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.
 

 
Absolute Shares Trust
Table of Contents



Management’s Discussion of Fund Performance
1
Performance Summaries
7
Portfolio Allocations
11
Schedules of Investments
12
Statements of Assets and Liabilities
17
Statements of Operations
18
Statements of Changes in Net Assets
19
Financial Highlights
20
Notes to Financial Statements
22
Report of Independent Registered Public Accounting Firm
29
Trustees and Officers
30
Approval of Advisory Agreements and Board Considerations
33
Expense Examples
35
Federal Tax Information
36
Information About the Portfolio Holdings
37
Information About Proxy Voting
37
Information About the Funds’ Trustees
37
Frequency Distributions of Premiums and Discounts
37






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Absolute Shares Trust
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)



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,
 
Steven Van Solkema, CFA
Don Schreiber, Jr.
Co-Portfolio Manager
Co-Portfolio Manager
President & Chief Investment Officer
Founder & Co-CEO

 
1

  
Absolute Shares Trust
Management’s Discussion of Fund Performance (continued)
June 30, 2023 (Unaudited)

 

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.
 
2

  
Absolute Shares Trust
Management’s Discussion of Fund Performance (continued)
June 30, 2023 (Unaudited)



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:
 
 
Actively managed fund utilizing proprietary multifactor security selection models.
     
 
Seeks to manage risk to capital and provide attractive returns for long-term capital growth.
     
 
Proprietary dynamic trailing stop loss process is used to help identify sale candidates and manage downside risk.
     
 
Cash allocation is used as the primary risk mitigation tool, and the strategy can raise up to 100% cash.
     
 
As of June 30, 2023, the Fund held 28 securities in addition to a position in a money market fund which served as a cash equivalent. Ford Motor Company, Meta Platforms, Amazon.com, Paccar, and Penske Automotive Group were some of the largest positions in the Fund on this date.
     
 
Examples of securities that made positive contributions to the Fund’s performance during the fiscal period include CSX, NVIDIA, Lennar, Broadcom, and Ford Motor Company.
     
 
Examples of securities that detracted from the Fund’s performance during the fiscal period include Baker Hughes, Coterra Energy, Accenture, UnitedHealth Group, and International Business Machines.
     
 
Asset allocation and security selection decisions in Consumer Discretionary, Information Technology, and Industrial sectors positively affected Fund performance versus its benchmark during the period.
     
 
Asset allocation and security selection decisions in Energy, Financials, and Health Care sectors negatively affected Fund performance versus its benchmark during the period.
     
 
In general, the combination of temporary cash allocations during periods of higher market volatility and a value-based diversified equity portfolio that tactically focused on technology company exposure attempted to help the Fund capture equity market upside, while simultaneously attempting to protect investors from excessive downside risk during market declines.
3

  
Absolute Shares Trust
Management’s Discussion of Fund Performance (continued)
June 30, 2023 (Unaudited)


 
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:
 
 
Actively managed fund utilizing proprietary multifactor security selection models.
     
 
Seeks to manage risk to capital and provide attractive returns for long-term capital growth.
     
 
Proprietary dynamic trailing stop loss process is used to help identify sale candidates and manage downside risk.
     
 
Cash allocation is used as the primary risk mitigation tool, and the strategy can raise up to 100% cash.
     
 
As of June 30, 2023, the Fund held 27 securities in addition to a position in a money market fund which served as a cash equivalent. Ford Motor Company, Apple, Microsoft, Meta Platforms, and Altria Group were some of the largest positions in the Fund on this date.
     
 
Examples of securities that made positive contributions to the Fund’s performance during the fiscal period include H&R Block, Tesla, Exxon Mobil, Ford Motor Company, and NVIDIA.
     
 
Examples of securities that detracted from the Fund’s performance during the fiscal period include Baker Hughes, Fifth Third Bancorp, Diamondback Energy, Prudential Financial, and Accenture.
     
 
Asset allocation and security selection decisions in Consumer Discretionary, Communication Services, and Utilities sectors positively affected Fund performance versus its benchmark during the period.
     
 
Asset allocation and security selection decisions in Energy, Financials, and Health Care sectors negatively affected Fund performance versus its benchmark during the period.
     
 
In general, the combination of temporary cash allocations during periods of higher market volatility and a yield-based diversified equity portfolio that tactically focused on technology company exposure attempted to help the Fund capture equity market upside, while simultaneously attempting to protect investors from excessive downside risk during market declines.
 

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:
 
 
Actively managed fund utilizing proprietary multifactor security selection models.
     
 
Seeks to manage risk to capital and provide attractive returns for long-term capital growth.
     
 
Proprietary dynamic trailing stop loss process is used to help identify sale candidates and manage downside risk.
     
 
Cash allocation is used as the primary risk mitigation tool, and the strategy can raise up to 100% cash.
     
 
As of June 30, 2023, the Fund held 26 securities in addition to a position in a money market fund which served as a cash equivalent. Apple, Verisk Analytics, Booking Holdings, TJX Companies, and Amazon.com were some of the largest positions in the Fund on this date.
     
 
Examples of securities that made positive contributions to the Fund’s performance during the fiscal period include Broadcom, CSX, Meta Platforms, NVIDIA, and Manhattan Associates.
     
 
Examples of securities that detracted from the Fund’s performance during the fiscal period include Pioneer Natural Resources, LPL Financial, UnitedHealth Group, Advanced Micro Devices, and Amgen.
     
 
Asset allocation and security selection decisions in Financials, Communication Services, and Real Estate sectors positively affected Fund performance versus its benchmark during the period.

4

  
Absolute Shares Trust
Management’s Discussion of Fund Performance (continued)
June 30, 2023 (Unaudited)



 
Asset allocation and security selection decisions in Information Technology, Health Care, and Energy sectors negatively affected Fund performance versus its benchmark during the period.
     
 
In general, the combination of temporary cash allocations during periods of higher market volatility and a quality-based diversified equity portfolio that tactically focused on technology company exposure helped the Fund capture equity market upside, while attempting to protect investors from excessive downside risk during market declines.
 
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.
 
 
Passively managed equity fund intended to track the Solactive Power Factor High Dividend Index.
     
 
The underlying index utilizes a multifactor security selection model that attempts to identify companies with high quality fundamentals that also generate high dividend income.
     
 
The composition of the underlying index is adjusted quarterly and screened monthly for dividend cuts or an overall negative outlook concerning a constituent’s dividend policy.
     
 
Trading activity in the Fund results primarily from changes to the holdings of this underlying index.
     
 
As of June 30, 2023, the Fund held 50 securities in addition to a position in a money market fund which served as a cash equivalent. Synovus Financial, Verizon Communications, Altria Group, NRG Energy, and Viatris were some of the largest positions in the Fund on this date.
     
