RPAR Risk Parity ETF

Ticker: RPAR

UPAR Ultra Risk Parity ETF

Ticker: UPAR

Annual Report

December 31, 2022

A Message to our Shareholders

1

Performance Summary

6

Portfolio Allocations

8

Schedules of Investments

9

Statements of Assets and Liabilities

15

Statements of Operations

16

Statements of Changes in Net Assets

17

Financial Highlights

19

Notes to Financial Statements

21

Report of Independent Registered Public Accounting Firm

35

Expense Examples

36

Basis For Trustees’ Approval of Investment Advisory Agreement

37

Statement Regarding Liquidity Risk Management Program

39

Trustees and Executive Officers

40

Additional Information

42

TABLE OF CONTENTS

This report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective prospectus.

1

RPAR Risk Parity ETF and UPAR Ultra Risk Parity ETF

most markets WERE down IN 2022 DUE TO MATERIAL TIGHTENING

The downturn in 2022 was very different from a typical market selloff, where stocks fall and bonds rally as economic growth weakens. Last year, virtually all asset classes underperformed because the Federal Reserve (the “Fed”) embarked on the most aggressive tightening in four decades to fight inflation, raising rates by 4.25% in only 9 months.

A material tightening versus expectations poses a headwind for all assets because all assets compete with the risk-free rate. When that rate goes from 0% to 4.25%, investors are no longer willing to earn 1.5% on Treasuries or a 4% earnings yield on equities when they can do better holding cash with no risk. As a result, all assets repriced lower to offer higher expected returns (higher yields) going forward, which helps assets remain competitive with the now-higher cash yield (the risk-free rate). That is why stocks, bonds, and other asset classes all experienced major declines at the same time.

risk parity WAS DOWN DURING THE TIGHTENING AND HAS BOUNCED BACK SINCE

Risk parity is an asset-allocation strategy that seeks to balance to growth and inflation surprises by investing in assets that perform well in different growth and inflation environments. This is in contrast to a traditional 60/40 portfolio that is typically biased to underperform during inflationary periods (both stocks and bonds underperformed cash in the 1970s) and during periods of weak growth (stocks lost money during the entire first decade of the 2000s).

The RPAR Risk Parity ETF (“RPAR”) and UPAR Ultra Risk Parity ETF (“UPAR”) (together the “Funds”), each a risk parity ETF, were down -28.45% (-28.48% NAV) and -37.08% (-37.53% NAV), respectively from Q1 to Q3 2022.1 This is because diversification does not typically work well during a material tightening as all assets experience downward pressure at the same time. Such environments are generally rare and short-lived because capitalism requires that assets outperform cash over time – attractive returns are needed to incentivize productive investment. Once inflation began to moderate and expectations of tightening eased around the end of the third quarter, markets began to rally.

The table below shows a breakdown of risk parity performance by asset class in 2022, first from Q1 to Q3 2022 (“Tightening”) and then for Q4 2022 (“Post-Tightening”). All asset classes were down through Q3 as discussed, but commodity producer equities held up reasonably well because of the spike in energy prices.

Since October 2022, all assets have recovered, as weaker inflation has led markets to expect less tightening than they had initially feared – in fact, markets now expect the Fed to ease in 2023. As the expected risk-free rate retraced, higher-yielding assets suddenly looked quite attractive, and prices rose. This is the opposite of what happened in the Tightening. As a result, RPAR gained 7.92% during the fourth quarter (and UPAR gained 10.76%).2

Allocation

Asset Class

Tightening1
(Q1 2022 – Q3 2022)

Post-Tightening3
(Q4 2022)

35%

Long TIPS (Treasury Inflation-Protected Securities)

-36.38%

7.15%

25%

Global Equities

-25.14%

9.44%

35%

Long Treasuries

-22.50%

-1.20%

10%

Physical Gold

-9.30%

9.73%

15%

Commodity Producers

-0.09%

17.88%

120%

RPAR Risk Parity ETF (Market Price)

-28.45%

7.92%

Note: Asset class returns are based on actual performance earned in the RPAR Risk Parity ETF. Source: The Fund’s market price returns were reported by US Bank and asset class performance were provided by Toroso Investments, LLC, 12/31/21 – 12/31/22. Please see corresponding footnotes and disclosures for reference.

SHAREHOLDER LETTER

1The UPAR Ultra Risk Parity ETF (UPAR) market price return reflects the period from the fund’s inception date (1/03/2022) through 9/30/2022. The RPAR Risk Parity ETF (RPAR) market price return reflects the first three quarters of 2022 (12/31/21 – 9/30/22). Source: US Bank.

2Source: Toroso Investments, LLC, 9/30/22 – 12/31/22.

3The Funds’ market price returns were reported by US Bank and asset class performance were provided by Toroso Investments, LLC, 12/31/21 – 12/31/22.

