | - | - | |||||||||
Dividends and interest | 91,047 | 179 | 3,674 | |||||||||
Reclaims receivable | 11,972 | 441 | - | |||||||||
Due from Advisor | - | - | - | |||||||||
Prepaid expenses | - | - | 23 | |||||||||
Other receivable (Note 3) | - | - | - | |||||||||
Total assets | 70,493,809 | 1,880,190 | 21,311,407 | |||||||||
Liabilities: | ||||||||||||
Foreign currency due to custodian, at value (proceeds $0, $0 and $47,662, respectively) | - | - | 47,745 | |||||||||
Payables: | ||||||||||||
Investment securities purchased | - | - | - | |||||||||
Advisory fees | 52,285 | 240 | 106 | |||||||||
Fund administration fees | - | - | 7,405 | |||||||||
Transfer agent fees and expenses | - | - | 2,907 | |||||||||
Custody fees | - | - | 8,163 | |||||||||
Due to custodian | 132 | 63,091 | - | |||||||||
Fund accounting fees | - | - | 14,434 | |||||||||
Auditing fees | - | - | 7,999 | |||||||||
Chief Compliance Officer fees | - | - | 2,248 | |||||||||
Legal fees | - | - | 5,854 | |||||||||
Trustees' fees and expenses | - | - | 2,722 | |||||||||
Trustees' deferred compensation (Note 3) | - | - | 1,137 | |||||||||
Shareholder reporting fees | - | - | 3,144 | |||||||||
Accrued other expenses | - | - | 7,085 | |||||||||
Total liabilities | 52,417 | 63,331 | 110,949 | |||||||||
Commitments and contingencies (Note 3) | ||||||||||||
Net Assets | $ | 70,441,392 | $ | 1,816,859 | $ | 21,200,458 | ||||||
Components of Net Assets: | ||||||||||||
Paid-in capital (par value of $0.01 per share with an unlimited number of shares authorized) | $ | 75,781,765 | $ | 1,818,436 | $ | 27,057,147 | ||||||
Total distributable earnings (accumulated deficit) | (5,340,373 | ) | (1,577 | ) | (5,856,689 | ) | ||||||
Net Assets | $ | 70,441,392 | $ | 1,816,859 | $ | 21,200,458 | ||||||
Shares of beneficial interest issued and outstanding | 2,500,000 | 60,000 | 475,754 | |||||||||
Net asset value per share | $ | 28.18 | $ | 30.28 | $ | 44.56 |
See accompanying Notes to Financial Statements.
24
AXS Astoria Inflation Sensitive ETF
STATEMENTS OF OPERATIONS
For the Six Months Ended September 30, 2023 (Unaudited) | ||||
Investment Income: | ||||
Dividends (net of foreign withholding taxes of $43,506) | $ | 989,883 | ||
Interest | 6,192 | |||
Total investment income | 996,075 | |||
Expenses: | ||||
Advisory fees | 219,191 | |||
Interest expense | 156 | |||
Total expenses | 219,347 | |||
Net investment income (loss) | 776,728 | |||
Realized and Unrealized Gain (Loss) on: | ||||
Net realized gain (loss) on: | ||||
Investments | (2,640,835 | ) | ||
Investments in-kind | 1,986,673 | |||
Foreign currency transactions | (23,109 | ) | ||
Net realized gain (loss) | (677,271 | ) | ||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | 2,367,383 | |||
Foreign currency translations | (7,336 | ) | ||
Net change in unrealized appreciation/depreciation | 2,360,047 | |||
Net realized and unrealized gain (loss) | 1,682,776 | |||
Net Increase (Decrease) in Net Assets from Operations | $ | 2,459,504 |
See accompanying Notes to Financial Statements.
25
AXS Change Finance ESG ETF
STATEMENTS OF OPERATIONS
For the Six Months Ended September 30, 2023 (Unaudited) | For the Period Ended March 31, 2023* | |||||||
Investment Income: | ||||||||
Dividends | $ | 880,784 | $ | 1,165,148 | ||||
Interest | 8,501 | 13,065 | ||||||
Total investment income | 889,285 | 1,178,213 | ||||||
Expenses: | ||||||||
Advisory fees | 297,249 | 348,093 | ||||||
Interest expense | 269 | - | ||||||
Total expenses | 297,518 | 348,093 | ||||||
Net investment income (loss) | 591,767 | 830,120 | ||||||
Realized and Unrealized Gain (Loss) on: | ||||||||
Net realized gain (loss) on: | ||||||||
Investments | (3,797,722 | ) | (4,944,138 | ) | ||||
Investments in-kind | 4,661,726 | 215,696 | ||||||
Net realized gain (loss) | 864,004 | (4,728,442 | ) | |||||
Net change in unrealized appreciation/depreciation on: Investments | 1,583,011 | 6,017,674 | ||||||
Net change in unrealized appreciation/depreciation | 1,583,011 | 6,017,674 | ||||||
Net increase from payments by affiliates (Note 3) | - | 72,000 | ||||||
Net realized and unrealized gain (loss) | 2,447,015 | 1,361,232 | ||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 3,038,782 | $ | 2,191,352 |
* | Fiscal year end changed to March 31, effective February 1, 2023. |
See accompanying Notes to Financial Statements.
26
AXS First Priority CLO Bond ETF
STATEMENTS OF OPERATIONS
For the Six Months Ended September 30, 2023 (Unaudited) | For the Period Ended March 31, 2023* | |||||||
Investment Income: | ||||||||
Interest | $ | 242,804 | $ | 248,559 | ||||
Total investment income | 242,804 | 248,559 | ||||||
Expenses: | ||||||||
Advisory fees | 9,253 | 12,201 | ||||||
Total expenses | 9,253 | 12,201 | ||||||
Net investment income (loss) | 233,551 | 236,358 | ||||||
Realized and Unrealized Gain (Loss) on: | ||||||||
Net realized gain (loss) on: | ||||||||
Investments | - | (15,473 | ) | |||||
Net realized gain (loss) | - | (15,473 | ) | |||||
Net change in unrealized appreciation/depreciation on: | ||||||||
Investments | 73,511 | 69,786 | ||||||
Net change in unrealized appreciation/depreciation | 73,511 | 69,786 | ||||||
Net realized and unrealized gain (loss) | 73,511 | 54,313 | ||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 307,062 | $ | 290,671 |
* | Fiscal year end changed to March 31, effective February 1, 2023. |
See accompanying Notes to Financial Statements.
27
AXS Green Alpha ETF
STATEMENTS OF OPERATIONS
For the Six Months Ended September 30, 2023 (Unaudited) | ||||
Investment Income: | ||||
Dividends (net of foreign withholding taxes of $31,496) | $ | 518,145 | ||
Interest | 30,206 | |||
Total investment income | 548,351 | |||
Expenses: | ||||
Advisory fees | 368,079 | |||
Total expenses | 368,079 | |||
Net investment income (loss) | 180,272 | |||
Realized and Unrealized Gain (Loss) on: | ||||
Net realized gain (loss) on: | ||||
Investments | (1,027,219 | ) | ||
Foreign currency transactions | 15 | |||
Net realized gain (loss) | (1,027,204 | ) | ||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (8,067,185 | ) | ||
Foreign currency translations | (100 | ) | ||
Net change in unrealized appreciation/depreciation | (8,067,285 | ) | ||
Net realized and unrealized gain (loss) | (9,094,489 | ) | ||
Net Increase (Decrease) in Net Assets from Operations | $ | (8,914,217 | ) |
See accompanying Notes to Financial Statements.
28
AXS Brendan Wood TopGun Index ETF
STATEMENTS OF OPERATIONS
For the Six Months Ended September 30, 2023 (Unaudited) | ||||
Investment Income: | ||||
Dividends (net of foreign withholding taxes of $1,642) | $ | 11,252 | ||
Interest | 1,511 | |||
Total investment income | 12,763 | |||
Expenses: | ||||
Advisory fees | 9,015 | |||
Interest expense | 3,472 | |||
Total expenses | 12,487 | |||
Net investment income (loss) | 276 | |||
Realized and Unrealized Gain (Loss) on: | ||||
Net realized gain (loss) on: | ||||
Investments | (43,078 | ) | ||
Foreign currency transactions | 314 | |||
Net realized gain (loss) | (42,764 | ) | ||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | 80,040 | |||
Foreign currency translations | (473 | ) | ||
Net change in unrealized appreciation/depreciation | 79,567 | |||
Net realized and unrealized gain (loss) | 36,803 | |||
Net Increase (Decrease) in Net Assets from Operations | $ | 37,079 |
See accompanying Notes to Financial Statements.
29
AXS Esoterica NextG Economy ETF
STATEMENTS OF OPERATIONS
For the Six Months Ended September 30, 2023 (Unaudited) | For the Period Ended March 31, 2023* | |||||||
Investment Income: | ||||||||
Dividends (net of foreign withholding taxes of $1,761 and $1,769, respectively) | $ | 47,654 | $ | 26,559 | ||||
Interest | 12,489 | 10,505 | ||||||
Total investment income | 60,143 | 37,064 | ||||||
Expenses: | ||||||||
Advisory fees | 78,846 | 54,196 | ||||||
Fund administration fees | 19,315 | 11,069 | ||||||
Fund accounting fees | 14,910 | 15,299 | ||||||
Transfer agent fees and expenses | 5,865 | 2,791 | ||||||
Custody fees | 11,540 | 3,462 | ||||||
Shareholder reporting fees | 8,741 | 4,332 | ||||||
Legal fees | 4,735 | 10,210 | ||||||
Auditing fees | 10,106 | 15,500 | ||||||
Trustees' fees and expenses | 2,055 | 7,343 | ||||||
Insurance fees | 26 | 3,694 | ||||||
Chief Compliance Officer fees | 4,093 | 11,277 | ||||||
Interest expense | 788 | - | ||||||
Miscellaneous | 4,526 | 14,784 | ||||||
Total expenses | 165,546 | 153,957 | ||||||
Advisory fees (waived) recovered | (78,846 | ) | (54,196 | ) | ||||
Other expenses absorbed | (7,066 | ) | (45,551 | ) | ||||
Net expenses | 79,634 | 54,210 | ||||||
Net investment income (loss) | (19,491 | ) | (17,146 | ) | ||||
Realized and Unrealized Gain (Loss) on: | ||||||||
Net realized gain (loss) on: | ||||||||
Investments | (469,666 | ) | (770,745 | ) | ||||
Investments in-kind | 225,785 | - | ||||||
Foreign currency transactions | (7,567 | ) | - | |||||
Net realized gain (loss) | (251,448 | ) | (770,745 | ) | ||||
Net change in unrealized appreciation/depreciation on: | ||||||||
Investments | 2,259,681 | 4,130,066 | ||||||
Foreign currency translations | (17,794 | ) | 17,711 | |||||
Net change in unrealized appreciation/depreciation | 2,241,887 | 4,147,777 | ||||||
Net realized and unrealized gain (loss) | 1,990,439 | 3,377,032 | ||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 1,970,948 | $ | 3,359,886 |
* Fiscal year end changed to March 31, effective February 1, 2023.