 
Examples of securities that made positive contributions to the Fund’s performance during the fiscal period include Devon Energy, Best Buy, Phillips 66, ONEOK, and Intel.
     
 
Examples of securities that detracted from the Fund’s performance during the fiscal period include Lumen Technologies, PacWest Bancorp, Verizon Communications, International Paper, and KeyCorp.
     
 
Asset allocation and security selection in Energy, Health Care, and Consumer Discretionary sectors positively affected Fund performance versus its benchmark during the period.
     
 
Asset allocation and security selection in Communication Services, Industrials, and Financials sectors negatively affected Fund performance versus its benchmark during the period.
     
 
In general, the underlying index, and therefore the Fund, were exposed to a diversified equity portfolio that contained a significant amount of small and mid-capitalization company exposure throughout the fiscal period. The Fund also maintained a large allocation to value based companies which exhibit quality fundamentals but appear to be undervalued. This helped the Fund capture equity market upside and generate income during the fiscal period.

 
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
 
5

  
Absolute Shares Trust
Management’s Discussion of Fund Performance (continued)
June 30, 2023 (Unaudited)



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.
 
6

  
Absolute Shares Trust
WBI BullBear Value 3000 ETF
Performance Summary (Unaudited)


 




     
Since
Average Annual Returns
   
Inception
Period Ending June 30, 2023
1 Year
5 Years
(8/25/14)
WBI BullBear Value 3000 ETF—NAV
  (0.79)%
1.63%
2.65%
WBI BullBear Value 3000 ETF—Market
  (0.54)%
1.67%
2.65%
Russell 3000 Value Total Return
11.22%
7.79%
7.58%

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.)
 
7

  
Absolute Shares Trust
WBI BullBear Yield 3000 ETF
Performance Summary (Unaudited)






     
Since
Average Annual Returns
   
Inception
Period Ending June 30, 2023
1 Year
5 Years
(8/25/14)
WBI BullBear Yield 3000 ETF—NAV
  (8.49)%
 (0.36)%
0.66%
WBI BullBear Yield 3000 ETF—Market
  (8.41)%
 (0.33)%
0.66%
Russell 3000 Value Total Return
11.22%
7.79%
7.58%

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.)
 
8

  
Absolute Shares Trust
WBI BullBear Quality 3000 ETF
Performance Summary (Unaudited)






     
Since
Average Annual Returns
   
Inception
Period Ending June 30, 2023
1 Year
5 Years
(8/25/14)
WBI BullBear Quality 3000 ETF—NAV
  2.79%
  3.23%
  2.56%
WBI BullBear Quality 3000 ETF—Market
  2.95%
  3.21%
  2.56%
Russell 3000 Total Return
18.95%
11.39%
10.98%

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.)
 
9

  
Absolute Shares Trust
WBI Power Factor® High Dividend ETF
Performance Summary (Unaudited)


 



     
Since
Average Annual Returns
   
Inception
Period Ending June 30, 2023
1 Year
5 Years
(12/19/16)
WBI Power Factor® High Dividend ETF—NAV
  5.63%
4.50%
5.88%
WBI Power Factor® High Dividend ETF—Market
  5.91%
4.53%
5.90%
Russell 3000 Value Total Return
11.22%
7.79%
7.62%
Solactive Power Factor® High Dividend GTR Index
  7.41%
5.39%
7.08%

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.)
 
10

   
Absolute Shares Trust
Portfolio Allocations
 


As of June 30, 2023 (Unaudited)

WBI BullBear Value 3000 ETF
 
 
Percentage of
Industry Group
Net Assets
Capital Goods
16.6%
Consumer Discretionary
 
  Distribution & Retail
13.2%
Media & Entertainment
8.9%
Semiconductors &
 
  Semiconductor Equipment
8.6%
Health Care Equipment & Services
8.2%
Transportation
7.9%
Consumer Durables & Apparel
6.0%
Automobiles & Components
5.4%
Materials
4.4%
Technology Hardware
 
  & Equipment
4.3%
Software & Services
4.2%
Utilities
3.9%
Financial Services
3.8%
Insurance
2.4%
Commercial & Professional Services
1.4%
Short-Term Investments
 
  and Other Assets and Liabilities
0.8%
TOTAL
100.0%
   
WBI BullBear Yield 3000 ETF
 
 
Percentage of
Industry Group
Net Assets
Media & Entertainment
16.2%
Consumer Discretionary
 
  Distribution & Retail
11.6%
Software & Services
9.7%
Technology Hardware
 
  & Equipment
8.6%
Food, Beverage & Tobacco
8.5%
Semiconductors &
 
  Semiconductor Equipment
8.3%
Insurance
7.8%
Capital Goods
6.2%
Automobiles & Components
4.8%
Consumer Staples Distribution
4.3%
Health Care Equipment & Services
4.1%
Materials
4.0%
Household & Personal Products
3.5%
Financial Services
1.8%
Short-Term Investments
 
  and Other Assets and Liabilities
0.6%
TOTAL
100.0%
   
WBI BullBear Quality 3000 ETF
 
 
Percentage of
Industry Group
Net Assets
Capital Goods
13.9%
Consumer Discretionary
 
  Distribution & Retail
12.0%
Media & Entertainment
11.5%
Semiconductors &
 
  Semiconductor Equipment
9.2%
Commercial &
 
  Professional Services
8.8%
Software & Services
8.8%
Technology Hardware
 
  & Equipment
8.8%
Financial Services
8.2%
Consumer Services
4.7%
Consumer Staples Distribution
4.0%
Insurance
4.0%
Food, Beverage & Tobacco
3.7%
Transportation
1.7%
Short-Term Investments
 
  and Other Assets and Liabilities
0.7%
TOTAL
100.0%
   
WBI Power Factor® High Dividend ETF
 
 
Percentage of
Industry Group
Net Assets
Banks
22.8%
Materials
13.2%
Energy
11.5%
Food, Beverage & Tobacco
10.3%
Consumer Discretionary
 
  Distribution & Retail
9.3%
Telecommunication Services
6.6%
Utilities
6.2%
Financial Services
5.7%
Pharmaceuticals, Biotechnology
 
  & Life Sciences
4.8%
Capital Goods
4.5%
Consumer Durables & Apparel
1.8%
Media & Entertainment
1.1%
Insurance
0.7%
Commercial &
 
  Professional Services
0.4%
Short-Term Investments
 
  and Other Assets and Liabilities
1.1%
TOTAL
100.0%

 
11

   
Absolute Shares Trust
WBI BullBear Value 3000 ETF
Schedule of Investments
June 30, 2023


Shares/
Amount
 
Security Description
 
Value
 
COMMON STOCKS — 99.2%
     
       
Automobiles & Components — 5.4%
     
 
157,510
 
Ford Motor Co.
 