2

RPAR Risk Parity ETF and UPAR Ultra Risk Parity ETF

UPAR Allocation

Asset Class

Tightening
(1/3/22 – 3Q 22)3

Post-Tightening
(Q4 2022)3

49%

Long TIPS (Treasury Inflation-Protected Securities)

-35.35%

6.92%

35%

Global Equities

-26.85%

9.10%

49%

Long Treasuries

-21.39%

-1.19%

14%

Physical Gold

-7.88%

9.73%

21%

Commodity Producers

-1.90%

17.60%

168%

UPAR Ultra Risk Parity ETF (Market Price)

-37.08%

10.76%

Note: Asset class returns are based on actual performance earned in the UPAR Ultra Risk Parity ETF. Source: The Fund’s market price returns were reported by US Bank and asset class performance were provided by Toroso Investments, LLC, (UPAR Inception: 1/03/22 through 12/31/22). Please see corresponding footnotes and disclosures for reference.

Note that risk parity may also underperform during a period of panic/crisis when investors broadly sell assets to move to cash. Diversification does not generally work well in these brief periods because everything falls at the same time (similar to a material tightening). This occurred over about two weeks in March 2020 at the onset of the pandemic, when RPAR fell about 20% (quickly recovering to end the month down only 6%).

THE TIGHTENING IN 2022 IS NOT UNPRECEDENTED: THE EARLY 1980s VOLCKER ANALOGUE

The aggressive tightening environment we experienced during the first three quarters of 2022 is similar to the tightening that occurred in the early 1980s under Fed Chairman Paul Volcker. Like today, inflation was elevated, and the Volcker Fed tightened policy aggressively to bring it under control. The charts below show the estimated increase in real expected short-term interest rates4 due to the tightening and corresponding asset-class performance. As you can see, the expected real rate rose over 8% from trough to peak (1980-82). All asset classes performed poorly during this large unexpected tightening and rebounded when tightening expectations finally eased. Note that below we show excess returns (above the risk-free rate) to facilitate comparison with the current period, as cash rates started at 8% back then and 0% today.

Expected Real Risk-Free Rate During Volcker Tightening5

Excess Returns During/After Volcker Tightening6

All data is sourced from Bloomberg as of 12/31/22. Asset class returns reflect performance for the indices and inception dates listed and do not represent returns earned in the Funds. Global Equities: MSCI World Index (BB: NDDUWI, Jan. 1970) | Treasuries: Bloomberg Barclays Long Treasury Index (BB: LUTLTRUU, Feb. 1973) | Commodities: Bloomberg Commodity Total Return Index (BB: BCOMTR, Feb. 1960 | Physical Gold: the change in spot price of gold (BB: XAU, Jan. 1970). Please see corresponding footnotes and disclosures for reference.

SHAREHOLDER LETTER (Continued)

4We use the 2-year Treasury real yield as a measure of market expectations of short-term changes in cash rates (net of inflation).

5For the 1980s, 2Y real yield calculated as the difference between the 2Y nominal yield (Source: Bloomberg – USGG2YR Index) and the Survey of Professional Forecasters forecast for the year-ahead annual-average inflation rate for the GDP Price Index, available at https://www.philadelphiafed.org/surveys-and-data/real-time-data-research/inflation-forecasts. For the 2000s, 2Y real yield calculated as the difference between the 2Y nominal yield and the 2Y breakeven inflation rate (Source: Bloomberg – USGGBE02 Index).

6We show excess returns above cash to facilitate comparison between the 1980s period (when cash started at 8% in 1980) and the current period (cash started at 0%). Source: Bloomberg (BCOMTR Index, XAU Curncy, LUTLTRUU Index, NDDUWI Index, MUNRT Index, G8QI Index, USGG3M Index). Excess returns reflect the geometric difference between total returns and the cash rate return over the periods shown. Total returns for Q4 2022 were: commodity producers 15.7%, gold 9.8%, long Treasuries -0.6%, Equities 9.8%, long TIPS 4.5%, and cash 1.0%. Source: Bloomberg (MUNRT Index, XAU Curncy, LUTLTRUU Index, NDDUWI Index, G8QI Index, USGG3M Index). Charts show the returns for commodity futures using the Bloomberg Commodities Index (BCOM) in the Volcker period and for commodity producers using the Morningstar Upstream Natural Resources Index (MUNRT Index) in the current period, as the MUNRT commodity producers index does not go back to the 1980s. TIPS shown only for the current period as they did not exist in the 1980s.

3

RPAR Risk Parity ETF and UPAR Ultra Risk Parity ETF

The impact of tightening on performance in the Volcker era is very similar to what we experienced last year, as you can see in the charts below. The expected real short-term interest rate rose ~5% from peak to trough, as Jerome Powell’s Fed (“Powell”) raised rates. Most asset classes performed poorly through Q3 but began to rebound in Q4 after tightening expectations peaked.

