ANNUAL REPORT

 

June 30, 2023

WBI BullBear Value 3000 ETF | WBIF

WBI BullBear Yield 3000 ETF | WBIG

WBI BullBear Quality 3000 ETF | WBIL

WBI Power Factor^® High Dividend ETF | WBIY

As permitted by regulations adopted by the U.S. Securities and Exchange Commission, reports will be made available on www.wbietfs.com  and you will be notified by mail each time a report is posted and provided with a website link to access the report.

 

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Dear Shareholder:

Thank you for reviewing this annual report for the period ended June 30, 2023. Annual reports help convey important information about fund returns, including market factors that affected the Funds’ performance during the reporting period. If you have any questions, we encourage you to contact your financial advisor or WBI directly. You will find additional information, including our daily portfolio holdings, on the WBI ETFs website located at: www.wbietfs.com.

 

In our experience, the conditions that affect investments are consistently subject to the possibility of uncertainty and change. We believe that the appropriate approach to investing in a volatile world is one that is responsive to continually changing conditions and opportunities. We think that the process should be focused on managing risk as well as on pursuing return. It should be disciplined and have a track record that spans both good times and bad. In short, our opinion is that it should be just like the process we have used for our investment management clients for over 30 years and continue to use to manage the WBI ETFs today. We believe that the consistent application of this disciplined approach will continue to be extremely valuable and attractive to both current and prospective shareholders.

 

Here at WBI, we believe preserving capital to unleash the powerful benefits of compounding is the most important element of a successful investment approach. We build outcome-oriented solutions for our clients. We don’t focus on beating the markets every minute of every day, but instead aim to grow capital consistently over time. Our strategies are designed to manage risk to capital, unleash the benefits of compounding, and grow capital efficiently through both good and bad market cycles.

 

We appreciate your continued faith in our approach and wish you and your families both health and peace as we all navigate through these extraordinary times.

 

Sincerely,

 

 

 

Market Review

 

The third quarter of 2022 started with renewed investor optimism but ended with a crushing reminder that the worst might still be yet to come. The bear market rally that started in mid-June continued through July and into August. However, further signs of sky-high inflation, necessary interest rate hikes, and increasing probability of a “hard landing” recession smashed all hope. Between mid-August and the end of September, the S&P 500 Index dropped almost 17% and closed out the quarter at a new bear market low.

 

After temporarily dropping even lower in October, the fourth quarter proceeded to catch a bounce. Potentially oversold markets and seller exhaustion brought on yet another bear market rally that started in mid-October and continued until the end of November. Eventually, we closed the books on 2022 which was the worst calendar year for financial markets since the “Great Recession”. The S&P 500, Dow Jones Industrial Average, and Nasdaq Composite all posted their biggest annual losses since 2008. This also ended a three-year winning streak for the major indices. Rapidly increasing interest rates, the highest inflation since 1981, and fears of an economic recession became some of the primary causes of market pain in 2022.

 

Then, the first half of 2023 provided a new wild and crazy ride. Even with a Federal Reserve that was firmly committed to its inflation fight, the collapse of several banks which temporarily sparked fears of another 2008-style financial crisis, and significant concerns about the credit markets, performance during the first half of the year proved extremely resilient. The S&P 500 had its best first half since 2019 and the tech heavy Nasdaq Composite had its best first half of the year since 1983.

 

However, this was not a broad-based market rally. The vast majority of market gains in the first half were due to the performance of just a handful of mega-cap growth technology stocks now nicknamed by some as the “Magnificent Seven”. Apple, Microsoft, Nvidia, Amazon, Meta, Tesla and Alphabet (the parent of Google) form this group of seven stocks and as excitement grew surrounding the prospects for artificial intelligence and other technological advances, these stocks produced very impressive returns during the first two quarters. The impact of their returns was significantly amplified in the market capitalization weighted indices like the S&P 500 and the NASDAQ Composite.

 

For example, due to their enormous market capitalization (which is the total value of a company’s outstanding stock), the Magnificent Seven stocks made up approximately 22% of the weight of the S&P 500 Index during the first half of the year. The result was that out of 500 stocks, the significant returns for just those seven stocks alone contributed about 11.8% of the index’s 16.88% year-to-date return (or approximately 70% of the index return). In short, the first quarter was anything but a broad-based market rally.