$
2,383,126
 
               
Capital Goods — 16.6%
       
 
29,528
 
Fastenal Co. +
   
1,741,857
 
 
24,311
 
PACCAR, Inc. +
   
2,033,615
 
 
4,648
 
Parker-Hannifin Corp. +
   
1,812,906
 
 
2,297
 
W.W. Grainger, Inc.
   
1,811,391
 
           
7,399,769
 
Commercial & Professional Services — 1.4%
       
 
5,575
 
Paychex, Inc. +
   
623,675
 
               
Consumer Discretionary Distribution & Retail — 13.2%
       
 
16,343
 
Amazon.com, Inc. (a)
   
2,130,475
 
 
7,853
 
Lowe’s Co., Inc.
   
1,772,422
 
 
11,773
 
Penske Automotive Group, Inc. +
   
1,961,735
 
           
5,864,632
 
Consumer Durables & Apparel — 6.0%
       
 
10,001
 
PulteGroup, Inc.
   
776,878
 
 
22,111
 
PVH Corp.
   
1,878,771
 
           
2,655,649
 
Financial Services — 3.8%
       
 
7,160
 
Visa, Inc. — Class A +
   
1,700,357
 
               
Health Care Equipment & Services — 8.2%
       
 
6,204
 
AmerisourceBergen Corp.
   
1,193,836
 
 
2,314
 
HCA Healthcare, Inc.
   
702,253
 
 
4,141
 
McKesson Corp. +
   
1,769,490
 
           
3,665,579
 
Insurance — 2.4%
       
 
3,070
 
Aon PLC — Class A — ADR (b)
   
1,059,764
 
               
Materials — 4.4%
       
 
10,476
 
Eagle Materials, Inc.
   
1,952,936
 
               
Media & Entertainment — 8.9%
       
 
14,883
 
Alphabet, Inc. — Class A (a)
   
1,781,495
 
 
7,543
 
Meta Platforms, Inc. — Class A (a)
   
2,164,690
 
           
3,946,185
 
Semiconductors & Semiconductor Equipment — 8.6%
       
 
989
 
Broadcom, Inc.
   
857,888
 
 
1,994
 
KLA Corp.
   
967,130
 
 
1,607
 
Monolithic Power Systems, Inc. +
   
868,150
 
 
2,656
 
NVIDIA Corp.
   
1,123,541
 
           
3,816,709
 
Software & Services — 4.2%
       
 
5,458
 
Microsoft Corp.
   
1,858,667
 
               
Technology Hardware & Equipment — 4.3%
       
 
9,731
 
Apple, Inc.
   
1,887,522
 
               
Transportation — 7.9%
       
 
54,837
 
CSX Corp.
   
1,869,942
 
 
8,096
 
Union Pacific Corp.
   
1,656,603
 
           
3,526,545
 
Utilities — 3.9%
       
 
21,377
 
Ameren Corp.
   
1,745,860
 
TOTAL COMMON STOCKS
       
(Cost $40,513,522)
   
44,086,975
 
               
SHORT TERM INVESTMENT — 1.0%
       
 
433,474
 
U.S. Bank Money Market
       
     
  Deposit Account, 3.21%
   
433,474
 
TOTAL SHORT TERM INVESTMENT
       
(Cost $433,474)
   
433,474
 
               
INVESTMENT PURCHASED WITH PROCEEDS
       
FROM SECURITIES LENDING — 19.6%
       
 
8,730,499
 
Mount Vernon Liquid Assets
       
     
  Portfolio, LLC, 5.28% (c)(d)
   
8,730,499
 
TOTAL INVESTMENT PURCHASED WITH
       
PROCEEDS FROM SECURITIES LENDING
       
(Cost $8,730,499)
   
8,730,499
 
TOTAL INVESTMENTS — 119.8%
       
(Cost $49,677,495)
   
53,250,948
 
Liabilities in Excess of Other Assets — (19.8)%
   
(8,796,998
)
NET ASSETS — 100.0%
 
$
44,453,950
 
_________
ADR
American Depositary Receipt
PLC
Public Limited Company
+
All or portion of this security is on loan as of June 30, 2023.  Total value of securities on loan is $8,637,446.
(a)
Non-income producing security.
(b)
Foreign issued security. Foreign concentration is as follows: Ireland: 2.38%.
(c)
The rate quoted is the annualized seven-day yield as of June 30, 2023.
(d)
Privately offered liquidity fund.

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.
12

   
Absolute Shares Trust
WBI BullBear Yield 3000 ETF
Schedule of Investments
June 30, 2023


Shares
 
Security Description
 
Value
 
COMMON STOCKS — 99.4%
     
       
Automobiles & Components — 4.8%
     
 
184,055
 
Ford Motor Co.
 
$
2,784,752
 
               
Capital Goods — 6.2%
       
 
23,720
 
MSC Industrial Direct Co.,
       
     
  Inc. — Class A
   
2,260,042
 
 
3,331
 
Parker-Hannifin Corp. +
   
1,299,223
 
           
3,559,265
 
Consumer Discretionary Distribution & Retail — 11.6%
       
 
20,027
 
Amazon.com, Inc. (a)
   
2,610,720
 
 
7,418
 
The Home Depot, Inc.
   
2,304,327
 
 
29,970
 
LKQ Corp.
   
1,746,352
 
           
6,661,399
 
Consumer Staples Distribution — 4.3%
       
 
15,590
 
Walmart, Inc.
   
2,450,436
 
               
Financial Services — 1.8%
       
 
3,089
 
Ameriprise Financial, Inc.
   
1,026,042
 
               
Food, Beverage & Tobacco — 8.5%
       
 
58,040
 
Altria Group, Inc.
   
2,629,212
 
 
34,271
 
Molson Coors Beverage Co. — Class B +
   
2,256,403
 
           
4,885,615
 
Health Care Equipment & Services — 4.1%
       
 
25,244
 
Cardinal Health, Inc.
   
2,387,325
 
               
Household & Personal Products — 3.5%
       
 
14,679
 
Kimberly-Clark Corp.
   
2,026,583
 
         
Insurance — 7.8%
       
 
30,012
 
The Hartford Financial
       
     
  Services Group, Inc.
   
2,161,464
 
 
49,342
 
Unum Group
   
2,353,614
 
           
4,515,078
 
Materials — 4.0%
       
 
48,578
 
Silgan Holdings, Inc. +
   
2,277,822
 
               
Media & Entertainment — 16.2%
       
 
19,783
 
Alphabet, Inc. — Class A (a)
   
2,368,025
 
 
47,204
 
Comcast Corp. — Class A
   
1,961,326
 
 
9,216
 
Meta Platforms, Inc. — Class A (a)
   
2,644,808
 
 
25,227
 
Omnicom Group, Inc. +
   
2,400,349
 
           
9,374,508
 
Semiconductors & Semiconductor Equipment — 8.3%
       
 
1,966
 
Broadcom, Inc.
   