Expected Real Risk-Free Rate During Powell Tightening5

Excess Returns During/After Powell Tightening6

All data is sourced from Bloomberg as of 12/31/22. Asset class returns reflect performance for the indices and inception dates listed and do not represent returns earned in the Funds. Global Equities: MSCI World Index (BB: NDDUWI, Jan. 1970) | Treasuries: Bloomberg Barclays Long Treasury Index (BB: LUTLTRUU, Feb. 1973) | TIPS: Merrill Lynch 15+ Year Inflation-Linked Bond Index (BB: G8QI, May 1998 | Commodity Producers: Commodity Producers: Morningstar Global Upstream Natural Resources Index (BB: MUNRT, Jan. 2000) | Physical Gold: the change in spot price of gold (BB: XAU, Jan. 1970). Please see corresponding footnotes and disclosures for reference.

We believe significant tightening has already been priced in and what will really matter from this point forward will be (a) whether the Fed raises rates more or less than expected and (b) how growth and inflation unfold. Additionally, we believe forward-looking returns have increased as the expected returns across asset classes now incorporate a higher risk-free rate. This is clearest today in bonds that currently offer much higher yields.

PERFORMANCE UPDATE

The table below summarizes the returns of the Funds as well as their underlying asset classes as of December 31, 2022.

RPAR Inception (12/12/2019)
Through 12/31/2022

Trailing Returns (Annualized)

Calendar Year Returns

1-Year

2-Year

Since Inception

2021

2020

RPAR Risk Parity ETF (Market Price)

-22.79%

-8.87%

-0.04%

7.56%

19.39%

RPAR Risk Parity ETF (NAV)

-22.81%

-8.79%

-0.02%

7.78%

19.35%

Global Equities

-18.07%

-2.83%

4.14%

15.27%

17.30%

Commodity Producers

17.78%

23.24%

18.41%

28.91%

7.85%

Physical Gold

-0.47%

-2.22%

6.99%

-3.93%

25.07%

Long Treasuries

-23.43%

-15.31%

-7.89%

-6.30%

9.17%

Long TIPS

-31.83%

-14.81%

-3.10%

6.49%

25.90%

Note: Asset class returns are based on actual performance earned in the RPAR Risk Parity ETF. Source: The Funds’ market price and NAV returns were reported by US Bank and asset class performance were provided by Toroso Investments, LLC as of 12/31/22. Please see corresponding footnotes and disclosures for reference.

UPAR Inception (1/03/2022)
Through 12/31/2022

Since Inception

UPAR Ultra Risk Parity ETF (Market Price)

-30.31%

UPAR Ultra Risk Parity ETF (NAV)

-30.62%

Global Equities

-20.19%

Commodity Producers

15.37%

Physical Gold

1.09%

Long Treasuries

-22.32%

Long TIPS

-32.14%

Note: Asset class returns are based on actual performance earned in the RPAR Risk Parity ETF. Source: The Funds’ market price and NAV returns were reported by US Bank and asset class performance were provided by Toroso Investments, LLC as of 12/31/22. Please see corresponding footnotes and disclosures for reference.

SHAREHOLDER LETTER (Continued)

4

THE NEED FOR GOOD BALANCE LOOKING AHEAD

Economic growth and inflation are highly uncertain looking ahead. There is a wide range of potential outcomes with a heightened risk of extreme outcomes. The 60/40 portfolio is essentially a bet that the Fed achieves a “soft landing,” bringing inflation down while maintaining growth. But if a recession results or inflation stays elevated, the 60/40 portfolio may underperform. Given these risks, we believe it is prudent to be well-balanced across asset classes biased to outperform during different growth and inflation environments. In addition, as mentioned, we believe that the long-term expected return of a risk parity portfolio is materially higher now than a year ago due to a significantly higher risk-free rate.

Please contact your financial advisor or one of our shareholder associates at (833) 540-0039 with any questions. You may also visit our website at www.rparetf.com or reach us via email at [email protected].

Important Information

Before investing you should carefully consider the Funds’ investment objectives, risks, charges and expenses. Please read each prospectus carefully before you invest.

Past performance does not guarantee future results.

A fund’s NAV is the sum of all its assets less any liabilities, divided by the number of shares outstanding. The market price is the most recent price at which the fund was traded.

Risk parity is a portfolio allocation strategy using risk to determine allocations across various components of an investment portfolio. As with all ETFs, fund shares may be bought and sold in the secondary market at market prices. The market price normally should approximate a fund’s net asset value per share (NAV), but the market price sometimes may be higher or lower than the NAV. The Funds are newer with a limited operating history. There are a limited number of financial institutions authorized to buy and sell shares directly with the Funds; and there may be a limited number of other liquidity providers in the marketplace. There is no assurance that Funds’ shares will trade at any volume, or at all, on any stock exchange. Low trading activity may result in shares trading at a material discount to NAV.

A Fund’s exposure to investments in physical commodities may fluctuate rapidly and subjects a Fund to greater volatility than investments in traditional securities, such as stocks and bonds. Interest payments on TIPS are unpredictable and will fluctuate as the principal and corresponding interest payments are adjusted for inflation. Equity securities, such as common stocks, are subject to market, economic and business risks that may cause their prices to fluctuate. The Funds invest in foreign and emerging market securities which involves certain risks such as currency volatility, political and social instability and reduced market liquidity. The Funds may invest in securities issued by the U.S. government or its agencies or instrumentalities. There can be no guarantee that the United States will be able to meet its payment obligations with respect to such securities.

