(a) | The Report to Shareholders is attached herewith. |
ETFis Series Trust I
INFRACAP REIT PREFERRED ETF
VIRTUS INFRACAP U.S. PREFERRED STOCK ETF
VIRTUS LIFESCI BIOTECH CLINICAL TRIALS ETF
VIRTUS LIFESCI BIOTECH PRODUCTS ETF
VIRTUS NEWFLEET MULTI-SECTOR BOND ETF
VIRTUS PRIVATE CREDIT STRATEGY ETF
VIRTUS REAL ASSET INCOME ETF
Virtus WMC International Dividend ETF
INFRACAP MLP ETF
ANNUAL
REPORT
October
31,
2023
Table of Contents
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1
Dear Shareholder:
On behalf of Virtus ETF Advisers LLC (the “Adviser”), I am pleased to present the shareholder report for the ETFis Series Trust I (the “Trust”) for the annual fiscal period ended October 31, 2023.
The Adviser is part of Virtus Investment Partners, a distinctive partnership of boutique investment managers singularly committed to the long-term success of individual and institutional investors.
The report provides financial statements and portfolio information for the following funds within the Trust:
•InfraCap REIT Preferred ETF (PFFR)
•Virtus InfraCap U.S. Preferred Stock ETF (PFFA)
•Virtus LifeSci Biotech Clinical Trials ETF (BBC)
•Virtus LifeSci Biotech Products ETF (BBP)
•Virtus Newfleet Multi-Sector Bond ETF (NFLT)
•Virtus Private Credit Strategy ETF (VPC)
•Virtus Real Asset Income ETF (VRAI)
•Virtus WMC International Dividend ETF (VWID)
•InfraCap MLP ETF (AMZA)
On behalf of the Adviser and our fund Sub-Advisers, thank you for your investment. If you have questions, please contact your financial adviser, or call 1-888-383-0553. For more information about the funds and the other ETFs we offer, we invite you to visit our website, www.virtusetfs.com.
Sincerely,
William Smalley
President
ETFis Series Trust I
This material must be accompanied or preceded by the prospectus.
2
InfraCap REIT Preferred ETF (PFFR)
Management’s Discussion of Operations
Overview
The InfraCap REIT Preferred ETF (the “Fund”) seeks investment results that correspond, before fees and expenses, to the price and yield performance of an index composed of preferred shares listed on U.S. Exchanges and issued by Real Estate Investment Trusts (“REITs”), as represented by the Indxx REIT Preferred Stock Index (the “Index”). Although the Fund generally intends to replicate the component securities of the Index, the Fund may utilize a representative sampling strategy when a replication strategy might be detrimental to shareholders. The Fund may invest in a representative sample of securities included in the Index that collectively has a profile similar to the Index. If the Fund uses a representative sampling strategy, the Fund may or may not own all of the securities that are included in the Index.
Market Update
In the fiscal year ended October 31, 2023, the Fund’s total return based on market price was 8.59%, while the Index returned 8.50% during the same period. During the period, office and real estate usage increased as business activity increased from the prior periods which were impacted by the Covid-19 pandemic. Fixed and equity income investments were subject to volatility as many investors allocated to government issued bonds or money market funds at higher-than-average interest rates. Select segments of the US stock market performed well over the period such as emerging technologies (i.e., Artificial Intelligence stocks such as Nvidia) and large cap technology stocks. Global economies continued to reopen and reduce social distancing measures. The banking crisis in early 2023 caused equities and fixed income securities to sell off as investors reduce margin or risk in their portfolio. We noticed dislocations across preferred instrument types and parity preferred issues of the same issuer. Rates on 10-year and 30-year U.S. Treasury bonds increased, which put pressure on lower yielding income investments. However, near the end of the period, positive employment and economic data supported the viewpoint that the Federal Reserve would potentially pause its rate hike cycle and could cut rates in 2024.
Two of the strongest contributors to the Fund during the period were preferred securities of Hersha Hospitality Trust (“Hersha”) and DigitalBridge Group Inc. (“Digital”). Hersha is a self-advised real estate investment trust in the hospitality sector, which owns and operates luxury and lifestyle hotels in urban gateway and regional resort markets. Hersha’s 24 hotels are located in New York, Washington, DC, Boston, Philadelphia, South Florida, and California. Digital is a global REIT that owns, operates and invests across the full spectrum of digital infrastructure and real estate including cell towers, data centers, fiber, small cells and edge infrastructure. During the period, Hersha D and Digital I were up 44.68% and 19.18%, respectively.
Two of the Fund’s detractors during the period were preferred securities of Hudson Pacific Properties Inc (“Hudson”) and Global Net Lease Inc (“Global”). Hudson is a real estate investment trust with a focus on serving technology and media clients through office buildings, sound stages, and undeveloped rights to commercial property. Global is a publicly-traded real estate investment trust focused on acquiring a global portfolio of commercial properties, with an emphasis on sale-leaseback transactions involving single tenant, mission critical income producing net-leased assets across the United States and Western and Northern Europe. Global’s D, and Hudson C, were down 13.88% and 9.55%, respectively.
Preferred shares are fixed income securities, and prices are influenced by changes in long-term interest rates. During the fiscal year, the yield on the 30-year U.S. Treasury bond continued to rise which we believe is a result of a strong US economy and labor market.
Dividend Payment
In the fiscal year ended October 31, 2023, the Fund made monthly dividend payments in the amount of $0.12 per share. While the Fund plans to continue paying monthly dividends, dividends are not guaranteed. The Fund seeks to maintain relatively stable monthly distributions although the amount of income earned by the Fund varies from period to period. To achieve this objective, the Fund may distribute less than the full amount of income earned during a specific period, preserving income for distribution in future periods. Consequently, the amount of income distributed in any one period may be more or less than the actual amount of income earned in that period.
Outlook
We believe REIT preferred securities continue to offer an attractive way to access current market dislocations. Despite inflation concerns and pressures on select REIT sub-sectors, we believe investors can benefit from market rotations by investing in REIT preferreds. Given uncertainties in commercial REITs, particularly in specific subsegments, some investors may understandably exhibit hesitancy towards common equity investments. Investor hesitancy has spread to the preferred equity units as well, with certain REIT preferreds experiencing selloffs that we believe are not warranted. In our view, this presents an opportunity for investors to allocate to the preferred equity in REITs and take advantage of market dislocations. As interest rates rise from historically low levels, investors may still have difficulty finding higher yielding opportunities. Thus, we believe preferred securities will continue to offer attractive yields and investors can still access REIT preferreds at discounted prices.
3
InfraCap REIT Preferred ETF (continued)
Credit Rating |
|
Issue |
|
Issuer | ||||
A |
|
|
0.00 |
% |
|
|
9.69 |
% |
A- |
|
|
9.79 |
% |
|
|
0.00 |
% |
BBB+ |
|
|
0.00 |
% |
|
|
6.05 |
% |
BBB |
|
|
5.99 |
% |
|
|
9.92 |
% |
BBB- |
|
|
6.84 |
% |
|
|
9.47 |
% |
BB+ |
|
|
3.34 |
% |
|
|
4.74 |
% |
BB |
|
|
8.52 |
% |
|
|
0.00 |
% |
BB- |
|
|
3.96 |
% |
|
|
0.89 |
% |
B+ |
|
|
0.00 |
% |
|
|
0.87 |
% |
B |
|
|
0.00 |
% |
|
|
4.31 |
% |
B- |
|
|
0.00 |
% |
|
|
1.71 |
% |
NR |
|
|
61.55 |
% |
|
|
52.36 |
% |
Credit quality ratings on underlying securities of the Fund are received from S&P, Moody’s, and Fitch and converted to the equivalent S&P major rating category. This breakdown is provided by Infrastructure Capital Advisors, LLC and takes the median rating of the three agencies when all three agencies rate a security, the lower of the two ratings if only two agencies rate a security, and one rating if that is all that is provided. Unrated securities do not necessarily indicate low quality. A credit rating below investment-grade is represented by a rating of BB and below. Ratings and portfolio credit quality may change over time. This discussion includes information based on data and calculations sourced from Bloomberg and index constituents. While we believe that the data is reliable, we have not sought, nor have we received, permission from any third-party to include their information.
The preceding information is the opinion of the investment adviser and sub-adviser. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Statements of fact are from sources considered reliable, but the investment adviser and sub-adviser make no representation or warranty as to their completeness or accuracy. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Performance as of 10/31/2023
|
|
Average Annual Total Return | ||||||||||
|
|
Fund |
|
Fund |
|
Indxx REIT | ||||||
1 Year |
|
|
8.84 |
% |
|
|
8.59 |
% |
|
|
8.50 |
% |
5 Year |
|
|
(0.42 |
)% |
|
|
(0.46 |
)% |
|
|
0.38 |
% |
Since Inception2 |
|
|
0.24 |
% |
|
|
0.21 |
% |
|
|
1.03 |
% |
1The Indxx REIT Preferred Stock Index is a market cap weighted index designed to provide diversified exposure to high yielding liquid preferred securities issued by Real Estate Investment Trusts listed in the U.S. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
2February 7, 2017.
Performance data quoted represents past performance and past performance does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. Returns do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. For the most current month-end performance data please visit www.virtusetfs.com or call toll free (800) 243-4361. Market price returns are based on the mid-point of the highest bid and lowest offer for Fund shares as of the scheduled close of regular trading on the New York Stock Exchange Arca (“NYSE”), ordinarily 4:00 p.m. Eastern time, on each day during which the NYSE is open for trading, and do not represent the returns an investor would receive if shares were traded at other times.
4
InfraCap REIT Preferred ETF (continued)
Preferred Stocks: Preferred stocks may decline in price, fail to pay dividends, or be illiquid.
Real Estate Investments: The Fund may be negatively affected by factors specific to the real estate market, including interest rates, leverage, property, and management.
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
Interest Rate Risk: The value of preferred securities will generally vary inversely with the direction of prevailing interest rates such that, generally, when interest rates rise, the value of preferred securities can be expected to decline.
Non-Diversified: The Fund is non-diversified and may be more susceptible to factors negatively impacting its holdings to the extent that each security represents a larger portion of the Fund’s assets.
Passive Strategy/Index Risk: A passive investment strategy seeking to track the performance of the Underlying Index may result in the fund holding securities regardless of market conditions or their current or projected performance. This could cause the Fund’s returns to be lower than if the Fund employed an active strategy.
Correlation to Index: The performance of the Fund and its index may vary somewhat due to factors such as Fund flows, transaction costs, and timing differences associated with additions to and deletions from its index.
Market Volatility: Securities in the Fund may go up or down in response to the prospects of individual companies and general economic conditions. Price changes may be short or long term.
Exchange Traded Funds: The value of an ETF may be more volatile than the underlying portfolio of securities the ETF is designed to track. The costs of owning the ETF may exceed the cost of investing directly in the underlying securities.
Market Price/NAV: Shares of ETFs often trade at a discount to their net asset value, which may increase investors’ risk of loss. At the time of sale, an investor’s shares may have a market price that is above or below the Fund’s NAV.
No Guarantee: There is no guarantee that the Fund will meet its objective.
Prospectus: For additional information on risks, please see the Fund’s prospectus. The Fund may not be suitable for all investors.
Value of a $10,000 Investment Since Inception at Net Asset Value
The chart above represents historical performance of a hypothetical investment of $10,000 over the life of the Fund, assuming reinvestment of distributions. Past performance does not guarantee future results.
5
Virtus InfraCap U.S. Preferred Stock ETF (PFFA)
Management’s Discussion of Operations
Overview
Virtus InfraCap U.S. Preferred Stock ETF (the “Fund”) seeks to provide current income and, secondarily, capital appreciation through an actively-managed portfolio of high quality U.S. preferred stocks. Callable preferred securities exhibiting a low or negative yield to call are generally excluded from the portfolio. The Fund may utilize options strategies and modest leverage to seek to enhance income and total return.
Market Update
In the twelve months ending October 31, 2023, the Fund’s total return based on market price was 8.96%. The Fund’s benchmark index, the S&P U.S. Preferred Stock Index, returned 1.60% during the same period.
We believed that active managers could seek total return and high current income over the period by considering instances when: (1) floating preferreds trade in-line with their fixed rate preferred parity issues, (2) fixed-to-floating preferreds are converting in the near future at higher coupon rates, and (3) management may be encouraged to call these floating preferreds at par value when interest rates are high.
For the fiscal year ended October 31, 2023, the Federal Reserve aggressively increased interest rates, pressures from inflation remained uncertain. While fixed and equity income investments were subject to volatility as many investors allocated to government issued bonds or money market funds at higher-than-average interest rates. We noticed dislocations across preferred instrument types and parity preferred issues of the same issuer and looked to position the portfolio to benefit from these dislocations. Rates on 10-year and 30-year U.S. Treasury bonds increased, which put pressure on lower yielding income investments. However, near the end of the period, positive employment and economic data supported the viewpoint that the Federal Reserve would potentially pause its rate hike cycle and could cut rates in 2024.
During the period, two of the Fund’s strongest contributors during the period were preferred securities of SCE Trust III, Series H (“SCE H”) and NuStar Energy LP (“NS”). Over the period SCE H continued to benefit from California’s investment in cleaner forms of energy, led by California’s economy-wide electrification goals. NuStar Energy is one of the largest independent liquids terminal and pipeline operators in the United States. NuStar continued to optimize their business expenses and benefited from refined product demand.
SCE H preferred stock benefited as its dividend rate appears that it will likely expand after its scheduled fixed-to-floating conversion in March of 2024. At that point, these preferred shares will also become callable at $25.00 per share. NS redeemed the Series D preferred units (NS PRB) in September 2023, which resulted in Fitch Ratings providing NS an upgraded credit rating by one notch to ‘BB’ and S&P Global upgrading the outlook for NS from ‘stable’ to ‘positive’. During the period, SCE H and NS PRB were up 36.47% and 32.32%, respectively.
Two of the Fund’s weaker contributors during the period were preferred securities of Telephone and Data Systems Inc (“Telephone”) and Global Net Lease, Inc. (“Global”). Telephone is a Fortune 1000 company that provides wireless products and services; cable and wireline broadband, TV and voice services; and hosted and managed services to approximately 6 million customers in the United States. Global is a publicly traded real estate investment trust focused on acquiring a global portfolio of commercial properties, with an emphasis on sale-leaseback transactions involving single tenant, mission critical income producing net-leased assets across the United States, Western and Northern Europe. Telephone’s TDS V, and Global’s GNL A were down, 18.78% and 14.87%, respectively.
The Fund’s portfolio composition emphasizes issuers that own long-lived assets that generate free cash flow. Overweight in REITs, Pipelines and Industrials companies positively contributed to Fund performance during the period. In addition, significant underweighting in financial companies, relative to the Fund’s benchmark, positively contributed to the Fund’s outperformance during the period.
Approximately 51% of the Fund’s total assets were floating or fixed-to-floating rate preferred stocks at fiscal year-end. This compares to about 32.8% for the benchmark index at fiscal year-end. These securities have a fixed rate coupon at issue but become a floating rate security after a specified period of time, typically five or ten years after issuance. This structure provides investors with some protection from a rising interest rate environment while offering a higher current yield than that available on securities with coupon rates that float currently. During the period, this overweighting positively contributed to Fund performance.
6
Virtus InfraCap U.S. Preferred Stock ETF (continued)
Distribution Payments
In the fiscal year ended October 31, 2023, the Fund made distribution payments in the amount of $0.1625 per share in November and December of 2022, while paying monthly distribution payments in 2023 of $0.1650 per share for the remainder the fiscal year.
The Fund’s distribution policy is reviewed on an annual basis with the expectation that the announced distribution rate can be sustained for a period of 12 – 24 months. The Fund’s targeted distribution is expected to be covered by its investment company taxable income (which includes ordinary income and long and short-term capital gains less expenses). For the purpose of calculating income available for distribution, some cash payments from REITs or MLPs treated as Return of Capital for tax or GAAP purposes may be included. Expenses include an 80 basis point advisory fee, leverage costs, and other miscellaneous fees.
The Fund seeks to maintain relatively stable monthly distributions although the amount of income earned by the Fund varies from period-to-period. To achieve this objective, the Fund may distribute less than the full amount of income earned during a specific period to preserve income for distribution in future periods. Consequently, the amount of income distributed in any one period may be more or less than the actual amount of income earned in that period.
The Fund’s current 30-day SEC yield was 11.48% as of fiscal year end. The Fund’s distribution rate as of fiscal year end was 10.50%.
Use of Leverage
The Fund may use leverage as described in its prospectus. The Fund’s use of leverage positively contributed to Fund performance during the period.
The Fund’s cost of borrowing increased during the fiscal year. The Fund entered into Lending Agreements (each, an “Agreement”) with commercial banks (the “Banks”) that allow the Fund to borrow cash from the Banks. Borrowings under the Agreements are collateralized by investments in the Funds. If a Fund defaults with respect to any of its obligations under the Agreement, the Banks may foreclose on assets of the Fund and/or the Fund may be required to repay immediately, in part or in full, the loan balance outstanding under the Agreement, necessitating the sale of securities at potentially inopportune times. Interest is charged at the OBFR (Overnight Bank Funding Rate) plus an additional percentage rate on the amount borrowed. Each Agreement has an on-demand commitment term. As of October 31, 2023, the current cost is daily OBFR plus 1.10%, which resets daily.
Use of Options
As described in the prospectus, the Fund may utilize options strategies to seek to boost the amount of income available to distribute to shareholders. The primary activity is covered call writing, which is focused on a small number of common stocks and ETFs owned by the Fund. However, due to limited use of options during the fiscal year, the option activity did not impact on the Fund’s performance.
Outlook
We believe that there continue to be opportunities for active managers to select preferred stocks that are inefficiently priced. By managing: instrument type (i.e., fixed or fixed-to-floating or floating), security duration, credit considerations at the company or security level, sector allocations, corporate actions, liquidity, and concentrations, we seek to optimize the portfolio over time. We place special emphasis on maximizing the Fund’s yield-to-call and believe that avoiding issues that are callable and trading at prices above the call price will assist in achieving that result. We believe many preferred stock investors, including passive funds, may inadvertently ignore the risk of owning issues with a negative yield-to-call.
We generally focus on adding fixed-to-floating exposure to seek total return and high current income by arbitraging gaps that emerge when: (1) floating preferreds trade in-line with their fixed rate preferred parity issues, (2) fixed-to-floating preferreds are converting in the near future at higher coupon rates, and (3) management is encouraged to call these floating preferreds at par value when interest rates are high.
We expect the market’s uncertainty surrounding the duration and magnitude of rising inflation to be a continued leading theme for the forthcoming fiscal year. We have seen the divergence of performance based on credit ratings as lower-rated, higher-yielding credits have outperformed on correlation to equity markets and higher-rated, lower-yielding credits underperformed on correlation to treasury yields.
7
Virtus InfraCap U.S. Preferred Stock ETF (continued)
We believe that high-yield preferred stocks will continue to trade higher under these market conditions, and we look to opportunistically add new issues to maintain an above-average yield-to-call versus the benchmark.
The preceding information is the opinion of the investment adviser and sub-adviser. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Statements of fact are from sources considered reliable, but the investment adviser and sub-adviser make no representation or warranty as to their completeness or accuracy. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized. This discussion includes information based on data and calculations sourced from Bloomberg and index constituents. While we believe that the data is reliable, we have not sought, nor have we received, permission from any third-party to include their information.
Performance as of 10/31/2023
|
|
Average Annual Total Return | ||||||||||
|
|
Fund |
|
Fund |
|
S&P U.S. | ||||||
1 Year |
|
|
9.15 |
% |
|
|
8.96 |
% |
|
|
1.60 |
% |
5 Year |
|
|
3.80 |
% |
|
|
3.73 |
% |
|
|
1.26 |
% |
Since Inception2 |
|
|
3.66 |
% |
|
|
3.59 |
% |
|
|
1.24 |
% |
1The S&P U.S. Preferred Stock Index measures performance of the U.S. preferred stock market. Preferred stocks pay dividends at a specified rate and receive preference over common stocks in terms of dividend payments and liquidation of assets. The index is calculated on a total return basis with dividend reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
2May 15, 2018.
Performance data quoted represents past performance and past performance does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. Returns do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. For the most current month-end performance data please visit www.virtusetfs.com or call toll free (800) 243-4361. Market price returns are based on the mid-point of the highest bid and lowest offer for Fund shares as of the scheduled close of regular trading on the New York Stock Exchange Arca (“NYSE”), ordinarily 4:00 p.m. Eastern time, on each day during which the NYSE is open for trading, and do not represent the returns an investor would receive if shares were traded at other times.
Preferred Stocks: Preferred stocks may decline in price, fail to pay dividends, or be illiquid.
Derivatives: Investments in derivatives such as futures, options, forwards, and swaps may increase volatility or cause a loss greater than the principal investment.
Leverage: When a fund leverages its portfolio, the value of its shares may be more volatile and all other risks may be compounded.
Non-Diversified: The Fund is non-diversified and may be more susceptible to factors negatively impacting its holdings to the extent that each security represents a larger portion of the Fund’s assets.
Sector Focus: To the extent the Fund has significant exposure to one or more sectors, this may make the Fund particularly susceptible to adverse economic, political or regulatory occurrences and changes affecting companies in those sectors.
Exchange Traded Funds: The value of an ETF may be more volatile than the underlying portfolio of securities the ETF is designed to track. The costs of owning the ETF may exceed the cost of investing directly in the underlying securities.
Market Price/NAV: Shares of ETFs often trade at a discount to their net asset value, which may increase investors’ risk of loss. At the time of sale, an investor’s shares may have a market price that is above or below the Fund’s NAV.
No Guarantee: There is no guarantee that the Fund will meet its objective.
Prospectus: For additional information on risks, please see the Fund’s prospectus. The Fund may not be suitable for all investors.
8
Virtus InfraCap U.S. Preferred Stock ETF (continued)
Value of a $10,000 Investment Since Inception at Net Asset Value
The chart above represents historical performance of a hypothetical investment of $10,000 over the life of the Fund, assuming reinvestment of distributions. Past performance does not guarantee future results.
9
Virtus LifeSci Biotech Clinical Trials ETF (BBC)
The Virtus LifeSci Biotech Clinical Trials ETF (the “Fund”) seeks to track the investment results, before fees and expenses, of the LifeSci Biotechnology Clinical Trials Index (the Index), which is composed of U.S.-listed biotechnology stocks with a lead drug in the clinical trial stage of development.
For the fiscal year ended October 31, 2023, the Fund’s total return based on market price was -30.92%. The Fund’s total return based on net asset value was -31.01%. The Index returned -31.81% during the same period.
A top contributor to the Fund’s performance for the fiscal year was Madrigal Pharmaceuticals, Inc. (“Madrigal”), which engages in the development and commercialization of innovative therapeutic candidates for the treatment of cardiovascular, metabolic, and liver diseases. Madrigal’s lead product, MGL-3196, is used for the treatment of non-alcoholic steatohepatitis and familial hypercholesterolemia.
Prometheus Biosciences was acquired by Merck during the period for $200 per share in cash, which contributed to the stock’s strong performance. The transaction was announced on April 16, 2023 and completed on June 20, 2023. The acquisition gives Merck access to therapeutics and diagnostics for inflammatory bowel diseases.
Another top performer was Structure Therapeutics, Inc. (“Structure”), a clinical stage global biopharmaceutical company. Structure is engaged in developing novel oral therapeutics to treat a wide range of chronic diseases with unmet medical needs.
Positive contributors for the 12-month period also included Immunovant, Inc. and TG Therapeutics, Inc.
A top detractor from Fund performance for the fiscal year was Fate Therapeutics, Inc. which engages in the development of programmed cellular immunotherapies for cancer and immune disorders. The company’s pipeline of products includes therapies to repair and regenerate body tissues with the help of stem cells.
Design Therapeutics, Inc. (“Design”) also underperformed during the period. Design operates as a biotechnology company that develops therapies for serious degenerative disorders. The company was created to design, develop and commercialize a novel class of small molecule therapeutic candidates (GeneTACs) that seek to directly address the underlying basis of genetic disease.
Seres Therapeutics, Inc. (“Seres”) detracted from Fund returns during the fiscal year. The company focuses on developing biological drugs, which are designed to restore health by repairing the function of a dysbiotic microbiome. Seres also conducts research on metabolic diseases.
Other top detractors for the 12 months included Amyris and PMV Pharmaceuticals, Inc. Amyris was sold during the reporting period.
The preceding information is the opinion of the investment adviser. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Statements of fact are from sources considered reliable, but the investment adviser makes no representation or warranty as to their completeness or accuracy. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Performance as of 10/31/2023
|
|
Average Annual Total Return | ||||||||||||||
|
|
Fund |
|
Fund |
|
LifeSci |
|
S&P 500® | ||||||||
1 Year |
|
|
(31.01 |
)% |
|
|
(30.92 |
)% |
|
|
(31.81 |
)% |
|
|
(10.14 |
)% |
5 Years |
|
|
(7.85 |
)% |
|
|
(7.84 |
)% |
|
|
(7.68 |
)% |
|
|
11.01 |
% |
Since Inception3 |
|
|
(3.55 |
)% |
|
|
(3.54 |
)% |
|
|
(3.23 |
)% |
|
|
10.91 |
% |
1 The LifeSci Biotechnology Clinical Trials Index is designed to track the performance of U.S.-listed biotechnology stocks with a lead drug in the clinical trial stage of development, typically a Phase 1, Phase 2 or Phase 3 trial, but prior to receiving marketing approval. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
2 The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
3December 16, 2014.
10
Virtus LifeSci Biotech Clinical Trials ETF (continued)
Performance data quoted represents past performance and past performance does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. Returns do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. For the most current month-end performance data please visit www.virtusetfs.com or call toll free (800) 243-4361. Market price returns are based on the mid-point of the highest bid and lowest offer for Fund shares as of the scheduled close of regular trading on the New York Stock Exchange Arca (“NYSE”), ordinarily 4:00 p.m. Eastern time, on each day during which the NYSE is open for trading, and do not represent the returns an investor would receive if shares were traded at other times.
Biotechnology Industry Risk: The Fund’s assets will be concentrated in investments in the securities of issuers engaged primarily in the biotechnology industry. Companies within the biotechnology industry spend heavily on research and development, which may not necessarily lead to commercially successful products in the near or long term. In order to fund operations, these companies may require financing from the capital markets, which may not always be available on satisfactory terms or at all. The biotechnology industry is also subject to significant governmental regulation, and the need for governmental approvals, including, without limitation, FDA approval. The securities of biotechnology companies, especially those of smaller or newer companies, tend to be more volatile than those of companies with larger capitalizations or markets generally.
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
Correlation to Index: The performance of the Fund and its index may vary somewhat due to factors such as Fund flows, transaction costs, and timing differences associated with additions to and deletions from its index.
Exchange Traded Funds: The value of an ETF may be more volatile than the underlying portfolio of securities the ETF is designed to track. The costs of owning the ETF may exceed the cost of investing directly in the underlying securities.
Market Price/NAV: Shares of ETFs often trade at a discount to their net asset value, which may increase investors’ risk of loss. At the time of sale, an investor’s shares may have a market price that is above or below the Fund’s NAV.
No Guarantee: There is no guarantee that the Fund will meet its objective.
Prospectus: For additional information on risks, please see the Fund’s prospectus. The Fund may not be suitable for all investors.
Value of a $10,000 Investment Since Inception at Net Asset Value
The chart above represents historical performance of a hypothetical investment of $10,000 over the life of the Fund, assuming reinvestment of distributions. Past performance does not guarantee future results.
11
Virtus LifeSci Biotech Products ETF (BBP)
The Virtus LifeSci Biotech Products ETF (the “Fund”) seeks to track the investment results, before fees and expenses, of the LifeSci Biotechnology Products Index (the Index), which is composed of U.S.-listed biotechnology stocks with at least one drug therapy approved by the U.S. Food & Drug Administration (FDA) for marketing.
For the fiscal year ended October 31, 2023, the Fund’s total return based on market price was -0.14%. The Fund’s total return based on net asset value was -0.09%. The Index returned 0.78% for the same period.
Mergers & acquisitions (M&A) were a significant driver of the performance of mid- to large-cap biotechnology stocks during the fiscal year, while higher interest rates weighed on small- to mid-cap companies. A top performer for the Fund was ImmunoGen, Inc. (“ImmunoGen”), which develops anticancer therapeutics using its Targeted Antibody Payload (TAP) technology, and has expertise in monoclonal antibodies and tumor biology. ImmunoGen’s shares rose significantly after releasing top-line data from a Phase 3 confirmatory Mirasol trial of the drug, Elahere, for the treatment of ovarian cancer.
Provention Bio was acquired by Sanofi for $25 per share in a transaction that was announced on March 13, 2023, and completed on April 28, 2023. We believe the acquisition is a strategic fit for Sanofi at the intersection of the company’s growth in immune-mediated diseases and disease-modifying therapies in areas of high unmet need, along with its expertise in diabetes treatments.
Another top performer for the fiscal year was Axsome Therapeutics, Inc., which operates as a biopharmaceutical company and focuses on developing therapies for pain, neurological disorders, and other central nervous system conditions.
Other top contributors to the Fund’s performance included Bridgebio Pharma, Inc. and Reata Pharmaceuticals. Reata Pharmaceuticals was sold during the reporting period.
A detractor from Fund performance for the 12-month period was Enanta Pharmaceuticals, Inc., a biotechnology company that engages in the discovery and development of small molecule drugs for the treatment of viral infections and liver diseases.
The Fund’s position in Nektar Therapeutics was sold in the second quarter of 2023, after the company no longer met the market capitalization requirement to be included in the Index. Nektar is a research-based biopharmaceutical company that engages in discovering and developing medicines in areas of unmet medical need.
Travere Therapeutics, Inc. (“Travere”), a biopharmaceutical company, also detracted from Fund performance during the fiscal year. Travere engages in the identification, development, commercialization, and distribution of therapies to people living with rare diseases. We believe the Travere stock underperformed due to a failed Phase 3 study on kidney scarring as well as disappointing results from a late-stage trial for the company’s Filspari drug.
BioCryst Pharmaceuticals, Inc. and 2seventy bio, Inc. also detracted from performance during the fiscal year.
The preceding information is the opinion of the investment adviser. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Statements of fact are from sources considered reliable, but the investment adviser makes no representation or warranty as to their completeness or accuracy. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Performance as of 10/31/2023
|
|
Average Annual Total Return | ||||||||||||||
|
|
Fund |
|
Fund |
|
LifeSci |
|
S&P 500® | ||||||||
1 Year |
|
|
(0.09 |
)% |
|
|
(0.14 |
)% |
|
|
0.78 |
% |
|
|
10.14 |
% |
5 Years |
|
|
5.14 |
% |
|
|
5.13 |
% |
|
|
6.00 |
% |
|
|
11.01 |
% |
Since Inception3 |
|
|
7.46 |
% |
|
|
7.45 |
% |
|
|
8.31 |
% |
|
|
10.91 |
% |
1 The LifeSci Biotechnology Products Index is designed to track the performance of U.S.-listed biotechnology stocks with at least one drug therapy approved by the FDA for marketing. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
2 The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
3December 16, 2014.
12
Virtus LifeSci Biotech Products ETF (continued)
Performance data quoted represents past performance and past performance does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. Returns do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. For the most current month-end performance data please visit www.virtusetfs.com or call toll free (800) 243-4361. Market price returns are based on the mid-point of the highest bid and lowest offer for Fund shares as of the scheduled close of regular trading on the New York Stock Exchange Arca (“NYSE”), ordinarily 4:00 p.m. Eastern time, on each day during which the NYSE is open for trading, and do not represent the returns an investor would receive if shares were traded at other times.
Biotechnology Industry Risk: The Fund’s assets will be concentrated in investments in the securities of issuers engaged primarily in the biotechnology industry. Companies within the biotechnology industry spend heavily on research and development, which may not necessarily lead to commercially successful products in the near or long term. In order to fund operations, these companies may require financing from the capital markets, which may not always be available on satisfactory terms or at all. The biotechnology industry is also subject to significant governmental regulation, and the need for governmental approvals, including, without limitation, FDA approval. The securities of biotechnology companies, especially those of smaller or newer companies, tend to be more volatile than those of companies with larger capitalizations or markets generally.
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
Correlation to Index: The performance of the Fund and its index may vary somewhat due to factors such as Fund flows, transaction costs, and timing differences associated with additions to and deletions from its index.
Exchange Traded Funds: The value of an ETF may be more volatile than the underlying portfolio of securities the ETF is designed to track. The costs of owning the ETF may exceed the cost of investing directly in the underlying securities.
Market Price/NAV: Shares of ETFs often trade at a discount to their net asset value, which may increase investors’ risk of loss. At the time of sale, an investor’s shares may have a market price that is above or below the Fund’s NAV.
No Guarantee: There is no guarantee that the Fund will meet its objective.
Prospectus: For additional information on risks, please see the Fund’s prospectus. The Fund may not be suitable for all investors.
Value of a $10,000 Investment Since Inception at Net Asset Value
The chart above represents historical performance of a hypothetical investment of $10,000 over the life of the Fund, assuming reinvestment of distributions. Past performance does not guarantee future results.
13
Virtus Newfleet Multi-Sector Bond ETF (NFLT)
The Virtus Newfleet Multi-Sector Bond ETF (the “Fund”) seeks to provide a high level of current income and, secondarily, capital appreciation.
How did the markets perform during the Fund’s fiscal year ended October 31, 2023?
As the end of 2023 approached, economic transitions were proceeding across the globe. China was struggling with a slowing economy amid calls for more stimulus, despite having ended its strict zero-COVID policies earlier in the year. Europe, too, was wrestling with a slowing economy and inflation that remained above official targets. In the meantime, the U.S. economy proved remarkably resilient – unlike other major world economies, it defied expectations of a slowdown, leading to a growing consensus that the Federal Reserve (the Fed) might be able to pull off the often-elusive soft landing. The main risk to this scenario remained the unpredictable cumulative effect of 18 months of monetary tightening on the economy. Because monetary policy works on the economy with a lag, it presents a challenge to central bankers who are trying to return inflation to target without the associated economic pain of higher interest rates.
During the 12 months ended October 31, 2023, the Fed raised its main policy interest rate by 2.25% in its continuing fight to tame inflation. This resulted in significant progress on headline inflation readings as supply chains healed, demand shifted from goods to services, and energy prices rebalanced. Core readings of inflation, however, remained stubbornly above targets at the end of the period. That said, market expectations held that most major global central banks were approaching the end of their interest rate increases. We believe evidence of this could be found in the Fed’s most recent summary of economic projections, which indicated one more rate increase. The Bank of England (BOE) paused its rate hikes during the period, while the European Central Bank (ECB) signaled a pause. However, market expectations of a quick reversal of tighter policy moderated, and the higher-for-longer narrative was taking hold by the end of the fiscal year. The Fed tamped down expectations of rapid rate cuts in 2024 and 2025, and the ECB and BOE remained committed to the inflation fight, which could lead to their rates staying elevated for longer as well. As the fiscal year came to an end, it was clear that there was still work to be done on the inflation front.
Despite the volatility during the fiscal year, financial market performance was resilient, with most risk assets outperforming U.S. Treasuries. The U.S. Treasury yield curve shifted higher during the period and remained inverted as of October 31, 2023. The 2-year Treasury yield increased 0.60%, the 5-year Treasury yield increased by 0.62%, the 10-year Treasury yield increased by 0.88%, and the 30-year Treasury yield moved 0.93% higher.
What factors affected the Fund’s performance during its fiscal year?
For the fiscal year ended October 31, 2023, the Fund’s total return based on market price was 4.70%. The Fund’s total return based on net asset value was 4.56%. For the same period, the Fund’s benchmark, the Bloomberg U.S. Aggregate Bond Index, returned 0.36%.
The Fund outperformed its benchmark for the fiscal year. The Fund’s underweight to U.S. Treasuries contributed to relative performance during the period. Allocation and positioning within corporate high yield had a positive impact on performance for the 12-month period. The allocations to emerging markets high yield and high yield bank loans, as well as issue selection within investment grade corporate bonds, also contributed to relative performance.
The Fund’s duration, or sensitivity to changes in interest rates, and yield curve positioning within U.S. Treasuries detracted from performance. The overweight to asset-backed securities detracted during the period, however selection within the sector was positive. Selection within emerging markets securities and high yield bank loans also had a negative impact on absolute performance during the period.
The preceding information is the opinion of the investment adviser and sub-adviser. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Statements of fact are from sources considered reliable, but the investment adviser makes no representation or warranty as to their completeness or accuracy. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
14
Virtus Newfleet Multi-Sector Bond ETF (continued)
Performance as of 10/31/2023
|
|
Average Annual Total Return | ||||||||||
|
|
Fund |
|
Fund |
|
Bloomberg | ||||||
1 Year |
|
|
4.56 |
% |
|
|
4.70 |
% |
|
|
0.36 |
% |
5 Years |
|
|
1.90 |
% |
|
|
1.96 |
% |
|
|
(0.06 |
)% |
Since Inception2 |
|
|
2.52 |
% |
|
|
2.54 |
% |
|
|
0.43 |
% |
1The Bloomberg U.S. Aggregate Bond Index measures the U.S. investment grade fixed rate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
2August 10, 2015.
Performance data quoted represents past performance and past performance does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. Returns do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. For the most current month-end performance data please visit www.virtusetfs.com or call toll free (800) 243-4361. Market price returns are based on the mid-point of the highest bid and lowest offer for Fund shares as of the scheduled close of regular trading on the New York Stock Exchange Arca (“NYSE”), ordinarily 4:00 p.m. Eastern time, on each day during which the NYSE is open for trading, and do not represent the returns an investor would receive if shares were traded at other times.
Credit & Interest: Debt securities are subject to various risks, the most prominent of which are credit and interest rate risk. The issuer of a debt security may fail to make interest and/or principal payments. Values of debt securities may rise or fall in response to changes in interest rates, and this risk may be enhanced with longer-term maturities.
High Yield-High Risk Fixed Income Securities: There is a greater level of credit risk and price volatility involved with high yield securities than investment grade securities.
Foreign & Emerging Markets: Investing internationally, especially in emerging markets, involves additional risks such as currency, political, accounting, economic, and market risk.
ABS/MBS: Changes in interest rates can cause both extension and prepayment risks for asset- and mortgage-backed securities. These securities are also subject to risks associated with the repayment of underlying collateral.
Bank Loans: Loans may be unsecured or not fully collateralized, may be subject to restrictions on resale and/or trade infrequently on the secondary market. Loans can carry significant credit and call risk, can be difficult to value and have longer settlement times than other investments, which can make loans relatively illiquid at times.
Market Price/NAV: Shares of ETFs often trade at a discount to their net asset value, which may increase investors’ risk of loss. At the time of sale, an investor’s shares may have a market price that is above or below the Fund’s NAV.
No Guarantee: There is no guarantee that the Fund will meet its objective.
Prospectus: For additional information on risks, please see the Fund’s prospectus. The Fund may not be suitable for all investors.
15
Virtus Newfleet Multi-Sector Bond ETF (continued)
Value of a $10,000 Investment Since Inception at Net Asset Value
The chart above represents historical performance of a hypothetical investment of $10,000 over the life of the Fund, assuming reinvestment of distributions. Past performance does not guarantee future results.
16
Virtus Private Credit Strategy ETF (VPC)
The Virtus Private Credit Strategy ETF (the “Fund”) strives to deliver an alternative source of yield to traditional fixed income by focusing on the private credit market, particularly companies involved in lending to non-investment grade, small- to mid-sized U.S. companies.
The Fund seeks to track the investment results that correspond, before fees and expenses, of the Indxx Private Credit Index (the Index), which provides passive exposure to U.S.-listed instruments that emphasize private credit, including business development companies (BDCs) and closed-end funds (CEFs).
For the fiscal year ended October 31, 2023, the Fund’s total return based on market price was 11.38%. The Fund’s total return based on net asset value was 11.22%. The Index returned 11.95% for the same period.
One of the top contributors to Fund performance for the 12-month period was Nuveen Credit Strategies Income Fund (JQC), a closed-end management investment fund. The Fund invests in adjustable-rate loans, primarily secured senior loans and other debt instruments. JQC’s primary investment objective is high current income, and its secondary objective is total return.
Another top holding was New Mountain Finance Corp. (“New Mountain”), a traded BDC that invests in upper middle-market companies located in the U.S. New Mountain targets companies operating in the health care, software, and business services sectors. New Mountain’s portfolio is made up of senior secured first-lien and second-lien term loans and subordinated debt.
BlackRock Floating Rate Income Trust (BGT) also made a positive contribution to Fund performance. The investment objective of BGT is to provide a high level of current income. Its secondary objective is to seek the preservation of capital to the extent consistent with its primary objective.
Top detractors from Fund performance included BlackRock Income Trust, Inc. (BKT), a closed-end investment fund. Its investment objective is to provide total return through a combination of current income and capital appreciation. BKT seeks to achieve its investment objective by investing at least 65% of its assets in mortgage-backed securities. At least 80% of BKT’s assets are invested in securities that are issued or guaranteed by the U.S. government or one of its agencies or instrumentalities.
TriplePoint Venture Growth BDC Corp. (TPVG) also detracted from returns. TPVG is an externally managed, closed-end, non-diversified management investment company that has elected to be regulated as a business development company under the Investment Company Act of 1940. TPVG is focused on technology, life sciences, and other high growth industries backed by leading venture capital investors with established track records.
Another leading detractor was Prospect Capital Corp., an externally managed business development company that primarily provides senior debt and equity investments to companies operating in the lower middle market. The firm provides debt and equity financing for buyout, growth, development, and recapitalization. It acts as a co-investor and takes a controlling interest in the companies in its portfolio.
The preceding information is the opinion of the investment adviser. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Statements of fact are from sources considered reliable, but the investment adviser makes no representation or warranty as to their completeness or accuracy. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Performance as of 10/31/2023
|
|
Average Annual Total Return | ||||||||||
|
|
Fund |
|
Fund |
|
Indxx | ||||||
1 Year |
|
|
11.22 |
% |
|
|
11.38 |
% |
|
|
11.95 |
% |
Since Inception2 |
|
|
5.48 |
% |
|
|
5.48 |
% |
|
|
6.25 |
% |
1 The Indxx Private Credit Index is an index of listed business development companies (“BDCs”) and closed end funds (“CEFs”) with a private credit focus. The Index is designed to serve as a broad-based benchmark for long-only investments in private credit. The Index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
2February 7, 2019.
17
Virtus Private Credit Strategy ETF (continued)
Performance data quoted represents past performance and past performance does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. Returns do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. For the most current month-end performance data please visit www.virtusetfs.com or call toll free (800) 243-4361. Market price returns are based on the mid-point of the highest bid and lowest offer for Fund shares as of the scheduled close of regular trading on the New York Stock Exchange Arca (“NYSE”), ordinarily 4:00 p.m. Eastern time, on each day during which the NYSE is open for trading, and do not represent the returns an investor would receive if shares were traded at other times.
Private Credit Funds: Private credit funds that invest in closed-end funds and business development companies bear the risk of these underlying assets, including liquidity, industry, currency, valuation and credit risks.