See accompanying Notes to Financial Statements.
30
AXS Astoria Inflation Sensitive ETF
STATEMENTS OF CHANGES IN NET ASSETS
For the Six Months Ended September 30, 2023 (Unaudited) |
For the Year Ended March 31, 2023 | |||||||
Increase (Decrease) in Net Assets from: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 776,728 | $ | 2,307,336 | ||||
Net realized gain (loss) on investments, investments in kind and foreign currency transactions | (677,271 | ) | (5,748,142 | ) | ||||
Net change in unrealized appreciation/depreciation on investments and foreign currency translations | 2,360,047 | (4,391,646 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 2,459,504 | (7,832,452 | ) | |||||
Distributions to Shareholders: | ||||||||
Total distributions to shareholders | (954,175 | ) | (2,383,576 | ) | ||||
Capital Transactions: | ||||||||
Net proceeds from shares sold | 7,511,045 | 57,132,883 | ||||||
Cost of shares redeemed | (20,144,380 | ) | (39,891,398 | ) | ||||
Net increase (decrease) in net assets from capital transactions | (12,633,335 | ) | 17,241,485 | |||||
Total increase (decrease) in net assets | (11,128,006 | ) | 7,025,457 | |||||
Net Assets: | ||||||||
Beginning of period | 68,988,075 | 61,962,618 | ||||||
End of period | $ | 57,860,069 | $ | 68,988,075 | ||||
Capital Share Transactions: | ||||||||
Shares sold | 300,000 | 2,175,000 | ||||||
Shares redeemed | (800,000 | ) | (1,600,000 | ) | ||||
Net increase (decrease) in capital share transactions | (500,000 | ) | 575,000 |
See accompanying Notes to Financial Statements.
31
AXS Change Finance ESG ETF^
STATEMENTS OF CHANGES IN NET ASSETS
For the Six Months Ended September 30, 2023 (Unaudited) |
For the Period Ended March 31, 2023* | For the Year Ended July 31, 2022 | ||||||||||
Increase (Decrease) in Net Assets from: | ||||||||||||
Operations: | ||||||||||||
Net investment income (loss) | $ | 591,767 | $ | 830,120 | $ | 985,697 | ||||||
Net realized gain (loss) on investments and investments in kind | 864,004 | (4,728,442 | ) | (2,957,970 | ) | |||||||
Net change in unrealized appreciation/depreciation on investments | 1,583,011 | 6,017,674 | (16,901,094 | ) | ||||||||
Net increase from payment by affiliates (Note 3) | - | 72,000 | - | |||||||||
Net increase (decrease) in net assets resulting from operations | 3,038,782 | 2,191,352 | (18,873,367 | ) | ||||||||
Distributions to Shareholders: | ||||||||||||
Total distributions to shareholders | - | (1,153,807 | ) | (637,137 | ) | |||||||
Capital Transactions: | ||||||||||||
Net proceeds from shares sold | 20,634,085 | 18,498,011 | 98,740,402 | |||||||||
Cost of shares redeemed | (22,164,805 | ) | (5,859,190 | ) | (55,991,155 | ) | ||||||
Net increase (decrease) in net assets from capital transactions | (1,530,720 | ) | 12,638,821 | 42,749,247 | ||||||||
Total increase (decrease) in net assets | 1,508,062 | 13,676,366 | 23,238,743 | |||||||||
Net Assets: | ||||||||||||
Beginning of period | 116,957,014 | 103,280,648 | 80,041,905 | |||||||||
End of period | $ | 118,465,076 | $ | 116,957,014 | $ | 103,280,648 | ||||||
Capital Share Transactions: | ||||||||||||
Shares sold | 675,000 | 675,000 | 2,975,000 | |||||||||
Shares redeemed | (725,000 | ) | (225,000 | ) | (1,725,000 | ) | ||||||
Net increase (decrease) in capital share transactions | (50,000 | ) | 450,000 | 1,250,000 |
^ | With the Plan of Reorganization with respect to the AXS Change Finance ESG ETF (formerly, Change Finance U.S. Large Cap Fossil Fuel Free ETF), shareholders received shares of the AXS Change Finance ESG ETF effective as of the close of business on March 18, 2022. See Note 1 in the accompanying Notes to Financial Statements. |
* | Fiscal year end changed to March 31, effective February 1, 2023. |
See accompanying Notes to Financial Statements.
32
AXS First Priority CLO Bond ETF^
STATEMENTS OF CHANGES IN NET ASSETS
For the Six Months Ended September 30, 2023 (Unaudited) |
For the Period Ended March 31, 2023* | For the Year Ended July 31, 2022 | ||||||||||
Increase (Decrease) in Net Assets from: | ||||||||||||
Operations: | ||||||||||||
Net investment income (loss) | $ | 233,551 | $ | 236,358 | $ | 127,189 | ||||||
Net realized gain (loss) on investments | - | (15,473 | ) | (136,062 | ) | |||||||
Net change in unrealized appreciation/depreciation on investments | 73,511 | 69,786 | (160,596 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | 307,062 | 290,671 | (169,469 | ) | ||||||||
Distributions to Shareholders: | ||||||||||||
Total distributions to shareholders | (195,512 | ) | (256,072 | ) | (118,047 | ) | ||||||
Capital Transactions: | ||||||||||||
Cost of shares redeemed | - | - | (2,434,390 | ) | ||||||||
Transactions fees (Note 2c) | - | - | 6,086 | |||||||||
Net increase (decrease) in net assets from capital transactions | - | - | (2,428,304 | ) | ||||||||
Total increase (decrease) in net assets | 111,550 | 34,599 | (2,715,820 | ) | ||||||||
Net Assets: | ||||||||||||
Beginning of period | 7,351,307 | 7,316,708 | 10,032,528 | |||||||||
End of period | $ | 7,462,857 | $ | 7,351,307 | $ | 7,316,708 | ||||||
Capital Share Transactions: | ||||||||||||
Shares redeemed | - | - | (100,000 | ) | ||||||||
Net increase (decrease) in capital share transactions | - | - | (100,000 | ) |
^ | With the Plan of Reorganization with respect to the AXS First Priority CLO Bond ETF (formerly, AAF First Priority CLO Bond ETF), Investor Class shareholders received Investor Class shares of the AXS First Priority CLO Bond ETF effective as of the close of business on October 14, 2022. See Note 1 in the accompanying Notes to Financial Statements. |
* | Fiscal year end changed to March 31, effective February 1, 2023. |
See accompanying Notes to Financial Statements.
33
AXS Green Alpha ETF
STATEMENTS OF CHANGES IN NET ASSETS
For the Six Months Ended September 30, 2023 (Unaudited) |
For the Period Ended March 31, 2023* | |||||||
Increase (Decrease) in Net Assets from: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 180,272 | $ | 195,440 | ||||
Net realized gain (loss) on investments, investments in kind and foreign currency transactions | (1,027,204 | ) | 334,578 | |||||
Net change in unrealized appreciation/depreciation on investments and foreign currency translations | (8,067,285 | ) | 3,774,340 | |||||
Net increase (decrease) in net assets resulting from operations | (8,914,217 | ) | 4,304,358 | |||||
Distributions to Shareholders: | ||||||||
Total distributions to shareholders | (350,598 | ) | (66,380 | ) | ||||
Capital Transactions: | ||||||||
Net proceeds from shares sold | 9,771,241 | 67,035,896 | ||||||
Cost of shares redeemed | - | (1,338,908 | ) | |||||
Net increase (decrease) in net assets from capital transactions | 9,771,241 | 65,696,988 | ||||||
Total increase (decrease) in net assets | 506,426 | 69,934,966 | ||||||
Net Assets: | ||||||||
Beginning of period | 69,934,966 | - | ||||||
End of period | $ | 70,441,392 | $ | 69,934,966 | ||||
Capital Share Transactions: | ||||||||
Shares sold | 310,000 | 2,230,000 | ||||||
Shares redeemed | - | (40,000 | ) | |||||
Net increase (decrease) in capital share transactions | 310,000 | 2,190,000 |
* | The Fund commenced operations on September 27, 2022. |
See accompanying Notes to Financial Statements.