Shares of the Funds are distributed by Foreside Fund Services, LLC. Foreside is not affiliated with Toroso, US Bank, or RPAR, LLC.

Index Definitions

Global Equities: The MSCI World Index (BB: NDDUWI) reflects the performance of large and mid cap representation across 23 developed markets countries. Wit more than 1,600 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.

Treasuries: The Bloomberg Barclays US Long Treasury Index (BB: LUTLTRUU) measures US dollar-denominated, fixed-rate, nominal debt issued by the US Treasury with 10 years or more to maturity.

The Bloomberg Barclays US Aggregate Bond Index (BB: LBUSTRUU) is a broad-based flagship benchmark that measures the investment grade, US dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, MBS (agency fixed-rate pass-throughs), ABS and CMBS (agency and non-agency).

Intermediate-Term Government Bond returns as reported by the 2016 Roger G. Ibbotson SBBI Yearbook (Stocks, Bonds, Bills and Inflation), U.S. Capital Markets Performance by Asset Class 1926-2015. Appendix A-10: Intermediate-term Government Bonds: Total Returns. Published by John Wiley & Sons, Inc. Hoboken, NJ, 2016.

RPAR Risk Parity ETF and UPAR Ultra Risk Parity ETF

SHAREHOLDER LETTER (Continued)

5

RPAR ETFs

SHAREHOLDER LETTER (Continued)

TIPS. Treasury Inflation-Protected Securities (TIPS) are a type of Treasury security issued by the U.S. government that are indexed to inflation in order to protect investors from a decline in the purchasing power of money. The Bank of America Merrill Lynch 15+ Year US Inflation-Linked Treasury Index (BB: G8QI) is an unmanaged index comprised of U.S. Treasury Inflation Protected Securities with at least $1 billion in outstanding face value and a remaining term to final maturity greater than or equal to 15 years.

Commodities: The Bloomberg Commodity Index Total Return (BB: BCOMTR) provides a broad-based exposure to commodities, and no single commodity or commodity sector dominates the index. The index is not driven by micro-economic events affecting one commodity market or sector, rather the diversified commodity exposure of Bloomberg Commodity Index represents the aggregate commodity market.

Commodity Producers: The Morningstar Global Upstream Natural Resources Index (BB: MUNRT) reflects the performance of a selection of equity securities that are traded in or are issued by companies domiciled in global developed or emerging markets (including the U.S.). The companies included in the index have significant business operations in the ownership, management and/or production of natural resources in energy, agriculture, precious or industrial metals, timber and water resources sectors.

Gold: Reflects the percent change in the spot price of gold (BB: XAU).

6

RPAR Risk Parity ETF

Total returns for the periods ended December 31, 2022:

One Year

Three Year

Since Inception (12/12/2019)

Ending Value
(12/31/2022)

RPAR Risk Parity ETF - NAV

-22.81%

-0.23%

-0.02%

$ 9,995

RPAR Risk Parity ETF - Market

-22.79%

-0.29%

-0.04%

9,987

S&P 500® Total Return Index

-18.11%

7.66%

8.24%

12,734

60% S&P 500® Total Return Index/ 40% Bloomberg U.S. Aggregate Bond Index

-15.79%

3.83%

4.22%

11,345

Advanced Research Risk Parity Index

-22.92%

0.91%

1.28%

10,396

This chart illustrates the performance of a hypothetical $10,000 investment made on December 12, 2019 (commencement of operations), and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns reflect fee waivers in effect for the “NAV” returns. In the absence of such waivers, total returns would be reduced. The chart assumes reinvestment of capital gains, dividends, and return of capital, if applicable, for a fund and dividends for an index.

Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling (833) 540-0039. The Fund’s gross expense ratio is 0.53% and net expense ratio is 0.51% (as of the Fund’s most recently filed prospectus dated March 30, 2022). The Fund’s investment adviser has agreed to waive a portion of its management fees for the Fund through at least April 30, 2023.

PERFORMANCE SUMMARY (Unaudited)

7

UPAR Ultra Risk Parity ETF

Total returns for the period ended December 31, 2022:

Since Inception (01/03/2022)

Ending Value
(12/31/2022)

UPAR Ultra Risk Parity ETF - NAV

-30.62%

$6,938

UPAR Ultra Risk Parity ETF - Market

-30.31%

6,969

S&P 500® Total Return Index

-18.63%

8,137

Advanced Research Ultra Risk Parity Index

-30.29%

6,971

This chart illustrates the performance of a hypothetical $10,000 investment made on January 3, 2022 (commencement of operations), and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns reflect fee waivers in effect for the “NAV” return. In the absence of such waivers, total return would be reduced. The chart assumes reinvestment of capital gains, dividends, and return of capital, if applicable, for a fund and dividends for an index.

Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling (833) 540-0039. The Fund’s gross expense ratio is 0.68% and net expense ratio is 0.65% (as of the Fund’s most recently filed prospectus dated December 29, 2021). The Fund’s investment adviser has agreed to waive a portion of its management fees for the Fund through at least April 30, 2023.

