Private Real Estate Strategy via Liquid REITs ETF

Ticker: PRVT

Residential REIT ETF

Ticker: HAUS

(Formerly: Residential REIT Income ETF)

Semi-Annual Report

July 31, 2023

Armada ETFs

Portfolio Allocations

1

Schedules of Investments

2

Statements of Assets and Liabilities

5

Statements of Operations

6

Statements of Changes in Net Assets

7

Financial Highlights

9

Notes to Financial Statements

11

Expense Examples

20

Basis for Trustees’ Approval of Investment Advisory and Sub-Advisory Agreements

22

Statement Regarding Liquidity Risk Management Program

25

Additional Information

26

TABLE OF CONTENTS

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

1

Private Real Estate Strategy via Liquid REITs

PORTFOLIO ALLOCATION at July 31, 2023 (Unaudited)

Sector(1) 

% of
Net Assets

Apartments

47.1

%

Warehouse & Industry

25.3

Diversified

10.4

Office Property

3.3

Shopping Centers

3.1

Hotels

3.0

Storage

2.1

Manufactured Homes

2.0

Health Care

2.0

Cash and/or Cash Equivalents(2) 

1.7

Total

100.0

%

(1)Bloomberg sector categories.

(2)Represents short-term investments and liabilities in excess of other assets.

Residential REIT ETF

PORTFOLIO ALLOCATION at July 31, 2023 (Unaudited)

Sector(1) 

% of
Net Assets

Apartments

60.8

%

Health Care

22.8

Manufactured Homes

9.3

Diversified

4.1

Cash and/or Cash Equivalents(2) 

1.9

Management & Services

1.1

Total

100.0

%

(1)Bloomberg sector categories.

(2)Represents short-term investments and other assets in excess of liabilities.

2

Private Real Estate Strategy via Liquid REITs ETF

2

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

SCHEDULE OF INVESTMENTS at July 31, 2023 (Unaudited)

 

 

Shares

 

Value

 

Real Estate Investment Trusts(1) — 98.3%

REITS — Apartments — 47.1%

American Homes 4 Rent - Class A

3,210

$120,311

Apartment Income REIT Corp.

340

11,743

AvalonBay Communities, Inc.

130

24,524

Camden Property Trust

2,040

222,544

Centerspace

200

12,426

Equity Residential

375

24,727

Essex Property Trust, Inc.

50

12,177

Independence Realty Trust, Inc.

12,665

215,812

Invitation Homes, Inc.

3,270

116,085

Mid-America Apartment Communities, Inc.

1,500

224,490

NexPoint Residential Trust, Inc.

1,635

67,951

UDR, Inc.

3,670

150,030

 

1,202,820

REITS — Diversified — 10.4%

Digital Realty Trust, Inc.

660

82,249

Gaming and Leisure Properties, Inc.

250

11,865

Veris Residential, Inc.(2) 

730

13,637

VICI Properties, Inc.

5,025

158,187

 

265,938

REITS — Health Care — 2.0%

CareTrust REIT, Inc.

315

6,549

Omega Healthcare Investors, Inc.

200

6,380

Ventas, Inc.

410

19,893

Welltower, Inc.

230

18,895

 

51,717

REITS — Hotels — 3.0%

Apple Hospitality REIT, Inc.

480

7,440

DiamondRock Hospitality Co.

900

7,650

Hersha Hospitality Trust

1,215

7,606

Host Hotels & Resorts, Inc.

705

12,972

Pebblebrook Hotel Trust

865

13,364

Summit Hotel Properties, Inc.

1,090

7,020

Sunstone Hotel Investors, Inc.

1,170

11,922

Xenia Hotels & Resorts, Inc.

590

7,493

 

75,467

REITS — Manufactured Homes — 2.0%

Equity LifeStyle Properties, Inc.

380

27,048

Sun Communities, Inc.

190

24,757

51,805

 

 

Shares

 

Value

 

Real Estate Investment Trusts(1) — 98.3% (Continued)

REITS — Office Property — 3.3%

Alexandria Real Estate Equities, Inc.

145

$18,224

Boston Properties, Inc.

320

21,322

Brandywine Realty Trust

1,700

8,585

Cousins Properties, Inc.

580

14,169

Douglas Emmett, Inc.

600

8,820

Highwoods Properties, Inc.

555

14,025

 

85,145

REITS — Shopping Centers — 3.1%

Acadia Realty Trust

865

13,589

Brixmor Property Group, Inc.

350

7,959

Federal Realty Investment Trust

130

13,198

Kimco Realty Corp.

770

15,600

Regency Centers Corp.

325

21,297

Retail Opportunity Investments Corp.

555

8,175

 

79,818

REITS — Storage — 2.1%

Extra Space Storage, Inc.

260

36,288

Public Storage

65

18,314

 

54,602

REITS — Warehouse & Industry — 25.3%

EastGroup Properties, Inc.

660

116,939

First Industrial Realty Trust, Inc.

970

50,149

Prologis, Inc.

1,645

205,214

Rexford Industrial Realty, Inc.

2,195

120,922

STAG Industrial, Inc. - Class A

900

32,670

Terreno Realty Corp.

