| Security Description | Shares | Value | |
| EXCHANGE-TRADED FUNDS—99.9% | |||
|
Syntax Stratified LargeCap ETF(a)
|
93,998 | $5,699,221 | |
|
Syntax Stratified MidCap ETF(a)
|
20,162 | 668,816 | |
|
Syntax Stratified SmallCap ETF(a)
|
8,375 | 334,389 | |
|
TOTAL INVESTMENTS—99.9% (Cost
$7,012,568)
|
6,702,426 | ||
|
OTHER ASSETS IN EXCESS OF LIABILITIES—0.1%
|
3,450 | ||
|
NET ASSETS—100.0%
|
$6,705,876 |
| (a) | Affiliated
investment. The Fund's transactions and earnings are as
follows: |
| Affiliated Investments | Value December 31, 2021 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Net
Change in Unrealized Appreciation (Depreciation) |
Value June 30, 2022 |
Shares
as of June 30, 2022 |
Dividend Income |
Net
Capital Gain Distributions |
|
Syntax Stratified Large Cap ETF
|
$14,471,787 | $0 | $(7,266,688) | $567,034 | $(2,072,912) | $5,699,221 | 93,998 | $— | $— |
|
Syntax Stratified MidCap ETF
|
1,708,961 | 24,165 | (836,500) | (50,872) | (176,938) | 668,816 | 20,162 | — | — |
|
Syntax Stratified SmallCap ETF
|
815,106 | 43,985 | (400,335) | (59,365) | (65,002) | 334,389 | 8,375 | — | — |
| Total | $16,995,854 | $68,150 | $(8,503,523) | $456,797 | $(2,314,852) | $6,702,426 | 122,535 | $— | $— |
| ETF=Exchange Traded Fund |
| ASSET TYPE | PERCENTAGE
OF NET ASSETS |
|
Large Cap ETF
|
85.0% |
|
Mid Cap ETF
|
9.9 |
|
Small Cap ETF
|
5.0 |
|
Other Assets in Excess of Liabilities
|
0.1 |
| Total | 100.0% |
| Security Description | Shares | Value | |
| EXCHANGE-TRADED FUNDS—81.8% | |||
|
Syntax Stratified LargeCap ETF(a)
|
478,711 | $29,024,870 | |
|
Syntax Stratified MidCap ETF(a)
|
102,678 | 3,406,045 | |
|
Syntax Stratified SmallCap ETF(a)
|
42,665 | 1,703,490 | |
|
TOTAL EXCHANGE-TRADED FUNDS (Cost
$37,255,291)
|
$34,134,405 | ||
|
TOTAL PURCHASED OPTIONS—18.2% (Cost
$6,053,716)
|
$7,583,094 | ||
|
TOTAL INVESTMENTS—100.0% (Cost
$43,309,007)
|
41,717,499 | ||
|
OTHER ASSETS IN EXCESS OF LIABILITIES—0.0%
|
7,947 | ||
|
NET ASSETS—100.0%
|
$41,725,446 |
| (a) | Affiliated
investment. The Fund's transactions and earnings are as
follows: |
| Affiliated Investments | Value December 31, 2021 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Net
Change in Unrealized Appreciation (Depreciation) |
Value June 30, 2022 |
Shares
as of June 30, 2022 |
Dividend Income |
Net
Capital Gain Distributions |
|
Syntax Stratified LargeCap ETF
|
$34,369,826 | $3,299,229 | $(3,391,389) | $110,047 | $(5,362,843) | $29,024,870 | 478,711 | $— | $— |
|
Syntax Stratified MidCap ETF
|
4,058,767 | 471,710 | (347,848) | (17,596) | (758,988) | 3,406,045 | 102,678 | — | — |
|
Syntax Stratified SmallCap ETF
|
1,935,669 | 364,766 | (167,817) | (35,887) | (393,241) | 1,703,490 | 42,665 | — | — |
| Total | $40,364,262 | $4,135,705 | $(3,907,054) | $56,564 | $(6,515,072) | $34,134,405 | 624,054 | $— | $— |
| ETF=Exchange Traded Fund |
| Purchased Call Options — 0.5% |
| Exchange-Traded Options — 0.5% |
| Description | Number
of Contracts |
Notional Amount |
Cost | Exercise Price |
Expiration Date |
Value |
|
SPDR S&P 500 ETF Trust
|
438 | $16,523,550 | $1,084,990 | $515 | 12/15/23 | $197,538 |
| Total | $197,538 |
| Purchased Put Options — 17.7% |
| Exchange-Traded Options — 17.7% |
| Description | Number
of Contracts |
Notional Amount |
Cost | Exercise Price |
Expiration Date |
Value |
|
SPDR S&P 500 ETF Trust
|
876 | $33,047,100 | $4,968,726 | $455 | 12/15/23 | $7,385,556 |
| Total | $7,385,556 | |||||
| Total Purchased Options — 18.2% | $7,583,094 | |||||
| Written Call Options — (0.2)% |
| Exchange-Traded Options — (0.2)% |
| Description | Number
of Contracts |
Notional Amount |
Proceeds Received |
Exercise Price |
Expiration Date |
Value |
|
SPDR S&P 500 ETF Trust
|
438 | $16,523,550 | $(401,337) | $575 | 12/15/23 | $(77,964) |
| Total | $(77,964) |
| ASSET TYPE | PERCENTAGE
OF NET ASSETS |
|
Large Cap ETF
|
69.5% |
|
Mid Cap ETF
|
8.2 |
|
Small Cap ETF
|
4.1 |
|
Purchased Options
|
18.2 |
|
Written Options
|
(0.2) |
|
Other Assets in Excess of Liabilities
|
0.2 |
| Total | 100.0% |
| Security Description | Shares | Value | |
| EXCHANGE-TRADED FUNDS—99.9% | |||
|
Syntax Stratified LargeCap ETF(a)
|
210,654 | $12,772,226 | |
|
Syntax Stratified MidCap ETF(a)
|
45,542 | 1,510,724 | |
|
Syntax Stratified SmallCap ETF(a)
|
18,909 | 754,981 | |
|
TOTAL INVESTMENTS—99.9% (Cost
$14,921,901)
|
15,037,931 | ||
|
OTHER ASSETS IN EXCESS OF LIABILITIES—0.1%
|
15,968 | ||
|
NET ASSETS—100.0%
|
$15,053,899 |
| (a) | Affiliated
investment. The Fund's transactions and earnings are as
