Shareholder Expense Examples |
1 |
Portfolio Holdings Allocation |
3 |
Schedules of Investments |
5 |
Statements of Assets and Liabilities |
26 |
Statements of Operations |
28 |
Statements of Changes in Net Assets |
30 |
Financial Highlights |
35 |
Notes to Financial Statements |
40 |
Additional Information |
56 |
Expenses | |||
Beginning |
Ending |
Paid
During | |
Account |
Account |
Period | |
Value |
Value |
8/1/23
– | |
8/1/23 |
1/31/24 |
1/31/24(a) | |
FCF US Quality ETF |
|||
Actual |
$1,000.00 |
$1,069.60 |
$3.07 |
Hypothetical (5% return before
expenses) |
$1,000.00 |
$1,022.17 |
$3.00 |
Expenses | |||
Beginning |
Ending |
Paid
During | |
Account |
Account |
Period | |
Value |
Value |
8/1/23
– | |
8/1/23 |
1/31/24 |
1/31/24(a) | |
FCF International Quality
ETF |
|||
Actual |
$1,000.00 |
$1,045.50 |
$3.03 |
Hypothetical (5% return before
expenses) |
$1,000.00 |
$1,022.17 |
$3.00 |
Expenses | |||
Beginning |
Ending |
Paid
During | |
Account |
Account |
Period | |
Value |
Value |
8/1/23
– | |
8/1/23 |
1/31/24 |
1/31/24(b) | |
Donoghue Forlines |
|||
Tactical High
Yield ETF |
|||
Actual |
$1,000.00 |
$1,038.80 |
$3.54 |
Hypothetical (5% return before
expenses) |
$1,000.00 |
$1,021.67 |
$3.51 |
Expenses | |||
Beginning |
Ending |
Paid
During | |
Account |
Account |
Period | |
Value |
Value |
8/1/23
– | |
8/1/23 |
1/31/24 |
1/31/24(b) | |
Donoghue Forlines
Innovation ETF |
|||
Actual |
$1,000.00 |
$1,081.50 |
$3.61 |
Hypothetical (5% return before
expenses) |
$1,000.00 |
$1,021.67 |
$3.51 |
Expenses | |||
Beginning |
Ending |
Paid
During | |
Account |
Account |
Period | |
Value |
Value |
8/1/23
– | |
8/1/23 |
1/31/24 |
1/31/24(b) | |
Donoghue Forlines Yield
|
|||
Enhanced Real
Asset ETF |
|||
Actual |
$1,000.00 |
$1,023.70 |
$3.51 |
Hypothetical (5% return before
expenses) |
$1,000.00 |
$1,021.67 |
$3.51 |
(a) |
Actual Expenses Paid are
equal to the Fund’s annualized expense ratio of 0.59%, multiplied by the
average account value over the period, multiplied by 184/366 to reflect
the period. |
(b) |
Actual Expenses Paid are
equal to the Fund’s annualized expense ratio of 0.69%, multiplied by the
average account value over the period, multiplied by 184/366 to reflect
the period. |
FCF US Quality ETF |
||||
Communications |
10.2 |
% | ||
Consumer Discretionary |
9.9 |
% | ||
Consumer Staples |
3.2 |
% | ||
Energy |
3.5 |
% | ||
Financials |
4.2 |
% | ||
Health Care |
14.5 |
% | ||
Industrials |
6.6 |
% | ||
Materials |
3.2 |
% | ||
Technology |
43.8 |
%(a) | ||
Utilities |
0.2 |
% | ||
Investment Purchased with Proceeds from
Securities Lending |
9.1 |
%(b) | ||
Money Market Deposit Account |
0.6 |
% | ||
Liabilities in Excess of Other Assets |
(9.0 |
)% | ||
Total Net Assets |
100.0 |
% | ||
FCF International Quality
ETF |
||||
Australia |
7.9 |
% | ||
Austria |
0.6 |
% | ||
Brazil |
2.0 |
% | ||
Canada |
7.7 |
% | ||
China |
9.1 |
% | ||
Denmark |
8.2 |
% | ||
Finland |
0.2 |
% | ||
France |
3.2 |
% | ||
Germany |
2.1 |
% | ||
Greece |
0.7 |
% | ||
Hong Kong |
0.5 |
% | ||
India |
1.5 |
% | ||
Ireland |
5.5 |
% | ||
Israel |
1.3 |
% | ||
Italy |
2.3 |
% | ||
Japan |
1.6 |
% | ||
Luxembourg |
0.4 |
% | ||
Netherlands |
7.1 |
% | ||
New Zealand |
0.3 |
% | ||
Norway |
1.2 |
% | ||
Portugal |
0.7 |
% | ||
Republic of Korea |
1.6 |
% | ||
Singapore |
1.2 |
% | ||
South Africa |
1.9 |
% | ||
Spain |
1.2 |
% | ||
Sweden |
1.7 |
% | ||
Switzerland |
11.8 |
% | ||
Taiwan |
1.7 |
% | ||
United Kingdom |
11.3 |
% | ||
United States |
1.1 |
% | ||
Investment Purchased with Proceeds from
Securities Lending |
1.8 |
%(b) | ||
Money Market Deposit Account |
1.0 |
% | ||
Liabilities in Excess of Other Assets |
(0.4 |
)% | ||
Total Net Assets |
100.0 |
% |
Donoghue Forlines Tactical
High Yield ETF |
||||
Exchange-Traded Funds |
99.9 |
% | ||
Investment Purchased with Proceeds from
Securities Lending |
8.4 |
%(b) | ||
Money Market Deposit Account |
0.2 |
% | ||
Liabilities in Excess of Other Assets |
(8.5 |
)% | ||
Total Net Assets |
100.0 |
% | ||
Donoghue Forlines
Innovation ETF |
||||
Communications |
18.0 |
% | ||
Consumer Discretionary |
0.4 |
% | ||
Consumer Staples |
1.6 |
% | ||
Energy |
0.5 |
% | ||
Health Care |
18.2 |
% | ||
Industrials |
2.2 |
% | ||
Technology |
58.9 |
% | ||
Investment Purchased with Proceeds from
Securities Lending |
14.9 |
%(b) | ||
Money Market Deposit Account |
0.2 |
% | ||
Liabilities in Excess of Other Assets |
(14.9 |
)% | ||
Total Net Assets |
100.0 |
% | ||
Donoghue Forlines Yield
Enhanced Real Asset ETF |
||||
Consumer Discretionary |
1.0 |
% | ||
Consumer Staples |
1.7 |
% | ||
Energy |
35.2 |
% | ||
Industrials |
15.3 |
% | ||
Materials |
18.7 |
% | ||
Technology |
0.8 |
% | ||
Real Estate Investment Trusts |
12.5 |
% | ||
Master Limited Partnerships |
12.3 |
% | ||
Preferred Stock |
2.1 |
% | ||
Investment Purchased with Proceeds from
Securities Lending |
20.5 |
%(b) | ||
Money Market Deposit Account |
0.1 |
% | ||
Liabilities in Excess of Other Assets |
(20.2 |
)% | ||
Total Net Assets |
100.0 |
% |
(a) |
Amount represents
investments in a particular sector. No industry within this sector
represented more than 25% of the Fund’s total assets at the time of
investment. |
(b) |
Represents cash received
as collateral in return for securities lent as part of the securities
lending program. The cash is invested in the Mount Vernon Liquid
Assets Portfolio, LLC as noted in the applicable schedules of investments
listed in this report. |
Shares |
Value |
|||||||
COMMON STOCKS –
99.3% |
||||||||
Communications –
10.2% |
||||||||
Airbnb, Inc. – Class A(a) |
17,921 |
$ |
2,583,133 |
|||||
Alphabet, Inc. – Class A(a) |
100,451 |
14,073,185 |
||||||
Booking Holdings, Inc.(a) |
832 |
2,918,215 |
||||||
Electronic Arts, Inc. |
17,330 |
2,384,261 |
||||||
Expedia Group, Inc.(a) |
17,949 |
2,662,375 |
||||||
GoDaddy, Inc. – Class A(a) |
16,575 |
1,767,890 |
||||||
Match Group, Inc.(a) |
44,830 |
1,720,575 |
||||||
Meta Platforms, Inc. – Class A(a) |
15,054 |
5,873,168 |
||||||
Netflix, Inc.(a) |
3,400 |
1,917,974 |
||||||
Trade Desk, Inc. – Class A(a)(b) |
35,255 |
2,412,500 |
||||||
38,313,276 |
||||||||
Consumer Discretionary –
9.9% |
||||||||
Abercrombie & Fitch Co. – Class
A(a) |
8,924 |
909,356 |
||||||
Bath & Body Works, Inc. |
34,199 |
1,458,929 |
||||||
Beacon Roofing Supply, Inc.(a) |
5,573 |
461,946 |
||||||
Builders FirstSource, Inc.(a) |
21,726 |
3,774,458 |
||||||
Chipotle Mexican Grill, Inc.(a) |
916 |
2,206,433 |
||||||
Crocs, Inc.(a) |
7,980 |
809,810 |
||||||
Etsy, Inc.(a)(b) |
22,457 |
1,494,738 |
||||||
Fortune Brands Home & Security,
Inc. |
15,120 |
1,173,161 |
||||||
Hilton Worldwide Holdings, Inc. |
17,383 |
3,319,458 |
||||||
Home Depot, Inc. |
8,404 |
2,966,276 |
||||||
KB Home |
11,439 |
681,650 |
||||||
Lennar Corp. – Class A |
14,418 |
2,160,537 |
||||||
Live Nation Entertainment, Inc.(a) |
16,281 |
1,446,567 |
||||||
Masco Corp. |
23,091 |
1,553,793 |
||||||
PulteGroup, Inc. |
11,900 |
1,244,264 |
||||||
Ross Stores, Inc. |
20,515 |
2,877,844 |
||||||
Scotts Miracle-Gro Co.(b) |
16,795 |
944,887 |
||||||
Skechers USA, Inc. – Class A(a) |
13,674 |
853,805 |
||||||
Starbucks Corp. |
15,702 |
1,460,757 |
||||||
Tapestry, Inc. |
29,258 |
1,134,918 |
||||||
Taylor Morrison Home Corp.(a) |
21,666 |
1,129,665 |
||||||
Thor Industries, Inc.(b) |
4,747 |
536,506 |
||||||
Toll Brothers, Inc. |
10,247 |
1,018,039 |
||||||
Williams-Sonoma, Inc.(b) |
7,077 |
1,368,621 |
||||||
36,986,418 |
Shares |
Value |
|||||||
COMMON STOCKS – 99.3%
(Continued) |
||||||||
Consumer Staples –
3.2% |
||||||||
Altria Group, Inc. |
33,145 |
$ |
1,329,777 |
|||||
BellRing Brands, Inc.(a) |
17,605 |
973,028 |
||||||
Clorox Co. |
12,101 |
1,757,670 |
||||||
Colgate-Palmolive Co. |
44,293 |
3,729,472 |
||||||
Kimberly-Clark Corp. |
29,586 |
3,579,018 |
||||||
National Beverage Corp.(a) |
12,799 |
591,826 |
||||||
11,960,791 |
||||||||
Energy – 3.5% |
||||||||
Cheniere Energy, Inc. |
10,411 |
1,707,300 |
||||||
ConocoPhillips |
14,516 |
1,623,905 |
||||||
CVR Energy, Inc. |
27,390 |
923,865 |
||||||
Enphase Energy, Inc.(a)(b) |
19,935 |
2,075,832 |
||||||
Exxon Mobil Corp. |
15,783 |
1,622,650 |
||||||
HF Sinclair Corp. |
14,093 |
796,114 |
||||||
Occidental Petroleum Corp. |
32,817 |
1,889,275 |
||||||
Valero Energy Corp. |
16,548 |
2,298,516 |
||||||
12,937,457 |
||||||||
Financials – 4.2% |
||||||||
Aflac, Inc. |
11,345 |
956,837 |
||||||
American Express Co. |
27,711 |
5,562,706 |
||||||
Cincinnati Financial Corp. |
9,646 |
1,068,777 |
||||||
Erie Indemnity Co. – Class A(b) |
3,748 |
1,296,171 |
||||||
OneMain Holdings, Inc. |
12,432 |
591,763 |
||||||
SEI Investments Co. |
24,624 |
1,557,222 |
||||||
Synchrony Financial |
58,571 |
2,276,655 |
||||||
T Rowe Price Group, Inc.(b) |
20,756 |
2,250,988 |
||||||
15,561,119 |
||||||||
Health Care –
14.5% |
||||||||
AbbVie, Inc. |
62,588 |
10,289,466 |
||||||
Agilent Technologies, Inc. |
14,559 |
1,894,126 |
||||||
Amgen, Inc. |
10,403 |
3,269,247 |
||||||
Bristol-Myers Squibb Co. |
108,230 |
5,289,200 |
||||||
Cencora, Inc.(b) |
3,368 |
783,666 |
||||||
Chemed Corp. |
1,374 |
814,493 |
||||||
Gilead Sciences, Inc. |
61,502 |
4,813,147 |
||||||
Halozyme Therapeutics, Inc.(a) |
20,773 |
703,166 |
Shares |
Value |
|||||||
COMMON STOCKS – 99.3%
(Continued) |
||||||||
Health Care – 14.5%
(Continued) |
||||||||
Jazz Pharmaceuticals PLC(a) |
4,878 |
$ |
598,628 |
|||||
Lantheus Holdings, Inc.(a)(b) |
17,320 |
899,428 |
||||||
Medpace Holdings, Inc.(a) |
9,805 |
2,858,942 |
||||||
Merck & Co., Inc. |
56,678 |
6,845,569 |
||||||
Molina Healthcare, Inc.(a) |
3,345 |
1,192,292 |
||||||