 

Many investors are looking at the bullish market returns from the first half of the year, noting that there are some signs of disinflation combined with a slightly brighter economic outlook, and presuming that the Fed has successfully orchestrated a soft landing. However, we must remember that monetary policy acts with a lag, and this has been an extremely rapid cycle, so we may not have seen the full economic impact of tightening monetary conditions quite yet. This is especially true as many companies and households refinanced at record-low rates during the pandemic period between 2020 and 2021.

 

Things may feel good for the moment, but there could still be some significant pain ahead of us. Corporate profits have declined for several quarters in a row. Cracks in the commercial real estate market may become craters which could materially impact the balance sheet quality of regional banks that carry the loans. Floating rate senior loans which are often used by companies with lower credit ratings are seeing an increase in default rates. All of these elements have already started to create tighter lending conditions which could lead to further defaults and an inability for companies and individuals to obtain credit as cheaply as they did over the past decade.

 

Finally, the current yield curve inversions, which occur when long-dated rates fall below short-dated rates, are some of the widest that we’ve seen in decades. Historically, yield curve inversions have often been a good predictor for an economic recession. However, typically a recession does not occur until the yield curve inversion ends and short-dated rates fall back below long-dated rates, so once again, it is still possible that there could be more volatility and economic distress on the horizon.

 

 

Investment Strategies

 

WBI’s general investment philosophy is based on our belief that protecting capital is essential to providing long-term portfolio growth or a consistent stream of income. We believe it is important to offer a variety of alternatives that investors can choose from as they address changing circumstances. The ability to adapt and evolve as risks and opportunities appear is the key to pursuing a stable outcome in an uncertain world. The goal of the WBI ETFs (or the “Funds”) is to provide consistent, attractive returns with less volatility and risk to capital than traditional approaches.

 

WBI ETFs include actively managed and passive smart-beta portfolio strategies. Actively managed strategies (the “Active Funds”) include multifactor security selection models paired with our advanced dynamic trailing stop loss process to protect capital. Actively managed strategies rely on a blend of quantitative models and tactical equity and fixed income allocation decisions. The passively managed smart-beta strategy (the “Passive Index Fund”) is designed to provide an investment alternative for clients seeking returns based on multifactor security selection models in a portfolio that is generally fully invested and rebalances quarterly.

 

With the exception of the Passive Index Fund, known as the WBI Power Factor^® High Dividend ETF, the strategies used in the management of the Funds do not attempt to replicate or track the performance of any index and differ significantly from the methods used to construct and maintain the indices that serve as their respective benchmarks. The Active Funds typically use proprietary processes to screen, rank, and purchase securities with particular attributes, and sell securities when certain thresholds are reached. In contrast, benchmark indices are unmanaged, and consist of a passive representation of all securities that meet the definition of the index constituents. In addition, each Active Fund uses strategies intended to mitigate volatility and protect capital, and as a result these Funds will often have a significant allocation to cash equivalents. Therefore, while each Active Fund’s performance includes the effect of an investment in cash equivalents from the proceeds of sales when certain thresholds are met, benchmark indices do not include a dynamic allocation to cash and cash equivalents.

 

A distinguishing characteristic of cash equivalents is that their prices are extremely stable and not subject to the levels of price volatility generally exhibited by other investments. Therefore, in periods during which the prices of the securities represented in benchmark indices are falling, an allocation to cash equivalents may contribute to Fund performance that is superior to that of their benchmarks. In periods during which the prices of the securities represented in benchmark indices are rising, an allocation to cash equivalents in a Fund may cause its performance to trail that of its benchmark.

 

The WBI Power Factor^® High Dividend ETF is intended to track its underlying index, the Solactive Power Factor^™ High Dividend GTR Index, and can reasonably be compared to the index in evaluating its performance.

 

 

Investment Results: WBI Bull|Bear Value 3000 ETF (WBIF)

 

For the fiscal year ending June 30, 2023, the WBI Bull|Bear Value 3000 ETF (WBIF) returned -0.79% on a Net Asset Value (“NAV”) basis, and -0.54% based on market value, versus the 11.22% return of the Russell 3000 Value Total Return Index, the Fund’s benchmark.