1,705,368
 
 
3,082
 
Lam Research Corp.
   
1,981,295
 
 
2,629
 
NVIDIA Corp.
   
1,112,120
 
           
4,798,783
 
Software & Services — 9.7%
       
 
28,311
 
Gen Digital, Inc.
   
525,169
 
 
17,965
 
International Business Machines Corp.
   
2,403,896
 
 
7,833
 
Microsoft Corp.
   
2,667,450
 
           
5,596,515
 
Technology Hardware & Equipment — 8.6%
       
 
13,915
 
Apple, Inc.
   
2,699,092
 
 
43,639
 
Cisco Systems, Inc.
   
2,257,882
 
           
4,956,974
 
TOTAL COMMON STOCKS
       
(Cost $53,605,423)
   
57,301,097
 
               
SHORT TERM INVESTMENT — 0.6%
       
 
346,148
 
U.S. Bank Money Market
       
     
  Deposit Account, 3.21%
   
346,148
 
TOTAL SHORT TERM INVESTMENT
       
(Cost $346,148)
   
346,148
 
               
INVESTMENT PURCHASED WITH PROCEEDS
       
FROM SECURITIES LENDING — 9.9%
       
 
5,702,599
 
Mount Vernon Liquid Assets
       
     
  Portfolio, LLC, 5.28% (b)(c)
   
5,702,599
 
TOTAL INVESTMENT PURCHASED WITH
       
PROCEEDS FROM SECURITIES LENDING
       
(Cost $5,702,599)
   
5,702,599
 
TOTAL INVESTMENTS — 109.9%
       
(Cost $59,654,170)
   
63,349,844
 
Liabilities in Excess of Other Assets — (9.9)%
   
(5,696,724
)
NET ASSETS — 100.0%
 
$
57,653,120
 
_________
+
All or portion of this security is on loan as of June 30, 2023.  Total value of securities on loan is $5,587,428.
(a)
Non-income producing security.
(b)
The rate quoted is the annualized seven-day yield as of June 30, 2023.
(c)
Privately offered liquidity fund.

The accompanying notes are an integral part of these financial statements.
13

   
Absolute Shares Trust
WBI BullBear Quality 3000 ETF
Schedule of Investments
June 30, 2023


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
 
_________
+
All or portion of this security is on loan as of June 30, 2023.  Total value of securities on loan is $7,028,966.
(a)
Non-income producing security.
(b)
The rate quoted is the annualized seven-day yield as of June 30, 2023.
(c)
Privately offered liquidity fund.

The accompanying notes are an integral part of these financial statements.
14

   
Absolute Shares Trust
WBI Power Factor® High Dividend ETF
Schedule of Investments
June 30, 2023


Shares
 
Security Description
 
Value
 
COMMON STOCKS — 98.9%
     
       
Banks — 22.8%
     
 
15,562
 
BankUnited, Inc. +
 
$
335,361
 
 
32,307
 
Brookline Bancorp, Inc.
   
282,363
 
 
6,965
 
Citigroup, Inc.
   
320,669
 
 
16,356
 
Citizens Financial Group, Inc. +
   
426,564
 
 
21,077
 
Columbia Banking System, Inc.
   
427,442
 
 
11,887
 
Comerica, Inc.
   
503,533
 
 
13,070
 
Eagle Bancorp, Inc.
   
276,561
 
 
28,984
 
Fifth Third Bancorp +
   
759,671
 
 
34,277
 
Hope Bancorp, Inc.
   
288,612
 
 
38,724
 
Huntington Bancshares, Inc. +
   
417,445
 
 
163,280
 
KeyCorp. +
   
1,508,707
 
 
124,665
 
New York Community Bancorp, Inc. +
   
1,401,235
 
 
14,620
 
Pacific Premier Bancorp, Inc. +
   
302,342
 
 
18,203
 
Provident Financial Services, Inc. +
   
297,437
 
 
13,829
 
Sandy Spring Bancorp, Inc. +
   
313,642
 
 
143,613
 
Synovus Financial Corp. +
   
4,344,293
 
 
15,511
 
Truist Financial Corp.
   
470,759
 
 
13,909
 
US Bancorp +
   
459,553
 
 
46,012
 
Valley National Bancorp +
   
356,593
 
 
14,670
 
Zions Bancorp NA +
   
394,036
 
           
13,886,818
 
Capital Goods — 4.5%
       
 
27,564
 
3M Co.
   
2,758,881
 
               
Commercial & Professional Services — 0.4%
       
 
7,901
 
HNI Corp.
   
222,650
 
               
Consumer Discretionary Distribution & Retail — 9.3%
       
 
35,496
 
Best Buy Co., Inc. +
   
2,908,897
 
 
66,078
 
Camping World Holdings,
       
     
  Inc. — Class A +
   
1,988,948
 
 
23,739
 
Upbound Group, Inc.
   
738,995
 
           
5,636,840
 
Consumer Durables & Apparel — 1.8%
       
 
23,872
 
M.D.C. Holdings, Inc.
   
1,116,494
 
               
Energy — 11.5%
           
 
33,861
 
CVR Energy, Inc. +
   
1,014,476
 
 
33,423
 
Hess Midstream LP — Class A +
   
1,025,418
 
 
165,075
 
Kinder Morgan, Inc. +
   
2,842,591
 
 
31,296
 
Kinetik Holdings, Inc. +
   
1,099,741
 
 
69,697
 
Plains GP Holdings LP — Class A
   
1,033,607
 
           
7,015,833
 
Financial Services — 5.7%
       
 
13,993
 
Ally Financial, Inc.
   
377,951
 
 
21,456
 
Invesco, LTD. — ADR (a)
   
360,675
 
 
11,293
 
Jackson Financial, Inc. — Class A +
   
345,679
 
 
20,210
 
Navient Corp. +
   
375,502
 
 
12,780
 
OneMain Holdings, Inc. +
   
558,358
 
 
16,027
 
Virtu Financial, Inc. — Class A
   
273,901
 
 
100,814
 
The Western Union Co.
   
1,182,548
 
           
3,474,614
 
Food, Beverage & Tobacco — 10.3%
       
 
87,306
 
Altria Group, Inc.
   
3,954,962
 
 
22,422
 
Cal-Maine Foods, Inc. +
   
1,008,990
 
 
36,920
 
The Kraft Heinz Co. +
   
1,310,660
 
           
6,274,612
 
Insurance — 0.7%
       
 
11,808
 
Fidelity National Financial, Inc.
   
425,088
 
               
Materials — 13.2%
       
 
51,707
 
Dow, Inc. +
   
2,753,915
 
 
78,020
 
International Paper Co.
   