follows: |
| Affiliated Investments | Value June 14, 2022* |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Net
Change in Unrealized Appreciation (Depreciation) |
Value June 30, 2022 |
Shares
as of June 30, 2022 |
Dividend Income |
Net
Capital Gain Distributions |
|
Syntax Stratified Large Cap ETF
|
$— | $12,680,036 | $— | $— | $92,190 | $12,772,226 | 210,654 | $— | $— |
|
Syntax Stratified MidCap ETF
|
— | 1,494,994 | — | — | 15,730 | 1,510,724 | 45,542 | — | — |
|
Syntax Stratified SmallCap ETF
|
— | 746,871 | — | — | 8,110 | 754,981 | 18,909 | — | — |
| Total | $— | $14,921,901 | $— | $— | $116,030 | $15,037,931 | 275,105 | $— | $— |
| * | Commencement of operations. |
| ETF=Exchange Traded Fund |
| ASSET TYPE | PERCENTAGE
OF NET ASSETS |
|
Large Cap ETF
|
84.9% |
|
Mid Cap ETF
|
10.0 |
|
Small Cap ETF
|
5.0 |
|
Other Assets in Excess of Liabilities
|
0.1 |
| Total | 100.0% |
| Syntax
Stratified LargeCap ETF |
Syntax
Stratified MidCap ETF |
Syntax
Stratified SmallCap ETF | |||
| ASSETS | |||||
|
Investments in securities of unaffiliated
issuers
|
$93,965,922 | $9,133,580 | $16,991,776 | ||
|
Total Investments
|
93,965,922 | 9,133,580 | 16,991,776 | ||
|
Cash
|
144,409 | — | 3,934 | ||
|
Receivable for fund share sold
|
1,519,604 | — | — | ||
|
Receivable from investments sold
|
29,443 | 31,057 | 21,385 | ||
|
Dividends receivable
|
95,548 | 5,765 | 10,804 | ||
|
Total Assets
|
95,754,926 | 9,170,402 | 17,027,899 | ||
| LIABILITIES | |||||
|
Due to Custodian
|
— | 21,783 | — | ||
|
Payable for investments purchased
|
1,516,445 | — | — | ||
|
Accrued Management fee
|
22,644 | 2,546 | 5,800 | ||
|
Accrued Other fees
|
369 | 36 | 71 | ||
|
Total Liabilities
|
1,539,458 | 24,365 | 5,871 | ||
|
NET ASSETS
|
$94,215,468 | $9,146,037 | $17,022,028 | ||
| NET ASSETS CONSISTS OF: | |||||
|
Paid in Capital
|
$90,374,736 | $9,608,474 | $17,180,095 | ||
|
Distributable earnings (loss)
|
3,840,732 | (462,437) | (158,067) | ||
|
NET ASSETS
|
$94,215,468 | $9,146,037 | $17,022,028 | ||
|
NET ASSET VALUE PER SHARE
|
$60.78 | $33.26 | $40.05 | ||
|
SHARES OUTSTANDING (unlimited number of shares
authorized, no par value)
|
1,550,000 | 275,000 | 425,000 | ||
|
COST OF INVESTMENTS
|
$97,778,227 | $9,416,528 | $17,234,598 |
| Syntax
Stratified U.S. Total Market ETF |
Syntax
Stratified U.S. Total Market Hedged ETF |
Syntax
Stratified Total Market II ETF | |||
| ASSETS | |||||
|
Investments in securities of unaffiliated
issuers
|
$— | $7,583,094 | $— | ||
|
Investments in securities of affiliated
issuers
|
6,702,426 | 34,134,405 | 15,037,931 | ||
|
Total Investments
|
6,702,426 | 41,717,499 | 15,037,931 | ||
|
Cash
|
3,679 | 89,274 | 14,406 | ||
|
Cash at broker
|
— | 10,196 | — | ||
|
Receivable for fund share sold
|
— | — | 1,881,737 | ||
|
Dividends receivable
|
— | 86 | 2,367 | ||
|
Tax reclaims receivable
|
— | — | 211 | ||
|
Total Assets
|
6,706,105 | 41,817,055 | 16,936,652 | ||
| LIABILITIES | |||||
|
Payable for investments purchased
|
— | — | 1,881,723 | ||
|
Written options, at value
|
— | 77,964 | — | ||
|
Accrued Management fee
|
199 | 13,474 | 1,004 | ||
|
Accrued Other fees
|
30 | 171 | 26 | ||
|
Total Liabilities
|
229 | 91,609 | 1,882,753 | ||
|
NET ASSETS
|
$6,705,876 | $41,725,446 | $15,053,899 | ||
| NET ASSETS CONSISTS OF: | |||||
|
Paid in Capital
|
$6,550,528 | $43,756,223 | $14,835,013 | ||
|
Distributable earnings (loss)
|
155,348 | (2,030,777) | 218,886 | ||
|
NET ASSETS
|
$6,705,876 | $41,725,446 | $15,053,899 | ||
|
NET ASSET VALUE PER SHARE
|
$38.32 | $37.93 | $37.63 | ||
|
SHARES OUTSTANDING (unlimited number of shares
authorized, no par value)
|
175,000 | 1,100,000 | 400,000 | ||
|
Investments in securities of unaffiliated
issuers
|
$— | $6,053,716 | $— | ||
|
Investments in securities of affiliated
issuers
|
7,012,568 | 37,255,291 | 14,921,901 | ||
|
TOTAL COST OF INVESTMENTS
|
$7,012,568 | $43,309,007 | $14,921,901 | ||
|
WRITTEN OPTIONS PREMIUM
|
$— | $401,337 | $— |
| Syntax
Stratified LargeCap ETF |
Syntax
Stratified MidCap ETF |
Syntax
Stratified SmallCap ETF | |||
| Six
Months Ended 6/30/22 (Unaudited) |
Six
Months Ended 6/30/22 (Unaudited) |
Six
Months Ended 6/30/22 (Unaudited) | |||
| INVESTMENT INCOME | |||||
|
Dividend income (net of foreign taxes withheld of
$335, $0 and $103, respectively)
|
$944,529 | $62,603 | $126,595 | ||
|
Total Investment Income
|
944,529 | 62,603 | 126,595 | ||
| EXPENSES | |||||
|
Management fee
|
220,172 | 20,821 | 42,950 | ||
|
Other fees
|