Neurocrine Biosciences, Inc.(a) |
9,279 |
1,296,926 |
||||||
Progyny, Inc.(a) |
24,724 |
941,737 |
||||||
UnitedHealth Group, Inc. |
18,192 |
9,309,574 |
||||||
Vertex Pharmaceuticals, Inc.(a) |
5,502 |
2,384,457 |
||||||
54,184,064 |
||||||||
Industrials – 6.6% |
||||||||
3M Co. |
40,315 |
3,803,719 |
||||||
A.O. Smith Corp. |
23,536 |
1,826,629 |
||||||
CH Robinson Worldwide, Inc. |
21,413 |
1,800,619 |
||||||
Core & Main, Inc. – Class A(a) |
17,426 |
719,868 |
||||||
Donaldson Co., Inc. |
13,778 |
889,921 |
||||||
Expeditors International of Washington,
Inc. |
18,691 |
2,361,234 |
||||||
Fastenal Co. |
32,008 |
2,183,906 |
||||||
Ferguson PLC |
10,006 |
1,879,727 |
||||||
H&R Block, Inc. |
24,281 |
1,137,322 |
||||||
Insperity, Inc. |
11,595 |
1,329,831 |
||||||
Keysight Technologies, Inc.(a) |
3,506 |
537,330 |
||||||
Landstar System, Inc. |
6,211 |
1,190,773 |
||||||
Lincoln Electric Holdings, Inc.(b) |
1,937 |
430,440 |
||||||
MSC Industrial Direct Co., Inc. – Class
A(b) |
7,815 |
771,184 |
||||||
Mueller Industries, Inc.(b) |
14,315 |
687,120 |
||||||
Robert Half International, Inc. |
20,625 |
1,640,513 |
||||||
Rollins, Inc. |
33,803 |
1,464,008 |
||||||
24,654,144 |
||||||||
Materials – 3.2% |
||||||||
Advanced Drainage Systems, Inc.(b) |
9,010 |
1,175,084 |
||||||
CF Industries Holdings, Inc. |
24,324 |
1,836,705 |
||||||
LyondellBasell Industries NV – Class
A |
19,345 |
1,820,751 |
||||||
Nucor Corp. |
16,136 |
3,016,302 |
||||||
Olin Corp. |
14,560 |
758,139 |
Shares |
Value |
|||||||
COMMON STOCKS – 99.3%
(Continued) |
||||||||
Materials – 3.2%
(Continued) |
||||||||
RPM International, Inc. |
9,171 |
$ |
978,179 |
|||||
Sherwin-Williams Co. |
4,512 |
1,373,363 |
||||||
UFP Industries, Inc. |
10,731 |
1,217,432 |
||||||
12,175,955 |
||||||||
Technology –
43.8%(e) |
||||||||
Accenture PLC – Class A |
19,587 |
7,127,318 |
||||||
Adobe, Inc.(a) |
8,948 |
5,527,895 |
||||||
Apple, Inc. |
148,339 |
27,353,711 |
||||||
Applied Materials, Inc. |
15,243 |
2,504,425 |
||||||
Atlassian Corp. – Class A(a) |
12,515 |
3,125,872 |
||||||
Autodesk, Inc.(a) |
14,043 |
3,564,254 |
||||||
Automatic Data Processing, Inc. |
19,024 |
4,675,719 |
||||||
Box, Inc. – Class A(a)(b) |
56,623 |
1,471,066 |
||||||
Broadcom, Inc. |
5,872 |
6,928,959 |
||||||
Broadridge Financial Solutions, Inc. |
9,243 |
1,887,421 |
||||||
Cadence Design Systems, Inc.(a) |
12,491 |
3,603,154 |
||||||
Cisco Systems, Inc. |
108,332 |
5,436,100 |
||||||
CommVault Systems, Inc.(a) |
24,574 |
2,252,944 |
||||||
Crowdstrike Holdings, Inc. – Class
A(a) |
12,302 |
3,598,335 |
||||||
Datadog, Inc. – Class A(a) |
16,656 |
2,072,673 |
||||||
DocuSign, Inc.(a) |
37,889 |
2,308,198 |
||||||
Dropbox, Inc. – Class A(a) |
83,096 |
2,632,481 |
||||||
Euronet Worldwide, Inc.(a) |
8,271 |
824,205 |
||||||
Fair Isaac Corp.(a)(b) |
4,037 |
4,839,677 |
||||||
Fortinet, Inc.(a) |
67,941 |
4,381,515 |
||||||
Gartner, Inc.(a) |
8,186 |
3,744,604 |
||||||
International Business Machines Corp. |
32,030 |
5,882,630 |
||||||
Intuit, Inc. |
2,845 |
1,796,134 |
||||||
Jack Henry & Associates, Inc. |
11,385 |
1,887,975 |
||||||
Juniper Networks, Inc. |
20,147 |
744,633 |
||||||
Lattice Semiconductor Corp.(a)(b) |
23,051 |
1,402,884 |
||||||
Manhattan Associates, Inc.(a) |
9,220 |
2,236,403 |
||||||
Mastercard, Inc. – Class A |
13,017 |
5,847,627 |
||||||
Microchip Technology, Inc. |
29,554 |
2,517,410 |
||||||
Nutanix, Inc. – Class A(a) |
26,676 |
1,499,191 |
||||||
Palo Alto Networks, Inc.(a) |
19,130 |
6,475,696 |
Shares |
Value |
|||||||
COMMON STOCKS – 99.3%
(Continued) |
||||||||
Technology –
43.8%(e)(Continued) |
||||||||
Paychex, Inc. |
17,616 |
$ |
2,144,396 |
|||||
Pure Storage, Inc. – Class A(a) |
43,183 |
1,726,888 |
||||||
QUALCOMM, Inc. |
20,823 |
3,092,424 |
||||||
Qualys, Inc.(a) |
8,692 |
1,644,266 |
||||||
RingCentral, Inc. – Class A(a)(b) |
13,179 |
446,636 |
||||||
ServiceNow, Inc.(a) |
6,583 |
5,038,628 |
||||||
Shift4 Payments, Inc. – Class A(a)(b) |
16,237 |
1,165,979 |
||||||
Skyworks Solutions, Inc. |
18,719 |
1,955,387 |
||||||
Splunk, Inc.(a) |
3,613 |
554,126 |
||||||
Tenable Holdings, Inc.(a) |
17,411 |
820,058 |
||||||
Teradata Corp.(a) |
21,864 |
1,009,680 |
||||||
Visa, Inc. – Class A(b) |
32,566 |
8,898,984 |
||||||
Workday, Inc. – Class A(a) |
4,829 |
1,405,577 |
||||||
Zoom Video Communications, Inc. – Class
A(a) |
14,264 |
921,597 |
||||||
Zscaler, Inc.(a)(b) |
11,736 |
2,765,823 |
||||||
163,741,558 |
||||||||
Utilities – 0.2% |
||||||||
Vistra Corp. |
22,561 |
925,678 |
||||||
TOTAL COMMON STOCKS |
||||||||
(Cost $327,525,041) |
371,440,460 |
Shares |
Value |
|||||||
SHORT-TERM INVESTMENT –
9.1% |
||||||||
Investment Purchased with
|
||||||||
Proceeds from
Securities Lending – 9.1% |
||||||||
Mount Vernon Liquid Assets Portfolio, LLC,
5.54%(c) |
33,933,545 |
$ |
33,933,545 |
|||||
TOTAL SHORT-TERM INVESTMENT |
||||||||
(Cost $33,933,545) |
33,933,545 |
|||||||
Total Investments – 108.4%
(Cost $361,458,586) |
405,374,005 |
|||||||
Money Market Deposit Account –
0.6%(d) |
2,115,651 |
|||||||
Liabilities in Excess of
Other Assets – (9.0)% |
(33,570,185 |
) | ||||||
TOTAL NET ASSETS –
100.0% |
$ |
373,919,471 |
(a) |
Non-income producing
security. |
(b) |
All or a portion of this
security is on loan as of January 31, 2024. The total market value of
these securities was $32,703,461 which represented 8.7% of net
assets. |
(c) |
The rate shown represents
the 7-day effective yield as of January 31, 2024. |
(d) |
The U.S. Bank Money
Market Deposit Account (the “MMDA”) is a short-term vehicle in which the
Fund holds cash balances. The MMDA will bear interest at a variable rate
that is determined based on market conditions and is subject to change
daily. The rate as of January 31, 2024 was 5.24%. |
(e) |
Amount represents
investments in a particular sector. No industry within this sector
represented more than 25% of the Fund’s total assets at the time of
investment. |
Shares |
Value |
|||||||
COMMON STOCKS –
97.4% |
||||||||
Communications –
5.8% |
||||||||
37 Interactive Entertainment Network |
||||||||
Technology Group Co., Ltd. – Class
A |
41,800 |
$ |
96,763 |
|||||
AfreecaTV Co., Ltd. |
1,159 |
90,400 |
||||||
Auto Trader Group PLC(b) |
44,050 |
406,849 |
||||||
Elisa Oyj |
2,764 |
126,203 |
||||||
Focus Media Information |
||||||||
Technology Co., Ltd. – Class
A |
240,800 |
189,499 |
||||||
Hellenic Telecommunications Organization
SA |
15,211 |
211,234 |
||||||
Koninklijke KPN NV |
103,762 |
353,001 |
||||||
MTN Group, Ltd. |
17,979 |
91,746 |
||||||
MultiChoice Group(a) |
57,553 |
230,550 |
||||||
NetEase, Inc. – ADR(c) |
6,893 |
673,033 |
||||||
REA Group, Ltd. |
2,662 |
321,235 |
||||||
Telstra Corp., Ltd. |
137,335 |
363,999 |
||||||
Universal Music Group NV |
16,902 |
499,939 |
||||||
3,654,451 |
||||||||
Consumer Discretionary –
16.2% |
||||||||
ANTA Sports Products, Ltd. |
29,754 |
249,855 |
||||||
Avolta AG(a) |
4,147 |
159,594 |
||||||
Brunello Cucinelli SpA |
1,694 |
168,973 |
||||||
Bunzl PLC |
7,750 |
315,763 |
||||||
Burberry Group PLC |
12,471 |
206,723 |
||||||
Chongqing Changan Automobile Co., Ltd. – Class
A |
69,500 |
123,907 |
||||||
Chow Tai Fook Jewellery Group, Ltd. |
210,179 |
283,897 |
||||||
Cie Financiere Richemont SA |
2,567 |
383,734 |
||||||
CTS Eventim AG & Co. KGaA |
2,275 |
154,522 |
||||||
Ferrari NV |
1,959 |
677,657 |
||||||
Games Workshop Group PLC |
1,377 |
172,849 |
||||||
Geberit AG |
719 |
416,761 |
||||||
Gree Electric Appliances, Inc. of Zhuhai –
Class A |
70,800 |
347,613 |
||||||
Hennes & Mauritz AB – Class B |
37,771 |
535,280 |
||||||
Hermes International |
283 |
598,767 |
||||||
HLA Group Corp., Ltd. – Class A |
92,600 |
99,055 |
||||||
Industria de Diseno Textil SA |
17,097 |
733,707 |
||||||
InterContinental Hotels Group PLC |
6,583 |
625,697 |
||||||
JD Sports Fashion PLC |
144,957 |
215,025 |
Shares |
Value |
|||||||
COMMON STOCKS – 97.4%
(Continued) |
||||||||
Consumer Discretionary –
16.2% (Continued) |
||||||||
Kia Corp. |
4,168 |
$ |
321,348 |
|||||
La Francaise des Jeux SAEM(b) |
8,556 |
348,036 |
||||||
Lottery Corp., Ltd. |
41,747 |
138,584 |
||||||
MINISO Group Holding, Ltd. – ADR |
5,552 |
94,162 |
||||||
New Oriental Education & Technology
|
||||||||
Group, Inc. – ADR(a) |
4,188 |
321,052 |
||||||
Next PLC |
2,267 |
243,283 |
||||||
OPAP SA |
11,677 |
202,161 |
||||||
Pandora AS |
3,455 |
505,411 |
||||||
PDD Holdings, Inc. – ADR(a) |
10,436 |
1,324,016 |
||||||
Topsports International Holdings,
Ltd.(b) |
152,604 |
98,574 |
||||||
Vipshop Holdings, Ltd. – ADR(a) |
16,503 |
262,233 |
||||||
10,328,239 |
||||||||
Consumer Staples –
5.6% |
||||||||
B&M European Value Retail SA |
43,416 |
285,339 |
||||||
BGF retail Co., Ltd. |
1,125 |
118,936 |
||||||
Carlsberg AS – Class B |
2,717 |
350,263 |
||||||
Chongqing Brewery Co., Ltd. – Class A |
13,742 |
106,383 |
||||||
Dollarama, Inc. |
9,285 |
681,432 |
||||||
Imperial Brands PLC |
53 |
1,275 |
||||||
Jeronimo Martins SGPS SA |
19,895 |
453,229 |
||||||
Kweichow Moutai Co., Ltd. – Class A |
1,600 |
357,663 |
||||||
Loblaw Cos., Ltd. |
3,508 |
350,552 |
||||||
Nongfu Spring Co., Ltd. – Class H(b) |
45,440 |
246,149 |
||||||
President Chain Store Corp. |
30,223 |
254,920 |
||||||
Shanxi Xinghuacun Fen Wine |
||||||||
Factory Co., Ltd. – Class
A |
6,205 |
172,947 |
||||||
Woolworths Holdings, Ltd. |
54,718 |
202,739 |
||||||
3,581,827 |
||||||||
Energy – 6.1% |
||||||||
BP PLC – ADR |
23,559 |
826,921 |
||||||
Canadian Natural Resources, Ltd. |
7,318 |
468,326 |
||||||
Equinor ASA – ADR(c) |
22,072 |
632,804 |
||||||
Gaztransport Et Technigaz SA |
1,100 |
154,658 |