2,481,816
 
 
30,382
 
LyondellBasell Industries
       
     
  N.V. — Class A — ADR (a)
   
2,789,979
 
           
8,025,710
 
Media & Entertainment — 1.1%
       
 
47,315
 
Sinclair, Inc. +
   
653,893
 
               
Pharmaceuticals, Biotechnology & Life Sciences — 4.8%
       
 
294,439
 
Viatris, Inc.
   
2,938,501
 
               
Telecommunication Services — 6.6%
       
 
108,249
 
Verizon Communications, Inc.
   
4,025,780
 
         
Utilities — 6.2%
       
 
30,313
 
Clearway Energy, Inc. — Class C
   
865,739
 
 
78,888
 
NRG Energy, Inc. +
   
2,949,623
 
           
3,815,362
 
TOTAL COMMON STOCKS
       
(Cost $63,495,596)
   
60,271,076
 


The accompanying notes are an integral part of these financial statements.
15

   
Absolute Shares Trust
WBI Power Factor® High Dividend ETF
Schedule of Investments (concluded)
June 30, 2023


Shares/
         
Amount
 
Security Description
 
Value
 
SHORT TERM INVESTMENT — 0.6%
     
 
362,123
 
U.S. Bank Money Market
     
     
  Deposit Account, 3.21%
 
$
362,123
 
TOTAL SHORT TERM INVESTMENT
       
(Cost $362,123)
   
362,123
 
               
INVESTMENT PURCHASED WITH PROCEEDS
       
FROM SECURITIES LENDING — 31.2%
       
 
18,995,017
 
Mount Vernon Liquid Assets
       
     
  Portfolio, LLC, 5.28% (b)(c)
   
18,995,017
 
TOTAL INVESTMENT PURCHASED WITH
       
PROCEEDS FROM SECURITIES LENDING
       
(Cost $18,995,017)
   
18,995,017
 
TOTAL INVESTMENTS — 130.7%
       
(Cost $82,852,736)
   
79,628,216
 
Liabilities in Excess of Other Assets — (30.7)%
   
(18,723,334
)
NET ASSETS — 100.0%
 
$
60,904,882
 
_________
+
All or portion of this security is on loan as of June 30, 2023.  Total value of securities on loan is $18,471,270.
ADR
American Depositary Receipt
(a)
Foreign issued security. Foreign concentration is as follows: Netherlands: 4.58% and Bermuda: 0.59%.
(b)
The rate quoted is the annualized seven-day yield as of June 30, 2023.
(c)
Privately offered liquidity fund.


The accompanying notes are an integral part of these financial statements.
16

   
Absolute Shares Trust
Statements of Assets and Liabilities
 
 
June 30, 2023

                     
WBI Power
 
   
WBI BullBear
   
WBI BullBear
   
WBI BullBear
   
Factor® High
 
   
Value 3000 ETF
   
Yield 3000 ETF
   
Quality 3000 ETF
   
Dividend ETF
 
ASSETS
                       
Investments in securities, at value *+ (Note 2)
 
$
53,250,948
   
$
63,349,844
   
$
54,256,632
   
$
79,628,216
 
Receivable for investments sold
   
     
1,969,457
     
     
121,567
 
Dividends and interest receivable
   
15,886
     
101,761
     
18,097
     
224,121
 
Prepaid expenses and other assets
   
8,563
     
8,563
     
8,562
     
8,996
 
Securities lending income receivable
   
978
     
853
     
522
     
3,434
 
Due from Advisor
   
     
     
     
4,710
 
Total Assets
   
53,276,375
     
65,430,478
     
54,283,813
     
79,991,044
 
                                 
LIABILITIES
                               
Payables
                               
Collateral received for securities loaned (Note 7)
   
8,730,499
     
5,702,599
     
7,083,948
     
18,995,017
 
Investments purchased
   
     
1,962,228
     
2,521,882
     
 
Administration and fund accounting fees
   
45,742
     
46,025
     
46,028
     
46,313
 
Audit fees
   
27,952
     
27,951
     
27,951
     
26,897
 
Legal fees
   
9,138
     
9,879
     
9,890
     
9,883
 
Accrued other expenses
   
4,122
     
6,960
     
5,509
     
3,707
 
Chief Compliance Officer fee
   
2,767
     
2,767
     
2,767
     
2,767
 
Custody fees
   
1,718
     
1,875
     
1,733
     
1,578
 
Management fees
   
487
     
17,074
     
1,209
     
 
Total Liabilities
   
8,822,425
     
7,777,358
     
9,700,917
     
19,086,162
 
NET ASSETS
 
$
44,453,950
   
$
57,653,120
   
$
44,582,896
   
$
60,904,882
 
                                 
NET ASSETS CONSIST OF:
                               
Paid-in capital
 
$
62,787,950
   
$
121,118,788
   
$
71,505,355
   
$
72,148,107
 
Total accumulated deficit
   
(18,334,000
)
   
(63,465,668
)
   
(26,922,459
)
   
(11,243,225
)
Net Assets
 
$
44,453,950
   
$
57,653,120
   
$
44,582,896
   
$
60,904,882
 
                                 
*Cost
                               
Investments in securities
 
$
49,677,495
   
$
59,654,170
   
$
51,719,373
   
$
82,852,736
 
Net Asset Value (unlimited shares authorized):
                               
Net Assets
 
$
44,453,950
   
$
57,653,120
   
$
44,582,896
   
$
60,904,882
 
Shares Outstanding^
   
1,538,315
     
2,480,183
     
1,527,182
     
2,350,000
 
Net Asset Value, Offering and Redemption Price per Share
 
$
28.90
   
$
23.25
   
$
29.19
   
$
25.92
 
^
No Par Value
+
Including securities on loan of $8,637,446, $5,587,428, $7,028,966, $18,471,270 respectively.


The accompanying notes are an integral part of these financial statements.
17

   
Absolute Shares Trust
Statements of Operations
 
 
For the Year Ended June 30, 2023

                     
WBI Power
 
   
WBI BullBear
   
WBI BullBear
   
WBI BullBear
   
Factor® High
 
   
Value 3000 ETF
   
Yield 3000 ETF
   
Quality 3000 ETF
   
Dividend ETF
 
INVESTMENT INCOME
                       
Income:
                       
Dividends+
 
$
679,352
   
$
1,359,356
   
$
660,750
   
$
4,153,004
 
Interest
   
190,728
     
274,045
     
178,928
     
22,076
 
Securities lending income (Note 7)
   
10,474
     
13,136
     
9,974
     
45,327
 
Total Investment Income
   
880,554
     
1,646,537
     
849,652
     
4,220,407
 
                                 
Expenses:
                               
Management fees (Note 3)
   
349,006
     
470,111
     
348,695
     
400,910
 
Administration, fund accounting and custodian fees (Note 6)
   