2,397 | 227 | 468 | ||
|
Miscellaneous Expenses
|
59 | — | — | ||
|
Total Expenses
|
222,628 | 21,048 | 43,418 | ||
|
Expense Waiver/Reimbursement
|
(73,391) | (4,627) | (4,772) | ||
|
Net Expenses
|
149,237 | 16,421 | 38,646 | ||
|
NET INVESTMENT INCOME (LOSS)
|
795,292 | 46,182 | 87,949 | ||
| REALIZED AND UNREALIZED GAIN (LOSS) | |||||
|
Net realized gain (loss) from transactions in
investment securities
|
(208,705) | (125,102) | (454,096) | ||
|
Net realized gain (loss) from in-kind redemptions
of investment securities
|
8,214,300 | — | 499,783 | ||
|
Net realized gain (loss)
|
8,005,595 | (125,102) | 45,687 | ||
|
Net change in unrealized
appreciation/depreciation on investments
|
(23,908,062) | (1,777,182) | (4,541,548) | ||
|
NET REALIZED AND UNREALIZED GAIN (LOSS)
|
(15,902,467) | (1,902,284) | (4,495,861) | ||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
|
$(15,107,175) | $(1,856,102) | $(4,407,912) |
| Syntax
Stratified U.S. Total Market ETF |
Syntax
Stratified U.S. Total Market Hedged ETF |
Syntax
Stratified Total Market II ETF | |||
| Six
Months Ended 6/30/22 (Unaudited) |
Six
Months Ended 6/30/22 (Unaudited) |
For
the Period 6/14/22(a) to 6/30/22 (Unaudited) | |||
| INVESTMENT INCOME | |||||
|
Dividend income (net of foreign taxes withheld of
$0, $0 and $300, respectively)
|
$— | $— | $3,442 | ||
|
Total Investment Income
|
— | — | 3,442 | ||
| EXPENSES | |||||
|
Management fee
|
42,158 | 224,625 | 4,128 | ||
|
Other fees
|
275 | 1,101 | 27 | ||
|
Total Expenses
|
42,433 | 225,726 | 4,155 | ||
|
Expense Waiver/Reimbursement
|
(40,320) | (139,821) | (3,124) | ||
|
Net Expenses
|
2,113 | 85,905 | 1,031 | ||
|
NET INVESTMENT INCOME (LOSS)
|
(2,113) | (85,905) | 2,411 | ||
| REALIZED AND UNREALIZED GAIN (LOSS) | |||||
|
Net realized gain (loss) from transactions in
investment securities
|
— | (5,894) | 23,324 | ||
|
Net realized gain (loss) from transactions in
affiliated investment securities
|
349 | (4,999) | — | ||
|
Net realized gain (loss) from in-kind redemptions
of investment securities
|
— | — | 77,121 | ||
|
Net realized gain (loss) from in-kind redemptions
of affiliated investment securities
|
456,448 | 61,563 | — | ||
|
Net realized gain (loss) from transactions in
written options
|
— | 19,920 | — | ||
|
Net realized gain (loss)
|
456,797 | 70,590 | 100,445 | ||
|
Net change in unrealized
appreciation/depreciation on investments
|
— | 2,196,720 | — | ||
|
Net change in unrealized
appreciation/depreciation on affiliated investments
|
(2,314,852) | (6,515,072) | 116,030 | ||
|
Net change in unrealized
appreciation/depreciation on written options
|
— | 451,295 | — | ||
|
Net change in unrealized
appreciation/depreciation
|
(2,314,852) | (3,867,057) | 116,030 | ||
|
NET REALIZED AND UNREALIZED GAIN (LOSS)
|
(1,858,055) | (3,796,467) | 216,475 | ||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
|
$(1,860,168) | $(3,882,372) | $218,886 |
| (a) | Fund commenced operations on June 14, 2022. |
| Syntax Stratified LargeCap ETF |
Syntax Stratified MidCap ETF | ||||||
| Six
Months Ended 6/30/22 (Unaudited) |
Year
Ended 12/31/21 |
Six
Months Ended 6/30/22 (Unaudited) |
Year
Ended 12/31/21 | ||||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
|
Net investment income (loss)
|
$795,292 | $1,123,302 | $46,182 | $62,501 | |||
|
Net realized gain (loss)
|
8,005,595 | 5,533,657 | (125,102) | 487,191 | |||
|
Net change in unrealized
appreciation/depreciation
|
(23,908,062) | 11,995,507 | (1,777,182) | 632,555 | |||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS
|
(15,107,175) | 18,652,466 | (1,856,102) | 1,182,247 | |||
| DISTRIBUTIONS TO SHAREHOLDERS | |||||||
|
Distributions to Shareholders
|
— | (1,189,175) | — | (234,274) | |||
| INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS: | |||||||
|
Proceeds from Shares Sold
|
23,680,984 | 61,152,050 | 821,052 | 6,815,911 | |||
|
Cost of Shares Redeemed
|
(23,166,404) | (11,919,869) | — | (1,003,463) | |||
|
INCREASE (DECREASE) IN NET ASSETS FROM SHARE
TRANSACTIONS:
|
514,580 | 49,232,181 | 821,052 | 5,812,448 | |||
|
Contribution from Sub-Adviser
|
123,526 | — | — | — | |||
|
NET INCREASE (DECREASE) IN NET ASSETS DURING THE
PERIOD
|
(14,469,069) | 66,695,472 | (1,035,050) | 6,760,421 | |||
|
NET ASSETS AT BEGINNING OF PERIOD
|
108,684,537 | 41,989,065 | 10,181,087 | 3,420,666 | |||
|
NET ASSETS AT END OF PERIOD
|
$94,215,468 | $108,684,537 | $9,146,037 | $10,181,087 | |||
| SHARE TRANSACTIONS: | |||||||
|
Shares sold
|
375,000 | 950,000 | 25,000 | 175,000 | |||