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that risk.
Credit & Interest: Debt securities are subject to various risks, the most prominent of which are credit and interest rate risk. The issuer of a debt security may fail to make interest and/or principal payments. Values of debt securities may rise or fall in response to changes in interest rates, and this risk may be enhanced with longer-term maturities.
High Yield-High Risk Fixed Income Securities: There is a greater level of credit risk and price volatility involved with high yield securities than investment grade securities.
Passive Strategy/Index Risk: A passive investment strategy seeking to track the performance of the Underlying Index may result in the fund holding securities regardless of market conditions or their current or projected performance. This could cause the Fund’s returns to be lower than if the Fund employed an active strategy.
Fund of Funds: Because the Fund can invest in other funds, it indirectly bears its proportionate share of the operating expenses and management fees of the underlying fund(s).
Correlation to Index: The performance of the Fund and its index may vary somewhat due to factors such as Fund flows, transaction costs, and timing differences associated with additions to and deletions from its index.
Closed-End Funds: Closed-end funds may trade at a discount from their net asset values, which may affect whether the fund will realize gains or losses. They may also employ leverage, which may increase volatility.
Exchange Traded Funds: The value of an ETF may be more volatile than the underlying portfolio of securities the ETF is designed to track. The costs of owning the ETF may exceed the cost of investing directly in the underlying securities.
Market Price/NAV: Shares of ETFs often trade at a discount to their net asset value, which may increase investors’ risk of loss. At the time of sale, an investor’s shares may have a market price that is above or below the Fund’s NAV.
No Guarantee: There is no guarantee that the Fund will meet its objective.
Prospectus: For additional information on risks, please see the Fund’s prospectus. The Fund may not be suitable for all investors.
18
Virtus Private Credit Strategy ETF (continued)
Value of a $10,000 Investment Since Inception at Net Asset Value
The chart above represents historical performance of a hypothetical investment of $10,000 over the life of the Fund, assuming reinvestment of distributions. Past performance does not guarantee future results.
19
Virtus Real Asset Income ETF (VRAI)
The Virtus Real Asset Income ETF (the “Fund”) aims to provide passive exposure to high income-producing real asset securities. The Fund seeks to track the investment results, before fees and expenses, of the Indxx Real Asset Income Index (the Index), which is composed of U.S.-listed securities with a history of dividend growth across three real asset categories:
•real estate, including real estate development and real estate investment trusts (REITs);
•natural resources, including oil, coal, precious metals, steel, agricultural commodities, and forest products; and
•infrastructure, including electric utilities, telecommunications, transportation, and master limited partnerships (MLPs).
For the fiscal year ended October 31, 2023, the Fund’s total return based on market price was -2.32%. The Fund’s total return based on net asset value was -2.15%. The Index returned -2.25% during the same period.
The top contributors to Fund performance for the fiscal year included integrated energy companies, gold miners, and producers of base metals. One of the leading performers was DRDGOLD Ltd. (“DRD”), which engages in the business of retreatment of surface gold. DRD’s assets include underground mines and surface retreatment operation and exploration activities in South Africa.
Gold Fields Ltd. (“Gold Fields”), a gold mining company, also made a positive contribution to Fund returns. The company engages in the production of gold and the operation of mines. Its operating mines are located in Australia, Ghana, Peru, and South Africa. Gold Fields’ annual production is approximately 2.0 million gold equivalent ounces.
Petroleo Brasileiro SA (“Petrobras”) also contributed positively to Fund performance. The Brazil corporation operates in an integrated and specialized manner in the oil, natural gas, and energy industry. Petrobras has expertise in exploration and production due to decades of development in the Brazilian basins, especially in deep and ultra-deep waters. Petrobras operates oil tankers, distribution pipelines, marine, river and lake terminals, thermal power plants, fertilizer plants, and petrochemical units.
The largest detractors from Fund performance for the 12-month period were stocks involved in real estate, communication services, and utilities. Lumen Technologies, Inc. (formerly CenturyLink), an investment holding company, was a top detractor. The company engages in the provision of integrated communications to residential and business customers.
NextEra Energy Partners LP, a growth-oriented limited partnership formed by NextEra Energy, also detracted from Fund performance. NextEra Energy Partners acquires, manages, and owns contracted clean energy projects with stable, long-term cash flows.
Another top detractor was Medical Properties Trust, Inc., a self-advised real estate investment trust that engages in the investment, acquisition, and development of net-leased health care facilities.
The preceding information is the opinion of the investment adviser. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Statements of fact are from sources considered reliable, but the investment adviser makes no representation or warranty as to their completeness or accuracy. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Performance as of 10/31/2023
|
|
Average Annual Total Return | ||||||||||
|
|
Fund |
|
Fund |
|
Indxx Real | ||||||
1 Year |
|
|
(2.15 |
)% |
|
|
(2.32 |
)% |
|
|
(2.25 |
)% |
Since Inception2 |
|
|
1.12 |
% |
|
|
1.06 |
% |
|
|
1.62 |
% |
1 The Indxx Real Asset Income Index tracks the performance of US-listed securities in the Real Asset space (Real Estate, Natural Resources and Infrastructure) emphasizing dividend growth. The Index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
2February 7, 2019.
Performance data quoted represents past performance and past performance does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. Returns do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. For the most current month-end performance data please visit www.virtusetfs.com or call toll free (800) 243-4361. Market price returns are based on the mid-point of the highest bid and lowest offer for Fund shares as of the scheduled close of regular trading on the New York Stock Exchange Arca (“NYSE”), ordinarily 4:00 p.m. Eastern time, on each day during which the NYSE is open for trading, and do not represent the returns an investor would receive if shares were traded at other times.
20
Virtus Real Asset Income ETF (continued)
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that risk.
Equity REITs: The Fund may be negatively affected by factors specific to the real estate market, including interest rates, leverage, property, and management.
Natural Resources: A fund that focuses its investments in natural resources companies will be more sensitive to conditions affecting their business or operations.
Infrastructure: A fund that focuses its investments in infrastructure-related companies will be more sensitive to conditions affecting their business or operations.
MLPs: Investments in Master Limited Partnerships may be adversely impacted by tax law changes, regulation, or factors affecting underlying assets.
Passive Strategy/Index Risk: A passive investment strategy seeking to track the performance of the Underlying Index may result in the fund holding securities regardless of market conditions or their current or projected performance. This could cause the Fund’s returns to be lower than if the Fund employed an active strategy.
Correlation to Index: The performance of the Fund and its index may vary somewhat due to factors such as Fund flows, transaction costs, and timing differences associated with additions to and deletions from its index.
Exchange Traded Funds: The value of an ETF may be more volatile than the underlying portfolio of securities the ETF is designed to track. The costs of owning the ETF may exceed the cost of investing directly in the underlying securities.
Market Price/NAV: Shares of ETFs often trade at a discount to their net asset value, which may increase investors’ risk of loss. At the time of sale, an investor’s shares may have a market price that is above or below the Fund’s NAV.
No Guarantee: There is no guarantee that the Fund will meet its objective.
Prospectus: For additional information on risks, please see the Fund’s prospectus. The Fund may not be suitable for all investors.
Value of a $10,000 Investment Since Inception at Net Asset Value
The chart above represents historical performance of a hypothetical investment of $10,000 over the life of the Fund, assuming reinvestment of distributions. Past performance does not guarantee future results.
21
Virtus WMC International Dividend ETF (VWID)
The Virtus WMC International Dividend ETF (the “Fund”) is an actively managed ETF designed to generate a higher dividend yield than is generally provided by equity markets in developed ex-U.S. countries, as measured by the MSCI World ex USA Index, over a full market cycle within a framework that attempts to manage portfolio risk. It targets a below market beta relative to core equities. Securities that end up in the portfolio are selected because their high yield characteristics help meet the Fund’s income objective or their ability to help diversify risks in the portfolio. The names that help diversify risk in the portfolio are often names that 1) are members of the core index but not the high yield benchmark and 2) exhibit characteristics that high yielding stocks in aggregate tend to lack, such as growth.
During the period, the high yielding non-US equities, as measured by the MSCI World ex USA High Dividend Yield Index, posted positive absolute returns and outperformed core equities (as measured by MSCI World ex USA Index, respectively). Certain higher yielding and deeper value stocks, which generally make up a larger portion of the equity income universe, outperformed core indexes during the period. Meanwhile, higher growth stocks including technology companies, which are often underrepresented in the equity income universe as these companies tend to not pay dividends, lagged core equity indexes. This backdrop resulted in the strong relative outperformance of dividend paying stocks relative to core equities during the period.
During the period presented, the Fund’s NAV rose by +17.67%, underperforming its benchmark, the MSCI World ex USA High Dividend Yield Index (Net), which rose by +18.67%.
Sector allocation, which is a fallout of our portfolio construction process as we look to provide above market yield over time through a broadly diversified portfolio, detracted from relative results during the period. Our overweight exposures to the information technology and communication services sectors and an underweight exposure to the consumer discretionary sector detracted from relative results during the period. This was partially offset by stronger relative results from our underweight exposure to the consumer staples sector and an overweight exposure to the industrials sector.
Security selection detracted from relative results during the period. Our out-of-benchmark positions in Trend Micro, Inc. (information technology) and Algonquin Power & Utilities Corp. (utilities) and an overweight position in British American Tobacco PLC (consumer staples) were the three largest relative detractors over the period. Our underweight position in Anglo American (materials) and our overweight positions in Stellantis NV (consumer discretionary) and Aker BP ASA (energy) were the largest relative contributors during the period. Anglo American was sold during the reporting period.
From a regional perspective, exposures in North America, United Kingdom and Developed Asia Pacific ex Japan detracted from relative results. This was partially offset by exposures in Developed Europe ex UK and the Middle East, which contributed to relative performance.
The preceding information is the opinion of the investment adviser and sub-adviser. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Statements of fact are from sources considered reliable, but the investment adviser makes no representation or warranty as to their completeness or accuracy. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Performance as of 10/31/2023
|
|
Average Annual Total Return | ||||||||||
|
|
Fund |
|
Fund |
|
MSCI World | ||||||
1 Year |
|
|
17.67 |
% |
|
|
17.76 |
% |
|
|
18.67 |
% |
5 Year |
|
|
5.98 |
% |
|
|
6.03 |
% |
|
|
5.36 |
% |
Since Inception2 |
|
|
4.96 |
% |
|
|
5.03 |
% |
|
|
3.11 |
% |
1The MSCI World Ex USA High Dividend Yield Index (net) is based on the MSCI World Index, its parent index, and includes large and mid cap stocks across 48 Developed Markets (DM) and Emerging Market (EM) countries. The index is designed to reflect the performance of equities in the parent index (excluding REITs) with higher dividend income and quality characteristics than average dividend yields that are both sustainable and persistent. The index also applies quality screens and reviews 12-month past performance to omit stocks with potentially deteriorating fundamentals that could force them to cut or reduce dividends. The index is calculated on a total return basis with net dividends reinvested; it is unmanaged; its returns do not reflect any fees, expenses or sales charges; and it is not available for direct investment.
2October 10, 2017.
22
Virtus WMC International Dividend ETF (continued)
Performance data quoted represents past performance and past performance does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. Returns do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. For the most current month-end performance data please visit www.virtusetfs.com or call toll free (800) 243-4361. Market price returns are based on the mid-point of the highest bid and lowest offer for Fund shares as of the scheduled close of regular trading on the Cboe BZX Exchange, Inc. (“Cboe”), ordinarily 4:00 p.m. Eastern time, on each day during which the Cboe is open for trading, and do not represent the returns an investor would receive if shares were traded at other times.
Dividend Paying Securities: Issuers that have paid regular dividends or distributions may not continue to do so in the future and can fall out of favor with the market, which may cause the portfolio to underperform. Securities with higher dividend yields can be sensitive to interest rate movements: when interest rates rise, the prices of these securities may fall.
Exchange Traded Funds: The value of an ETF may be more volatile than the underlying portfolio of securities the ETF is designed to track. The costs of owning the ETF may exceed the cost of investing directly in the underlying securities.
Market Price/NAV: Shares of ETFs often trade at a discount to their net asset value, which may increase investors’ risk of loss. At the time of sale, an investor’s shares may have a market price that is above or below the Fund’s NAV.
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that risk.
Foreign & Emerging Markets: Investing internationally, especially in emerging markets, involves additional risks such as currency, political, accounting, economic, and market risk.
Geographic Concentration: Events negatively affecting the fiscal stability of a state, country, or region will cause the value of the Fund’s shares to decrease. Because the Fund concentrates its assets in a state, country, or region, the Fund is more vulnerable to those areas’ financial, economic, or other political developments.
Equity REITs: The Fund may be negatively affected by factors specific to the real estate market, including interest rates, leverage, property, and management.
Derivatives: Investments in derivatives such as futures, options, forwards, and swaps may increase volatility or cause a loss greater than the principal investment.
No Guarantee: There is no guarantee that the Fund will meet its objective.
Prospectus: For additional information on risks, please see the Fund’s prospectus. The Fund may not be suitable for all investors.
Value of a $10,000 Investment Since Inception at Net Asset Value
The chart above represents historical performance of a hypothetical investment of $10,000 over the life of the Fund, assuming reinvestment of distributions. Past performance does not guarantee future results.
23
InfraCap MLP ETF (AMZA)
Management’s Discussion of Operations
Overview
InfraCap MLP ETF (the “Fund”) is an actively-managed portfolio of midstream energy master limited partnerships (“MLPs”) and related general partners. The Fund may utilize options strategies and leverage to enhance income and total return.
The Fund focuses on the midstream MLP sector because most of these companies have a long-term history of relatively stable and growing cash distributions. These companies are typically involved in the production, gathering, transportation, storage, and processing of oil, natural gas, natural gas liquids, and refined products.
Market Update
In the fiscal year ended October 31, 2023, the Fund’s total return based on market price was 12.34%. The Fund’s benchmark index, the Alerian MLP Infrastructure Index, returned 15.67% during same period, while the S&P 500 Index returned 10.14%.
Fiscal year 2023 was supportive for midstream companies. Energy prices remained elevated over the period, and WTI Crude Oil prices were $80.44 as of October 31, 2023. The return to normal business activity and OPEC+ agreements constraining supply drove oil prices higher and supported MLP stock prices as there is a long-term need for North American oil and gas. Midstream companies benefited from the defensive nature of their business model with fee based contracts and added protections like minimum volume commitments. Many midstream companies have diversified customer bases or significant exposure to investment grade counterparties. During the earnings periods, many management teams remained conservative, continuing to protect their balance sheets with cost saving initiatives and deferring capital spending. Midstream companies took steps to strengthen their financial flexibility, including streamlined maintenance capital costs and operating expenses. Cash flows remained stable during the fiscal year, with some MLPs pursuing shareholder friendly actions such as buy-backs, increased distributions or special distributions.
Over the past few years, midstream companies successfully transitioned to having positive free cash flow, sustainable dividends, and reasonable leverage levels. Earnings, which historically were low in the MLP space, are now substantially positive and companies trade at reasonable price to earnings ratios of less than 12x. Additionally, debt to EBITDA, a measure for leverage, has fallen from an average of 4.5x to 3.6x. We believe these developments could generate durable earnings and consistent distributions in the midstream energy space.
During the period, two of the Fund’s stronger performing issuers were Plains All American Pipeline LP (“Plains”) and NuStar Energy LP (“NuStar”). Plains is a publicly traded master limited partnership that owns and operates midstream energy infrastructure and provides logistics services for crude oil, natural gas liquids and natural gas. Plains owns an extensive network of pipeline transportation, terminalling, storage and gathering assets in key crude oil and NGL producing basins and transportation corridors and at major market hubs in the United States and Canada. NuStar is a publicly traded master limited partnership. The company is one of the largest independent liquids terminal and pipeline operators in the United States. During the period, and Plains and NuStar were up 36.78% and 17.06%, respectively.
Two of the weaker performing positions during the period were New Fortress Energy Inc. (“Fortress”) and Kinder Morgan Inc. (“Kinder”). Kinder Morgan is one of the largest energy infrastructure companies in North America. Kinder has interest in or operates approximately 82,000 miles of pipelines and 140 terminals. The pipelines transport natural gas, gasoline, crude oil, carbon dioxide (CO2) and other products. The terminals store and handle renewable fuels, petroleum products, chemicals, vegetable oils and other products. Fortress is a global natural gas supply and infrastructure company with a mission to provide capital, expertise and vision to address this problem while also making positive and meaningful impacts on communities and the environment. Fortress has a focus on becoming one of the world’s leading producers of carbon-free energy (specifically through low-cost green hydrogen). During the period, Fortress and Kinder were down 39.69% and 4.60%, respectively.
During the period, despite elevated commodity prices, U.S. producers maintained capital discipline and kept their production outlook largely unchanged.
Distribution Payments
In the fiscal year ended October 31, 2023, the Fund made distribution payments in the amount of $0.22 per share in November and December of 2022, while paying monthly distribution payments in 2023 of $0.24 per share for the remainder the fiscal year.
24
InfraCap MLP ETF (continued)
While the Fund plans to continue paying monthly distribution, distribution are not guaranteed. The Fund seeks to maintain relatively stable monthly distributions although the amount of income earned by the Fund varies from period-to-period. To achieve this objective, the Fund may distribute less than the full amount of income earned during a specific period, preserving income for distribution in future periods. Consequently, the amount of income distributed in any one period may be more or less than the actual amount of income earned in that period.
Use of Leverage
The Fund may use leverage as described in its prospectus. The application of leverage positively contributed to Fund performance during the period. The Fund’s cost of borrowing increased during the fiscal year. The Fund entered into Lending Agreements (each, an “Agreement”) with certain commercial banks (the “Banks”) that allow the Fund to borrow cash from the Banks. Borrowings under the Agreements are collateralized by investments in the Fund. If the Fund defaults with respect to any of its obligations under the Agreements, the Banks may foreclose on assets of the Fund and/or the Fund may be required to repay immediately, in part or in full, the loan balance outstanding under the Agreement, necessitating the sale of securities at potentially inopportune times. Interest is charged at the OBFR (Overnight Bank Funding Rate) plus an additional percentage rate on the amount borrowed. Each Agreement has an on-demand commitment term. As of October 31, 2023, the current cost is daily OBFR plus 1.10%, which resets daily. The yield on the Fund’s benchmark index, the Alerian MLP Infrastructure Index, was 7.50% on September 29, 2023.
Use of Options
The Fund seeks to generate additional income for distribution to investors by writing call and put options. The primary activity is writing “covered” call options on positions held by the Fund. However, due to high volatility within the asset class at times during the period, market conditions for covered call options were unfavorable to Fund performance for parts of the fiscal year and as a result, the Fund’s manager reduced the frequency of this activity.
During the fiscal year, the Fund’s emphasis was on writing short-duration covered call options, and the average maturity of the option portfolio was less than 30 days. The Fund’s manager used these option strategies to seek to maximize the capture of premium decay and manage short term risks.
We believe consolidation within the MLP sector enhanced the liquidity in the single-stock options market as larger MLPs typically have more liquid markets for issued options.
Outlook
Midstream MLP companies generally have stable business, however, large fluctuations in commodity prices (as witnessed during the Covid-19 pandemic) can have material impacts on their free cash flows. Nonetheless, fee-based contracts utilized in the midstream MLP sector have helped companies protect their cash flow generation. We will continue to monitor rising or falling commodity prices, OPEC+ induced supply shocks, and macroeconomic factors related to infrastructure spending and Federal Reserve policy. Further, we expect US producers to remain disciplined and OPEC+ to slowly increase its output.
Based on our crude supply models, we still believe there is a structural deficit due to lower PMI data from China and weaker U.S. demand. We still expect general upward price pressure due to OPEC supply cuts and we believe that U.S. producers will not disrupt the cartel by increasing production. A new consideration for the next 12 months is the ongoing conflict between Israel and Hamas. While this is not our base case, there are increased risks to the production and distribution of crude oil and natural gas. Companies with pipeline and storage facilities with connectivity to export facilities for NGLs, refined products, and crude will benefit as the U.S. transitions to more exports. In our view, companies with integrated footprints spanning from producing regions to exporting facilities are best positioned with a natural hedge against these upstream and downstream fluctuations. Importantly, many midstream companies implemented measures during previous quarters to protect their balance sheets with cost saving initiatives and cancellations of growth and capital spending. In 2024, we expect midstream companies to continue transitioning to share buybacks and modest distribution growth.
We continue to believe that there will be significant asset sales and acquisitions of entire companies over the next year as private equity firms and strategic acquirers take advantage of consolidations in midstream assets. We continue to be positioned to take advantage of M&A activity that we believe may occur in the near future. In addition, we believe proposed increases in corporate taxes will decrease the advantages of MLP C-Corp conversions.
25
InfraCap MLP ETF (continued)
The Fund also maintains positions in large capitalization integrated pipelines and storage companies with stronger contractual protection and visible market demand. We believe these companies are less vulnerable during heightened periods of price volatility and are best suited to take advantage of opportunities that exist in the current market environment.
We expect upward price pressure on commodities and $80-100 oil prices in 2024 due to OPEC supply cuts founded on a belief that disciplined U.S. producers will not disrupt the cartel by increasing production. A key focus in 2023 has been the current energy crisis impacting much of Europe. We believe companies with pipeline and storage facilities with connectivity to export facilities for NGLs, refined products, and crude will continue to benefit as global demand increases. Companies with integrated footprints spanning from producing regions to exporting facilities are advantageously positioned with a natural hedge against these upstream and downstream fluctuations.
We believe many management teams of midstream companies continue to maintain disciplined and conservative efforts to protect their balance sheet with cost saving initiatives and cancellations of growth and capital spending. Over the fiscal period, we have seen midstream companies pursue shareholder friendly corporate actions, including share buybacks and dividend increases. We believe these shareholder friendly activities will continue in 2024 as energy prices remain elevated.
The preceding information is the opinion of the investment adviser and sub-adviser. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Statements of fact are from sources considered reliable, but the investment adviser and sub-adviser make no representation or warranty as to their completeness or accuracy. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized. This discussion includes information based on data and calculations sourced from Bloomberg and index constituents. While we believe that the data is reliable, we have not sought, nor have we received, permission from any third-party to include their information.
Performance as of 10/31/2023
|
|
Average Annual Total Return | ||||||||||||||
|
|
Fund |
|
Fund |
|
Alerian
MLP |
|
S&P 500® | ||||||||
1 Year |
|
|
12.91 |
% |
|
|
12.34 |
% |
|
|
15.67 |
% |
|
|
10.14 |
% |
5 Years |
|
|
0.94 |
% |
|
|
0.79 |
% |
|
|
8.14 |
% |
|
|
11.01 |
% |
Since Inception3 |
|
|
(6.50 |
)% |
|
|
(6.55 |
)% |
|
|
(0.44 |
)% |
|
|
10.87 |
% |
1 The Alerian MLP Infrastructure Index is a composite of energy infrastructure Master Limited Partnerships (MLPs), whose constituents earn the majority of their cash flow from the transportation, storage, and processing of energy commodities. The index is calculated using a float-adjusted, capitalization-weighted methodology on a total-return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
2 The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
3October 1, 2014.
Performance data quoted represents past performance and past performance does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. Returns do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. For the most current month-end performance data please visit www.virtusetfs.com or call toll free (800) 243-4361. Market price returns are based on the mid-point of the highest bid and lowest offer for Fund shares as of the scheduled close of regular trading on the New York Stock Exchange Arca (“NYSE”), ordinarily 4:00 p.m. Eastern time, on each day during which the NYSE is open for trading, and do not represent the returns an investor would receive if shares were traded at other times.
26
InfraCap MLP ETF (continued)
MLPs: Investments in Master Limited Partnerships may be adversely impacted by tax law changes, regulation, or factors affecting underlying assets.
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
Interest Rate Risk: As yield-based investments, MLPs carry interest rate risk and may underperform in rising interest rate environments. Additionally, when investors have heightened fears about the economy, the risk spread between MLPs and competing investment options can widen, which may have an adverse effect on the stock price of MLPs. Rising interest rates may increase the potential cost of MLPs financing projects or cost of operations, and may affect the demand for MLP investments, either of which may result in lower performance by or distributions from the Fund’s MLP investments.
Leverage: When a fund leverages its portfolio, the value of its shares may be more volatile and all other risks may be compounded.
Derivatives: Investments in derivatives such as futures, options, forwards, and swaps may increase volatility or cause a loss greater than the principal investment.
Non-Diversified: The Fund is non-diversified and may be more susceptible to factors negatively impacting its holdings to the extent that each security represents a larger portion of the Fund’s assets.
Short Sales: The Fund may engage in short sales, and may experience a loss if the price of a borrowed security increases before the date on which the Fund replaces the security.
Exchange Traded Funds: The value of an ETF may be more volatile than the underlying portfolio of securities the ETF is designed to track. The costs of owning the ETF may exceed the cost of investing directly in the underlying securities.
Market Price/NAV: Shares of ETFs often trade at a discount to their net asset value, which may increase investors’ risk of loss. At the time of sale, an investor’s shares may have a market price that is above or below the Fund’s NAV.
No Guarantee: There is no guarantee that the Fund will meet its objective.
Prospectus: For additional information on risks, please see the Fund’s prospectus. The Fund may not be suitable for all investors.
Value of a $10,000 Investment Since Inception at Net Asset Value
The chart above represents historical performance of a hypothetical investment of $10,000 over the life of the Fund, assuming reinvestment of distributions. Past performance does not guarantee future results.
27
Asset Allocation as of 10/31/2023 (based on net assets)
InfraCap REIT Preferred ETF |
| ||
Real Estate |
|
68.4 |
% |
Financials |
|
30.2 |
% |
Other Assets in Excess of Liabilities |
|
1.4 |
% |
Total |
|
100.0 |
% |
|
| ||
Virtus InfraCap U.S. Preferred Stock ETF |
| ||
Financials |
|
40.1 |
%* |
Real Estate |
|
33.7 |
%* |
Energy |
|
16.9 |
% |
Industrials |
|
14.4 |
% |
Utilities |
|
12.3 |
% |
Communication Services |
|
6.7 |
% |
Consumer Discretionary |
|
1.9 |
% |
Health Care |
|
0.1 |
% |
Liabilities in Excess of Other Assets |
|
(26.1 |
)% |
Total |
|
100.0 |
% |
|
|
|
|
Virtus LifeSci Biotech Clinical Trials ETF |
|
|
|
Health Care |
|
96.5 |
% |
Money Market Fund |
|
8.1 |
% |
Liabilities in Excess of Other Assets |
|
(4.6 |
)% |
Total |
|
100.0 |
% |
|
|
|
|
Virtus LifeSci Biotech Products ETF |
|
|
|
Health Care |
|
99.2 |
% |
Other Assets in Excess of Liabilities |
|
0.8 |
% |
Total |
|
100.0 |
% |
*Amounts represent investments in particular sectors. No industry within these sectors represented more than 25% of the Fund’s total assets at the time of investment.
28
Virtus Newfleet Multi-Sector Bond ETF |
|
|
|
Corporate Bonds |
|
34.4 |
% |
Foreign Bonds |
|
18.8 |
% |
Term Loans |
|
13.2 |
% |
Mortgage Backed Securities |
|
12.9 |
% |
U.S. Government Securities |
|
8.7 |
% |
Asset Backed Securities |
|
7.8 |
% |
Municipal Bonds |
|
0.2 |
% |
Common Stock |
|
0.0 |
%* |
Money Market Fund |
|
2.1 |
% |
Other Assets in Excess of Liabilities |
|
1.9 |
% |
Total |
|
100.0 |
% |
|
|
|
|
Virtus Private Credit Strategy ETF |
|
|
|
Financials |
|
58.4 |
% |
Closed-End Funds |
|
38.6 |
% |
Money Market Fund |
|
9.7 |
% |
Liabilities in Excess of Other Assets |
|
(6.7 |
)% |
Total |
|
100.0 |
% |
|
|
|
|
Virtus Real Asset Income ETF |
|
|
|
Real Estate |
|
30.6 |
% |
Energy |
|
23.3 |
% |
Materials |
|
18.7 |
% |
Utilities |
|
15.0 |
% |
Communication Services |
|
6.7 |
% |
Consumer Staples |
|
2.2 |
% |
Money Market Fund |
|
5.7 |
% |
Liabilities in Excess of Other Assets |
|
(2.2 |
)% |
Total |
|
100.0 |
% |
*Amount rounds to less than 0.05%.
29
Asset Allocation as of 10/31/2023 (based on net assets)
Virtus WMC International Dividend ETF |
|
|
|
Financials |
|
25.8 |
% |
Energy |
|
10.5 |
% |
Industrials |
|
10.3 |
% |
Consumer Staples |
|
10.1 |
% |
Communication Services |
|
8.8 |
% |
Materials |
|
8.1 |
% |
Utilities |
|
7.7 |
% |
Health Care |
|
7.3 |
% |
Consumer Discretionary |
|
5.9 |
% |
Information Technology |
|
2.9 |
% |
Real Estate |
|
1.7 |
% |
Other Assets in Excess of Liabilities |
|
0.9 |
% |
Total |
|
100.0 |
% |
|
|
|
|
InfraCap MLP ETF |
|
|
|
Energy |
|
133.0 |
% |
Written Options |
|
(0.2 |
)% |
Liabilities in Excess of Other Assets |
|
(32.8 |
)% |
Total |
|
100.0 |
% |
30
We believe it is important for you to understand the impact of costs on your investment. All funds have operating expenses. As a shareholder of the InfraCap REIT Preferred ETF, Virtus InfraCap U .S. Preferred Stock ETF, Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Newfleet Multi-Sector Bond ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF, Virtus WMC International Dividend ETF and InfraCap MLP ETF (each, a “Fund”) you may incur two types of costs: (1) transaction costs, which include brokerage commissions that you pay when purchasing or selling shares of a Fund; and (2) ongoing costs, which include advisory fees and other fund expenses, if any . The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds. The examples are based on an investment of $1,000 invested at the beginning of the period and held throughout the entire period (May 1, 2023 to October 31, 2023).
Actual expenses
The first line under each Fund in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second line under each Fund in the table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line under each Fund in the table is useful in comparing ongoing Fund costs only and will not help you determine the relative total costs of owning different funds.
In addition, if these transactional costs were included, your costs would have been higher.
|
|
Beginning |
|
Ending |
|
Annualized |
|
Expenses Paid |
InfraCap REIT Preferred ETF |
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$988.80 |
|
0.45% |
|
$2.26 |
Hypothetical(1) |
|
$1,000.00 |
|
$1,022.94 |
|
0.45% |
|
$2.29 |
Virtus InfraCap U.S. Preferred Stock ETF |
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$1,012.00 |
|
0.80% |
|
$4.06 |
Hypothetical(1) |
|
$1,000.00 |
|
$1,021.17 |
|
0.80% |
|
$4.08 |
Virtus LifeSci Biotech Clinical Trials ETF |
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$775.60 |
|
0.79% |
|
$3.54 |
Hypothetical(1) |
|
$1,000.00 |
|
$1,021.22 |
|
0.79% |
|
$4.02 |
Virtus LifeSci Biotech Products ETF |
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$907.40 |
|
0.79% |
|
$3.80 |
Hypothetical(1) |
|
$1,000.00 |
|
$1,021.22 |
|
0.79% |
|
$4.02 |
Virtus Newfleet Multi-Sector Bond ETF |
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$980.10 |
|
0.49% |
|
$2.45 |
Hypothetical(1) |
|
$1,000.00 |
|
$1,022.74 |
|
0.49% |
|
$2.50 |
Virtus Private Credit Strategy ETF |
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$1,050.60 |
|
0.75% |
|
$3.88 |
Hypothetical(1) |
|
$1,000.00 |
|
$1,021.42 |
|
0.75% |
|
$3.82 |
Virtus Real Asset Income ETF |
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$919.80 |
|
0.55% |
|
$2.66 |
Hypothetical(1) |
|
$1,000.00 |
|
$1,022.43 |
|
0.55% |
|
$2.80 |
Virtus WMC International Dividend ETF |
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$953.70 |
|
0.49% |
|
$2.41 |
Hypothetical(1) |
|
$1,000.00 |
|
$1,022.74 |
|
0.49% |
|
$2.50 |
InfraCap MLP ETF |
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$1,116.10 |
|
0.95% |
|
$5.07 |
Hypothetical(1) |
|
$1,000.00 |
|
$1,020.42 |
|
0.95% |
|
$4.84 |
1Assuming 5% return before expenses.
2Annualized expense ratios reflect expenses net of waived fees or reimbursed expenses, if applicable.
3Expenses are calculated using each Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 184/365 (to reflect the six-month period).
The accompanying notes are an integral part of these financial statements.
31
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
PREFERRED STOCKS — 98.6% |
|
|
|
|
|
|
|
|
|
|
|
Financials — 30.2% |
|
|
|
|
|
ACRES Commercial Realty Corp., Series C, 8.63% |
|
10,914 |
|
$243,491 |
|
AG Mortgage Investment Trust, Inc., Series B, 8.00% |
|
3,497 |
|
57,176 |
|
AG Mortgage Investment Trust, Inc., Series C, 8.00% |
|
6,287 |
|
118,573 |
|
AGNC Investment Corp., Series D, 6.88% |
|
21,354 |
|
448,007 |
|
AGNC Investment Corp., Series E, 6.50% |
|
36,267 |
|
772,124 |
|
AGNC Investment Corp., Series F, 6.13% |
|
52,614 |
|
1,051,754 |
|
AGNC Investment Corp., Series G, 7.75% |
|
12,936 |
|
262,989 |
|
Annaly Capital Management, Inc., Series F, 10.65% |
|
2,963 |
|
71,823 |
|
Annaly Capital Management, Inc., Series G, 9.83% |
|
38,157 |
|
883,716 |
|
Annaly Capital Management, Inc., Series I, 6.75% |
|
39,576 |
|
914,601 |
|
Arbor Realty Trust, Inc., Series D, 6.38% |
|
20,907 |
|
335,557 |
|
Arbor Realty Trust, Inc., Series E, 6.25% |
|
12,625 |
|
203,515 |
|
Arbor Realty Trust, Inc., Series F, 6.25% |
|
25,383 |
|
443,441 |
|
ARMOUR Residential REIT, Inc., Series C, 7.00% |
|
15,419 |
|
285,097 |
|
Chimera Investment Corp., Series A, 8.00% |
|
13,459 |
|
243,742 |
|
Chimera Investment Corp., Series B, 8.00% |
|
29,544 |
|
623,083 |
|
Chimera Investment Corp., Series C, 7.75% |
|
23,411 |
|
403,137 |
|
Chimera Investment Corp., Series D, 8.00% |
|
18,372 |
|
370,931 |
|
Dynex Capital, Inc., Series C, 6.90% |
|
9,790 |
|
215,576 |
|
Ellington Financial, Inc., 6.75% |
|
10,848 |
|
242,561 |
|
Ellington Financial, Inc., Series C, 8.63% |
|
9,192 |
|
204,522 |
|
Franklin BSP Realty Trust, Inc., Series E, 7.50% |
|
23,483 |
|
437,019 |
|
Granite Point Mortgage Trust, Inc., Series A, 7.00% |
|
17,677 |
|
284,423 |
|
Inpoint Commercial Real Estate Income, Inc., Series A, 6.75% |
|
6,999 |
|
134,521 |
|
Invesco Mortgage Capital, Inc., Series B, 7.75% |
|
10,371 |
|
216,235 |
|
Invesco Mortgage Capital, Inc., Series C, 7.50% |
|
17,761 |
|
328,934 |
|
KKR Real Estate Finance Trust, Inc., Series A, 6.50% |
|
29,535 |
|
481,420 |
|
MFA Financial, Inc., Series B, 7.50% |
|
18,179 |
|
317,042 |
|
MFA Financial, Inc., Series C, 6.50% |
|
25,307 |
|
464,890 |
|
New York Mortgage Trust, Inc., Series D, 8.00% |
|
14,353 |
|
275,578 |
|
New York Mortgage Trust, Inc., Series E, 7.88% |
|
17,319 |
|
367,509 |
|
PennyMac Mortgage Investment Trust, Series A, 8.13% |
|
10,453 |
|
220,036 |
|
PennyMac Mortgage Investment Trust, Series B, 8.00% |
|
17,733 |
|
367,073 |
|
PennyMac Mortgage Investment Trust, Series C, 6.75% |
|
22,735 |
|
373,081 |
|
Ready Capital Corp., 5.75% |
|
18,521 |
|
438,022 |
|
Ready Capital Corp., Series E, 6.50% |
|
10,453 |
|
181,569 |
|
Rithm Capital Corp., Series A, 7.50% |
|
14,111 |
|
318,767 |
|
Rithm Capital Corp., Series B, 7.13% |
|
25,365 |
|
561,835 |
|
Rithm Capital Corp., Series C, 6.38% |
|
36,436 |
|
706,130 |
|
Rithm Capital Corp., Series D, 7.00% |
|
42,238 |
|
843,915 |
|
TPG RE Finance Trust, Inc., Series C, 6.25% |
|
18,752 |
|
261,403 |
|
Two Harbors Investment Corp., Series A, 8.13% |
|
11,439 |
|
224,891 |
|
Two Harbors Investment Corp., Series B, 7.63% |
|
23,949 |
|
452,636 |
|
Two Harbors Investment Corp., Series C, 7.25% |
|
22,413 |
|
437,054 |
|
Total Financials |
|
|
|
17,089,399 |
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
PREFERRED STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Real Estate — 68.4% |
|
|
|
|
|
Agree Realty Corp., Series A, 4.25% |
|
38,122 |
|
$613,002 |
|
American Homes 4 Rent, Series G, 5.88% |
|
13,362 |
|
285,145 |
|
American Homes 4 Rent, Series H, 6.25% |
|
24,979 |
|
558,530 |
|
Armada Hoffler Properties, Inc., Series A, 6.75% |
|
17,686 |
|
357,080 |
|
Chatham Lodging Trust, Series A, 6.63% |
|
15,468 |
|
307,968 |
|
City Office REIT, Inc., Series A, 6.63% |
|
14,719 |
|
213,426 |
|
DiamondRock Hospitality Co., 8.25% |
|
21,738 |
|
553,884 |
|
Digital Realty Trust, Inc., Series J, 5.25% |
|
43,690 |
|
844,965 |
|
Digital Realty Trust, Inc., Series K, 5.85% |
|
45,089 |
|
982,038 |
|
Digital Realty Trust, Inc., Series L, 5.20% |
|
72,566 |
|
1,413,586 |
|
DigitalBridge Group, Inc., Series H, 7.13% |
|
45,977 |
|
988,506 |
|
DigitalBridge Group, Inc., Series I, 7.15% |
|
70,780 |
|
1,487,088 |
|
DigitalBridge Group, Inc., Series J, 7.13% |
|
63,609 |
|
1,326,884 |
|
Diversified Healthcare Trust, 5.63% |
|
77,023 |
|
1,058,296 |
|
Diversified Healthcare Trust, 6.25% |
|
54,872 |
|
813,203 |
|
EPR Properties, Series G, 5.75% |
|
32,758 |
|
590,627 |
|
Federal Realty Investment Trust, Series C, 5.00% |
|
32,672 |
|
650,173 |
|
Gladstone Commercial Corp., Series E, 6.63% |
|
28,203 |
|
549,112 |
|
Gladstone Land Corp., Series B, 6.00% |
|
21,293 |
|
361,129 |
|
Global Medical REIT, Inc., Series A, 7.50% |
|
12,273 |
|
291,238 |
|
Global Net Lease, Inc., Series A, 7.25% |
|
37,440 |
|
642,470 |
|
Global Net Lease, Inc., Series B, 6.88% |
|
25,425 |
|
400,952 |
|
Global Net Lease, Inc., Series D, 7.50% |
|
43,169 |
|
733,873 |
|
Global Net Lease, Inc., Series E, 7.38% |
|
10,783 |
|
174,900 |
|
Hersha Hospitality Trust, Series D, 6.50% |
|
42,342 |
|
1,052,199 |
|
Hersha Hospitality Trust, Series E, 6.50% |
|
21,735 |
|
540,115 |
|
Hudson Pacific Properties, Inc., Series C, 4.75% |
|
93,529 |
|
985,796 |
|
Kimco Realty Corp., Series L, 5.13% |
|
48,419 |
|
929,645 |
|
Kimco Realty Corp., Series M, 5.25% |
|
56,994 |
|
1,140,450 |
|
National Storage Affiliates Trust, Series A, 6.00% |
|
46,381 |
|
969,827 |
|
Office Properties Income Trust, 6.38% |
|
34,649 |
|
480,928 |
|
Pebblebrook Hotel Trust, Series E, 6.38% |
|
7,555 |
|
138,257 |
|
Pebblebrook Hotel Trust, Series F, 6.30% |
|
33,514 |
|
610,625 |
|
Pebblebrook Hotel Trust, Series G, 6.38% |
|
49,810 |
|
879,645 |
|
Pebblebrook Hotel Trust, Series H, 5.70% |
|
50,586 |
|
813,929 |
|
Public Storage, Series F, 5.15% |
|
21,895 |
|
462,203 |
|
Public Storage, Series G, 5.05% |
|
23,319 |
|
498,560 |
|
Public Storage, Series H, 5.60% |
|
22,101 |
|
490,421 |
|
Public Storage, Series I, 4.88% |
|
24,643 |
|
484,481 |
|
Public Storage, Series J, 4.70% |
|
20,644 |
|
380,056 |
|
Public Storage, Series K, 4.75% |
|
18,352 |
|
342,999 |
|
Public Storage, Series L, 4.63% |
|
43,531 |
|
805,324 |
|
Public Storage, Series N, 3.88% |
|
22,540 |
|
343,735 |
|
Public Storage, Series O, 3.90% |
|
13,563 |
|
209,548 |
|
Public Storage, Series P, 4.00% |
|
45,714 |
|
721,824 |
|
Public Storage, Series Q, 3.95% |
|
12,016 |
|
185,647 |
|
Public Storage, Series R, 4.00% |
|
32,986 |
|
520,189 |
|
Saul Centers, Inc., Series E, 6.00% |
|
8,991 |
|
182,517 |
|
SITE Centers Corp., Series A, 6.38% |
|
36,351 |
|
723,021 |
|
SL Green Realty Corp., Series I, 6.50% |
|
47,779 |
|
806,032 |
|
The accompanying notes are an integral part of these financial statements.