2,005

118,977

 

644,871

Total Real Estate Investment Trusts

(Cost $2,543,391)

2,512,183

 

Short-Term Investments — 1.7%

Money Market Funds — 1.7%

First American Government Obligations Fund, Class X, 5.175%(3) 

42,510

42,510

Total Short-Term Investments

(Cost $42,510)

42,510

 

Total Investments In Securities — 100.0%

(Cost $2,585,901)

2,554,693

Liabilities in Excess of Other Assets — (0.0)%(4) 

(58

)

Total Net Assets — 100.0%

$2,554,635


3

Private Real Estate Strategy via Liquid REITs ETF

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

3

SCHEDULE OF INVESTMENTS at July 31, 2023 (Unaudited) (Continued)

REITReal Estate Investment Trust

(1)Grouped by Bloomberg Sector Categories

(2)Non-income producing security.

(3)The rate shown is the annualized seven-day effective yield as of July 31, 2023.

(4)Does not round to 0.1% or (0.1)%, as applicable.

Residential REIT ETF

4

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

 

 

Shares

 

Value

 

Real Estate Investment Trusts (1) — 98.1%

REITS — Apartments — 60.8%

American Homes 4 Rent - Class A

8,127

$304,600

Apartment Income REIT Corp.

4,592

158,608

Apartment Investment and Management Co.

6,418

53,462

AvalonBay Communities, Inc.

1,816

342,588

BRT Apartments Corp.

758

14,758

Camden Property Trust

2,282

248,943

Centerspace

1,491

92,636

Elme Communities

5,628

91,455

Equity Residential

3,780

249,253

Essex Property Trust, Inc.

876

213,350

Independence Realty Trust, Inc.

12,068

205,639

Invitation Homes, Inc.

6,142

218,041

Mid-America Apartment Communities, Inc.

2,265

338,980

NexPoint Residential Trust, Inc.

859

35,700

UDR, Inc.

5,001

204,441

 

2,772,454

REITS — Diversified — 4.1%

UMH Properties, Inc.

5,708

95,038

Veris Residential, Inc.(2) 

4,993

93,270

 

188,308

REITS — Health Care — 22.8%

CareTrust REIT, Inc.

8,630

179,418

LTC Properties, Inc.

1,283

43,057

National Health Investors, Inc.

2,855

156,768

Omega Healthcare Investors, Inc.

5,733

182,883

Ventas, Inc.

5,360

260,067

Welltower, Inc.

2,679

220,080

 

1,042,273

REITS — Management & Service — 1.1%

Tricon Residential, Inc.

5,452

50,867

 

REITS — Manufactured Homes — 9.3%

Equity LifeStyle Properties, Inc.

2,969

211,334

Sun Communities, Inc.

1,638

213,431

 

424,765

Total Real Estate Investment Trusts

(Cost $4,703,748)

4,478,667

 

 

 

Shares

 

Value

 

Short-Term Investments — 1.6%

Money Market Funds — 1.6%

First American Government Obligations Fund, Class X, 5.175%(3) 

72,242

72,242

Total Short-Term Investments

(Cost $72,242)

72,242

 

Total Investments In Securities — 99.7%

(Cost $4,775,990)

4,550,909

Other Assets in Excess of Liabilities — 0.3%

11,812

Total Net Assets — 100.0%

$4,562,721

REITReal Estate Investment Trust

(1)Grouped by Bloomberg Sector Categories

(2)Non-income producing security.

(3)The rate shown is the annualized seven-day effective yield as of July 31, 2023.


SCHEDULE OF INVESTMENTS at July 31, 2023 (Unaudited)

Armada ETFs

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

5

STATEMENTS OF ASSETS AND LIABILITIES at July 31, 2023 (Unaudited)

 

 

Private Real Estate Strategy via Liquid REITs ETF

 

Residential REIT ETF

 

 

Assets:

Investments in securities, at value (Note 2)

$2,554,693

$4,550,909

Receivables:

Investment securities sold

622,279

Dividends and interest

331

2,919

Total assets

2,555,024

5,176,107

 

Liabilities:

Payables:

Investment securities purchased

611,033

Management fees (Note 4)

389

2,353

Total liabilities

389

613,386

Net Assets

$2,554,635

$4,562,721

 

Components of Net Assets:

Paid-in capital

$2,581,880

$5,121,798

Total distributable (accumulated) earnings (losses)

(27,245

)

(559,077

)

Net assets, offering and redemption price per share

$2,554,635

$4,562,721

 

Net Asset Value (unlimited shares authorized):

Net assets

$2,554,635

$4,562,721

Shares of beneficial interest issued and outstanding

125,000

280,000

Net asset value

$20.44

$16.30

 

Cost of investments

$2,585,901

$4,775,990

Armada ETFs

6

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

STATEMENTS OF OPERATIONS For the Period Ended July 31, 2023 (Unaudited)

 

 

Private Real Estate Strategy via Liquid REITs ETF(1) 

 

Residential REIT ETF

 

 

Investment Income:

Dividend income (net of foreign withholding tax of $119 and $0, respectively)

$4,430

$79,870

Interest income

59

1,784

Total investment income

4,489

81,654

 

Expenses:

Management fees (Note 4)

526

12,760

Total expenses

526

12,760

Net investment income (loss)

3,963

68,894

 

Realized and Unrealized Gain (Loss):

Net realized gain (loss) on investments

(287,968

)

Change in net unrealized appreciation/depreciation on investments

(31,208

)

226,812

Net realized and unrealized gain (loss) on investments

(31,208

)

(61,156

)

Net increase (decrease) in net assets resulting from operations

$(27,245

)

$7,738

(1)The Fund commenced operations on June 12, 2023. The information presented is from June 12, 2023 to July 31, 2023.