|
Shares redeemed
|
(350,000) | (175,000) | — | (25,000) | |||
|
NET INCREASE (DECREASE)
|
25,000 | 775,000 | 25,000 | 150,000 | |||
| Syntax Stratified SmallCap ETF |
Syntax Stratified U.S. Total Market ETF | ||||||
| Six
Months Ended 6/30/22 (Unaudited) |
Year
Ended 12/31/21 |
Six
Months Ended 6/30/22 (Unaudited) |
For
the Period 3/18/21(a) to 12/31/21 | ||||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
|
Net investment income (loss)
|
$87,949 | $185,213 | $(2,113) | $234,037 | |||
|
Net realized gain (loss)
|
45,687 | 3,671,700 | 456,797 | 444,307 | |||
|
Net change in unrealized
appreciation/depreciation
|
(4,541,548) | 422,221 | (2,314,852) | 2,004,710 | |||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS
|
(4,407,912) | 4,279,134 | (1,860,168) | 2,683,054 | |||
| DISTRIBUTIONS TO SHAREHOLDERS | |||||||
|
Distributions to Shareholders
|
— | (1,521,147) | — | (246,920) | |||
| INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS: | |||||||
|
Proceeds from Shares Sold
|
1,186,976 | 7,862,252 | — | 21,000,000 | |||
|
Cost of Shares Redeemed
|
(1,193,073) | (6,436,337) | (8,466,384) | (6,403,706) | |||
|
INCREASE (DECREASE) IN NET ASSETS FROM SHARE
TRANSACTIONS:
|
(6,097) | 1,425,915 | (8,466,384) | 14,596,294 | |||
|
Contribution from Sub-Adviser
|
26,029 | — | — | — | |||
|
NET INCREASE (DECREASE) IN NET ASSETS DURING THE
PERIOD
|
(4,387,980) | 4,183,902 | (10,326,552) | 17,032,428 | |||
|
NET ASSETS AT BEGINNING OF PERIOD
|
21,410,008 | 17,226,106 | 17,032,428 | — | |||
|
NET ASSETS AT END OF PERIOD
|
$17,022,028 | $21,410,008 | $6,705,876 | $17,032,428 | |||
| SHARE TRANSACTIONS: | |||||||
|
Shares sold
|
25,000 | 150,000 | — | 525,000 | |||
|
Shares redeemed
|
(25,000) | (125,000) | (200,000) | (150,000) | |||
|
NET INCREASE (DECREASE)
|
— | 25,000 | (200,000) | 375,000 | |||
| (a) | Fund commenced operations on March 18, 2021. |
| Syntax Stratified U.S. Total Market Hedged ETF |
Syntax
Stratified Total Market II ETF | ||||
| Six
Months Ended 6/30/22 (Unaudited) |
For
the Period 6/15/21(a) to 12/31/21 |
For
the Period 6/14/22(b) to 6/30/22 (Unaudited) | |||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||
|
Net investment income (loss)
|
$(85,905) | $484,577 | $2,411 | ||
|
Net realized gain (loss)
|
70,590 | (2,029,580) | 100,445 | ||
|
Net change in unrealized
appreciation/depreciation
|
(3,867,057) | 2,598,922 | 116,030 | ||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS
|
(3,882,372) | 1,053,919 | 218,886 | ||
| DISTRIBUTIONS TO SHAREHOLDERS | |||||
|
Distributions to Shareholders
|
— | (484,945) | — | ||
| INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS: | |||||
|
Proceeds from Shares Sold
|
4,048,280 | 88,308,024 | 18,582,641 | ||
|
Cost of Shares Redeemed
|
(3,967,526) | (43,349,934) | (3,747,628) | ||
|
INCREASE (DECREASE) IN NET ASSETS FROM SHARE
TRANSACTIONS:
|
80,754 | 44,958,090 | 14,835,013 | ||
|
NET INCREASE (DECREASE) IN NET ASSETS DURING THE
PERIOD
|
(3,801,618) | 45,527,064 | 15,053,899 | ||
|
NET ASSETS AT BEGINNING OF PERIOD
|
45,527,064 | — | — | ||
|
NET ASSETS AT END OF PERIOD
|
$41,725,446 | $45,527,064 | $15,053,899 | ||
| SHARE TRANSACTIONS: | |||||
|
Shares sold
|
100,000 | 2,200,000 | 500,000 | ||
|
Shares redeemed
|
(100,000) | (1,100,000) | (100,000) | ||
|
NET INCREASE
|
— | 1,100,000 | 400,000 | ||
| (a) | Fund commenced operations on June 15, 2021. |
| (b) | Fund commenced operations on June 14, 2022. |
| Syntax Stratified LargeCap ETF | |||||||
| Six
Months Ended 6/30/22 (Unaudited) |
Year
Ended 12/31/21 |
Year
Ended 12/31/20 |
For
the Period 1/2/19(a) to 12/31/19 | ||||
|
Net asset value, beginning of period
|
$71.27 | $55.99 | $50.73 | $40.00 | |||
| Income (loss) from investment operations: | |||||||
|
Net investment income (loss)(b)
|
0.54 | 0.92 | 0.88 | 0.84 | |||
|
Net realized and unrealized gain (loss)
|
(11.11) | 15.14 | 5.29 | 10.68 | |||
|
Total from investment operations
|
(10.57) | 16.06 | 6.17 | 11.52 | |||
|
Contribution from Sub-Adviser
|
0.08 | — | — | — | |||
| Less Distributions from: | |||||||
|
Net investment income
|
— | (0.78) | (0.82) | (0.79) | |||
|
Net realized gains
|
— | — | (0.09) | — | |||
|
Net asset value, end of period
|
$60.78 | $71.27 | $55.99 | $50.73 | |||
|
Total return(c)
|
(14.71)%(d),(e) | 28.76% | 12.18% | 28.81%(e) | |||
| Ratios and Supplemental Data: | |||||||
|
Net assets, end of period (000s)
|
$94,215 | $108,685 | $41,989 | $62,149 | |||
| Ratios to average net assets: | |||||||