32
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
PREFERRED STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Real Estate (continued) |
|
|
|
|
|
Spirit Realty Capital, Inc., Series A, 6.00% |
|
37,676 |
|
$ 836,030 |
|
Summit Hotel Properties, Inc., Series E, 6.25% |
|
35,035 |
|
630,630 |
|
Sunstone Hotel Investors, Inc., Series H, 6.13% |
|
24,778 |
|
512,161 |
|
Sunstone Hotel Investors, Inc., Series I, 5.70% |
|
7,035 |
|
137,605 |
|
UMH Properties, Inc., Series D, 6.38% |
|
52,251 |
|
1,063,308 |
|
Vornado Realty Trust, Series L, 5.40% |
|
65,548 |
|
931,437 |
|
Vornado Realty Trust, Series M, 5.25% |
|
69,959 |
|
979,426 |
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
PREFERRED STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Real Estate (continued) |
|
|
|
|
|
Vornado Realty Trust, Series N, 5.25% |
|
65,711 |
|
$ 933,096 |
|
Vornado Realty Trust, Series O, 4.45% |
|
66,020 |
|
787,619 |
|
Total Real Estate |
|
|
|
38,707,360 |
|
|
|
|
|
|
|
TOTAL INVESTMENTS — 98.6% |
|
|
|
|
|
(Cost $68,056,854) |
|
|
|
55,796,759 |
|
Other Assets in Excess of Liabilities — 1.4% |
|
|
|
767,396 |
|
Net Assets — 100.0% |
|
|
|
$56,564,155 |
|
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of October 31, 2023.
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
Preferred Stocks |
|
$55,796,759 |
|
$— |
|
$— |
|
$55,796,759 |
Total |
|
$55,796,759 |
|
$— |
|
$— |
|
$55,796,759 |
The accompanying notes are an integral part of these financial statements.
33
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
PREFERRED STOCKS — 126.1% |
|
|
|
|
|
|
|
|
|
|
|
Communication Services — 6.7% |
|
|
|
|
|
AT&T, Inc., Series C, 4.75% |
|
25,090 |
|
$434,057 |
|
Liberty Broadband Corp., Series A, 7.00%(1) |
|
47,957 |
|
1,039,708 |
|
Qwest Corp., 6.50%(1) |
|
85,238 |
|
1,030,527 |
|
Qwest Corp., 6.75%(1) |
|
47,292 |
|
592,096 |
|
Telephone and Data Systems, Inc., |
|
387,813 |
|
5,720,242 |
|
Telephone and Data Systems, Inc., |
|
805,223 |
|
10,347,116 |
|
United States Cellular Corp., 5.50%(1) |
|
1,028,590 |
|
15,154,166 |
|
United States Cellular Corp., 6.25%(1) |
|
389,404 |
|
6,425,166 |
|
Total Communication Services |
|
|
|
40,743,078 |
|
|
|
|
|
|
|
Consumer Discretionary — 1.9% |
|
|
|
|
|
Ford Motor Co., 6.00%(1) |
|
528,080 |
|
11,089,680 |
|
Ford Motor Co., 6.20%(1) |
|
27,478 |
|
589,678 |
|
Ford Motor Co., 6.50%(1) |
|
8,032 |
|
168,029 |
|
Total Consumer Discretionary |
|
|
|
11,847,387 |
|
|
|
|
|
|
|
Energy — 16.9% |
|
|
|
|
|
Brookfield Infrastructure Finance ULC, 5.00% (Canada) |
|
10,713 |
|
163,802 |
|
Crestwood Equity Partners LP, Series *, 9.25%(1) |
|
3,299,770 |
|
31,809,783 |
|
Energy Transfer LP, Series D, 10.36%(1) |
|
48,237 |
|
1,208,819 |
|
Energy Transfer LP, Series E, 7.60%(1) |
|
101,263 |
|
2,503,221 |
|
GasLog Partners LP, Series A, 8.63% (Greece)(1) |
|
412,160 |
|
8,638,874 |
|
GasLog Partners LP, Series B, 11.51% (Greece)(1) |
|
101,923 |
|
2,481,825 |
|
Golar LNG Partners LP, Series A, 8.75% |
|
47,750 |
|
561,062 |
|
NuStar Energy LP, Series A, 12.44%(1) |
|
857,197 |
|
21,832,808 |
|
NuStar Energy LP, Series B, 11.31%(1) |
|
951,932 |
|
23,893,493 |
|
NuStar Energy LP, Series C, 12.55%(1) |
|
404,295 |
|
10,180,148 |
|
Total Energy |
|
|
|
103,273,835 |
|
|
|
|
|
|
|
Financials — 40.1%† |
|
|
|
|
|
Affiliated Managers Group, Inc., 4.20% |
|
2,249 |
|
34,500 |
|
Affiliated Managers Group, Inc., 4.75% |
|
6,434 |
|
105,067 |
|
AG Mortgage Investment Trust, Inc., Series B, 8.00% |
|
4,662 |
|
76,224 |
|
AG Mortgage Investment Trust, Inc., Series C, 8.00%(1) |
|
227,589 |
|
4,292,328 |
|
AGNC Investment Corp., Series D, 6.88%(1) |
|
32,752 |
|
687,137 |
|
AGNC Investment Corp., Series G, 7.75%(1) |
|
186,278 |
|
3,787,032 |
|
Allstate Corp., Series H, 5.10% |
|
16,510 |
|
313,690 |
|
American Equity Investment Life Holding Co., Series A, 5.95%(1) |
|
62,234 |
|
1,316,249 |
|
American Equity Investment Life Holding Co., Series B, 6.63% |
|
6,545 |
|
150,011 |
|
American International Group, Inc., Series A, 5.85% |
|
628 |
|
14,067 |
|
Apollo Global Management, Inc., 6.75% |
|
1,354 |
|
65,141 |
|
Arbor Realty Trust, Inc., Series E, 6.25%(1) |
|
30,430 |
|
490,532 |
|
Argo Group International Holdings Ltd., 7.00%(1) |
|
10,033 |
|
220,525 |
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
PREFERRED STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Financials (continued) |
|
|
|
|
|
ARMOUR Residential REIT, Inc., Series C, 7.00%(1) |
|
398,635 |
|
$7,370,761 |
|
Atlanticus Holdings Corp., Series B, 7.63%(1) |
|
21,939 |
|
455,892 |
|
B Riley Financial, Inc., 5.25%(1) |
|
44,423 |
|
801,391 |
|
B Riley Financial, Inc., 6.00%(1) |
|
90,699 |
|
1,746,863 |
|
B Riley Financial, Inc., 6.38%(1) |
|
122,258 |
|
2,901,182 |
|
B Riley Financial, Inc., Series B, 7.38%(1) |
|
44,522 |
|
1,048,048 |
|
Bank of America Corp., Series 4, 6.42% |
|
10,854 |
|
226,957 |
|
Bank of America Corp., Series 5, 6.14% |
|
2,060 |
|
41,756 |
|
Bank OZK, Series A, 4.63%(1) |
|
134,527 |
|
2,004,452 |
|
Brighthouse Financial, Inc., 6.25% |
|
1,232 |
|
24,147 |
|
Brighthouse Financial, Inc., Series A, 6.60% |
|
12,088 |
|
235,958 |
|
Brighthouse Financial, Inc., Series B, 6.75% |
|
1,236 |
|
24,757 |
|
Brighthouse Financial, Inc., Series C, 5.38%(1) |
|
77,590 |
|
1,205,749 |
|
Brighthouse Financial, Inc., Series D, 4.63%(1) |
|
100,329 |
|
1,362,468 |
|
Brookfield Finance, Inc., Series 50, 4.63% (Canada)(1) |
|
125,589 |
|
1,859,973 |
|
Chimera Investment Corp., Series A, 8.00%(1) |
|
293,891 |
|
5,322,366 |
|
Chimera Investment Corp., Series B, 8.00%(1) |
|
284,711 |
|
6,004,555 |
|
Chimera Investment Corp., Series C, 7.75%(1) |
|
380,438 |
|
6,551,142 |
|
Chimera Investment Corp., Series D, 8.00%(1) |
|
374,391 |
|
7,558,954 |
|
CNO Financial Group, Inc., 5.13%(1) |
|
1,922 |
|
29,407 |
|
Compass Diversified Holdings, Series A, 7.25%(1) |
|
283,134 |
|
6,347,864 |
|
Compass Diversified Holdings, Series B, 7.88%(1) |
|
16,003 |
|
390,313 |
|
Compass Diversified Holdings, Series C, 7.88%(1) |
|
12,527 |
|
299,395 |
|
Dime Community Bancshares, Inc., 5.50%(1) |
|
5,950 |
|
86,929 |
|
Eagle Point Income Co., Inc., Series B, 7.75% |
|
13,605 |
|
331,826 |
|
Ellington Financial, Inc., 6.75%(1) |
|
504,574 |
|
11,282,275 |
|
Enstar Group Ltd., Series D, 7.00%(1) |
|
92,995 |
|
2,212,351 |
|
Enstar Group Ltd., Series E, 7.00%(1) |
|
4,844 |
|
108,070 |
|
Enterprise Financial Services Corp., Series A, 5.00%(1) |
|
149,741 |
|
2,100,866 |
|
Fifth Third Bancorp, Series K, 4.95% |
|
7,764 |
|
148,681 |
|
First Horizon Corp., Series D, 6.10%(1) |
|
111,620 |
|
2,522,612 |
|
First Horizon Corp., Series E, 6.50% |
|
3,214 |
|
59,202 |
|
First Horizon Corp., Series F, 4.70% |
|
4,594 |
|
61,560 |
|
Gladstone Investment Corp., 8.00% |
|
38,229 |
|
945,021 |
|
Goldman Sachs Group, Inc., Series A, 6.38% |
|
11,477 |
|
241,017 |
|
Goldman Sachs Group, Inc., Series C, 6.38% |
|
27,172 |
|
567,623 |
|
Goldman Sachs Group, Inc., Series D, 6.30% |
|
4,431 |
|
92,431 |
|
Huntington Bancshares, Inc., Series J, 6.88%(1) |
|
32,839 |
|
727,384 |
|
Invesco Mortgage Capital, Inc., Series B, 7.75%(1) |
|
263,879 |
|
5,501,877 |
|
Invesco Mortgage Capital, Inc., Series C, 7.50%(1) |
|
327,871 |
|
6,072,171 |
|
Jackson Financial, Inc., 8.00%(1) |
|
291,814 |
|
7,146,525 |
|
Kemper Corp., 5.88%(1) |
|
261,949 |
|
4,675,790 |
|
KeyCorp, Series E, 6.13% |
|
26,676 |
|
476,167 |
|
KeyCorp, Series F, 5.65% |
|
42,069 |
|
643,656 |
|
KeyCorp, Series G, 5.63% |
|
19,568 |
|
295,477 |
|
KKR Real Estate Finance Trust, Inc., Series A, 6.50% |
|
11,377 |
|
185,445 |
|
Merchants Bancorp, Series B, 6.00%(1) |
|
30,093 |
|
587,716 |
|
The accompanying notes are an integral part of these financial statements.
34
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
PREFERRED STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Financials (continued) |
|
|
|
|
|
Merchants Bancorp, Series C, 6.00%(1) |
|
104,178 |
|
$1,793,424 |
|
MetLife, Inc., Series A, 6.67% |
|
2,565 |
|
58,123 |
|
MFA Financial, Inc., Series B, 7.50%(1) |
|
280,739 |
|
4,896,088 |
|
MFA Financial, Inc., Series C, 6.50%(1) |
|
584,612 |
|
10,739,322 |
|
Morgan Stanley, Series A, 6.36% |
|
100,595 |
|
2,055,156 |
|
Morgan Stanley, Series O, 4.25% |
|
1,490 |
|
24,451 |
|
Navient Corp., 6.00%(1) |
|
69,338 |
|
1,191,920 |
|
New York Community Capital Trust V, 6.00%(1) |
|
5,895 |
|
207,858 |
|
New York Mortgage Trust, Inc., Series D, 8.00%(1) |
|
830,332 |
|
15,942,374 |
|
New York Mortgage Trust, Inc., Series E, 7.88%(1) |
|
474,303 |
|
10,064,710 |
|
New York Mortgage Trust, Inc., Series F, 6.88%(1) |
|
45,158 |
|
825,940 |
|
Oaktree Capital Group LLC, Series A, 6.63% |
|
5,394 |
|
103,619 |
|
Oaktree Capital Group LLC, Series B, 6.55% |
|
8,567 |
|
161,745 |
|
Oxford Lane Capital Corp., Series 2029, 6.00%(1) |
|
49,675 |
|
1,042,678 |
|
PacWest Bancorp, Series A, 7.75% |
|
26,818 |
|
546,014 |
|
PennyMac Mortgage Investment Trust, Series A, 8.13%(1) |
|
126,940 |
|
2,672,087 |
|
PennyMac Mortgage Investment Trust, Series B, 8.00%(1) |
|
477,261 |
|
9,879,303 |
|
PennyMac Mortgage Investment Trust, Series C, 6.75%(1) |
|
76,961 |
|
1,262,930 |
|
Prospect Capital Corp., Series A, 5.35%(1) |
|
429,079 |
|
6,788,030 |
|
Redwood Trust, Inc., 10.00%(1) |
|
67,719 |
|
1,520,292 |
|
Regions Financial Corp., Series C, 5.70% |
|
14,699 |
|
262,377 |
|
Regions Financial Corp., Series E, 4.45% |
|
37,397 |
|
552,728 |
|
Rithm Capital Corp., Series A, 7.50% |
|
19,749 |
|
446,130 |
|
Rithm Capital Corp., Series B, 7.13% |
|
34,473 |
|
763,577 |
|
Rithm Capital Corp., Series D, 7.00%(1) |
|
42,329 |
|
845,733 |
|
RiverNorth Opportunities Fund, Inc., Series A, 6.00%(1) |
|
59,170 |
|
1,326,000 |
|
SLM Corp., Series B, 7.37%(1) |
|
195,010 |
|
12,868,710 |
|
Synchrony Financial, Series A, 5.63%(1) |
|
360,086 |
|
5,318,470 |
|
Synovus Financial Corp., Series D, 9.01%(1) |
|
1,219 |
|
30,304 |
|
Synovus Financial Corp., Series E, 5.88% |
|
68,013 |
|
1,545,255 |
|
Texas Capital Bancshares, Inc., Series B, 5.75%(1) |
|
93,918 |
|
1,522,411 |
|
Truist Financial Corp., Series I, 6.20% |
|
35,955 |
|
734,201 |
|
Two Harbors Investment Corp., Series A, 8.13%(1) |
|
11,221 |
|
220,605 |
|
Two Harbors Investment Corp., Series B, 7.63%(1) |
|
411,797 |
|
7,782,963 |
|
Two Harbors Investment Corp., Series C, 7.25%(1) |
|
632,962 |
|
12,342,759 |
|
US Bancorp, Series A, 6.68%(1) |
|
12,527 |
|
9,268,477 |
|
US Bancorp, Series B, 6.26% |
|
180,026 |
|
3,474,502 |
|
W R Berkley Corp., 5.10% |
|
17,035 |
|
332,012 |
|
Zions Bancorp NA, 9.56% |
|
2,061 |
|
51,525 |
|
Zions Bancorp NA, Series G, 9.91% |
|
5,874 |
|
146,556 |
|
Total Financials |
|
|
|
244,050,884 |
|
|
|
|
|
|
|
Health Care — 0.1% |
|
|
|
|
|
XOMA Corp., Series A, 8.63%(1) |
|
|
|
|
|
|
|
24,219 |
|
528,701 |
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
PREFERRED STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Industrials — 14.4% |
|
|
|
|
|
Air Lease Corp., Series A, 6.15% |
|
10,051 |
|
$ 242,430 |
|
Alta Equipment Group, Inc., Series A, 10.00% |
|
2,814 |
|
71,138 |
|
Atlas Corp., Series D, 7.95% (Canada) |
|
3,592 |
|
86,855 |
|
Atlas Corp., Series H, 7.88% (Canada)(1) |
|
34,995 |
|
796,136 |
|
Babcock & Wilcox Enterprises, Inc., 8.13%(1) |
|
384,206 |
|
7,979,959 |
|
Babcock & Wilcox Enterprises, Inc., Series A, 7.75%(1) |
|
1,163,734 |
|
18,899,040 |
|
FTAI Aviation Ltd., Series A, 8.25%(1) |
|
91,641 |
|
2,197,551 |
|
FTAI Aviation Ltd., Series B, 8.00%(1) |
|
769,236 |
|
18,653,973 |
|
FTAI Aviation Ltd., Series C, 8.25%(1) |
|
27,866 |
|
636,738 |
|
FTAI Aviation Ltd., Series D, 9.50% |
|
30,520 |
|
740,110 |
|
Pitney Bowes, Inc., 6.70%(1) |
|
443,048 |
|
6,698,886 |
|
Textainer Group Holdings Ltd., 7.00% (China)(1) |
|
4,893 |
|
121,738 |
|
Textainer Group Holdings Ltd., Series B, 6.25% (China)(1) |
|
317,799 |
|
7,706,626 |
|
Triton International Ltd., 6.88% (Bermuda)(1) |
|
230,532 |
|
5,219,244 |
|
Triton International Ltd., 7.38% (Bermuda)(1) |
|
468,565 |
|
10,814,480 |
|
Triton International Ltd., 8.00% (Bermuda) |
|
3,053 |
|
75,409 |
|
Triton International Ltd., Series E, 5.75% (Bermuda)(1) |
|
282,431 |
|
5,208,028 |
|
WESCO International, Inc., Series A, 10.63%(1) |
|
49,308 |
|
1,314,551 |
|
Total Industrials |
|
|
|
87,462,892 |
|
|
|
|
|
|
|
Real Estate — 33.7%† |
|
|
|
|
|
Armada Hoffler Properties, Inc., Series A, 6.75% |
|
28,343 |
|
572,245 |
|
Braemar Hotels & Resorts, Inc., Series B, 5.50%(1) |
|
408,436 |
|
4,692,930 |
|
Braemar Hotels & Resorts, Inc., Series D, 8.25%(1) |
|
48,659 |
|
771,250 |
|
City Office REIT, Inc., Series A, 6.63%(1) |
|
80,405 |
|
1,165,872 |
|
CTO Realty Growth, Inc., Series A, 6.38%(1) |
|
101,118 |
|
1,785,744 |
|
DiamondRock Hospitality Co., 8.25%(1) |
|
212,058 |
|
5,403,238 |
|
Digital Realty Trust, Inc., Series K, 5.85% |
|
4,243 |
|
92,412 |
|
DigitalBridge Group, Inc., Series H, 7.13%(1) |
|
421,758 |
|
9,067,797 |
|
DigitalBridge Group, Inc., Series I, 7.15%(1) |
|
783,115 |
|
16,453,246 |
|
DigitalBridge Group, Inc., Series J, 7.13%(1) |
|
341,807 |
|
7,130,094 |
|
Diversified Healthcare Trust, 5.63%(1) |
|
537,098 |
|
7,379,726 |
|
Diversified Healthcare Trust, 6.25%(1) |
|
439,107 |
|
6,507,566 |
|
EPR Properties, Series C, 5.75%(1) |
|
95,899 |
|
1,814,409 |
|
EPR Properties, Series E, 9.00%(1) |
|
456,622 |
|
11,675,779 |
|
EPR Properties, Series G, 5.75%(1) |
|
288,085 |
|
5,194,173 |
|
Equity Commonwealth, Series D, 6.50% |
|
3,943 |
|
96,406 |
|
Federal Realty Investment Trust, Series C, 5.00% |
|
2,924 |
|
58,188 |
|
Gladstone Commercial Corp., Series G, 6.00% |
|
12,849 |
|
216,249 |
|
Global Net Lease, Inc., Series A, 7.25%(1) |
|
390,915 |
|
6,708,101 |
|
Global Net Lease, Inc., Series B, 6.88%(1) |
|
411,298 |
|
6,486,169 |
|
Global Net Lease, Inc., Series D, 7.50%(1) |
|
1,028,343 |
|
17,481,831 |
|
Global Net Lease, Inc., Series E, 7.38%(1) |
|
256,328 |
|
4,157,640 |
|
Healthcare Trust, Inc., Series B, 7.13%(1) |
|
259,609 |
|
3,509,914 |
|
Hersha Hospitality Trust, Series D, 6.50% |
|
242 |
|
6,014 |
|
Hudson Pacific Properties, Inc., Series C, 4.75%(1) |
|
107,041 |
|
1,128,212 |
|
LXP Industrial Trust, Series C, 6.50%(1) |
|
19,680 |
|
924,960 |
|
National Storage Affiliates Trust, Series A, 6.00% |
|
5,951 |
|
124,435 |
|
The accompanying notes are an integral part of these financial statements.
35
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
PREFERRED STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Real Estate (continued) |
|
|
|
|
|
Office Properties Income Trust, 6.38%(1) |
|
69,201 |
|
$960,510 |
|
Pebblebrook Hotel Trust, Series E, 6.38%(1) |
|
32,862 |
|
601,375 |
|
Pebblebrook Hotel Trust, Series F, 6.30%(1) |
|
269,926 |
|
4,918,052 |
|
Pebblebrook Hotel Trust, Series G, 6.38%(1) |
|
82,929 |
|
1,464,526 |
|
Pebblebrook Hotel Trust, Series H, 5.70%(1) |
|
56,989 |
|
916,953 |
|
Regency Centers Corp., Series A, 6.25% |
|
2,177 |
|
50,202 |
|
Regency Centers Corp., Series B, 5.88%(1) |
|
202,064 |
|
4,358,520 |
|
Rexford Industrial Realty, Inc., Series B, 5.88% |
|
4,450 |
|
95,497 |
|
RLJ Lodging Trust, Series A, 1.95%(1) |
|
882,384 |
|
20,824,262 |
|
RPT Realty, Series D, 7.25%(1) |
|
234,119 |
|
11,818,327 |
|
Saul Centers, Inc., Series E, 6.00%(1) |
|
397,439 |
|
8,068,012 |
|
SL Green Realty Corp., Series I, 6.50%(1) |
|
260,217 |
|
4,389,861 |
|
Spirit Realty Capital, Inc., Series A, 6.00% |
|
3,224 |
|
71,541 |
|
Summit Hotel Properties, Inc., Series E, 6.25%(1) |
|
227,044 |
|
4,086,792 |
|
Summit Hotel Properties, Inc., Series F, 5.88%(1) |
|
75,622 |
|
1,384,639 |
|
Sunstone Hotel Investors, Inc., Series H, 6.13%(1) |
|
5,509 |
|
113,871 |
|
Sunstone Hotel Investors, Inc., Series I, 5.70%(1) |
|
52,370 |
|
1,024,357 |
|
UMH Properties, Inc., Series D, 6.38%(1) |
|
35,355 |
|
719,474 |
|
Vornado Realty Trust, Series L, 5.40%(1) |
|
223,461 |
|
3,175,381 |
|
Vornado Realty Trust, Series M, 5.25%(1) |
|
411,573 |
|
5,762,022 |
|
Vornado Realty Trust, Series N, 5.25%(1) |
|
393,590 |
|
5,588,978 |
|
Vornado Realty Trust, Series O, 4.45% |
|
381,572 |
|
4,552,154 |
|
Total Real Estate |
|
|
|
205,549,906 |
|
|
|
|
|
|
|
Utilities — 12.3% |
|
|
|
|
|
AES Corp., 6.88%(1) |
|
99,789 |
|
6,015,281 |
|
Algonquin Power & Utilities Corp., 7.75% (Canada)(1) |
|
229,839 |
|
4,295,691 |
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
PREFERRED STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Utilities (continued) |
|
|
|
|
|
Algonquin Power & Utilities Corp., 9.34% (Canada) |
|
2,072 |
|
$51,966 |
|
Brookfield BRP Holdings Canada, Inc., 4.63% (Canada) |
|
3,099 |
|
42,363 |
|
DTE Energy Co., 4.38% |
|
132 |
|
2,364 |
|
Entergy New Orleans LLC, 5.50% |
|
2,176 |
|
45,326 |
|
NextEra Energy, Inc., 6.93% |
|
141,401 |
|
5,308,193 |
|
NiSource, Inc., 7.75%(1) |
|
13,742 |
|
1,394,676 |
|
Pacific Gas and Electric Co., Series A, 6.00%(1) |
|
25,131 |
|
490,557 |
|
SCE Trust II, 5.10% |
|
2,001 |
|
35,098 |
|
SCE Trust III, Series H, 5.75%(1) |
|
1,441,057 |
|
34,787,116 |
|
SCE Trust IV, Series J, 5.38%(1) |
|
90,212 |
|
1,772,666 |
|
SCE Trust VI, 5.00%(1) |
|
674,423 |
|
11,815,891 |
|
South Jersey Industries, Inc., 5.63%(1) |
|
5,636 |
|
70,816 |
|
Southern Co., Series 2020, 4.95% |
|
13,260 |
|
268,648 |
|
Spire, Inc., Series A, 5.90% |
|
12,070 |
|
266,626 |
|
UGI Corp., 7.25%(1) |
|
157,361 |
|
7,990,792 |
|
Total Utilities |
|
|
|
74,654,070 |
|
|
|
|
|
|
|
TOTAL INVESTMENTS — 126.1% |
|
|
|
|
|
(Cost $873,513,506) |
|
|
|
768,110,753 |
|
Liabilities in Excess of Other Assets — (26.1)% |
|
|
|
(158,832,337 |
) |
Net Assets — 100.0% |
|
|
|
$609,278,416 |
|
___________
†Amounts represent investments in particular sectors. No industry within these sectors represented more than 25% of the Fund’s total assets at the time of investment.
(1)Security, or a portion thereof, has been pledged as collateral for borrowings. The aggregate market value of the collateral at October 31, 2023 was $513,257,640.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of October 31, 2023.
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
Preferred Stocks |
|
$768,110,753 |
|
$— |
|
$— |
|
$768,110,753 |
Total |
|
$768,110,753 |
|
$— |
|
$— |
|
$768,110,753 |
The accompanying notes are an integral part of these financial statements.
36
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS — 96.5% |
|
|
|
|
|
|
|
|
|
|
|
Health Care — 96.5% |
|
|
|
|
|
4D Molecular Therapeutics, Inc.* |
|
4,479 |
|
$48,104 |
|
89bio, Inc.* |
|
4,619 |
|
34,181 |
|
AbCellera Biologics, Inc. (Canada)* |
|
13,385 |
|
55,012 |
|
Agenus, Inc.* |
|
54,041 |
|
43,233 |
|
Akero Therapeutics, Inc.* |
|
1,795 |
|
21,396 |
|
Aldeyra Therapeutics, Inc.* |
|
9,460 |
|
16,177 |
|
Alector, Inc.* |
|
12,831 |
|
66,721 |
|
Allakos, Inc.* |
|
20,177 |
|
38,538 |
|
Allogene Therapeutics, Inc.*(1) |
|
19,835 |
|
55,935 |
|
ALX Oncology Holdings, Inc.*(1) |
|
10,727 |
|
77,234 |
|
Ambrx Biopharma, Inc.* |
|
6,793 |
|
70,715 |
|
AnaptysBio, Inc.* |
|
5,323 |
|
86,818 |
|
Arbutus Biopharma Corp.* |
|
40,040 |
|
73,273 |
|
Arcellx, Inc.* |
|
2,605 |
|
91,826 |
|
Arcturus Therapeutics Holdings, Inc.* |
|
3,582 |
|
68,416 |
|
Arcus Biosciences, Inc.* |
|
5,042 |
|
79,210 |
|
Arcutis Biotherapeutics, Inc.*(1) |
|
9,248 |
|
20,808 |
|
Ardelyx, Inc.* |
|
24,595 |
|
97,150 |
|
Arrowhead Pharmaceuticals, Inc.* |
|
2,799 |
|
68,827 |
|
Arvinas, Inc.* |
|
3,361 |
|
54,179 |
|
ATAI Life Sciences NV (Germany)* |
|
55,554 |
|
68,331 |
|
Atea Pharmaceuticals, Inc.* |
|
24,183 |
|
78,595 |
|
Avidity Biosciences, Inc.* |
|
8,113 |
|
41,782 |
|
Bicycle Therapeutics PLC (United Kingdom)*(2) |
|
3,705 |
|
55,760 |
|
Biohaven Ltd.* |
|
4,057 |
|
107,551 |
|
Biomea Fusion, Inc.* |
|
2,543 |
|
25,989 |
|
Bioxcel Therapeutics, Inc.*(1) |
|
4,646 |
|
18,654 |
|
Caribou Biosciences, Inc.* |
|
21,358 |
|
77,530 |
|
Cassava Sciences, Inc.*(1) |
|
3,907 |
|
78,726 |
|
Celldex Therapeutics, Inc.* |
|
2,631 |
|
61,881 |
|
Cerevel Therapeutics Holdings, Inc.* |
|
2,895 |
|
68,467 |
|
Cogent Biosciences, Inc.* |
|
7,700 |
|
62,832 |
|
Compass Pathways PLC (United Kingdom)*(1)(2) |
|
12,549 |
|
71,906 |
|
Crinetics Pharmaceuticals, Inc.* |
|
4,849 |
|
142,027 |
|
CRISPR Therapeutics AG (Switzerland)* |
|
1,681 |
|
65,441 |
|
Cullinan Oncology, Inc.* |
|
8,404 |
|
78,409 |
|
CureVac NV (Germany)* |
|
9,723 |
|
51,532 |
|
Cymabay Therapeutics, Inc.* |
|
11,343 |
|
185,798 |
|
Cytokinetics, Inc.* |
|
2,824 |
|
98,445 |
|
Day One Biopharmaceuticals, Inc.* |
|
7,339 |
|
86,820 |
|
Denali Therapeutics, Inc.* |
|
3,045 |
|
57,337 |
|
Design Therapeutics, Inc.* |
|
18,313 |
|
37,359 |
|
Disc Medicine, Inc.* |
|
2,014 |
|
92,261 |
|
Dynavax Technologies Corp.* |
|
7,831 |
|
111,279 |
|
Dyne Therapeutics, Inc.* |
|
7,972 |
|
56,203 |
|
Edgewise Therapeutics, Inc.* |
|
10,384 |
|
66,458 |
|
Editas Medicine, Inc.* |
|
8,914 |
|
59,546 |
|
EQRx, Inc.* |
|
54,639 |
|
119,113 |
|
Erasca, Inc.* |
|
36,494 |
|
84,301 |
|
Exscientia PLC (United Kingdom)*(1)(2) |
|
14,247 |
|
76,934 |
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Health Care (continued) |
|
|
|
|
|
Fate Therapeutics, Inc.* |
|
18,216 |
|
$32,971 |
|
FibroGen, Inc.* |
|
6,037 |
|
3,266 |
|
Geron Corp.* |
|
32,005 |
|
60,809 |
|
Ideaya Biosciences, Inc.* |
|
3,977 |
|
108,055 |
|
IGM Biosciences, Inc.* |
|
9,909 |
|
39,041 |
|
Immatics NV (Germany)* |
|
8,263 |
|
63,212 |
|
ImmunityBio, Inc.*(1) |
|
34,461 |
|
108,208 |
|
Immunovant, Inc.* |
|
4,647 |
|
153,583 |
|
Inhibrx, Inc.*(1) |
|
3,678 |
|
56,899 |
|
Intellia Therapeutics, Inc.* |
|
2,192 |
|
54,910 |
|
Iovance Biotherapeutics, Inc.* |
|
11,405 |
|
43,567 |
|
iTeos Therapeutics, Inc.* |
|
7,066 |
|
71,084 |
|
Karuna Therapeutics, Inc.* |
|
414 |
|
68,977 |
|
Keros Therapeutics, Inc.* |
|
2,561 |
|
73,091 |
|
Kodiak Sciences, Inc.* |
|
10,947 |
|
15,873 |
|
Krystal Biotech, Inc.* |
|
766 |
|
89,522 |
|
Kura Oncology, Inc.* |
|
8,624 |
|
72,873 |
|
Kymera Therapeutics, Inc.*(1) |
|
3,837 |
|
44,778 |
|
Liquidia Corp.* |
|
12,566 |
|
81,805 |
|
Lyell Immunopharma, Inc.* |
|
28,661 |
|
47,434 |
|
Madrigal Pharmaceuticals, Inc.*(1) |
|
388 |
|
50,975 |
|
Mersana Therapeutics, Inc.* |
|
10,358 |
|
12,326 |
|
Merus NV (Netherlands)* |
|
3,731 |
|
75,030 |
|
Mineralys Therapeutics, Inc.* |
|
6,205 |
|
47,965 |
|
Mirati Therapeutics, Inc.* |
|
2,684 |
|
149,043 |
|
MoonLake Immunotherapeutics*(1) |
|
3,687 |
|
191,023 |
|
Morphic Holding, Inc.* |
|
1,654 |
|
32,997 |
|
Novavax, Inc.*(1) |
|
12,813 |
|
85,335 |
|
Nurix Therapeutics, Inc.* |
|
9,011 |
|
50,371 |
|
Nuvalent, Inc. Class A*(1) |
|
2,296 |
|
119,599 |
|
Phathom Pharmaceuticals, Inc.* |
|
7,744 |
|
72,019 |
|
Pliant Therapeutics, Inc.*(1) |
|
4,066 |
|
59,648 |
|
PMV Pharmaceuticals, Inc.* |
|
16,534 |
|
24,966 |
|
Point Biopharma Global, Inc.* |
|
9,954 |
|
126,018 |
|
Precigen, Inc.* |
|
79,754 |
|
90,122 |
|
Protagonist Therapeutics, Inc.* |
|
3,440 |
|
50,018 |
|
Prothena Corp. PLC (Ireland)* |
|
1,372 |
|
50,023 |
|
RAPT Therapeutics, Inc.* |
|
4,691 |
|
61,687 |
|
Recursion Pharmaceuticals, Inc. Class A*(1) |
|
10,032 |
|
52,969 |
|
REGENXBIO, Inc.* |
|
5,025 |
|
64,772 |
|
Relay Therapeutics, Inc.* |
|
8,272 |
|
54,595 |
|
Replimune Group, Inc.* |
|
4,216 |
|
61,427 |
|
REVOLUTION Medicines, Inc.*(1) |
|
3,916 |
|
77,537 |
|
Rocket Pharmaceuticals, Inc.* |
|
4,356 |
|
78,844 |
|
Scilex Holding Co. (Singapore)*(3) |
|
17,635 |
|
31,329 |
|
Seres Therapeutics, Inc.*(1) |
|
16,156 |
|
24,719 |
|
SpringWorks Therapeutics, Inc.* |
|
3,590 |
|
82,211 |
|
Stoke Therapeutics, Inc.* |
|
7,893 |
|
30,072 |
|
Structure Therapeutics, Inc.*(2) |
|
3,194 |
|
237,314 |
|
Summit Therapeutics, Inc.* |
|
50,714 |
|
98,385 |
|
The accompanying notes are an integral part of these financial statements.
37
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Health Care (continued) |
|
|
|
|
|
Syndax Pharmaceuticals, Inc.* |
|
4,532 |
|
$63,811 |
|
Terns Pharmaceuticals, Inc.* |
|
8,404 |
|
44,205 |
|
TG Therapeutics, Inc.* |
|
3,634 |
|
28,091 |
|
uniQure NV (Netherlands)* |
|
5,104 |
|
29,093 |
|
Vaxcyte, Inc.* |
|
1,883 |
|
90,572 |
|
Ventyx Biosciences, Inc.* |
|
2,825 |
|
40,737 |
|
Verve Therapeutics, Inc.*(1) |
|
5,782 |
|
69,615 |
|
Viking Therapeutics, Inc.*(1) |
|
4,418 |
|
43,341 |
|
Vir Biotechnology, Inc.* |
|
3,802 |
|
30,150 |
|
Viridian Therapeutics, Inc.* |
|
3,572 |
|
44,650 |
|
Xencor, Inc.*(1) |
|
3,722 |
|
64,577 |
|
Xenon Pharmaceuticals, Inc. (Canada)* |
|
2,324 |
|
72,044 |
|
Zentalis Pharmaceuticals, Inc.* |
|
4,012 |
|
65,636 |
|
Zymeworks, Inc.* |
|
11,871 |
|
83,334 |
|
Total Common Stocks |
|
|
|
|
|
(Cost $15,199,620) |
|
|
|
7,758,173 |
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
SECURITIES LENDING COLLATERAL — 8.1% |
|
|
|
| |
Money Market Fund — 8.1% |
|
|
|
|
|
Dreyfus Government Cash Management Fund, Institutional Shares, 5.23%(4)(5) |
|
|
|
|
|
(Cost $647,190) |
|
647,190 |
|
$ 647,190 |
|
|
|
|
|
|
|
TOTAL INVESTMENTS — 104.6% |
|
|
|
|
|
(Cost $15,846,810) |
|
|
|
8,405,363 |
|
Liabilities in Excess of Other Assets — (4.6)% |
|
|
|
(370,270 |
) |
Net Assets — 100.0% |
|
|
|
$8,035,093 |
|
___________
*Non-income producing security.
(1)All or a portion of the security was on loan. The aggregate market value of securities on loan was $1,299,727; total market value of collateral held by the Fund was $1,286,608. Market value of the collateral held includes non-cash U.S. Treasury securities having a value of $639,418.
(2)American Depositary Receipts.
(3)Restricted security. See Note 5.
(4)Represents securities purchased with cash collateral received for securities on loan.
(5)The rate shown reflects the seven-day yield as of October 31, 2023.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of October 31, 2023.
The accompanying notes are an integral part of these financial statements.
38
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
COMMON STOCKS — 99.2% |
|
|
|
|
|
|
|
|
|
Health Care — 99.2% |
|
|
|
|
2seventy bio, Inc.*(1) |
|
28,308 |
|
$69,072 |
ACADIA Pharmaceuticals, Inc.* |
|
12,605 |
|
284,495 |
ADMA Biologics, Inc.* |
|
78,224 |
|
264,397 |
Agios Pharmaceuticals, Inc.* |
|
11,823 |
|
248,401 |
Alnylam Pharmaceuticals, Inc.* |
|
1,533 |
|
232,709 |
Amgen, Inc. |
|
1,379 |
|
352,610 |
Amicus Therapeutics, Inc.* |
|
22,877 |
|
250,961 |
Amylyx Pharmaceuticals, Inc.* |
|
12,223 |
|
199,357 |
Apellis Pharmaceuticals, Inc.*(1) |
|
3,301 |
|
160,627 |
Ascendis Pharma A/S (Denmark)*(2) |
|
3,368 |
|
300,796 |
Aurinia Pharmaceuticals, Inc. (Canada)* |
|
30,857 |
|
226,490 |
Axsome Therapeutics, Inc.*(1) |
|
3,762 |
|
234,297 |
BeiGene Ltd. (China)*(2) |
|
1,459 |
|
271,783 |
BioCryst Pharmaceuticals, Inc.* |
|
38,321 |
|
210,382 |
Biogen, Inc.* |
|
1,016 |
|
241,341 |
BioMarin Pharmaceutical, Inc.* |
|
3,221 |
|
262,350 |
BioNTech SE (Germany)*(2) |
|
2,740 |
|
256,300 |
Bluebird Bio, Inc.*(1) |
|
78,827 |
|
232,540 |
Blueprint Medicines Corp.* |
|
5,179 |
|
304,836 |
Bridgebio Pharma, Inc.* |
|
18,018 |
|
469,189 |
Deciphera Pharmaceuticals, Inc.* |
|
21,460 |
|
257,305 |
Enanta Pharmaceuticals, Inc.* |
|
12,784 |
|
115,312 |
Exelixis, Inc.* |
|
16,201 |
|
333,579 |
Gilead Sciences, Inc. |
|
3,941 |
|
309,526 |
Halozyme Therapeutics, Inc.* |
|
9,231 |
|
312,654 |
Harmony Biosciences Holdings, Inc.* |
|
8,510 |
|
200,325 |
Immunocore Holdings PLC (United Kingdom)*(1)(2) |
|
5,265 |
|
233,766 |
ImmunoGen, Inc.* |
|
17,174 |
|
255,206 |
Incyte Corp.* |
|
4,951 |
|
267,007 |
Insmed, Inc.* |
|
15,777 |
|
395,372 |
Intercept Pharmaceuticals, Inc.* |
|
25,272 |
|
478,399 |
Intra-Cellular Therapies, Inc.* |
|
4,723 |
|
235,017 |
Ionis Pharmaceuticals, Inc.*(1) |
|
7,457 |
|
330,121 |
Ironwood Pharmaceuticals, Inc.* |
|
27,538 |
|
247,016 |
Kiniksa Pharmaceuticals Ltd. Class A* |
|
18,461 |
|
281,530 |
Legend Biotech Corp.*(2) |
|
4,409 |
|
291,303 |
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
Health Care (continued) |
|
|
|
|
Lexicon Pharmaceuticals, Inc.* |
|
121,711 |
|
$150,922 |
Ligand Pharmaceuticals, Inc.* |
|
3,904 |
|
204,140 |
Mirum Pharmaceuticals, Inc.* |
|
10,739 |
|
294,571 |
Moderna, Inc.* |
|
2,414 |
|
183,367 |
Neurocrine Biosciences, Inc.* |
|
3,227 |
|
358,003 |
Omniab, Inc. - $12.50 Earnout*(3) |
|
1,295 |
|
0 |
Omniab, Inc. - $15.00 Earnout*(3) |
|
1,295 |
|
0 |
PTC Therapeutics, Inc.* |
|
7,075 |
|
132,656 |
Regeneron Pharmaceuticals, Inc.* |
|
394 |
|
307,277 |
Rhythm Pharmaceuticals, Inc.*(1) |
|
17,193 |
|
397,330 |
Roivant Sciences Ltd.*(1) |
|
31,338 |
|
270,760 |
Sage Therapeutics, Inc.* |
|
5,240 |
|
98,145 |
Sarepta Therapeutics, Inc.* |
|
2,334 |
|
157,102 |
Theravance Biopharma, Inc.* |
|
29,232 |
|
275,950 |
Travere Therapeutics, Inc.* |
|
17,981 |
|
116,517 |
Ultragenyx Pharmaceutical, Inc.* |
|
6,072 |
|
214,949 |
United Therapeutics Corp.* |
|
1,342 |
|
299,078 |
Vanda Pharmaceuticals, Inc.* |
|
48,530 |
|
212,561 |
Vertex Pharmaceuticals, Inc.* |
|
893 |
|
323,364 |
Zai Lab Ltd. (China)*(1)(2) |
|
10,998 |
|
277,150 |
|
|
|
|
|
TOTAL INVESTMENTS — 99.2% |
|
|
|
|
(Cost $16,630,105) |
|
|
|
13,890,213 |
Other Assets in Excess of Liabilities — 0.8% |
|
|
|
110,964 |
Net Assets — 100.0% |
|
|
|
$14,001,177 |
___________
*Non-income producing security.
(1)All or a portion of the security was on loan. The aggregate market value of securities on loan was $2,169,903; total market value of collateral held by the Fund was $2,178,724. Market value of the collateral held includes non-cash U.S. Treasury securities having a value of $2,178,724.
(2)American Depositary Receipts.
(3)Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 2 security in the Fair Value Hierarchy table located after the Schedule of Investments.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of October 31, 2023.
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
Common Stocks |
|
$13,890,213 |
|
$0 |
|
$— |
|
$13,890,213 |
Total |
|
$13,890,213 |
|
$0 |
|
$— |
|
$13,890,213 |
The accompanying notes are an integral part of these financial statements.