7

Private Real Estate Strategy via Liquid REITs ETF

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

7

STATEMENTS OF CHANGES IN NET ASSETS

 

 

Period Ended
July 31, 2023
(1) (Unaudited)

 

 

Increase (Decrease) in Net Assets From:

 

Operations:

Net investment income (loss)

$3,963

Net realized gain (loss)

Change in net unrealized appreciation/depreciation

(31,208

)

Net increase (decrease) in net assets resulting from operations

(27,245

)

 

Distributions to Shareholders:

Net distributions to shareholders

 

Capital Share Transactions:

Net increase (decrease) in net assets derived from net changes in outstanding shares(2)

2,581,880

Total increase (decrease) in net assets

2,554,635

 

Net Assets:

Beginning of period

End of period

$2,554,635

(1)The Fund commenced operations on June 12, 2023. The information presented is from June 12, 2023 to July 31, 2023.

(2)Summary of share transactions is as follows:

 

Period Ended
July 31, 2023
(1) (Unaudited)

 

Shares

Value

Shares sold

125,000

$2,581,880

Shares redeemed

Net increase (decrease)

125,000

$2,581,880

Residential REIT ETF

8

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

STATEMENTS OF CHANGES IN NET ASSETS

 

 

Six-Months Ended
July 31, 2023 (Unaudited)

 

Period Ended
January 31, 2023
(1) 

 

 

Increase (Decrease) in Net Assets From:

 

Operations:

Net investment income (loss)

$68,894

$41,742

Net realized gain (loss) on investments

(287,968

)

(35,747

)

Change in net unrealized appreciation/depreciation on investments

226,812

(441,210

)

Net increase (decrease) in net assets resulting from operations

7,738

(435,215

)

 

Distributions to Shareholders:

Net distributions to shareholders

(71,459

)

(60,141

)

 

Capital Share Transactions:

Net increase (decrease) in net assets derived from net changes in outstanding shares(2)

487,875

4,633,923

Total increase (decrease) in net assets

424,154

4,138,567

 

Net Assets:

Beginning of period

4,138,567

End of period

$4,562,721

$4,138,567

(1)The Fund commenced operations on February 28, 2022. The information presented is from February 28, 2022 to January 31, 2023.

(2)Summary of share transactions is as follows:

 

Six-Months Ended
July 31, 2023 (Unaudited)

Period Ended
January 31, 2023
(1) 

 

Shares

Value

Shares

Value

Shares sold

70,000

$1,102,306

250,000

$4,633,923

Shares redeemed

(40,000

)

(614,431

)

Net increase (decrease)

30,000

$487,875

250,000

$4,633,923

9

Private Real Estate Strategy via Liquid REITs ETF

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

9

FINANCIAL HIGHLIGHTS For a capital share outstanding throughout the period

 

 

Period Ended
July 31, 2023 (Unaudited)
(1) 

 

 

Net asset value, beginning of period

$20.00

 

Income from Investment Operations:

Net investment income (loss)(2)

0.12

Net realized and unrealized gain (loss) on investments

0.32

Total from investment operations

0.44

 

Less Distributions:

From net investment income

From long-term capital gains

Total distributions

 

Net asset value, end of period

$20.44

Total return(3)(4)

2.19

%

 

Ratios / Supplemental Data:

Net assets, end of period (millions)

$2.6

Portfolio turnover rate(3)(5)

0

%

Ratio of expenses to average net assets(6)

0.59

%

Ratio of net investment income (loss) to average net assets(6)

4.44

%

(1)The Fund commenced operations on June 12, 2023. The information presented is from June 12, 2023 to July 31, 2023.

(2)Calculated using average shares outstanding method.

(3)Not annualized.

(4)The total return is based on the Fund’s net asset value.

(5)Excludes the impact of in-kind transactions.

(6)Annualized.

Residential REIT ETF

10

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

FINANCIAL HIGHLIGHTS For a capital share outstanding throughout the period

 

Period Ended
July 31, 2023 (Unaudited)

 

Period Ended
January 31, 2023
(1) 

 

Net asset value, beginning of period

$16.55

$20.00

 

Income from Investment Operations:

Net investment income (loss)(2)

0.25

0.25

Net realized and unrealized gain (loss) on investments

(0.25

)

(3.36

)

Total from investment operations

0.00

(3.11

)

 

Less Distributions:

From net investment income

(0.25

)

(0.24

)

From long-term capital gains

(0.10

)

Total distributions

(0.25

)

(0.34

)

 

Net asset value, end of period

$16.30

$16.55

Total return(3)(4)

0.00

%

(15.56

)%

 

Ratios / Supplemental Data:

Net assets, end of period (millions)

$4.6

$4.1

Portfolio turnover rate(3)(5)

19

%

15

%

Ratio of expenses to average net assets(6)

0.60

%

0.60

%

Ratio of net investment income (loss) to average net assets(6)

3.24

%

1.59

%

(1)The Fund commenced operations on February 28, 2022. The information presented is from February 28, 2022 to January 31, 2023.