||||||
Imperial Oil, Ltd. |
9,221 |
531,881 |
Shares |
Value |
|||||||
COMMON STOCKS – 97.4%
(Continued) |
||||||||
Energy – 6.1%
(Continued) |
||||||||
Petroleo Brasileiro SA – ADR |
50,804 |
$ |
867,225 |
|||||
Suncor Energy, Inc. |
8,205 |
271,700 |
||||||
Woodside Energy Group, Ltd. |
8,170 |
173,716 |
||||||
3,927,231 |
||||||||
Financials – 6.1% |
||||||||
Admiral Group PLC |
15,227 |
485,323 |
||||||
Aon PLC – Class A |
1,360 |
405,865 |
||||||
BB Seguridade Participacoes SA – ADR |
61,094 |
425,825 |
||||||
Brookfield Asset Management, Ltd. – Class
A |
9,672 |
388,909 |
||||||
Fairfax Financial Holdings, Ltd. |
562 |
585,835 |
||||||
Hargreaves Lansdown PLC |
26,461 |
256,803 |
||||||
Partners Group Holding AG |
645 |
876,743 |
||||||
Singapore Exchange, Ltd. |
63,778 |
447,373 |
||||||
3,872,676 |
||||||||
Health Care –
14.7% |
||||||||
Amplifon SpA |
13,872 |
455,289 |
||||||
BioNTech SE – ADR(a) |
3,630 |
344,995 |
||||||
Dr Reddy’s Laboratories, Ltd. – ADR |
2,932 |
210,957 |
||||||
Genmab AS(a) |
631 |
175,736 |
||||||
Ipsen SA |
3,048 |
352,454 |
||||||
Jazz Pharmaceuticals PLC(a) |
835 |
102,471 |
||||||
Lifco AB – Class B |
11,940 |
289,360 |
||||||
Medibank Pvt, Ltd. |
150,794 |
379,886 |
||||||
Novartis AG |
15,076 |
1,561,845 |
||||||
Novo Nordisk AS – Class B |
28,702 |
3,224,089 |
||||||
Recordati Industria Chimica e Farmaceutica
SpA |
3,389 |
187,885 |
||||||
Roche Holding AG |
5,605 |
1,604,955 |
||||||
Sonova Holding AG |
1,166 |
375,222 |
||||||
Zhangzhou Pientzehuang |
||||||||
Pharmaceutical Co., Ltd. – Class
A |
4,930 |
136,923 |
||||||
9,402,067 |
||||||||
Industrials – 9.6% |
||||||||
AP Moller – Maersk AS – Class A |
124 |
224,897 |
||||||
BAE Systems PLC |
44,147 |
658,502 |
||||||
Dassault Aviation SA |
2,599 |
492,932 |
||||||
Deutsche Post AG |
5,120 |
246,336 |
Shares |
Value |
|||||||
COMMON STOCKS – 97.4%
(Continued) |
||||||||
Industrials – 9.6%
(Continued) |
||||||||
DSV AS |
4,049 |
$ |
726,436 |
|||||
FAW Jiefang Group Co., Ltd. – Class
A(a) |
91,400 |
99,935 |
||||||
Ferguson PLC |
1,464 |
275,027 |
||||||
Getlink SE |
6,853 |
118,496 |
||||||
Hanwha Aerospace Co., Ltd. |
2,428 |
251,233 |
||||||
Hyundai Glovis Co., Ltd. |
1,017 |
133,273 |
||||||
Intertek Group PLC |
7,157 |
407,518 |
||||||
Jiangxi Special Electric Motor Co., Ltd. –
Class A(a) |
30,696 |
38,650 |
||||||
Korean Air Lines Co., Ltd. |
7,715 |
130,062 |
||||||
Kuehne + Nagel International AG |
2,114 |
719,733 |
||||||
Qantas Airways, Ltd.(a) |
68,143 |
248,562 |
||||||
Recruit Holdings Co., Ltd. |
13,841 |
557,383 |
||||||
SGS SA |
4,755 |
441,034 |
||||||
Singapore Airlines, Ltd. |
63,500 |
316,198 |
||||||
6,086,207 |
||||||||
Materials – 10.4% |
||||||||
Aluminum Corp. of China, Ltd. – Class
H |
511,227 |
248,487 |
||||||
Aluminum Corp. of China, Ltd. – Class
A |
267,267 |
211,817 |
||||||
BHP Group, Ltd. |
47,558 |
1,474,849 |
||||||
Brenntag SE |
2,112 |
187,753 |
||||||
China Coal Energy Co., Ltd. – Class A |
188,200 |
318,754 |
||||||
Evraz PLC(a)(d)(h) |
49,526 |
0 |
||||||
Exxaro Resources, Ltd. |
24,250 |
242,558 |
||||||
Fortescue, Ltd. |
30,187 |
591,751 |
||||||
Henan Shenhuo Coal & Power Co., Ltd. –
Class A |
45,900 |
106,126 |
||||||
IMCD NV |
1,484 |
227,733 |
||||||
Kumba Iron Ore, Ltd. |
15,337 |
453,012 |
||||||
LyondellBasell Industries NV – Class
A |
2,183 |
205,464 |
||||||
Pilbara Minerals, Ltd. |
121,237 |
282,359 |
||||||
Shaanxi Coal Industry Co., Ltd. – Class
A |
114,717 |
386,355 |
||||||
Shanxi Coal International |
||||||||
Energy Group Co., Ltd. – Class
A |
67,400 |
158,466 |
||||||
Shanxi Coking Coal Energy Group Co., Ltd. –
Class A |
101,800 |
148,739 |
||||||
Shanxi Lu’an Environmental Energy |
||||||||
Development Co., Ltd. – Class
A |
83,700 |
276,297 |
||||||
SSAB AB – Class B |
36,867 |
282,703 |
||||||
Tenaris SA |
15,712 |
249,859 |
Shares |
Value |
|||||||
COMMON STOCKS – 97.4%
(Continued) |
||||||||
Materials – 10.4%
(Continued) |
||||||||
Western Mining Co., Ltd. – Class A |
59,300 |
$ |
117,451 |
|||||
Whitehaven Coal, Ltd. |
30,097 |
166,452 |
||||||
Yancoal Australia, Ltd. |
41,363 |
162,546 |
||||||
Yara International ASA |
4,005 |
133,053 |
||||||
6,632,584 |
||||||||
Technology – 21.4% |
||||||||
Accenture PLC – Class A |
4,322 |
1,572,689 |
||||||
ASML Holding NV |
2,151 |
1,855,476 |
||||||
Atlassian Corp. – Class A(a) |
2,769 |
691,613 |
||||||
BE Semiconductor Industries NV |
2,730 |
412,452 |
||||||
CGI, Inc.(a) |
2,389 |
267,535 |
||||||
Check Point Software Technologies,
Ltd.(a) |
4,635 |
736,641 |
||||||
Constellation Software, Inc. |
493 |
1,362,579 |
||||||
eMemory Technology, Inc. |
3,334 |
298,254 |
||||||
Experian PLC |
14,696 |
613,854 |
||||||
Infosys, Ltd. – ADR |
35,761 |
710,213 |
||||||
Lens Technology Co., Ltd. – Class A |
74,686 |
108,707 |
||||||
Logitech International SA |
7,367 |
618,591 |
||||||
MediaTek, Inc. |
12,600 |
388,875 |
||||||
Monday.com, Ltd.(a)(c) |
520 |
109,221 |
||||||
Nemetschek SE |
3,083 |
286,600 |
||||||
Nomura Research Institute, Ltd. |
9,037 |
278,331 |
||||||
NXP Semiconductors NV |
1,085 |
228,468 |
||||||
RELX PLC |
30,286 |
1,252,001 |
||||||
Temenos AG |
3,202 |
327,936 |
||||||
Trend Micro, Inc.(a) |
3,281 |
189,575 |
||||||
Wolters Kluwer NV |
6,528 |
962,978 |
||||||
WPG Holdings, Ltd. |
53,000 |
147,657 |
||||||
Xero, Ltd.(a) |
2,826 |
205,405 |
||||||
13,625,651 |
||||||||
Utilities – 1.5% |
||||||||
Centrica PLC |
313,237 |
549,598 |
||||||
Verbund AG – Class A |
4,796 |
392,095 |
||||||
941,693 |
||||||||
TOTAL COMMON STOCKS |
||||||||
(Cost $57,137,174) |
62,052,626 |
Shares |
Value |
|||||||
PREFERRED STOCK –
0.2% |
||||||||
Materials – 0.2% |
||||||||
FUCHS SE |
2,625 |
$ |
115,742 |
|||||
TOTAL PREFERRED STOCK (Cost $108,977) |
115,742 |
|||||||
WARRANT – 0.0%(e) |
||||||||
Technology –
0.0%(e) |
||||||||
Constellation Software, Inc.(a)(d) |
438 |
0 |
||||||
TOTAL WARRANT (Cost $0) |
0 |
|||||||
SHORT-TERM INVESTMENT –
1.8% |
||||||||
Investment Purchased with
Proceeds |
||||||||
from Securities
Lending – 1.8% |
||||||||
Mount Vernon Liquid Assets Portfolio, LLC,
5.54%(f) |
1,123,893 |
1,123,893 |
||||||
TOTAL SHORT-TERM INVESTMENT |
||||||||
(Cost $1,123,893) |
1,123,893 |
|||||||
Total Investments – 99.4%
(Cost $58,370,044) |
63,292,261 |
|||||||
Money Market Deposit Account –
1.0%(g) |
608,002 |
|||||||
Liabilities in Excess of
Other Assets – (0.4)% |
(284,552 |
) | ||||||
TOTAL NET ASSETS –
100.0% |
$ |
63,615,711 |
(a) |
Non-income producing
security. |
(b) |
Security is exempt from
registration pursuant to Rule 144A under the Securities Act of 1933, as
amended. These securities may only be resold in transactions exempt from
registration to qualified institutional investors. As of January 31, 2024,
the value of these securities total $1,099,608 or 1.7% of the Fund’s net
assets. |
(c) |
All or a portion of this
security is on loan as of January 31, 2024. The total market value of
these securities was $1,076,335 which represented 1.7% of net
assets. |
(d) |
Fair value determined
using significant unobservable inputs in accordance with procedures
established by and under the supervision of the Adviser, acting as
Valuation Designee. These securities represented $0 or 0.0% of net assets
as of January 31, 2024. |
(e) |
Represents less than
0.05% of net assets. |
(f) |
The rate shown represents
the 7-day effective yield as of January 31, 2024. |
(g) |
The U.S. Bank Money
Market Deposit Account (the “MMDA”) is a short-term vehicle in which the
Fund holds cash balances. The MMDA will bear interest at a variable rate
that is determined based on market conditions and is subject to change
daily. The rate as of January 31, 2024 was 5.24%. |
(h) |
Restricted
security. Security valued using significant unobservable inputs
(Level 3). |
Shares |
Value |
|||||||
EXCHANGE-TRADED FUNDS –
99.9% |
||||||||
iShares 0-5 Year High Yield Corporate Bond
ETF(a) |
64,333 |
$ |
2,729,006 |
|||||
iShares Broad USD High Yield Corporate Bond
ETF |
161,290 |
5,885,472 |
||||||
iShares Fallen Angels USD Bond ETF |
76,609 |
2,046,992 |
||||||
iShares iBoxx $High Yield Corporate Bond
ETF |
75,111 |
5,819,600 |
||||||
SPDR Bloomberg High Yield Bond ETF |
65,771 |
6,239,696 |
||||||
SPDR Bloomberg Short-Term High Yield Bond
ETF |
82,596 |
2,083,071 |
||||||
SPDR Portfolio High Yield Bond ETF |
80,618 |
1,891,298 |
||||||
VanEck Fallen Angel High Yield Bond
ETF |
66,754 |
1,939,871 |
||||||
Xtrackers USD High Yield Corporate Bond
ETF |
81,681 |
2,905,393 |
||||||
TOTAL EXCHANGE-TRADED FUNDS |
||||||||
(Cost $30,401,982) |
31,540,399 |
|||||||
SHORT-TERM INVESTMENT –
8.4% |
||||||||
Investment Purchased with
|
||||||||
Proceeds from
Securities Lending – 8.4% |
||||||||
Mount Vernon Liquid Assets Portfolio, LLC,
5.54%(b) |
2,658,546 |
2,658,546 |
||||||
TOTAL SHORT-TERM INVESTMENT |
||||||||
(Cost $2,658,546) |
2,658,546 |
|||||||
Total Investments – 108.3%
(Cost $33,060,528) |
34,198,945 |
|||||||
Money Market Deposit Account –
0.2%(c) |
62,764 |
|||||||
Liabilities in Excess of
Other Assets – (8.5)% |
(2,675,082 |
) | ||||||
TOTAL NET ASSETS –
100.0% |
$ |
31,586,627 |
(a) |
All or a portion of this
security is on loan as of January 31, 2024. The total market value of
these securities was $2,592,541 which represented 8.2% of net
assets. |
(b) |
The rate shown represents
the 7-day effective yield as of January 31, 2024. |
(c) |
The U.S. Bank Money
Market Deposit Account (the “MMDA”) is a short-term vehicle in which the
Fund holds cash balances. The MMDA will bear interest at a variable rate
that is determined based on market conditions and is subject to change