|
Total expenses
|
0.45%(f) | 0.45% | 0.45% | 0.80%(f) | |||
|
Net expenses(g)
|
0.30%(f) | 0.30% | 0.30% | 0.30%(f) | |||
|
Net investment income (loss)(g)
|
1.63%(f) | 1.39% | 1.83% | 1.80%(f) | |||
|
Portfolio turnover rate(h)
|
18%(e) | 25% | 36% | 34%(e) | |||
| (a) | Fund commenced operations on January 2, 2019. |
| (b) | Per Share numbers have been calculated using the average shares method. |
| (c) | Total return is calculated assuming a purchase of Shares at net asset value per Share on the first day and a sale at net asset value per Share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in this calculation. Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. |
| (d) | If the Sub-Adviser had not made a contribution during the period ended June 30, 2022, the total return would have been (14.82)%. |
| (e) | Not annualized. |
| (f) | Annualized. |
| (g) | Net of expenses waived/reimbursed by the Advisor. |
| (h) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions of Shares. |
| Syntax Stratified MidCap ETF | |||||
| Six
Months Ended 6/30/22 (Unaudited) |
Year
Ended 12/31/21 |
For
the Period 1/16/20(a) to 12/31/20 | |||
|
Net asset value, beginning of period
|
$40.72 | $34.21 | $30.00 | ||
| Income (loss) from investment operations: | |||||
|
Net investment income (loss)(b)
|
0.18 | 0.31 | 0.29 | ||
|
Net realized and unrealized gain (loss)
|
(7.64) | 7.14 | 4.22 | ||
|
Total from investment operations
|
(7.46) | 7.45 | 4.51 | ||
| Less Distributions from: | |||||
|
Net investment income
|
— | (0.28) | (0.30) | ||
|
Net realized gains
|
— | (0.66) | — | ||
|
Net asset value, end of period
|
$33.26 | $40.72 | $34.21 | ||
|
Total return(c)
|
(18.33)%(d) | 21.95% | 15.04%(d) | ||
| Ratios and Supplemental Data: | |||||
|
Net assets, end of period (000s)
|
$9,146 | $10,181 | $3,421 | ||
| Ratios to average net assets: | |||||
|
Total expenses
|
0.45%(e) | 0.45% | 0.45%(e) | ||
|
Net expenses(f)
|
0.35%(e) | 0.34% | 0.30%(e) | ||
|
Net investment income (loss)(f)
|
1.00%(e) | 0.77% | 1.10%(e) | ||
|
Portfolio turnover rate(g)
|
22%(d) | 50% | 52%(d) | ||
| (a) | Fund commenced operations on January 16, 2020. |
| (b) | Per Share numbers have been calculated using the average shares method. |
| (c) | Total return is calculated assuming a purchase of Shares at net asset value per Share on the first day and a sale at net asset value per Share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in this calculation. Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. |
| (d) | Not annualized. |
| (e) | Annualized. |
| (f) | Net of expenses waived/reimbursed by the Advisor. |
| (g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions of Shares. |
| Syntax Stratified SmallCap ETF | |||||
| Six
Months Ended 6/30/22 (Unaudited) |
Year
Ended 12/31/21 |
For
the Period 5/28/20(a) to 12/31/20 | |||
|
Net asset value, beginning of period
|
$50.38 | $43.07 | $30.00 | ||
| Income (loss) from investment operations: | |||||
|
Net investment income (loss)(b)
|
0.21 | 0.45 | 0.20 | ||
|
Net realized and unrealized gain (loss)
|
(10.60) | 10.44 | 13.24 | ||
|
Total from investment operations
|
(10.39) | 10.89 | 13.44 | ||
|
Contribution from Sub-Adviser
|
0.06 | — | — | ||
| Less Distributions from: | |||||
|
Net investment income
|
— | (0.47) | (0.19) | ||
|
Net realized gains
|
— | (3.11) | (0.18) | ||
|
Net asset value, end of period
|
$40.05 | $50.38 | $43.07 | ||
|
Total return(c)
|
(20.50)%(d),(e) | 25.72% | 44.82%(e) | ||
| Ratios and Supplemental Data: | |||||
|
Net assets, end of period (000s)
|
$17,022 | $21,410 | $17,226 | ||
| Ratios to average net assets: | |||||
|
Total expenses
|
0.45%(f) | 0.45% | 0.45%(f) | ||
|
Net expenses(g)
|
0.40%(f) | 0.37% | 0.30%(f) | ||
|
Net investment income (loss)(g)
|
0.92%(f) | 0.87% | 0.93%(f) | ||
|
Portfolio turnover rate(h)
|
27%(e) | 40% | 40%(e) | ||
| (a) | Fund commenced operations on May 28, 2020. |
| (b) | Per Share numbers have been calculated using the average shares method. |
| (c) | Total return is calculated assuming a purchase of Shares at net asset value per Share on the first day and a sale at net asset value per Share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in this calculation. Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. |
| (d) | If the Sub-Adviser had not made a contribution during the period ended June 30, 2022, the total return would have been (20.62)%. |
| (e) | Not annualized. |
| (f) | Annualized. |
| (g) | Net of expenses waived/reimbursed by the Advisor. |