(2)Calculated using average shares outstanding method.

(3)Not annualized.

(4)The total return is based on the Fund’s net asset value.

(5)Excludes the impact of in-kind transactions.

(6)Annualized.

11

Armada ETFs

NOTES TO FINANCIAL STATEMENTS July 31, 2023 (Unaudited)

NOTE 1 – ORGANIZATION

The Private Real Estate Strategy via Liquid REITs ETF and Residential REIT ETF (each, a “Fund,” and collectively, the “Funds”) are non-diversified series of shares of beneficial interest of Tidal ETF Trust (the “Trust”). The Trust was organized as a Delaware statutory trust on June 4, 2018 and is registered with the Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and the offering of each Fund’s shares is registered under the Securities Act of 1933, as amended. The Trust is governed by the Board of Trustees (the “Board”). Toroso Investments, LLC (“Toroso” or the “Adviser”), a Tidal Financial Group company, serves as investment adviser to the Funds and Armada ETF Advisors LLC (“Armada” or the “Sub-Adviser”), serves as sub-adviser to the Funds. Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 “Financial Services—Investment Companies.” The Private Real Estate Strategy via Liquid REITs ETF commenced operations on June 12, 2023 and the Residential REIT ETF commenced operations on February 28, 2022. Prior to May 31, 2023, the Residential REIT ETF was formerly named the Residential REIT Income ETF and prior to October 21, 2022, was named the Home Appreciation U.S. REIT ETF.

The investment objective for each Fund is to seek total return.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”).

A.Security Valuation. Equity securities, which may include Real Estate Investment Trusts (“REITs”), Business Development Companies (“BDCs”), and Master Limited Partnerships (“MLPs”), listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on the NASDAQ Stock Market, LLC (“NASDAQ”)), including securities traded over the counter, are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded on the valuation date (or at approximately 4:00 p.m. EST if a security’s primary exchange is normally open at that time), or, if there is no such reported sale on the valuation date, at the most recent quoted bid price or mean between the most recent quoted bid and ask prices for long and short positions. For a security that trades on multiple exchanges, the primary exchange will generally be considered the exchange on which the security is generally most actively traded. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. Prices of securities traded on the securities exchange will be obtained from recognized independent pricing agents (“Independent Pricing Agents”) each day that the Funds are open for business.

Effective September 8, 2022, for securities for which quotations are not readily available, under Rule 2a-5 of the 1940 Act, a fair value will be determined by the Valuation Designee (as defined in Rule 2a-5) in accordance with the Pricing and Valuation Policy and Fair Value Procedures, as applicable, of the Adviser, subject to oversight by the Board. 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 Adviser’s Pricing and Valuation Policy and Fair Value Procedures, as applicable. Fair value pricing is an inherently subjective process, and no single standard exists for determining fair value. Different funds could reasonably arrive at different values for the same security. The use of fair value pricing by a fund may cause the net asset value (“NAV”) of its shares to differ significantly from the net asset value that would be calculated without regard to such considerations.

As described above, the Funds utilize various methods to measure the fair value of its investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuation 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; representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability and would be based on the best information available.

12

Armada ETFs

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

The following is a summary of the inputs used to value each Fund’s investments as of July 31, 2023:

Private Real Estate Strategy via Liquid REITs ETF

Investments in Securities

Level 1

Level 2

Level 3

Total

Real Estate Investment Trusts(1) 

$2,512,183

$

$

$2,512,183

Short-Term Investments

42,510

42,510

Total Investments in Securities

$2,554,693

$

$

$2,554,693

Residential REIT ETF

Investments in Securities

Level 1

Level 2

Level 3

Total

Real Estate Investment Trusts(1) 

$4,478,667

$

$

$4,478,667

Short-Term Investments

72,242

72,242

Total Investments in Securities

$4,550,909

$

$

$4,550,909

(1)See Schedule of Investments for the industry breakout.

B.Federal Income Taxes. Each Fund has elected to be taxed as a “regulated investment company” and intends to distribute substantially all taxable income to its shareholders and otherwise comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. Therefore, no provision for federal income taxes or excise taxes has been made.

In order to avoid imposition of the excise tax applicable to regulated investment companies, each Fund intends to declare as dividends in each calendar year at least 98.0% of its net investment income (earned during the calendar year) and at least 98.2% of its net realized capital gains (earned during the twelve months ended October 31) plus undistributed amounts, if any, from prior years.

As of July 31, 2023, the Funds did not have any tax positions that did not meet the threshold of being sustained by the applicable tax authority. Generally, tax authorities can examine all the tax returns filed for the last three years. The Funds identify their major tax jurisdiction as U.S. Federal and the Commonwealth of Delaware; however, the Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits on uncertain tax positions as income tax expense in the Statement of Operations.