 

Highlights:

 

 

Investment Results: WBI Bull|Bear Yield 3000 ETF (WBIG)

 

For the fiscal year ending June 30, 2023, the WBI Bull|Bear Yield 3000 ETF (WBIG) returned -8.49% on a Net Asset Value (“NAV”) basis, and -8.41% based on market value, versus the 11.22% return of the Russell 3000 Value Total Return Index, the Fund’s benchmark.

 

Highlights:

 

 

Investment Results: WBI Bull|Bear Quality 3000 ETF (WBIL)

 

For the fiscal year ending June 30, 2023, the WBI Bull|Bear Quality 3000 ETF (WBIL) returned 2.79% on a Net Asset Value (“NAV”) basis, and 2.95% based on market value, versus the 18.95% return of the Russell 3000 Total Return Index, the Fund’s benchmark.

 

Highlights:

 

 

Investment Results: WBI Power Factor^® High Dividend ETF (WBIY)

 

For the fiscal year ending June 30, 2023, the WBI Power Factor^® High Dividend ETF (WBIY) returned 5.63% on a Net Asset Value (“NAV”) basis, and 5.91% based on market value, versus the 11.22% return of the Russell 3000 Value Total Return Index, the Fund’s benchmark, and versus the 7.41% return of the Solactive Power Factor^™ High Dividend GTR Index, the Fund’s underlying index.

 

 

Past performance is not a guarantee of future results.

 

Opinions expressed are those of WBI Investments, LLC (“WBI”), the Funds’ investment sub-adviser, are subject to change, are not guaranteed, and should not be construed as recommendations or investment advice or a solicitation to purchase or sell securities referenced in the Investment Commentary.

 

Exchange traded fund investing involves risk. Principal loss is possible. The Funds invest in smaller and medium sized companies, which involve additional risks such as limited liquidity and greater volatility. The Funds invest in emerging market and foreign securities which involve political, economic and currency risks, greater volatility and differences in accounting methods. These risks can be greater in emerging markets. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investments by the Funds in lower-rated and non-rated securities present a greater risk of loss to principal and interest than higher-rated securities. Investments in mortgage-backed securities may involve additional risks, such as credit risk, prepayment risk, possible illiquidity and default, and susceptibility to adverse economic developments. Because the Funds invest in other exchange-traded funds (“ETFs”), they are subject to additional risks that do not apply to conventional funds, including the risks that the market price of an ETF’s shares may trade at a discount to its net asset value (“NAV”), an active secondary trading market may not develop or be maintained, or trading may be halted by the exchange in which they trade, which may impact

 

a Fund’s ability to sell its shares. The Funds may invest in exchange-traded notes (“ETN”), which are subject to the credit risk of the issuer. Additional risks include volatility, lack of liquidity, and sensitivity to currencies, commodities markets, and interest rate changes. The Funds may invest in Real Estate Investment Trusts (“REIT”). Risks commonly associated with the direct ownership of real estate include fluctuations in the value of underlying properties, defaults by borrowers or tenants, changes in interest rates and risks related to general or local economic conditions. The Funds may invest in master limited partnerships (“MLP”), which are subject to certain risks inherent in the structure of MLPs, including complex tax structure risks, the limited ability for election or removal of management, limited voting rights, potential dependence on parent companies or sponsors for revenues to satisfy obligations, and potential conflicts of interest between partners, members and affiliates. The Funds may also use options and future contracts, which have the risk of unlimited losses of the underlying holdings due to unanticipated market movements, and failure to correctly predict the direction of securities prices, interest rates and currency exchange rates. The investment in options is not suitable for all investors. Diversification does not assure a profit or protect against a loss in a declining market.

 

An investment in money market funds is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency. Although money market funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in these funds.

 

Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. References to other funds should not be interpreted as an offer of these securities. For a complete list of each Fund’s holdings, please refer to the Schedule of Investments in this report.

 

Any tax or legal information provided is merely a summary of our understanding and interpretation of some of the current income tax regulations and is not exhaustive. Investors must consult their tax advisor or legal counsel for advice and information concerning their particular situation. Neither the Funds nor any of their representatives may give legal or tax advice.

 

This report must be preceded or accompanied by a prospectus.

 

WBI Exchange Traded Funds are distributed by Foreside Fund Services, LLC, a wholly-owned subsidiary of Foreside Financial Group, LLC (dba ACA Group).

 

 

Benchmark Definitions

 

Unless otherwise indicated, the source for index price and performance data used in the discussion of market conditions and market commentary is Bloomberg.