34
AXS Brendan Wood TopGun Index ETF
STATEMENTS OF CHANGES IN NET ASSETS
For the Six Months Ended September 30, 2023 (Unaudited) |
For the Period Ended March 31, 2023* | |||||||
Increase (Decrease) in Net Assets from: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 276 | $ | 4,704 | ||||
Net realized gain (loss) on investments and foreign currency transactions | (42,764 | ) | (24,036 | ) | ||||
Net change in unrealized appreciation/depreciation on investments and foreign currency translations | 79,567 | (15,321 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 37,079 | (34,653 | ) | |||||
Distributions to Shareholders: | ||||||||
Total distributions to shareholders | - | (4,003 | ) | |||||
Capital Transactions: | ||||||||
Net proceeds from shares sold | - | 1,818,436 | ||||||
Net increase (decrease) in net assets from capital transactions | - | 1,818,436 | ||||||
Total increase (decrease) in net assets | 37,079 | 1,779,780 | ||||||
Net Assets: | ||||||||
Beginning of period | 1,779,780 | - | ||||||
End of period | $ | 1,816,859 | $ | 1,779,780 | ||||
Capital Share Transactions: | ||||||||
Shares sold | - | 60,000 | ||||||
Net increase (decrease) in capital share transactions | - | 60,000 |
* | The Fund commenced operations on November 8, 2022. |
See accompanying Notes to Financial Statements.
35
AXS Esoterica NextG Economy ETF^
STATEMENTS OF CHANGES IN NET ASSETS
For the Six Months Ended September 30, 2023 (Unaudited) |
For the Period Ended March 31, 2023* | For the Year Ended October 31, 2022 | ||||||||||
Increase (Decrease) in Net Assets from: | ||||||||||||
Operations: | ||||||||||||
Net investment income (loss) | $ | (19,491 | ) | $ | (17,146 | ) | $ | (110,864 | ) | |||
Net realized gain (loss) on investments, investments in kind and foreign currency transactions | (251,448 | ) | (770,745 | ) | (3,458,942 | ) | ||||||
Net change in unrealized appreciation/depreciation on investments and foreign currency translations | 2,241,887 | 4,147,777 | (16,174,608 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | 1,970,948 | 3,359,886 | (19,744,414 | ) | ||||||||
Capital Transactions: | ||||||||||||
Net proceeds from shares sold1 | 3,513,032 | - | 1,671,569 | |||||||||
Cost of shares redeemed1 | (4,110,840 | ) | - | (11,425,487 | ) | |||||||
Transactions fees (Note 2c) | 152 | - | 3,371 | |||||||||
Net increase (decrease) in net assets from capital transactions | (597,656 | ) | - | (9,750,547 | ) | |||||||
Total increase (decrease) in net assets | 1,373,292 | 3,359,886 | (29,494,961 | ) | ||||||||
Net Assets: | ||||||||||||
Beginning of period | 19,827,166 | 16,467,280 | 45,962,241 | |||||||||
End of period | $ | 21,200,458 | $ | 19,827,166 | $ | 16,467,280 | ||||||
Capital Share Transactions: | ||||||||||||
Shares sold | 75,000 | - | 25,000 | |||||||||
Shares redeemed | (100,000 | ) | - | (250,000 | ) | |||||||
Net increase (decrease) in capital share transactions | (25,000 | ) | - | (225,000 | ) |
^ | With the Plan of Reorganization with respect to the AXS Esoterica NextG Economy ETF (formerly, Esoterica NextG Economy ETF), shareholders received shares of the AXS Esoterica NextG Economy ETF effective as of the close of business on December 16, 2022. See Note 1 in the accompanying Notes to Financial Statements. |
* | Fiscal year end changed to March 31, effective February 1, 2023. |
1 | For the year ended October 31, 2022, the Fund had 250,000 Shares redeemed in-kind with total cost in the amount of $11,425,487. For the year ended October 31, 2021, the Fund had 725,000 Shares contributed in-kind with total proceeds in the amount of $38,854,252 and 275,000 Shares redeemed in-kind with total cost in the amount of $15,090,555. |
See accompanying Notes to Financial Statements.
36
AXS Brendan Wood TopGun Index ETF
STATEMENT OF CASH FLOWS
For the Six Months Ended September 30, 2023 (Unaudited)
Increase (Decrease) in Cash: | ||||
Cash flows provided by (used for) operating activities: | ||||
Net increase (decrease) in net assets resulting from operations | $ | 37,079 | ||
Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by (used for) operating activities: | ||||
Purchases of long-term investments | (338,156 | ) | ||
Sales of long-term investments | 336,538 | |||
Return of capital dividends received | - | |||
(Increase) Decrease in Assets: | ||||
Foreign currency | 164,606 | |||
Investment securities sold receivable | 10,522 | |||
Due from Advisor | 4,014 | |||
Dividends and interest receivables | 1,067 | |||
Reclaims receivable | 164 | |||
Increase (Decrease) in Liabilities: | ||||
Due to Custodian | (110,035 | ) | ||
Advisory fees payable | 240 | |||
Net realized (gain)/loss | 43,078 | |||
Net change in unrealized appreciation/depreciation | (80,041 | ) | ||
Net cash provided by (used for) operating activities | 69,076 | |||
Cash flows provided by (used for) financing activities: | ||||
Proceeds from shares sold | - | |||
Dividends paid to shareholders, net of reinvestments | - | |||
Net cash provided by (used for) financing activities | - | |||
Net Increase (Decrease) in cash | 69,076 | |||
Cash and cash equivalents | ||||
Beginning cash balance | - | |||
Beginning cash held at broker | - | |||
Total beginning cash and cash equivalents | - | |||
Ending cash balance | 69,076 | |||
Ending cash held at broker | - | |||
Total ending cash and cash equivalents | $ | 69,076 | ||
Supplemental disclosure of interest expense paid | $ | 4,709 |
See accompanying Notes to Financial Statements.
37
AXS Astoria Inflation Sensitive ETF
FINANCIAL HIGHLGHTS
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended September 30, 2023 (Unaudited) | For the Year Ended March 31, 2023 | For the Period Ended March 31, 2022* | ||||||||||
Net asset value, beginning of period | $ | 25.09 | $ | 28.49 | $ | 25.00 | ||||||
Income from Investment Operations: | ||||||||||||
Net investment income (loss)1 | 0.32 | 0.90 | 0.17 | |||||||||
Net realized and unrealized gain (loss) | 0.72 | (3.45 | ) | 3.32 | ||||||||
Total from investment operations | 1.04 | (2.55 | ) | 3.49 | ||||||||
Less Distributions: | ||||||||||||
From net investment income | (0.41 | ) | (0.85 | ) | - | |||||||
Total distributions | (0.41 | ) | (0.85 | ) | - | |||||||
Net asset value, end of period | $ | 25.72 | $ | 25.09 | $ | 28.49 | ||||||
Total return2,3 | 4.18 | %4 | (8.72 | )% | 13.96 | %4 | ||||||
Total return at market price2,5 | 3.95 | %4 | (9.06 | )% | 14.20 | %4 | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in thousands) | $ | 57,860 | $ | 68,988 | $ | 61,963 | ||||||
Ratio of expenses to average net assets6 | 0.70 | %7 | 0.70 | % | 0.70 | %7 | ||||||
Ratio of net investment income (loss) to average net assets | 2.48 | %7 | 3.50 | % | 2.51 | %7 | ||||||
Portfolio turnover rate8 | 60 | %4 | 81 | % | 11 | %4 |
* | The Fund commenced operations on December 29, 2021. |
1 | Based on average shares outstanding during the period. |
2 | Total returns do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or redemption of Fund shares. |
3 | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder's investment in the Fund based on market value due to the differences between the market price of the shares and the net asset value per share of the Fund. |
4 | Not annualized. |
5 | Market value total return is calculated assuming an initial investment made at market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price on the NYSE Arca. The composite closing price is the last reported sale, regardless of volume, and not an average price, and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund's closing price on the NYSE Arca. |
6 | If interest expense had been excluded, the expense ratios would have remained unchanged for the six months ended September 30, 2023. For the periods ended March 31, 2023 and March 31, 2022, the ratios would have remained unchanged. |
7 | Annualized. |
8 | Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units. |
See accompanying Notes to Financial Statements.
38
AXS Change Finance ESG ETF^
FINANCIAL HIGHLGHTS
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended September 30, 2023 (Unaudited) | For the Period Ended March 31, 2023* | For the Year Ended July 31, 2022 | For the Year Ended July 31, 2021 | For the Year Ended July 31, 2020 | For the Year Ended July 31, 2019 | |||||||||||||||||||
Net asset value, beginning of period | $ | 28.88 | $ | 28.69 | $ | 34.06 | $ | 24.44 | $ | 21.88 | $ | 19.66 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | 0.15 | 0.22 | 0.29 | 0.25 | 0.29 | 0.30 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.59 | 0.25 | (5.46 | ) | 9.54 | 2.47 | 2.13 | |||||||||||||||||
Net increase from payments by affiliates (Note 3) | - | 0.02 | - | - | - | - | ||||||||||||||||||
Total from investment operations | 0.74 | 0.49 | (5.17 | ) | 9.79 | 2.76 | 2.43 | |||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | - | (0.30 | ) | (0.20 | ) | (0.17 | ) | (0.20 | ) | (0.21 | ) | |||||||||||||
Total distributions | - | (0.30 | ) | (0.20 | ) | (0.17 | ) | (0.20 | ) | (0.21 | ) | |||||||||||||
Net asset value, end of period | $ | 29.62 | $ | 28.88 | $ | 28.69 | $ | 34.06 | $ | 24.44 | $ | 21.88 | ||||||||||||
Total return2,3 | 2.56 | %4 | 1.78 | %4,5 | (15.29 | )% | 40.19 | % | 12.69 | % | 12.63 | % | ||||||||||||
Total return at market price2,6 | 2.53 | %4 | 1.74 | %4 | (15.32 | )% | 40.44 | % | 12.34 | % | 12.72 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 118,465 | $ | 116,957 | $ | 103,281 | $ | 80,042 | $ | 19,551 | $ | 8,750 | ||||||||||||
Ratio of expenses to average net assets | 0.49 | %7,8 | 0.49 | %7 | 0.49 | % | 0.49 | % | 0.49 | % | 0.49 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | 0.98 | %7 | 1.17 | %7 | 0.94 | % | 0.82 | % | 1.33 | % | 1.48 | % | ||||||||||||
Portfolio turnover rate9 | 40 | %4 | 41 | %4 | 162 | % | 85 | % | 120 | % | 46 | % |
^ | Financial information from October 9, 2017 through March 18, 2022 is for the Change Finance ESG ETF, which was reorganized into the AXS Change Finance ESG ETF as of the close of business on March 18, 2022. See Note 1 in the accompanying Notes to Financial Statements. |
* | Fiscal year end changed to March 31, effective February 1, 2023. |
1 | Based on average shares outstanding during the period. |
2 | Total returns do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or redemption of Fund shares. |
3 | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder's investment in the Fund based on market value due to the differences between the market price of the shares and the net asset value per share of the Fund. |
4 | Not annualized. |
5 | Non-affiliate reimbursed the Fund $72,000 for errors during processing. The reimbursement had a 0.07% impact to the Fund's performance. |
6 | Market value total return is calculated assuming an initial investment made at market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price on the NYSE Arca. The composite closing price is the last reported sale, regardless of volume, and not an average price, and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund's closing price on the NYSE Arca. |
7 | Annualized. |
8 | If interest expense had been excluded, the expense ratios would have remained unchanged for the six months ended September 30, 2023. |
9 | Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units. |
See accompanying Notes to Financial Statements.