39
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
CORPORATE BONDS — 34.4% |
|
|
|
|
|
|
|
|
|
Communication Services — 1.7% |
|
|
|
|
AT&T, Inc., 5.40%, 02/15/34 |
|
$150,000 |
|
$137,877 |
CCO Holdings LLC / CCO Holdings Capital Corp., 4.75%, 03/01/30(1) |
|
70,000 |
|
57,845 |
CSC Holdings LLC, 5.25%, 06/01/24 |
|
80,000 |
|
74,873 |
DISH DBS Corp., 5.88%, 11/15/24 |
|
55,000 |
|
50,537 |
DISH DBS Corp., 7.75%, 07/01/26 |
|
105,000 |
|
70,486 |
Gray Television, Inc., 7.00%, 05/15/27(1) |
|
115,000 |
|
97,630 |
Level 3 Financing, Inc., 3.63%, 01/15/29(1) |
|
60,000 |
|
30,712 |
Millennium Escrow Corp., 6.63%, 08/01/26(1) |
|
110,000 |
|
81,788 |
Rackspace Technology Global, Inc., 5.38%, 12/01/28(1) |
|
65,000 |
|
19,072 |
Sprint Capital Corp., 8.75%, 03/15/32 |
|
130,000 |
|
146,497 |
T-Mobile USA, Inc., 5.05%, 07/15/33 |
|
56,000 |
|
50,628 |
Total Communication Services |
|
|
|
817,945 |
|
|
|
|
|
Consumer Discretionary — 2.5% |
|
|
|
|
Carnival Corp., 7.00%, 08/15/29(1) |
|
15,000 |
|
14,722 |
Carriage Services, Inc., 4.25%, 05/15/29(1) |
|
59,000 |
|
48,319 |
Churchill Downs, Inc., 6.75%, 05/01/31(1) |
|
65,000 |
|
60,044 |
Clarios Global LP / Clarios US Finance Co., 6.75%, 05/15/28(1) |
|
10,000 |
|
9,759 |
Ford Motor Co., 3.25%, 02/12/32 |
|
90,000 |
|
67,998 |
Ford Motor Co., 4.75%, 01/15/43 |
|
70,000 |
|
48,713 |
Genuine Parts Co., 6.88%, 11/01/33 |
|
135,000 |
|
134,715 |
Jacobs Entertainment, Inc., 6.75%, 02/15/29(1) |
|
114,000 |
|
96,999 |
MDC Holdings, Inc., 3.97%, 08/06/61 |
|
185,000 |
|
97,856 |
Newell Brands, Inc., 6.63%, 09/15/29 |
|
111,000 |
|
102,323 |
NMG Holding Co., Inc. / Neiman Marcus Group LLC, 7.13%, 04/01/26(1) |
|
115,000 |
|
107,677 |
Nordstrom, Inc., 4.25%, 08/01/31 |
|
100,000 |
|
73,371 |
Premier Entertainment Sub LLC / Premier Entertainment Finance Corp., 5.63%, 09/01/29(1) |
|
155,000 |
|
109,139 |
PulteGroup, Inc., 7.88%, 06/15/32 |
|
95,000 |
|
101,985 |
PulteGroup, Inc., 6.38%, 05/15/33 |
|
30,000 |
|
29,195 |
Royal Caribbean Cruises Ltd., 9.25%, 01/15/29(1) |
|
4,000 |
|
4,179 |
Weekley Homes LLC / Weekley Finance Corp., 4.88%, 09/15/28(1) |
|
120,000 |
|
103,195 |
Total Consumer Discretionary |
|
|
|
1,210,189 |
|
|
|
|
|
Consumer Staples — 0.4% |
|
|
|
|
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International US LLC, 6.63%, 07/15/30(1) |
|
65,000 |
|
62,003 |
HLF Financing Sarl LLC / Herbalife International, Inc., 4.88%, 06/01/29(1) |
|
80,000 |
|
54,713 |
Pilgrim’s Pride Corp., 6.25%, 07/01/33 |
|
108,000 |
|
99,387 |
Total Consumer Staples |
|
|
|
216,103 |
|
|
|
|
|
Energy — 3.7% |
|
|
|
|
Ascent Resources Utica Holdings LLC / ARU Finance Corp., 8.25%, 12/31/28(1) |
|
85,000 |
|
84,484 |
CITGO Petroleum Corp., 7.00%, 06/15/25(1) |
|
120,000 |
|
118,037 |
Civitas Resources, Inc., 8.75%, 07/01/31(1) |
|
75,000 |
|
75,789 |
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
CORPORATE BONDS (continued) |
|
|
|
|
|
|
|
|
|
Energy (continued) |
|
|
|
|
Columbia Pipelines Operating Co. LLC, 6.04%, 11/15/33(1) |
|
$115,000 |
|
$109,259 |
Columbia Pipelines Operating Co. LLC, 6.71%, 08/15/63(1) |
|
20,000 |
|
18,447 |
CrownRock LP / CrownRock Finance, Inc., 5.63%, 10/15/25(1) |
|
50,000 |
|
49,230 |
CrownRock LP / CrownRock Finance, Inc., 5.00%, 05/01/29(1) |
|
50,000 |
|
47,205 |
DT Midstream, Inc., 4.13%, 06/15/29(1) |
|
105,000 |
|
90,380 |
Energy Transfer LP, Series H, 6.50%, (US 5 Year CMT T- Note + 5.69%), perpetual(2)(3) |
|
120,000 |
|
108,982 |
Flex Intermediate Holdco LLC, 3.36%, 06/30/31(1) |
|
195,000 |
|
147,276 |
Genesis Energy LP / Genesis Energy Finance Corp., 8.88%, 04/15/30 |
|
100,000 |
|
96,753 |
Hilcorp Energy I LP / Hilcorp Finance Co., 5.75%, 02/01/29(1) |
|
125,000 |
|
112,671 |
Kinder Morgan, Inc., Series G, 7.75%, 01/15/32 |
|
113,000 |
|
120,009 |
Mesquite Energy, Inc., Escrow, 7.25%, perpetual(3) |
|
12,000 |
|
1,140 |
Nabors Industries Ltd., 7.25%, 01/15/26(1) |
|
100,000 |
|
94,023 |
Occidental Petroleum Corp., 6.13%, 01/01/31 |
|
130,000 |
|
127,262 |
Transocean, Inc., 11.50%, 01/30/27(1) |
|
89,000 |
|
92,690 |
Transocean, Inc., 8.75%, 02/15/30(1) |
|
71,250 |
|
71,100 |
USA Compression Partners LP / USA Compression Finance Corp., 6.88%, 04/01/26 |
|
68,000 |
|
66,106 |
Venture Global Calcasieu Pass LLC, 4.13%, 08/15/31(1) |
|
125,000 |
|
100,629 |
Viper Energy Partners LP, 7.38%, 11/01/31(1) |
|
15,000 |
|
14,977 |
Total Energy |
|
|
|
1,746,449 |
|
|
|
|
|
Financials — 11.2% |
|
|
|
|
Acrisure LLC / Acrisure Finance, Inc., 7.00%, 11/15/25(1) |
|
120,000 |
|
116,513 |
Allstate Corp. (The), Series B, 8.56%, (3-Month USD LIBOR + 3.20%), 08/15/53(2) |
|
180,000 |
|
177,653 |
American Express Co., 5.63%, (SOFR + 1.93%), 07/28/34(2) |
|
165,000 |
|
150,472 |
Bank of America Corp., 3.42%, (3-Month USD LIBOR + 1.30%), 12/20/28(2) |
|
130,000 |
|
115,770 |
Bank of America Corp., 5.02%, (SOFR + 2.16%), 07/22/33(2) |
|
155,000 |
|
138,640 |
Bank of America Corp., 2.48%, (US 5 Year CMT T- Note + 1.20%), 09/21/36(2) |
|
160,000 |
|
114,092 |
Bank of New York Mellon Corp. (The), Series G, 4.70%, (US 5 Year CMT T- Note + 4.36%), perpetual(2)(3) |
|
155,000 |
|
147,091 |
Bank of New York Mellon Corp. (The), 5.83%, (SOFR + 2.07%), 10/25/33(2) |
|
45,000 |
|
43,120 |
Blackstone Private Credit Fund, 2.63%, 12/15/26 |
|
59,000 |
|
50,527 |
Blue Owl Credit Income Corp., 4.70%, 02/08/27 |
|
38,000 |
|
34,500 |
Blue Owl Finance LLC, 3.13%, 06/10/31(1) |
|
185,000 |
|
135,603 |
BroadStreet Partners, Inc., 5.88%, 04/15/29(1) |
|
100,000 |
|
87,274 |
Capital One Financial Corp., 2.36%, (SOFR + 1.34%), 07/29/32(2) |
|
155,000 |
|
102,305 |
The accompanying notes are an integral part of these financial statements.
40
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
CORPORATE BONDS (continued) |
|
|
|
|
|
|
|
|
|
Financials (continued) |
|
|
|
|
Charles Schwab Corp. (The), Series H, 4.00%, (US 10 Year CMT T- Note + 3.08%), perpetual(2)(3) |
|
$95,000 |
|
$64,948 |
Charles Schwab Corp. (The), 6.14%, (SOFR + 2.01%), 08/24/34(2) |
|
85,000 |
|
79,660 |
Citadel LP, 4.88%, 01/15/27(1) |
|
115,000 |
|
109,088 |
Citigroup, Inc., 3.98%, (3-Month USD LIBOR + 1.60%), 03/20/30(2) |
|
125,000 |
|
110,626 |
Citigroup, Inc., 6.27%, (SOFR + 2.34%), 11/17/33(2) |
|
110,000 |
|
106,851 |
Citigroup, Inc., 6.17%, (SOFR + 2.66%), 05/25/34(2) |
|
147,000 |
|
136,713 |
Cobra AcquisitionCo. LLC, 6.38%, 11/01/29(1) |
|
50,000 |
|
35,688 |
Corebridge Financial, Inc., 6.88%, (US 5 Year CMT T-Note + 3.85%), 12/15/52(2) |
|
164,000 |
|
151,709 |
Discover Financial Services, 6.70%, 11/29/32 |
|
98,000 |
|
90,827 |
Fifth Third Bancorp, 4.34%, (SOFR + 1.66%), 04/25/33(2) |
|
105,000 |
|
85,578 |
First American Financial Corp., 4.00%, 05/15/30 |
|
135,000 |
|
112,775 |
Goldman Sachs Group, Inc. (The), 1.99%, (SOFR + 1.09%), 01/27/32(2) |
|
220,000 |
|
161,461 |
Goldman Sachs Group, Inc. (The), 3.10%, (SOFR + 1.41%), 02/24/33(2) |
|
60,000 |
|
46,663 |
Goldman Sachs Group, Inc. (The), 6.45%, 05/01/36 |
|
110,000 |
|
106,051 |
Huntington Bancshares, Inc./Oh, 2.55%, 02/04/30 |
|
125,000 |
|
96,255 |
JPMorgan Chase & Co., Series HH, 4.60%, (SOFR + 3.13%), perpetual(2)(3) |
|
94,000 |
|
87,811 |
JPMorgan Chase & Co., 1.95%, (SOFR + 1.07%), 02/04/32(2) |
|
110,000 |
|
81,749 |
JPMorgan Chase & Co., 5.72%, (SOFR + 2.58%), 09/14/33(2) |
|
175,000 |
|
163,937 |
KeyCorp, 4.79%, (SOFR + 2.06%), 06/01/33(2) |
|
100,000 |
|
78,892 |
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 4.25%, 02/01/27(1) |
|
75,000 |
|
65,594 |
Liberty Mutual Group, Inc., 4.13%, (US 5 Year CMT T- Note + 3.32%), 12/15/51(1)(2) |
|
55,000 |
|
43,761 |
Lincoln National Corp., 7.72%, (3-Month USD LIBOR + 2.04%), 04/20/67(2) |
|
80,000 |
|
50,118 |
MetLife, Inc., Series G, 3.85%, (US 5 Year CMT T- Note + 3.58%), perpetual(2)(3) |
|
130,000 |
|
118,521 |
MetLife, Inc., Series D, 5.88%, (3-Month USD LIBOR + 3.22%), perpetual(2)(3) |
|
52,000 |
|
46,058 |
Midcap Financial Issuer Trust, 6.50%, 05/01/28(1) |
|
75,000 |
|
63,640 |
Morgan Stanley, 6.34%, (SOFR + 2.56%), 10/18/33(2) |
|
110,000 |
|
107,878 |
Morgan Stanley, 5.25%, (SOFR + 1.87%), 04/21/34(2) |
|
145,000 |
|
130,701 |
Morgan Stanley, 5.95%, (US 5 Year CMT T- Note + 2.43%), 01/19/38(2) |
|
72,000 |
|
65,321 |
MSCI, Inc., 3.63%, 09/01/30(1) |
|
139,000 |
|
115,180 |
National Rural Utilities Cooperative Finance Corp., 8.56%, (3-Month USD LIBOR + 3.17%), 04/30/43(2) |
|
90,000 |
|
88,238 |
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
CORPORATE BONDS (continued) |
|
|
|
|
|
|
|
|
|
Financials (continued) |
|
|
|
|
Nationstar Mortgage Holdings, Inc., 5.75%, 11/15/31(1) |
|
$100,000 |
|
$ 83,375 |
NCR Atleos Escrow Corp., 9.50%, 04/01/29(1) |
|
77,000 |
|
75,559 |
Northern Trust Corp., 6.13%, 11/02/32 |
|
55,000 |
|
53,040 |
OneMain Finance Corp., 6.88%, 03/15/25 |
|
75,000 |
|
74,076 |
Prudential Financial, Inc., 5.13%, (US 5 Year CMT T- Note + 3.16%), 03/01/52(2) |
|
79,000 |
|
67,318 |
Prudential Financial, Inc., 6.00%, (US 5 Year CMT T- Note + 3.23%), 09/01/52(2) |
|
10,000 |
|
8,965 |
State Street Corp., 4.82%, (SOFR + 1.57%), 01/26/34(2) |
|
172,000 |
|
152,593 |
Synchrony Financial, 4.88%, 06/13/25 |
|
65,000 |
|
61,664 |
Synchrony Financial, 3.70%, 08/04/26 |
|
30,000 |
|
26,620 |
Texas Capital Bancshares, Inc., 4.00%, (US 5
Year |
|
70,000 |
|
57,802 |
Truist Financial Corp., Series Q, 5.10%,
(US 10 |
|
165,000 |
|
132,970 |
Wells Fargo & Co., Series BB, 3.90%,
(US 5 Year |
|
100,000 |
|
86,679 |
Wells Fargo & Co., 5.39%, (SOFR + 2.02%), 04/24/34(2) |
|
185,000 |
|
167,557 |
Wells Fargo & Co., 6.49%, (SOFR + 2.06%), 10/23/34(2) |
|
55,000 |
|
54,064 |
Total Financials |
|
|
|
5,318,134 |
|
|
|
|
|
Health Care — 4.3% |
|
|
|
|
Adapthealth LLC, 5.13%, 03/01/30(1) |
|
145,000 |
|
109,982 |
Akumin, Inc., 7.00%, 11/01/25(1)(4) |
|
145,000 |
|
122,661 |
Bausch Health Cos., Inc., 6.13%, 02/01/27(1) |
|
5,000 |
|
2,795 |
Bausch Health Cos., Inc., 11.00%, 09/30/28(1) |
|
19,000 |
|
11,637 |
Bausch Health Cos., Inc., 14.00%, 10/15/30(1) |
|
3,000 |
|
1,631 |
Catalent Pharma Solutions, Inc., 3.50%, 04/01/30(1) |
|
140,000 |
|
110,036 |
CHS/Community Health Systems, Inc., 6.88%, 04/15/29(1) |
|
25,000 |
|
10,349 |
CHS/Community Health Systems, Inc., 6.13%, 04/01/30(1) |
|
30,000 |
|
11,656 |
CHS/Community Health Systems, Inc., 4.75%, 02/15/31(1) |
|
165,000 |
|
110,784 |
Dentsply Sirona, Inc., 3.25%, 06/01/30 |
|
260,000 |
|
211,748 |
Fortrea Holdings, Inc., 7.50%, 07/01/30(1) |
|
23,000 |
|
22,224 |
HCA, Inc., 5.50%, 06/01/33 |
|
145,000 |
|
132,351 |
Illumina, Inc., 2.55%, 03/23/31 |
|
197,000 |
|
150,092 |
Iqvia, Inc., 5.70%, 05/15/28(1) |
|
200,000 |
|
192,250 |
Lannett Co., Inc., 7.75%, 04/15/26(1)(4)(5) |
|
10,000 |
|
719 |
LifePoint Health, Inc., 9.88%, 08/15/30(1) |
|
175,000 |
|
158,375 |
Medline Borrower LP, 5.25%, 10/01/29(1) |
|
80,000 |
|
68,176 |
Par Pharmaceutical, Inc., 7.50%, 04/01/27(1)(4) |
|
35,000 |
|
23,767 |
Star Parent, Inc., 9.00%, 10/01/30(1) |
|
20,000 |
|
19,873 |
Surgery Center Holdings, Inc., 6.75%, 07/01/25(1) |
|
73,000 |
|
71,525 |
Surgery Center Holdings, Inc., 10.00%, 04/15/27(1) |
|
21,000 |
|
20,980 |
Team Health Holdings, Inc., 6.38%, 02/01/25(1) |
|
45,000 |
|
35,706 |
Universal Health Services, Inc., 2.65%, 01/15/32 |
|
275,000 |
|
202,022 |
The accompanying notes are an integral part of these financial statements.
41
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
CORPORATE BONDS (continued) |
|
|
|
|
|
|
|
|
|
Health Care (continued) |
|
|
|
|
Viatris, Inc., Series WI, 2.70%, 06/22/30 |
|
$150,000 |
|
$115,248 |
Zimmer Biomet Holdings, Inc., 3.55%, 03/20/30 |
|
165,000 |
|
139,682 |
Total Health Care |
|
|
|
2,056,269 |
|
|
|
|
|
Industrials — 4.0% |
|
|
|
|
Alaska Airlines Pass-Through Trust, Class A, Series 2020-1, 4.80%, 08/15/27(1) |
|
188,149 |
|
179,503 |
Aviation Capital Group LLC, 3.50%, 11/01/27(1) |
|
76,000 |
|
66,777 |
BlueLinx Holdings, Inc., 6.00%, 11/15/29(1) |
|
125,000 |
|
105,333 |
Boeing Co. (The), 5.15%, 05/01/30 |
|
55,000 |
|
51,559 |
Boeing Co. (The), 5.93%, 05/01/60 |
|
123,000 |
|
103,589 |
Chart Industries, Inc., 9.50%, 01/01/31(1) |
|
80,000 |
|
82,494 |
Concentrix Corp., 6.65%, 08/02/26 |
|
90,000 |
|
89,477 |
CoStar Group, Inc., 2.80%, 07/15/30(1) |
|
263,000 |
|
204,351 |
Global Infrastructure Solutions, Inc., 7.50%, 04/15/32(1) |
|
95,000 |
|
77,811 |
Hertz Corp. (The), 5.00%, 12/01/29(1) |
|
110,000 |
|
79,109 |
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 5.25%, 05/15/27 |
|
90,000 |
|
77,132 |
LBM Acquisition LLC, 6.25%, 01/15/29(1) |
|
100,000 |
|
79,105 |
Regal Rexnord Corp., 6.40%, 04/15/33(1) |
|
210,000 |
|
192,724 |
Science Applications International Corp., 4.88%, 04/01/28(1) |
|
80,000 |
|
71,471 |
Sempra Global, 3.25%, 01/15/32(1) |
|
203,000 |
|
153,014 |
United Airlines Pass-Through Trust, Class A, Series 2023-1, 5.80%, 01/15/36 |
|
137,000 |
|
128,871 |
United Rentals North America, Inc., 3.75%, 01/15/32 |
|
105,000 |
|
83,630 |
Veralto Corp., 5.45%, 09/18/33(1) |
|
70,000 |
|
65,448 |
Total Industrials |
|
|
|
1,891,398 |
|
|
|
|
|
Information Technology — 1.7% |
|
|
|
|
Booz Allen Hamilton, Inc., 3.88%, 09/01/28(1) |
|
70,000 |
|
62,627 |
Booz Allen Hamilton, Inc., 4.00%, 07/01/29(1) |
|
95,000 |
|
83,945 |
Commscope Technologies LLC, 6.00%, 06/15/25(1) |
|
95,000 |
|
57,143 |
Consensus Cloud Solutions, Inc., 6.50%, 10/15/28(1) |
|
100,000 |
|
82,980 |
Dell International LLC / EMC Corp., 8.10%, 07/15/36 |
|
87,000 |
|
94,407 |
Gtcr W-2 Merger Sub LLC, 7.50%, 01/15/31(1) |
|
80,000 |
|
79,060 |
Kyndryl Holdings, Inc., 3.15%, 10/15/31 |
|
95,000 |
|
69,283 |
Leidos, Inc., 2.30%, 02/15/31 |
|
225,000 |
|
169,312 |
Viasat, Inc., 5.63%, 09/15/25(1) |
|
115,000 |
|
106,936 |
Total Information Technology |
|
|
|
805,693 |
|
|
|
|
|
Materials — 1.2% |
|
|
|
|
Asp Unifrax Holdings, Inc., 5.25%, 09/30/28(1) |
|
190,000 |
|
128,555 |
Bayport Polymers LLC, 5.14%, 04/14/32(1) |
|
80,000 |
|
68,345 |
LSB Industries, Inc., 6.25%, 10/15/28(1) |
|
150,000 |
|
133,232 |
Mauser Packaging Solutions Holding Co., 7.88%, 08/15/26(1) |
|
20,000 |
|
18,752 |
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
CORPORATE BONDS (continued) |
|
|
|
|
|
|
|
|
|
Materials (continued) |
|
|
|
|
Mauser Packaging Solutions Holding Co., 9.25%, 04/15/27(1) |
|
$60,000 |
|
$50,035 |
New Enterprise Stone & Lime Co., Inc., 9.75%, 07/15/28(1) |
|
85,000 |
|
84,870 |
WR Grace Holdings LLC, 5.63%, 08/15/29(1) |
|
90,000 |
|
69,837 |
Total Materials |
|
|
|
553,626 |
|
|
|
|
|
Real Estate — 1.7% |
|
|
|
|
EPR Properties, 4.75%, 12/15/26 |
|
100,000 |
|
91,259 |
EPR Properties, 3.60%, 11/15/31 |
|
95,000 |
|
68,431 |
GLP Capital LP / GLP Financing II, Inc., 5.75%, 06/01/28 |
|
81,000 |
|
76,016 |
GLP Capital LP / GLP Financing II, Inc., 3.25%, 01/15/32 |
|
140,000 |
|
106,050 |
Kite Realty Group Trust, 4.75%, 09/15/30 |
|
135,000 |
|
117,294 |
MPT Operating Partnership LP / MPT Finance Corp., 3.50%, 03/15/31 |
|
100,000 |
|
60,741 |
Office Properties Income Trust, 4.50%, 02/01/25 |
|
140,000 |
|
119,852 |
VICI Properties LP, 4.95%, 02/15/30 |
|
60,000 |
|
53,550 |
VICI Properties LP, 5.13%, 05/15/32 |
|
115,000 |
|
99,486 |
VICI Properties LP / VICI Note Co., Inc., 4.63%, 06/15/25(1) |
|
10,000 |
|
9,614 |
VICI Properties LP / VICI Note Co., Inc., 4.13%, 08/15/30(1) |
|
30,000 |
|
24,777 |
Total Real Estate |
|
|
|
827,070 |
|
|
|
|
|
Utilities — 2.0% |
|
|
|
|
CMS Energy Corp., 4.75%, (US 5 Year CMT T- Note + 4.12%), 06/01/50(2) |
|
225,000 |
|
186,862 |
Ferrellgas LP / Ferrellgas Finance Corp., 5.38%, 04/01/26(1) |
|
55,000 |
|
51,532 |
Ferrellgas LP / Ferrellgas Finance Corp., 5.88%, 04/01/29(1) |
|
80,000 |
|
70,668 |
KeySpan Gas East Corp., 5.99%, 03/06/33(1) |
|
151,000 |
|
142,089 |
NRG Energy, Inc., 7.00%, 03/15/33(1) |
|
191,000 |
|
180,761 |
Southern Co. (The), Series 21-A, 3.75%, (US 5 Year CMT T- Note + 2.92%), 09/15/51(2) |
|
213,000 |
|
182,491 |
Sunnova Energy Corp., 5.88%, 09/01/26(1) |
|
110,000 |
|
89,199 |
Vistra Corp., 8.00%, (US 5 Year CMT T- Note + 6.93%), perpetual(1)(2)(3) |
|
35,000 |
|
33,293 |
Total Utilities |
|
|
|
936,895 |
|
|
|
|
|
Total Corporate Bonds |
|
|
|
|
(Cost $17,638,045) |
|
|
|
16,379,771 |
|
|
|
|
|
FOREIGN BONDS — 18.8% |
|
|
|
|
|
|
|
|
|
Basic Materials — 0.6% |
|
|
|
|
Corp. Nacional del Cobre de Chile, |
|
200,000 |
|
186,550 |
INEOS Quattro Finance 2 PLC, 3.38%, 01/15/26 (United Kingdom)(1) |
|
81,000 |
|
77,442 |
Total Basic Materials |
|
|
|
263,992 |
The accompanying notes are an integral part of these financial statements.
42
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
FOREIGN BONDS (continued) |
|
|
|
|
|
|
|
|
|
Communication Services — 0.7% |
|
|
|
|
CT Trust, 5.13%, 02/03/32 (Guatemala)(1) |
|
$200,000 |
|
$154,000 |
Telecomunicaciones Digitales SA, 4.50%,
01/30/30 |
|
200,000 |
|
157,875 |
Telesat Canada / Telesat LLC, 6.50%, 10/15/27 (Canada)(1) |
|
35,000 |
|
16,975 |
Total Communication Services |
|
|
|
328,850 |
|
|
|
|
|
Consumer Discretionary — 1.0% |
|
|
|
|
Ashtead Capital, Inc., 5.50%, 08/11/32 (United Kingdom)(1) |
|
200,000 |
|
179,078 |
eG Global Finance PLC, 8.50%, 10/30/25
(United |
|
200,000 |
|
196,929 |
Ontario Gaming GTA LP, 8.00%, 08/01/30 (Canada)(1) |
|
95,000 |
|
92,967 |
Total Consumer Discretionary |
|
|
|
468,974 |
|
|
|
|
|
Consumer Staples – 0.7% |
|
|
|
|
Bat Capital Corp., 7.75%, 10/19/32 (United Kingdom) |
|
135,000 |
|
138,611 |
Central American Bottling Corp. / CBC Bottling Holdco SL / Beliv Holdco SL, 5.25%, 04/27/29 (Guatemala)(1) |
|
95,000 |
|
83,961 |
Sigma Holdco BV, 7.88%, 05/15/26 (Netherlands)(1) |
|
135,000 |
|
113,082 |
Total Consumer Staples |
|
|
|
335,654 |
|
|
|
|
|
Energy — 2.9% |
|
|
|
|
BP Capital Markets PLC, 4.88%, (US 5 Year CMT T- Note + 4.40%), perpetual (United Kingdom)(2)(3) |
|
165,000 |
|
144,151 |
Coronado Finance Pty Ltd., 10.75%, 05/15/26 (Australia)(1) |
|
68,000 |
|
70,363 |
Ecopetrol SA, 4.63%, 11/02/31 (Colombia) |
|
100,000 |
|
75,025 |
Ecopetrol SA, 8.88%, 01/13/33 (Colombia) |
|
150,000 |
|
144,150 |
Enbridge, Inc., 7.63%, (US 5 Year CMT T- Note + 4.42%), 01/15/83 (Canada)(2) |
|
170,000 |
|
152,480 |
Enerflex Ltd., 9.00%, 10/15/27 (Canada)(1) |
|
125,000 |
|
113,877 |
KazMunayGas National Co. JSC, 6.38%, 10/24/48 (Kazakhstan)(1) |
|
200,000 |
|
157,500 |
Petroleos Mexicanos, 6.50%, 03/13/27 (Mexico) |
|
160,000 |
|
141,230 |
Petroleos Mexicanos, 6.70%, 02/16/32 (Mexico) |
|
325,000 |
|
238,469 |
Petroleos Mexicanos, 6.35%, 02/12/48 (Mexico) |
|
55,000 |
|
30,319 |
Petroleos Mexicanos, 7.69%, 01/23/50 (Mexico) |
|
20,000 |
|
12,400 |
Teine Energy Ltd., 6.88%, 04/15/29 (Canada)(1) |
|
110,000 |
|
101,978 |
Total Energy |
|
|
|
1,381,942 |
|
|
|
|
|
Financials — 3.1% |
|
|
|
|
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 2.45%, 10/29/26 (Ireland) |
|
150,000 |
|
133,483 |
Allianz SE, 6.35%, (US 5 Year CMT T-Note + 3.23%), 09/06/53 (Germany)(1)(2) |
|
200,000 |
|
191,238 |
Ascot Group Ltd., 4.25%, 12/15/30 (Bermuda)(1) |
|
45,000 |
|
32,889 |
Banco Mercantil del Norte SA, 6.63%, (US 10 Year CMT T- Note + 5.03%), perpetual (Mexico)(1)(2)(3) |
|
200,000 |
|
151,750 |
Banco Santander Chile, 3.18%, 10/26/31 (Chile)(1) |
|
150,000 |
|
121,175 |
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
FOREIGN BONDS (continued) |
|
|
|
|
|
|
|
|
|
Financials (continued) |
|
|
|
|
Barclays, 7.44%, (US 1 Year CMT T- Note + 3.50%), 11/02/33 (United Kingdom)(2) |
|
$200,000 |
|
$199,633 |
BBVA Bancomer SA, 5.13%, (US 5 Year CMT T-Note + 2.65%), 01/18/33 (Mexico)(1)(2) |
|
200,000 |
|
169,422 |
Brookfield Finance, Inc., 2.72%, 04/15/31 (Canada) |
|
140,000 |
|
108,484 |
Nippon Life Insurance Co., 6.25%, (US 5 Year CMT T-Note + 2.95%), 09/13/53 (Japan)(1)(2) |
|
200,000 |
|
192,533 |
UBS Group AG, 6.30%, (US 1 Year CMT T- Note + 2.00%), 09/22/34 (Switzerland)(1)(2) |
|
200,000 |
|
189,518 |
Total Financials |
|
|
|
1,490,125 |
|
|
|
|
|
Government — 7.3% |
|
|
|
|
Angolan Government International Bond, 8.25%, 05/09/28 (Angola)(1) |
|
200,000 |
|
170,750 |
Argentine Republic Government International Bond, 3.50%, 07/09/41 (Argentina)(6) |
|
415,000 |
|
109,132 |
Brazilian Government International Bond, 6.00%, 10/20/33 (Brazil) |
|
200,000 |
|
185,500 |
Dominican Republic International Bond, 4.88%, 09/23/32 (Dominican Republic)(1) |
|
325,000 |
|
264,063 |
Ecuador Government International Bond, 6.00%, 07/31/30 (Ecuador)(1)(6) |
|
120,000 |
|
61,260 |
Egypt Government International Bond, 7.60%, 03/01/29 (Egypt)(1) |
|
200,000 |
|
126,000 |
Hungary Government International Bond, 6.25%, 09/22/32 (Hungary)(1) |
|
200,000 |
|
192,670 |
Indonesia Government International Bond, 2.85%, 02/14/30 (Indonesia) |
|
200,000 |
|
169,696 |
Ivory Coast Government International Bond, 6.13%, 06/15/33 (Ivory Coast)(1) |
|
200,000 |
|
164,500 |
Jordan Government International Bond, 7.50%, 01/13/29 (Jordan)(1) |
|
200,000 |
|
186,375 |
Mexico Government International Bond, 3.50%, 02/12/34 (Mexico) |
|
400,000 |
|
305,600 |
Morocco Government International Bond, 3.00%, 12/15/32 (Morocco)(1) |
|
200,000 |
|
150,000 |
Panama Government International Bond, 3.30%, 01/19/33 (Panama) |
|
200,000 |
|
147,450 |
Philippine Government International Bond, 3.70%, 03/01/41 (Philippines) |
|
200,000 |
|
145,454 |
Republic of Poland Government International Bond, 4.88%, 10/04/33 (Poland) |
|
80,000 |
|
74,296 |
Republic of South Africa Government International Bond, 4.85%, 09/27/27 (South Africa) |
|
200,000 |
|
184,875 |
Saudi Government International Bond, 5.50%, 10/25/32 (Saudi Arabia)(1) |
|
200,000 |
|
196,250 |
Serbia International Bond, 6.50%, 09/26/33 (Serbia)(1) |
|
200,000 |
|
188,276 |
Turkey Government International Bond, 7.63%, 04/26/29 (Turkey) |
|
200,000 |
|
191,250 |
Turkey Government International Bond, 9.13%, 07/13/30 (Turkey) |
|
200,000 |
|
200,250 |
Ukraine Government International Bond, 7.75%, 09/01/26 (Ukraine)(1)(7) |
|
145,000 |
|
42,200 |
The accompanying notes are an integral part of these financial statements.
43
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
FOREIGN BONDS (continued) |
|
|
|
|
|
|
|
|
|
Government (continued) |
|
|
|
|
Ukraine Government International Bond, 7.75%, 09/01/26 (Ukraine)(7) |
|
$ 100,000 |
|
$28,732 |
Total Government |
|
|
|
3,484,579 |
|
|
|
|
|
Health Care — 0.5% |
|
|
|
|
Cheplapharm Arzneimittel GMBH, 5.50%, 01/15/28 (Germany)(1) |
|
190,000 |
|
168,715 |
Teva Pharmaceutical Finance Netherlands III BV, 3.15%, 10/01/26 (Israel) |
|
70,000 |
|
61,434 |
Total Health Care |
|
|
|
230,149 |
|
|
|
|
|
Industrials — 0.2% |
|
|
|
|
Avolon Holdings Funding Ltd., 4.38%, 05/01/26 (Ireland)(1) |
|
77,000 |
|
71,799 |
VistaJet Malta Finance PLC / Vista Management Holding, Inc., 9.50%, 06/01/28 (Switzerland)(1) |
|
55,000 |
|
42,199 |
Total Industrials |
|
|
|
113,998 |
|
|
|
|
|
Materials — 0.6% |
|
|
|
|
ArcelorMittal SA, 6.80%, 11/29/32 (Luxembourg) |
|
80,000 |
|
76,664 |
Mercer International, Inc., 5.13%, 02/01/29 (Germany) |
|
25,000 |
|
19,633 |
NOVA Chemicals Corp., 5.00%,
05/01/25 |
|
48,000 |
|
45,381 |
Taseko Mines Ltd., 7.00%, 02/15/26 (Canada)(1) |
|
90,000 |
|
81,723 |
Teck Resources Ltd., 6.13%, 10/01/35 (Canada) |
|
80,000 |
|
74,108 |
Total Materials |
|
|
|
297,509 |
|
|
|
|
|
Real Estate — 0.3% |
|
|
|
|
Ontario Teachers’ Cadillac Fairview Properties Trust, 2.50%, 10/15/31 (Canada)(1) |
|
200,000 |
|
147,868 |
|
|
|
|
|
Utilities — 0.9% |
|
|
|
|
Electricite de France SA, 6.25%,
05/23/33 |
|
200,000 |
|
194,511 |
ENEL Finance International NV, 7.50%, 10/14/32 (Italy)(1) |
|
200,000 |
|
206,859 |
Total Utilities |
|
|
|
401,370 |
|
|
|
|
|
Total Foreign Bonds |
|
|
|
|
(Cost $9,572,279) |
|
|
|
8,945,010 |
|
|
|
|
|
TERM LOANS — 13.2% |
|
|
|
|
|
|
|
|
|
Aerospace — 1.1% |
|
|
|
|
Amentum Government Services Holdings LLC,
9.33%, |
|
14,813 |
|
14,530 |
Brown Group Holding, LLC, 8.17%, (SOFR + 2.85%), 06/07/28(2) |
|
86,224 |
|
84,805 |
Dynasty Acquisition Co, Inc., 9.32%, (1-Month SOFR + 4.00%), 08/16/28(2) |
|
51,742 |
|
51,211 |
Dynasty Acquisition Co, Inc., 9.32%, (1-Month SOFR + 4.00%), 08/16/28(2) |
|
22,175 |
|
21,948 |
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
TERM LOANS (continued) |
|
|
|
|
|
|
|
|
|
Aerospace (continued) |
|
|
|
|
Kestrel BidCo, Inc., 8.42%, (1-Month SOFR + 3.10%), 12/11/26(2) |
|
$89,530 |
|
$86,658 |
Mileage Plus Holdings LLC, 10.80%, (3-Month SOFR + 5.40%), 06/21/27(2) |
|
22,500 |
|
23,225 |
Peraton Corp., 9.17%, (SOFR + 3.85%), 02/01/28(2) |
|
168,312 |
|
165,446 |
Tran, 8.64%, (3-Month SOFR + 3.25%), 08/24/28(2) |
|
74,768 |
|
74,768 |
Total Aerospace |
|
|
|
522,591 |
|
|
|
|
|
Chemicals — 0.3% |
|
|
|
|
LSF11 A5 Holdco LLC, 9.67%, (1-Month SOFR + 4.35%), 10/15/28(2) |
|
59,850 |
|
58,822 |
Nouryon Finance BV, 0.00%, (SOFR + 0.00%), 10/19/28(8) |
|
29,925 |
|
29,308 |
Nouryon Finance BV, 9.43%, (SOFR + 4.10%), 10/19/28(2) |
|
25,000 |
|
24,484 |
Windsor Holdings III LLC, 9.81%, (1-Month SOFR + 4.50%), 06/21/30(2) |
|
50,000 |
|
49,915 |
Total Chemicals |
|
|
|
162,529 |
|
|
|
|
|
Consumer Non-Durables — 0.3% |
|
|
|
|
DS Parent, Inc., 11.34%, (6-Month SOFR + 5.75%), 12/10/28(2) |
|
22,813 |
|
22,603 |
Kronos Acquisition Holdings Inc., 9.40%, (3-Month SOFR + 4.01%), 12/22/26(2) |
|
119,386 |
|
117,236 |
Total Consumer Non-Durables |
|
|
|
139,839 |
|
|
|
|
|
Energy — 0.7% |
|
|
|
|
Freeport LNG Investments, 9.18%, (3-Month SOFR + 3.76%), 11/17/28(2) |
|
89,541 |
|
88,176 |
Gip Pilot Acquisition Partners, L.P., 8.39%, (3-Month SOFR + 3.00%), 09/15/30(2) |
|
15,000 |
|
15,000 |
Hamilton Projects Acquiror LLC, 9.94%, (1-Month SOFR + 4.61%), 06/17/27(2) |
|
20,057 |
|
20,024 |
Medallion Midland Acquisition LP, 9.40%, (3-Month SOFR + 4.01%), 10/18/28(2) |
|
29,248 |
|
29,325 |
Oryx Midstream Services Permian Basin, LLC, 8.69%, (1-Month SOFR + 3.36%), 10/05/28(2) |
|
58,668 |
|
58,651 |
Traverse Midstream, 9.24%, (3-Month SOFR + 3.85%), 02/12/28(2) |
|
105,000 |
|
104,934 |
Total Energy |
|
|
|
316,110 |
|
|
|
|
|
Financials — 0.4% |
|
|
|
|
Acrisure LLC, 0.00%, (SOFR + 0.00%), 10/20/30(8) |
|
35,000 |
|
34,708 |
AssuredPartners, Inc., 0.00%, (SOFR + 0.00%), 02/13/27(8) |
|
50,000 |
|
49,629 |
AssuredPartners, Inc., 0.00%, (SOFR + 0.00%), 02/13/27(8) |
|
9,996 |
|
9,973 |
Asurion LLC, 8.69%, (SOFR + 3.36%), 07/31/27(2) |
|
24,288 |
|
23,256 |
Blackhawk Network Holdings, Inc., 8.17%, (3-Month SOFR + 2.75%), 06/15/25(2) |
|
84,235 |
|
83,704 |
Total Financials |
|
|
|
201,270 |
The accompanying notes are an integral part of these financial statements.