daily. The rate as of January 31, 2024 was
5.24%. |
Shares |
Value |
|||||||
COMMON STOCKS –
99.8% |
||||||||
Communications –
18.0% |
||||||||
Alphabet, Inc. – Class A(a) |
14,875 |
$ |
2,083,988 |
|||||
AppLovin Corp. – Class A(a) |
4,729 |
194,504 |
||||||
Electronic Arts, Inc. |
2,436 |
335,145 |
||||||
Expedia Group, Inc.(a) |
1,635 |
242,520 |
||||||
GoDaddy, Inc. – Class A(a) |
2,093 |
223,239 |
||||||
Grindr, Inc.(a) |
6,537 |
56,741 |
||||||
Magnite, Inc.(a)(b) |
5,156 |
45,631 |
||||||
Match Group, Inc.(a) |
4,835 |
185,567 |
||||||
Meta Platforms, Inc. – Class A(a)(b) |
4,272 |
1,666,678 |
||||||
Netflix, Inc.(a) |
1,353 |
763,241 |
||||||
New York Times Co. – Class A |
2,664 |
129,364 |
||||||
Pinterest, Inc. – Class A(a) |
7,109 |
266,374 |
||||||
Trade Desk, Inc. – Class A(a)(b) |
4,354 |
297,944 |
||||||
VeriSign, Inc.(a) |
1,162 |
231,099 |
||||||
Yelp, Inc.(a) |
2,254 |
98,567 |
||||||
6,820,602 |
||||||||
Consumer Discretionary –
0.4% |
||||||||
Etsy, Inc.(a)(b) |
2,259 |
150,359 |
||||||
Consumer Staples –
1.6% |
||||||||
Clorox Co. |
1,402 |
203,641 |
||||||
Colgate-Palmolive Co. |
4,585 |
386,057 |
||||||
589,698 |
||||||||
Energy – 0.5% |
||||||||
Enphase Energy, Inc.(a) |
1,953 |
203,366 |
||||||
Health Care –
18.2% |
||||||||
AbbVie, Inc. |
6,099 |
1,002,676 |
||||||
Agilent Technologies, Inc. |
2,136 |
277,894 |
||||||
Align Technology, Inc.(a) |
909 |
242,994 |
||||||
Alkermes PLC(a) |
3,964 |
107,226 |
||||||
Amgen, Inc. |
2,118 |
665,603 |
||||||
Bristol-Myers Squibb Co.(b) |
10,592 |
517,631 |
||||||
Corcept Therapeutics, Inc.(a) |
3,623 |
76,445 |
||||||
Dynavax Technologies Corp.(a) |
4,753 |
61,409 |
||||||
Exelixis, Inc.(a) |
6,381 |
138,851 |
Shares |
Value |
|||||||
COMMON STOCKS – 99.8%
(Continued) |
||||||||
Health Care – 18.2%
(Continued) |
||||||||
Gilead Sciences, Inc. |
6,551 |
$ |
512,681 |
|||||
Halozyme Therapeutics, Inc.(a) |
2,993 |
101,313 |
||||||
Harmony Biosciences Holdings, Inc.(a) |
2,166 |
68,316 |
||||||
Ironwood Pharmaceuticals, Inc.(a) |
5,839 |
82,855 |
||||||
Jazz Pharmaceuticals PLC(a) |
1,233 |
151,314 |
||||||
Johnson & Johnson |
5,607 |
890,952 |
||||||
Lantheus Holdings, Inc.(a)(b) |
1,740 |
90,358 |
||||||
Ligand Pharmaceuticals, Inc.(a) |
652 |
47,661 |
||||||
Merck & Co., Inc. |
8,784 |
1,060,931 |
||||||
Neurocrine Biosciences, Inc.(a) |
1,548 |
216,364 |
||||||
Vertex Pharmaceuticals, Inc.(a) |
1,400 |
606,732 |
||||||
6,920,206 |
||||||||
Industrials – 2.2% |
||||||||
3M Co. |
3,842 |
362,492 |
||||||
A.O. Smith Corp. |
1,898 |
147,304 |
||||||
Keysight Technologies, Inc.(a) |
1,635 |
250,580 |
||||||
Legalzoom.com, Inc.(a) |
7,028 |
72,459 |
||||||
832,835 |
||||||||
Technology –
58.9%(e) |
||||||||
Adobe, Inc.(a) |
1,522 |
940,261 |
||||||
Agilysys, Inc.(a) |
869 |
72,744 |
||||||
Apple, Inc. |
13,581 |
2,504,336 |
||||||
Applied Materials, Inc.(b) |
3,694 |
606,924 |
||||||
Atlassian Corp. – Class A(a) |
1,657 |
413,869 |
||||||
Autodesk, Inc.(a) |
1,804 |
457,873 |
||||||
Bentley Systems, Inc. – Class B(b) |
3,926 |
197,870 |
||||||
Box, Inc. – Class A(a)(b) |
4,299 |
111,688 |
||||||
Broadcom, Inc. |
1,189 |
1,403,020 |
||||||
Cadence Design Systems, Inc.(a) |
1,726 |
497,882 |
||||||
Cisco Systems, Inc. |
15,515 |
778,543 |
||||||
Clear Secure, Inc. – Class A(b) |
3,365 |
64,036 |
||||||
CommVault Systems, Inc.(a) |
1,405 |
128,810 |
||||||
Crane NXT Co. |
1,533 |
89,343 |
||||||
Crowdstrike Holdings, Inc. – Class
A(a)(b) |
1,766 |
516,555 |
||||||
Datadog, Inc. – Class A(a) |
2,893 |
360,005 |
Shares |
Value |
|||||||
COMMON STOCKS – 99.8%
(Continued) |
||||||||
Technology – 58.9%(e)
(Continued) |
||||||||
DocuSign, Inc.(a) |
3,938 |
$ |
239,903 |
|||||
Dolby Laboratories, Inc. – Class A |
1,277 |
106,221 |
||||||
Doximity, Inc. – Class A(a)(b) |
3,527 |
95,053 |
||||||
Dropbox, Inc. – Class A(a)(b) |
5,529 |
175,159 |
||||||
Dynatrace, Inc.(a) |
3,866 |
220,362 |
||||||
Extreme Networks, Inc.(a) |
4,848 |
65,496 |
||||||
F5, Inc.(a) |
943 |
173,229 |
||||||
Fortinet, Inc.(a) |
6,766 |
436,339 |
||||||
HP, Inc. |
8,074 |
231,805 |
||||||
International Business Machines Corp. |
3,804 |
698,643 |
||||||
Intuit, Inc. |
1,188 |
750,020 |
||||||
Juniper Networks, Inc. |
5,337 |
197,256 |
||||||
KLA Corp.(b) |
761 |
452,064 |
||||||
Lattice Semiconductor Corp.(a)(b) |
2,598 |
158,114 |
||||||
Manhattan Associates, Inc.(a) |
934 |
226,551 |
||||||
Microchip Technology, Inc. |
4,120 |
350,942 |
||||||
Motorola Solutions, Inc. |
1,119 |
357,521 |
||||||
Nutanix, Inc. – Class A(a) |
4,272 |
240,086 |
||||||
NVIDIA Corp. |
3,372 |
2,074,690 |
||||||
Palantir Technologies, Inc. – Class
A(a) |
16,243 |
261,350 |
||||||
Palo Alto Networks, Inc.(a)(b) |
1,872 |
633,691 |
||||||
Paylocity Holding Corp.(a)(b) |
980 |
155,242 |
||||||
Pegasystems, Inc.(b) |
2,288 |
111,517 |
||||||
Progress Software Corp. |
1,502 |
85,329 |
||||||
PTC, Inc.(a)(b) |
1,368 |
247,129 |
||||||
Pure Storage, Inc. – Class A(a) |
5,570 |
222,744 |
||||||
QUALCOMM, Inc. |
5,050 |
749,976 |
||||||
Qualys, Inc.(a) |
808 |
152,849 |
||||||
RingCentral, Inc. – Class A(a)(b) |
3,004 |
101,806 |
||||||
ServiceNow, Inc.(a) |
931 |
712,587 |
||||||
Skyworks Solutions, Inc.(b) |
2,132 |
222,709 |
||||||
Smartsheet, Inc. – Class A(a) |
3,050 |
137,158 |
||||||
Squarespace, Inc. – Class A(a) |
3,253 |
100,843 |
||||||
Synopsys, Inc.(a) |
907 |
483,748 |
||||||
Tenable Holdings, Inc.(a) |
2,895 |
136,355 |
||||||
Teradata Corp.(a) |
2,580 |
119,144 |
||||||
Veeva Systems, Inc. – Class A(a) |
1,558 |
323,145 |
Shares |
Value |
|||||||
COMMON STOCKS – 99.8%
(Continued) |
||||||||
Technology – 58.9%(e)
(Continued) |
||||||||
Workday, Inc. – Class A(a) |
1,535 |
$ |
446,792 |
|||||
Zeta Global Holdings Corp. – Class
A(a) |
6,897 |
66,763 |
||||||
Zoom Video Communications, Inc. – Class
A(a) |
3,250 |
209,983 |
||||||
Zscaler, Inc.(a)(b) |
1,512 |
356,333 |
||||||
22,430,406 |
||||||||
TOTAL COMMON STOCKS |
||||||||
(Cost $33,912,143) |
37,947,472 |
|||||||
SHORT-TERM INVESTMENT –
14.9% |
||||||||
Investment Purchased with
|
||||||||
Proceeds from
Securities Lending – 14.9% |
||||||||
Mount Vernon Liquid Assets Portfolio, LLC,
5.54%(c) |
5,657,243 |
5,657,243 |
||||||
TOTAL SHORT-TERM INVESTMENT |
||||||||
(Cost $5,657,243) |
5,657,243 |
|||||||
Total Investments – 114.7%
(Cost $39,569,386) |
43,604,715 |
|||||||
Money Market Deposit Account –
0.2%(d) |
83,503 |
|||||||
Liabilities in Excess of
Other Assets – (14.9)% |
(5,657,777 |
) | ||||||
TOTAL NET ASSETS –
100.0% |
$ |
38,030,441 |
(a) |
Non-income producing
security. |
(b) |
All or a portion of this
security is on loan as of January 31, 2024. The total market value of
these securities was $5,418,768 which represented 14.2% of net
assets. |
(c) |
The rate shown represents
the 7-day effective yield as of January 31, 2024. |
(d) |
The U.S. Bank Money
Market Deposit Account (the “MMDA”) is a short-term vehicle in which the
Fund holds cash balances. The MMDA will bear interest at a variable rate
that is determined based on market conditions and is subject to change
daily. The rate as of January 31, 2024 was 5.24%. |
(e) |
The “Certain Risks”
section of the Notes to Financial Statements outlines risks associated
with significant investments in a particular
industry. |
Shares |
Value |
|||||||
COMMON STOCKS –
72.7% |
||||||||
Consumer Discretionary –
1.0% |
||||||||
Scotts Miracle-Gro Co. |
7,271 |
$ |
409,066 |
|||||
Consumer Staples –
1.7% |
||||||||
Andersons, Inc. |
6,246 |
329,227 |
||||||
Cal-Maine Foods, Inc.(a) |
7,250 |
401,795 |
||||||
731,022 |
||||||||
Energy – 35.2% (d) |
||||||||
Antero Midstream Corp. |
31,643 |
387,310 |
||||||
BP PLC – ADR |
23,358 |
819,866 |
||||||
California Resources Corp. |
5,188 |
247,364 |
||||||
Chevron Corp. |
6,945 |
1,023,900 |
||||||
Civitas Resources, Inc.(a) |
5,934 |
384,583 |
||||||
ConocoPhillips |
8,073 |
903,127 |
||||||
Coterra Energy, Inc. |
23,270 |
578,958 |
||||||
Devon Energy Corp. |
9,653 |
405,619 |
||||||
Diamondback Energy, Inc. |
4,204 |
646,323 |
||||||
Eni SpA – ADR(a) |
16,314 |
521,232 |
||||||
Equinor ASA – ADR(a) |
19,084 |
547,138 |
||||||
Equitrans Midstream Corp.(a) |
43,517 |
443,438 |
||||||
Exxon Mobil Corp. |
11,263 |
1,157,948 |
||||||
Kinder Morgan, Inc. |
39,530 |
668,848 |
||||||
Marathon Oil Corp. |
19,851 |
453,595 |
||||||
Occidental Petroleum Corp.(a) |
10,543 |
606,961 |
||||||
ONEOK, Inc. |
10,044 |
685,503 |
||||||
Petroleo Brasileiro SA – ADR |
56,724 |
968,279 |
||||||
Pioneer Natural Resources Co. |
3,052 |
701,441 |
||||||
Shell PLC – ADR |
17,209 |
1,082,619 |
||||||
TotalEnergies SE – ADR(a) |
3,662 |
238,689 |
||||||
Williams Cos., Inc. |
19,062 |
660,689 |
||||||
Woodside Energy Group, Ltd. – ADR(a) |
36,871 |
769,866 |
||||||
14,903,296 |
||||||||
Industrials –
15.3% |
||||||||
3M Co. |
8,357 |
788,483 |
||||||
A.O. Smith Corp. |
6,733 |
522,548 |
||||||
Allison Transmission Holdings, Inc. |
6,339 |
383,763 |
||||||
Caterpillar, Inc. |
2,574 |
772,998 |
Shares |
Value |
|||||||
COMMON STOCKS – 72.7%
(Continued) |
||||||||
Industrials – 15.3%
(Continued) |
||||||||
Donaldson Co., Inc. |
7,081 |
$ |
457,362 |
|||||
Fastenal Co. |
11,284 |
769,907 |
||||||
Ferguson PLC |
3,952 |
742,422 |
||||||
Forward Air Corp. |
4,669 |
206,977 |
||||||
Kennametal, Inc.(a) |
13,685 |
335,556 |
||||||
MSC Industrial Direct Co., Inc. – Class
A(a) |
4,722 |
465,967 |
||||||
Siemens AG – ADR |
7,609 |
681,006 |
||||||
Timken Co. |
3,890 |
318,630 |
||||||
6,445,619 |
||||||||
Materials – 18.7% |
||||||||
BHP Group, Ltd. – ADR(a) |
16,557 |
1,013,620 |
||||||
CF Industries Holdings, Inc. |