39
AXS First Priority CLO Bond ETF^
FINANCIAL HIGHLGHTS
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended September 30, 2023 (Unaudited) | For the Period Ended March 31, 2023* | For the Year Ended July 31, 2022 | For the Period Ended July 31, 2021** | |||||||||||||
Net asset value, beginning of period | $ | 24.50 | $ | 24.39 | $ | 25.08 | $ | 25.00 | ||||||||
Income from Investment Operations: | ||||||||||||||||
Net investment income (loss)1 | 0.78 | 0.79 | 0.32 | 0.25 | ||||||||||||
Net realized and unrealized gain (loss) | 0.25 | 0.17 | (0.74 | ) | 0.02 | 2 | ||||||||||
Total from investment operations | 1.03 | 0.96 | (0.42 | ) | 0.27 | |||||||||||
Less Distributions: | ||||||||||||||||
From net investment income | (0.65 | ) | (0.85 | ) | (0.29 | ) | (0.22 | ) | ||||||||
From net realized gain | - | - | - | 3 | - | |||||||||||
Total distributions | (0.65 | ) | (0.85 | ) | (0.29 | ) | (0.22 | ) | ||||||||
Transaction fees1 | - | - | 0.02 | 0.03 | ||||||||||||
Net asset value, end of period | $ | 24.88 | $ | 24.50 | $ | 24.39 | $ | 25.08 | ||||||||
Total return4,5 | 4.27 | %6 | 4.02 | %6 | (1.60 | )% | 1.21 | %6 | ||||||||
Total return at market price5,7 | 4.40 | %6 | 4.28 | %6 | (1.73 | )% | 0.98 | %6 | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in thousands) | $ | 7,463 | $ | 7,351 | $ | 7,317 | $ | 10,033 | ||||||||
Ratio of expenses to average net assets | 0.25 | %8 | 0.25 | %8 | 0.25 | % | 0.25 | %8 | ||||||||
Ratio of net investment income (loss) to average net assets | 6.31 | %8 | 4.84 | %8 | 1.29 | % | 1.11 | %8 | ||||||||
Portfolio turnover rate9 | - | %6 | 8 | %6 | 73 | % | 34 | %6 |
^ | Financial information from September 8, 2020 through October 14, 2022 is for the First Priority CLO Bond ETF, which was reorganized into the AXS First Priority CLO Bond ETF as of the close of business on October 14, 2022. See Note 1 in the accompanying Notes to Financial Statements. |
* | Fiscal year end changed to March 31, effective February 1, 2023. |
** | The Fund commenced operations on September 8, 2020. |
1 | Based on average shares outstanding during the period. |
2 | Due to timing of capital share transactions, the per share amount of net realized and unrealized gain (loss) on investments varies from the amounts shown in the Statement of Operations. |
3 | Amount represents less than $0.01 per share. |
4 | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder's investment in the Fund based on market value due to the differences between the market price of the shares and the net asset value per share of the Fund. |
5 | Total returns do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or redemption of Fund shares. |
6 | Not annualized. |
7 | Market value total return is calculated assuming an initial investment made at market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price on the NYSE Arca. The composite closing price is the last reported sale, regardless of volume, and not an average price, and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund's closing price on the NYSE Arca. |
8 | Annualized. |
9 | Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units. |
See accompanying Notes to Financial Statements.
40
AXS Green Alpha ETF
FINANCIAL HIGHLGHTS
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended September 30, 2023 (Unaudited) | For the Period Ended March 31, 2023* | |||||||
Net asset value, beginning of period | $ | 31.93 | $ | 30.00 | ||||
Income from Investment Operations: | ||||||||
Net investment income (loss)1 | 0.08 | 0.11 | ||||||
Net realized and unrealized gain (loss) | (3.68 | ) | 1.86 | |||||
Total from investment operations | (3.60 | ) | 1.97 | |||||
Less Distributions: | ||||||||
From net investment income | (0.15 | ) | (0.04 | ) | ||||
Total distributions | (0.15 | ) | (0.04 | ) | ||||
Net asset value, end of period | $ | 28.18 | $ | 31.93 | ||||
Total return2,3 | (11.31 | )%4 | 6.57 | %4 | ||||
Total return at market price3,5 | (11.32 | )%4 | 6.80 | %4 | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in thousands) | $ | 70,441 | $ | 69,935 | ||||
Ratio of expenses to average net assets | 1.00 | %6 | 1.00 | %6,7 | ||||
Ratio of net investment income (loss) to average net assets | 0.49 | %6 | 0.68 | %6 | ||||
Portfolio turnover rate8 | 2 | %4 | 2 | %4 |
* | The Fund commenced operations on September 27, 2022. |
1 | Based on average shares outstanding during the period. |
2 | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder's investment in the Fund based on market value due to the differences between the market price of the shares and the net asset value per share of the Fund. |
3 | Total returns do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or redemption of Fund shares. |
4 | Not annualized. |
5 | Market value total return is calculated assuming an initial investment made at market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price on the NYSE Arca. The composite closing price is the last reported sale, regardless of volume, and not an average price, and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund's closing price on the NYSE Arca. |
6 | Annualized. |
7 | If interest expense had been excluded, the expense ratios would have remained unchanged for the period ended March 31, 2023. |
8 | Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units. |
See accompanying Notes to Financial Statements.
41
AXS Brendan Wood TopGun Index ETF
FINANCIAL HIGHLGHTS
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended September 30, 2023 (Unaudited) | For the Period Ended March 31, 2023* | |||||||
Net asset value, beginning of period | $ | 29.66 | $ | 30.00 | ||||
Income from Investment Operations: | ||||||||
Net investment income (loss)1 | - | 0.09 | ||||||
Net realized and unrealized gain (loss) | 0.62 | (0.35 | ) | |||||
Total from investment operations | 0.62 | (0.26 | ) | |||||
Less Distributions: | ||||||||
From net investment income | - | (0.08 | ) | |||||
Total distributions | - | (0.08 | ) | |||||
Net asset value, end of period | $ | 30.28 | $ | 29.66 | ||||
Total return2,3 | 2.09 | %4 | (0.86 | )%4 | ||||
Total return at market price2,5 | 1.95 | %4 | (0.69 | )%4 | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in thousands) | $ | 1,817 | $ | 1,780 | ||||
Ratio of expenses to average net assets | 1.36 | %6,7 | 1.73 | %6,7 | ||||
Ratio of net investment income (loss) to average net assets | 0.03 | %6 | 0.75 | %6 | ||||
Portfolio turnover rate8 | 18 | %4 | 51 | %4 |
* | The Fund commenced operations on November 8, 2022. |
1 | Based on average shares outstanding during the period. |
2 | Total returns do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or redemption of Fund shares. |
3 | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder's investment in the Fund based on market value due to the differences between the market price of the shares and the net asset value per share of the Fund. |
4 | Not annualized. |
5 | Market value total return is calculated assuming an initial investment made at market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price on NYSE Arca, Inc. The composite closing price is the last reported sale, regardless of volume, and not an average price, and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund's closing price on NYSE Arca, Inc. |
6 | Annualized. |
7 | If interest expense had been excluded, the expense ratio would have been lowered by 0.38% for the period ended September 30, 2023 and 0.75% for the period ended March 31, 2023. |
8 | Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units. |
See accompanying Notes to Financial Statements.