PERFORMANCE SUMMARY (Unaudited)

8

RPAR Risk Parity ETF

Sector/Security Type

% of Total
Portfolio

Futures Contracts (2)

26.2

%

Exchange Traded Funds

25.9

United States Treasury Inflation Indexed Bonds

25.7

United States Treasury Bills

8.3

Basic Materials

4.7

Energy

4.3

Cash & Cash Equivalents (3)

3.1

Industrial

1.2

Consumer (Non-cyclical)

0.3

Utilities

0.2

Consumer (Cyclical)

0.1

Total

100.0

%

(1)Percentages are based on total investments, including derivative contracts.

(2)Represents the notional amount of the futures contracts.

(3)Represents short-term investments and investments purchased with collateral from securities lending less liabilities in excess of assets.

UPAR Ultra Risk Parity ETF

PORTFOLIO ALLOCATION at December 31, 2022 (Unaudited)(1)

Sector/Security Type

% of Total
Portfolio

Futures Contracts (2)

43.5

%

United States Treasury Inflation Indexed Bonds

28.8

Exchange Traded Funds

15.0

Basic Materials

5.4

Energy

4.8

Industrial

1.4

Cash & Cash Equivalents (3)

0.5

Consumer (Non-cyclical)

0.3

Utilities

0.2

Consumer (Cyclical)

0.1

Total

100.0

%

(1)Percentages are based on total investments, including derivative contracts.

(2)Represents the notional amount of the futures contracts.

(3)Represents short-term investments plus assets in excess of liabilities.

PORTFOLIO ALLOCATION at December 31, 2022 (Unaudited)(1)

RPAR Risk Parity ETF

The accompanying notes are an integral part of these financial statements.

9

SCHEDULE OF INVESTMENTS at December 31, 2022

 

 

Shares

 

Value

Common Stocks — 14.7%

Biotechnology — 0.3%

Corteva, Inc.

54,253

$3,188,991

 

Building Materials — 0.1%

Geberit AG

1,636

770,080

 

Chemicals — 1.1%

CF Industries Holdings, Inc.

13,579

1,156,931

Ecolab, Inc.

8,983

1,307,566

FMC Corp.

10,174

1,269,715

Nutrien Ltd.

38,291

2,793,509

OCI N.V.

14,287

509,580

PhosAgro PJSC - GDR (1)

52,122

0

Sociedad Quimica y Minera de Chile S.A. - ADR

21,228

1,694,844

The Mosaic Co.

27,804

1,219,761

Yara International ASA

19,882

869,068

 

10,820,974

 

Distribution & Wholesale — 0.1%

Ferguson PLC

10,246

1,286,728

 

Energy — Alternate Sources — 0.6%

Enphase Energy, Inc. (2)

5,246

1,389,980

First Solar, Inc. (2)

5,562

833,132

Siemens Gamesa Renewable Energy S.A.

33,925

653,525

SolarEdge Technologies, Inc. (2)

3,087

874,455

Vestas Wind Systems A/S

54,347

1,576,315

Xinyi Solar Holdings Ltd.

460,322

509,572

 

5,836,979

 

Food — 0.1%

Mowi ASA

34,791

590,504

 

Iron & Steel — 0.9%

Fortescue Metals Group Ltd.

195,264

2,715,899

Mineral Resources Ltd.

13,036

682,476

Vale S.A. - ADR

294,487

4,997,444

 

8,395,819

 

Machinery — Diversified — 1.6%

AGCO Corp.

6,104

846,564

CNH Industrial NV - Class A

93,015

1,493,821

Deere & Co.

21,819

9,355,114

IDEX Corp.

3,396

775,409

Kubota Corp.

83,844

1,154,606

The Toro Co.

8,927

1,010,536

Xylem, Inc.

6,964

770,010

 

15,406,060

 

 

 

Shares

 

Value

Common Stocks — 14.7% (Continued)

Mining — 4.4%

Allkem Ltd. (2)

47,494

$362,019

Anglo American PLC

78,045

3,038,453

Antofagasta PLC

67,811

1,260,669

BHP Group Ltd. - ADR

154,341

9,576,859

Boliden AB

18,306

687,386

Cameco Corp.

25,972

588,273

China Molybdenum Co. Ltd. - Class H

2,306,446

1,063,838

First Quantum Minerals Ltd.

39,656

827,978

Freeport-McMoRan, Inc.

86,471

3,285,898

Glencore PLC

776,574

5,160,221

IGO Ltd.

53,851

491,547

Ivanhoe Mines Ltd. (2)

63,115

498,417

Jiangxi Copper Co. Ltd. - H Shares

405,346

598,285

MMC Norilsk Nickel PJSC - ADR (1)

181,762

0

NAC Kazatomprom JSC - GDR

12,882

362,499

OZ Minerals Ltd.

22,393

423,684

Pilbara Minerals Ltd. (2)

215,980

549,251

Rio Tinto PLC - ADR (3)

102,794

7,318,933

South32 Ltd.