7,416 |
559,982 |
||||||
Dow, Inc. |
14,048 |
752,973 |
||||||
Element Solutions, Inc. |
17,039 |
378,777 |
||||||
LyondellBasell Industries NV – Class
A |
7,454 |
701,570 |
||||||
Mosaic Co. |
9,411 |
289,012 |
||||||
NewMarket Corp.(a) |
778 |
433,976 |
||||||
Olin Corp. |
8,522 |
443,741 |
||||||
PPG Industries, Inc. |
3,252 |
458,662 |
||||||
Reliance Steel & Aluminum Co.(a) |
1,335 |
381,036 |
||||||
Rio Tinto PLC – ADR |
11,577 |
801,939 |
||||||
RPM International, Inc. |
3,866 |
412,348 |
||||||
Southern Copper Corp.(a) |
11,059 |
907,943 |
||||||
Sylvamo Corp. |
7,176 |
333,182 |
||||||
7,868,761 |
||||||||
Technology – 0.8% |
||||||||
Crane NXT Co. |
5,862 |
341,637 |
||||||
TOTAL COMMON STOCKS |
||||||||
(Cost $30,314,575) |
30,699,401 |
|||||||
REAL ESTATE INVESTMENT
TRUSTS – 12.5% |
||||||||
Real Estate –
12.5% |
||||||||
CubeSmart |
12,733 |
550,320 |
||||||
Equity LifeStyle Properties, Inc. |
7,269 |
492,039 |
||||||
Gaming and Leisure Properties, Inc. |
12,119 |
553,232 |
Shares |
Value |
|||||||
REAL ESTATE INVESTMENT
|
||||||||
TRUSTS – 12.5%
(Continued) |
||||||||
Real Estate – 12.5%
(Continued) |
||||||||
Innovative Industrial Properties,
Inc.(a) |
4,054 |
$ |
377,954 |
|||||
Lamar Advertising Co. – Class A |
5,085 |
532,298 |
||||||
Mid-America Apartment Communities,
Inc. |
4,073 |
514,746 |
||||||
Public Storage(a) |
2,820 |
798,596 |
||||||
Simon Property Group, Inc. |
6,038 |
836,927 |
||||||
VICI Properties, Inc. |
19,693 |
593,153 |
||||||
5,249,265 |
||||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS |
||||||||
(Cost $5,300,480) |
5,249,265 |
|||||||
MASTER LIMITED PARTNERSHIPS
– 12.3% |
||||||||
Energy – 11.5% |
||||||||
Energy Transfer, LP |
56,368 |
806,062 |
||||||
EnLink Midstream, LLC |
35,038 |
422,558 |
||||||
Enterprise Products Partners, LP |
28,208 |
754,846 |
||||||
Hess Midstream, LP – Class A(a) |
9,025 |
305,135 |
||||||
MPLX, LP |
20,650 |
796,058 |
||||||
NuStar Energy, LP |
15,458 |
340,076 |
||||||
Plains All American Pipeline, LP |
33,627 |
519,201 |
||||||
Plains GP Holdings, LP – Class A |
25,106 |
406,215 |
||||||
Western Midstream Partners, LP(a) |
18,634 |
535,355 |
||||||
4,885,506 |
||||||||
Materials – 0.8% |
||||||||
Alliance Resource Partners, LP |
15,356 |
322,630 |
||||||
TOTAL MASTER LIMITED PARTNERSHIPS |
||||||||
(Cost $4,481,371) |
5,208,136 |
|||||||
PREFERRED STOCK –
2.1% |
||||||||
Energy – 2.1% |
||||||||
Petroleo Brasileiro SA – ADR |
55,202 |
905,313 |
||||||
TOTAL PREFERRED STOCK |
||||||||
(Cost $636,826) |
905,313 |
Shares |
Value |
|||||||
SHORT-TERM INVESTMENT –
20.5% |
||||||||
Investment Purchased with
|
||||||||
Proceeds from
Securities Lending – 20.5% |
||||||||
Mount Vernon Liquid Assets Portfolio, LLC,
5.54%(b) |
8,683,365 |
$ |
8,683,365 |
|||||
TOTAL SHORT-TERM INVESTMENT |
||||||||
(Cost $8,683,365) |
8,683,365 |
|||||||
Total Investments – 120.1%
(Cost $49,416,617) |
50,745,480 |
|||||||
Money Market Deposit Account –
0.1%(c) |
45,671 |
|||||||
Liabilities in Excess of
Other Assets – (20.2)% |
(8,530,760 |
) | ||||||
TOTAL NET ASSETS –
100.0% |
$ |
42,260,391 |
(a) |
All or a portion of this
security is on loan as of January 31, 2024. The total market value of
these securities was $8,341,193 which represented 19.7% of net
assets. |
(b) |
The rate shown represents
the 7-day effective yield as of January 31, 2024. |
(c) |
The U.S. Bank Money
Market Deposit Account (the “MMDA”) is a short-term vehicle in which the
Fund holds cash balances. The MMDA will bear interest at a variable rate
that is determined based on market conditions and is subject to change
daily. The rate as of January 31, 2024 was 5.24%. |
(d) |
The “Certain Risks”
section of the Notes to Financial Statements outlines risks associated
with significant investments in a particular
industry. |
FCF |
||||||||
FCF
US |
International |
|||||||
Quality
ETF |
Quality
ETF |
|||||||
ASSETS |
||||||||
Investments in Securities, at Value*
(Including securities on |
||||||||
loan valued at $32,703,461 and
$1,076,335, respectively) |
$ |
405,374,005 |
$ |
63,292,261 |
||||
Cash – Interest Bearing Deposit
Account |
2,115,651 |
608,002 |
||||||
Cash |
424 |
1,200 |
||||||
Interest and Dividends Receivable |
303,385 |
255,909 |
||||||
Securities Lending Income Receivable |
3,854 |
1,077 |
||||||
Foreign Currency, at Value* |
— |
612,363 |
||||||
Receivable for Fund Shares Sold |
4,314,450 |
— |
||||||
Total
Assets |
412,111,769 |
64,770,812 |
||||||
LIABILITIES |
||||||||
Payable for Securities Loaned |
33,933,545 |
1,123,893 |
||||||
Payable for Investment Securities
Purchased |
4,082,726 |
— |
||||||
Management Fees Payable |
176,027 |
31,208 |
||||||
Total
Liabilities |
38,192,298 |
1,155,101 |
||||||
NET ASSETS |
$ |
373,919,471 |
$ |
63,615,711 |
||||
NET ASSETS CONSIST
OF: |
||||||||
Paid-in Capital |
$ |
329,325,800 |
$ |
68,586,440 |
||||
Total Distributable Earnings
(Deficit) |
44,593,671 |
(4,970,729 |
) | |||||
Net
Assets |
$ |
373,919,471 |
$ |
63,615,711 |
||||
* Identified Cost: |
||||||||
Investments
in Securities |
$ |
361,458,586 |
$ |
58,370,044 |
||||
Foreign
Currency |
$ |
— |
$ |
608,053 |
||||
Net Asset Value (unlimited
shares authorized): |
||||||||
Net Assets |
$ |
373,919,471 |
$ |
63,615,711 |
||||
Shares Outstanding (No Par Value) |
6,500,000 |
2,200,000 |
||||||
Net Asset Value, Offering and Redemption Price
per Share |
$ |
57.53 |
$ |
28.92 |
Donoghue |
Donoghue |
Donoghue |
||||||||||
Forlines |
Forlines |
Forlines |
||||||||||
Tactical
High |
Innovation |
Yield
Enhanced |
||||||||||
Yield
ETF |
ETF |
Real
Asset ETF |
||||||||||
ASSETS |
||||||||||||
Investments in Securities, at Value* |
||||||||||||
(Including securities on loan
valued at $2,592,541, |
||||||||||||
$5,418,768, and $8,341,193,
respectively) |
$ |
34,198,945 |
$ |
43,604,715 |
$ |
50,745,480 |
||||||
Cash – Interest Bearing Deposit
Account |
62,764 |
83,503 |
45,671 |
|||||||||
Interest and Dividends Receivable |
327 |
20,658 |
175,543 |
|||||||||
Securities Lending Income Receivable |
1,532 |
640 |
1,920 |
|||||||||
Total
Assets |
34,263,568 |
43,709,516 |
50,968,614 |
|||||||||
LIABILITIES |
||||||||||||
Payable for Securities Loaned |
2,658,546 |
5,657,243 |
8,683,365 |
|||||||||
Management Fees Payable |
18,395 |
21,832 |
24,858 |
|||||||||
Total
Liabilities |
2,676,941 |
5,679,075 |
8,708,223 |
|||||||||
NET ASSETS |
$ |
31,586,627 |
$ |
38,030,441 |
$ |
42,260,391 |
||||||
NET ASSETS CONSIST
OF: |
||||||||||||
Paid-in Capital |
$ |
38,798,733 |
$ |
42,992,863 |
$ |
39,712,520 |
||||||
Total Distributable Earnings
(Deficit) |
(7,212,106 |
) |
(4,962,422 |
) |
2,547,871 |
|||||||
Net
Assets |
$ |
31,586,627 |
$ |
38,030,441 |
$ |
42,260,391 |
||||||
* Identified Cost: |
||||||||||||
Investments
in Securities |
$ |
33,060,528 |
$ |
39,569,386 |
$ |
49,416,617 |
||||||
Net Asset Value (unlimited
shares authorized): |
||||||||||||
Net Assets |
$ |
31,586,627 |
$ |
38,030,441 |
$ |
42,260,391 |
||||||
Shares Outstanding (No Par Value) |
1,500,000 |
1,325,000 |
1,500,000 |
|||||||||
Net Asset Value, Offering and |
||||||||||||
Redemption Price per
Share |
$ |
21.06 |
$ |
28.70 |
$ |
28.17 |
FCF |
FCF |
|||||||
US
Quality |
International |
|||||||
ETF |
Quality
ETF |
|||||||
INVESTMENT INCOME |
||||||||
Income: |
||||||||
Dividends
(net of foreign withholding tax and issuance |
||||||||
fees
of $948 and $54,606, respectively) |
$ |
1,707,810 |
$ |
567,302 |
||||
Interest |
33,192 |
10,868 |
||||||
Securities
Lending Income |
109,040 |
5,457 |
||||||
Total
Investment Income |
1,850,042 |
583,627 |
||||||
Expenses: |
||||||||
Management
Fees |
726,678 |
166,055 |
||||||
Total
Expenses |
726,678 |
166,055 |
||||||
Net Investment
Income |
1,123,364 |
417,572 |
||||||
REALIZED & UNREALIZED
GAIN (LOSS) ON INVESTMENTS |
||||||||
Net Realized Gain (Loss) on: |
||||||||
Investment
Securities |
(4,359,861 |
) |
(1,148,234 |
) | ||||
Redemptions
In-Kind |
14,489,686 |
423,802 |
||||||
Foreign
Currencies |
— |
(12,544 |
) | |||||
Total |
10,129,825 |
(736,976 |
) | |||||
Net Change in Unrealized Appreciation
of: |
||||||||
Investment
Securities |
10,853,350 |
3,231,101 |
||||||
Foreign
Currencies |
— |
(9,256 |
) | |||||
Total |
10,853,350 |
3,221,845 |
||||||
Net Realized and Unrealized Gain on |
||||||||
Investments and Foreign
Currencies |
20,983,175 |
2,484,869 |
||||||
NET INCREASE IN NET ASSETS
|
||||||||
RESULTING FROM
OPERATIONS |
$ |
22,106,539 |
$ |
2,902,441 |
Donoghue |
Donoghue |
Donoghue |
||||||||||
Forlines |
Forlines |
Forlines
Yield |
||||||||||
Tactical
High |
Innovation |
Enhanced
Real |
||||||||||
Yield
ETF |
ETF |
Asset
ETF |
||||||||||
INVESTMENT INCOME |
||||||||||||
Income: |
||||||||||||
Dividends
(net of foreign withholding tax |
||||||||||||
and
issuance fees of $0, $0, and |
||||||||||||
$22,736,
respectively) |
$ |
863,696 |
$ |
186,079 |
$ |
868,072 |
||||||
Interest |
2,534 |
3,619 |
5,227 |
|||||||||
Securities
Lending Income |
26,510 |
74,456 |
10,976 |
|||||||||
Total
Investment Income |
892,740 |
264,154 |
884,275 |
|||||||||
Expenses: |
||||||||||||
Management
Fees |
109,464 |
134,267 |
154,375 |
|||||||||
Total
Expenses |
109,464 |
134,267 |
154,375 |
|||||||||
Net Investment
Income |
783,276 |
129,887 |
729,900 |
|||||||||
REALIZED & UNREALIZED
|
||||||||||||
GAIN (LOSS) ON
INVESTMENTS |
||||||||||||
Net Realized Gain (Loss) on: |
||||||||||||
Investment
Securities |
(268,450 |
) |
139,498 |
1,144,879 |
||||||||
Redemptions
In-Kind |
50,035 |
2,507,644 |
1,687,466 |
|||||||||
Total |
(218,415 |
) |
2,647,142 |
2,832,345 |
||||||||
Net Change in Unrealized Appreciation