44
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
TERM LOANS (continued) |
|
|
|
|
|
|
|
|
|
Food/Tobacco — 1.1% |
|
|
|
|
Del Monte Foods, Inc., 9.68%, (1-Month SOFR + 4.35%), 05/15/29(2) |
|
$104,472 |
|
$101,338 |
Froneri US, Inc., 7.67%, (1-Month SOFR + 2.35%), 01/29/27(2) |
|
162,533 |
|
161,923 |
Pegasus Bidco BV, 9.61%, (3-Month SOFR + 4.25%), 07/12/29(2) |
|
84,512 |
|
84,124 |
Shearer’s Foods LLC, 8.94%, (SOFR + 3.61%), 09/23/27(2) |
|
53,955 |
|
53,888 |
Triton Water Holdings, Inc., 8.90%, (SOFR + 3.51%), 03/31/28(2) |
|
29,288 |
|
27,820 |
Tropicana (Naked Juice LLC), 8.74%, (3-Month SOFR + 3.35%), 01/19/29(2) |
|
124,370 |
|
114,745 |
Total Food/Tobacco |
|
|
|
543,838 |
|
|
|
|
|
Forest Prod/Containers — 0.4% |
|
|
|
|
Kloeckner Pentaplast of America, Inc., 10.48%, (SOFR + 4.98%), 02/12/26(2) |
|
94,515 |
|
89,553 |
Mauser Packaging Solutions Holding Co., 9.32%, (1-Month SOFR + 4.00%), 08/31/26(2) |
|
34,825 |
|
33,865 |
TricorBraun Holdings, Inc., 8.69%, (1-Month SOFR + 3.36%), 01/29/28(2) |
|
93,968 |
|
91,242 |
Total Forest Prod/Containers |
|
|
|
214,660 |
|
|
|
|
|
Gaming/Leisure — 0.4% |
|
|
|
|
ECL Entertainment LLC, 10.14%, (3-Month SOFR + 4.75%), 08/16/30(2) |
|
60,000 |
|
59,888 |
Entain Holdings Gibraltar Ltd., 8.99%, (3-Month SOFR + 3.60%), 10/18/29(2) |
|
9,975 |
|
9,989 |
J&J Ventures Gaming, LLC, 9.65%, (SOFR + 4.26%), 04/26/28(2) |
|
19,551 |
|
18,674 |
One Toronto Gaming, 9.64%, (3-Month SOFR + 4.25%), 07/20/30(2) |
|
25,000 |
|
25,000 |
Raptor Acquisition Corp., 9.66%, (3-Month SOFR + 4.26%), 11/01/26(2) |
|
9,875 |
|
9,882 |
Scientific Games Holdings LP, 8.91%, (3-Month SOFR + 3.50%), 02/04/29(2) |
|
84,573 |
|
83,294 |
Total Gaming/Leisure |
|
|
|
206,727 |
|
|
|
|
|
Health Care — 1.6% |
|
|
|
|
Bausch & Lomb Corporation, 9.32%, (1-Month SOFR + 4.00%), 09/14/28(2) |
|
45,000 |
|
43,397 |
CHG Healthcare Services, Inc., 8.69%, (1-Month SOFR + 3.36%), 09/22/28(2) |
|
58,387 |
|
57,851 |
Hunter US Bidco, Inc., 9.74%, (3-Month SOFR + 4.35%), 08/19/28(2) |
|
15,797 |
|
15,678 |
Milano Acquisition Corp., 9.49%, (3-Month SOFR + 4.10%), 10/01/27(2) |
|
34,024 |
|
32,607 |
Mozart Borrower LP, 8.69%, (1-Month SOFR + 3.36%), 10/23/28(2) |
|
133,643 |
|
132,933 |
Packaging Coordinators Midco, Inc., 9.15%, (SOFR + 3.76%), 11/30/27(2) |
|
53,846 |
|
53,255 |
Phoenix Guarantor, Inc., 8.69%, (1-Month SOFR + 3.36%), 03/05/26(2) |
|
38,596 |
|
38,253 |
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
TERM LOANS (continued) |
|
|
|
|
|
|
|
|
|
Health Care (continued) |
|
|
|
|
Phoenix Newco, Inc., 8.69%, (1-Month SOFR + 3.36%), 08/11/28(2) |
|
$30,587 |
|
$30,264 |
Star Parent, Inc., 9.39%, (1-Month SOFR + 4.00%), 09/19/30(2) |
|
130,000 |
|
124,281 |
Sunshine Luxembourg VII Sarl, 9.24%, (SOFR + 3.85%), 10/01/26(2) |
|
104,166 |
|
104,144 |
Upstream Newco, Inc., 9.89%, (3-Month SOFR + 4.25%), 11/20/26(2) |
|
21,994 |
|
20,844 |
Viant Medical Holdings, Inc., 9.19%, (1-Month SOFR + 3.86%), 07/02/25(2) |
|
93,272 |
|
91,621 |
Total Health Care |
|
|
|
745,128 |
|
|
|
|
|
Housing — 0.3% |
|
|
|
|
Chariot Buyer LLC, 8.67%, (1-Month SOFR + 3.25%), 10/22/28(2) |
|
40,539 |
|
39,441 |
SRS Distribution, Inc., 8.92%, (1-Month SOFR + 3.60%), 06/02/28(2) |
|
4,913 |
|
4,799 |
SRS Distribution, Inc., 8.94%, (1-Month SOFR + 3.61%), 06/02/28(2) |
|
108,700 |
|
106,391 |
Total Housing |
|
|
|
150,631 |
|
|
|
|
|
Information Technology — 2.1% |
|
|
|
|
Applied Systems, 9.89%, (3-Month SOFR + 4.50%), 09/19/26(2) |
|
179,100 |
|
179,727 |
Applied Systems, 12.14%, (3-Month SOFR + 6.75%), 09/19/27(2) |
|
29,460 |
|
29,656 |
Central Parent, Inc., 9.41%, (3-Month SOFR + 4.00%), 07/06/29(2) |
|
108,404 |
|
107,930 |
ConnectWise LLC, 8.94%, (1-Month SOFR + 3.61%), 09/24/28(2) |
|
39,300 |
|
38,357 |
Epicor Software Corp, 9.07%, (1-Month SOFR + 3.75%), 07/30/27(2) |
|
5,000 |
|
5,016 |
Epicor Software Corp., 8.69%, (1-Month SOFR + 3.36%), 07/30/27(2) |
|
33,775 |
|
33,639 |
Ncr Atleos, LLC, 10.18%, (1-Month SOFR + 4.85%), 03/22/29(2) |
|
125,000 |
|
120,026 |
Polaris Newco LLC, 9.44%, (1-Month SOFR + 4.11%), 06/02/28(2) |
|
64,835 |
|
61,350 |
Project Ruby Ultimate Parent Corp., 8.69%, (SOFR + 3.36%), 03/10/28(2) |
|
29,250 |
|
28,725 |
Proofpoint, Inc., 8.69%, (1-Month SOFR + 3.36%), 06/09/28(2) |
|
29,475 |
|
29,027 |
RealPage, Inc., 8.44%, (1-Month SOFR + 3.11%), 04/24/28(2) |
|
34,226 |
|
33,507 |
Roper Industrial, 9.89%, (3-Month SOFR + 4.50%), 11/22/29(2) |
|
89,550 |
|
89,470 |
SOFTWARE AG/MOSEL, 0.00%, (SOFR + 0.00%), 08/01/30(8) |
|
37,000 |
|
36,954 |
Sophia LP, 8.92%, (1-Month SOFR + 3.60%), 10/07/27(2) |
|
24,316 |
|
24,043 |
UKG, Inc., 8.76%, (3-Month SOFR + 3.35%), 05/04/26(2) |
|
141,864 |
|
141,299 |
WORLDPAY, 0.00%, (SOFR + 0.00%), 07/05/31(8) |
|
35,000 |
|
34,796 |
Total Information Technology |
|
|
|
993,522 |
The accompanying notes are an integral part of these financial statements.
45
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
TERM LOANS (continued) |
|
|
|
|
|
|
|
|
|
Manufacturing — 1.2% |
|
|
|
|
Alliance Laundry Systems LLC, 8.93%, (SOFR + 3.60%), 10/08/27(2) |
|
$32,276 |
|
$32,259 |
Arcline FM Holdings LLC, 10.40%, (3-Month SOFR + 5.01%), 06/23/28(2) |
|
128,390 |
|
127,202 |
Arcline FM Holdings LLC, 13.90%, (3-Month SOFR + 8.25%), 06/15/29(2) |
|
15,000 |
|
14,550 |
Chart Industries, Inc, 8.66%, (1-Month SOFR + 3.35%), 03/17/30(2) |
|
59,700 |
|
59,675 |
CPM Holdings, Inc, 9.83%, (1-Month SOFR + 4.50%), 09/21/28(2) |
|
69,000 |
|
69,052 |
Filtration Group Corp., 8.94%, (1-Month SOFR + 3.61%), 10/19/28(2) |
|
107,104 |
|
106,442 |
Madison IAQ LLC, 8.70%, (1-Month SOFR + 3.36%), 06/21/28(2) |
|
39,542 |
|
38,199 |
Safe Fleet Holdings LLC, 9.19%, (1-Month SOFR + 3.85%), 02/17/29(2) |
|
118,670 |
|
119,054 |
Star US Bidco LLC, 9.67%, (1-Month SOFR + 4.35%), 03/17/27(2) |
|
24,117 |
|
24,094 |
Total Manufacturing |
|
|
|
590,527 |
|
|
|
|
|
Media/Telecom — Broadcasting — 0.4% |
|
|
|
|
Terrier Media Buyer, Inc., 8.99%, (3-Month SOFR + 3.60%), 12/17/26(2) |
|
89,846 |
|
81,230 |
Univision Comm (fka Umbrella), 8.69%, (1-Month SOFR + 3.36%), 03/15/26(2) |
|
114,415 |
|
113,676 |
Total Media/Telecom — Broadcasting |
|
|
|
194,906 |
|
|
|
|
|
Media/Telecom — Cable/Wireless Video — 0.4% |
|
| ||
Directv Financing LLC, 10.44%, (1-Month SOFR + 5.11%), 08/02/27(2) |
|
118,590 |
|
115,604 |
Eagle Broadband Investments LLC, 8.65%, (3-Month SOFR + 3.26%), 11/12/27(2) |
|
59,847 |
|
58,565 |
Total Media/Telecom — Cable/Wireless Video |
|
|
|
174,169 |
|
|
|
|
|
Media/Telecom — Diversified Media — 0.4% |
|
|
|
|
Century DE Buyer LLC, 0.00%, (SOFR + 0.00%), 09/21/30(8) |
|
30,000 |
|
29,831 |
Century DE Buyer LLC, 9.39%, (SOFR + 4.00%), 09/21/30(2) |
|
12,000 |
|
11,932 |
McGraw-Hill Education, Inc., 10.19%, (1-Month SOFR + 4.86%), 07/28/28(2) |
|
23,520 |
|
22,340 |
Neilson Holdings, 10.51%, (3-Month SOFR + 5.10%), 04/11/29(2) |
|
124,375 |
|
109,101 |
Total Media/Telecom — Diversified Media |
|
|
|
173,204 |
|
|
|
|
|
Media/Telecom — Telecommunications — 0.2% |
|
|
|
|
Altice France SA/France, 9.34%, (3-Month USD LIBOR + 3.69%), 01/31/26(2) |
|
28,861 |
|
27,045 |
Numericable U.S. LLC, 8.39%, (3-Month SOFR + 2.75%), 06/22/25(2) |
|
59,849 |
|
57,979 |
Total Media/Telecom — Telecommunications |
|
|
|
85,024 |
|
|
|
|
|
Metals/Minerals — 0.2% |
|
|
|
|
Covia Holdings LLC, 9.68%, (3-Month SOFR + 4.26%), 07/31/26(2) |
|
95,000 |
|
94,624 |
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
TERM LOANS (continued) |
|
|
|
|
|
|
|
|
|
Retail — 0.5% |
|
|
|
|
EG America LLC, 9.41%, (SOFR + 4.11%), 02/07/25(2) |
|
$101,145 |
|
$101,082 |
PetSmart, Inc., 9.17%, (SOFR + 3.85%), 02/11/28(2) |
|
128,362 |
|
127,011 |
Total Retail |
|
|
|
228,093 |
|
|
|
|
|
Service — 0.9% |
|
|
|
|
AlixPartners, LLP, 8.19%, (1-Month SOFR + 2.86%), 02/04/28(2) |
|
10 |
|
10 |
Brightview Landscapes LLC, 8.63%, (3-Month SOFR + 3.25%), 04/07/29(2) |
|
73,877 |
|
73,923 |
DG Investment Intermediate Holdings 2, Inc,
10.07%, |
|
64,836 |
|
63,932 |
DXP Enterprises, Inc., 10.29%, (6-Month SOFR + 4.85%), 10/06/30(2) |
|
40,000 |
|
39,725 |
Garda World Security Corp., 9.75%, (3-Month SOFR + 4.35%), 10/30/26(2) |
|
10,000 |
|
9,984 |
Kindercare (Kuehg Corp.), 10.39%, (3-Month SOFR + 5.00%), 05/23/30(2) |
|
80,000 |
|
80,077 |
TMF Sapphire, 10.41%, (3-Month SOFR + 5.00%), 05/27/28(2) |
|
35,000 |
|
35,071 |
University Support Services LLC, 8.67%, (1-Month SOFR + 3.35%), 06/29/28(2) |
|
125,760 |
|
124,486 |
Total Service |
|
|
|
427,208 |
|
|
|
|
|
Transportation — Automotive — 0.3% |
|
|
|
|
American Axle, 8.94%, (3-Month SOFR + 3.60%), 12/06/29(2) |
|
48,425 |
|
48,324 |
PAI Holdco, Inc., 9.39%, (3-Month SOFR + 4.01%), 10/28/27(2) |
|
44,320 |
|
42,141 |
Power Solutions, 9.07%, (1-Month SOFR + 3.75%), 05/06/30(2) |
|
30,000 |
|
29,992 |
Total Transportation — Automotive |
|
|
|
120,457 |
|
|
|
|
|
Utilities — 0.0%(9) |
|
|
|
|
Generation Bridge Northeast LLC, 9.57%, (1-Month SOFR + 4.25%), 08/03/29(2) |
|
24,909 |
|
24,935 |
|
|
|
|
|
Total Term Loans |
|
|
|
|
(Cost $6,288,340) |
|
|
|
6,309,992 |
|
|
|
|
|
MORTGAGE BACKED SECURITIES — 12.9% |
|
| ||
|
|
|
|
|
Asset Backed Security — 0.3% |
|
|
|
|
Mission Lane Credit Card Master Trust, Class
A, Series |
|
133,000 |
|
131,749 |
|
|
|
|
|
Commercial Mortgage Backed Securities — 1.3% |
|
| ||
BX Trust, Class D, Series 2019-OC11, 3.94%, 12/09/41(1)(2)(10) |
|
85,000 |
|
68,511 |
COMM Mortgage Trust, Class A1, Series 2013-300P, 4.35%, 08/10/30(1) |
|
165,000 |
|
151,659 |
COMM Mortgage Trust, Class B, Series 2020-CBM, 3.10%, 02/10/37(1) |
|
45,000 |
|
42,097 |
JPMBB Commercial Mortgage Securities Trust, Class AS, Series 2014-C18, 4.44%, 02/15/47(2)(10) |
|
144,000 |
|
141,542 |
The accompanying notes are an integral part of these financial statements.
46
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
MORTGAGE BACKED SECURITIES (continued) |
|
| ||
|
|
|
|
|
Commercial Mortgage Backed Securities (continued) |
| |||
MIRA Trust, Class A, Series 2023-MILE, 6.75%, 06/10/38(1) |
|
$145,000 |
|
$141,302 |
Morgan Stanley Bank of America Merrill Lynch Trust, Class AS, Series 2015-C22, 3.56%, 04/15/48 |
|
60,000 |
|
56,279 |
Total Commercial Mortgage Backed Securities |
|
|
|
601,390 |
|
|
|
|
|
Mortgage Backed Security — 4.8% |
|
|
|
|
Federal Home Loan Mortgage Corporation, 6.00%, 03/01/53 |
|
648,229 |
|
634,367 |
Federal National Mortgage Association, 3.50%, 05/01/49 |
|
25,299 |
|
21,465 |
Federal National Mortgage Association, 5.00%, 11/01/52 |
|
429,922 |
|
397,010 |
Federal National Mortgage Association, 4.50%, 11/01/52 |
|
410,829 |
|
367,485 |
Federal National Mortgage Association, 6.00%, 04/01/53 |
|
641,320 |
|
626,297 |
Federal National Mortgage Association, 5.50%, 07/01/53 |
|
281,308 |
|
267,058 |
Total Mortgage Backed Security |
|
|
|
2,313,682 |
|
|
|
|
|
Residential Mortgage Backed Securities — 6.5% |
|
|
|
|
Ajax Mortgage Loan Trust, Class A1, Series 2019-D, 2.96%, 09/25/65(1)(6) |
|
52,178 |
|
47,667 |
AMSR Trust, Class D, Series 2021-SFR3, 2.18%, 10/17/38(1) |
|
100,000 |
|
86,379 |
Arroyo Mortgage Trust, Class A1, Series 2019-1, 3.81%, 01/25/49(1)(2)(10) |
|
120,510 |
|
110,872 |
Arroyo Mortgage Trust, Class A1, Series 2019-2, 3.35%, 04/25/49(1)(2)(10) |
|
103,906 |
|
95,257 |
CAFL Issuer LLC, Class A1, Series 2021-RTL1, 2.24%, 03/28/29(1)(6) |
|
100,000 |
|
93,205 |
Cascade MH Asset Trust, Class A1, Series 2021-MH1, 1.75%, 02/25/46(1) |
|
72,573 |
|
60,858 |
CIM Trust, Class A1, Series 2022-R2, 3.75%, 12/25/61(1)(2)(10) |
|
248,971 |
|
221,891 |
CSMC Trust, Class A1, Series 2020-RPL4, 2.00%, 01/25/60(1)(2)(10) |
|
99,094 |
|
83,670 |
Deephaven Residential Mortgage Trust, Class A1, Series 2022-1, 2.21%, 01/25/67(1)(2)(10) |
|
80,769 |
|
69,542 |
Ellington Financial Mortgage Trust, Class A1, Series 2022-1, 2.21%, 01/25/67(1)(2)(10) |
|
126,427 |
|
101,366 |
INTOWN Mortgage Trust, Class A, Series 2022-STAY, 7.82%, (SOFR + 2.49%), 08/15/39(1)(2) |
|
159,000 |
|
159,221 |
Mill City Mortgage Loan Trust, Class B1, Series 2017-3, 3.25%, 01/25/61(1)(2)(10) |
|
98,024 |
|
76,033 |
New Residential Mortgage Loan Trust, Class A1, Series 2016-1A, 3.75%, 03/25/56(1)(2)(10) |
|
38,010 |
|
34,600 |
New Residential Mortgage Loan Trust, Class A3, Series 2017-2A, 4.00%, 03/25/57(1)(2)(10) |
|
474,311 |
|
435,008 |
New Residential Mortgage Loan Trust, Class M2, Series 2019-RPL2, 3.75%, 02/25/59(1)(2)(10) |
|
100,000 |
|
78,442 |
RCKT Mortgage Trust, Class A1A, Series 2023-CES1, 6.52%, 06/25/43(1)(2)(10) |
|
155,828 |
|
154,236 |
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
MORTGAGE BACKED SECURITIES (continued) |
|
| ||
|
|
|
|
|
Residential Mortgage Backed Securities (continued) |
|
| ||
Sequoia Mortgage Trust, Class B1, Series 2013-8, 3.48%, 06/25/43(2)(10) |
|
$56,760 |
|
$53,230 |
Starwood Mortgage Residential Trust, Class A1, Series 2020-1, 2.28%, 02/25/50(1)(2)(10) |
|
43,303 |
|
40,190 |
Towd Point Mortgage Trust, Class A2, Series 2017-1, 3.50%, 10/25/56(1)(2)(10) |
|
100,000 |
|
96,613 |
Towd Point Mortgage Trust, Class A2, Series 2017-4, 3.00%, 06/25/57(1)(2)(10) |
|
225,000 |
|
195,861 |
Towd Point Mortgage Trust, Class A2, Series 2018-6, 3.75%, 03/25/58(1)(2)(10) |
|
100,000 |
|
81,892 |
Towd Point Mortgage Trust, Class M1, Series 2020-1, 3.50%, 01/25/60(1)(2)(10) |
|
100,000 |
|
76,372 |
Towd Point Mortgage Trust, Class A2, Series 2021-1, 2.75%, 11/25/61(1)(2)(10) |
|
100,000 |
|
73,562 |
Verus Securitization Trust, Class A1, Series 2022-4, 4.47%, 04/25/67(1)(6) |
|
80,018 |
|
74,456 |
Verus Securitization Trust, Class A1, Series 2022-5, 3.80%, 04/25/67(1)(6) |
|
94,661 |
|
83,910 |
Verus Securitization Trust, Class A1, Series 2022-6, 4.91%, 06/25/67(1)(6) |
|
120,266 |
|
114,650 |
Verus Securitization Trust, Class A1, Series 2022-7, 5.15%, 07/25/67(1)(6) |
|
87,675 |
|
84,480 |
Visio Trust, Class A1, Series 2019-2, 2.72%, 11/25/54(1)(2)(10) |
|
235,580 |
|
221,619 |
Total Residential Mortgage Backed Securities |
|
|
|
3,105,082 |
|
|
|
|
|
Total Mortgage Backed Securities |
|
|
|
|
(Cost $6,518,019) |
|
|
|
6,151,903 |
|
|
|
|
|
U.S. GOVERNMENT SECURITIES — 8.7% |
|
|
| |
U.S. Treasury Bill |
|
|
|
|
5.53%, 02/29/24(11) |
|
310,000 |
|
304,518 |
U.S. Treasury Bond |
|
|
|
|
1.88%, 11/15/51 |
|
1,005,000 |
|
524,327 |
3.63%, 05/15/53 |
|
735,000 |
|
573,070 |
U.S. Treasury Note |
|
|
|
|
2.50%, 04/30/24 |
|
245,000 |
|
241,398 |
1.00%, 12/15/24 |
|
750,000 |
|
714,522 |
0.88%, 06/30/26 |
|
265,000 |
|
238,759 |
4.38%, 08/15/26 |
|
215,000 |
|
211,943 |
1.38%, 12/31/28 |
|
285,000 |
|
239,779 |
3.38%, 05/15/33 |
|
1,230,000 |
|
1,087,781 |
|
|
|
|
|
Total U.S. Government Securities |
|
|
|
|
(Cost $4,226,677) |
|
|
|
4,136,097 |
|
|
|
|
|
ASSET BACKED SECURITIES — 7.8% |
|
|
|
|
ACHV ABS Trust, Class B, Series 2023-1PL, 6.80%, 03/18/30(1) |
|
150,000 |
|
149,879 |
Affirm Asset Securitization Trust, Class 1A, Series 2022-A, 4.30%, 05/17/27(1) |
|
70,000 |
|
68,394 |
Applebee’s Funding LLC / Ihop Funding LLC, Class A2, Series 2023-1A, 7.82%, 03/05/53(1) |
|
109,000 |
|
107,125 |
The accompanying notes are an integral part of these financial statements.
47
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
ASSET BACKED SECURITIES (continued) |
|
|
|
|
Aqua Finance Trust, Class A, Series 2017-A, 3.72%, 11/15/35(1) |
|
$27,392 |
|
$27,173 |
Avant Credit Card Master Trust, Class A, Series 2021-1A, 1.37%, 04/15/27(1) |
|
50,000 |
|
46,790 |
BHG Securitization Trust, Class A, Series 2021-A, 1.42%, 11/17/33(1) |
|
196,072 |
|
183,146 |
Carvana Auto Receivables Trust, Class D, Series 2019-3A, 3.04%, 04/15/25(1) |
|
1,835 |
|
1,833 |
Carvana Auto Receivables Trust, Class E, Series 2019-3A, 4.60%, 07/15/26(1) |
|
55,000 |
|
54,446 |
CF Hippolyta LLC, Class A1, Series 2020-1, 1.69%, 07/15/60(1) |
|
89,945 |
|
81,657 |
Conn Funding II LP, Class B, Series 2022-A, 9.52%, 12/15/26(1) |
|
42,667 |
|
42,733 |
CPS Auto Receivables Trust, Class D, Series 2022-D, 8.73%, 01/16/29(1) |
|
100,000 |
|
102,697 |
CPS Auto Receivables Trust, Class E, Series 2019-D, 3.86%, 10/15/25(1) |
|
49,758 |
|
49,276 |
Dext ABS LLC, Class A2, Series 2023-1, 5.99%, 03/15/32(1) |
|
115,000 |
|
113,300 |
DT Auto Owner Trust, Class D, Series 2023-1A, 6.44%, 11/15/28(1) |
|
155,000 |
|
151,864 |
Encina Equipment Finance LLC, Class B, Series 2022-1A, 5.15%, 01/16/29(1) |
|
100,000 |
|
96,839 |
Exeter Automobile Receivables Trust, Class E, Series 2019-2A, 4.68%, 05/15/26(1) |
|
55,000 |
|
54,739 |
FAT Brands Royalty LLC, Class A2, Series 2021-1A, 4.75%, 04/25/51(1) |
|
49,750 |
|
44,877 |
FHF Trust, Class A2, Series 2023-1A, 6.57%, 06/15/28(1) |
|
119,970 |
|
118,428 |
GLS Auto Receivables Issuer Trust, Class D, Series 2022-2A, 6.15%, 04/17/28(1) |
|
65,000 |
|
63,490 |
Hardee’s Funding LLC, Class A2, Series 2020-1A, 3.98%, 12/20/50(1) |
|
239,235 |
|
200,974 |
Hertz Vehicle Financing III LLC, Class C, Series 2022-1A, 2.63%, 06/25/26(1) |
|
170,000 |
|
158,961 |
Hertz Vehicle Financing LLC, Class D, Series 2022-4A, 6.56%, 09/25/26(1) |
|
65,000 |
|
61,816 |
Hotwire Funding LLC, Class C, Series 2021-1, 4.46%, 11/20/51(1) |
|
65,000 |
|
53,443 |
Jack in the Box Funding LLC, Class A2I, Series 2022-1A, 3.45%, 02/26/52(1) |
|
198,850 |
|
177,271 |
LAD Auto Receivables Trust, Class D, Series 2021-1A, 3.99%, 11/15/29(1) |
|
55,000 |
|
51,378 |
LAD Auto Receivables Trust, Class D, Series 2023-2A, 6.30%, 02/15/31(1) |
|
135,000 |
|
130,834 |
Lendbuzz Securitization Trust, Class A2, Series 2023-2A, 7.09%, 10/16/28(1) |
|
134,000 |
|
133,451 |
Lobel Automobile Receivables Trust, Class B, Series 2023-1, 7.05%, 09/15/28(1) |
|
160,000 |
|
156,945 |
MAPS Trust, Class A, Series 2021-1A, 2.52%, 06/15/46(1) |
|
27,076 |
|
23,386 |
MVW Owner Trust, Class A, Series 2019-1A, 2.89%, 11/20/36(1) |
|
18,795 |
|
18,016 |
NMEF Funding LLC, Class B, Series 2021-A, 1.85%, 12/15/27(1) |
|
48,143 |
|
47,479 |
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
ASSET BACKED SECURITIES (continued) |
|
|
|
|
Octane Receivables Trust, Class B, Series 2020-1A, 1.98%, 06/20/25(1) |
|
$67,340 |
|
$66,937 |
OneMain Direct Auto Receivables Trust, Class C, Series 2022-1A, 5.31%, 06/14/29(1) |
|
55,000 |
|
52,582 |
Oportun Funding LLC, Class A, Series 2022-1, 3.25%, 06/15/29(1) |
|
8,147 |
|
8,084 |
Santander Drive Auto Receivables Trust, Class C, Series 2022-5, 4.74%, 10/16/28 |
|
100,000 |
|
96,899 |
Taco Bell Funding LLC, Class A23, Series 2016-1A, 4.97%, 05/25/46(1) |
|
72,188 |
|
69,547 |
Tesla Auto Lease Trust, Class B, Series 2023-A, 6.41%, 07/20/27(1) |
|
147,000 |
|
146,310 |
TRP LLC, Class A, Series 2021-1, 2.07%, 06/19/51(1) |
|
66,289 |
|
56,822 |
United Auto Credit Securitization Trust, Class C, Series 2023-1, 6.28%, 07/10/28(1) |
|
203,000 |
|
200,362 |
Upstart Securitization Trust, Class B, Series 2021-2, 1.75%, 06/20/31(1) |
|
31,741 |
|
31,411 |
Westlake Automobile Receivables Trust, Class C, Series 2020-3A, 1.24%, 11/17/25(1) |
|
9,809 |
|
9,763 |
ZAXBY’S Funding LLC, Class A2, Series 2021-1A, 3.24%, 07/30/51(1) |
|
230,690 |
|
189,207 |
|
|
|
|
|
Total Asset Backed Securities |
|
|
|
|
(Cost $3,794,599) |
|
|
|
3,700,564 |
|
|
|
|
|
MUNICIPAL BONDS — 0.2% |
|
|
|
|
Broward County Fl Water & Sewer Utility Revenue, 4.00%, 10/01/47 |
|
40,000 |
|
33,818 |
Metropolitan Transportation Authority, 5.00%, 11/15/45 |
|
60,000 |
|
60,205 |
Sales Tax Securitization Corp., 3.41%, 01/01/43 |
|
5,000 |
|
3,446 |
|
|
|
|
|
Total Municipal Bonds |
|
|
|
|
(Cost $117,510) |
|
|
|
97,469 |
|
|
|
|
|
COMMON STOCK — 0.0%(9) |
|
|
|
|
|
|
|
|
|
Retail — 0.0%(9) |
|
|
|
|
West Marine (Rising Tide)(5) |
|
|
|
|
(Cost $85) |
|
38 |
|
166 |
|
|
|
|
|
MONEY MARKET FUND — 2.1% |
|
|
|
|
JP Morgan U.S. Government Money Market
Institutional Shares, 5.20%(12) |
|
1,014,801 |
|
1,014,801 |
|
|
|
|
|
TOTAL INVESTMENTS — 98.1% |
|
|
|
|
(Cost $49,170,355) |
|
|
|
46,735,773 |
Other Assets in Excess of Liabilities — 1.9% |
|
|
|
882,861 |
Net Assets — 100.0% |
|
|
|
$47,618,634 |
The accompanying notes are an integral part of these financial statements.
48
(1)Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. At October 31, 2023, the aggregate value of these securities was $19,849,120, or 41.7% of net assets.
(2)Variable rate instrument. The interest rate shown reflects the rate in effect at October 31, 2023.
(3)Perpetual security with no stated maturity date.
(4)Security in default, interest payments are being received during the bankruptcy proceedings.
(5)Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments.
(6)Represents step coupon bond. Rate shown reflects the rate in effect as of October 31, 2023.
(7)Security in default, no interest payments are being received during the bankruptcy proceedings.
(8)This loan will settle after October 31, 2023, at which time the interest rate, calculated on the base lending rate and the agreed upon spread on trade date, will be reflected.
(9)Amount rounds to less than 0.05%.
(10)Adjustable rate security with an interest rate that is not based on a published reference index and spread. The rate is based on the structure of the agreement and current market conditions.
(11)Represents a zero coupon bond. Rate shown reflects the effective yield.
(12)The rate shown reflects the seven-day yield as of October 31, 2023.
Abbreviations:
BAM — Build America Mutual Assurance Company
CMT — Constant Maturity Treasury Index
LIBOR — London InterBank Offered Rate
SOFR — Secured Overnight Financing Rate
USD — United States Dollar
Currency Abbreviations:
USD — United States Dollar
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of October 31, 2023.
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
$— |
|
$16,379,052 |
|
$719 |
|
$16,379,771 |
Foreign Bonds |
|
— |
|
8,945,010 |
|
— |
|
8,945,010 |
Term Loans |
|
— |
|
6,309,992 |
|
— |
|
6,309,992 |
Mortgage Backed Securities |
|
— |
|
6,151,903 |
|
— |
|
6,151,903 |
U.S. Government Securities |
|
— |
|
4,136,097 |
|
— |
|
4,136,097 |
Asset Backed Securities |
|
— |
|
3,700,564 |
|
— |
|
3,700,564 |
Municipal Bonds |
|
— |
|
97,469 |
|
— |
|
97,469 |
Common Stock |
|
— |
|
— |
|
166 |
|
166 |
Money Market Fund |
|
1,014,801 |
|
— |
|
— |
|
1,014,801 |
Total |
|
$1,014,801 |
|
$45,720,087 |
|
$885 |
|
$46,735,773 |
Security held by the Fund with an end of year value of $719 was transferred from Level 2 to Level 3 due to an decrease in trading activities at year end.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the rollforward of Level 3 securities and assumptions are not shown for the year ended October 31, 2023.
The accompanying notes are an integral part of these financial statements.
49
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS — 58.4% |
|
|
|
|
|
|
|
|
|
|
|
Financials — 58.4% |
|
|
|
|
|
Ares Capital Corp. |
|
24,447 |
|
$463,515 |
|
Bain Capital Specialty Finance, Inc.(1) |
|
30,216 |
|
457,470 |
|
Barings BDC, Inc. |
|
53,672 |
|
474,460 |
|
BlackRock Capital Investment Corp.(1) |
|
156,461 |
|
511,627 |
|
BlackRock TCP Capital Corp. |
|
42,008 |
|
441,084 |
|
Blackstone Secured Lending Fund(1) |
|
9,724 |
|
266,146 |
|
Capital Southwest Corp. |
|
21,235 |
|
459,525 |
|
Carlyle Secured Lending, Inc. |
|
31,771 |
|
432,086 |
|
CION Investment Corp. |
|
32,027 |
|
316,427 |
|
Crescent Capital BDC, Inc. |
|
31,343 |
|
487,384 |
|
Fidus Investment Corp. |
|
21,337 |
|
385,773 |
|
FS KKR Capital Corp. |
|
32,181 |
|
609,830 |
|
Gladstone Capital Corp. |
|
41,982 |
|
399,669 |
|
Gladstone Investment Corp.(1) |
|
28,789 |
|
385,772 |
|
Goldman Sachs BDC, Inc. |
|
46,110 |
|
631,246 |
|
Golub Capital BDC, Inc. |
|
29,019 |
|
417,874 |
|
Hercules Capital, Inc. |
|
26,592 |
|
409,517 |
|
Horizon Technology Finance Corp.(1) |
|
44,246 |
|
490,246 |
|
Main Street Capital Corp.(1) |
|
8,520 |
|
324,868 |
|
MidCap Financial Investment Corp. |
|
38,642 |
|
493,458 |
|
Monroe Capital Corp. |
|
37,437 |
|
253,823 |
|
New Mountain Finance Corp. |
|
38,812 |
|
480,492 |
|
Oaktree Specialty Lending Corp. |
|
25,695 |
|
488,205 |
|
OFS Capital Corp. |
|
25,678 |
|
253,699 |
|
Oxford Square Capital Corp. |
|
89,297 |
|
258,068 |
|
PennantPark Floating Rate Capital Ltd. |
|
54,433 |
|
547,052 |
|
PennantPark Investment Corp. |
|
68,899 |
|
425,796 |
|
Portman Ridge Finance Corp. |
|
14,065 |
|
240,511 |
|
Prospect Capital Corp.(1) |
|
100,721 |
|
517,706 |
|
Runway Growth Finance Corp.(1) |
|
26,848 |
|
327,009 |
|
Saratoga Investment Corp. |
|
16,159 |
|
379,252 |
|
Sixth Street Specialty Lending, Inc. |
|
21,901 |
|
425,098 |
|
SLR Investment Corp. |
|
39,376 |
|
559,139 |
|
Stellus Capital Investment Corp. |
|
32,950 |
|
411,875 |
|
TriplePoint Venture Growth BDC Corp.(1) |
|
62,320 |
|
589,547 |
|
WhiteHorse Finance, Inc. |
|
44,358 |
|
521,650 |
|
Total Financials |
|
|
|
15,536,899 |
|
Total Common Stocks |
|
|
|
|
|
(Cost $18,094,432) |
|
|
|
15,536,899 |
|
|
|
|
|
|
|
CLOSED-END FUNDS(2) — 38.6% |
|
|
|
|
|
Ares Dynamic Credit Allocation Fund, Inc. |
|
38,889 |
|
474,446 |
|
BlackRock 2037 Municipal Target Term Trust |
|
3,418 |
|
74,444 |
|
BlackRock Debt Strategies Fund, Inc. |
|
40,957 |
|
405,065 |
|
BlackRock Floating Rate Income
Strategies |
|
31,438 |
|
370,969 |
|
BlackRock Floating Rate Income Trust |
|
33,711 |
|
391,722 |
|
BlackRock Income Trust, Inc. |
|
43,973 |
|
467,433 |
|
BlackRock Innovation and Growth Term Trust |
|
67,960 |
|
429,507 |
|
BlackRock Limited Duration Income Trust |
|
35,240 |
|
443,319 |
|
Blackstone Senior Floating Rate Term Fund |
|
29,113 |
|
372,647 |
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
CLOSED-END FUNDS(2) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Blackstone Strategic Credit Term Fund |
|
37,410 |
|
$398,042 |
|
BNY Mellon Alcentra Global Credit Income 2024 Target Term Fund, Inc.(1) |
|
49,793 |
|
375,439 |
|
Eaton Vance Floating-Rate Income Trust(1) |
|
33,684 |
|
396,124 |
|
Eaton Vance Senior Floating-Rate Trust |
|
34,221 |
|
398,333 |
|
Eaton Vance Senior Income Trust(1) |
|
73,394 |
|
424,217 |
|
First Trust Senior Floating Rate Income Fund II |
|
52,083 |
|
505,726 |
|
Invesco Dynamic Credit Opportunity Fund |
|
3,042 |
|
34,074 |
|
Invesco Quality Municipal Income Trust |
|
34,505 |
|
281,561 |
|
Invesco Senior Income Trust |
|
128,312 |
|
500,417 |
|
KKR Income Opportunities Fund |
|
46,929 |
|
532,644 |
|
Nuveen Credit Strategies Income Fund |
|
121,264 |
|
592,981 |
|
Nuveen Floating Rate Income Fund |
|
58,670 |
|
459,386 |
|
Oxford Lane Capital Corp. |
|
169,226 |
|
802,131 |
|
Pioneer Floating Rate Fund, Inc. |
|
51,826 |
|
446,740 |
|
XAI Octagon Floating Rate Alternative Income Term Trust |
|
97,765 |
|
678,489 |
|
Total Closed-End Funds |
|
|
|
|
|
(Cost $11,907,055) |
|
|
|
10,255,856 |
|
|
|
|
|
|
|
SECURITIES LENDING COLLATERAL — 9.7% |
|
|
| ||
|
|
|
|
|
|
Money Market Fund — 9.7% |
|
|
|
|
|
Dreyfus Government Cash Management Fund, Institutional Shares, 5.23%(3)(4) |
|
|
|
|
|
(Cost $2,571,040) |
|
2,571,040 |
|
2,571,040 |
|
|
|
|
|
|
|
TOTAL INVESTMENTS — 106.7% |
|
|
|
|
|
(Cost $32,572,527) |
|
|
|
28,363,795 |
|
Liabilities in Excess of Other Assets — (6.7)% |
|
|
|
(1,769,804 |
) |
Net Assets — 100.0% |
|
|
|
$26,593,991 |
|
___________
(1)All or a portion of the security was on loan. The aggregate market value of securities on loan was $2,527,935; total market value of collateral held by the Fund was $2,571,040.
(2)Shares of each fund are publicly offered, and each prospectus and annual report are publicly available.
(3)Represents securities purchased with cash collateral received for securities on loan.
(4)The rate shown reflects the seven-day yield as of October 31, 2023.
The accompanying notes are an integral part of these financial statements.
50
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of October 31, 2023.
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
Common Stocks |
|
$15,536,899 |
|
$— |
|
$— |
|
$15,536,899 |
Closed-End Funds |
|
10,255,856 |
|
— |
|
— |
|
10,255,856 |
Money Market Fund |
|
2,571,040 |
|
— |
|
— |
|
2,571,040 |
Total |
|
$28,363,795 |
|
$— |
|
$— |
|
$28,363,795 |
The accompanying notes are an integral part of these financial statements.
51
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS — 96.5% |
|
|
|
|
|
|
|
|
|
|
|
Communication Services — 6.7% |
|
|
|
|
|
BCE, Inc. (Canada) |
|
5,112 |
|
$189,809 |
|
Cogent Communications Holdings, Inc. |
|
3,089 |
|
200,723 |
|
KT Corp. (South Korea)(1) |
|
16,541 |
|
199,815 |
|
Lumen Technologies, Inc.* |
|
131,621 |
|
192,167 |
|
Mobile TeleSystems PJSC (Russia)(2) |
|
387,202 |
|
4 |
|
TELUS Corp. (Canada) |
|
12,062 |
|
194,440 |
|
Vodafone Group PLC (United Kingdom)(1) |
|
20,310 |
|
187,664 |
|
Total Communication Services |
|
|
|
1,164,622 |
|
|
|
|
|
|
|
Consumer Staples — 2.2% |
|
|
|
|
|
Alico, Inc. |
|
7,861 |
|
192,123 |
|
Fresh Del Monte Produce, Inc. |
|
7,815 |
|
195,375 |
|
Total Consumer Staples |
|
|
|
387,498 |
|
|
|
|
|
|
|
Energy — 23.3% |
|
|
|
|
|
Cheniere Energy Partners LP(3) |
|
3,583 |
|
199,788 |
|
ConocoPhillips |
|
1,699 |
|
201,841 |
|
Coterra Energy, Inc. |
|
7,769 |
|
213,648 |
|
Crescent Point Energy Corp. (Canada) |
|
25,592 |
|
204,992 |
|
Delek Logistics Partners LP |
|
4,772 |
|
220,562 |
|
Devon Energy Corp. |
|
4,371 |
|
203,557 |
|
Diamondback Energy, Inc. |
|
1,344 |
|
215,470 |
|
Dorchester Minerals LP(3) |
|
7,027 |
|
196,053 |
|
Enbridge, Inc. (Canada) |
|
5,915 |
|
189,517 |
|
EOG Resources, Inc. |
|
1,653 |
|
208,691 |
|
Geopark Ltd. (Colombia) |
|
20,047 |
|
198,064 |
|
Hess Midstream LP Class A |
|
6,827 |
|
204,810 |
|
Kimbell Royalty Partners LP |
|
13,267 |
|
213,864 |
|
Natural Resource Partners LP |
|
2,641 |
|
174,306 |
|
Permian Basin Royalty Trust |
|
9,390 |
|
186,392 |
|
Petroleo Brasileiro SA (Brazil)(1) |
|
13,530 |
|
202,950 |
|
Pioneer Natural Resources Co. |
|
911 |
|
217,729 |
|
Sabine Royalty Trust(3) |
|
3,151 |
|
181,970 |
|
TC Energy Corp. (Canada) |
|
5,606 |
|
193,127 |
|
Viper Energy Partners LP |
|
7,244 |
|
206,309 |
|
Total Energy |
|
|
|
4,033,640 |
|
|
|
|
|
|
|
Materials — 18.7% |
|
|
|
|
|
Agnico Eagle Mines Ltd. (Canada) |
|
4,124 |
|
193,457 |
|
Anglogold Ashanti PLC (United Kingdom) |
|
11,074 |
|
197,560 |
|
B2Gold Corp. (Canada) |
|
65,177 |
|
210,522 |
|
Barrick Gold Corp. (Canada) |
|
12,649 |
|
202,131 |
|
Braskem SA Class A (Brazil)*(1)(3) |
|
23,600 |
|
150,804 |
|
CVR Partners LP(3) |
|
2,579 |
|
203,303 |
|
Dow, Inc. |
|
3,969 |
|
191,861 |
|
DRDGOLD Ltd. (South Africa)(1) |
|
22,781 |
|
193,866 |
|
Gerdau SA (Brazil)(1) |
|
41,284 |
|
179,172 |
|
Gold Fields Ltd. (South Africa)(1) |
|
16,928 |
|
220,403 |
|
ICL Group Ltd. (Israel)(3) |
|
36,126 |
|
174,489 |
|
Newmont Corp. |
|
5,004 |
|
187,500 |
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Materials (continued) |
|
|
|
|
|
Pan American Silver Corp. (Canada) |
|
13,128 |
|
$191,800 |
|
Southern Copper Corp. (Mexico) |
|
2,672 |
|
189,445 |
|
SunCoke Energy, Inc. |
|
20,835 |
|
198,141 |
|
Ternium SA (Mexico)(1) |
|
5,313 |
|
199,184 |
|
Tronox Holdings PLC |
|
15,090 |
|
161,312 |
|
Total Materials |
|
|
|
3,244,950 |
|
|
|
|
|
|
|
Real Estate — 30.6% |
|
|
|
|
|
Agree Realty Corp. |
|
3,552 |
|
198,699 |
|
Alexander & Baldwin, Inc. |
|
11,939 |
|
188,636 |
|
Alexandria Real Estate Equities, Inc. |
|
1,977 |
|
184,118 |
|
American Assets Trust, Inc. |
|
10,518 |
|
186,695 |
|
American Tower Corp. |
|
1,205 |
|
214,719 |
|
Camden Property Trust |
|
2,039 |
|
173,070 |
|
CareTrust REIT, Inc. |
|
9,900 |
|
213,048 |
|
Crown Castle, Inc. |
|
2,178 |
|
202,511 |
|
CTO Realty Growth, Inc. |
|
12,418 |
|
201,047 |
|
CubeSmart |
|
5,205 |
|
177,439 |
|
Digital Realty Trust, Inc. |
|
1,637 |
|
203,577 |
|
EastGroup Properties, Inc. |
|
1,205 |
|
196,716 |
|
Equity LifeStyle Properties, Inc. |
|
3,043 |
|
200,229 |
|
Essential Properties Realty Trust, Inc. |
|
8,958 |
|
196,628 |
|
Essex Property Trust, Inc. |
|
927 |
|
198,304 |
|
Extra Space Storage, Inc. |
|
1,653 |
|
171,234 |
|
First Industrial Realty Trust, Inc. |
|
4,124 |
|
174,445 |
|
Four Corners Property Trust, Inc. |
|
8,603 |
|
183,244 |
|
Getty Realty Corp. |
|
7,012 |
|
186,660 |
|
Healthcare Realty Trust, Inc. |
|
13,066 |
|
187,497 |
|
Innovative Industrial Properties, Inc. |
|
2,487 |
|
178,641 |
|
Invitation Homes, Inc. |
|
6,147 |
|
182,504 |
|
Medical Properties Trust, Inc.(3) |
|
38,180 |
|
182,500 |
|
Mid-America Apartment Communities, Inc. |
|
1,529 |
|
180,651 |
|
National Storage Affiliates Trust |
|
6,178 |
|
176,197 |
|
Sun Communities, Inc. |
|
1,637 |
|
182,100 |
|
Terreno Realty Corp. |
|
3,491 |
|
186,001 |
|
VICI Properties, Inc. |
|
6,734 |
|
187,879 |
|
Total Real Estate |
|
|
|
5,294,989 |
|
|
|
|
|
|
|
Utilities — 15.0% |
|
|
|
|
|
Alliant Energy Corp. |
|
3,954 |
|
192,916 |
|
American Electric Power Co., Inc. |
|
2,533 |
|
191,343 |
|
Black Hills Corp. |
|
3,753 |
|
181,457 |
|
Cia Energetica de Minas Gerais (Brazil)(1) |
|
78,877 |
|
179,051 |
|
Cia Paranaense de Energia (Brazil)(1) |
|
22,627 |
|
184,636 |
|
CMS Energy Corp. |
|
3,583 |
|
194,700 |
|
Eversource Energy |
|
3,166 |
|
170,299 |
|
Fortis, Inc. (Canada)(3) |
|
5,035 |
|
200,040 |
|
National Grid PLC (United Kingdom)(1)(3) |
|
3,166 |
|
190,435 |
|
New Jersey Resources Corp. |
|
4,772 |
|
193,648 |
|
NextEra Energy Partners LP |
|
4,232 |
|
114,560 |
|
The accompanying notes are an integral part of these financial statements.