| (h) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions of Shares. |
| Syntax Stratified U.S. Total Market ETF | |||
| Six
Months Ended 6/30/22 (Unaudited) |
For
the Period 3/18/21(a) to 12/31/21 | ||
|
Net asset value, beginning of period
|
$45.42 | $40.00 | |
| Income (loss) from investment operations: | |||
|
Net investment income (loss)(b)
|
(0.01) | 0.56 | |
|
Net realized and unrealized gain (loss)
|
(7.09) | 5.52 | |
|
Total from investment operations
|
(7.10) | 6.08 | |
|
Net investment income
|
— | (0.62) | |
|
Net realized gains
|
— | (0.04) | |
|
Net asset value, end of period
|
$38.32 | $45.42 | |
|
Total return(c)
|
(15.63)%(d) | 15.20%(d) | |
| Ratios and Supplemental Data: | |||
|
Net assets, end of period (000s)
|
$6,706 | $17,032 | |
| Ratios to average net assets: | |||
|
Total expenses
|
0.75%(e) | 0.76%(e) | |
|
Net expenses(f)
|
0.04%(e) | 0.05%(e) | |
|
Net investment income (loss)(f)
|
(0.04)%(e) | 1.64%(e) | |
|
Portfolio turnover rate(g)
|
0%(d),(h) | 2%(d) | |
| (a) | Fund commenced operations on March 18, 2021. |
| (b) | Per Share numbers have been calculated using the average shares method. |
| (c) | Total return is calculated assuming a purchase of Shares at net asset value per Share on the first day and a sale at net asset value per Share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in this calculation. Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. |
| (d) | Not annualized. |
| (e) | Annualized. |
| (f) | Net of expenses waived/reimbursed by the Advisor. |
| (g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions of Shares. |
| (h) | Amount is less than 0.5%. |
| Syntax Stratified U.S. Total Market Hedged ETF | |||
| Six
Months Ended 6/30/22 (Unaudited) |
For
the Period 6/15/21(a) to 12/31/21 | ||
|
Net asset value, beginning of period
|
$41.39 | $40.40 | |
| Income (loss) from investment operations: | |||
|
Net investment income (loss)(b)
|
(0.08) | 0.43 | |
|
Net realized and unrealized gain (loss)
|
(3.38) | 1.00(c) | |
|
Total from investment operations
|
(3.46) | 1.43 | |
|
Net investment income
|
— | (0.44) | |
|
Net asset value, end of period
|
$37.93 | $41.39 | |
|
Total return(d)
|
(8.35)%(e) | 3.54%(e) | |
| Ratios and Supplemental Data: | |||
|
Net assets, end of period (000s)
|
$41,725 | $45,527 | |
| Ratios to average net assets: | |||
|
Total expenses
|
1.00%(f) | 1.00%(f) | |
|
Net expenses(g)
|
0.38%(f) | 0.38%(f) | |
|
Net investment income (loss)(g)
|
(0.38)%(f) | 1.96%(f) | |
|
Portfolio turnover rate(h)
|
2%(e) | 88%(e) | |
| (a) | Fund commenced operations on June 15, 2021. |
| (b) | Per Share numbers have been calculated using the average shares method. |
| (c) | As required by SEC standard per share data calculation methodology, this represents a balancing figure derived from the other amounts in the financial highlights table that captures all other changes affecting net asset value per share. This per share gain or loss amount does not correlate to the aggregate of the net realized and unrealized gain or loss in the Statements of Operations for the year ended December 31, 2021, primarily due to the timing of sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund’s portfolio. |
| (d) | Total return is calculated assuming a purchase of Shares at net asset value per Share on the first day and a sale at net asset value per Share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in this calculation. Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. |
| (e) | Not annualized. |
| (f) | Annualized. |
| (g) | Net of expenses waived/reimbursed by the Advisor. |
| (h) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions of Shares. |
| Syntax
Stratified Total Market II ETF | |
| For
the Period 6/14/22(a) to 6/30/22 (Unaudited) | |
|
Net asset value, beginning of period
|
$37.04 |
| Income (loss) from investment operations: | |
|
Net investment income (loss)(b)
|
0.01 |
|
Net realized and unrealized gain (loss)
|
0.58 |
|
Total from investment operations
|
0.59 |
|
Net asset value, end of period
|
$37.63 |
|
Total return(c)
|
1.60%(d) |
| Ratios and Supplemental Data: | |
|
Net assets, end of period (000s)
|
$15,054 |
| Ratios to average net assets: | |
|
Total expenses
|
0.75%(e) |
|
Net expenses(f)
|
0.19%(e) |
|
Net investment income (loss)(f)
|
0.44%(e) |
|
Portfolio turnover rate(g)
|
8%(d) |
| (a) | Fund commenced operations on June 14, 2022. |
| (b) | Per Share numbers have been calculated using the average shares method. |