of: |
||||||||||||
Investment
Securities |
661,090 |
1,061,104 |
(1,848,728 |
) | ||||||||
Total |
661,090 |
1,061,104 |
(1,848,728 |
) | ||||||||
Net Realized and Unrealized Gain on |
||||||||||||
Investments and Foreign
Currencies |
442,675 |
3,708,246 |
983,617 |
|||||||||
NET INCREASE IN NET ASSETS
|
||||||||||||
RESULTING FROM
OPERATIONS |
$ |
1,225,951 |
$ |
3,838,133 |
$ |
1,713,517 |
Six-Months
Ended |
||||||||
January
31, 2024 |
Year
Ended |
|||||||
(Unaudited) |
July
31, 2023 |
|||||||
OPERATIONS |
||||||||
Net
Investment Income |
$ |
1,123,364 |
$ |
1,901,520 |
||||
Net
Realized Gain on Investments |
10,129,825 |
5,326,980 |
||||||
Change
in Unrealized Appreciation of Investments |
10,853,350 |
15,427,580 |
||||||
Net
Increase in Net Assets Resulting from Operations |
22,106,539 |
22,656,080 |
||||||
DISTRIBUTIONS TO
SHAREHOLDERS |
||||||||
Dividends
and Distributions |
(1,059,943 |
) |
(3,291,427 |
) | ||||
Total
Distributions to Shareholders |
(1,059,943 |
) |
(3,291,427 |
) | ||||
CAPITAL SHARE
TRANSACTIONS |
||||||||
Proceeds
from Shares Sold |
206,859,060 |
82,601,595 |
||||||
Payments
for Shares Redeemed |
(57,843,430 |
) |
(75,046,645 |
) | ||||
Net
Increase in Net Assets Derived |
||||||||
from
Capital Share Transactions(a) |
149,015,630 |
7,554,950 |
||||||
Net Increase in Net
Assets |
170,062,226 |
26,919,603 |
||||||
NET ASSETS |
||||||||
Beginning
of Period |
203,857,245 |
176,937,642 |
||||||
End
of Period |
$ |
373,919,471 |
$ |
203,857,245 |
(a) |
Summary of capital share transactions is as
follows: |
Shares |
Shares |
||||||||
Subscriptions |
3,775,000 |
1,700,000 |
|||||||
Redemptions |
(1,050,000 |
) |
(1,550,000 |
) | |||||
Net Increase |
2,725,000 |
150,000 |
Six-Months
Ended |
||||||||
January
31, 2024 |
Year
Ended |
|||||||
(Unaudited) |
July
31, 2023 |
|||||||
OPERATIONS |
||||||||
Net
Investment Income |
$ |
417,572 |
$ |
1,669,207 |
||||
Net
Realized Loss on Investments and Foreign Currencies |
(736,976 |
) |
(10,949,521 |
) | ||||
Change
in Unrealized Appreciation |
||||||||
of
Investments and Foreign Currencies |
3,221,845 |
10,656,973 |
||||||
Net
Increase in Net Assets |
||||||||
Resulting
from Operations |
2,902,441 |
1,376,659 |
||||||
DISTRIBUTIONS TO
SHAREHOLDERS |
||||||||
Dividends
and Distributions |
(611,967 |
) |
(3,175,073 |
) | ||||
Total
Distributions to Shareholders |
(611,967 |
) |
(3,175,073 |
) | ||||
CAPITAL SHARE
TRANSACTIONS |
||||||||
Proceeds
from Shares Sold |
11,666,505 |
25,992,288 |
||||||
Payments
for Shares Redeemed |
(4,166,910 |
) |
(24,525,520 |
) | ||||
Transaction
Fees (Note 1) |
— |
75 |
||||||
Net
Increase in Net Assets Derived |
||||||||
from
Capital Share Transactions(a) |
7,499,595 |
1,466,843 |
||||||
Net Increase (Decrease) in
Net Assets |
9,790,069 |
(331,571 |
) | |||||
NET ASSETS |
||||||||
Beginning
of Period |
53,825,642 |
54,157,213 |
||||||
End
of Period |
$ |
63,615,711 |
$ |
53,825,642 |
(a) |
Summary of capital share transactions is as
follows: |
Shares |
Shares |
||||||||
Subscriptions |
425,000 |
975,000 |
|||||||
Redemptions |
(150,000 |
) |
(900,000 |
) | |||||
Net Increase |
275,000 |
75,000 |
Six-Months
Ended |
||||||||
January
31, 2024 |
Year
Ended |
|||||||
(Unaudited) |
July
31, 2023 |
|||||||
OPERATIONS |
||||||||
Net
Investment Income |
$ |
783,276 |
$ |
1,609,013 |
||||
Net
Realized Loss on Investments |
(218,415 |
) |
(2,353,354 |
) | ||||
Change
in Unrealized Appreciation of Investments |
661,090 |
(373,696 |
) | |||||
Net
Increase (Decrease) in Net Assets |
||||||||
Resulting
from Operations |
1,225,951 |
(1,118,037 |
) | |||||
DISTRIBUTIONS TO
SHAREHOLDERS |
||||||||
Dividends
and Distributions |
(941,043 |
) |
(1,465,990 |
) | ||||
Total
Distributions to Shareholders |
(941,043 |
) |
(1,465,990 |
) | ||||
CAPITAL SHARE
TRANSACTIONS |
||||||||
Proceeds
from Shares Sold |
1,556,888 |
1,037,043 |
||||||
Payments
for Shares Redeemed |
(1,573,780 |
) |
(14,721,435 |
) | ||||
Net
Decrease in Net Assets Derived |
||||||||
from
Capital Share Transactions(a) |
(16,892 |
) |
(13,684,392 |
) | ||||
Net Increase (Decrease) in
Net Assets |
268,016 |
(16,268,419 |
) | |||||
NET ASSETS |
||||||||
Beginning
of Period |
31,318,611 |
47,587,030 |
||||||
End
of Period |
$ |
31,586,627 |
$ |
31,318,611 |
(a) |
Summary of capital share transactions is as
follows: |
Shares |
Shares |
||||||||
Subscriptions |
75,000 |
50,000 |
|||||||
Redemptions |
(75,000 |
) |
(700,000 |
) | |||||
Net Decrease |
— |
(650,000 |
) |
Six-Months
Ended |
||||||||
January
31, 2024 |
Year
Ended |
|||||||
(Unaudited) |
July
31, 2023 |
|||||||
OPERATIONS |
||||||||
Net
Investment Income |
$ |
129,887 |
$ |
397,054 |
||||
Net
Realized Gain (Loss) on Investments |
2,647,142 |
(4,602,818 |
) | |||||
Change
in Unrealized Appreciation of Investments |
1,061,104 |
7,131,833 |
||||||
Net
Increase in Net Assets Resulting from Operations |
3,838,133 |
2,926,069 |
||||||
DISTRIBUTIONS TO
SHAREHOLDERS |
||||||||
Dividends
and Distributions |
(285,155 |
) |
(550,240 |
) | ||||
Total
Distributions to Shareholders |
(285,155 |
) |
(550,240 |
) | ||||
CAPITAL SHARE
TRANSACTIONS |
||||||||
Proceeds
from Shares Sold |
8,185,645 |
5,849,725 |
||||||
Payments
for Shares Redeemed |
(13,154,578 |
) |
(61,732,110 |
) | ||||
Net
Decrease in Net Assets Derived |
||||||||
from
Capital Share Transactions(a) |
(4,968,933 |
) |
(55,882,385 |
) | ||||
Net Decrease in Net
Assets |
(1,415,955 |
) |
(53,506,556 |
) | ||||
NET ASSETS |
||||||||
Beginning
of Period |
39,446,396 |
92,952,952 |
||||||
End
of Period |
$ |
38,030,441 |
$ |
39,446,396 |
(a) |
Summary of capital share transactions is as
follows: |
Shares |
Shares |
||||||||
Subscriptions |
450,000 |
250,000 |
|||||||
Redemptions |
(425,000 |
) |
(2,650,000 |
) | |||||
Net Increase (Decrease) |
25,000 |
(2,400,000 |
) |
Six-Months
Ended |
||||||||
January
31, 2024 |
Year
Ended |
|||||||
(Unaudited) |
July
31, 2023 |
|||||||
OPERATIONS |
||||||||
Net
Investment Income |
$ |
729,900 |
$ |
1,945,136 |
||||
Net
Realized Gain on Investments |
2,832,345 |
99,398 |
||||||
Change
in Unrealized Appreciation (Depreciation) |
||||||||
of
Investments |
(1,848,728 |
) |
4,330,407 |
|||||
Net
Increase in Net Assets Resulting from Operations |
1,713,517 |
6,374,941 |
||||||
DISTRIBUTIONS TO
SHAREHOLDERS |
||||||||
Dividends
and Distributions |
(1,353,963 |
) |
(3,715,143 |
) | ||||
Total
Distributions to Shareholders |
(1,353,963 |
) |
(3,715,143 |
) | ||||
CAPITAL SHARE
TRANSACTIONS |
||||||||
Proceeds
from Shares Sold |
12,125,630 |
27,581,670 |
||||||
Payments
for Shares Redeemed |
(12,072,405 |
) |
(23,251,110 |
) | ||||
Net
Increase in Net Assets Derived |
||||||||
from
Capital Share Transactions(a) |
53,225 |
4,330,560 |
||||||
Net Increase in Net
Assets |
412,779 |
6,990,358 |
||||||
NET ASSETS |
||||||||
Beginning
of Period |
41,847,612 |
34,857,254 |
||||||
End
of Period |
$ |
42,260,391 |
$ |
41,847,612 |
(a) |
Summary of capital share transactions is as
follows: |
Shares |
Shares |
||||||||
Subscriptions |
450,000 |
1,050,000 |
|||||||
Redemptions |
(425,000 |
) |
(900,000 |
) | |||||
Net Increase |
25,000 |
150,000 |
Six-Months |
||||||||||||||||||||||||
Ended |
Year |
Year |
Year |
Year |
Year |
|||||||||||||||||||
January
31, |
Ended |
Ended |
Ended |
Ended |
Ended |
|||||||||||||||||||
2024 |
July
31, |
July
31, |
July
31, |
July
31, |
July
31, |
|||||||||||||||||||
(Unaudited) |
2023 |
2022 |
2021 |
2020 |
2019 |
|||||||||||||||||||
Net Asset Value, |
||||||||||||||||||||||||
Beginning of Period/Year |
$ |
54.00 |
$ |
48.81 |
$ |
55.12 |
$ |
39.92 |
$ |
37.59 |
$ |
36.41 |
||||||||||||
Income from |
||||||||||||||||||||||||
Investment
Operations: |
||||||||||||||||||||||||
Net Investment Income(a) |
0.25 |
0.53 |
0.60 |
0.28 |
0.25 |
0.30 |
||||||||||||||||||
Net Realized and Unrealized |
||||||||||||||||||||||||
Gain (Loss) on
Investments |
3.50 |
5.61 |
(1.59 |
) |
15.11 |
2.36 |
1.07 |
|||||||||||||||||
Total
from |
||||||||||||||||||||||||
Investment
Operations |
3.75 |
6.14 |
(0.99 |
) |
15.39 |
2.61 |
1.37 |
|||||||||||||||||
Less
Distributions: |
||||||||||||||||||||||||
From Net Investment Income |
(0.22 |
) |
(0.52 |
) |
(0.47 |
) |
(0.19 |
) |
(0.28 |
) |
(0.19 |
) | ||||||||||||
From Net Realized |
||||||||||||||||||||||||
Gain on Investments |
— |
(0.43 |
) |
(4.85 |
) |
— |
— |
— |
||||||||||||||||
Total
Distributions |
(0.22 |
) |
(0.95 |
) |
(5.32 |
) |
(0.19 |
) |
(0.28 |
) |
(0.19 |
) | ||||||||||||
Net Asset Value, |
||||||||||||||||||||||||
End of Period/Year |
$ |
57.53 |
$ |
54.00 |
$ |
48.81 |
$ |
55.12 |
$ |
39.92 |
$ |
37.59 |
||||||||||||
Total Return |
6.96 |
%(b) |
12.87 |
% |
-2.92 |
%(e) |
38.64 |
% |
6.97 |
% |
3.89 |
% | ||||||||||||
Supplemental Data: |
||||||||||||||||||||||||
Net Assets at End |
||||||||||||||||||||||||
of Period/Year (000’s) |
$ |
373,919 |
$ |
203,857 |
$ |
176,938 |
$ |
203,949 |
$ |
108,791 |
$ |
124,056 |
||||||||||||
Ratios to Average Net
Assets: |
||||||||||||||||||||||||
Expenses to Average Net Assets |
0.59 |
%(c) |
0.59 |
% |
0.59 |
% |
0.59 |
% |
0.59 |
% |
0.59 |
% | ||||||||||||
Net Investment Income |
||||||||||||||||||||||||
to Average Net Assets |
0.91 |
%(c) |
1.09 |
% |
1.15 |
% |
0.61 |
% |
0.68 |
% |
0.84 |
% | ||||||||||||
Portfolio Turnover Rate(d) |
25 |
%(b) |
39 |
% |
51 |
% |
98 |
% |
83 |
% |
49 |
% |
(a) |
Calculated based on
average shares outstanding during the year. |
(b) |
Not
annualized. |
(c) |
Annualized. |
(d) |
Excludes impact of
in-kind transactions. |
(e) |
During the fiscal year
ended July 31, 2022, the Advisor reimbursed the Fund for certain losses.