52
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Utilities (continued) |
|
|
|
|
|
NiSource, Inc. |
|
7,491 |
|
$188,474 |
|
NRG Energy, Inc. |
|
5,344 |
|
226,479 |
|
Portland General Electric Co. |
|
4,711 |
|
188,534 |
|
Total Utilities |
|
|
|
2,596,572 |
|
Total Common Stocks |
|
|
|
|
|
(Cost $22,093,995) |
|
|
|
16,722,271 |
|
|
|
|
|
|
|
SECURITIES LENDING COLLATERAL — 5.7% |
|
|
| ||
|
|
|
|
|
|
Money Market Fund — 5.7% |
|
|
|
|
|
Dreyfus Government Cash Management Fund, Institutional Shares, 5.23%(4)(5) |
|
|
|
|
|
(Cost $984,193) |
|
984,193 |
|
984,193 |
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
TOTAL INVESTMENTS — 102.2% |
|
|
|
|
|
(Cost $23,078,188) |
|
|
|
$17,706,464 |
|
Liabilities in Excess of Other Assets — (2.2)% |
|
|
|
(386,516) |
|
Net Assets — 100.0% |
|
|
|
$17,319,948 |
|
___________
*Non-income producing security.
(1)American Depositary Receipts.
(2)Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments.
(3)All or a portion of the security was on loan. The aggregate market value of securities on loan was $1,138,483; total market value of collateral held by the Fund was $1,166,836. Market value of the collateral held includes non-cash U.S. Treasury securities having a value of $182,643.
(4)Represents securities purchased with cash collateral received for securities on loan.
(5)The rate shown reflects the seven-day yield as of October 31, 2023.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of October 31, 2023.
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
Common Stocks |
|
$16,722,267 |
|
$— |
|
$4 |
|
$16,722,271 |
Money Market Fund |
|
984,193 |
|
— |
|
— |
|
984,193 |
Total |
|
$17,706,460 |
|
$— |
|
$4 |
|
$17,706,464 |
The value of level 3 security represents valuations of Russian Common Stock for which Management has determined include significant unobservable inputs as of October 31, 2023.
There were no transfers into or out of Level 3 related to security held at October 31, 2023.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the rollforward of Level 3 securities and assumptions are not shown for the year ended October 31, 2023.
The accompanying notes are an integral part of these financial statements.
53
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
COMMON STOCKS — 98.1% |
|
|
|
|
|
|
|
|
|
Australia — 9.4% |
|
|
|
|
Ampol Ltd. |
|
824 |
|
$16,653 |
BHP Group Ltd. |
|
7,641 |
|
215,694 |
Computershare Ltd. |
|
2,417 |
|
38,009 |
Fortescue Metals Group Ltd. |
|
3,697 |
|
52,298 |
Glencore PLC |
|
30,970 |
|
163,801 |
Rio Tinto PLC |
|
3,523 |
|
225,021 |
Woodside Energy Group Ltd. |
|
4,059 |
|
88,213 |
Total Australia |
|
|
|
799,689 |
|
|
|
|
|
Austria — 1.2% |
|
|
|
|
OMV AG |
|
2,356 |
|
103,106 |
|
|
|
|
|
Brazil — 0.5% |
|
|
|
|
Yara International ASA |
|
1,185 |
|
38,719 |
|
|
|
|
|
Canada — 9.3% |
|
|
|
|
Algonquin Power & Utilities Corp. |
|
8,004 |
|
40,287 |
BCE, Inc. |
|
2,515 |
|
93,364 |
Canadian Imperial Bank of Commerce |
|
1,477 |
|
52,093 |
Emera, Inc. |
|
2,529 |
|
82,832 |
Enbridge, Inc. |
|
2,676 |
|
85,756 |
IGM Financial, Inc. |
|
356 |
|
8,015 |
Keyera Corp. |
|
3,559 |
|
82,767 |
Manulife Financial Corp. |
|
8,892 |
|
154,788 |
TC Energy Corp. |
|
2,482 |
|
85,481 |
TELUS Corp. |
|
6,774 |
|
109,224 |
Total Canada |
|
|
|
794,607 |
|
|
|
|
|
China — 2.1% |
|
|
|
|
BOC Hong Kong Holdings Ltd. |
|
32,088 |
|
84,882 |
SITC International Holdings Co., Ltd. |
|
56,259 |
|
86,560 |
Xinyi Glass Holdings Ltd. |
|
8,940 |
|
10,271 |
Total China |
|
|
|
181,713 |
|
|
|
|
|
Denmark — 1.0% |
|
|
|
|
Tryg A/S |
|
4,499 |
|
87,795 |
|
|
|
|
|
Finland — 1.1% |
|
|
|
|
Kesko OYJ Class B |
|
5,270 |
|
89,024 |
|
|
|
|
|
France — 7.1% |
|
|
|
|
AXA SA |
|
3,505 |
|
103,675 |
Bouygues SA |
|
3,194 |
|
112,235 |
Engie SA |
|
5,534 |
|
87,856 |
Orange SA |
|
7,122 |
|
83,723 |
TotalEnergies SE |
|
3,328 |
|
222,550 |
Total France |
|
|
|
610,039 |
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
Germany — 3.3% |
|
|
|
|
Allianz SE |
|
842 |
|
$196,804 |
Deutsche Post AG |
|
1,533 |
|
59,627 |
Telefonica Deutschland Holding AG |
|
13,777 |
|
23,375 |
Total Germany |
|
|
|
279,806 |
|
|
|
|
|
Hong Kong — 3.0% |
|
|
|
|
HKT Trust & HKT Ltd. |
|
95,436 |
|
98,787 |
MTR Corp. Ltd. |
|
13,154 |
|
49,168 |
Power Assets Holdings Ltd. |
|
22,699 |
|
108,488 |
Total Hong Kong |
|
|
|
256,443 |
|
|
|
|
|
Israel — 0.2% |
|
|
|
|
Bank Leumi Le—Israel BM |
|
2,779 |
|
17,869 |
|
|
|
|
|
Italy — 3.9% |
|
|
|
|
Assicurazioni Generali SpA |
|
5,806 |
|
115,157 |
Enel SpA |
|
14,351 |
|
90,927 |
Eni SpA |
|
602 |
|
9,827 |
Intesa Sanpaolo SpA |
|
33,940 |
|
88,218 |
Snam SpA |
|
5,802 |
|
26,582 |
Total Italy |
|
|
|
330,711 |
|
|
|
|
|
Japan — 15.4% |
|
|
|
|
Canon, Inc. |
|
3,549 |
|
83,144 |
Daito Trust Construction Co., Ltd. |
|
832 |
|
88,648 |
Daiwa House Industry Co., Ltd. |
|
328 |
|
8,931 |
Isuzu Motors Ltd. |
|
6,442 |
|
70,572 |
Japan Tobacco, Inc. |
|
7,856 |
|
182,490 |
Komatsu Ltd. |
|
2,748 |
|
62,783 |
Obic Co., Ltd. |
|
189 |
|
27,738 |
Otsuka Corp. |
|
379 |
|
15,060 |
Persol Holdings Co., Ltd. |
|
35,755 |
|
52,910 |
SBI Holdings, Inc. |
|
4,111 |
|
87,522 |
SCSK Corp. |
|
5,256 |
|
89,065 |
Sekisui House Ltd. |
|
6,246 |
|
121,108 |
SoftBank Corp. |
|
14,855 |
|
167,097 |
Sumitomo Corp. |
|
1,696 |
|
32,880 |
Takeda Pharmaceutical Co., Ltd. |
|
2,659 |
|
71,275 |
Tokio Marine Holdings, Inc. |
|
3,268 |
|
72,076 |
Trend Micro, Inc. |
|
826 |
|
30,746 |
USS Co., Ltd. |
|
2,967 |
|
51,412 |
Total Japan |
|
|
|
1,315,457 |
|
|
|
|
|
Netherlands — 0.4% |
|
|
|
|
ASR Nederland NV |
|
226 |
|
8,418 |
Koninklijke Ahold Delhaize NV |
|
841 |
|
24,916 |
Total Netherlands |
|
|
|
33,334 |
The accompanying notes are an integral part of these financial statements.
54
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
Norway — 3.2% |
|
|
|
|
Aker BP ASA |
|
4,065 |
|
$116,845 |
Equinor ASA |
|
2,533 |
|
84,906 |
Telenor ASA |
|
7,208 |
|
73,655 |
Total Norway |
|
|
|
275,406 |
|
|
|
|
|
Singapore — 5.1% |
|
|
|
|
CapitaLand Integrated Commercial Trust |
|
6,695 |
|
8,606 |
DBS Group Holdings Ltd. |
|
3,566 |
|
85,559 |
Mapletree Pan Asia Commercial Trust |
|
36,513 |
|
35,469 |
Oversea—Chinese Banking Corp. Ltd. |
|
20,460 |
|
189,484 |
Singapore Technologies Engineering Ltd. |
|
35,576 |
|
97,700 |
United Overseas Bank Ltd. |
|
819 |
|
16,163 |
Total Singapore |
|
|
|
432,981 |
|
|
|
|
|
Spain — 3.6% |
|
|
|
|
ACS Actividades de Construccion y Servicios SA |
|
2,489 |
|
89,990 |
Aena SME SA(1) |
|
166 |
|
24,019 |
CaixaBank SA |
|
21,755 |
|
88,278 |
Enagas SA |
|
5,969 |
|
99,758 |
Iberdrola SA |
|
787 |
|
8,744 |
Total Spain |
|
|
|
310,789 |
|
|
|
|
|
Sweden — 0.9% |
|
|
|
|
Tele2 AB Class B |
|
10,615 |
|
75,259 |
|
|
|
|
|
Switzerland — 8.6% |
|
|
|
|
Adecco Group AG |
|
2,698 |
|
101,555 |
Kuehne + Nagel International AG |
|
30 |
|
8,063 |
Novartis AG |
|
2,714 |
|
252,231 |
SGS SA |
|
632 |
|
51,399 |
Zurich Insurance Group AG |
|
686 |
|
324,731 |
Total Switzerland |
|
|
|
737,979 |
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
United Kingdom — 11.0% |
|
|
|
|
British American Tobacco PLC |
|
2,872 |
|
$85,664 |
HSBC Holdings PLC |
|
1,615 |
|
11,626 |
Imperial Brands PLC |
|
7,025 |
|
149,510 |
Legal & General Group PLC |
|
32,943 |
|
84,646 |
M&G PLC |
|
9,798 |
|
23,604 |
National Grid PLC |
|
9,770 |
|
116,208 |
Phoenix Group Holdings PLC |
|
15,384 |
|
84,854 |
St James’s Place PLC |
|
2,808 |
|
21,829 |
Unilever PLC |
|
7,036 |
|
332,584 |
Vodafone Group PLC |
|
31,967 |
|
29,413 |
Total United Kingdom |
|
|
|
939,938 |
|
|
|
|
|
United States — 7.8% |
|
|
|
|
Sanofi SA |
|
3,281 |
|
297,518 |
Stellantis NV |
|
9,335 |
|
173,842 |
Swiss Re AG |
|
1,806 |
|
196,791 |
Total United States |
|
|
|
668,151 |
Total Common Stocks |
|
|
|
|
(Cost $8,457,406) |
|
|
|
8,378,815 |
|
|
|
|
|
PREFERRED STOCKS — 1.0% |
|
|
|
|
|
|
|
|
|
Germany — 1.0% |
|
|
|
|
Bayerische Motoren Werke AG, 10.25% |
|
982 |
|
83,280 |
Total Preferred Stocks |
|
|
|
|
(Cost $92,157) |
|
|
|
83,280 |
|
|
|
|
|
TOTAL INVESTMENTS — 99.1% |
|
|
|
|
(Cost $8,549,563) |
|
|
|
8,462,095 |
Other Assets in Excess of Liabilities — 0.9% |
|
|
|
80,982 |
Net Assets — 100.0% |
|
|
|
$8,543,077 |
___________
(1)Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. At October 31, 2023, the aggregate value of these securities was $24,019, or 0.3% of net assets.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of October 31, 2023.
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
Common Stocks |
|
$8,378,815 |
|
$— |
|
$— |
|
$8,378,815 |
Preferred Stocks |
|
83,280 |
|
— |
|
— |
|
83,280 |
Total |
|
$8,462,095 |
|
$— |
|
$— |
|
$8,462,095 |
The accompanying notes are an integral part of these financial statements.
55
|
|
InfraCap REIT |
|
Virtus InfraCap U.S. |
|
Virtus LifeSci Biotech |
|
Virtus LifeSci Biotech |
|
Assets: |
|
|
|
|
|
|
|
|
|
Investments, at cost |
|
$68,056,854 |
|
$873,513,506 |
|
$15,846,810 |
|
$16,630,105 |
|
Investments, at value (including
securities |
|
55,796,759 |
|
768,110,753 |
|
8,405,363 |
|
13,890,213 |
|
Cash |
|
705,953 |
|
2,268,578 |
|
275,392 |
|
119,704 |
|
Receivables: |
|
|
|
|
|
|
|
|
|
Dividends and interest |
|
83,121 |
|
773,701 |
|
532 |
|
242 |
|
Capital shares sold |
|
— |
|
3,647,217 |
|
— |
|
— |
|
Securities lending |
|
— |
|
— |
|
2,647 |
|
152 |
|
Tax reclaim |
|
— |
|
85,888 |
|
3,637 |
|
284 |
|
Investment securities sold |
|
— |
|
644,382 |
|
— |
|
— |
|
Prepaid expenses |
|
229 |
|
229 |
|
229 |
|
229 |
|
Total Assets |
|
56,586,062 |
|
775,530,748 |
|
8,687,800 |
|
14,010,824 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
Bank borrowings |
|
— |
|
158,957,427 |
|
— |
|
— |
|
Payables: |
|
|
|
|
|
|
|
|
|
Investment securities purchased |
|
— |
|
5,962,776 |
|
— |
|
— |
|
Collateral for securities on loan |
|
— |
|
— |
|
647,190 |
|
— |
|
Interest expense |
|
— |
|
920,234 |
|
— |
|
— |
|
Advisory fees |
|
21,907 |
|
411,895 |
|
5,517 |
|
9,647 |
|
Total Liabilities |
|
21,907 |
|
166,252,332 |
|
652,707 |
|
9,647 |
|
Net Assets |
|
$56,564,155 |
|
$609,278,416 |
|
$8,035,093 |
|
$14,001,177 |
|
Net Assets Consist of: |
|
|
|
|
|
|
|
|
|
Paid-in capital |
|
$81,363,058 |
|
$730,320,797 |
|
$73,057,819 |
|
$33,115,341 |
|
Total distributable earnings |
|
(24,798,903 |
) |
(121,042,381 |
) |
(65,022,726 |
) |
(19,114,164 |
) |
Net Assets |
|
$56,564,155 |
|
$609,278,416 |
|
$8,035,093 |
|
$14,001,177 |
|
Shares outstanding (unlimited number of
shares of beneficial interest authorized, |
|
3,450,004 |
|
33,250,004 |
|
450,004 |
|
300,004 |
|
Net asset value per share |
|
$16.40 |
|
$18.32 |
|
$17.86 |
|
$46.67 |
|
(a)Market value of securities on loan |
|
$— |
|
$— |
|
$1,299,727 |
|
$2,169,903 |
|
The accompanying notes are an integral part of these financial statements.
56
|
|
Virtus Newfleet Multi-Sector Bond ETF |
|
Virtus Private Credit Strategy ETF |
|
Virtus Real Asset Income ETF |
|
Virtus WMC International Dividend ETF |
|
Assets: |
|
|
|
|
|
|
|
|
|
Investments, at cost |
|
$49,170,355 |
|
$32,572,527 |
|
$23,078,188 |
|
$8,549,563 |
|
Investments, at value (including
securities |
|
46,735,773 |
|
28,363,795 |
|
17,706,464 |
|
8,462,095 |
|
Cash |
|
82,142 |
|
752,019 |
|
985,971 |
|
21,064 |
|
Foreign currency(b) |
|
— |
|
— |
|
— |
|
4,024 |
|
Receivables: |
|
|
|
|
|
|
|
|
|
Investment securities sold |
|
778,839 |
|
— |
|
5,762 |
|
5 |
|
Dividends and interest |
|
503,586 |
|
60,585 |
|
66,376 |
|
26,835 |
|
Due from Adviser |
|
14,642 |
|
— |
|
— |
|
— |
|
Securities lending |
|
— |
|
10,966 |
|
2,003 |
|
— |
|
Tax reclaim |
|
— |
|
— |
|
3,704 |
|
34,501 |
|
Prepaid expenses |
|
2,290 |
|
172 |
|
172 |
|
229 |
|
Other assets |
|
— |
|
— |
|
43,562 |
|
— |
|
Total Assets |
|
48,117,272 |
|
29,187,537 |
|
18,814,014 |
|
8,548,753 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
Payables: |
|
|
|
|
|
|
|
|
|
Investment securities purchased |
|
370,005 |
|
— |
|
501,742 |
|
— |
|
Collateral for securities on loan |
|
— |
|
2,571,040 |
|
984,193 |
|
— |
|
Advisory fees |
|
43,003 |
|
22,506 |
|
8,131 |
|
3,560 |
|
Professional fees |
|
35,374 |
|
— |
|
— |
|
— |
|
Trustee fees |
|
12,883 |
|
— |
|
— |
|
— |
|
Other accrued expenses |
|
37,373 |
|
— |
|
— |
|
2,116 |
|
Total Liabilities |
|
498,638 |
|
2,593,546 |
|
1,494,066 |
|
5,676 |
|
Net Assets |
|
$47,618,634 |
|
$26,593,991 |
|
$17,319,948 |
|
$8,543,077 |
|
Net Assets Consist of: |
|
|
|
|
|
|
|
|
|
Paid-in capital |
|
$55,323,006 |
|
$40,648,616 |
|
$66,850,408 |
|
$8,972,705 |
|
Total distributable earnings |
|
(7,704,372 |
) |
(14,054,625 |
) |
(49,530,460 |
) |
(429,628 |
) |
Net Assets |
|
$47,618,634 |
|
$26,593,991 |
|
$17,319,948 |
|
$8,543,077 |
|
Shares outstanding (unlimited number of
shares of beneficial interest authorized, |
|
2,250,004 |
|
1,300,004 |
|
800,004 |
|
350,004 |
|
Net asset value per share |
|
$21.16 |
|
$20.46 |
|
$21.65 |
|
$24.41 |
|
(a)Market value of securities on loan |
|
$— |
|
$2,527,935 |
|
$1,138,483 |
|
$— |
|
(b)Foreign currency, at cost |
|
$— |
|
$— |
|
$— |
|
$4,024 |
|
The accompanying notes are an integral part of these financial statements.
57
|
|
InfraCap REIT Preferred ETF |
|
Virtus InfraCap U.S. Preferred Stock ETF |
|
Virtus LifeSci Biotech Clinical Trials ETF |
|
Virtus LifeSci Biotech Products ETF |
|
Investment Income: |
|
|
|
|
|
|
|
|
|
Dividend income (net of foreign withholding taxes) |
|
$4,192,001 |
|
$56,004,931 |
|
$90,032 |
|
$21,411 |
|
Interest income |
|
8,822 |
|
39,951 |
|
6,540 |
|
3,939 |
|
Securities lending, net of fees |
|
— |
|
— |
|
34,934 |
|
2,260 |
|
Total Investment Income |
|
4,200,823 |
|
56,044,882 |
|
131,506 |
|
27,610 |
|
|
|
|
|
|
|
|
|
|
|
Expenses: |
|
|
|
|
|
|
|
|
|
Advisory fees |
|
271,412 |
|
4,383,815 |
|
102,495 |
|
137,630 |
|
Interest expenses |
|
— |
|
9,432,187 |
|
— |
|
— |
|
Total Expenses |
|
271,412 |
|
13,816,002 |
|
102,495 |
|
137,630 |
|
Net Investment Income (Loss) |
|
3,929,411 |
|
42,228,880 |
|
29,011 |
|
(110,020 |
) |
|
|
|
|
|
|
|
|
|
|
Net Realized Gain (Loss) on: |
|
|
|
|
|
|
|
|
|
Investments |
|
(2,080,284 |
) |
(22,845,486 |
) |
(5,025,483 |
) |
1,161,759 |
|
In-kind redemptions |
|
80,465 |
|
2,482,540 |
|
998,700 |
|
525,159 |
|
Securities sold short |
|
— |
|
36,600 |
|
— |
|
— |
|
Total Net Realized Gain (Loss) |
|
(1,999,819 |
) |
(20,326,346 |
) |
(4,026,783 |
) |
1,686,918 |
|
|
|
|
|
|
|
|
|
|
|
Change in Net Unrealized Appreciation (Depreciation) on: |
|
|
|
|
|
|
|
|
|
Investments |
|
2,474,881 |
|
17,688,788 |
|
(63,857 |
) |
(1,260,331 |
) |
Total Change in Net Unrealized Appreciation (Depreciation) |
|
2,474,881 |
|
17,688,788 |
|
(63,857 |
) |
(1,260,331 |
) |
Net Realized and Change in Unrealized Gain (Loss) |
|
475,062 |
|
(2,637,558 |
) |
(4,090,640 |
) |
426,587 |
|
Net Increase (Decrease) in Net Assets
Resulting |
|
$4,404,473 |
|
$39,591,322 |
|
$(4,061,629 |
) |
$316,567 |
|
Foreign withholding taxes |
|
$— |
|
$217,409 |
|
$— |
|
$— |
|
The accompanying notes are an integral part of these financial statements.
58
|
|
Virtus Newfleet |
|
Virtus Private |
|
Virtus Real Asset |
|
Virtus WMC |
|
Investment Income: |
|
|
|
|
|
|
|
|
|
Dividend income (net of foreign withholding taxes) |
|
$— |
|
$2,989,694 |
|
$934,615 |
|
$423,564 |
|
Interest income |
|
3,506,823 |
|
11,679 |
|
19,756 |
|
1,035 |
|
Securities lending, net of fees |
|
— |
|
108,684 |
|
63,710 |
|
— |
|
Total Investment Income |
|
3,506,823 |
|
3,110,057 |
|
1,018,081 |
|
424,599 |
|
|
|
|
|
|
|
|
|
|
|
Expenses: |
|
|
|
|
|
|
|
|
|
Advisory fees |
|
244,830 |
|
185,057 |
|
155,018 |
|
39,569 |
|
Professional fees |
|
46,108 |
|
— |
|
— |
|
— |
|
Accounting and administration fees |
|
45,265 |
|
— |
|
— |
|
— |
|
Pricing fees |
|
44,940 |
|
— |
|
— |
|
— |
|
Transfer agent fees |
|
20,744 |
|
— |
|
— |
|
— |
|
Trustee fees |
|
11,671 |
|
— |
|
— |
|
— |
|
Exchange listing fees |
|
9,329 |
|
— |
|
— |
|
— |
|
Custody fees |
|
5,598 |
|
— |
|
— |
|
— |
|
Report to shareholders fees |
|
5,340 |
|
— |
|
— |
|
— |
|
Insurance fees |
|
4,114 |
|
— |
|
— |
|
— |
|
Total Expenses |
|
437,939 |
|
185,057 |
|
155,018 |
|
39,569 |
|
Less expense waivers/reimbursements |
|
(168,746 |
) |
— |
|
— |
|
— |
|
Net Expenses |
|
269,193 |
|
185,057 |
|
155,018 |
|
39,569 |
|
Net Investment Income |
|
3,237,630 |
|
2,925,000 |
|
863,063 |
|
385,030 |
|
|
|
|
|
|
|
|
|
|
|
Net Realized Gain (Loss) on: |
|
|
|
|
|
|
|
|
|
Investments |
|
(1,528,857 |
) |
(2,032,194 |
) |
(5,475,337 |
) |
(242,321 |
) |
In-kind redemptions |
|
— |
|
(2,091,215 |
) |
(1,571,352 |
) |
— |
|
Foreign currency transactions |
|
— |
|
— |
|
21 |
|
323 |
|
Total Net Realized Loss |
|
(1,528,857 |
) |
(4,123,409 |
) |
(7,046,668 |
) |
(241,998 |
) |
|
|
|
|
|
|
|
|
|
|
Change in Net Unrealized Appreciation (Depreciation) on: |
|
|
|
|
|
|
|
|
|
Investments |
|
569,218 |
|
1,195,696 |
|
7,181,691 |
|
1,001,992 |
|
Foreign currency translations |
|
— |
|
— |
|
(25 |
) |
830 |
|
Total Change in Net Unrealized Appreciation |
|
569,218 |
|
1,195,696 |
|
7,181,666 |
|
1,002,822 |
|
Net Realized and Change in Unrealized Gain (Loss) |
|
(959,639 |
) |
(2,927,713 |
) |
134,998 |
|
760,824 |
|
Net Increase (Decrease) in Net Assets
Resulting |
|
$2,277,991 |
|
$(2,713 |
) |
$998,061
|
|
$1,145,854 |
|
Foreign withholding taxes |
|
$— |
|
$— |
|
$31,473 |
|
$57,951 |
|
The accompanying notes are an integral part of these financial statements.
59
|
|
InfraCap REIT Preferred ETF |
|
Virtus InfraCap |
| ||||
|
|
For the |
|
For the |
|
For the |
|
For the |
|
Increase (Decrease) in Net Assets Resulting from Operations: |
|
|
|
|
|
|
|
|
|
Net investment income |
|
$3,929,411 |
|
$2,383,786 |
|
$42,228,880 |
|
$35,209,915 |
|
Net realized gain (loss) |
|
(1,999,819 |
) |
(7,418,657 |
) |
(20,326,346 |
) |
20,290,785 |
|
Net change in unrealized appreciation (depreciation) |
|
2,474,881 |
|
(18,257,024 |
) |
17,688,788 |
|
(167,879,060 |
) |
Net increase (decrease) in net assets resulting from operations |
|
4,404,473 |
|
(23,291,895 |
) |
39,591,322 |
|
(112,378,360 |
) |
Distributions to Shareholders |
|
(3,748,137 |
) |
(3,360,547 |
) |
(46,177,337 |
) |
(45,741,008 |
) |
Distributions to Shareholders from return of capital |
|
(1,285,869 |
) |
(1,673,459 |
) |
(10,423,671 |
) |
— |
|
Total distributions |
|
(5,034,006 |
) |
(5,034,006 |
) |
(56,601,008 |
) |
(45,741,008 |
) |
|
|
|
|
|
|
|
|
|
|
Shareholder Transactions: |
|
|
|
|
|
|
|
|
|
Proceeds from shares sold |
|
8,236,173 |
|
11,130,838 |
|
190,529,617 |
|
132,836,150 |
|
Cost of shares redeemed |
|
(5,106,974 |
) |
(16,279,277 |
) |
(20,377,242 |
) |
(45,701,870 |
) |
Net increase (decrease) in net assets
resulting |
|
3,129,199 |
|
(5,148,439 |
) |
170,152,375 |
|
87,134,280 |
|
Increase (decrease) in net assets |
|
2,499,666 |
|
(33,474,340 |
) |
153,142,689 |
|
(70,985,088 |
) |
|
|
|
|
|
|
|
|
|
|
Net Assets: |
|
|
|
|
|
|
|
|
|
Beginning of year |
|
54,064,489 |
|
87,538,829 |
|
456,135,727 |
|
527,120,815 |
|
End of year |
|
$56,564,155 |
|
$54,064,489 |
|
$609,278,416 |
|
$456,135,727 |
|
|
|
|
|
|
|
|
|
|
|
Changes in Shares Outstanding: |
|
|
|
|
|
|
|
|
|
Shares outstanding, beginning of year |
|
3,300,004 |
|
3,600,004 |
|
24,500,004 |
|
20,950,004 |
|
Shares sold |
|
450,000 |
|
500,000 |
|
9,750,000 |
|
5,650,000 |
|
Shares redeemed |
|
(300,000 |
) |
(800,000 |
) |
(1,000,000 |
) |
(2,100,000 |
) |
Shares outstanding, end of year |
|
3,450,004 |
|
3,300,004 |
|
33,250,004 |
|
24,500,004 |
|
The accompanying notes are an integral part of these financial statements.
60
|
|
Virtus LifeSci |
|
Virtus LifeSci Biotech Products ETF |
| ||||
|
|
For the |
|
For the |
|
For the |
|
For the |
|
Increase (Decrease) in Net Assets Resulting from Operations: |
|
|
|
|
|
|
|
|
|
Net investment income (loss) |
|
$29,011 |
|
$(121,956 |
) |
$(110,020 |
) |
$(99,780 |
) |
Net realized gain (loss) |
|
(4,026,783 |
) |
(16,056,251 |
) |
1,686,918 |
|
(3,535,364 |
) |
Net change in unrealized appreciation (depreciation) |
|
(63,857 |
) |
1,184,424 |
|
(1,260,331 |
) |
1,302,023 |
|
Net increase (decrease) in net assets resulting from operations |
|
(4,061,629 |
) |
(14,993,783 |
) |
316,567 |
|
(2,333,121 |
) |
|
|
|
|
|
|
|
|
|
|
Shareholder Transactions: |
|
|
|
|
|
|
|
|
|
Proceeds from shares sold |
|
— |
|
5,967,004 |
|
— |
|
2,288,842 |
|
Cost of shares redeemed |
|
(6,019,212 |
) |
(8,347,720 |
) |
(2,664,613 |
) |
(6,931,707 |
) |
Net decrease in net assets resulting |
|
(6,019,212 |
) |
(2,380,716 |
) |
(2,664,613 |
) |
(4,642,865 |
) |
Decrease in net assets |
|
(10,080,841 |
) |
(17,374,499 |
) |
(2,348,046 |
) |
(6,975,986 |
) |
|
|
|
|
|
|
|
|
|
|
Net Assets: |
|
|
|
|
|
|
|
|
|
Beginning of year |
|
18,115,934 |
|
35,490,433 |
|
16,349,223 |
|
23,325,209 |
|
End of year |
|
$8,035,093 |
|
$18,115,934 |
|
$14,001,177 |
|
$16,349,223 |
|
|
|
|
|
|
|
|
|
|
|
Changes in Shares Outstanding: |
|
|
|
|
|
|
|
|
|
Shares outstanding, beginning of year |
|
700,004 |
|
800,004 |
|
350,004 |
|
450,004 |
|
Shares sold |
|
— |
|
150,000 |
|
— |
|
50,000 |
|
Shares redeemed |
|
(250,000 |
) |
(250,000 |
) |
(50,000 |
) |
(150,000 |
) |
Shares outstanding, end of year |
|
450,004 |
|
700,004 |
|
300,004 |
|
350,004 |
|
The accompanying notes are an integral part of these financial statements.
61
|
|
Virtus Newfleet |
|
Virtus Private Credit Strategy ETF |
| ||||
|
|
For the |
|
For the |
|
For the |
|
For the |
|
Increase (Decrease) in Net Assets Resulting from Operations: |
|
|
|
|
|
|
|
|
|
Net investment income |
|
$3,237,630 |
|
$1,021,605 |
|
$2,925,000 |
|
$2,703,114 |
|
Net realized loss |
|
(1,528,857 |
) |
(999,178 |
) |
(4,123,409 |
) |
(1,619,996 |
) |
Net change in unrealized appreciation (depreciation) |
|
569,218 |
|
(3,244,164 |
) |
1,195,696 |
|
(5,277,112 |
) |
Net increase (decrease) in net assets resulting from operations |
|
2,277,991 |
|
(3,221,737 |
) |
(2,713 |
) |
(4,193,994 |
) |
Distributions to Shareholders |
|
(3,089,988 |
) |
(988,884 |
) |
(2,724,501 |
) |
(2,736,879 |
) |
|
|
|
|
|
|
|
|
|
|
Shareholder Transactions: |
|
|
|
|
|
|
|
|
|
Proceeds from shares sold |
|
40,472,226 |
|
35,945,947 |
|
36,194,903 |
|
15,270,250 |
|
Cost of shares redeemed |
|
(33,834,144 |
) |
(10,113,540 |
) |
(28,608,764 |
) |
(17,793,017 |
) |
Net increase (decrease) in net assets
resulting |
|
6,638,082 |
|
25,832,407 |
|
7,586,139 |
|
(2,522,767 |
) |
Increase (decrease) in net assets |
|
5,826,085 |
|
21,621,786 |
|
4,858,925 |
|
(9,453,640 |
) |
|
|
|
|
|
|
|
|
|
|
Net Assets: |
|
|
|
|
|
|
|
|
|
Beginning of year |
|
41,792,549 |
|
20,170,763 |
|
21,735,066 |
|
31,188,706 |
|
End of year |
|
$47,618,634 |
|
$41,792,549 |
|
$26,593,991 |
|
$21,735,066 |
|
|
|
|
|
|
|
|
|
|
|
Changes in Shares Outstanding: |
|
|
|
|
|
|
|
|
|
Shares outstanding, beginning of year |
|
1,950,004 |
|
800,004 |
|
1,050,004 |
|
1,200,004 |
|
Shares sold |
|
1,850,000 |
|
1,600,000 |
|
1,650,000 |
|
600,000 |
|
Shares redeemed |
|
(1,550,000 |
) |
(450,000 |
) |
(1,400,000 |
) |
(750,000 |
) |
Shares outstanding, end of year |
|
2,250,004 |
|
1,950,004 |
|
1,300,004 |
|
1,050,004 |
|
The accompanying notes are an integral part of these financial statements.
62
|
|
Virtus Real Asset Income ETF |
|
Virtus WMC International |
| ||||
|
|
For the |
|
For the |
|
For the |
|
For the |
|
Increase (Decrease) in Net Assets Resulting from Operations: |
|
|
|
|
|
|
|
|
|
Net investment income |
|
$863,063 |
|
$4,609,440 |
|
$385,030 |
|
$395,039 |
|
Net realized gain (loss) |
|
(7,046,668 |
) |
11,560,635 |
|
(241,998 |
) |
(113,707 |
) |
Net change in unrealized appreciation (depreciation) |
|
7,181,666 |
|
(30,510,644 |
) |
1,002,822 |
|
(1,272,595 |
) |
Net increase (decrease) in net assets resulting from operations |
|
998,061 |
|
(14,340,569 |
) |
1,145,854 |
|
(991,263 |
) |
Distributions to Shareholders |
|
(1,496,841 |
) |
(4,478,009 |
) |
(380,432 |
) |
(825,604 |
) |
|
|
|
|
|
|
|
|
|
|
Shareholder Transactions: |
|
|
|
|
|
|
|
|
|
Proceeds from shares sold |
|
— |
|
74,482,507 |
|
1,270,370 |
|
1,182,444 |
|
Cost of shares redeemed |
|
(27,601,677 |
) |
(149,826,507 |
) |
— |
|
— |
|
Net increase (decrease) in net assets resulting from shareholder transactions |
|
(27,601,677 |
) |
(75,344,000 |
) |
1,270,370 |
|
1,182,444 |
|
Increase (decrease) in net assets |
|
(28,100,457 |
) |
(94,162,578 |
) |
2,035,792 |
|
(634,423 |
) |
|
|
|
|
|
|
|
|
|
|
Net Assets: |
|
|
|
|
|
|
|
|
|
Beginning of year |
|
45,420,405 |
|
139,582,983 |
|
6,507,285 |
|
7,141,708 |
|
End of year |
|
$17,319,948 |
|
$45,420,405 |
|
$8,543,077 |
|
$6,507,285 |
|
|
|
|
|
|
|
|
|
|
|
Changes in Shares Outstanding: |
|
|
|
|
|
|
|
|
|
Shares outstanding, beginning of year |
|
1,950,004 |
|
5,200,004 |
|
300,004 |
|
250,004 |
|
Shares sold |
|
— |
|
2,750,000 |
|
50,000 |
|
50,000 |
|
Shares redeemed |
|
(1,150,000 |
) |
(6,000,000 |
) |
— |
|
— |
|
Shares outstanding, end of year |
|
800,004 |
|
1,950,004 |
|
350,004 |
|
300,004 |
|
The accompanying notes are an integral part of these financial statements.
63
|
|
Virtus InfraCap |
|
Cash Flows From Operating Activities: |
|
|
|
Net increase (decrease) in net assets from operations |
|
$39,591,322 |
|
Adjustments to reconcile net increase
(decrease) in net assets from operations to net cash provided by |
|
|
|
Purchases of investment securities |
|
(177,062,607 |
) |
Proceeds from sales of investments |
|
217,999,633 |
|
Net proceeds from securities sold short |
|
560,466 |
|
Payments made to cover securities sold short |
|
(523,866 |
) |
Net realized (gain) loss on investments |
|
22,845,486 |
|
Net realized (gain) loss on securities sold short |
|
(36,600 |
) |
Net realized (gain) loss on in-kind redemptions |
|
(2,482,540 |
) |
Net change in unrealized (appreciation) depreciation on investments |
|
(17,688,788 |
) |
(Increase) decrease in due from brokers |
|
9,014 |
|
(Increase) decrease in dividends and interest receivable |
|
(239,186 |
) |
(Increase) decrease in prepaid expenses |
|
(58 |
) |
(Increase) decrease in tax reclaim receivable |
|
(62,685 |
) |
Increase (decrease) in advisory fees payable |
|
99,153 |
|
Increase (decrease) in interest expense |
|
864,985 |
|
Net cash provided by (used in) operating activities |
|
83,873,729 |
|
|
|
|
|
Cash Flows provided by (used in) Financing Activities: |
|
|
|
Proceeds from borrowings |
|
22,788,498 |
|
Payments for fund shares sold in excess of in-kind creations |
|
(49,021,028 |
) |
Distributions paid |
|
(56,601,008 |
) |
Net cash provided by (used in) financing activities |
|
(82,833,538 |
) |
|
|
|
|
Net increase (decrease) in cash |
|
1,040,191 |
|
Cash, beginning of year |
|
1,228,387 |
|
Cash, end of year |
|
$2,268,578 |
|
|
|
|
|
Supplemental information: |
|
|
|
Interest paid on borrowings |
|
$8,567,202 |
|
|
|
|
|
Non-cash financing activities: |
|
|
|
In-kind creations — Issued |
|
241,642,109 |
|
In-kind creations — Redeemed |
|
26,115,923 |
|
The accompanying notes are an integral part of these financial statements.
64
|
|
InfraCap REIT Preferred ETF | ||||||||||||||||||
|
|
For the |
|
For the |
|
For the |
|
For the |
|
For the | ||||||||||
Per Share Data for a Share
Outstanding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year |
|
|
$16.38 |
|
|
|
$24.32 |
|
|
|
$21.71 |
|
|
|
$25.26 |
|
|
|
$23.65 |
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income1 |
|
|
1.13 |
|
|
|
0.68 |
|
|
|
0.63 |
|
|
|
1.05 |
|
|
|
1.32 |
|
Net realized and unrealized gain (loss) |
|
|
0.33 |
|
|
|
(7.18 |
) |
|
|
3.42 |
|
|
|
(3.14 |
) |
|
|
1.83 |
|
Total from investment operations |
|
|
1.46 |
|
|
|
(6.50 |
) |
|
|
4.05 |
|
|
|
(2.09 |
) |
|
|
3.15 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(1.07 |
) |
|
|
(0.96 |
) |
|
|
(1.44 |
) |
|
|
(1.22 |
) |
|
|
(1.30 |
) |
Return of capital |
|
|
(0.37 |
) |
|
|
(0.48 |
) |
|
|
— |
|
|
|
(0.24 |
) |
|
|
(0.24 |
) |
Total distributions |
|
|
(1.44 |
) |
|
|
(1.44 |
) |
|
|
(1.44 |
) |
|
|
(1.46 |
) |
|
|
(1.54 |
) |
Net Asset Value, End of year |
|
|
$16.40 |
|
|
|
$16.38 |
|
|
|
$24.32 |
|
|
|
$21.71 |
|
|
|
$25.26 |
|
Net Asset Value Total Return2 |
|
|
8.84 |
% |
|
|
(27.70 |
)% |
|
|
18.93 |
% |
|
|
(8.06 |
)% |
|
|
13.78 |
% |
Net assets, end of year (000’s omitted) |
|
|
$56,564 |
|
|
|
$54,064 |
|
|
|
$87,539 |
|
|
|
$52,104 |
|
|
|
$37,885 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
0.45 |
% |
|
|
0.45 |
% |
|
|
0.45 |
% |
|
|
0.45 |
% |
|
|
0.45 |
%3 |
Net investment income |
|
|
6.51 |
% |
|
|
3.25 |
% |
|
|
2.61 |
% |
|
|
4.75 |
% |
|
|
5.42 |
% |
Portfolio turnover rate4 |
|
|
14 |
% |
|
|
79 |
% |
|
|
144 |
% |
|
|
38 |
% |
|
|
66 |
% |
1Based on average shares outstanding.
2Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the year, reinvestment of dividends and distributions at net asset value during the year, and redemptions at net asset value on the last day of the year.
3The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
4Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
The accompanying notes are an integral part of these financial statements.
65
|
|
Virtus InfraCap U.S. Preferred Stock ETF | ||||||||||||||||||
|
|
For the |
|
For the |
|
For the |
|
For the |
|
For the | ||||||||||
Per Share Data for a Share Outstanding throughout each year presented: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year |
|
|
$18.62 |
|
|
|
$25.16 |
|
|
|
$19.26 |
|
|
|
$26.43 |
|
|
|
$24.47 |
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income1 |
|
|
1.48 |
|
|
|
1.50 |
|
|
|
1.18 |
|
|
|
1.40 |
|
|
|
1.44 |
|
Net realized and unrealized gain (loss) |
|
|
0.20 |
2 |
|
|
(6.09 |
) |
|
|
6.62 |
|
|
|
(6.25 |
) |
|
|
2.80 |
|
Total from investment operations |
|
|
1.68 |
|
|
|
(4.59 |
) |
|
|
7.80 |
|
|
|
(4.85 |
) |
|
|
4.24 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(1.62 |
) |
|
|
(1.95 |
) |
|
|
(1.59 |
) |
|
|
(1.81 |
) |
|
|
(2.28 |
) |
Net realized gains |
|
|
— |
|
|
|
— |
|
|
|
(0.26 |
) |
|
|
(0.43 |
) |
|
|
— |
|
Return of capital |
|
|
(0.36 |
) |
|
|
— |
|
|
|
(0.05 |
) |
|
|
(0.08 |
) |
|
|
— |
|
Total distributions |
|
|
(1.98 |
) |
|
|
(1.95 |
) |
|
|
(1.90 |
) |
|
|
(2.32 |
) |
|
|
(2.28 |
) |
Net Asset Value, End of year |
|
|
$18.32 |
|
|
|
$18.62 |
|
|
|
$25.16 |
|
|
|
$19.26 |
|
|
|
$26.43 |
|
Net Asset Value Total Return3 |
|
|
9.15 |
% |
|
|
(19.28 |
)% |
|
|
41.52 |
% |
|
|
(18.37 |
)% |
|
|
18.37 |
% |
Net assets, end of year (000’s omitted) |
|
|
$609,278 |
|
|
|
$456,136 |
|
|
|
$527,121 |
|
|
|
$146,397 |
|
|
|
$88,525 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
2.52 |
%4 |
|
|
1.40 |
%5 |
|
|
1.21 |
%6 |
|
|
1.47 |
%7 |
|
|
2.00 |
%8,9 |
Net investment income |
|
|
7.71 |
% |
|
|
6.64 |
% |
|
|
4.93 |
% |
|
|
6.93 |
% |
|
|
5.66 |
% |
Portfolio turnover rate10 |
|
|
26 |
% |
|
|
22 |
% |
|
|
35 |
% |
|
|
96 |
% |
|
|
150 |
% |
1Based on average shares outstanding.
2The per share amount of realized and unrealized gain (loss) on investments does not accord with the amounts reported in the Statements of Changes in Net Assets due to the timing of creation of Fund shares in relation to fluctuating market values.
3Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the year, reinvestment of dividends and distributions at net asset value during the year, and redemptions at net asset value on the last day of the year.
4The ratios of expenses to average net assets include interest expense of 1.72%.
5The ratios of expenses to average net assets include interest expense of 0.60%.
6The ratios of expenses to average net assets include interest expense of 0.41%.
7The ratios of expenses to average net assets include interest expense of 0.63% and dividend expense on securities sold short fees of 0.04%.
8The ratios of expenses to average net assets include interest expense of 0.75% and dividend expense on securities sold short fees of 0.45%.
9The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
10Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
The accompanying notes are an integral part of these financial statements.
66
|
|
Virtus LifeSci Biotech Clinical Trials ETF | ||||||||||||||||||
|
|
For the |
|
For the |
|
For the |
|
For the |
|
For the | ||||||||||
Per Share Data for a Share Outstanding throughout each year presented: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year |
|
|
$25.88 |
|
|
|
$44.36 |
|
|
|
$38.97 |
|
|
|
$26.42 |
|
|
|
$26.87 |
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)1 |
|
|
0.05 |
|
|
|
(0.16 |
) |
|
|
(0.26 |
) |
|
|
(0.15 |
) |
|
|
(0.13 |
) |
Net realized and unrealized gain (loss) |
|
|
(8.07 |
) |
|
|
(18.32 |
) |
|
|
5.65 |
|
|
|
12.70 |
|
|
|
(0.32 |
) |
Total from investment operations |
|
|
(8.02 |
) |
|
|
(18.48 |
) |
|
|
5.39 |
|
|
|
12.55 |
|
|
|
(0.45 |
) |
Net Asset Value, End of year |
|
|
$17.86 |
|
|
|
$25.88 |
|
|
|
$44.36 |
|
|
|
$38.97 |
|
|
|
$26.42 |
|
Net Asset Value Total Return2 |
|
|
(31.01 |
)% |
|
|
(41.66 |
)% |
|
|
13.85 |
% |
|
|
47.50 |
% |
|
|
(1.67 |
)% |
Net assets, end of year (000’s omitted) |
|
|
$8,035 |
|
|
|
$18,116 |
|
|
|
$35,490 |
|
|
|
$37,018 |
|
|
|
$23,775 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
0.79 |
% |
|
|
0.79 |
% |
|
|
0.79 |
% |
|
|
0.79 |
% |
|
|
0.79 |
%3 |
Net investment income (loss) |
|
|
0.22 |
% |
|
|
(0.56 |
)% |
|
|
(0.53 |
)% |
|
|
(0.41 |
)% |
|
|
(0.50 |
)% |
Portfolio turnover rate4 |
|
|
66 |
% |
|
|
61 |
% |
|
|
76 |
% |
|
|
81 |
% |
|
|
67 |
% |
1Based on average shares outstanding.
2Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the year, reinvestment of dividends and distributions at net asset value during the year, and redemptions at net asset value on the last day of the year.
3The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
4Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
The accompanying notes are an integral part of these financial statements.
67
|
|
Virtus LifeSci Biotech Products ETF | ||||||||||||||||||
|
|
For the |
|
For the |
|
For the |
|
For the |
|
For the | ||||||||||
Per Share Data for a Share Outstanding throughout each year presented: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year |
|
|
$46.71 |
|
|
|
$51.83 |
|
|
|
$48.19 |
|
|
|
$37.86 |
|
|
|
$36.33 |
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss1 |
|
|
(0.32 |
) |
|
|
(0.26 |
) |
|
|
(0.30 |
) |
|
|
(0.19 |
) |
|
|
(0.20 |
) |
Net realized and unrealized gain (loss) |
|
|
0.28 |
|
|
|
(4.86 |
) |
|
|
3.94 |
|
|
|
10.52 |
|
|
|
1.73 |
|
Total from investment operations |
|
|
(0.04 |
) |
|
|
(5.12 |
) |
|
|
3.64 |
|
|
|
10.33 |
|
|
|
1.53 |
|
Net Asset Value, End of year |
|
|
$46.67 |
|
|
|
$46.71 |
|
|
|
$51.83 |
|
|
|
$48.19 |
|
|
|
$37.86 |
|
Net Asset Value Total Return2 |
|
|
(0.09 |
)% |
|
|
(9.88 |
)% |
|
|
7.56 |
% |
|
|
27.27 |
% |
|
|
4.22 |
% |
Net assets, end of year (000’s omitted) |
|
|
$14,001 |
|
|
|
$16,349 |
|
|
|
$23,325 |
|
|
|
$26,505 |
|
|
|
$26,505 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
0.79 |
% |
|
|
0.79 |
% |
|
|
0.79 |
% |
|
|
0.79 |
% |
|
|
0.79 |
%3 |
Net investment loss |
|
|
(0.63 |
)% |
|
|
(0.59 |
)% |
|
|
(0.57 |
)% |
|
|
(0.43 |
)% |
|
|
(0.51 |
)% |
Portfolio turnover rate4 |
|
|
49 |
% |
|
|
48 |
% |
|
|
44 |
% |
|
|
46 |
% |
|
|
41 |
% |
1Based on average shares outstanding.
2Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the year, reinvestment of dividends and distributions at net asset value during the year, and redemptions at net asset value on the last day of the year.
3The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
4Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
The accompanying notes are an integral part of these financial statements.
68
|
|
Virtus Newfleet Multi-Sector Bond ETF | ||||||||||||||||||
|
|
For the |
|
For the |
|
For the |
|
For the |
|
For the | ||||||||||
Per Share Data for a Share Outstanding throughout each year presented: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year |
|
|
$21.43 |
|
|
|
$25.21 |
|
|
|
$24.66 |
|
|
|
$24.54 |
|
|
|
$23.85 |
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income1 |
|
|
1.31 |
|
|
|
0.90 |
|
|
|
0.89 |
|
|
|
0.96 |
|
|
|
1.06 |
|
Net realized and unrealized gain (loss) |
|
|
(0.33 |
) |
|
|
(3.80 |
) |
|
|
0.50 |
|
|
|
0.10 |
|
|
|
0.74 |
|
Total from investment operations |
|
|
0.98 |
|
|
|
(2.90 |
) |
|
|
1.39 |
|
|
|
1.06 |
|
|
|
1.80 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(1.25 |
) |
|
|
(0.88 |
) |
|
|
(0.84 |
) |
|
|
(0.91 |
) |
|
|
(1.02 |
) |
Return of capital |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(0.03 |
) |
|
|
(0.09 |
) |
Total distributions |
|
|
(1.25 |
) |
|
|
(0.88 |
) |
|
|
(0.84 |
) |
|
|
(0.94 |
) |
|
|
(1.11 |
) |
Net Asset Value, End of year |
|
|
$21.16 |
|
|
|
$21.43 |
|
|
|
$25.21 |
|
|
|
$24.66 |
|
|
|
$24.54 |
|
Net Asset Value Total Return2 |
|
|
4.56 |
% |
|
|
(11.72 |
)% |
|
|
5.71 |
% |
|
|
4.51 |
% |
|
|
7.74 |
% |
Net assets, end of year (000’s omitted) |
|
|
$47,619 |
|
|
|
$41,793 |
|
|
|
$20,171 |
|
|
|
$18,494 |
|
|
|
$24,535 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses, net of expense waivers |
|
|
0.49 |
% |
|
|
0.49 |
% |
|
|
0.49 |
%3 |
|
|
0.55 |
%3 |
|
|
0.80 |
% |
Expenses, prior to expense waivers |
|
|
0.80 |
% |
|
|
1.02 |
% |
|
|
1.21 |
%3 |
|
|
1.15 |
%3 |
|
|
1.06 |
% |
Net investment income |
|
|
5.95 |
% |
|
|
3.92 |
% |
|
|
3.52 |
% |
|
|
3.95 |
% |
|
|
4.37 |
% |
Portfolio turnover rate4 |
|
|
138 |
% |
|
|
84 |
% |
|
|
107 |
% |
|
|
103 |
% |
|
|
95 |
% |
1Based on average shares outstanding.
2Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the year, reinvestment of dividends and distributions at net asset value during the year, and redemptions at net asset value on the last day of the year.
3The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
4Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
The accompanying notes are an integral part of these financial statements.
69
|
|
Virtus Private Credit Strategy ETF | ||||||||||||||||||
|
|
For the |
|
For the |
|
For the |
|
For the |
|
For the
Period | ||||||||||
Per Share Data for a Share Outstanding throughout each period presented: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
|
$20.70 |
|
|
|
$25.99 |
|
|
|
$17.37 |
|
|
|
$24.72 |
|
|
|
$24.85 |
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income2 |
|
|
2.51 |
|
|
|
2.13 |
|
|
|
1.71 |
|
|
|
1.89 |
|
|
|
1.70 |
|
Net realized and unrealized gain (loss) |
|
|
(0.30 |
) |
|
|
(5.33 |
) |
|
|
8.62 |
|
|
|
(7.20 |
) |
|
|
(0.45 |
) |
Total from investment operations |
|
|
2.21 |
|
|
|
(3.20 |
) |
|
|
10.33 |
|
|
|
(5.31 |
) |
|
|
1.25 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(2.45 |
) |
|
|
(2.09 |
) |
|
|
(1.71 |
) |
|
|
(2.04 |
) |
|
|
(1.38 |
) |
Total distributions |
|
|
(2.45 |
) |
|
|
(2.09 |
) |
|
|
(1.71 |
) |
|
|
(2.04 |
) |
|
|
(1.38 |
) |
Net Asset Value, End of period |
|
|
$20.46 |
|
|
|
$20.70 |
|
|
|
$25.99 |
|
|
|
$17.37 |
|
|
|
$24.72 |
|
Net Asset Value Total Return3 |
|
|
11.22 |
% |
|
|
(12.75 |
)% |
|
|
61.32 |
% |
|
|
(21.70 |
)% |
|
|
5.03 |
% |
Net assets, end of period (000’s omitted) |
|
|
$26,594 |
|
|
|
$21,735 |
|
|
|
$31,189 |
|
|
|
$19,109 |
|
|
|
$211,344 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
0.75 |
%4 |
|
|
0.75 |
% |
|
|
0.75 |
% |
|
|
0.75 |
%5 |
|
|
0.75 |
%6 |
Net investment income |
|
|
11.85 |
%4 |
|
|
8.97 |
% |
|
|
7.27 |
% |
|
|
8.59 |
% |
|
|
9.24 |
%6 |
Portfolio turnover rate7 |
|
|
40 |
% |
|
|
27 |
% |
|
|
34 |
% |
|
|
24 |
% |
|
|
22 |
%8 |
1Commencement of operations.
2Based on average shares outstanding.
3Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the period, reinvestment of dividends and distributions at net asset value during the period, and redemptions at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized.
4The Fund indirectly bears its proportionate shares of expenses and net investment income of any underlying funds in which the Fund invests. Such expenses and income are not included in the calculation of this ratio.
5The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
6Annualized.
7Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
8Not annualized.
The accompanying notes are an integral part of these financial statements.
70
|
|
Virtus Real Asset Income ETF | ||||||||||||||||||
|
|
For the |
|
For the |
|
For the |
|
For the |
|
For the
Period | ||||||||||
Per Share Data for a Share Outstanding throughout each period presented: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
|
$23.29 |
|
|
|
$26.84 |
|
|
|
$18.67 |
|
|
|
$24.72 |
|
|
|
$24.79 |
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income2 |
|
|
0.73 |
|
|
|
0.93 |
|
|
|
0.57 |
|
|
|
0.64 |
|
|
|
0.58 |
|
Net realized and unrealized gain (loss) |
|
|
(1.17 |
)3 |
|
|
(3.61 |
) |
|
|
8.66 |
|
|
|
(5.95 |
) |
|
|
(0.12 |
) |
Total from investment operations |
|
|
(0.44 |
) |
|
|
(2.68 |
) |
|
|
9.23 |
|
|
|
(5.31 |
) |
|
|
0.46 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(1.20 |
) |
|
|
(0.87 |
) |
|
|
(1.06 |
) |
|
|
(0.74 |
) |
|
|
(0.53 |
) |
Total distributions |
|
|
(1.20 |
) |
|
|
(0.87 |
) |
|
|
(1.06 |
) |
|
|
(0.74 |
) |
|
|
(0.53 |
) |
Net Asset Value, End of period |
|
|
$21.65 |
|
|
|
$23.29 |
|
|
|
$26.84 |
|
|
|
$18.67 |
|
|
|
$24.72 |
|
Net Asset Value Total Return4 |
|
|
(2.15 |
)% |
|
|
(10.25 |
)% |
|
|
50.16 |
% |
|
|
(21.53 |
)% |
|
|
1.87 |
% |
Net assets, end of period (000’s omitted) |
|
|
$17,320 |
|
|
|
$45,420 |
|
|
|
$139,583 |
|
|
|
$100,810 |
|
|
|
$244,751 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
0.55 |
% |
|
|
0.55 |
% |
|
|
0.55 |
% |
|
|
0.55 |
%5 |
|
|
0.55 |
%6 |
Net investment income |
|
|
3.06 |
% |
|
|
3.52 |
% |
|
|
2.30 |
% |
|
|
2.93 |
% |
|
|
3.20 |
%6 |
Portfolio turnover rate7 |
|
|
88 |
% |
|
|
70 |
% |
|
|
66 |
% |
|
|
91 |
% |
|
|
15 |
%8 |
1Commencement of operations.
2Based on average shares outstanding.
3The per share amount of realized and unrealized gain (loss) on investments does not accord with the amounts reported in the Statements of Changes in Net Assets due to the timing of creation of Fund shares in relation to fluctuating market values.
4Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the period, reinvestment of dividends and distributions at net asset value during the period, and redemptions at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized.
5The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
6Annualized.
7Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
8Not annualized.
The accompanying notes are an integral part of these financial statements.
71
|
|
Virtus WMC International Dividend ETF | ||||||||||||||||||
|
|
For the |
|
For the |
|
For the |
|
For the |
|
For the | ||||||||||
Per Share Data for a Share Outstanding throughout each year presented: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year |
|
|
$21.69 |
|
|
|
$28.57 |
|
|
|
$23.94 |
|
|
|
$26.41 |
|
|
|
$24.97 |
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income1 |
|
|
1.20 |
|
|
|
1.50 |
|
|
|
1.29 |
|
|
|
0.52 |
|
|
|
0.52 |
|
Net realized and unrealized gain (loss) |
|
|
2.65 |
|
|
|
(5.13 |
) |
|
|
5.18 |
|
|
|
(2.08 |
) |
|
|
1.95 |
|
Total from investment operations |
|
|
3.85 |
|
|
|
(3.63 |
) |
|
|
6.47 |
|
|
|
(1.56 |
) |
|
|
2.47 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(1.13 |
) |
|
|
(1.69 |
) |
|
|
(1.15 |
) |
|
|
(0.91 |
) |
|
|
(0.49 |
) |
Net realized gains |
|
|
— |
|
|
|
(1.56 |
) |
|
|
(0.69 |
) |
|
|
— |
|
|
|
(0.54 |
) |
Total distributions |
|
|
(1.13 |
) |
|
|
(3.25 |
) |
|
|
(1.84 |
) |
|
|
(0.91 |
) |
|
|
(1.03 |
) |
Net Asset Value, End of year |
|
|
$24.41 |
|
|
|
$21.69 |
|
|
|
$28.57 |
|
|
|
$23.94 |
|
|
|
$26.41 |
|
Net Asset Value Total Return2 |
|
|
17.67 |
% |
|
|
(14.03 |
)% |
|
|
27.41 |
% |
|
|
(6.20 |
)% |
|
|
10.60 |
% |
Net assets, end of year (000’s omitted) |
|
|
$8,543 |
|
|
|
$6,507 |
|
|
|
$7,142 |
|
|
|
$4,788 |
|
|
|
$5,281 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
0.49 |
% |
|
|
0.49 |
% |
|
|
0.49 |
% |
|
|
0.49 |
% |
|
|
0.49 |
%3 |
Net investment income |
|
|
4.77 |
% |
|
|
5.87 |
% |
|
|
4.47 |
% |
|
|
2.04 |
% |
|
|
2.08 |
% |
Portfolio turnover rate4 |
|
|
61 |
% |
|
|
50 |
% |
|
|
68 |
% |
|
|
211 |
% |
|
|
88 |
% |
1Based on average shares outstanding.
2Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the year, reinvestment of dividends and distributions at net asset value during the year, and redemptions at net asset value on the last day of the year.
3The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
4Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
72
1. ORGANIZATION
The ETFis Series Trust I (the “Trust”) was organized as a Delaware statutory trust on September 20, 2012 and is registered with the U.S. Securities and Exchange Commission (the “SEC”) as an open-end management investment company under the Investment Company Act of 1940 (the “1940 Act”).
As of October 31, 2023, ten funds of the Trust are offered for sale. The InfraCap REIT Preferred ETF, Virtus InfraCap U.S. Preferred Stock ETF, Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Newfleet Multi-Sector Bond ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF and Virtus WMC International Dividend ETF (each a “Fund” and collectively, the “Funds”) are presented in this annual report. The offering of each Fund’s shares is registered under the Securities Act of 1933 (the “Securities Act”).
Funds |
|
Investment objective(s) |
InfraCap REIT Preferred ETF |
|
Seeks investment results that correspond, before fees and expenses, to the price and yield performance of the Indxx REIT Preferred Stock Index. |
Virtus InfraCap U.S. Preferred Stock ETF |
|
Seeks current income and, secondarily, capital appreciation. |
Virtus LifeSci Biotech Clinical Trials ETF |
|
Seeks investment results that correspond, before fees and expenses, to the price and yield performance of the LifeSci Biotechnology Clinical Trials Index. |
Virtus LifeSci Biotech Products ETF |
|
Seeks investment results that correspond, before fees and expenses, to the price and yield performance of the LifeSci Biotechnology Products Index. |
Virtus Newfleet Multi-Sector Bond ETF |
|
Seeks to provide a high level of current income and, secondarily, capital appreciation. |
Virtus Private Credit Strategy ETF |
|
Seeks investment results that correspond, before fees and expenses, to the price and yield performance of the Indxx Private Credit Index. |
Virtus Real Asset Income ETF |
|
Seeks investment results that correspond, before fees and expenses, to the price and yield performance of the Indxx Real Asset Income Index. |
Virtus WMC International Dividend ETF |
|
Seeks income. |
There is no guarantee that a Fund will achieve its objective(s).
InfraCap REIT Preferred ETF and Virtus InfraCap U.S. Preferred Stock ETF are “non-diversified” Funds, as defined under the 1940 Act, as of the year ended October 31, 2023. Virtus Private Credit Strategy ETF is a “fund of funds,” meaning it will generally invest its assets in other registered investment companies.
2. SIGNIFICANT ACCOUNTING POLICIES
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. Each Fund prepares its financial statements in accordance with generally accepted accounting principles (“GAAP”) in the United States of America and follows the significant accounting policies described below.
(a) Use of Estimates
Management makes certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and reported amounts of increases and decreases in the net assets from operations during the reporting period. Actual results could differ from those estimates.
(b) Indemnification
In the normal course of business, the Funds may enter into contracts that contain a variety of representations which provide general indemnifications for certain liabilities. The Funds’ maximum exposure under these arrangements is unknown. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.
(c) Security Valuation
A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities and exchange-traded funds are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded. Securities regularly traded in an over the counter market are valued at the latest quoted sale price in such market or in the case of the New York Stock Exchange (“NYSE”), at the NYSE Official Closing Price. Such valuations are typically categorized as Level 1 in the fair value hierarchy. The Board of Trustees of the Trust (the “Board”) has designated Virtus ETF
73
Advisers LLC (the “Adviser”) to serve as its valuation designee, pursuant to Rule 2a-5 under the 1940 Act, to perform the fair value determinations relating to any or all Fund investments. Accordingly, if market quotations are not readily available, or if it is determined that a quotation of a security does not represent fair value, then the security is valued by the Adviser at fair value as determined in good faith using procedures approved by the Board. Such valuations are typically categorized as Level 2 or Level 3 in the fair value hierarchy.
Debt securities, including restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, and current day trade information, as well as dealer-supplied prices. Pricing services generally value fixed income securities assuming orderly transactions of an institutional round lot size, but a Fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. Such valuations are typically categorized as Level 2 in the fair value hierarchy. Debt securities that are not widely traded, are illiquid, or are internally fair valued by the Adviser are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include options, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
Investments in other open-end investment companies are valued based on their net asset value each business day. Investments in closed-end funds are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the fair value hierarchy.
(d) Fair Value Measurement
Accounting Standards Codification, Fair Value Measurements and Disclosures (“ASC 820”) defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and requires disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not orderly, and how that information must be incorporated into fair value measurement. Under ASC 820, various inputs are used in determining the value of the Funds’ investments. The Adviser, on behalf of each Fund, utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. These inputs are summarized in the following hierarchy:
•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 securities, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
•Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the 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.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The hierarchy classification of inputs used to value each Fund’s investments at October 31, 2023, is disclosed at the end of each Fund’s Schedule of Investments.
(e) Security Transactions and Investment Income
Security transactions are accounted for on the trade date. Realized gains and losses on sales of investment securities are calculated using specific identification. Dividend income is recognized on the ex-dividend date. Expenses and interest income are recognized on the accrual basis. Amortization of premium and accretion of discount on debt securities are included in interest income. Each Fund amortizes premiums and accretes discounts using the effective interest method. Premiums on callable debt instruments are amortized to interest income to the earliest call date using the effective interest method.
Dividend income from REIT investments is recorded using management’s estimate of the income included in distributions received from the REIT investments. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each domestic REIT after its fiscal year-end, and may differ from the estimated amounts.
(f) Foreign Taxes
Certain Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests.
74
(g) Expenses
Each Fund pays all of its expenses not assumed by its Sub-Adviser, if any, as defined in Note 3, or the Adviser. General Trust expenses that are allocated among and charged to the assets of the Funds and other series of the Trust are done so on a basis that the Board deems fair and equitable, which may be on a basis of relative net assets of each Fund and other series of the Trust or the nature of the services performed and relative applicability to each Fund and other series of the Trust.
(h) Short Sales
The Virtus InfraCap U.S. Preferred Stock ETF may sell securities short. A short sale is a transaction in which the Fund sells a security it does not own in anticipation of a decline in market price. To sell a security short, the Fund must borrow the security. The Fund’s obligation to replace the security borrowed and sold short will be fully collateralized at all times by the proceeds from the short sale retained by the broker and by cash and securities deposited in a segregated account with the Fund’s custodian. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will realize a loss, and if the price declines during the period, the Fund will realize a gain. Any realized gain will be decreased, and any realized loss increased, by the amount of transaction costs. On the ex-dividend date, dividends on short sales are recorded as an expense to the Fund.
In accordance with the terms of its prime brokerage agreement, the Fund may receive rebate income or be charged a fee on borrowed securities which is reported as “Interest Expense” on the Statement of Operations. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security.
(i) Distributions to Shareholders
Distributions are recorded by the Funds on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations that may differ from GAAP in the United States of America.
(j) Foreign Currency Translation
Non-U.S. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date the income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Funds do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
(k) Cash and Cash Equivalents
Cash is comprised of demand deposits. Cash equivalents are highly liquid investments with original maturities of 90 days or less. The carrying amount of cash equivalents, primarily representing money market funds is a reasonable estimate of fair value. These assets are considered to be Level 1 securities, per Accounting Standards Codification (“ASC”) Topic 820, Fair Value Measurements and Disclosures.
(l) Loan Agreements
The Virtus Newfleet Multi-Sector Bond ETF may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Loan agreements are generally non-investment grade and often involve borrowers that are highly leveraged. The Fund may invest in obligations of borrowers who are in bankruptcy proceedings. Loan agreements are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The lender administers the terms of the loan, as specified in the loan agreement. The Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When investing in loan participations, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When the Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan.
The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Loan agreements may involve foreign borrowers, and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due.
75
The loan agreements have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally the London Interbank Offered Rate (“LIBOR”), Secured Overnight Financing Rate (“SOFR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a loan agreement is purchased, the Fund may pay an assignment fee. On an ongoing basis, the Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid.
(m) Securities Lending
Certain Funds may loan securities to qualified brokers through an agreement with The Bank of New York Mellon (“BNY Mellon”), as a third party lending agent. Under the terms of the agreement, a Fund doing so is required to maintain collateral with a market value not less than 102% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by a Fund net of fees and rebates charged by BNY Mellon for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral.
At October 31, 2023, the following Funds had securities on loan:
Funds |
|
Market Value |
|
Cash |
|
Non Cash |
|
Net Amount(b) |
Virtus LifeSci Biotech Clinical Trials ETF |
|
$1,299,727 |
|
$647,190 |
|
$639,418 |
|
$0 |
Virtus LifeSci Biotech Products ETF |
|
2,169,903 |
|
— |
|
2,178,724 |
|
0 |
Virtus Private Credit Strategy ETF |
|
2,527,935 |
|
2,571,040 |
|
— |
|
0 |
Virtus Real Asset Income ETF |
|
1,138,483 |
|
984,193 |
|
182,643 |
|
0 |
(a)Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Fund is disclosed in the Fund’s statement of assets and liabilities.
(b)Net amount represents the net amount receivable due from the counterparty in the event of default.
Funds not listed in table above did not have any securities on loan at October 31, 2023.
The following table presents the contract value of securities lending transactions and the type of collateral provided to counterparties.
Remaining Contractual Maturity of the Agreements, as of October 31, 2023
|
|
Overnight
and |
|
Between |
|
Total | ||||
<30 Days |
|
30 & 90 days |
|
>90 days | ||||||
Virtus LifeSci Biotech Clinical Trials ETF |
|
|
|
|
|
|
|
|
|
|
Securities Lending Transactions |
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$1,286,608 |
|
$— |
|
$— |
|
$— |
|
$1,286,608 |
Gross amount of recognized liabilities for securities lending transactions: |
|
|
|
|
|
$1,286,608 | ||||
|
|
|
|
|
|
|
|
|
|
|
Virtus LifeSci Biotech Products ETF |
|
|
|
|
|
|
|
|
|
|
Securities Lending Transactions |
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$2,178,724 |
|
$— |
|
$— |
|
$— |
|
$2,178,724 |
Gross amount of recognized liabilities for securities lending transactions: |
|
|
|
|
|
$2,178,724 | ||||
|
|
|
|
|
|
|
|
|
|
|
Virtus Private Credit Strategy ETF |
|
|
|
|
|
|
|
|
|
|
Securities Lending Transactions |
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$2,571,040 |
|
$— |
|
$— |
|
$— |
|
$2,571,040 |
Gross amount of recognized liabilities for securities lending transactions: |
|
|
|
|
|
$2,571,040 | ||||
|
|
|
|
|
|
|
|
|
|
|
Virtus Real Asset Income ETF |
|
|
|
|
|
|
|
|
|
|
Securities Lending Transactions |
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$1,166,836 |
|
$— |
|
$— |
|
$— |
|
$1,166,836 |
Gross amount of recognized liabilities for securities lending transactions: |
|
|
|
|
|
$1,166,836 |
76
3. INVESTMENT MANAGEMENT RELATED PARTIES AND OTHER AGREEMENTS
Investment Advisory Agreements
The Trust, on behalf of each Fund, has entered into Investment Advisory Agreements (collectively, the “Advisory Agreement”) with the Adviser, an indirect wholly-owned subsidiary of Virtus Investment Partners, Inc. (Ticker: VRTS) (together with its affiliates, “Virtus”). Pursuant to the Advisory Agreement, the Adviser has overall supervisory responsibility for the general management and investment of the Funds’ securities portfolios. The Adviser has agreed to pay all of the ordinary operating expenses of the Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF, and Virtus WMC International Dividend ETF, except for each Fund’s management fee; payments under any 12b-1 plan; taxes and other governmental fees; brokerage fees, commissions and other transaction expenses; interest and other costs of borrowing; litigation or arbitration expenses; acquired fund fees and expenses; and extraordinary or other non-routine expenses of the Funds. The Adviser is entitled to receive a fee from each Fund (unless otherwise noted below) based on each Fund’s average daily net assets, computed and accrued daily and payable monthly, at an annual rate as follows:
Funds |
|
Rate |
InfraCap REIT Preferred ETF |
|
0.45%, subject to a minimum annual fee of $25,000 per year |
Virtus InfraCap U.S. Preferred Stock ETF |
|
0.80% |
Virtus LifeSci Biotech Clinical Trials ETF |
|
0.79% |
Virtus LifeSci Biotech Products ETF |
|
0.79% |
Virtus Newfleet Multi-Sector Bond ETF |
|
0.45% |
Virtus Private Credit Strategy ETF |
|
0.75% |
Virtus Real Asset Income ETF |
|
0.55% |
Virtus WMC International Dividend ETF |
|
0.49% |
The Advisory Agreement may be terminated by the Trust on behalf of a Fund with the approval of a Fund’s Board or by a vote of the majority of a Fund’s shareholders. The Advisory Agreement may also be terminated by the Adviser by not more than 60 days’ nor less than 30 days’ written notice.
Expense Limitation Agreement
The Adviser has contractually agreed to reduce its fees and reimburse expenses in order to limit Virtus Newfleet Multi-Sector Bond ETF’s total operating expenses (excluding interest, taxes, brokerage fees and commissions, other expenditures that are capitalized in accordance with generally accepted accounting principles, acquired fund fees and expenses, other extraordinary expenses not incurred in the ordinary course of the Funds’ business, and amounts, if any, payable pursuant to a plan adopted in accordance with Rule 12b-1 under the 1940 Act) from exceeding 0.49% of the Fund’s average daily net assets through at least February 28, 2024. The expense limitation agreement with respect to Virtus Newfleet Multi-Sector Bond ETF will be terminated upon termination of the Advisory Agreement between the Adviser and the Fund. In addition, while the Adviser or the Fund may discontinue the expense limitation agreement after the contractual period, it may only be terminated during its term with the approval of the Fund’s Board of Trustees.
Under certain conditions, the Adviser may recapture operating expenses waived or reimbursed under the expense limitation agreement for a period of three years following the date on which such waiver or reimbursement occurred; provided that such recapture may not cause the Fund’s total operating expenses to exceed 0.49% of the average daily net assets of the Fund (or any lower expense limitation or limitations to which the Fund and the Adviser may otherwise agree). All or a portion of the following expenses reimbursed by the Adviser may be recaptured during the fiscal years indicated:
Fund |
|
2024 |
|
2025 |
|
2026 |
Virtus Newfleet Multi-Sector Bond ETF |
|
$140,870 |
|
$137,763 |
|
$168,746 |
Sub-Advisory Agreement
Each Sub-Adviser provides investment advice and management services to its respective Fund. Pursuant to an investment sub-advisory agreement among the Trust, the respective Sub-Adviser and the Adviser, the Adviser pays each Fund’s Sub-Adviser a sub-advisory fee calculated as shown below. The Adviser has delegated to the InfraCap REIT Preferred ETF and Virtus InfraCap U.S. Preferred Stock ETF’s sub-adviser the obligation to pay all of the ordinary operating expenses of each of those Funds, except for the management fee paid to the Adviser; payments under any 12b-1 plan adopted by the Fund; taxes and other governmental fees; brokerage fees, commissions and other transaction expenses; interest and other costs of borrowing; litigation or arbitration expenses; acquired fund fees and expenses; and extraordinary or other non-routine expenses of the Fund. The Sub-Advisers and sub-advisory fees for each Fund are listed below.
77
Funds |
|
Sub-Advisers |
|
Sub-Advisory Fees |
InfraCap REIT Preferred ETF |
|
Infrastructure Capital Advisors, LLC |
|
0.375%* |
Virtus InfraCap U.S. Preferred Stock ETF |
|
Infrastructure Capital Advisors, LLC |
|
0.66%* |
Virtus Newfleet Multi-Sector Bond ETF |
|
Virtus Fixed Income Advisers, LLC, operating through its division Newfleet Asset Management(1) |
|
50% of the net advisory fee*+ |
Virtus WMC International Dividend ETF |
|
Wellington Management Company LLP |
|
0.21%* |
(1) An indirect wholly-owned subsidiary of Virtus.
*InfraCap REIT Preferred ETF, Virtus InfraCap U.S. Preferred Stock ETF, Virtus Newfleet Multi-Sector Bond ETF and Virtus WMC International Dividend ETF’s sub-advisory fees are paid for by the Adviser, not the Funds.
+Net advisory fee: In the event the Adviser waives its entire fee and also assumes expenses of the Trust pursuant to an applicable expense limitation agreement, the Sub-Adviser will similarly waive its entire fee and will share in the expense assumption by promptly paying to the Adviser (or its designee) 50% of the assumed amount. If during the term of the Sub-Advisory Agreement the Adviser later recaptures some or all of fees waived or expenses reimbursed by the Adviser and the Sub-Adviser together, then the Adviser will pay to the Sub-Adviser 50% of the amount recaptured.
Principal Underwriter
Pursuant to the terms of a Distribution Agreement with the Trust, VP Distributors, LLC (the “Distributor”) serves as the Funds’ principal underwriter. The Distributor receives compensation from the Adviser for the statutory underwriting services it provides to the Funds. The Distributor will not distribute shares in less than Creation Units (as hereinafter defined), and does not maintain a secondary market in shares. The shares are traded in the secondary market. The Distributor is an indirect wholly-owned subsidiary of Virtus.
Distribution and Service (12b-1 Plan)
The Board of Trustees has adopted a distribution and service plan, under which InfraCap REIT Preferred ETF, Virtus InfraCap U.S. Preferred Stock ETF, Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF, and Virtus WMC International Dividend ETF (collectively, the “12b-1 Funds”) are authorized to pay an amount up to 0.25% of their average daily net assets each year to finance activities primarily intended to result in the sale of Creation Units of the 12b-1 Funds or the provision of investor services. No 12b-1 fees are currently paid by the 12b-1 Funds and there are no current plans to impose these fees.
Operational Administrator
Virtus ETF Solutions LLC (the “Administrator”) serves as the Funds’ operational administrator. The Administrator supervises the overall administration of the Trust and the Funds including, among other responsibilities, the coordination and day-to-day oversight of the Funds’ operations, the service providers’ communications with the Funds and each other and assistance with Trust, Board and contractual matters related to the Funds and other series of the Trust. The Administrator also provides persons satisfactory to the Board to serve as officers of the Trust. The Administrator is an indirect wholly-owned subsidiary of Virtus.
Accounting Services Administrator, Custodian and Transfer Agent
The Bank of New York Mellon (“BNY Mellon”) provides administrative, accounting, tax and financial reporting for the maintenance and operations of the Trust as the Funds’ accounting services administrator. BNY Mellon also serves as the custodian for the Funds’ assets, and serves as transfer agent and dividend paying agent for the Funds.
Affiliated Shareholders
At October 31, 2023, Virtus Partners, Inc. held shares of Virtus WMC International Dividend ETF which may be sold at any time that aggregated to the following:
|
|
Shares |
|
% of
share |
Virtus WMC International Dividend ETF |
|
184,507 |
|
52.7% |
At October 31, 2023, the sub-adviser of the below Funds held shares of such Fund which may be redeemed at any time that aggregated to the following:
|
|
Shares |
|
% of share outstanding |
InfraCap REIT Preferred ETF |
|
2,595 |
|
0.1% |
Virtus InfraCap U.S. Preferred Stock ETF |
|
473,114 |
|
1.4% |
78
4. CREATION AND REDEMPTION TRANSACTIONS
The Funds issue and redeem shares on a continuous basis at Net Asset Value (“NAV”) in aggregate blocks of shares or multiples thereof called “Creation Units.” The Funds’ Creation Units may be issued and redeemed generally for cash or an in-kind deposit of securities held by the Funds. In each instance of cash creations or redemptions, the Trust may impose transaction fees based on transaction expenses related to the particular exchange that will be higher than the transaction fees associated with in-kind purchases or redemptions.
Only “Authorized Participants” who have entered into contractual arrangements with the Distributor may purchase or redeem shares directly from the Funds. An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the shares directly from the Funds. Rather, most retail investors will purchase shares in the secondary market with the assistance of a broker and will be subject to customary brokerage commissions or fees.
Authorized participants pay a fixed transaction fee to the shareholder servicing agent when purchasing and redeeming Creation Units of a Fund. The transaction fee is used to defray the costs associated with the issuance and redemption of Creation Units.
The following table discloses each Fund’s transaction fee:
Funds |
|
Creation/Redemption |
InfraCap REIT Preferred ETF |
|
$500 |
Virtus InfraCap U.S. Preferred Stock ETF |
|
600 |
Virtus LifeSci Biotech Clinical Trials ETF |
|
500 |
Virtus LifeSci Biotech Products ETF |
|
500 |
Virtus Newfleet Multi-Sector Bond ETF |
|
500 |
Virtus Private Credit Strategy ETF |
|
500 |
Virtus Real Asset Income ETF |
|
500 |
Virtus WMC International Dividend ETF |
|
1,200 |
5. RESTRICTED SECURITIES
Restricted securities are not registered under the Securities Act. Generally, 144A securities are excluded from this category. Each Fund will bear any costs, including those involved in registration under the Securities Act, in connection with the disposition of such securities. The following Fund held a security that was considered to be restricted at October 31, 2023:
Fund |
|
Investment |
|
Date of |
|
Cost |
|
Value |
|
Percentage of |
Virtus LifeSci Biotech Clinical Trials ETF |
|
Scilex Holding Co |
|
1/11/2023 |
|
$89,057 |
|
$31,329 |
|
0.4% |
6. FEDERAL INCOME TAX
Each Fund intends to qualify as a “regulated investment company” under Sub-chapter M of the Internal Revenue Code of 1986 (the “Code”), as amended. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders. Therefore, no federal income or excise tax provision is required. Accounting for Uncertainty in Income Taxes as issued by the FASB provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements, and requires the evaluation of tax positions taken or expected to be taken in the course of preparing a Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Interest and penalties related to income taxes would be recorded as income tax expense. Management of the Funds is required to analyze all open tax years (2020, 2021 and 2022), as defined by IRS statute of limitations, for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of October 31, 2023, the Funds did not have a liability for any unrecognized tax benefits or uncertain tax positions that would require recognition in the financial statements. The Funds have no examination in progress and are not aware of any tax positions for which it is reasonably possible that the amounts of unrecognized tax benefits will significantly change in the next twelve months.
The Funds recognize interest accrued related to unrecognized tax benefits and penalties as income tax expense. For the year ended October 31, 2023, the Funds had no accrued penalties or interest.