42
AXS Esoterica NextG Economy ETF^
FINANCIAL HIGHLGHTS
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended September 30, 2023 (Unaudited) | For the Period Ended March 31, 2023* | For the Year Ended October 31, 2022 | For the Year Ended October 31, 2021 | For the Period Ended October 31, 2020** | ||||||||||||||||
Net asset value, beginning of period | $ | 39.59 | $ | 32.88 | $ | 63.33 | $ | 43.22 | $ | 25.60 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income (loss)1 | (0.04 | ) | (0.03 | ) | (0.18 | ) | (0.20 | ) | (0.07 | ) | ||||||||||
Net realized and unrealized gain (loss) | 5.01 | 6.74 | (30.28 | ) | 20.28 | 17.69 | ||||||||||||||
Total from investment operations | 4.97 | 6.71 | (30.46 | ) | 20.08 | 17.62 | ||||||||||||||
Transaction fees1 | - | 2 | - | 0.01 | 0.03 | - | 2 | |||||||||||||
Net asset value, end of period | $ | 44.56 | $ | 39.59 | $ | 32.88 | $ | 63.33 | $ | 43.22 | ||||||||||
Total return3,4 | 12.55 | %5 | 20.41 | %5 | (48.08 | )% | 46.53 | % | 68.85 | %5 | ||||||||||
Total return at market price4,6 | 12.84 | %5 | 20.26 | %5 | (48.05 | )% | 46.27 | % | 68.80 | %5 | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 21,200 | $ | 19,827 | $ | 16,467 | $ | 45,962 | $ | 11,918 | ||||||||||
Ratio of expenses to average net assets (including interest expense): | ||||||||||||||||||||
Before fees waived and expenses absorbed/recovered | 1.57 | %7,8 | 2.13 | %8 | 2.01 | % | 1.55 | % | 3.90 | %8 | ||||||||||
After fees waived and expenses absorbed/recovered | 0.76 | %7,8 | 0.75 | %8 | 0.75 | % | 0.75 | % | 0.75 | %8 | ||||||||||
Ratio of net investment income (loss) to average net assets (including interest expense): | ||||||||||||||||||||
Before fees waived and expenses absorbed/recovered | (1.00 | )%8 | (1.62 | )%8 | (1.62 | )% | (1.16 | )% | (3.44 | )%8 | ||||||||||
After fees waived and expenses absorbed/recovered | (0.19 | )%8 | (0.24 | )%8 | (0.36 | )% | (0.36 | )% | (0.29 | )%8 | ||||||||||
Portfolio turnover rate9 | 17 | %5 | 16 | %5 | 31 | % | 29 | % | 130 | %5 |
^ | Financial information from March 30, 2020 through December 16, 2022 is for the Esoterica NextG Economy ETF, which was reorganized into the AXS Esoterica NextG Economy ETF as of the close of business on December 16, 2022. See Note 1 in the accompanying Notes to Financial Statements. |
* | Fiscal year end changed to March 31, effective February 1, 2023. |
** | The Fund commenced operations on March 30, 2020. |
1 | Based on average shares outstanding during the period. |
2 | Amount represents less than $0.01 per share. |
3 | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder's investment in the Fund based on market value due to the differences between the market price of the shares and the net asset value per share of the Fund. |
4 | Total return would have been lower had fees not been waived or absorbed by the Advisor. These returns do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or redemption of Fund shares. |
5 | Not annualized. |
6 | Market value total return is calculated assuming an initial investment made at market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price on the CBOE BZX Exchange, Inc. The composite closing price is the last reported sale, regardless of volume, and not an average price, and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund's closing price on the CBOE BZX Exchange, Inc. |
7 | If interest expense had been excluded, the expense ratios would have been lowered by 0.01% for six months ended September 30, 2023. |
8 | Annualized. |
9 | Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units. |
See accompanying Notes to Financial Statements.
43
AXS Funds
NOTES TO FINANCIAL STATEMENTS
September 30, 2023 (Unaudited)
Note 1 – Organization
AXS Astoria Inflation Sensitive ETF (the “Astoria Inflation Sensitive ETF”), AXS Change Finance ESG ETF (the “Change Finance ESG ETF”), AXS First Priority CLO Bond ETF (the “First Priority CLO Bond ETF”), AXS Green Alpha ETF (the “Green Alpha ETF”), AXS Brendan Wood TopGun Index ETF (the “Brendan Wood TopGun Index ETF”) and AXS Esoterica NextG Economy ETF (the “Esoterica NextG Economy ETF”) (each a “Fund” and collectively the ‘‘Funds’’) are organized as a series of Investment Managers Series Trust II, a Delaware statutory trust (the “Trust”) which is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”).
The Astoria Inflation Sensitive ETF’s primary investment objective is to seek long-term capital appreciation in inflation-adjusted terms. The Astoria Inflation Sensitive ETF is classified as a non-diversified Fund. The Astoria Inflation Sensitive ETF is an actively managed exchange-traded fund (“ETF”). The Astoria Inflation Sensitive ETF commenced operations on December 29, 2021.
The Change Finance ESG ETF’s primary investment objective is to seek to track the performance, before fees and expenses, of the Change Finance Diversified Impact U.S. Large Cap Fossil Fuel Free Index. The Change Finance ESG ETF is classified as a diversified Fund. The Change Finance ESG ETF is a passively managed ETF. Effective February 1, 2023, the Change Finance ESG ETF changed fiscal and tax year ends from July 31st to March 31st.
The Change Finance ESG ETF commenced investment operations on March 21, 2022. Prior to that date, the Change Finance ESG ETF acquired the assets and assumed the liabilities of the Change Finance U.S. Large Cap Fossil Fuel Free ETF (the "Change Finance ESG ETF Predecessor Fund"), a series of ETF Series Solutions in a tax-free reorganization as set out in the Agreement and Plan of Reorganization. The proposed Plan of Reorganization was approved by the Trust’s Board on December 6, 2021, by the Board of ETF Series Solutions on December 13, 2021, and by beneficial owners of the Change Finance ESG ETF Predecessor Fund on March 15, 2022. The tax-free reorganization was accomplished on March 18, 2022. As a result of the reorganization, the Change Finance ESG ETF assumed the performance and accounting history of the Change Finance ESG ETF Predecessor Fund. Financial information included for the dates prior to the reorganization is that of the Change Finance ESG ETF Predecessor Fund.
The reorganization was accomplished by the following tax-free exchange in which each shareholder of the Change Finance ESG ETF Predecessor Fund received the same aggregate share net asset value in the corresponding classes as noted below:
Shares Issued | Net Assets | |||||||
3,850,000 | $ | 120,130,454 |
The net unrealized appreciation of investments transferred was $2,026,619 as of the date of the acquisition.
The First Priority CLO Bond ETF’s primary investment objective is to seek capital preservation and income. The First Priority CLO Bond ETF is classified as a diversified Fund. The First Priority CLO Bond ETF is an actively managed ETF. Effective February 1, 2023, the First Priority CLO Bond ETF changed fiscal year end from July 31st to March 31st.
The First Priority CLO Bond ETF commenced investment operations on October 17, 2022. Prior to that date, the First Priority CLO Bond ETF acquired the assets and assumed the liabilities of the AAF First Priority CLO Bond ETF (the "First Priority CLO Bond ETF Predecessor Fund"), a series of Listed Funds Trust in a tax-free reorganization as set out in the Agreement and Plan of Reorganization. The proposed Plan of Reorganization was approved by the Trust’s Board on April 21, 2022, by the Board of Listed Funds Trust on April 13, 2022, and by beneficial owners of the First Priority CLO Bond ETF Predecessor Fund on June 21, 2022. The tax-free reorganization was accomplished on October 14, 2022. As a result of the reorganization, the First Priority CLO Bond ETF assumed the performance and accounting history of the First Priority CLO Bond ETF Predecessor Fund. Financial information included for the dates prior to the reorganization is that of the First Priority CLO Bond ETF Predecessor Fund.
44
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2023 (Unaudited)
The reorganization was accomplished by the following tax-free exchange in which each shareholder of the AAF First Priority CLO Bond ETF Predecessor Fund received the same aggregate share net asset value in the corresponding classes as noted below:
Shares Issued | Net Assets | |||||||
300,000 | $ | 7,243,274 |
The net unrealized depreciation of investments transferred was $198,016 as of the date of the acquisition.
The Green Alpha ETF’s primary investment objective is to seek long-term capital appreciation. The Green Alpha ETF is classified as a diversified Fund. The Green Alpha ETF is an actively managed ETF. The Green Alpha ETF commenced operations on September 27, 2022.
The Brendan Wood TopGun Index ETF’s primary investment objective is to seek to track the performance, before fees and expenses, of the Brendan Wood TopGun Index. The Brendan Wood TopGun Index ETF is classified as a non-diversified Fund. The Brendan Wood TopGun Index ETF is a passively managed ETF. The Brendan Wood TopGun Index ETF commenced operations on November 8, 2022.
The Esoterica NextG Economy ETF’s primary investment objective is to seek capital appreciation. The Esoterica NextG Economy ETF is an actively managed ETF. The Esoterica NextG Economy ETF is a non-diversified fund. Effective February 1, 2023, the Esoterica NextG Economy ETF changed fiscal year end from October 31st to March 31st.
The Esoterica NextG Economy ETF commenced investment operations on December 19, 2022. Prior to that date, the Esoterica NextG Economy ETF acquired the assets and assumed the liabilities of the Esoterica NextG Economy ETF (the "Esoterica NextG Economy ETF Predecessor Fund"), a series of Listed Funds Trust in a tax-free reorganization as set out in the Agreement and Plan of Reorganization. The proposed Plan of Reorganization was approved by the Trust’s Board on October 18, 2022, by the Esoterica Thematic Trust on October 13, 2022, and by beneficial owners of the Esoterica NextG Economy ETF Predecessor Fund on December 15, 2022. The tax-free reorganization was accomplished on December 16, 2022. As a result of the reorganization, the Esoterica NextG Economy ETF assumed the performance and accounting history of the Esoterica NextG Economy ETF Predecessor Fund. Financial information included for the dates prior to the reorganization is that of the Esoterica NextG Economy ETF Predecessor Fund.
The reorganization was accomplished by the following tax-free exchange in which each shareholder of the Esoterica NextG Economy ETF Predecessor Fund received the same aggregate share net asset value in the corresponding classes as noted below:
Shares Issued | Net Assets | |||||||
500,754 | $ | 16,579,393 |
The net unrealized depreciation of investments transferred was $7,610,299 as of the date of the acquisition.
45
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2023 (Unaudited)
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services—Investment Companies.”