Had the Fund not been reimbursed for these losses the total return would
have remained at -2.92%. |
Six-Months |
||||||||||||||||||||||||
Ended |
Year |
Year |
Year |
Year |
Year |
|||||||||||||||||||
January
31, |
Ended |
Ended |
Ended |
Ended |
Ended |
|||||||||||||||||||
2024 |
July
31, |
July
31, |
July
31, |
July
31, |
July
31, |
|||||||||||||||||||
(Unaudited) |
2023 |
2022 |
2021 |
2020 |
2019 |
|||||||||||||||||||
Net Asset Value, |
||||||||||||||||||||||||
Beginning of Period/Year |
$ |
27.96 |
$ |
29.27 |
$ |
36.38 |
$ |
26.16 |
$ |
26.02 |
$ |
26.93 |
||||||||||||
Income from |
||||||||||||||||||||||||
Investment
Operations: |
||||||||||||||||||||||||
Net Investment Income(a) |
0.20 |
1.02 |
1.12 |
0.44 |
0.25 |
0.37 |
||||||||||||||||||
Net Realized and Unrealized |
||||||||||||||||||||||||
Gain (Loss) on
Investments |
1.06 |
0.43 |
(e) |
(7.50 |
) |
9.98 |
0.40 |
(1.08 |
) | |||||||||||||||
Total
from |
||||||||||||||||||||||||
Investment
Operations |
1.26 |
1.45 |
(6.38 |
) |
10.42 |
0.65 |
(0.71 |
) | ||||||||||||||||
Less
Distributions: |
||||||||||||||||||||||||
From Net Investment Income |
(0.30 |
) |
(2.76 |
) |
(0.31 |
) |
(0.20 |
) |
(0.51 |
) |
(0.20 |
) | ||||||||||||
From Net Realized |
||||||||||||||||||||||||
Gain on Investments |
— |
— |
(0.42 |
) |
— |
— |
— |
|||||||||||||||||
Total
Distributions |
(0.30 |
) |
(2.76 |
) |
(0.73 |
) |
(0.20 |
) |
(0.51 |
) |
(0.20 |
) | ||||||||||||
Capital Share
Transactions |
||||||||||||||||||||||||
Transaction Fees (Note 1) |
— |
0.00 |
(f) |
— |
— |
— |
— |
|||||||||||||||||
Net Asset Value, |
||||||||||||||||||||||||
End of Period/Year |
$ |
28.92 |
$ |
27.96 |
$ |
29.27 |
$ |
36.38 |
$ |
26.16 |
$ |
26.02 |
||||||||||||
Total Return |
4.55 |
%(b) |
6.02 |
% |
-17.93 |
% |
39.96 |
% |
2.42 |
% |
-2.47 |
% | ||||||||||||
Supplemental Data: |
||||||||||||||||||||||||
Net Assets at End |
||||||||||||||||||||||||
of Period/Year (000’s) |
$ |
63,616 |
$ |
53,826 |
$ |
54,157 |
$ |
59,114 |
$ |
11,116 |
$ |
12,361 |
||||||||||||
Ratios to Average Net
Assets: |
||||||||||||||||||||||||
Expenses to Average Net Assets |
0.59 |
%(c) |
0.59 |
% |
0.59 |
% |
0.59 |
% |
0.59 |
% |
0.59 |
% | ||||||||||||
Net Investment Income |
||||||||||||||||||||||||
to Average Net Assets |
1.48 |
%(c) |
3.79 |
% |
3.32 |
% |
1.32 |
% |
1.00 |
% |
1.48 |
% | ||||||||||||
Portfolio Turnover Rate(d) |
22 |
%(b) |
62 |
% |
42 |
% |
87 |
% |
45 |
% |
43 |
% |
(a) |
Calculated based on
average shares outstanding during the year. |
(b) |
Not
annualized. |
(c) |
Annualized. |
(d) |
Excludes impact of
in-kind transactions. |
(e) |
As required by the SEC
standard per share data calculation methodology, this represents a
balancing figure derived from the other amounts in the financial
highlights tables that captures all other changes affecting net asset
value per share. This per share gain amount does not correlate to
the aggregate of the net realized and unrealized loss in the Statements of
Operations for the year ended July 31, 2023, primarily due to the timing
of sales and repurchases of the Fund’s shares in relation to fluctuating
market values of the Fund’s portfolio. |
(f) |
Amount represents less
than $0.005 per share. |
Six
Months |
||||||||||||||||
Ended |
Year |
Year |
Period |
|||||||||||||
January
31, |
Ended |
Ended |
Ended |
|||||||||||||
2024 |
July
31, |
July
31, |
July
31, |
|||||||||||||
(Unaudited) |
2023 |
2022 |
2021(a) |
|||||||||||||
Net Asset Value, Beginning of
Period/Year |
$ |
20.88 |
$ |
22.13 |
$ |
25.23 |
$ |
25.00 |
||||||||
Income from Investment
Operations: |
||||||||||||||||
Net Investment Income(b) |
0.51 |
0.93 |
0.61 |
0.57 |
||||||||||||
Net Realized and Unrealized |
||||||||||||||||
Gain (Loss) on
Investments |
0.28 |
(1.33 |
) |
(3.08 |
) |
0.15 |
||||||||||
Total
from Investment Operations |
0.79 |
(0.40 |
) |
(2.47 |
) |
0.72 |
||||||||||
Less
Distributions: |
||||||||||||||||
From Net Investment Income |
(0.61 |
) |
(0.85 |
) |
(0.63 |
) |
(0.49 |
) | ||||||||
Total
Distributions |
(0.61 |
) |
(0.85 |
) |
(0.63 |
) |
(0.49 |
) | ||||||||
Net Asset Value, End of Period/Year |
$ |
21.06 |
$ |
20.88 |
$ |
22.13 |
$ |
25.23 |
||||||||
Total Return |
3.88 |
%(c) |
-1.73 |
% |
-9.96 |
% |
2.92 |
%(c) | ||||||||
Supplemental Data: |
||||||||||||||||
Net Assets at End of Period/Year
(000’s) |
$ |
31,587 |
$ |
31,319 |
$ |
47,587 |
$ |
88,952 |
||||||||
Ratios to Average Net
Assets(f): |
||||||||||||||||
Expenses to Average Net Assets |
0.69 |
%(d) |
0.69 |
% |
0.69 |
% |
0.69 |
%(d) | ||||||||
Net Investment Income to Average Net
Assets |
4.94 |
%(d) |
4.44 |
% |
2.52 |
% |
3.54 |
%(d) | ||||||||
Portfolio Turnover Rate(e) |
337 |
%(c) |
792 |
% |
1029 |
% |
327 |
%(c) |
(a) |
Commencement of
operations on December 7, 2020. |
(b) |
Calculated based on
average shares outstanding during the period. |
(c) |
Not
annualized. |
(d) |
Annualized. |
(e) |
Excludes impact of
in-kind transactions. |
(f) |
Income and expense ratios
presented do not reflect the income and expenses of underlying
funds. |
Six
Months |
||||||||||||||||
Ended |
Year |
Year |
Period |
|||||||||||||
January
31, |
Ended |
Ended |
Ended |
|||||||||||||
2024 |
July
31, |
July
31, |
July
31, |
|||||||||||||
(Unaudited) |
2023 |
2022 |
2021(a) |
|||||||||||||
Net Asset Value, Beginning of
Period/Year |
$ |
26.74 |
$ |
23.99 |
$ |
29.61 |
$ |
25.00 |
||||||||
Income from Investment
Operations: |
||||||||||||||||
Net Investment Income(b) |
0.09 |
0.17 |
0.12 |
0.02 |
||||||||||||
Net Realized and Unrealized |
||||||||||||||||
Gain (Loss) on
Investments |
2.09 |
2.85 |
(4.34 |
) |
4.60 |
|||||||||||
Total
from Investment Operations |
2.18 |
3.02 |
(4.22 |
) |
4.62 |
|||||||||||
Less
Distributions: |
||||||||||||||||
From Net Investment Income |
(0.22 |
) |
(0.27 |
) |
(0.05 |
) |
(0.01 |
) | ||||||||
From Net Realized Gain on Investments |
— |
— |
(1.35 |
) |
— |
|||||||||||
Total
Distributions |
(0.22 |
) |
(0.27 |
) |
(1.40 |
) |
(0.01 |
) | ||||||||
Net Asset Value, End of Period/Year |
$ |
28.70 |
$ |
26.74 |
$ |
23.99 |
$ |
29.61 |
||||||||
Total Return |
8.15 |
%(c) |
12.84 |
% |
-15.16 |
% |
18.48 |
%(c) | ||||||||
Supplemental Data: |
||||||||||||||||
Net Assets at End of Period/Year
(000’s) |
$ |
38,030 |
$ |
39,446 |
$ |
92,953 |
$ |
87,362 |
||||||||
Ratios to Average Net
Assets: |
||||||||||||||||
Expenses to Average Net Assets |
0.69 |
%(d) |
0.69 |
% |
0.69 |
% |
0.69 |
%(d) | ||||||||
Net Investment Income to Average Net
Assets |
0.67 |
%(d) |
0.72 |
% |
0.45 |
% |
0.11 |
%(d) | ||||||||
Portfolio Turnover Rate(e) |
51 |
%(c) |
161 |
% |
82 |
% |
40 |
%(c) |
(a) |
Commencement of
operations on December 7, 2020. |
(b) |
Calculated based on
average shares outstanding during the period. |
(c) |
Not
annualized. |
(d) |
Annualized. |
(e) |
Excludes impact of
in-kind transactions. |
Six
Months |
||||||||||||
Ended |
||||||||||||
January
31, |
||||||||||||
2024 |
Year
Ended |
Period
Ended |
||||||||||
(Unaudited) |
July
31, 2023 |
July
31, 2022(a) |
||||||||||
Net Asset Value, Beginning of
Period/Year |
$ |
28.37 |
$ |
26.31 |
$ |
25.00 |
||||||
Income from Investment
Operations: |
||||||||||||
Net Investment Income(b) |
0.45 |
1.21 |
0.63 |
|||||||||
Net Realized and Unrealized |
||||||||||||
Gain on Investments |
0.19 |
3.10 |
1.11 |
(f) | ||||||||
Total
from Investment Operations |
0.64 |
4.31 |
1.74 |
|||||||||
Less
Distributions: |
||||||||||||
From Net Investment Income |
(0.84 |
) |
(1.50 |
) |
(0.43 |
) | ||||||
From Net Realized Gain on Investments |
— |
(0.75 |
) |
— |
||||||||
Total
Distributions |
(0.84 |
) |
(2.25 |
) |
(0.43 |
) | ||||||
Net Asset Value, End of Period/Year |
$ |
28.17 |
$ |
28.37 |
$ |
26.31 |
||||||
Total Return |
2.37 |
%(c) |
17.62 |
% |
6.88 |
%(c) | ||||||
Supplemental Data: |
||||||||||||
Net Assets at End of Period/Year
(000’s) |
$ |
42,260 |
$ |
41,848 |
$ |
34,857 |
||||||
Ratios to Average Net
Assets: |
||||||||||||
Expenses to Average Net Assets |
0.69 |
%(d) |
0.69 |
% |
0.69 |
%(d) | ||||||
Net Investment Income to Average Net
Assets |
3.26 |
%(d) |
4.62 |
% |
3.79 |
%(d) | ||||||
Portfolio Turnover Rate(e) |
42 |
%(c) |
90 |
% |
48 |
%(c) |
(a) |
Commencement of
operations on December 13, 2021. |
(b) |
Calculated based on
average shares outstanding during the period. |
(c) |
Not
annualized. |
(d) |
Annualized. |
(e) |
Excludes impact of
in-kind transactions. |
(f) |
As required by the SEC
standard per share data calculation methodology, this represents a
balancing figure derived from the other amounts in the financial
highlights tables that captures all other changes affecting net asset
value per share. This per share gain amount does not correlate to
the aggregate of the net realized and unrealized loss in the Statements of
Operations for the period ended July 31, 2022, primarily due to the timing
of sales and repurchases of the Fund’s shares in relation to fluctuating
market values of the Fund’s portfolio. |
Distributable
Earnings |
Paid-In |
||||||||
(Accumulated
Deficit) |
Capital |
||||||||
FCF US Quality ETF |
$ |
(13,063,652 |
) |
$ |
13,063,652 |
||||
FCF International Quality ETF |
$ |
2,980,591 |
$ |
(2,980,591 |
) | ||||
Donoghue Forlines Tactical High Yield
ETF |
$ |
255,160 |
$ |
(255,160 |
) | ||||
Donoghue Forlines Innovation ETF |
$ |
(3,240,523 |
) |
$ |
3,240,523 |
||||
Donoghue Forlines Yield Enhanced Real Asset
ETF |
$ |
(1,314,387 |
) |
$ |
1,314,387 |
Gains
(Losses) from | ||||
In-Kind
Redemptions | ||||
FCF US Quality ETF |
$ |
14,705,263 |
||
FCF International Quality ETF |
$ |
(2,612,891 |
) | |
Donoghue Forlines Tactical High Yield
ETF |
$ |
(174,744 |
) | |
Donoghue Forlines Innovation ETF |
$ |
3,377,683 |
||
Donoghue Forlines Yield Enhanced Real Asset
ETF |
$ |
1,491,423 |
Level 1 — |
Unadjusted quoted prices
in active markets for identical assets or
liabilities. |
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 securities, 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 Fund’s 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. |
FCF US
Quality ETF |
||||||||||||||||||||
Description^ |
Non-Categorized |
Level
1 |
Level
2 |
Level
3 |
Total |
|||||||||||||||
Common Stocks |
$ |
— |
$ |
371,440,460 |
$ |
— |
$ |
— |
$ |
371,440,460 |
||||||||||
Investment
Purchased |
||||||||||||||||||||
with Proceeds
from |
||||||||||||||||||||
Securities
Lending* |
33,933,545 |
— |
— |
— |
33,933,545 |
|||||||||||||||
Total
Investments |
$ |
33,933,545 |
$ |
371,440,460 |
$ |
— |
$ |
— |
$ |
405,374,005 |
||||||||||
FCF
International Quality ETF |
||||||||||||||||||||
Description^ |
Non-Categorized |
Level
1 |
Level
2 |
Level
3** |
Total |
|||||||||||||||
Common Stocks |
$ |
— |
$ |
62,052,626 |
$ |
— |
$ |
— |
$ |
62,052,626 |
||||||||||
Preferred Stock |