311,234

844,253

Southern Copper Corp.

47,490

2,867,921

Sumitomo Metal Mining Co. Ltd.

20,342

720,129

Teck Resources Ltd. - Class B

30,645

1,157,316

 

41,683,829

 

Oil & Gas — 5.3%

Aker BP ASA

16,283

502,656

BP PLC - ADR

61,706

2,155,391

Canadian Natural Resources Ltd.

26,444

1,467,452

Cenovus Energy, Inc.

45,427

880,746

Chevron Corp.

42,418

7,613,607

ConocoPhillips

27,549

3,250,782

Coterra Energy, Inc.

13,562

333,218

Devon Energy Corp.

14,917

917,545

Diamondback Energy, Inc.

4,270

584,051

Ecopetrol S.A. - ADR (3)

52,891

553,769

Eni S.p.A - ADR (3)

34,763

996,308

EOG Resources, Inc.

15,045

1,948,628

Equinor ASA - ADR

70,751

2,533,593

Exxon Mobil Corp.

91,081

10,046,234

Gazprom PJSC - ADR (1)

523,190

0

Hess Corp.

7,108

1,008,057

Imperial Oil Ltd.

15,087

734,335

LUKOIL PJSC - ADR (1)

31,173

0

Marathon Oil Corp.

14,260

386,018

Novatek PJSC - GDR (1)

13,358

0


RPAR Risk Parity ETF

10

The accompanying notes are an integral part of these financial statements.

SCHEDULE OF INVESTMENTS at December 31, 2022 (Continued)

 

 

Shares

 

Value

Common Stocks — 14.7% (Continued)

Oil & Gas — 5.3% (Continued)

Occidental Petroleum Corp.

24,743

$1,558,562

Pioneer Natural Resources Co.

5,455

1,245,867

Repsol S.A.

35,471

562,167

Rosneft Oil Co PJSC - GDR (1)

488,696

0

Santos Ltd. - ADR

78,422

382,699

Shell PLC - ADR

72,979

4,156,154

Suncor Energy, Inc.

34,718

1,100,512

Total S.A. - ADR

53,243

3,305,325

Tourmaline Oil Corp.

8,821

444,777

Woodside Energy Group Ltd.

45,426

1,091,752

 

49,760,205

Water — 0.2%

American Water Works Co., Inc.

8,145

1,241,461

Veolia Environnement S.A.

31,307

801,895

 

2,043,356

Total Common Stocks

(Cost $155,344,970)

139,783,525

 

Exchange Traded Funds — 35.1%

SPDR Gold MiniShares Trust (2)(3)

2,773,242

100,363,628

Vanguard FTSE Developed Markets ETF

1,125,571

47,240,215

Vanguard FTSE Emerging Markets ETF (3)

1,808,355

70,489,678

Vanguard Total Stock
Market ETF

598,342

114,397,007

Total Exchange Traded Funds

(Cost $371,722,535)

332,490,528

 

 

Principal
Amount

 

Value

 

United States Treasury Obligations — 46.0%

United States Treasury Bills — 11.2%

4.555%, 6/8/2023 (4)(5)

$108,388,000

106,272,085

 

United States Treasury Inflation Indexed Bonds — 34.8%

2.125%, 2/15/2040

6,290,040

6,668,698

2.125%, 2/15/2041

33,770,605

35,831,186

0.750%, 2/15/2042

41,598,479

34,882,032

0.625%, 2/15/2043

44,488,520

35,961,232

1.375%, 2/15/2044

43,888,820

40,830,555

0.750%, 2/15/2045

45,599,937

36,948,675

1.000%, 2/15/2046

36,252,810

30,848,101

0.875%, 2/15/2047

35,908,121

29,495,775

1.000%, 2/15/2048

35,888,825

30,267,134

1.000%, 2/15/2049

22,907,915

19,187,059

0.250%, 2/15/2050

22,398,255

15,140,599

 

 

Principal
Amount

 

Value

 

United States Treasury Obligations — 46.0% (Continued)

United States Treasury Inflation Indexed Bonds — 34.8% (Continued)

0.125%, 2/15/2051

$10,276,668

$6,635,554

0.125%, 2/15/2052

11,187,143

7,264,597

 

329,961,197

Total United States Treasury Obligations

(Cost $544,606,418)

436,233,282

 

 

 

Shares

 

Value

 

Short-Term Investments — 0.7%

Money Market Funds — 0.7%

First American Government Obligations Fund, Class X, 4.100% (6)

6,080,435

6,080,435

Total Short-Term Investments

(Cost $6,080,435)

6,080,435

 

Investments Purchased with Collateral from Securities Lending — 4.1%

First American Government Obligations Fund, Class X, 4.100% (6)

38,938,940

38,938,940

 

Total Investments Purchased With Collateral From Securities Lending

(Cost $38,938,940)

38,938,940

 

Total Investments in Securities — 100.6%

(Cost $1,116,693,297)

953,526,710

Liabilities in Excess of Other Assets — (0.6)%

(5,354,556

)

Total Net Assets — 100.0%

$948,172,154

ADRAmerican Depositary Receipt

GDRGlobal Depositary Receipt

(1)The security is fair valued by the Valuation Designee.