 

The Russell 3000 Total Return Index is a float-adjusted market-cap weighted index that includes 3,000 stocks and covers 98% of the U.S. equity investable universe.

 

The Russell 3000 Value Total Return Index uses the value characteristic book-to-price ratio to create a style index based upon the Russell 3000 that contains companies with lower predicted and historical growth rates.

 

The Solactive Power Factor^™ High Dividend GTR Index is constructed by scoring each ordinary dividend paying, common stock constituent from the 3,000 largest U.S. companies both directly and relative to industry peers using the three Power Factors and ranking those securities in descending order according to their dividend indicated yield. The 50 companies with the largest dividend indicated yield are subsequently chosen as Index components.

 

 

Other Index Definitions

 

The Dow Jones Industrial Average (DJIA or “The Dow”) is a price-weighted average of 30 of the largest blue-chip issues traded on the New York Stock Exchange.

 

The S&P 500 Index is a float-market-cap-weighted average of 500 large-cap U.S. companies in all major sectors.

 

The NASDAQ Composite Index is a market-value weighted index of all common stocks listed on NASDAQ.

 

The Russell 1000 Index is a float-adjusted market-cap weighted index that includes the largest 1,000 stocks by market-cap of the Russell 3000 Index.

 

The Russell 2000 Index is a float-adjusted market-cap weighted index that includes the smallest 2,000 stocks by market-cap of the Russell 3000 Index.

 

The Russell 1000 Value Index uses the value characteristic book-to-price ratio to create a style index based upon the Russell 1000 that contains companies with lower predicted and historical growth rates.

 

The Russell 2000 Value Index uses the value characteristic book-to-price ratio to create a style index based upon the Russell 2000 that contains companies with lower predicted and historical growth rates.

 

The Bloomberg US Aggregate Bond Total Return Index is calculated based on the U.S. dollar denominated, investment grade fixed-rate taxable bond market including treasury, government-related, corporate, MBS, ABS and CMBS debt, and includes the performance effect of income earned by securities in the index.

 

 

This chart illustrates the performance of a hypothetical $10,000 investment made on August 25, 2014, 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 chart assumes reinvestment of capital gains and dividends.

 

The performance data quoted represents past performance and is not a guarantee of future results. 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 may be lower or higher than the performance data quoted. For most recent month-end performance, please visit www.wbietfs.com.

 

Per the Prospectus dated 10/31/2022, the Fund’s annual operating expense (gross) is 1.52%. Per the Prospectus dated 10/31/2022, the Fund’s annual operating expense (net) is 1.39%. The Fund’s Sub-Advisor has contractually agreed to waive the fees and reimburse expenses of the Fund such that total annual operating expenses are limited to 1.25% of average net assets until at least October 31, 2023. (Actual expenses can be referenced in the Financial Highlights section later in this report.)

 

This chart illustrates the performance of a hypothetical $10,000 investment made on August 25, 2014, 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 chart assumes reinvestment of capital gains and dividends.

 

The performance data quoted represents past performance and is not a guarantee of future results. 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 may be lower or higher than the performance data quoted. For most recent month-end performance, please visit www.wbietfs.com.

 

Per the Prospectus dated 10/31/2022, the Fund’s annual operating expense (gross) is 1.51%. Per the Prospectus dated 10/31/2022, the Fund’s annual operating expense (net) is 1.33%. The Fund’s Sub-Advisor has contractually agreed to waive the fees and reimburse expenses of the Fund such that total annual operating expenses are limited to 1.25% of average net assets until at least October 31, 2023. (Actual expenses can be referenced in the Financial Highlights section later in this report.)

 

This chart illustrates the performance of a hypothetical $10,000 investment made on August 25, 2014, 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 chart assumes reinvestment of capital gains and dividends.

 

The performance data quoted represents past performance and is not a guarantee of future results. 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 may be lower or higher than the performance data quoted. For most recent month-end performance, please visit www.wbietfs.com.

 

Per the Prospectus dated 10/31/2022, the Fund’s annual operating expense (gross) is 1.45%. Per the Prospectus dated 10/31/2022, the Fund’s annual operating expense (net) is 1.25%. The Fund’s Sub-Advisor has contractually agreed to waive the fees and reimburse expenses of the Fund such that total annual operating expenses are limited to 1.25% of average net assets until at least October 31, 2023. (Actual expenses can be referenced in the Financial Highlights section later in this report.)