— |
115,742 |
— |
— |
115,742 |
|||||||||||||||
Warrant |
— |
— |
— |
— |
— |
|||||||||||||||
Investment
Purchased |
||||||||||||||||||||
with Proceeds
from |
||||||||||||||||||||
Securities
Lending* |
1,123,893 |
— |
— |
— |
1,123,893 |
|||||||||||||||
Total
Investments |
$ |
1,123,893 |
$ |
62,168,368 |
$ |
— |
$ |
— |
$ |
63,292,261 |
Donoghue
Forlines Tactical High Yield ETF |
||||||||||||||||||||
Description^ |
Non-Categorized |
Level
1 |
Level
2 |
Level
3 |
Total |
|||||||||||||||
Exchange-Traded
Funds |
$ |
— |
$ |
31,540,399 |
$ |
— |
$ |
— |
$ |
31,540,399 |
||||||||||
Investment
Purchased |
||||||||||||||||||||
with Proceeds
from |
||||||||||||||||||||
Securities
Lending* |
2,658,546 |
— |
— |
— |
2,658,546 |
|||||||||||||||
Total
Investments |
$ |
2,658,546 |
$ |
31,540,399 |
$ |
— |
$ |
— |
$ |
34,198,945 |
||||||||||
Donoghue
Forlines Innovation ETF |
||||||||||||||||||||
Description^ |
Non-Categorized |
Level
1 |
Level
2 |
Level
3 |
Total |
|||||||||||||||
Common Stocks |
$ |
— |
$ |
37,947,472 |
$ |
— |
$ |
— |
$ |
37,947,472 |
||||||||||
Investment
Purchased |
||||||||||||||||||||
with Proceeds
from |
||||||||||||||||||||
Securities
Lending* |
5,657,243 |
— |
— |
— |
5,657,243 |
|||||||||||||||
Total
Investments |
$ |
5,657,243 |
$ |
37,947,472 |
$ |
— |
$ |
— |
$ |
43,604,715 |
||||||||||
Donoghue
Forlines Yield Enhanced Real Asset ETF |
||||||||||||||||||||
Description^ |
Non-Categorized |
Level
1 |
Level
2 |
Level
3 |
Total |
|||||||||||||||
Common Stocks |
$ |
— |
$ |
30,699,401 |
$ |
— |
$ |
— |
$ |
30,699,401 |
||||||||||
Real Estate |
||||||||||||||||||||
Investment
Trusts |
— |
5,249,265 |
— |
— |
5,249,265 |
|||||||||||||||
Master Limited |
||||||||||||||||||||
Partnerships |
— |
5,208,136 |
— |
— |
5,208,136 |
|||||||||||||||
Preferred Stock |
— |
905,313 |
— |
— |
905,313 |
|||||||||||||||
Investment
Purchased |
||||||||||||||||||||
with Proceeds
from |
||||||||||||||||||||
Securities
Lending* |
8,683,365 |
— |
— |
— |
8,683,365 |
|||||||||||||||
Total
Investments |
$ |
8,683,365 |
$ |
42,062,115 |
$ |
— |
$ |
— |
$ |
50,745,480 |
^ |
See Schedule of
Investments for sector breakouts. |
* |
Certain investments that
are measured at fair value using the NAV per share (or its equivalent) as
a practical expedient have not been characterized in the fair value
hierarchy. The fair value amounts presented in the table are intended to
permit reconciliation of the fair value hierarchy to the amount presented
in the Statements of Assets and Liabilities. See Note 8 for additional
information regarding securities lending. |
** |
See notes under TTAI’s
Level 3 reconciliation table for more information regarding Level 3 priced
securities. |
Equities |
Warrants |
Total |
||||||||||
Balance as of July 31,
2023 |
$ |
51,413 |
$ |
— |
$ |
51,413 |
||||||
Corporate
actions |
— |
— |
* |
— |
||||||||
Change
in unrealized |
||||||||||||
appreciation/(depreciation) |
(51,413 |
)** |
— |
(51,413 |
) | |||||||
Balance as of January 31,
2024 |
$ |
— |
$ |
— |
$ |
— |
||||||
Change in unrealized
appreciation/(depreciation) |
||||||||||||
during the
period for Level 3 investments |
||||||||||||
held at
January 31, 2024 |
$ |
(51,413 |
) |
* |
Security valued at fair
value using methods determined in good faith by or at the direction of the
Fund’s valuation designee. Value determined using significant unobservable
inputs. At January 31, 2024, the fair value of this security represented
less than 0.05% of net assets. |
** |
Russia’s invasion of
Ukraine has led to unprecedented market and policy responses of
governments and regulators around the world. There is no functioning or
orderly market to facilitate the liquidation of any security impacted by
Russia-related sanctions. As a result, the fair value of the
Russia-related sanctioned security held by the Fund has been reduced to
zero. |
Fund |
Purchases |
Sales |
||||||
FCF US Quality
ETF |
$ |
91,867,359 |
$ |
63,102,730 |
||||
FCF International Quality
ETF |
$ |
12,817,661 |
$ |
11,979,270 |
||||
Donoghue Forlines
Tactical High Yield ETF |
$ |
106,177,676 |
$ |
106,314,959 |
||||
Donoghue Forlines
Innovation ETF |
$ |
19,301,848 |
$ |
19,370,204 |
||||
Donoghue Forlines Yield
Enhanced Real Asset ETF |
$ |
18,329,496 |
$ |
18,386,689 |
Fund |
Purchases |
Sales |
||||||
FCF US Quality
ETF |
$ |
175,209,070 |
$ |
56,231,431 |
||||
FCF International Quality
ETF |
$ |
10,225,743 |
$ |
3,926,685 |
||||
Donoghue Forlines
Tactical High Yield ETF |
$ |
1,551,357 |
$ |
1,565,182 |
||||
Donoghue Forlines
Innovation ETF |
$ |
8,061,633 |
$ |
13,116,681 |
||||
Donoghue Forlines Yield
Enhanced Real Asset ETF |
$ |
11,983,506 |
$ |
11,894,178 |
FCF
US |
FCF
International |
|||||||
Quality
ETF |
Quality
ETF |
|||||||
Tax cost of investments |
$ |
193,939,449 |
$ |
53,664,202 |
||||
Gross tax unrealized appreciation |
37,388,644 |
4,667,428 |
||||||
Gross tax unrealized depreciation |
(7,067,568 |
) |
(3,299,004 |
) | ||||
Net tax unrealized appreciation
(depreciation) |
30,321,076 |
1,368,424 |
||||||
Undistributed ordinary income |
225,025 |
181,998 |
||||||
Undistributed long-term capital gains |
— |
— |
||||||
Distributable earnings |
225,025 |
181,998 |
||||||
Other accumulated gain (loss) |
(6,999,026 |
) |
(8,811,625 |
) | ||||
Total distributable earnings (accumulated
deficit) |
$ |
23,547,075 |
$ |
(7,261,203 |
) |
Donoghue |
Donoghue |
|||||||||||
Forlines |
Donoghue |
Forlines |
||||||||||
Tactical
High |
Forlines |
Yield
Enhanced |
||||||||||
Yield
ETF |
Innovation
ETF |
Real
Asset ETF |
||||||||||
Tax cost of investments |
$ |
36,719,276 |
$ |
47,397,232 |
$ |
50,204,129 |
||||||
Gross tax unrealized appreciation |
477,327 |
5,045,414 |
4,222,967 |
|||||||||
Gross tax unrealized depreciation |
(415,808 |
) |
(2,157,985 |
) |
(915,057 |
) | ||||||
Net tax unrealized |
||||||||||||
appreciation
(depreciation) |
61,519 |
2,887,429 |
3,307,910 |
|||||||||
Undistributed ordinary income |
153,524 |
163,252 |
729,886 |
|||||||||
Undistributed long-term capital gains |
— |
— |
— |
|||||||||
Distributable earnings |
153,524 |
163,252 |
729,886 |
|||||||||
Other accumulated gain (loss) |
(7,712,057 |
) |
(11,566,081 |
) |
1,849,479 |
|||||||
Total distributable earnings |
||||||||||||
(accumulated deficit) |
$ |
(7,497,014 |
) |
$ |
(8,515,400 |
) |
$ |
2,188,317 |
Fund |
Short-Term |
Long-Term |
Expires |
FCF US Quality
ETF |
$3,971,828 |
$3,027,198 |
Indefinite |
FCF International Quality
ETF |
$3,782,208 |
$5,042,983 |
Indefinite |
Donoghue Forlines
Tactical High Yield ETF |
$7,368,259 |
$
343,798 |
Indefinite |
Donoghue Forlines
Innovation ETF |
$9,485,281 |
$2,080,800 |
Indefinite |
Donoghue Forlines Yield
Enhanced |
|||
Real Asset
ETF |
$1,059,964 |
$
522,853 |
Indefinite |
Ordinary
Income |
Capital
Gains |
|||||||||||||||
July
31, 2023 |
July
31, 2022 |
July
31, 2023 |
July
31, 2022 |
|||||||||||||
FCF US Quality
ETF |
$ |
1,880,588 |
$ |
5,304,037 |
$ |
1,410,839 |
$ |
14,377,867 |
||||||||
FCF International Quality
ETF |
$ |
3,175,073 |
$ |
778,251 |
$ |
— |
$ |
927,184 |
||||||||
Donoghue Forlines
Tactical |
||||||||||||||||
High Yield
ETF |
$ |
1,465,990 |
$ |
1,832,922 |
$ |
— |
$ |
— |
||||||||
Donoghue Forlines
|
||||||||||||||||
Innovation
ETF |
$ |
550,240 |
$ |
3,938,297 |
$ |
— |
$ |
126,720 |
||||||||
Donoghue Forlines Yield
|
||||||||||||||||
Enhanced Real
Asset ETF |
$ |
3,660,884 |
$ |
1,150,709 |
$ |
54,259 |
$ |
— |
Amount
Held at |
||||
January
31, 2024 |
||||
FCF US Quality ETF |
$ |
33,933,545 |
||
FCF International Quality ETF |
$ |
1,123,893 |
||
Donoghue Forlines Tactical High Yield
ETF |
$ |
2,658,546 |
||
Donoghue Forlines Innovation ETF |
$ |
5,657,243 |
||
Donoghue Forlines Yield Enhanced Real Asset
ETF |
$ |
8,683,365 |
FCF US Quality
ETF |
100.00% |
FCF International Quality
ETF |
100.00% |
Donoghue Forlines
Tactical High Yield ETF |
0.00% |
Donoghue Forlines
Innovation ETF |
63.59% |
Donoghue Forlines Yield
Enhanced Real Asset ETF |
65.60% |
FCF US Quality
ETF |
100.00% |
FCF International Quality
ETF |
0.69% |
Donoghue Forlines
Tactical High Yield ETF |
0.00% |
Donoghue Forlines
Innovation ETF |
59.11% |
Donoghue Forlines Yield
Enhanced Real Asset ETF |
24.83% |
FCF US Quality
ETF |
0.00% |
FCF International Quality
ETF |
0.00% |
Donoghue Forlines
Tactical High Yield ETF |
0.00% |
Donoghue Forlines
Innovation ETF |
0.00% |
Donoghue Forlines Yield
Enhanced Real Asset ETF |
40.76% |
Term of |
Number of |
||||
Office |
Portfolios |
Other | |||
and |
Principal |
in Fund |
Directorships | ||
Position(s) |
Length |
Occupation |
Complex |
Held by Trustee | |
Name, Year |
Held with |
of Time |
During Past |
Overseen |
During Past |
of Birth |
the Trust |
Served |
Five Years |
by Trustee |
Five
Years |
Independent
Trustees |
|||||
Stephen J.
Posner |
Trustee |
Since |
Retired Since |
5 |
Director, TrimTabs
|
YOB: 1944 |
2014 |
2014 |
Investment Research
| ||
(2016-2017)** | |||||
David A. Kelly |
Trustee |
Since |
Founder and |
5 |
None |
YOB: 1938 |
2015 |
President, Three |
|||
Lakes Advisors, Inc.
|
|||||
(1996-present) |
|||||
Interested
Trustee* |
|||||
Jacob Pluchenik |
President |
Trustee |
Managing Member,
|
5 |
None |
YOB: 1976 |
and |
since |
GF Investments |
||
Principal |
2021; |
(2005-present); |
|||
Executive |
President |
Member, FCF |
|||
Officer |
and |
Advisors LLC |
|||
Principal |
(2016-present) |
||||
Executive |
|||||
Officer |
|||||
Since |
|||||
November |
|||||
2022 |
* |
Mr. Pluchenik is an
“interested person,” as defined by the Investment Company Act of 1940, as
amended, because of his ownership interest in the Adviser. |
** |
TrimTabs Investment
Research does not control and is not controlled by or under common control
with the Adviser. |
Term of |
|||
Position(s) |
Office and |
||
Name, Year |
Held with |
Length of |
|
of Birth |
the Trust |
Time Served |
Principal Occupation
During Past Five Years |
Officers |
|||
Derin Cohen |
Chief |
Chief |
Chief Operating & Compliance Officer, FCF
Advisors |
YOB: 1991 |
Compliance |
Compliance |
LLC (2019-present) and Vice President,
Marketing and |
Officer and |
Officer and |
Operations (2017-2019); Lead Generation
Associate, | |
Anti-Money |
Anti-Money |
SinglePlatform (2017-2017); Internal Control
Associate, | |
Laundering |
Laundering |
Maxim Group LLC (2013-2017) | |
Officer |
Officer since |
||
2019; Vice |
|||
President |
|||
(2018-2019) |
|||
Vince (Qijun) Chen |
Vice |
Since 2019 |
Director of Research, FCF Advisors LLC
(2022-present); |
YOB: 1994 |
President, |
Portfolio Manager, FCF Advisors LLC
(2021-present); | |
Treasurer |
Quantitative Analyst, FCF Advisors LLC
| ||
and |
(2017-present); Application Developer, NYC
Human | ||
Principal |
Resources Administration
(2017-2017) | ||
Financial |
|||
Officer |