171,583
     
172,519
     
171,788
     
173,162
 
Professional fees
   
77,587
     
78,328
     
78,328
     
77,140
 
Insurance expenses
   
28,703
     
28,703
     
28,703
     
28,975
 
Director’s fees and expenses
   
21,890
     
21,890
     
21,890
     
21,890
 
Exchange fees
   
14,193
     
14,284
     
14,284
     
10,714
 
Shareholder reporting expenses
   
3,794
     
3,883
     
3,975
     
7,044
 
Registration fees
   
330
     
3,066
     
1,629
     
85
 
Miscellaneous expenses
   
6,107
     
6,107
     
6,107
     
6,109
 
Total Expenses
   
673,193
     
798,891
     
675,399
     
726,029
 
Less: Fees (Waived)
   
(159,949
)
   
(107,551
)
   
(162,612
)
   
(215,778
)
Net Expenses
   
513,244
     
691,340
     
512,787
     
510,251
 
Net Investment Income
   
367,310
     
955,197
     
336,865
     
3,710,156
 
                                 
REALIZED & UNREALIZED GAIN ON INVESTMENTS
                               
Net realized loss on:
                               
Investments in securities
   
(3,726,398
)
   
(8,615,260
)
   
(1,178,813
)
   
(3,301,910
)
Net change in unrealized appreciation of:
                               
Investments in securities
   
3,129,807
     
2,990,996
     
2,334,061
     
3,825,303
 
Net realized and unrealized gain (loss) on investments
   
(596,591
)
   
(5,624,264
)
   
1,155,248
     
523,393
 
NET INCREASE (DECREASE) IN NET ASSETS
                               
  RESULTING FROM OPERATIONS
 
$
(229,281
)
 
$
(4,669,067
)
 
$
1,492,113
   
$
4,233,549
 
+
Net of withholding taxes of $987, $0, $114 and $0 respectively.


The accompanying notes are an integral part of these financial statements.
18

  
Absolute Shares Trust
Statements of Changes in Net Assets
 



   
WBI BullBear Value 3000 ETF
   
WBI BullBear Yield 3000 ETF
 
   
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
 
   
June 30, 2023
   
June 30, 2022
   
June 30, 2023
   
June 30, 2022
 
INCREASE (DECREASE) IN NET ASSETS:
                       
OPERATIONS
                       
Net investment income
 
$
367,310
   
$
453,977
   
$
955,197
   
$
628,989
 
Net realized gain (loss) on investments
   
(3,726,398
)
   
(1,498,281
)
   
(8,615,260
)
   
778,032
 
Net change in unrealized appreciation
                               
  (depreciation) of investments
   
3,129,807
     
(1,540,311
)
   
2,990,996
     
(1,588,211
)
Net decrease in net assets
                               
  resulting from operations
   
(229,281
)
   
(2,584,615
)
   
(4,669,067
)
   
(181,190
)
DISTRIBUTIONS TO SHAREHOLDERS
                               
Net distributions to shareholders
   
(580,404
)
   
(686,698
)
   
(1,251,380
)
   
(890,827
)
Total distributions to shareholders
   
(580,404
)
   
(686,698
)
   
(1,251,380
)
   
(890,827
)
CAPITAL SHARE TRANSACTIONS
                               
Net increase (decrease) in net assets
                               
  from capital share transactions
   
2,760,930
     
(7,823,085
)
   
25,157,251
     
(7,989,090
)
Total increase (decrease) in net assets
 
$
1,951,245
   
$
(11,094,398
)
 
$
19,236,804
   
$
(9,061,107
)
NET ASSETS
                               
Beginning of Year
 
$
42,502,705
   
$
53,597,103
   
$
38,416,316
   
$
47,477,423
 
End of Year
 
$
44,453,950
   
$
42,502,705
   
$
57,653,120
   
$
38,416,316
 
                                 
                                 
   
WBI BullBear Quality 3000 ETF
   
WBI Power Factor® High Dividend ETF
 
   
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
 
   
June 30, 2023
   
June 30, 2022
   
June 30, 2023
   
June 30, 2022
 
INCREASE (DECREASE) IN NET ASSETS:
                               
OPERATIONS
                               
Net investment income
 
$
336,865
   
$
438,735
   
$
3,710,156
   
$
2,733,266
 
Net realized gain (loss) on investments
   
(1,178,813
)
   
(249,778
)
   
(3,301,910
)
   
8,496,837
 
Net change in unrealized appreciation
                               
  (depreciation) of investments
   
2,334,061
     
(1,954,650
)
   
3,825,303
     
(12,032,347
)
Net increase (decrease) in net assets
                               
  resulting from operations
   
1,492,113
     
(1,765,693
)
   
4,233,549
     
(802,244
)
DISTRIBUTIONS TO SHAREHOLDERS
                               
Net distributions to shareholders
   
(546,569
)
   
(824,798
)
   
(3,953,874
)
   
(2,666,669
)
Total distributions to shareholders
   
(546,569
)
   
(824,798
)
   
(3,953,874
)
   
(2,666,669
)
CAPITAL SHARE TRANSACTIONS
                               
Net increase (decrease) in net assets
                               
  from capital share transactions
   
6,879,484
     
(6,058,735
)
   
(1,707,599
)
   
1,344,496
 
Total increase (decrease) in net assets
 
$
7,825,028
   
$
(8,649,226
)
 
$
(1,427,924
)
 
$
(2,124,417
)
NET ASSETS
                               
Beginning of Year
 
$
36,757,868
   
$
45,407,094
   
$
62,332,806
   
$
64,457,223
 
End of Year
 
$
44,582,896
   
$
36,757,868
   
$
60,904,882
   
$
62,332,806
 


The accompanying notes are an integral part of these financial statements.
19

    
Absolute Shares Trust
Financial Highlights
 
 
For capital share outstanding throughout each year

   
WBI BullBear Value 3000 ETF
 
   
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
 
   
June 30, 2023
   
June 30, 2022
   
June 30, 2021
   
June 30, 2020
   
June 30, 2019
 
Net Asset Value, Beginning of Year
 
$
29.55
   
$
31.75
   
$
25.60
   
$
27.19
   
$
28.19
 
Income (Loss) from Investment Operations:
                                       
Net investment income1
   
0.25
     
0.29
     
0.49
     
0.07
     
0.32
 
Net gain (loss) on investments (realized and unrealized)2
   
(0.51
)
   
(2.06
)
   
6.05
     
(1.54
)
   
(0.99
)
Total from investment operations
   
(0.26
)
   
(1.77
)
   
6.54
     
(1.47
)
   
(0.67
)
Less Distributions:
                                       
Distributions from net investment income
   
(0.39
)
   
(0.43
)
   
(0.39
)
   
(0.12
)
   
(0.33
)
Total Distributions
   
(0.39
)
   
(0.43
)
   
(0.39
)
   
(0.12
)
   