(2)Non-income producing security.

(3)This security or a portion of this security was out on loan as of December 31, 2022. Total loaned securities had a value of $37,284,217 or 3.9% of net assets. The remaining contractual maturity of all of the securities lending transactions is overnight and continuous.

(4)Rate represents the annualized effective yield to maturity from the purchase price.

(5)Zero coupon security.

(6)The rate shown is the annualized seven-day effective yield as of December 31, 2022.


RPAR Risk Parity ETF

The accompanying notes are an integral part of these financial statements.

11

The RPAR Risk Parity ETF had the following futures contracts outstanding with PhillipCapital Inc.

Long Futures
Contracts Outstanding

Number of Contracts

Notional Amount

Unrealized Appreciation (Depreciation)

Notional Value

10-Year U.S. Treasury Note Futures (3/22/2023)

1,504

$171,182,248

$(2,287,748

)

$168,894,500

Ultra Long-Term
U.S. Treasury
Bond Futures (3/22/2023)

1,252

174,699,136

(6,539,886

)

168,159,250

 

$345,881,384

$(8,827,634

)

$337,053,750

SCHEDULE OF FUTURES CONTRACTS at December 31, 2022

UPAR Ultra Risk Parity ETF

12

The accompanying notes are an integral part of these financial statements.

 

 

Shares

 

Value

 

Common Stocks — 21.1%

 

Biotechnology — 0.4%

Corteva, Inc. 

9,092

$534,428

 

Building Materials — 0.1%

Geberit AG 

152

71,548

 

Chemicals — 1.7%

CF Industries Holdings, Inc. 

2,772

236,174

Ecolab, Inc. 

2,081

302,910

FMC Corp. 

1,547

193,066

K+S AG 

2,863

56,145

Nutrien Ltd. 

7,089

517,176

OCI N.V. 

2,313

82,499

PhosAgro PJSC - GDR (1)

1,126

0

Sociedad Quimica y Minera de Chile S.A. - ADR

3,876

309,460

The Mosaic Co. 

4,266

187,150

Yara International ASA 

3,242

141,712

 

2,026,292

Distribution & Wholesale — 0.2%

Ferguson PLC 

1,461

183,477

 

Electronics — 0.1%

Halma PLC 

2,535

60,194

 

Energy — Alternate Sources — 0.9%

Enphase Energy, Inc. (2)

982

260,191

First Solar, Inc. (2)

928

139,005

Ming Yang Smart Energy Group Ltd. - GDR (2)

17

298

Plug Power, Inc. (2)

4,006

49,554

Siemens Gamesa Renewable Energy S.A. 

6,103

117,567

SolarEdge Technologies, Inc. (2)

479

135,686

Vestas Wind Systems A/S 

9,265

268,728

Xinyi Solar Holdings Ltd. 

90,489

100,171

 

1,071,200

Food — 0.1%

Mowi ASA 

6,849

116,247

Salmar ASA 

1,459

56,992

 

173,239

Iron & Steel — 1.3%

Fortescue Metals Group Ltd. 

34,817

484,265

Mineral Resources Ltd. 

2,130

111,512

Vale S.A. - ADR

52,606

892,724

 

1,488,501

Machinery — Diversified — 2.3%

AGCO Corp. 

772

107,069

CNH Industrial NV - Class A 

19,576

314,391

 

 

Shares

 

Value

 

Common Stocks — 21.1% (Continued)

 

Machinery — Diversified — 2.3% (Continued)

Deere & Co. 

3,661

$1,569,690

Husqvarna AB 

7,110

49,895

IDEX Corp. 

546

124,668

Kubota Corp. 

15,312

210,860

The Toro Co. 

1,426

161,423

Xylem, Inc. 

1,449

160,216

 

2,698,212

Mining — 6.3%

Allkem Ltd. (2)

7,115

54,233

Anglo American PLC 

13,313

518,302

Antofagasta PLC 

10,771

200,243

BHP Group Ltd. - ADR

26,735

1,658,907

Boliden AB 

3,219

120,873

Cameco Corp. 

4,370

98,982

China Molybdenum Co. Ltd. - Class H 

381,124

175,792

First Quantum Minerals Ltd. 

6,949

145,088

Freeport-McMoRan, Inc. 

14,994

569,772

Glencore PLC 

133,516

887,194

IGO Ltd. 

8,552

78,062

Ivanhoe Mines Ltd. (2)

11,447

90,397

Jiangxi Copper Co. Ltd. -
H Shares 

73,201

108,044

Lundin Mining Corp. 

9,008

55,247

Lynas Rare Earths Ltd. (2)

10,055

53,527

MMC Norilsk Nickel PJSC - ADR (1)

3,990

0

MP Materials Corp. (2)

2,151

52,226

NAC Kazatomprom JSC - GDR

3,314

93,256

OZ Minerals Ltd. 