| (c) | Total return is calculated assuming a purchase of Shares at net asset value per Share on the first day and a sale at net asset value per Share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in this calculation. Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. |
| (d) | Not annualized. |
| (e) | Annualized. |
| (f) | Net of expenses waived/reimbursed by the Advisor. |
| (g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions of Shares. |
| Fund | Underlying Index | |
|
Syntax Stratified LargeCap ETF
|
Syntax Stratified LargeCap Index | |
|
Syntax Stratified MidCap ETF
|
Syntax Stratified MidCap Index | |
|
Syntax Stratified SmallCap ETF
|
Syntax Stratified SmallCap Index |
| Initial Market Value of Securities acquired by Fund | Cost Basis | Unrealized Gain (Loss) | |||
|
Syntax Stratified LargeCap ETF
|
$33,554,457 | $35,543,619 | (1,989,162) | ||
|
Syntax Stratified MidCap ETF
|
2,785,553 | 2,336,742 | 448,811 | ||
|
Syntax Stratified SmallCap ETF
|
11,391,517 | 10,089,586 | 1,301,931 |
| • | Level 1 — Quoted prices in active markets for identical investments |
| • | Level 2 — Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| • | Level 3 — Significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments) |
| Description | Level 1 | Level 2 | Level 3 | Total |
| Syntax Stratified LargeCap ETF | ||||
| INVESTMENTS: | ||||
|
Common Stock
|
$93,965,922 | $— | $— | $93,965,922 |
| Total | $93,965,922 | $— | $— | $93,965,922 |
| Syntax Stratified MidCap ETF | ||||
| INVESTMENTS: | ||||
|
Common Stock
|
$9,133,580 | $— | $— | $9,133,580 |
| Total | $9,133,580 | $— | $— | $9,133,580 |
| Syntax Stratified SmallCap ETF | ||||
| INVESTMENTS: | ||||
|
Common Stock
|
$16,991,776 | $— | $— | $16,991,776 |
| Total | $16,991,776 | $— | $— | $16,991,776 |
| Syntax Stratified U.S. Total Market ETF | ||||
| INVESTMENTS: | ||||
|
Exchange-Traded Funds
|
$6,702,426 | $— | $— | $6,702,426 |
| Total | $6,702,426 | $— | $— | $6,702,426 |
| Syntax Stratified U.S. Total Market Hedged ETF | ||||
| INVESTMENTS: | ||||
|
Exchange-Traded Funds
|
$34,134,405 | $— | $— | $34,134,405 |
|
Purchased Options
|
$7,583,094 | $— | $— | $7,583,094 |
| Total | $41,717,499 | $— | $— | $41,717,499 |
| OTHER FINANCIAL INSTRUMENTS: | ||||
|
Written Options
|
$(77,964) | $— | $— | $(77,964) |
| Total | $(77,964) | $— | $— | $(77,964) |
| Syntax Stratified Total Market II ETF | ||||
| INVESTMENTS: | ||||
|
Exchange-Traded Funds
|
$15,037,931 | $— | $— | $15,037,931 |
| Total | $15,037,931 | $— | $— | $15,037,931 |
| Tax Cost | Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) | ||||
|
Syntax Stratified LargeCap ETF
|
$97,778,227 | $4,998,734 | (8,811,039) | (3,812,305) | |||
|
Syntax Stratified MidCap ETF
|
9,416,528 | 769,694 | (1,052,642) | (282,948) | |||
|
Syntax Stratified SmallCap ETF
|
17,234,598 | 2,084,594 | (2,327,416) | (242,822) | |||
|
Syntax Stratified U.S. Total Market ETF
|
7,012,568 | — | (310,142) | (310,142) | |||
|
Syntax Stratified U.S. Total Market Hedged
ETF
|
43,309,007 | 2,740,203 | (4,008,338) | (1,268,135) | |||
|
Syntax Stratified Total Market II ETF
|
14,921,901 | 116,030 | — | 116,030 |
| Asset Derivatives | ||||
| Location | Equity Contracts |
Total | ||
| Purchased options: | ||||
| Investments in securities of unaffiliated issuers | $7,583,094 | $7,583,094 | ||
| Total | $7,583,094 | $7,583,094 | ||
| Liability Derivatives | ||||
| Location | Equity Contracts |
Total | ||
| Written options: | ||||
| Written options, at value | $(77,964) | $(77,964) | ||
| Total | $(77,964) | $(77,964) | ||
| Realized Gain (Loss) on Derivative Instruments | ||||
| Location | Equity Contracts |
Total | ||
| Purchased options | $(5,894) | $(5,894) | ||
| Written options | $19,920 | $19,920 | ||
| Total | $14,026 | $14,026 | ||
| Change in Unrealized Appreciation (Depreciation) on Derivative Instruments | ||||
| Location | Equity Contracts |
Total | ||
| Purchased options | $2,196,720 | $2,196,720 | ||
| Written options | $451,295 | $451,295 | ||
| Total | $2,648,015 | $2,648,015 | ||
| Options: | |
| Average value of option contracts purchased | $6,103,001 |
| Average value of option contracts written | (288,489) |
| Purchases | Sales | ||
|
Syntax Stratified LargeCap ETF
|
$18,805,868 | $17,941,624 | |
|
Syntax Stratified MidCap ETF
|
2,162,407 | 2,093,440 | |
|
Syntax Stratified SmallCap ETF
|
5,167,877 | 5,256,913 | |
|
Syntax Stratified U.S. Total Market ETF
|
68,150 | 36,936 | |
|