(0.33
)
Net asset value, end of year
 
$
28.90
   
$
29.55
   
$
31.75
   
$
25.60
   
$
27.19
 
Market price, end of year
 
$
28.91
   
$
29.48
   
$
31.77
   
$
25.61
   
$
27.16
 
Net Assets Total Return3
   
-0.79
%
   
-5.62
%
   
25.59
%
   
-5.40
%
   
-2.53
%
                                         
Supplemental Data:
                                       
Net assets, end of year (000’s)
 
$
44,454
   
$
42,503
   
$
53,597
   
$
43,218
   
$
50,297
 
Ratios to Average Net Assets:
                                       
Expenses before fees (waived)/recouped
   
1.64
%
   
1.38
%
   
1.36
%
   
1.25
%
   
1.18
%
Expenses after fees (waived)/recouped
   
1.25
%
   
1.25
%
   
1.25
%
   
1.25
%
   
1.18
%
Net investment income to average net assets
   
0.89
%
   
0.94
%
   
1.71
%
   
0.27
%
   
1.11
%
Portfolio turnover rate4
   
906
%
   
845
%
   
800
%
   
894
%
   
567
%
                                         
                                         
   
WBI BullBear Yield 3000 ETF
 
   
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
 
   
June 30, 2023
   
June 30, 2022
   
June 30, 2021
   
June 30, 2020
   
June 30, 2019
 
Net Asset Value, Beginning of Year
 
$
25.95
   
$
26.67
   
$
22.53
   
$
24.02
   
$
25.87
 
Income (Loss) from Investment Operations:
                                       
Net investment income1
   
0.42
     
0.39
     
0.41
     
0.21
     
0.51
 
Net gain (loss) on investments (realized and unrealized)2
   
(2.61
)
   
(0.57
)
   
4.13
     
(1.46
)
   
(1.84
)
Total from investment operations
   
(2.19
)
   
(0.18
)
   
4.54
     
(1.25
)
   
(1.33
)
Less Distributions:
                                       
Distributions from net investment income
   
(0.51
)
   
(0.54
)
   
(0.40
)
   
(0.21
)
   
(0.52
)
Tax return of capital to shareholders
   
     
     
     
(0.03
)
   
 
Total Distributions
   
(0.51
)
   
(0.54
)
   
(0.40
)
   
(0.24
)
   
(0.52
)
Net asset value, end of year
 
$
23.25
   
$
25.95
   
$
26.67
   
$
22.53
   
$
24.02
 
Market price, end of year
 
$
23.24
   
$
25.92
   
$
26.68
   
$
22.52
   
$
23.96
 
Net Assets Total Return3
   
-8.49
%
   
-0.73
%
   
20.36
%
   
-5.22
%
   
-5.22
%
                                         
Supplemental Data:
                                       
Net assets, end of year (000’s)
 
$
57,653
   
$
38,416
   
$
47,477
   
$
59,247
   
$
74,472
 
Ratios to Average Net Assets:
                                       
Expenses before fees (waived)/recouped
   
1.44
%
   
1.43
%
   
1.27
%
   
1.14
%
   
1.04
%
Expenses after fees (waived)/recouped
   
1.25
%
   
1.26
%
   
1.25
%
   
1.14
%
   
1.04
%
Net investment income to average net assets
   
1.73
%
   
1.44
%
   
1.68
%
   
0.88
%
   
2.04
%
Portfolio turnover rate4
   
890
%
   
824
%
   
820
%
   
895
%
   
610
%
1
Calculated based on average shares outstanding during the period.
2
The amount for a share outstanding throughout the period may not be in accordance with the aggregate net realized and unrealized gain (loss) on investment for the period because of the timing of capital share transactions in relation to fluctuating market values of the Funds’ underlying securities.
3
Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and the redemption on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.
4
Excludes securities received or delivered as a result of processing capital share transactions in creation units.


The accompanying notes are an integral part of these financial statements.
20

   
Absolute Shares Trust
Financial Highlights (concluded)
 
 
For capital share outstanding throughout each year

   
WBI BullBear Quality 3000 ETF
 
   
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
 
   
June 30, 2023
   
June 30, 2022
   
June 30, 2021
   
June 30, 2020
   
June 30, 2019
 
Net Asset Value, Beginning of Year
 
$
28.78
   
$
30.74
   
$
26.06
   
$
27.20
   
$
26.07
 
Income (Loss) from Investment Operations:
                                       
Net investment income1
   
0.23
     
0.32
     
0.12
     
0.07
     
0.20
 
Net gain (loss) on investments (realized and unrealized)2
   
0.54
     
(1.68
)
   
4.62
     
(1.10
)
   
1.13
 
Total from investment operations
   
0.77
     
(1.36
)
   
4.74
     
(1.03
)
   
1.33
 
Less Distributions:
                                       
Distributions from net investment income
   
(0.36
)
   
(0.60
)
   
(0.06
)
   
(0.09
)
   
(0.20
)
Tax return of capital to shareholders
   
     
     
     
(0.02
)
   
 
Total Distributions
   
(0.36
)
   
(0.60
)
   
(0.06
)
   
(0.11
)
   
(0.20
)
Net asset value, end of year
 
$
29.19
   
$
28.78
   
$
30.74
   
$
26.06
   
$
27.20
 
Market price, end of year
 
$
29.19
   
$
28.73
   
$
30.75
   
$
26.07
   
$
27.18
 
Net Assets Total Return3
   
2.79
%
   
-4.58
%
   
18.21
%
   
-3.79
%
   
5.08
%
                                         
Supplemental Data:
                                       
Net assets, end of year (000’s)
 
$
44,583
   
$
36,758
   
$
45,407
   
$
54,134
   
$
61,202
 
Ratios to Average Net Assets:
                                       
Expenses before fees (waived)/recouped
   
1.65
%
   
1.45
%
   
1.31
%
   
1.23
%
   
1.21
%
Expenses after fees (waived)/recouped
   
1.25
%
   
1.25
%
   
1.25
%
   
1.23
%
   
1.21
%
Net investment income to average net assets
   
0.82
%
   
1.04
%
   
0.43
%
   
0.27
%
   
0.74
%
Portfolio turnover rate4
   
805
%
   
899
%
   
838
%
   
886
%
   
477
%
                                         
                                         
   
WBI Power Factor® High Dividend ETF
 
   
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
 
   
June 30, 2023
   
June 30, 2022
   
June 30, 2021
   
June 30, 2020
   
June 30, 2019
 
Net Asset Value, Beginning of Year
 
$
25.97
   
$
27.43
   
$
18.76
   
$
24.56
   
$
26.87
 
Income (Loss) from Investment Operations:
                                       
Net investment income1
   
1.36
     
1.16
     
1.10
     
1.12
     
1.12
 
Net gain (loss) on investments (realized and unrealized)2
   
0.05
     
(1.49
)
   
8.65
     
(5.76
)
   