3,911

73,998

Pilbara Minerals Ltd. (2)

38,051

96,766

Rio Tinto PLC - ADR

17,832

1,269,638

South32 Ltd. 

55,869

151,550

Southern Copper Corp. 

8,243

497,795

Sumitomo Metal Mining Co. Ltd. 

3,552

125,745

Teck Resources Ltd. - Class B 

4,834

182,557

 

7,358,194

Oil & Gas — 7.4%

Aker BP ASA 

2,606

80,447

APA Corp. 

867

40,471

BP PLC - ADR

11,045

385,802

Canadian Natural Resources Ltd. 

3,952

219,308

Cenovus Energy, Inc. 

7,922

153,593

Chevron Corp. 

7,372

1,323,200

ConocoPhillips 

5,122

604,396

Coterra Energy, Inc. 

2,891

71,032


SCHEDULE OF INVESTMENTS at December 31, 2022

UPAR Ultra Risk Parity ETF

The accompanying notes are an integral part of these financial statements.

13

 

 

Shares

 

Value

 

Common Stocks — 21.1% (Continued)

 

Oil & Gas — 7.4% (Continued)

Devon Energy Corp. 

2,529

$155,559

Diamondback Energy, Inc. 

761

104,090

Ecopetrol S.A. - ADR

6,489

67,940

Eni S.p.A - ADR

6,092

174,597

EOG Resources, Inc. 

2,137

276,784

EQT Corp. 

1,483

50,170

Equinor ASA - ADR

10,837

388,073

Exxon Mobil Corp. 

16,157

1,782,117

Gazprom PJSC - ADR (1)

11,925

0

Hess Corp. 

1,108

157,137

Imperial Oil Ltd. 

2,514

122,365

Inpex Corp. 

5,704

60,349

LUKOIL PJSC - ADR (1)

818

0

Marathon Oil Corp. 

2,524

68,325

Novatek PJSC - GDR (1)

329

0

Occidental Petroleum Corp. 

3,311

208,560

OMV AG 

1,125

57,751

Pioneer Natural Resources Co. 

935

213,545

Repsol S.A. 

6,148

97,437

Rosneft Oil Co PJSC - GDR (1)

10,479

0

Santos Ltd. - ADR

14,626

71,375

Shell PLC - ADR

12,821

730,156

Suncor Energy, Inc. 

5,721

181,348

Total S.A. - ADR

10,100

627,008

Tourmaline Oil Corp. 

917

46,237

Woodside Energy Group Ltd. 

7,894

189,721

 

8,708,893

Water — 0.3%

American Water Works Co., Inc. 

1,343

204,700

Essential Utilities, Inc. 

1,792

85,532

Veolia Environnement S.A. 

4,979

127,532

 

417,764

Total Common Stocks

(Cost $25,307,448)

24,791,942

 

Exchange Traded Funds — 25.7%

Vanguard FTSE Developed Markets ETF 

70,090

2,941,677

Vanguard FTSE Emerging Markets ETF 

149,317

5,820,377

Vanguard Extended Market ETF 

28,651

3,806,572

SPDR Gold MiniShares Trust (2)

488,228

17,668,971

Total Exchange Traded Funds

(Cost $30,568,342)

30,237,597

 

 

Principal Amount

 

Value

 

United States Treasury Obligations — 49.4%

 

United States Treasury Inflation Indexed Bonds — 49.4%

2.125%, 2/15/2040

$1,118,199

$1,185,514

2.125%, 2/15/2041

5,979,531

6,344,384

0.750%, 2/15/2042

7,315,772

6,134,575

0.625%, 2/15/2043

7,848,552

6,344,189

1.375%, 2/15/2044

7,741,250

7,201,823

0.750%, 2/15/2045

8,033,648

6,509,497

1.000%, 2/15/2046

6,416,938

5,460,277

0.875%, 2/15/2047

6,370,278

5,232,696

1.000%, 2/15/2048

6,310,787

5,322,254

1.000%, 2/15/2049

4,014,777

3,362,670

0.250%, 2/15/2050

3,922,564

2,651,544

0.125%, 2/15/2051

1,833,729

1,184,023

0.125%, 2/15/2052

1,990,134

1,292,333

 

Total United States Treasury Obligations

(Cost $61,331,986)

58,225,779

 

 

Shares

 

 

 

Short-Term Investments — 1.1%

 

Money Market Funds — 1.1%

First American Government Obligations Fund, Class X,
4.100%
(3)

1,298,541

1,298,541

Total Short-Term Investments

(Cost $1,298,541)

1,298,541

 

Total Investments in Securities — 97.3%

(Cost $118,506,317)

114,553,859

Other Assets in Excess of Liabilities — 2.7%

3,140,629

Total Net Assets — 100.0%

$117,694,488

ADRAmerican Depositary Receipt

GDRGlobal Depositary Receipt

(1)The security is fair valued by the Valuation Designee (See Note 2).

(2)Non-income producing security.

(3)The rate shown is the annualized seven-day effective yield as of December 31, 2022.