C.Securities Transactions and Investment Income. Investment securities transactions are accounted for on the trade date. Gains and losses realized on sales of securities are determined on a specific identification basis. Discounts/premiums on debt securities purchased are accreted/amortized over the life of the respective securities using the effective interest method. Dividend income is recorded on the ex-dividend date. Dividends received from REITs generally are comprised of ordinary income, capital gains, and may include return of capital. Debt income is recorded on an accrual basis. Other non-cash dividends are recognized as investment income at the fair value of the property received. Withholding taxes on foreign dividends have been provided for in accordance with the Trust’s understanding of the applicable country’s tax rules and rates.

D.Distributions to Shareholders. Distributions to shareholders from net investment income, if any, for the Funds are declared and paid quarterly. Distributions to shareholders from net realized gains on securities, if any, for the Funds normally are declared and paid on an annual basis. Distributions are recorded on the ex-dividend date.

NOTES TO FINANCIAL STATEMENTS July 31, 2023 (Unaudited) (Continued)

13

Armada ETFs

E.Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amount of revenue and expenses during the reporting period. Actual results could differ from those estimates.

F.Share Valuation. The NAV per share of each Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash or other assets, minus all liabilities by the total number of shares outstanding for the Fund, rounded to the nearest cent. The Funds’ shares will not be priced on the days on which the New York Stock Exchange (“NYSE”) is closed for trading.

G.Guarantees and Indemnifications. In the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

H.Illiquid Securities. Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted a Board-approved Liquidity Risk Management Program (the “Program”) that requires, among other things, that each Fund limit its illiquid investments that are assets to no more than 15% of the value of the Fund’s net assets. An illiquid investment is any security that a Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. If a Fund should be in a position where the value of illiquid investments held by the Fund exceeds 15% of the Fund’s net assets, the Fund will take such steps as set forth in the Program.

I.Recently Issued Accounting Pronouncements.

In June 2022, the FASB issued Accounting Standards Update 2022-03, which amends Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (“ASU 2022-03”). ASU 2022-03 clarifies guidance for fair value measurement of an equity security subject to a contractual sale restriction and establishes new disclosure requirements for such equity securities. ASU 2022-03 is effective for fiscal years beginning after December 15, 2023 and for interim periods within those fiscal years, with early adoption permitted. The Funds are currently evaluating the impact of these amendments on the financial statements.

In October 2022, the Securities and Exchange Commission (the “SEC”) adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee Information in Investment Company Advertisements. The rule and form amendments will, among other things, require funds to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month transition period after the effective date of the amendment.

NOTE 3 – PRINCIPAL INVESTMENTS RISKS

A.Concentration Risk. Each Fund’s investments will be concentrated in the real estate industry. As a result, the value of Shares may rise and fall more than the value of shares that invest in securities of companies in a broader range of industries.

B.Convertible Securities Risk (Residential REIT ETF Only). Convertible securities rank senior to the issuer’s common stock, but may be subordinate to senior debt obligations. In part, the total return for a convertible security may depend upon the performance of the underlying stock into which it can be converted. Convertible securities are also subject to counterparty risk which is the likelihood or probability that one of the parties involved in an agreement, or participating in a transaction, might default on its contractual obligation. Further, there is a risk that no suitable counterparties will be willing to enter into, or continue to enter into, transactions with the Fund which could affect the Fund’s performance.

C.Cybersecurity Risk. With the increased use of technologies such as the Internet to conduct business, the Funds are susceptible to operational, information security, and related risks. Cyber incidents affecting the Funds or their service providers may cause disruptions and impact business operations, potentially resulting in financial losses, interference with each Fund’s ability to calculate its NAV, impediments to trading, the inability of shareholders to transact business, violations of applicable privacy and other laws, regulatory fines, penalties, reputational damage, reimbursement or other compensation costs, or additional compliance costs.

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D.Data Risk (Private Real Estate Strategy via Liquid REITs ETF Only). The Sub-Adviser relies heavily on publicly available data about non-traded REITs and publicly-traded REITs. If data proves to be incorrect or incomplete, any decisions made in reliance thereon may lead to portfolio management decisions for the Fund that would not have been made had the data been correct and complete.

E.Debt Securities Risk. Each Fund invests in debt securities, such as bonds and certain asset-backed securities, that involve certain risks, including:

Call Risk. During periods of falling interest rates, an issuer of a callable bond held by the Funds may “call” or repay the security prior to its stated maturity, and the Funds may have to reinvest the proceeds at lower interest rates, resulting in a decline in the Funds’ income.

Event Risk. Event risk is the risk that corporate issuers may undergo restructurings, such as mergers, leveraged buyouts, takeovers, or similar events financed by increased debt. As a result of the added debt, the credit quality and market value of a company’s bonds and/or other debt securities may decline significantly.

Extension Risk. When interest rates rise, certain obligations will be repaid by the obligor more slowly than anticipated, causing the value of these securities to fall.