(2.08
)
Total from investment operations
   
1.41
     
(0.33
)
   
9.75
     
(4.64
)
   
(0.96
)
Less Distributions:
                                       
Distributions from net investment income
   
(1.46
)
   
(1.13
)
   
(1.08
)
   
(1.16
)
   
(1.13
)
Distributions from net realized gain
   
     
     
     
     
(0.22
)
Total Distributions
   
(1.46
)
   
(1.13
)
   
(1.08
)
   
(1.16
)
   
(1.35
)
Net asset value, end of year
 
$
25.92
   
$
25.97
   
$
27.43
   
$
18.76
   
$
24.56
 
Market price, end of year
 
$
25.94
   
$
25.92
   
$
27.48
   
$
18.75
   
$
24.53
 
Net Assets Total Return3
   
5.63
%
   
-1.40
%
   
53.09
%
   
-19.24
%
   
-3.25
%
                                         
Supplemental Data:
                                       
Net assets, end of year (000’s)
 
$
60,905
   
$
62,333
   
$
64,457
   
$
42,202
   
$
103,160
 
Ratios to Average Net Assets:
                                       
Expenses before fees (waived)/recouped
   
1.00
%
   
0.94
%
   
0.98
%
   
0.77
%
   
0.70
%
Expenses after fees (waived)/recouped
   
0.70
%
   
0.70
%
   
0.70
%
   
0.70
%
   
0.70
%
Net investment income to average net assets
   
5.09
%
   
4.16
%
   
4.73
%
   
4.83
%
   
4.46
%
Portfolio turnover rate4
   
175
%
   
183
%
   
191
%
   
196
%
   
163
%
1
Calculated based on average shares outstanding during the period.
2
The amount for a share outstanding throughout the period may not be in accordance with the aggregate net realized and unrealized gain (loss) on investment for the period because of the timing of capital share transactions in relation to fluctuating market values of the Funds’ underlying securities.
3
Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and the redemption on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.
4
Excludes securities received or delivered as a result of processing capital share transactions in creation units.


The accompanying notes are an integral part of these financial statements.
21

  
Absolute Shares Trust
Notes to Financial Statements
June 30, 2023

 

NOTE 1 — ORGANIZATION
 
Absolute Shares Trust (the “Trust”) was organized as a Delaware statutory trust on November 7, 2013 and is authorized to have multiple segregated series or portfolios. The Trust is an open-end management investment company registered under the Investment Company Act of 1940 (the “1940 Act”). The Trust currently consists of the following four separate investment portfolios (each, a “Fund” or, individually and, together, the “Funds”):
 
WBI BullBear Value 3000 ETF
WBI BullBear Yield 3000 ETF
WBI BullBear Quality 3000 ETF
WBI Power Factor® High Dividend ETF
 
Each Fund is classified as diversified for purposes of the 1940 Act.
 
The end of the reporting period for the Funds is June 30, 2023, and the period covered by these Notes to Financial Statements is the fiscal period from July 1, 2022 through June 30, 2023 for all Funds (the “current fiscal period”).
 

NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES
 
The following is a summary of significant accounting policies consistently followed by the Funds. The financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and are stated in U.S. dollars. The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance for the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
 
The preparation of the financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amount of assets, liabilities and the disclosure of contingent assets and liabilities at June 30, 2023. Actual results could differ from these estimates.
 
A. Valuation. All equity securities, including domestic common stocks, preferred stocks, exchange traded funds and exchange traded notes, that are traded on a national securities exchange, except those listed on the Nasdaq Global Market, Nasdaq Select Market and Nasdaq Capital Market (collectively “Nasdaq”) are valued at the last reported sale price on the exchange on which the security is principally traded. Securities traded on Nasdaq are valued at the Nasdaq Official Closing Price (“NOCP”). If, on a particular day, an exchange-traded or Nasdaq security does not trade, then the mean between the most recent quoted bid and asked prices is used. All equity securities that are not traded on a listed exchange are valued at the last sale price in the over-the-counter market. If a non-exchange traded security does not trade on a particular day, then the mean between the last quoted closing bid and asked price is used.
 
Investments in mutual funds, including money market funds, are valued at their net asset value (“NAV”) per share.
 
Shares in privately offered liquidity funds are valued at their NAV per share.
 
Short-term securities that have maturities of less than 60 days at the time of purchase are valued at amortized cost, which, when combined with accrued interest, approximates fair value.
 
Securities for which quotations are not readily available are valued by the Adviser, whom the Board of Trustees designated as the valuation designee pursuant to valuation procedures adopted by the Board (the “Valuation Procedures”) and based on information it receives from the Sub-Advisor and U.S. Bancorp Fund Services, LLC (“Fund Services”). When a security is “fair valued”, consideration is given to the facts and circumstances relevant to the particular situation, including a review of various factors set forth in the Valuation Procedures. The use of fair value pricing by the Funds may cause the NAV of their shares to differ significantly from the NAV that would be calculated without regard to such considerations.
 
As described above, the Funds utilize various methods to measure the fair value of their investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuations methods. The three levels of inputs are:
 
Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.
   
Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
   
Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; including the Funds’ Valuation Committee’s assumptions used in determining the fair value of investments. The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
22

  
Absolute Shares Trust
Notes to Financial Statements (continued)
June 30, 2023



The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
 
The following is a summary of the inputs used to value the Funds’ investments as of the end of the current fiscal period:
 
WBI BullBear Value 3000 ETF
                       
Assets^
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Common Stocks
 
$
44,086,975
   
$
   
$
   
$
44,086,975
 
Short-Term Investment
   
433,474
     
     
     
433,474
 
Investment Purchased With Proceeds From Securities Lending
   
     
8,730,499
     
     
8,730,499
 
Total Investments in Securities, at value
 
$
44,520,449
   
$
8,730,499
   
$
   
$
53,250,948
 
WBI BullBear Yield 3000 ETF
                               
Assets^
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Common Stocks
 
$
57,301,097
   
$
   
$
   
$
57,301,097
 
Short-Term Investment
   
346,148
     
     
     
346,148
 
Investment Purchased With Proceeds From Securities Lending
   
     
5,702,599
     
     
5,702,599
 
Total Investments in Securities, at value
 
$
57,647,245
   
$
5,702,599
   
$
   
$
63,349,844
 
WBI BullBear Quality 3000 ETF
                               
Assets^
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Common Stocks
 
$
44,279,295
   
$
   
$
   
$
44,279,295
 
Short-Term Investment
   
2,893,389
     
     
     
2,893,389
 
Investment Purchased With Proceeds From Securities Lending
   
     
7,083,948
     
     
7,083,948
 
Total Investments in Securities, at value
 
$
47,172,684
   
$
7,083,948
   
$
   
$
54,256,632
 
WBI Power Factor® High Dividend ETF
                               
Assets^
 
Level 1
   
Level 2