Syntax Stratified U.S. Total Market Hedged
ETF
|
803,711 | 1,025,207 | |
|
Syntax Stratified Total Market II ETF
|
12,084,681 | 1,249,521 |
| In-kind Contributions | In-kind Redemptions | ||
|
Syntax Stratified LargeCap ETF
|
$23,641,828 | $23,100,897 | |
|
Syntax Stratified MidCap ETF
|
821,040 | — | |
|
Syntax Stratified SmallCap ETF
|
1,186,716 | 973,590 | |
|
Syntax Stratified U.S. Total Market ETF
|
— | 8,466,588 | |
|
Syntax Stratified U.S. Total Market Hedged
ETF
|
3,706,513 | 3,432,738 | |
|
Syntax Stratified Total Market II ETF
|
7,922,326 | 3,935,977 |
| Annual Rate | |
|
Syntax Stratified LargeCap ETF
|
0.45% |
|
Syntax Stratified MidCap ETF
|
0.45% |
|
Syntax Stratified SmallCap ETF
|
0.45% |
|
Syntax Stratified U.S. Total Market ETF
|
0.75% |
|
Syntax Stratified U.S. Total Market Hedged
ETF
|
1.00% |
|
Syntax Stratified Total Market II ETF
|
0.75% |
| Expense Limit | |
|
Syntax Stratified LargeCap ETF
|
0.30% |
|
Syntax Stratified MidCap ETF
|
0.35% |
|
Syntax Stratified SmallCap ETF
|
0.40% |
|
Syntax Stratified U.S. Total Market ETF
|
0.35% |
|
Syntax Stratified U.S. Total Market Hedged
ETF
|
0.65% |
|
Syntax Stratified Total Market II ETF
|
0.35% |
| Expenses Waived and Reimbursed | |
|
Syntax Stratified LargeCap ETF
|
$73,391 |
|
Syntax Stratified MidCap ETF
|
4,627 |
|
Syntax Stratified SmallCap ETF
|
4,772 |
|
Syntax Stratified U.S. Total Market ETF
|
22,484 |
|
Syntax Stratified U.S. Total Market Hedged
ETF
|
78,618 |
|
Syntax Stratified Total Market II ETF
|
2,202 |
| 2022 | 2023 | 2024 | 2025 | ||||
|
Syntax Stratified LargeCap ETF
|
$136,922 | $47,244 | $120,877 | $73,391 | |||
|
Syntax Stratified MidCap ETF
|
— | 3,931 | 9,028 | 4,627 | |||
|
Syntax Stratified SmallCap ETF
|
— | 11,425 | 17,104 | 4,772 | |||
|
Syntax Stratified U.S. Total Market ETF
|
— | — | 58,102 | 22,484 | |||
|
Syntax Stratified U.S. Total Market Hedged
ETF
|
— | — | 86,619 | 78,618 | |||
|
Syntax Stratified Total Market II ETF
|
— | — | — | 2,202 |
| Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
| Annualized Expense Ratio |
Ending
Account Value |
Expenses
Paid During Period |
Ending
Account Value |
Expenses
Paid During Period(a) | |||||
|
Syntax Stratified LargeCap ETF
|
0.30% | $852.90 | $1.38 | $1,023.30 | $1.51 | ||||
| (a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181 for the Fund and the Hypothetical numbers shown, then divided by 365. |
| Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
| Annualized Expense Ratio |
Ending
Account Value |
Expenses
Paid During Period |
Ending
Account Value |
Expenses
Paid During Period(a) | |||||
|
Syntax Stratified MidCap ETF
|
0.35% | $816.70 | $1.58 | $1,023.10 | $1.76 | ||||
| (a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181 for the Fund and the Hypothetical numbers shown, then divided by 365. |
| Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
| Annualized Expense Ratio |
Ending
Account Value |
Expenses
Paid During Period |
Ending
Account Value |
Expenses
Paid During Period(a) | |||||
|
Syntax Stratified SmallCap ETF
|
0.40% | $795.00 | $1.78 | $1,022.80 | $2.01 | ||||
| (a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181 for the Fund and the Hypothetical numbers shown, then divided by 365. |
| Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
| Annualized Expense Ratio |
Ending
Account Value |
Expenses
Paid During Period |
Ending
Account Value |
Expenses
Paid During Period(a) | |||||
|
Syntax Stratified U.S. Total Market ETF
|
0.04% | $843.70 | $0.18 | $1,024.60 | $0.20 | ||||
| (a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181 for the Fund and the Hypothetical numbers shown, then divided by 365. |
| Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
| Annualized Expense Ratio |
Ending
Account Value |
Expenses
Paid During Period |
Ending
Account Value |
Expenses
Paid During Period(a) | |||||
|
Syntax Stratified U.S. Total Market Hedged
ETF
|
0.38% | $916.50 | $1.81 | $1,022.90 | $1.91 | ||||
| (a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181 for the Fund and the Hypothetical numbers shown, then divided by 365. |
| Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
| Annualized Expense Ratio |
Ending
Account Value |
Expenses
Paid During Period |
Ending
Account Value |
Expenses
Paid During Period(a) | |||||
|
Syntax Stratified Total Market II ETF
|
0.19% | $1,016.00 | $0.08 | $1,023.90 | $0.95 | ||||
| (a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 16 and 181 for the Fund and the Hypothetical numbers shown, then divided by 365. |