F.Derivatives Risk (Residential REIT ETF Only). The Fund’s derivative investments have risks, including the imperfect correlation between the value of such instruments and the underlying assets or index; the loss of principal, including the potential loss of amounts greater than the initial amount invested in the derivative instrument; the possible default of the other party to the transaction; and illiquidity of the derivative investments. If a counterparty becomes bankrupt or otherwise fails to perform its obligations under a derivative contract due to financial difficulties, the Fund may experience significant delays in obtaining any recovery under the derivative contract in a bankruptcy or other reorganization proceeding. The derivatives used by the Fund may give rise to a form of leverage. Leverage magnifies the potential for gain and the risk of loss. Certain of the Fund’s transactions in derivatives could also affect the amount, timing, and character of distributions to shareholders, which may result in the Fund realizing more short-term capital gain and ordinary income subject to tax at ordinary income tax rates than it would if it did not engage in such transactions, which may adversely impact the Fund’s after-tax returns.

Swap Agreements Risk. Swap agreements are entered into primarily with major global financial institutions for a specified period, which may range from one day to more than six months. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of return) earned or realized on particular predetermined reference assets or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in value of a particular dollar amount invested in a basket of securities representing a particular sector or index. Swap agreements are particularly subject to counterparty credit, liquidity, valuation, correlation, and leverage risk. Swap agreements could result in losses if interest rates or credit quality changes are not correctly anticipated by the Fund, if the reference index, security, or investments do not perform as expected, or if the counterparty defaults.

Options Risk. Options enable the Fund to purchase exposure that is significantly greater than the premium paid. Consequently, the value of such options can be volatile, and a small investment in options can have a large impact on the performance of the Fund. The Fund risks losing all or part of the cash paid (premium) for purchasing options. Even a small decline in the value of a reference asset underlying call options or a small increase in the value of a reference asset underlying put options can result in the entire investment in such options being lost. Additionally, the value of the option may be lost if the Sub-Adviser fails to exercise such option at or prior to its expiration.

G.ETF Risk.

Authorized Participants, Market Makers, and Liquidity Providers Concentration Risk. The Funds have a limited number of financial institutions that are authorized to purchase and redeem Shares directly from the Funds (known as “Authorized Participants” or “APs”). In addition, there may be a limited number of market makers and/or liquidity providers in the marketplace. To the extent either of the following events occur, Shares may trade at a material discount to NAV and possibly face delisting: (i) APs exit the business or otherwise become unable to process creation and/or redemption orders and no other APs step forward to perform these services; or (ii) market makers and/or liquidity providers exit the business or significantly reduce their business activities and no other entities step forward to perform their functions.

NOTES TO FINANCIAL STATEMENTS July 31, 2023 (Unaudited) (Continued)

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Cash Redemption Risk. Each Fund’s investment strategy may require it to redeem Shares for cash or to otherwise include cash as part of its redemption proceeds. For example, the Funds may not be able to redeem in-kind certain securities held by the Funds (e.g., derivative instruments and bonds that cannot be broken up beyond certain minimum sizes needed for transfer and settlement). In such a case, the Funds may be required to sell or unwind portfolio investments to obtain the cash needed to distribute redemption proceeds. This may cause a Fund to recognize a capital gain that it might not have recognized if it had made a redemption in-kind. As a result, the Funds may have less cash efficiency and pay out higher annual capital gain distributions to shareholders than if the in-kind redemption process was used.

Costs of Buying or Selling Shares. Due to the costs of buying or selling Shares, including brokerage commissions imposed by brokers and bid-ask spreads, frequent trading of Shares may significantly reduce investment results and an investment in Shares may not be advisable for investors who anticipate regularly making small investments.

Shares May Trade at Prices Other Than NAV. As with all ETFs, Shares may be bought and sold in the secondary market at market prices. Although it is expected that the market price of Shares will approximate a Fund’s NAV, there may be times when the market price of Shares is more than the NAV intra-day (premium) or less than the NAV intra-day (discount) due to supply and demand of Shares or during periods of market volatility. This risk is heightened in times of market volatility, periods of steep market declines, and periods when there is limited trading activity for Shares in the secondary market, in which case such premiums or discounts may be significant.

Trading. Although Shares are listed on a national securities exchange, such as Cboe BZX Exchange, Inc. or The Nasdaq Stock Market, LLC (each, an “Exchange”), and may be traded on U.S. exchanges other than the Exchange, there can be no assurance that Shares will trade with any volume, or at all, on any stock exchange. In stressed market conditions, the liquidity of Shares may begin to mirror the liquidity of the Funds’ underlying portfolio holdings, which can be significantly less liquid than Shares.

H.Equity Market Risk. Common stocks are generally exposed to greater risk than other types of securities, such as preferred stock and debt obligations, because common stockholders generally have inferior rights to receive payment from specific issuers. The equity securities held in the Funds’ portfolios may experience sudden, unpredictable drops in value or long periods of decline in value. This may occur because of factors that affect securities markets generally or factors affecting specific issuers, industries, or sectors in which the Funds invest.

I.Foreign Securities Risk (Residential REIT ETF Only). Investments in securities or other instruments of non-U.S. issuers involve certain risks not involved in domestic investments and may experience more rapid and extreme changes in value than investments in securities of U.S. companies. Financial markets in foreign countries often are not as developed, efficient, or liquid as financial markets in the United States, and therefore, the prices of non-U.S. securities and instruments can be more volatile. In addition, the Fund will be subject to risks associated with adverse political and economic developments in foreign countries, which may include the imposition of economic sanctions. Generally, there is less readily available and reliable information about non-U.S. issuers due to less rigorous disclosure or accounting standards and regulatory practices.