Note 2 – Accounting Policies
The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of their financial statements. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
(a) Valuation of Investments
The Funds value equity securities at the last reported sale price on the principal exchange or in the principal over the counter (“OTC”) market in which such securities are traded, as of the close of regular trading on the NYSE on the day the securities are being valued or, if the last-quoted sales price is not readily available, the securities will be valued at the last bid or the mean between the last available bid and ask price. Securities traded on the NASDAQ are valued at the NASDAQ Official Closing Price (“NOCP”). Investments in open-end investment companies are valued at the daily closing net asset value of the respective investment company. Debt securities are valued by utilizing a price supplied by independent pricing service providers. The independent pricing service providers may use various valuation methodologies including matrix pricing and other analytical pricing models as well as market transactions and dealer quotations. These models generally consider such factors as yields or prices of bonds of comparable quality, type of issue, coupon, maturity, ratings and general market conditions. If a price is not readily available for a portfolio security, the security will be valued at fair value (the amount which the Funds might reasonably expect to receive for the security upon its current sale). The Board of Trustees has designated the Advisor as the Funds’ valuation designee (the “Valuation Designee”) to make all fair value determinations with respect to the Funds’ portfolio investments, subject to the Board’s oversight. As the Valuation Designee, the Advisor has adopted and implemented policies and procedures to be followed when the Funds must utilize fair value pricing. Prior to September 8, 2022, security valued at fair value as determined in good faith by the Funds’ advisor, subject to review and approval by the Valuation Committee, pursuant to procedures adopted by the Board of Trustees. The actions of the Valuation Committee were subsequently reviewed by the Board at its next regularly scheduled board meeting. The Valuation Committee met as needed. The Valuation Committee was comprised of all the Trustees, but action may had been taken by any one of the Trustees.
Foreign securities traded in countries outside the U.S. are fair valued by utilizing the quotations of an independent pricing service. The pricing service uses statistical analyses and quantitative models to adjust local prices using factors such as subsequent movement and changes in the prices of indexes, securities and exchange rates in other markets in determining fair value as of the time the Funds calculate the NAVs. The Board reviews the independent third party fair valuation analysis report quarterly.
(b) Investment Transactions, Investment Income and Expenses
Investment transactions are accounted for on the trade date. Realized gains and losses on investments are determined on the identified cost basis. Dividend income is recorded net of applicable withholding taxes on the ex-dividend date and interest income is recorded on an accrual basis. Withholding taxes on foreign dividends, if applicable, are paid (a portion of which may be reclaimable) or provided for in accordance with the applicable country’s tax rules and rates and are disclosed in the Statement of Operations. Withholding tax reclaims are filed in certain countries to recover a portion of the amounts previously withheld. The Funds record a reclaim receivable based on a number of factors, including a jurisdiction’s legal obligation to pay reclaims as well as payment history and market convention. Discounts on debt securities are accreted or amortized to interest income over the lives of the respective securities using the effective interest method. Premiums for callable debt securities are amortized to the earliest call date, if the call price was less than the purchase price. If the call price was not at par and the security was not called, the security is amortized to the next call price and date.
46
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2023 (Unaudited)
(c) Capital Share Transactions
Fund Shares are listed and traded on the Exchange on each day that the Exchange is open for business (“Business Day”). Individual Fund Shares may only be purchased and sold on the Exchange through a broker-dealer. Because the Funds’ Shares trade at market prices rather than at their NAV, Shares may trade at a price equal to the NAV, greater than NAV (premium) or less than NAV (discount).
The Funds offer and redeem Shares on a continuous basis at NAV only in large blocks of Shares, currently 25,000 Shares for the Astoria Inflation Sensitive ETF, Change Finance ESG ETF and Esoterica NextG Economy ETF, 100,000 Shares for the First Priority CLO Bond ETF and 10,000 Shares for the Green Alpha ETF and Brendan Wood TopGun Index ETF, respectively (“Creation Unit”). Except when aggregated in Creation Units, Shares are not redeemable securities of the Funds. Fund Shares may only be purchased from or redeemed to the Funds by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a Depository Trust Company (“DTC”) participant and, in each case, must have executed a Participant Agreement with the Distributor. Creation Units are available for purchase and redemption on each Business Day and are offered and redeemed on an in-kind basis, together with the specified cash amount, or for an all cash amount.
To the extent contemplated by a participant agreement, in the event an Authorized Participant has submitted a redemption request in proper form but is unable to transfer all or part of the shares comprising a Creation Unit to be redeemed by the Distributor, on behalf of the Funds, by the time as set forth in a participant agreement, the Distributor may nonetheless accept the redemption request in reliance on the undertaking by the Authorized Participant to deliver the missing shares as soon as possible, which undertaking shall be secured by the Authorized Participant’s delivery and maintenance of collateral equal to a percentage of the market value as set forth in the Participant Agreement. A participant agreement may permit the Funds to use such collateral to purchase the missing shares, and could subject an Authorized Participant to liability for any shortfall between the cost of the Funds acquiring such shares and the value of the collateral.
Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the Shares directly from the Funds. Rather, most retail investors will purchase Shares in the secondary market with the assistance of a broker, which will be subject to customary brokerage commissions or fees.
A fixed purchase (i.e., creation) transaction fee is imposed for the transfer and other transaction costs associated with the purchase of Creation Units, and investors will be required to pay a creation transaction fee regardless of the number of Creation Units created in the transaction. The Funds may adjust the creation transaction fee from time to time based upon actual experience. In addition, a variable fee may be imposed for cash purchases, non-standard orders, or partial cash purchases of Creation Units. The variable fee is primarily designed to cover non-standard charges, e.g., brokerage, taxes, foreign exchange, execution, market impact, and other costs and expenses, related to the execution of trades resulting from such transaction. The Funds may adjust the non-standard charge from time to time based upon actual experience. Investors who use the services of an Authorized Participant, broker or other such intermediary may be charged a fee for such services which may include an amount for the creation transaction fee and non-standard charges. Investors are responsible for the costs of transferring the securities constituting the deposit securities to the account of the Trust. The Adviser may retain all or a portion of the transaction fee to the extent the Adviser bears the expenses that otherwise would be borne by the Trust in connection with the issuance of a Creation Unit, which the transaction fee is designed to cover. The standard Creation Unit transaction fee for the Astoria Inflation Sensitive ETF, Change Finance ESG ETF, First Priority CLO Bond ETF, Green Alpha ETF, Brendan Wood TopGun Index ETF and Esoterica NextG Economy ETF is $350, $350, $100, $100, $100 and $500, respectively, regardless of the number of Creation Units created in the transaction.
47
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2023 (Unaudited)
A fixed redemption transaction fee may be imposed for the transfer and other transaction costs associated with the redemption of Creation Units, and Authorized Participants will be required to pay a redemption transaction fee regardless of the number of Creation Units created in the transaction. The redemption transaction fee is the same no matter how many Creation Units are being redeemed pursuant to any one redemption request. The Funds may adjust the redemption transaction fee from time to time based upon actual experience. In addition, a variable fee, payable to the Funds, may be imposed for cash redemptions, non-standard orders, or partial cash redemptions for the Funds. The variable fee is primarily designed to cover non-standard charges, e.g., brokerage, taxes, foreign exchange, execution, market impact, and other costs and expenses, related to the execution of trades resulting from such transaction. Investors who use the services of an Authorized Participant, broker or other such intermediary may be charged a fee for such services which may include an amount for the redemption transaction fees and non-standard charges. Investors are responsible for the costs of transferring the securities constituting the Funds securities to the account of the Trust. The non-standard charges are payable to the Funds as it incurs costs in connection with the redemption of Creation Units, the receipt of Funds securities and the cash redemption amount and other transactions costs. The standard redemption transaction fee for the Astoria Inflation Sensitive ETF, Change Finance ESG ETF, First Priority CLO Bond ETF, Green Alpha ETF, Brendan Wood TopGun Index ETF and Esoterica NextG Economy ETF is $350, $350, $100, $100, $100 and $500, respectively, regardless of the number of Creation Units redeemed in the transaction.
(d) Foreign Currency Translation
The Funds’ records are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the reporting period. The currencies are translated into U.S. dollars by using the exchange rates quoted as of 4:00 PM Eastern Standard Time. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.
The Funds do not isolate that portion of its net realized and unrealized gains and losses on investments resulting from changes in foreign exchange rates from the impact arising from changes in market prices. Such fluctuations are included with net realized and unrealized gain or loss from investments and foreign currency.
Net realized foreign currency transaction gains and losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the differences between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency translation gains and losses arise from changes in the value of assets and liabilities, other than investments in securities, resulting from changes in the exchange rates.
(e) Federal Income Taxes
The Funds intend to comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its net investment income and any net realized gains to its shareholders. Therefore, no provision is made for federal income or excise taxes. Due to the timing of dividend distributions and the differences in accounting for income and realized gains and losses for financial statement and federal income tax purposes, the fiscal year in which amounts are distributed may differ from the year in which the income and realized gains and losses are recorded by the Funds.
48
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2023 (Unaudited)
Accounting for Uncertainty in Income Taxes (the “Income Tax Statement”) requires an evaluation of tax positions taken (or expected to be taken) in the course of preparing a Funds’ tax returns to determine whether these positions meet a “more-likely-than-not” standard that, based on the technical merits, have a more than fifty percent likelihood of being sustained by a taxing authority upon examination. A tax position that meets the “more-likely-than-not” recognition threshold is measured to determine the amount of benefit to recognize in the financial statements. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statement of Operations.
The Income Tax Statement requires management of the Funds to analyze tax positions taken in the prior three open tax years, if any, and tax positions expected to be taken in the Funds’ current tax year, as defined by the IRS statute of limitations for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of September 30, 2023, and during the prior open tax years, the Funds did not have a liability for any unrecognized tax benefits. The Funds have no examination in progress and are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
(f) Distributions to Shareholders
The Funds will make distributions of net investment income per the table below and net capital gains, if any, at least annually. Distributions to shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Distribution Frequency of | |
Net Investment Income | |
Astoria Inflation Sensitive ETF | Quarterly |
Change Finance ESG ETF | Annually |
First Priority CLO Bond ETF | Monthly |
Green Alpha ETF | Quarterly |
Brendan Wood TopGun Index ETF | Annually |
Esoterica NextG Economy ETF | Annually |
The character of distributions made during the year from net investment income or net realized gains may differ from the characterization for federal income tax purposes due to differences in the recognition of income, expense and gain (loss) items for financial statement and tax purposes.