 

 

This chart illustrates the performance of a hypothetical $10,000 investment made on December 19, 2016, 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 chart assumes reinvestment of capital gains and dividends.

 

The performance data quoted represents past performance and is not a guarantee of future results. 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 may be lower or higher than the performance data quoted. For most recent month-end performance, please visit www.wbietfs.com.

 

Per the Prospectus dated 10/31/2022, the Fund’s annual operating expense (gross) is 0.94%. Per the Prospectus dated 10/31/2022, the Fund’s annual operating expense (net) is 0.70%. The Fund’s Sub-Advisor has contractually agreed to waive the fees and reimburse expenses of the Fund such that total annual operating expenses are limited to 0.70% of average net assets until at least October 31, 2023. (Actual expenses can be referenced in the Financial Highlights section later in this report.)

 

 

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The Global Industry Classification Standard (GICS^®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

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

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

Shares			Security Description		Value
COMMON STOCKS — 99.3%
Capital Goods — 13.9%
	5,815		Caterpillar, Inc.		$	1,430,781
	31,055		Fastenal Co. +			1,831,935
	3,938		Illinois Tool Works, Inc.			985,130
	5,943		Rockwell Automation, Inc. +			1,957,921
						6,205,767
Commercial & Professional Services — 8.8%
	3,672		Cintas Corp. +			1,825,278
	9,198		Verisk Analytics, Inc.			2,079,024
						3,904,302
Consumer Discretionary Distribution & Retail — 12.0%
	15,153		Amazon.com, Inc. (a)			1,975,345
	12,273		Ross Stores, Inc. +			1,376,171
	23,359		The TJX Companies, Inc.			1,980,610
						5,332,126
Consumer Services — 4.7%
	784		Booking Holdings, Inc. (a)			2,117,059
Consumer Staples Distribution — 4.0%
	3,346		Costco Wholesale Corp.			1,801,419
Financial Services — 8.2%
	4,626		Mastercard, Inc. — Class A			1,819,406
	7,647		Visa, Inc. — Class A +			1,816,010
						3,635,416
Food, Beverage & Tobacco — 3.7%
	6,653		The Hershey Co.			1,661,254
Insurance — 4.0%
	8,176		Arthur J. Gallagher & Co. +			1,795,204
Media & Entertainment — 11.5%
	14,742		Alphabet, Inc. — Class A (a)			1,764,617
	37,312		Comcast Corp. — Class A			1,550,314
	14,050		Electronic Arts, Inc.			1,822,285
						5,137,216
Semiconductors & Semiconductor Equipment — 9.2%
	11,455		Applied Materials, Inc. +			1,655,706
	2,492		Lam Research Corp.			1,602,007
	2,022		NVIDIA Corp.			855,346
						4,113,059
Software & Services — 8.8%
	3,995		Adobe, Inc. (a)			1,953,515
	5,719		Microsoft Corp.			1,947,548
						3,901,063
Technology Hardware & Equipment — 8.8%
	10,911		Apple, Inc.			2,116,407
	10,665		Keysight Technologies, Inc. (a)			1,785,854
						3,902,261
Transportation — 1.7%
	22,673		CSX Corp.			773,149
TOTAL COMMON STOCKS
(Cost $41,742,036)						44,279,295
SHORT TERM INVESTMENT — 6.5%
	2,893,389		U.S. Bank Money Market
			Deposit Account, 3.21%			2,893,389
TOTAL SHORT TERM INVESTMENT
(Cost $2,893,389)						2,893,389
INVESTMENT PURCHASED WITH PROCEEDS
FROM SECURITIES LENDING — 15.9%
	7,083,948		Mount Vernon Liquid Assets
			Portfolio, LLC, 5.28% (b)(c)			7,083,948
TOTAL INVESTMENT PURCHASED WITH
PROCEEDS FROM SECURITIES LENDING
(Cost $7,083,948)						7,083,948
TOTAL INVESTMENTS — 121.7%
(Cost $51,719,373)						54,256,632
Liabilities in Excess of Other Assets — (21.7)%						(9,673,736	)
NET ASSETS — 100.0%					$	44,582,896

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

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

_________

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

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

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

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