J.General Market Risk. Economies and financial markets throughout the world are becoming increasingly interconnected, which increases the likelihood that events or conditions in one country or region will adversely impact markets or issuers in other countries or regions. Securities in the Funds’ portfolios may underperform in comparison to securities in the general financial markets, a particular financial market, or other asset classes, due to a number of factors, including inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters or events, pandemic diseases, terrorism, regulatory events, and government controls.

K.Management Risk. The Funds are actively-managed and may not meet their investment objectives based on the Sub-Adviser’s (defined below) success or failure to implement investment strategies for the Funds. In addition, for the Private Real Estate Strategy via Liquid REITs ETF, the Sub-Adviser’s strategy is based on its analysis of both non-traded REITs and publicly-traded REITs. A number of factors, such as the location and quality of actual real estate included in a REIT, as well as tenancy rates and leverage, can have a significant impact on a REIT’s performance and cause the performance of REITs with similar asset allocations to vary widely performance-wise. Further, REITs are sensitive to socio-economic trends, such as work-from home, demographic shifts, and interest rate changes. The Sub-Adviser analyzes such factors for the Fund’s investment strategy. However, the Sub-Adviser’s analysis concerning particular REITs may prove to be inaccurate, which could cause the Fund’s portfolio to behave differently than anticipated.

NOTES TO FINANCIAL STATEMENTS July 31, 2023 (Unaudited) (Continued)

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L.New Adviser Risk. The Sub-Adviser has been a registered investment adviser since January 2022 and had not previously served as an adviser or sub-adviser to an investment company. As a result, there is no long-term track record against which an investor may judge the Sub-Adviser and it is possible that the Sub-Adviser may not achieve the Fund’s intended investment objective.

M.Newer Fund Risk. The Funds are recently organized management investment companies with limited operating histories. As a result, prospective investors have a limited track record or history on which to base their investment decisions. There can be no assurance that either Fund will grow to or maintain an economically viable size.

N.Non-Diversification Risk. Because the Funds are “non-diversified,” they may invest a greater percentage of their assets in the securities of a single issuer or a smaller number of issuers than if they were diversified funds. As a result, a decline in the value of an investment in a single issuer or a smaller number of issuers could cause the Funds’ overall values to decline to a greater degree than if the Funds held more diversified portfolios.

O.Other Investment Companies Risk (Residential REIT ETF Only). The Fund will incur higher and duplicative expenses when it invests in ETFs and other investment companies. By investing in another investment company, the Fund becomes a shareholder of that investment company and bears its proportionate share of the fees and expenses of the other investment company. There is also the risk that the Fund may suffer losses due to the investment practices of the underlying funds as the Fund will be subject to substantially the same risks as those associated with the direct ownership of securities held by such investment companies. ETFs may be less liquid than other investments, and thus their share values more volatile than the values of the investments they hold. Investments in ETFs are also subject to the “ETF Risks” described above.

P.Real Estate Securities Risk (Residential REIT ETF Only). Adverse economic, business or political developments affecting real estate could have a major effect on the value of the Fund’s investments in Residential REITs and Real Estate-Related Securities. Investing in Residential REITs and Real Estate-Related Securities may subject the Fund to risks associated with the direct ownership of real estate. Changes in interest rates may also affect the value of the Fund’s investment in Residential REITs and Real Estate-Related Securities. Real estate investments are dependent upon specialized management skills, have limited diversification and are, therefore, subject to risks inherent in operating and financing a limited number of projects. Real estate investments are also subject to heavy cash flow dependency and defaults by borrowers.

Q.Real Estate Securities Risk (Private Real Estate Strategy via Liquid REITs ETF Only). Adverse economic, business or political developments affecting real estate could have a major effect on the value of the Fund’s investments in REITs. Investing in REITs may subject the Fund to risks associated with the direct ownership of real estate. Changes in interest rates may also affect the value of the Fund’s investment in certain REITs. Real estate investments are dependent upon specialized management skills, have limited diversification and are, therefore, subject to risks inherent in operating and financing a limited number of projects. Real estate investments are also subject to heavy cash flow dependency and defaults by borrowers.

R.REIT Risk. A REIT is a company that owns or finances income-producing real estate and meets certain requirements under the Internal Revenue Code of 1986, as amended (the “Code”), as more fully described in the Funds’ Statement of Additional Information (“SAI”). Through its investments in REITs, each Fund is subject to the risks of investing in the real estate market, including decreases in property revenues, increases in interest rates, increases in property taxes and operating expenses, legal and regulatory changes, a lack of credit or capital, defaults by borrowers or tenants, environmental problems and natural disasters.

REITs are subject to additional risks, including those related to adverse governmental actions; declines in property value and the real estate market; the potential failure to qualify for tax-free pass through of income; and exemption from registration as an investment company. REITs are dependent upon specialized management skills and may invest in relatively few properties, a small geographic area, or a small number of property types. As a result, investments in REITs may be volatile. To the extent the Funds invest in REITs concentrated in specific geographic areas or property types, the Funds may be subject to a greater loss as a result of adverse developments affecting such area or property types. REITs are pooled investment vehicles with their own fees and expenses and the Funds will indirectly bear a proportionate share of those fees and expenses.