(g) Illiquid Securities
Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted a Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Funds limit its illiquid investments that are assets to no more than 15% of net assets. An illiquid investment is any security which may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. If the Advisor, at any time, determines that the value of illiquid securities held by the Funds exceed 15% of its NAV, the Advisor will take such steps as it considers appropriate to reduce them as soon as reasonably practicable in accordance with the Funds’ written LRMP.
49
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2023 (Unaudited)
(h) Exchange Traded Funds (ETFs)
ETFs typically trade on securities exchanges and their shares may, at times, trade at a premium or discount to their net asset values. In addition, an ETF may not replicate exactly the performance of the benchmark index it seeks to track for a number of reasons, including transaction costs incurred by the ETF, the temporary unavailability of certain index securities in the secondary market or discrepancies between the ETF and the index with respect to the weighting of securities or the number of securities held. Investing in ETFs, which are investment companies, may involve duplication of advisory fees and certain other expenses. As a result, Fund shareholders indirectly bear their proportionate share of these acquired expenses. Therefore, the cost of investing in the Funds will be higher than the cost of investing directly in ETFs and may be higher than other mutual funds that invest directly in securities.
Each ETF in which the Funds invest is subject to specific risks, depending on the nature of the ETF. Each ETF is subject to the risks associated with direct ownership of the securities comprising the index on which the ETF is based. These risks could include liquidity risk, sector risk as well as risks associated with fixed-income securities.
Note 3 – Investment Advisory and Other Agreements
The Trust, on behalf of each Fund, entered into an Investment Advisory Agreement (the “Agreement”) with AXS Investments LLC (the “Advisor”). Under the terms of the Agreement, the Funds pay a monthly investment advisory fee to the Advisor based on each Fund’s average daily net assets. The annual rates are listed in the table below:
Investment Advisory Fees | |
Astoria Inflation Sensitive ETF | 0.70% |
Change Finance ESG ETF | 0.49% |
First Priority CLO Bond ETF | 0.25% |
Green Alpha ETF | 1.00% |
Brendan Wood TopGun Index ETF | 0.98% |
Esoterica NextG Economy ETF | 0.75% |
The Advisor has agreed to pay all expenses of the Astoria Inflation Sensitive ETF, Change Finance ESG ETF, First Priority CLO Bond ETF, Green Alpha ETF and Brendan Wood TopGun Index ETF except for the advisory fee, interest, dividends and other expenses on securities sold short, taxes, brokerage commissions and other expenses incurred in placing or settlement of orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, accrued deferred tax liability, extraordinary expenses, and distribution fees and expenses paid under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act.
Prior to the close of business on December 16, 2022, investment advisory services were provided to the Esoterica NextG Economy ETF Predecessor Fund by Esoterica Capital LLC (“Esoterica” or “Sub-Advisor”), which received investment management fees for its services pursuant to the terms of the investment advisory agreements for the Fund’s Predecessor Fund’s. The investment advisory fees, which were computed and accrued daily and paid monthly, at an annual rate of 0.75% of the Funds’ average daily net assets. For the period December 17, 2022 through March 31, 2023, the Esoterica NextG Economy ETF paid the Advisor $38,285. For the period November 1, 2022 through December 16, 2022, the NextG Economy ETF Predecessor Fund paid Esoterica $15,911.
The Advisor has contractually agreed to waive its fee and, if necessary, to absorb other operating expenses to ensure that total annual operating expenses (excluding any taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses as determined in accordance with Form N-1A, other fees related to underlying investments (such as option fees and expenses or swap fees and expenses), expenses incurred in connection with any merger or reorganization, and extraordinary expenses such as litigation expenses) in order to limit total annual operating expenses of each fund. This agreement is in effect until December 16, 2024 for the Esoterica NextG Economy ETF and it may be terminated before that date only by the Trust’s Board of Trustees. The table below contains the expense cap by Fund:
50
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2023 (Unaudited)
Total Limit on Annual | |
Operating Expenses | |
Esoterica NextG Economy ETF | 0.75% |
The Advisor is permitted to seek reimbursement from the Fund, subject to certain limitations, of fees waived or payments made to the Fund for a period of three years after the date of the waiver or payment. This reimbursement may be requested from the Fund if the reimbursement will not cause the Esoterica NextG Economy ETF’s annual expense ratio to exceed the lesser of (a) the expense limitation amount in effect at the time such fees were waived or payments made, or (b) the expense limitation amount in effect at the time of the reimbursement. The Advisor may recapture all or a portion of this amount no later than the years stated below:
Esoterica NextG Economy ETF |
||||
March 31, 2026 | $ | 51,804 | ||
March 31, 2027 | 85,912 | |||
Total | $ | 137,716 |
For the period November 1, 2022 through December 16, 2022, Esoterica waived advisory fees and other expenses absorbed totaling $47,943 for the Esoterica NextG Economy ETF Predecessor Fund. These amounts are not recoupable.
The Advisor has engaged Astoria Portfolio Advisors LLC (“Astoria”) to manage the Astoria Inflation Sensitive ETF’s overall investment program and pays Astoria an annual sub-advisory fee based upon the Astoria Inflation Sensitive ETF’s average daily net assets. The Advisor is responsible for paying the entire amount of Astoria’s sub-advisory fee. The Astoria Inflation Sensitive ETF does not directly pay the Sub-Advisor.
The Advisor has engaged Change Finance, PBC (“Change Finance” or the “Sub-Advisor”) to manage the Change Finance ESG ETF’s overall investment program and pays Change Finance an annual sub-advisory fee based upon the Change Finance ESG ETF’s investment advisory fees. The Advisor is responsible for paying the entire amount of Change Finance’s sub-advisory fee. The Change Finance ESG ETF does not directly pay the Sub-Advisor.
The Advisor has engaged Alternative Access Funds, LLC (“AAF” or the “Sub-Advisor”) to manage the First Priority CLO Bond ETF’s overall investment program and pays AAF an annual sub-advisory fee based upon the First Priority CLO Bond ETF’s investment advisory fees. The Advisor is responsible for paying the entire amount of AAF’s sub-advisory fee. The First Priority CLO Bond ETF does not directly pay the Sub-Advisor.
The Advisor has engaged Green Alpha Advisors, LLC (“Green Alpha”) to manage the Green Alpha ETF’s overall investment program and pays Green Alpha an annual sub-advisory fee based upon the Green Alpha ETF’s investment advisory fees. The Advisor is responsible for paying the entire amount of Green Alpha’s sub-advisory fee. The Green Alpha ETF does not directly pay the Sub-Advisor.
51
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2023 (Unaudited)
The Advisor has engaged Esoterica to manage the Esoterica NextG Economy ETF’s overall investment program and pays Esoterica an annual sub-advisory fee based upon the Esoterica NextG Economy ETF’s investment advisory fees. The Advisor is responsible for paying the entire amount of Esoterica’s sub-advisory fee. The Esoterica NextG Economy ETF does not directly pay the Sub-Advisor.
Brown Brothers Harriman & Co. (“BBH”) serves as the Funds’ fund accountant, transfer agent and custodian. UMB Fund Services (“UMBFS”) and Mutual Fund Administration, LLC (“MFAC”) serve as the Funds’ co-administrators.
ALPS Distributors, Inc. serves as the Funds’ Distributor (the “Distributor”). The Distributor does not receive compensation from the Funds for its distribution services; the Advisor pays the Distributor a fee for its distribution-related services.
Certain trustees and officers of the Trust are employees of UMBFS or MFAC. The Funds do not compensate trustees and officers affiliated with the Funds’ co-administrators. For the six months ended September 30, 2023, the Funds’ allocated fees incurred to Trustees who are not affiliated with the Funds’ co-administrators are reported on the Statements of Operations.
The Funds’ Board of Trustees has adopted a Deferred Compensation Plan (the “Plan”) for the Independent Trustees that enables Trustees to elect to receive payment in cash or the option to select various Fund in the Trust in which their deferred accounts shall be deemed to be invested. If a trustee elects to defer payment, the Plan provides for the creation of a deferred payment account. The Funds’ liability for these amounts are adjusted for market value changes in the invested Fund and remains a liability to the Fund until distributed in accordance with the Plan. The Trustees Deferred compensation liability under the Plan constitutes a general unsecured obligation of the Funds and are disclosed in the Statements of Assets and Liabilities. Contributions made under the plan and the change in unrealized appreciation (depreciation) and income are included in the Trustees' fees and expenses in the Statements of Operations.
Dziura Compliance Consulting, LLC provides Chief Compliance Officer (“CCO”) services to the Trust.
During the period ended March 31, 2023, the index calculation agent agreed to reimburse Change Finance ESG ETF Predecessor Fund $72,000 for losses from an index calculation error. This amount is reported on the Change Finance ESG ETF's Statements of Changes and Financial Highlights under the caption “Net increase from payments by non-affiliate.” This reimbursement had a 0.07% increase to the Fund's total return. As of March 31, 2023, the Change Finance ESG ETF Predecessor Fund received $50,000. An additional $10,652 was received on May 30, 2023. The remaining balance of $11,348 is reported as other receivable on the Statements of Assets and Liabilities.