S.Residential Mortgage-Backed Securities (“RMBS”) Risk. RMBS are subject to the risks generally associated with fixed-income securities and mortgage-backed securities. Delinquencies and defaults by borrowers in payments on the underlying mortgages, and the related losses, are affected by general economic conditions, the borrower’s equity in the mortgaged property and the borrower’s financial circumstances. The risks associated with RMBS are greater for those in the Alt-A and subprime first lien

NOTES TO FINANCIAL STATEMENTS July 31, 2023 (Unaudited) (Continued)

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mortgage sectors than those in the prime first lien mortgage sectors, but the risks exist for all RMBS. Subprime loans are loans made to borrowers with weakened credit histories or with a lower capacity to make timely payments on their loans. Therefore, RMBS backed by subprime loans may suffer significantly greater declines in value due to defaults or the increased risk of default.

T.Mortgage-Related Securities (“MBS”) Risk (Private Real Estate Strategy via Liquid REITs ETF Only). Mortgage-related securities, including CMBS (defined below) and RMBS, may be particularly sensitive to changes in prevailing interest rates and economic conditions, including delinquencies and defaults. The prices of MBS, depending on their structure and the rate of payments, can be volatile. They are subject to prepayment risk (higher than expected prepayment rates of mortgage obligations due to a fall in market interest rates) and extension risk (lower than expected prepayment rates of mortgage obligations due to a rise in market interest rates). These risks increase the Fund’s overall interest rate risk. Some mortgage-related securities receive government or private support, but there is no assurance that such support will remain in place.

Commercial Mortgage-Backed Securities (“CMBS”) Risk (Private Real Estate Strategy via Liquid REITs ETF Only). CMBS include securities that reflect an interest in, and are secured by, mortgage loans on commercial real property. Many of the risks of investing in CMBS reflect the risks of investing in real estate securing the underlying mortgage loans. These risks reflect the effects of local and other economic conditions on real estate markets, the ability of tenants to make loan payments, and the ability of a property to attract and retain tenants.

NOTE 4 – COMMITMENTS AND OTHER RELATED PARTY TRANSACTIONS

The Adviser serves as investment adviser to the Funds pursuant to an investment advisory agreement between the Adviser and the Trust, on behalf of the Funds (the “Advisory Agreement”), and, pursuant to the Advisory Agreement, provides investment advice to the Funds and oversees the day-to-day operations of the Funds, subject to oversight of the Board. The Adviser provides oversight of the Sub-Adviser and review of the Sub-Adviser’s performance. The Adviser is also responsible for trading portfolio securities for the Funds, including selecting broker-dealers to execute purchase and sale transactions, subject to the supervision of the Board.

Pursuant to the Advisory Agreement, each Fund pays the Adviser a unitary management fee (the “Management Fee”) based on the average daily net assets of each Fund as follows:

Fund

Management Fee

Private Real Estate Strategy via Liquid REITs ETF

0.59%

Residential REIT ETF

0.60%

Out of the Management Fee, the Adviser is obligated to pay or arrange for the payment of substantially all expenses of the Funds, including the cost of transfer agency, custody, fund administration, and all other related services necessary for the Funds to operate. Under the Advisory Agreement, the Adviser has agreed to pay all expenses incurred by each Fund except for interest charges on any borrowings, dividends and other expenses on securities sold short, taxes, brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, accrued deferred tax liability, extraordinary expenses, distribution fees and expenses paid by a Fund under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act (collectively, “Excluded Expenses”) and the Management Fee payable to the Adviser. The Management Fees incurred are paid monthly to the Adviser. Management Fees for the period ended July 31, 2023 are disclosed in the Statement of Operations.

The Sub-Adviser serves as the investment sub-adviser to the Funds, pursuant to a sub-advisory agreement between the Adviser and the Sub-Adviser with respect to the Funds (the “Sub-Advisory Agreement”). Pursuant to the Sub-Advisory Agreement, the Sub-Adviser is responsible for the day-to-day management of each Fund’s portfolio, including determining the securities purchased and sold by a Fund, subject to the supervision of the Adviser and the Board. The Sub-Adviser is paid a fee by the Adviser, which is calculated and paid monthly, at an annual rate of 0.02% of each Fund’s average daily net assets (the “Sub-Advisory Fee”).

The Sub-Adviser has agreed to assume the Adviser’s obligation to pay all expenses incurred by each Fund except for the Sub-Advisory Fee payable to the Sub-Adviser and Excluded Expenses. For assuming the payment obligations for each Fund, the Adviser has agreed to pay the Sub-Adviser the profits, if any, generated by each Fund’s unitary management fees. Expenses incurred by each Fund and paid by the Sub-Adviser include fees charged by Tidal (defined below), which is the Funds’ administrator and an affiliate of the Adviser.

NOTES TO FINANCIAL STATEMENTS July 31, 2023 (Unaudited) (Continued)