52
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2023 (Unaudited)
Note 4 – Federal Income Taxes
At September 30, 2023, gross unrealized appreciation and depreciation on investments owned by the Funds, based on cost for federal income tax purposes were as follows:
Astoria Inflation Sensitive ETF | Change Finance ESG ETF | First Priority CLO Bond ETF | ||||||||||
Cost of investments | $ | 55,279,642 | $ | 118,269,181 | $ | 6,875,408 | ||||||
Gross unrealized appreciation | $ | 3,885,028 | $ | 9,368,236 | $ | 26,485 | ||||||
Gross unrealized depreciation | (1,837,893 | ) | (9,430,723 | ) | (14,956 | ) | ||||||
Net unrealized appreciation (depreciation) on investments | $ | 2,047,135 | $ | (62,487 | ) | $ | 11,529 |
Green Alpha ETF | Brendan Wood TopGun Index ETF | Esoterica NextG Economy ETF | ||||||||||
Cost of investments | $ | 74,395,265 | $ | 1,746,670 | $ | 21,519,629 | ||||||
Gross unrealized appreciation | $ | 8,437,388 | $ | 124,834 | $ | 2,949,940 | ||||||
Gross unrealized depreciation | (12,730,269 | ) | (61,010 | ) | (4,154,314 | ) | ||||||
Net unrealized appreciation (depreciation) on investments | $ | (4,292,881 | ) | $ | 63,824 | $ | (1,204,374 | ) |
The difference between cost amounts for financial statement and federal income tax purposes is due primarily to timing differences in recognizing certain gains and losses in security transactions.
As of March 31, 2023, the components of accumulated earnings (deficit) on a tax basis were as follows:
Astoria Inflation Sensitive ETF | Change Finance ESG ETF | First Priority CLO Bond ETF | ||||||||||
Undistributed ordinary income | $ | 165,630 | $ | 304,240 | $ | - | ||||||
Undistributed long-term capital gains | - | - | - | |||||||||
Tax distributable earnings | 165,630 | 304,240 | - | |||||||||
Accumulated capital and other losses | (10,739,428 | ) | (17,032,833 | ) | (151,535 | ) | ||||||
Net unrealized appreciation (depreciation) on investments | (320,248 | ) | (1,645,498 | ) | (61,982 | ) | ||||||
Net unrealized appreciation (depreciation) on foreign currency translations | 910 | - | - | |||||||||
Unrealized deferred compensation | - | - | - | |||||||||
Total distributable earnings (deficit) | $ | (10,893,136 | ) | $ | (18,374,091 | ) | $ | (213,517 | ) |
53
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2023 (Unaudited)
Green Alpha ETF | Brendan Wood TopGun Index ETF | Esoterica NextG Economy ETF | ||||||||||
Undistributed ordinary income | $ | 151,543 | $ | 701 | $ | - | ||||||
Undistributed long-term capital gains | 12,576 | - | - | |||||||||
Tax distributable earnings | 164,119 | 701 | - | |||||||||
Accumulated capital and other losses | - | (23,974 | ) | (4,381,023 | ) | |||||||
Net unrealized appreciation (depreciation) on investments | 3,760,287 | (16,216 | ) | (3,464,055 | ) | |||||||
Net unrealized appreciation (depreciation) on foreign currency translations | 36 | 833 | 17,711 | |||||||||
Unrealized deferred compensation | - | - | (270 | ) | ||||||||
Total distributable earnings (deficit) | $ | 3,924,442 | $ | (38,656 | ) | $ | (7,827,637 | ) |
As of the tax year ended March 31, 2023, the Fund had non-expiring accumulated capital loss carryforwards as follows:
Fund | Short-Term | Long-Term | Total | |||||||||
Astoria Inflation Sensitive ETF | $ | 9,473,380 | $ | 1,266,048 | $ | 10,739,428 | ||||||
Change Finance ESG ETF | 15,663,790 | 1,369,043 | 17,032,833 | |||||||||
First Priority CLO Bond ETF | 136,066 | 15,469 | 151,535 | |||||||||
Brendan Wood TopGun Index ETF | 23,974 | - | 23,974 | |||||||||
Esoterica NextG Economy ETF | 458,868 | 3,909,908 | 4,368,776 |
To the extent that a fund may realize future net capital gains, those gains will be offset by any of its unused capital loss carryforward. Future capital loss carryover utilization in any given year may be subject to Internal Revenue Code limitations.
As of March 31, 2023, the Esoterica NextG Economy ETF had $12,247 of qualified late-year ordinary losses, which are deferred until fiscal year 2023 for tax purposes net late-year ordinary losses incurred after December 31 and within the taxable year and net late-year specified losses incurred after October 31 and within the taxable year are deemed to arise on the first day of the Esoterica NextG Economy ETF’s next taxable year.
The tax character of distributions paid during the periods ended March 31, 2023 and 2022, October 31, 2022 and 2021 and July 31, 2022 and 2021 was as follows:
Astoria Inflation Sensitive ETF | ||||||||
2023 | 2022 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 2,383,576 | $ | - | ||||
Net long-term capital gains | - | - | ||||||
Total distributions paid | $ | 2,383,576 | $ | - |
54
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2023 (Unaudited)
Change Finance ESG ETF | ||||||||||||
March 31, 2023 | July 31, 2022 | July 31, 2021 | ||||||||||
Distributions paid from: | ||||||||||||
Ordinary income | $ | 1,153,807 | $ | 637,137 | $ | 192,961 | ||||||
Net long-term capital gains | - | - | - | |||||||||
Total distributions paid | $ | 1,153,807 | $ | 637,137 | $ | 192,961 |
First Priority CLO Bond ETF | ||||||||||||
March 31, 2023 | July 31, 2022 | July 31, 2021 | ||||||||||
Distributions paid from: | ||||||||||||
Ordinary income | $ | 256,072 | $ | 118,047 | $ | 86,767 | ||||||
Net long-term capital gains | - | - | - | |||||||||
Total distributions paid | $ | 256,072 | $ | 118,047 | 86,767 |
Green Alpha ETF | ||||
2023 | ||||
Distributions paid from: | ||||
Ordinary income | $ | 66,380 | ||
Net long-term capital gains | - | |||
Total distributions paid | $ | 66,380 |
Brendan Wood TopGun Index ETF | ||||
2023 | ||||
Distributions paid from: | ||||
Ordinary income | $ | 4,003 | ||
Net long-term capital gains | - | |||
Total distributions paid | $ | 4,003 |
Esoterica NextG Economy ETF | ||||||||||||
March 31, 2023 | October 31, 2022 | October 31, 2021 | ||||||||||
Distributions paid from: | ||||||||||||
Ordinary income | $ | - | $ | - | $ | - | ||||||
Net long-term capital gains | - | - | - | |||||||||
Total distributions paid | $ | - | $ | - | $ | - |
Note 5 – Investment Transactions
Purchases and sales of investments, excluding in-kind transactions and short-term investments, for the six months ended September 30, 2023, were as follows:
Fund | Purchases | Sales | ||||||
Astoria Inflation Sensitive ETF | $ | 37,004,856 | $ | 37,773,800 | ||||
Change Finance ESG ETF | 48,341,562 | 47,479,715 | ||||||
First Priority CLO Bond ETF | - | 381,401 | ||||||
Green Alpha ETF | 2,618,335 | 1,358,273 | ||||||
Brendan Wood TopGun Index ETF | 338,156 | 336,538 | ||||||
Esoterica NextG Economy ETF | 3,604,152 | 3,376,980 |
55
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2023 (Unaudited)
Purchases, sales, and realized gain/(loss) of in-kind transactions for the six months ended September 30, 2023, were as follows:
Fund | Purchases | Sales | Gain/(Loss) | |||||||||
Astoria Inflation Sensitive ETF | $ | 7,437,722 | $ | 19,496,659 | $ | 1,986,674 | ||||||
Change Finance ESG ETF | 20,502,921 | 22,048,582 | 4,661,726 | |||||||||
Green Alpha ETF | 9,318,907 | - | - | |||||||||
Esoterica NextG Economy ETF | 3,231,362 | 3,913,774 | 225,785 |
Note 6 – Distribution and Service Plan
The Trust has adopted a Rule 12b-1 Distribution and Service Plan (the “Distribution and Service Plan”) pursuant to which payments of up to a maximum of 0.25% of average daily net assets may be made to compensate or reimburse financial intermediaries for activities principally intended to result in the sale of the Funds’ Shares. In accordance with the Distribution and Service Plan, the Distributor may enter into agreements with financial intermediaries and dealers relating to distribution and/or marketing services with respect to the Trust. The Board of Trustees has not authorized the Funds to make payments under the Distribution and Service Plan. Currently, no payment is being made by the Funds.
Note 7 – Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds expect the risk of loss to be remote.
Note 8 – Fair Value Measurements and Disclosure
Fair Value Measurements and Disclosures defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and expands disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or a liability, when a transaction is not orderly, and how that information must be incorporated into a fair value measurement.
Under Fair Value Measurements and Disclosures, various inputs are used in determining the value of the Funds’ investments. These inputs are summarized into three broad Levels as described below:
· | Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access. |
· | Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. |
· | Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. |
56
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2023 (Unaudited)
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different Levels of the fair value hierarchy. In such cases, for disclosure purposes, the Level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest Level input that is significant to the fair value measurement in its entirety.
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the inputs used, as of September 30, 2023, in valuing the Funds’ assets carried at fair value:
Astoria Inflation Sensitive ETF | Level 1 | Level 2** | Level 3** | Total | ||||||||||||
Investments | ||||||||||||||||
Common Stock* | $ | 44,394,892 | $ | - | $ | - | $ | 44,394,892 | ||||||||
Exchange-Traded Funds* | 12,931,885 | - | - | 12,931,885 | ||||||||||||
Total Investments | $ | 57,326,777 | $ | - | $ | - | $ | 57,326,777 |
Change Finance ESG ETF | Level 1 | Level 2** | Level 3** | Total | ||||||||||||
Investments | ||||||||||||||||
Common Stock* | $ | 118,206,694 | $ | - | $ | - | $ | 118,206,694 | ||||||||
Total Investments | $ | 118,206,694 | $ | - | $ | - | $ | 118,206,694 |
First Priority CLO Bond ETF | Level 1*** | Level 2 | Level 3*** | Total | ||||||||||||
Investments | ||||||||||||||||
Collateralized Mortgage Obligations | $ | - | $ | 6,886,937 | $ | - | $ | 6,886,937 | ||||||||
Total Investments |