79
At October 31, 2023, the adjusted cost basis of investments and gross unrealized appreciation and depreciation of investments for federal income tax purposes were as follows:
|
|
Federal Tax Cost |
|
Gross
Unrealized |
|
Gross
Unrealized |
|
Net
Unrealized |
|
InfraCap REIT Preferred ETF |
|
$68,147,413 |
|
$588,441 |
|
$(12,939,095 |
) |
$(12,350,654 |
) |
Virtus InfraCap U.S. Preferred Stock ETF |
|
876,588,284 |
|
12,991,691 |
|
(121,469,222 |
) |
(108,477,531 |
) |
Virtus LifeSci Biotech Clinical Trials ETF |
|
16,394,523 |
|
1,140,803 |
|
(9,129,963 |
) |
(7,989,160 |
) |
Virtus LifeSci Biotech Products ETF |
|
17,123,648 |
|
1,846,411 |
|
(5,079,846 |
) |
(3,233,435 |
) |
Virtus Newfleet Multi-Sector Bond ETF |
|
49,293,528 |
|
193,430 |
|
(2,751,185 |
) |
(2,557,755 |
) |
Virtus Private Credit Strategy ETF |
|
32,873,969 |
|
74,139 |
|
(4,584,313 |
) |
(4,510,174 |
) |
Virtus Real Asset Income ETF |
|
24,299,721 |
|
532,747 |
|
(7,126,004 |
) |
(6,593,257 |
) |
Virtus WMC International Dividend ETF |
|
8,599,853 |
|
526,680 |
|
(664,438 |
) |
(137,758 |
) |
At October 31, 2023, the components of accumulated earnings/loss on a tax-basis were as follows:
|
|
Undistributed |
|
Accumulated |
|
Net
Unrealized |
|
Total |
|
InfraCap REIT Preferred ETF |
|
$— |
|
$(12,448,249 |
) |
$(12,350,654 |
) |
(24,798,903 |
) |
Virtus InfraCap U.S. Preferred Stock ETF |
|
— |
|
(12,564,850 |
) |
(108,477,531 |
) |
(121,042,381 |
) |
Virtus LifeSci Biotech Clinical Trials ETF |
|
34,890 |
|
(57,068,456 |
) |
(7,989,160 |
) |
(65,022,726 |
) |
Virtus LifeSci Biotech Products ETF |
|
— |
|
(15,880,729 |
) |
(3,233,435 |
) |
(19,114,164 |
) |
Virtus Newfleet Multi-Sector Bond ETF |
|
178,759 |
|
(5,325,376 |
) |
(2,557,755 |
) |
(7,704,372 |
) |
Virtus Private Credit Strategy ETF |
|
385,433 |
|
(9,929,884 |
) |
(4,510,174 |
) |
(14,054,625 |
) |
Virtus Real Asset Income ETF |
|
352,352 |
|
(43,289,530 |
) |
(6,593,282 |
) |
(49,530,460 |
) |
Virtus WMC International Dividend ETF |
|
83,123 |
|
(373,945 |
) |
(138,806 |
) |
(429,628 |
) |
Ordinary losses incurred after December 31 (“Late Year Ordinary Losses”) within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. During the fiscal year ended October 31, 2023, the following Fund incurred and elected to defer Late Year Ordinary Losses as follows:
Virtus LifeSci Biotech Products ETF |
|
$93,921 |
The tax character of dividends and distributions paid during the fiscal years ended October 31, 2023 and October 31, 2022 were as follows:
|
|
2023 |
|
2022 | ||||||||
|
|
Distributions |
|
Return of |
|
Distributions |
|
Distributions |
|
Return of |
|
Distributions |
InfraCap REIT Preferred ETF |
|
$3,748,137 |
|
$1,285,869 |
|
$— |
|
$3,360,547 |
|
$1,673,459 |
|
$— |
Virtus InfraCap U.S. Preferred Stock ETF |
|
46,177,337 |
|
10,423,671 |
|
— |
|
37,742,883 |
|
— |
|
7,998,125 |
Virtus LifeSci Biotech Clinical Trials ETF |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
Virtus LifeSci Biotech Products ETF |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
Virtus Newfleet Multi-Sector Bond ETF |
|
3,089,988 |
|
— |
|
— |
|
988,884 |
|
— |
|
— |
Virtus Private Credit Strategy ETF |
|
2,724,501 |
|
— |
|
— |
|
2,736,879 |
|
— |
|
— |
Virtus Real Asset Income ETF |
|
1,496,841 |
|
— |
|
— |
|
4,478,009 |
|
— |
|
— |
Virtus WMC International Dividend ETF |
|
380,432 |
|
— |
|
— |
|
809,301 |
|
— |
|
16,303 |
Short-term gain distributions if any, are reported as ordinary income for federal tax purposes.
80
At October 31, 2023, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset future capital gains for an unlimited period. To the extent that these loss carryforwards are utilized, capital gains so offset will not be distributed to shareholders:
|
|
Short-Term |
|
Long-Term |
|
Total |
InfraCap REIT Preferred ETF |
|
$11,979,428 |
|
$468,821 |
|
$12,448,249 |
Virtus InfraCap U.S. Preferred Stock ETF |
|
7,866,238 |
|
4,698,612 |
|
12,564,850 |
Virtus LifeSci Biotech Clinical Trials ETF |
|
25,838,539 |
|
31,229,917 |
|
57,068,456 |
Virtus LifeSci Biotech Products ETF |
|
2,765,986 |
|
13,020,822 |
|
15,786,808 |
Virtus Newfleet Multi-Sector Bond ETF |
|
1,741,735 |
|
3,583,641 |
|
5,325,376 |
Virtus Private Credit Strategy ETF |
|
3,453,124 |
|
6,476,760 |
|
9,929,884 |
Virtus Real Asset Income ETF |
|
26,035,352 |
|
17,254,178 |
|
43,289,530 |
Virtus WMC International Dividend ETF |
|
93,209 |
|
280,736 |
|
373,945 |
For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Results of operations and net assets were not affected by these reclassifications. Reclassifications are primarily due to tax treatment of redemptions in kind. At October 31, 2023, the effect of permanent book/tax reclassifications resulted in increases (decreases) to the components of net assets as follows:
|
|
Distributable Earnings (Accumulated Deficit) |
|
Paid-In-Capital |
|
InfraCap REIT Preferred ETF |
|
$(223,090 |
) |
$223,090 |
|
Virtus InfraCap U.S. Preferred Stock ETF |
|
2,050,773 |
) |
(2,050,773 |
) |
Virtus LifeSci Biotech Clinical Trials ETF |
|
(926,129 |
) |
926,129 |
|
Virtus LifeSci Biotech Products ETF |
|
(381,165 |
) |
381,165 |
|
Virtus Newfleet Multi-Sector Bond ETF |
|
(740 |
) |
740 |
|
Virtus Private Credit Strategy ETF |
|
2,653,236 |
|
(2,653,236 |
) |
Virtus Real Asset Income ETF |
|
1,671,066 |
|
(1,671,066 |
) |
Virtus WMC International Dividend ETF |
|
— |
|
— |
|
7. INVESTMENT TRANSACTIONS
Purchases and sales of investments (excluding short-term investments), subscriptions in-kind and redemptions in-kind for the year ended October 31, 2023 were as follows:
|
|
Purchases |
|
Sales |
|
Subscriptions In-Kind |
|
Redemptions In-Kind |
InfraCap REIT Preferred ETF |
|
$8,621,729 |
|
$9,576,965 |
|
$8,211,819 |
|
$5,043,115 |
Virtus InfraCap U.S. Preferred Stock ETF |
|
182,285,211 |
|
210,490,193 |
|
241,642,109 |
|
26,115,923 |
Virtus LifeSci Biotech Clinical Trials ETF |
|
8,374,097 |
|
8,401,854 |
|
— |
|
6,021,029 |
Virtus LifeSci Biotech Products ETF |
|
8,384,719 |
|
8,433,843 |
|
— |
|
2,664,373 |
Virtus Newfleet Multi-Sector Bond ETF |
|
69,793,014 |
|
53,092,282 |
|
— |
|
— |
Virtus Private Credit Strategy ETF |
|
10,056,652 |
|
9,881,283 |
|
35,907,372 |
|
28,632,434 |
Virtus Real Asset Income ETF |
|
24,209,393 |
|
23,705,139 |
|
— |
|
27,600,805 |
Virtus WMC International Dividend ETF |
|
4,872,978 |
|
4,815,689 |
|
1,186,650 |
|
— |
Purchases and sales of long-term U.S. Government Securities for the year ended October 31, 2023 were as follows:
|
|
Purchases |
|
Sales |
Virtus Newfleet Multi-Sector Bond ETF |
|
$16,848,002 |
|
$16,670,429 |
81
8. DERIVATIVE FINANCIAL INSTRUMENTS
Options
The Virtus InfraCap U.S. Preferred Stock ETF may write covered call and put options on portfolio securities and other financial instruments. Premiums received are recorded as liabilities. The liabilities are subsequently adjusted to reflect the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are exercised or are closed are added to or offset against the proceeds or amount paid on the transactions to determine the net realized gain or loss. By writing a covered call option, the Fund, in exchange for the premium, foregoes the opportunity for capital appreciation above the exercise price should the market price of the underlying security increase. By writing a put option, the Fund, in exchange for the premium, accepts the risk of having to purchase a security at an exercise price that is above the current price. Changes in value of written options are reported as change in unrealized gain (loss) on written options in the Statement of Operations. When the written option expires, is terminated or is sold, the Fund will record a gain or loss, which is reported as realized gain (loss) on written options in the Statement of Operations. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Fund to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Virtus InfraCap U.S. Preferred Stock ETF may purchase call and put options on the portfolio securities or other financial instruments. The Fund may purchase call options to protect against an increase in the price of the security or financial instrument it anticipates purchasing. The Fund may purchase put options on securities which it holds or other financial instruments to protect against a decline in the value of the security or financial instrument or to close out covered written positions. Changes in value of purchased options are reported as part of change in unrealized gain (loss) on investments in the Statement of Operations. When the purchased option expires, is terminated or is sold, the Fund will record a gain or loss, which is reported as part of realized gain (loss) on investments in the Statement of Operations. Risks may arise from an imperfect correlation between the change in market value of the securities held by the Fund and the prices of options relating to the securities purchased or sold by the Fund and from the possible lack of liquid secondary market for an option. The maximum exposure to loss for any purchased option is limited to the premium initially paid for the option.
The Virtus InfraCap U.S. Preferred Stock ETF did not engage in options transactions during the year ended October 31, 2023.
9. BORROWINGS
The Virtus InfraCap U.S. Preferred Stock ETF entered into Lending Agreements (the “Agreements”) with commercial banks (the “Banks”) that allows the Fund to borrow cash from the Banks. Borrowings under the Agreements are collateralized by investments of the Fund. If the Fund defaults with respect to any of its obligations under the Agreements, the Banks may foreclose on assets of the Fund and/ or the Fund may be required to repay immediately, in part or in full, the loan balance outstanding under the Agreements, necessitating the sale of securities at potentially inopportune times. Interest is charged at the Overnight Bank Funding Rate (“OBFR”) plus an additional percentage rate on the amount borrowed. The Agreements have an on-demand commitment term. For the year ended October 31, 2023, the average daily borrowings under the Agreements and the weighted average interest rate were $150,415,430 and 5.89%, respectively.
10. INVESTMENT RISKS
As with any investment, an investment in the Funds could result in a loss or the performance of the Funds could be inferior to that of other investments. An investor should consider each Fund’s investment objectives, risks, and charges and expenses carefully before investing. Each Fund’s prospectus and statement of additional information contain this and other important information.
Credit Risk
Junk Bonds or High Yield Securities: High yield securities are generally subject to greater levels of credit quality risk than investment grade securities. The retail secondary market for these “junk bonds” may be less liquid than that of higher-rated fixed income securities, and adverse conditions could make it difficult at times to sell these securities or could result in lower prices than higher-rated fixed income securities. These risks can reduce the value of the Fund’s shares and the income it earns.
Cash Concentration Risk
At various times, the Funds may have cash and cash collateral balances that exceed federally insured limits.
Market Risk
Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issue, recessions, or other events could have a significant impact on each Fund and its investments, including hampering the ability of the Fund’s portfolio manager(s) to invest the Fund’s assets as intended.
82
11. LIBOR REPLACEMENT RISK
In July 2017, the head of the United Kingdom Financial Conduct Authority (“FCA”) announced the intention to phase out the use of LIBOR by the end of 2021. However, after subsequent announcements by the FCA, the LIBOR administrator and other regulators, certain of the most widely used LIBORs continued until approximately June 30, 2023. The ICE Benchmark Administration Limited, which is regulated and authorized by FCA, and the administrator of LIBOR, ceased publishing certain LIBOR settings on December 31, 2021. On April 3, 2023, the FCA announced its decision to require LIBOR’s administrator to continue to publish the 1-month, 3-month, and 6-month U.S. dollar settings under an unrepresentative synthetic methodology until September 30, 2024. On March 15, 2022, the Adjustable Interest Act (LIBOR) Act (the “LIBOR Act”) was enacted into law which directs the Federal Reserve Board, as a fallback mechanism, to identify benchmark rates based on SOFR that will replace LIBOR in certain financial contracts after June 30, 2023. On December 16, 2022, the Federal Reserve adopted regulations implementing the LIBOR Act. The Funds may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The expected discontinuation of LIBOR could have a significant impact on the financial markets and may present a material risk for certain market participants, including the Funds. Abandonment of or modifications to LIBOR could lead to significant short- and long-term uncertainty and market instability. The risks associated with this discontinuation and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. It remains uncertain the effects such changes will have on the Funds, issuers of instruments in which the Funds invest, and the financial markets generally.
12. 10% SHAREHOLDERS
As of October 31, 2023, certain Funds had individual shareholder account(s) and/or omnibus shareholder account(s) (comprised of a group of individual shareholders), which individually amounted to more than 10% of the total shares outstanding of the Fund as detailed below:
Funds |
|
% of
Shares |
|
Number of |
InfraCap REIT Preferred ETF |
|
47% |
|
2 |
Virtus InfraCap U.S. Preferred Stock ETF |
|
52% |
|
2 |
Virtus LifeSci Biotech Clinical Trials ETF |
|
57% |
|
3 |
Virtus LifeSci Biotech Products ETF |
|
53% |
|
3 |
Virtus Newfleet Multi-Sector Bond ETF |
|
79% |
|
2 |
Virtus Private Credit Strategy ETF |
|
71% |
|
3 |
Virtus Real Asset Income ETF |
|
67% |
|
1 |
Virtus WMC International Dividend ETF |
|
77% |
|
2* |
* Includes affiliated shareholder account.
13. RECENT ACCOUNTING PRONOUNCEMENTS
In March 2020, the FASB issued Accounting Standards Update (“ASU”) No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered reference rates as of the end of 2021. In March 2021, the administrator for LIBOR announced the extension of the publication of a majority of the USD LIBOR settings to June 30, 2023. On December 21, 2022, the FASB issued ASU 2022-06 to defer the sunset date of ASC 848 until December 31, 2024. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2024. Management is currently evaluating the impact, if any, of ASU 2020-04 and ASU 2020-06, but does not believe there will be a material impact.
14. NEW REGULATORY PRONOUNCEMENT
In October 2022, the SEC adopted a rule and form amendments relating to tailored shareholder reports for mutual funds and ETFs; and fee information in investment company advertisements. The rule and form amendments will require mutual funds and ETFs to transmit streamlined shareholder reports that highlight key information to investors. The rule amendments will require 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 in January 2023 and there is an 18-month transition period after the effective date of the amendment with a compliance date of July 2024.
15. SUBSEQUENT EVENTS
Management has evaluated subsequent events through the issuance of these financial statements and has determined that there are no material events that would require disclosure.
The accompanying notes are an integral part of these financial statements.
83
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS — 132.3% |
|
|
|
|
|
|
|
|
|
|
|
Energy — 132.3% |
|
|
|
|
|
Cheniere Energy Partners LP(1)(2) |
|
443,604 |
|
$24,735,359 |
|
Cheniere Energy, Inc.(1)(2) |
|
34,112 |
|
5,676,919 |
|
Crestwood Equity Partners LP(1) |
|
728,911 |
|
19,884,692 |
|
Delek Logistics Partners LP(2) |
|
235,586 |
|
10,888,785 |
|
Energy Transfer LP(1)(2) |
|
3,246,865 |
|
42,696,275 |
|
EnLink Midstream LLC*(1)(2) |
|
2,478,957 |
|
30,466,382 |
|
Enterprise Products Partners LP(1)(2) |
|
2,002,437 |
|
52,143,459 |
|
Genesis Energy LP(1) |
|
756,192 |
|
8,378,607 |
|
Hess Midstream LP Class A |
|
427,424 |
|
12,822,720 |
|
Holly Energy Partners LP(1) |
|
263,908 |
|
5,608,045 |
|
Kinder Morgan, Inc.(2) |
|
394,493 |
|
6,390,787 |
|
Marathon Petroleum Corp.(2) |
|
21,224 |
|
3,210,130 |
|
MPLX LP(1)(2) |
|
1,683,342 |
|
60,667,646 |
|
New Fortress Energy, Inc.(2) |
|
122,570 |
|
3,713,871 |
|
NuStar Energy LP(1)(2) |
|
1,352,211 |
|
23,122,808 |
|
ONEOK, Inc.(1)(2) |
|
177,992 |
|
11,605,078 |
|
Phillips 66(2) |
|
10,106 |
|
1,152,791 |
|
Plains All American Pipeline LP(1)(2) |
|
3,742,457 |
|
56,698,224 |
|
Targa Resources Corp.(2) |
|
52,518 |
|
4,391,030 |
|
Valero Energy Corp. |
|
6,064 |
|
770,128 |
|
Western Midstream Partners LP(1)(2) |
|
1,565,413 |
|
42,000,031 |
|
Williams Cos., Inc. (The)(2) |
|
149,874 |
|
5,155,666 |
|
Total Energy |
|
|
|
432,179,433 |
|
Total Common Stocks |
|
|
|
|
|
(Cost $310,262,031) |
|
|
|
432,179,433 |
|
|
|
|
|
|
|
PREFERRED STOCKS — 0.7% |
|
|
|
|
|
Energy — 0.7% |
|
|
|
|
|
Brookfield Infrastructure Finance ULC, 5.00% (Canada) |
|
925 |
|
14,143 |
|
Crestwood Equity Partners LP, Series, 9.25% |
|
215,891 |
|
2,081,189 |
|
NuStar Energy LP, Series B, 11.31%* |
|
1,017 |
|
25,527 |
|
Total Energy |
|
|
|
2,120,859 |
|
Total Preferred Stocks |
|
|
|
|
|
(Cost $2,065,973) |
|
|
|
2,120,859 |
|
|
|
|
|
|
|
TOTAL INVESTMENTS — 133.0% |
|
|
|
|
|
(Cost $312,328,004) |
|
|
|
434,300,292 |
|
Liabilities in Excess of Other Assets — (33.0)% |
|
|
|
(107,688,112 |
) |
Net Assets — 100.0% |
|
|
|
$326,612,180 |
|
Security Description |
|
Notional |
|
Number of |
|
Value |
|
|
|
|
|
|
|
|
|
WRITTEN OPTIONS — (0.2)% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Written Call Options |
|
|
|
|
|
|
|
Cheniere Energy Partners LP, Expires
12/15/23, |
|
(125,000 |
) |
(1,250 |
) |
$(32,500 |
) |
Cheniere Energy, Inc., Expires
11/03/23, |
|
(11,000 |
) |
(110 |
) |
(9,350) |
|
Security Description |
|
Notional |
|
Number of |
|
Value |
|
|
|
|
|
|
| ||
WRITTEN OPTIONS (continued) |
|
|
|
|
| ||
|
|
|
|
|
|
|
|
Written Call Options (continued) |
|
|
|
|
|
|
|
Cheniere Energy, Inc., Expires
11/10/23, |
|
(13,000 |
) |
(130 |
) |
$ (11,700) |
|
Cheniere Energy, Inc., Expires
11/17/23, |
|
(10,000 |
) |
(100 |
) |
(8,000 |
) |
Delek Logistics Partners LP, Expires
11/17/23, |
|
(5,000 |
) |
(50 |
) |
(5,400) |
|
Delek Logistics Partners LP, Expires
11/17/23, |
|
(4,000 |
) |
(40 |
) |
(640) |
|
Energy Transfer LP, Expires
11/03/23, |
|
(100,000 |
) |
(1,000 |
) |
(23,000) |
|
Energy Transfer LP, Expires
11/03/23, |
|
(100,000 |
) |
(1,000 |
) |
(1,000) |
|
Energy Transfer LP, Expires
11/03/23, |
|
(100,000 |
) |
(1,000 |
) |
(1,000) |
|
Energy Transfer LP, Expires
11/10/23, |
|
(100,000 |
) |
(1,000 |
) |
(30,000) |
|
Energy Transfer LP, Expires
11/10/23, |
|
(100,000 |
) |
(1,000 |
) |
(8,000) |
|
Energy Transfer LP, Expires
11/17/23, |
|
(100,000 |
) |
(1,000 |
) |
(34,000) |
|
Energy Transfer LP, Expires
11/17/23, |
|
(100,000 |
) |
(1,000 |
) |
(10,000) |
|
Energy Transfer LP, Expires
11/24/23, |
|
(100,000 |
) |
(1,000 |
) |
(13,000) |
|
EnLink Midstream LLC, Expires
12/15/23, |
|
(12,900 |
) |
(129 |
) |
(3,870) |
|
Enterprise Products Partners LP, Expires
11/17/23, |
|
(100,000 |
) |
(1,000 |
) |
(1,000) |
|
Enterprise Products Partners LP, Expires
11/17/23, |
|
(100,000 |
) |
(1,000 |
) |
(1,000) |
|
Enterprise Products Partners LP, Expires
12/01/23, |
|
(100,000 |
) |
(1,000 |
) |
(2,500) |
|
Enterprise Products Partners LP, Expires
12/15/23, |
|
(112,000 |
) |
(1,120 |
) |
(6,720) |
|
Enterprise Products Partners LP, Expires
01/19/24, |
|
(100,000 |
) |
(1,000 |
) |
(13,000) |
|
Enterprise Products Partners LP, Expires
01/19/24, |
|
(100,000 |
) |
(1,000 |
) |
(5,000) |
|
The accompanying notes are an integral part of these financial statements.
84
Security Description |
|
Notional |
|
Number of |
|
Value |
|
|
|
|
|
|
| ||
WRITTEN OPTIONS (continued) |
|
|
|
|
| ||
|
|
|
|
|
|
|
|
Written Call Options (continued) |
|
|
|
|
|
|
|
Kinder Morgan, Inc., Expires
11/17/23, |
|
(100,000 |
) |
(1,000 |
) |
$ (2,000) |
|
Kinder Morgan, Inc., Expires
11/17/23, |
|
(100,000 |
) |
(1,000 |
) |
0 |
|
Kinder Morgan, Inc., Expires
12/15/23, |
|
(100,000 |
) |
(1,000 |
) |
(4,000) |
|
Kinder Morgan, Inc., Expires
01/19/24, |
|
(100,000 |
) |
(1,000 |
) |
(13,000) |
|
Kinder Morgan, Inc., Expires
03/15/24, |
|
(100,000 |
) |
(1,000 |
) |
(23,000) |
|
Marathon Petroleum Corp., Expires
11/03/23, |
|
(10,000 |
) |
(100 |
) |
(1,000) |
|
Marathon Petroleum Corp., Expires
11/10/23, |
|
(5,000 |
) |
(50 |
) |
(1,150) |
|
Marathon Petroleum Corp., Expires
11/24/23, |
|
(10,000 |
) |
(100 |
) |
(4,600) |
|
New Fortress Energy, Inc., Expires
12/15/23, |
|
(16,000 |
) |
(160 |
) |
(12,000) |
|
NuStar Energy LP, Expires 11/17/23, |
|
(25,000 |
) |
(250 |
) |
(3,750) |
|
NuStar Energy LP, Expires 12/15/23, |
|
(25,000 |
) |
(250 |
) |
(7,500) |
|
NuStar Energy LP, Expires 12/15/23, |
|
(125,000 |
) |
(1,250 |
) |
(2,500) |
|
ONEOK, Inc., Expires 11/17/23, |
|
(50,000 |
) |
(500 |
) |
(32,500) |
|
ONEOK, Inc., Expires 11/17/23, |
|
(50,000 |
) |
(500 |
) |
(9,000) |
|
ONEOK, Inc., Expires 12/15/23, |
|
(101,000 |
) |
(1,010 |
) |
(63,630) |
|
Phillips 66, Expires 11/03/23, |
|
(5,000 |
) |
(50 |
) |
(5,000) |
|
Phillips 66, Expires 11/10/23, |
|
(5,000 |
) |
(50 |
) |
(7,050) |
|
Plains All American Pipeline LP, Expires
11/17/23, |
|
(300 |
) |
(3 |
) |
(396) |
|
Plains All American Pipeline LP, Expires
11/17/23, |
|
(101,000 |
) |
(1,010 |
) |
(40,400) |
|
Targa Resources Corp., Expires
11/17/23, |
|
(10,000 |
) |
(100 |
) |
(3,600) |
|
|
|
|
|
|
|
Security Description |
|
Notional |
|
Number of |
|
Value |
|
|
|
|
|
|
| ||
WRITTEN OPTIONS (continued) |
|
|
|
|
| ||
|
|
|
|
|
|
|
|
Written Call Options (continued) |
|
|
|
|
|
|
|
Targa Resources Corp., Expires
11/17/23, |
|
(15,000 |
) |
(150 |
) |
$ (2,250) |
|
Western Midstream Partners LP, Expires
11/17/23, |
|
(100,000 |
) |
(1,000 |
) |
(15,000) |
|
Western Midstream Partners LP, Expires
12/15/23, |
|
(50,000 |
) |
(500 |
) |
(15,000 |
) |
Williams Cos., Inc. (The), Expires
11/10/23, |
|
(102,000 |
) |
(1,020 |
) |
(35,700) |
|
Williams Cos., Inc. (The), Expires
11/17/23, |
|
(50,000 |
) |
(500 |
) |
(25,000) |
|
Williams Cos., Inc. (The), Expires
11/24/23, |
|
(71,000 |
) |
(710 |
) |
(42,600) |
|
|
|
|
|
|
|
|
|
Written Put Options |
|
|
|
|
|
|
|
Enterprise Products Partners LP, Expires
11/03/23, |
|
(13,800 |
) |
(138 |
) |
(14,352) |
|
MPLX LP, Expires 11/17/23, |
|
(100,000 |
) |
(1,000 |
) |
(9,000) |
|
ONEOK, Inc., Expires 11/17/23, |
|
(50,000 |
) |
(500 |
) |
(30,000) |
|
Pembina Pipeline Corp., Expires
11/17/23, |
|
(62,800 |
) |
(628 |
) |
(628) |
|
TC Energy Corp., Expires 12/15/23, |
|
(50,000 |
) |
(500 |
) |
(10,000) |
|
TC Energy Corp., Expires 12/15/23, |
|
(27,200 |
) |
(272 |
) |
(13,600) |
|
Total Written Options — (0.2)% |
|
|
|
|
|
|
|
(Premiums Received $743,462) |
|
|
|
|
|
$(669,886
|
) |
___________
*Non-income producing security.
(1)Security, or a portion thereof, has been pledged as collateral for borrowings. The aggregate market value of the collateral at October 31, 2023 was $306,228,651.
(2)Subject to written call options.
The accompanying notes are an integral part of these financial statements.
85
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of October 31, 2023.
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
Common Stocks |
|
$432,179,433 |
|
$— |
|
$— |
|
$432,179,433 |
Preferred Stocks |
|
2,120,859 |
|
— |
|
— |
|
2,120,859 |
Total |
|
$434,300,292 |
|
$— |
|
$— |
|
$434,300,292 |
Liability Valuation Inputs |
|
|
|
|
|
|
|
|
Written Options |
|
$666,118 |
|
$3,768 |
|
$— |
|
$669,886 |
Total |
|
$666,118 |
|
$3,768 |
|
$— |
|
$669,886 |
The accompanying notes are an integral part of these financial statements.
86
|
|
InfraCap MLP |
|
Assets: |
|
|
|
Investments, at cost |
|
$312,328,004 |
|
Investments, at value |
|
434,300,292 |
|
Cash |
|
1,910,767 |
|
Due from brokers |
|
41,963 |
|
Receivables: |
|
|
|
Investment securities sold |
|
4,975,367 |
|
Dividends and interest |
|
635,556 |
|
Prepaid expenses |
|
4,566 |
|
Prepaid taxes |
|
2,528,260 |
|
Total Assets |
|
444,396,771 |
|
Liabilities: |
|
|
|
Bank borrowings |
|
97,315,720 |
|
Payables: |
|
|
|
Investment securities purchased |
|
4,406,693 |
|
Sub-Advisory fees |
|
264,027 |
|
Written options, at value(a) |
|
669,886 |
|
Current Income Tax Liability |
|
4,484,106 |
|
Deferred Income Tax Liability |
|
10,644,159 |
|
Total Liabilities |
|
117,784,591 |
|
Net Assets |
|
$326,612,180 |
|
Net Assets Consist of: |
|
|
|
Paid-in capital |
|
$481,693,127 |
|
Total distributable earnings (accumulated deficit), net of income taxes |
|
(155,080,947 |
) |
Net Assets |
|
$326,612,180 |
|
Shares outstanding (unlimited number of shares of beneficial interest authorized, no par value) |
|
9,490,000 |
|
Net asset value per share |
|
$34.42 |
|
(a)Premiums received from written options |
|
$743,462 |
|
The accompanying notes are an integral part of these financial statements.
87
|
|
InfraCap MLP |
|
Investment Income: |
|
|
|
Distributions from master limited partnerships |
|
$32,926,217 |
|
Dividend income (net of foreign withholding taxes) |
|
1,736,458 |
|
Interest income |
|
39,017 |
|
Less: Return of capital distributions |
|
(34,074,411 |
) |
Total Investment Income |
|
627,281 |
|
|
|
|
|
Expenses: |
|
|
|
Interest expenses |
|
6,394,616 |
|
Sub-Advisory fees |
|
2,979,025 |
|
Total Expenses |
|
9,373,641 |
|
Net Investment (Loss) Before Income Taxes |
|
(8,746,360 |
) |
Current and Deferred Income Tax Benefit / (Expense) |
|
2,525,387 |
|
Net Investment (Loss), Net of Income Taxes |
|
(6,220,973 |
) |
|
|
|
|
Net Realized Gain (Loss) on: |
|
|
|
Investments |
|
50,074,442 |
|
Written options |
|
2,836,231 |
|
Foreign currency transactions |
|
17 |
|
Current and Deferred Income Tax Benefit / (Expense) |
|
(15,277,208 |
) |
Total Net Realized Gain, Net of Income Taxes |
|
37,633,482 |
|
|
|
|
|
Change in Net Unrealized Appreciation (Depreciation) on: |
|
|
|
Investments |
|
8,183,994 |
|
Written options |
|
46,521 |
|
Current and Deferred Income Tax Benefit / (Expense) |
|
(2,376,444 |
) |
Total Change in Net Unrealized Appreciation |
|
5,854,071 |
|
Net Realized and Change in Unrealized Gain, Net of Income Taxes |
|
43,487,553 |
|
Net Increase in Net Assets Resulting from Operations |
|
$37,266,580 |
|
Foreign withholding taxes |
|
$2,279 |
|
The accompanying notes are an integral part of these financial statements.
88
|
|
InfraCap MLP ETF |
| ||
|
|
For the |
|
For the |
|
Increase (Decrease) in Net Assets Resulting from Operations: |
|
|
|
|
|
Net investment loss, net of income taxes |
|
$(6,220,973 |
) |
$(3,191,490 |
) |
Net realized gain, net of income taxes |
|
37,633,482 |
|
16,423,248 |
|
Net change in unrealized appreciation, net of income taxes |
|
5,854,071 |
|
73,809,882 |
|
Net increase in net assets resulting from operations |
|
37,266,580 |
|
87,041,640 |
|
Distributions to Shareholders |
|
(26,762,601 |
) |
(27,209,601 |
) |
|
|
|
|
|
|
Shareholder Transactions: |
|
|
|
|
|
Proceeds from shares sold |
|
23,202,124 |
|
37,312,474 |
|
Cost of shares redeemed |
|
(40,630,273 |
) |
(58,236,660 |
) |
Net decrease in net assets resulting from shareholder transactions |
|
(17,428,149 |
) |
(20,924,186 |
) |
Increase (decrease) in net assets |
|
(6,924,170 |
) |
38,907,853 |
|
|
|
|
|
|
|
Net Assets: |
|
|
|
|
|
Beginning of year |
|
333,536,350 |
|
294,628,497 |
|
End of year |
|
$326,612,180 |
|
$333,536,350 |
|
|
|
|
|
|
|
Changes in Shares Outstanding: |
|
|
|
|
|
Shares outstanding, beginning of year |
|
10,040,000 |
|
10,790,000 |
|
Shares sold |
|
700,000 |
|
1,200,000 |
|
Shares redeemed |
|
(1,250,000 |
) |
(1,950,000 |
) |
Shares outstanding, end of year |
|
9,490,000 |
|
10,040,000 |
|
The accompanying notes are an integral part of these financial statements.
89
|
|
InfraCap MLP |
|
Cash Flows From Operating Activities: |
|
|
|
Net increase (decrease) in net assets from operations |
|
$37,266,580 |
|
|
|
|
|
Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by (used in) operating activities: |
|
|
|
Purchases of investment securities |
|
(283,543,585 |
) |
Proceeds from sales of investments |
|
362,674,437 |
|
Net proceeds from purchased and written options |
|
4,306,388 |
|
Net realized gain (loss) on investments |
|
(50,074,442 |
) |
Net realized gain (loss) on written options |
|
(2,836,231 |
) |
Net change in unrealized (appreciation) depreciation on investments |
|
(8,183,994 |
) |
Net change in unrealized (appreciation) depreciation on written options |
|
(46,521 |
) |
Increase (decrease) in due from brokers |
|
108,050 |
|
(Increase) decrease in current income tax liability |
|
4,484,106 |
|
(Increase) decrease in dividends and interest receivable |
|
132,535 |
|
(Increase) decrease in prepaid expenses |
|
(4,566 |
) |
(Increase) decrease in deferred income tax liability |
|
10,644,159 |
|
(Increase) decrease in prepaid taxes |
|
(2,155,434 |
) |
(Increase) decrease in sub-advisory fees payable |
|
15,674 |
|
Increase (decrease) in interest expense |
|
(82,331 |
) |
Net cash provided by (used in) operating activities |
|
72,704,825 |
|
|
|
|
|
Cash Flows provided by (used in) Financing Activities: |
|
|
|
Repayments of borrowings |
|
1,438,884 |
|
Payments for fund shares sold in excess of in-kind creations |
|
(46,054,542 |
) |
Distributions paid |
|
(26,762,601 |
) |
Net cash provided by (used in) financing activities |
|
(71,378,259 |
) |
|
|
|
|
Net increase (decrease) in cash |
|
1,326,566 |
|
Cash, beginning of year |
|
584,201 |
|
Cash, end of year |
|
$1,910,767 |
|
|
|
|
|
Supplemental information: |
|
|
|
Interest paid on borrowings |
|
$6,476,947 |
|
|
|
|
|
Non-cash financing activities: |
|
|
|
In-kind creations — Issued |
|
30,287,434 |
|
In-kind creations — Redeemed |
|
— |
|
The accompanying notes are an integral part of these financial statements.
90
|
|
InfraCap MLP ETF1 | ||||||||||||||||||
|
|
For the |
|
For the |
|
For the |
|
For the |
|
For the | ||||||||||
Per Share Data for a Share Outstanding throughout each year presented: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year |
|
|
$33.22 |
|
|
|
$27.31 |
|
|
|
$13.78 |
|
|
|
$44.80 |
|
|
|
$63.87 |
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss2 |
|
|
(0.65 |
) |
|
|
(0.31 |
) |
|
|
(0.33 |
) |
|
|
(0.09 |
) |
|
|
(0.96 |
) |
Net realized and unrealized gain (loss) |
|
|
4.69 |
|
|
|
8.86 |
|
|
|
16.50 |
|
|
|
(28.94 |
) |
|
|
(7.91 |
) |
Total from investment operations |
|
|
4.04 |
|
|
|
8.55 |
|
|
|
16.17 |
|
|
|
(29.03 |
) |
|
|
(8.87 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(2.84 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Net realized gains |
|
|
— |
|
|
|
(2.64 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
Return of capital |
|
|
— |
|
|
|
— |
|
|
|
(2.64 |
) |
|
|
(1.99 |
) |
|
|
(10.20 |
)3 |
Total distributions |
|
|
(2.84 |
) |
|
|
(2.64 |
) |
|
|
(2.64 |
) |
|
|
(1.99 |
) |
|
|
(10.20 |
) |
Net Asset Value, End of year |
|
|
$34.42 |
|
|
|
$33.22 |
|
|
|
$27.31 |
|
|
|
$13.78 |
|
|
|
$44.80 |
|
Net Asset Value Total Return4 |
|
|
12.91 |
% |
|
|
33.13 |
% |
|
|
121.30 |
% |
|
|
(62.67 |
)% |
|
|
(15.62 |
)% |
Net assets, end of year (000’s omitted) |
|
|
$326,612 |
|
|
|
$333,536 |
|
|
|
$294,628 |
|
|
|
$99,107 |
|
|
|
$331,936 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses, including current and deferred income tax benefit / expense |
|
|
2.18 |
%5 |
|
|
1.64 |
%6 |
|
|
1.40 |
%7 |
|
|
2.01 |
%8 |
|
|
2.41 |
%9 |
Expenses, excluding current and deferred income tax benefit / expense |
|
|
2.99 |
%10 |
|
|
1.64 |
%6 |
|
|
1.40 |
%7 |
|
|
1.89 |
%8 |
|
|
2.40 |
%9 |
Net investment loss, net of income taxes |
|
|
(1.98 |
)% |
|
|
(1.06 |
)% |
|
|
(1.31 |
)% |
|
|
(1.71 |
)% |
|
|
(1.72 |
)% |
Portfolio turnover rate11 |
|
|
69 |
% |
|
|
62 |
% |
|
|
99 |
% |
|
|
96 |
% |
|
|
136 |
% |
1Effective March 31, 2020, the Fund had a 1 for 10 reverse stock split. The share amounts for the years ended December 31, 2020, December 31, 2019 and December 31, 2018 have been adjusted as a result of the 1 for 10 reverse stock split (See Note 1).
2Based on average shares outstanding.
3The per share distribution amount of $10.20 was originally misclassified and shown as distributions from net investment income in the Fund’s October 31, 2019 Annual Report. This amount has been subsequently reclassified to distributions from return of capital.
4Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the year, reinvestment of dividends and distributions at net asset value during the year, and redemptions at net asset value on the last day of the year.
5The ratios of expenses to average net assets include interest expense of 2.04% and current and deferred income tax benefit / expense of 0.81%.
6The ratios of expenses to average net assets include interest expense of 0.69%.
7The ratios of expenses to average net assets include interest expense of 0.45%.
8The ratios of expenses to average net assets include interest expense of 0.93% and tax expense of 0.01%.
9The ratios of expenses to average net assets include interest expense of 1.28% and dividend expense on securities sold short fees of 0.17%.
10The ratios of expenses to average net assets include interest expense of 2.04%.
11Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
91
1. ORGANIZATION
The ETFis Series Trust I (the “Trust”) was organized as a Delaware statutory trust on September 20, 2012 and is registered with the U.S. Securities and Exchange Commission (the “SEC”) as an open-end management investment company under the Investment Company Act of 1940 (the “1940 Act”).
As of October 31, 2023, ten funds of the Trust are offered for sale. The InfraCap MLP ETF (the “Fund”) is presented in this annual report. The offering of the Fund’s shares is registered under the Securities Act of 1933 (the “Securities Act”).
Fund |
Investment objective |
InfraCap MLP ETF |
Seeks total return primarily through investments in equity securities of publicly traded master limited partnerships and limited liability companies taxed as partnerships (“MLPs”). |
There is no guarantee that the Fund will achieve its objective(s).
The Fund is “non-diversified,” as defined under the 1940 Act, as of the year ended October 31, 2023.
Reverse Split
After the close of the markets on March 30, 2020 (the Record Date), the Fund effected a reverse split of its issued and outstanding shares, with a 1 for 10 ratio. Shares of the Fund began trading on the NYSE Arca on a split-adjusted basis on March 31, 2020.
The effect of the reverse split was reducing the number of Shares outstanding and resulted in a proportionate increase in the NAV per Share of the Fund. Therefore, the reverse split did not change the aggregate value of a shareholder’s investment or the total market value of the shares outstanding.
The reverse split was applied retroactively for all periods presented in the financial statements.
2. SIGNIFICANT ACCOUNTING POLICIES
The 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 Fund prepares its financial statements in accordance with generally accepted accounting principles (“GAAP”) in the United States of America and follows the significant accounting policies described below.
(a) Use of Estimates
Management makes certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and reported amounts of increases and decreases in the net assets from operations during the reporting period. Actual results could differ from those estimates.
(b) Indemnification
In the normal course of business, the Fund may enter into contracts that contain a variety of representations which provide general indemnifications for certain liabilities. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
(c) Security Valuation
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities and exchange-traded funds are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded. Securities regularly traded in an over the counter market are valued at the latest quoted sale price in such market or in the case of the New York Stock Exchange (“NYSE”), at the NYSE Official Closing Price. Such valuations are typically categorized as Level 1 in the fair value hierarchy. The Board of Trustees of the Trust (the “Board”) has designated Virtus ETF Advisers LLC (the “Adviser”) to serve as its valuation designee, pursuant to Rule 2a-5 under the 1940 Act, to perform the fair value determinations relating to any or all Fund investments. Accordingly, if market quotations are not readily available, or if it is determined that a quotation of a security does not represent fair value, then the security is valued by the Adviser at fair value as determined in good faith using procedures approved by the Board. Such valuations are typically categorized as Level 2 or Level 3 in the fair value hierarchy.
Listed derivatives, such as options, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include options, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
92
(d) Fair Value Measurement
Accounting Standards Codification, Fair Value Measurements and Disclosures (“ASC 820”) defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and requires disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not orderly, and how that information must be incorporated into fair value measurement. Under ASC 820, various inputs are used in determining the value of the Fund’s investments. The Adviser, on behalf of the Fund, utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. These inputs are summarized in the following hierarchy:
•Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has 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 securities, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
•Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The hierarchy classification of inputs used to value the Fund’s investments at October 31, 2023, is disclosed at the end of the Fund’s Schedule of Investments.
(e) Security Transactions, Investment Income and Return of Capital Estimates
Security transactions are accounted for on the trade date. Realized gains and losses on sales of investment securities are calculated using specific identification. Dividend income is recognized on the ex-dividend date. Expenses are recognized on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method.
The Fund invests in master limited partnerships (“MLPs”) which make distributions that are primarily attributable to return of capital. The Fund records investment income and return of capital in the Statement of Operations using management’s estimate of the percentage of income included in the distributions received from each MLP based on historical information from the MLPs and other industry sources. These estimates may be adjusted based on information received from the MLPs after the tax and fiscal year ends.
The return of capital portion of the MLP distributions is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed its cost basis, the distributions are treated as realized gains. The actual amounts of income and return of capital are only determined by each MLP after its fiscal year-end and may differ from the estimated amounts.
(f) Expenses
The Fund pays all of its expenses not assumed by Infrastructure Capital Advisors, LLC (the “Sub-Adviser”) or the Adviser. General Trust expenses that are allocated among and charged to the assets of the Fund and other series of the Trust are done so on a basis that the Board deems fair and equitable, which may be on a basis of relative net assets of the Fund and other series of the Trust or the nature of the services performed and relative applicability to the Fund and other series of the Trust.
(g) Short Sales
The Fund may sell securities short. A short sale is a transaction in which the Fund sells a security it does not own in anticipation of a decline in market price. To sell a security short, the Fund must borrow the security. The Fund’s obligation to replace the security borrowed and sold short will be fully collateralized at all times by the proceeds from the short sale retained by the broker and by cash and securities deposited in a segregated account with the Fund’s custodian. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will realize a loss, and if the price declines during the period, the Fund will realize a gain. Any realized gain will be decreased, and any realized loss increased, by the amount of transaction costs. On the ex-dividend date, dividends on short sales are recorded as an expense to the Fund.
In accordance with the terms of its prime brokerage agreement, the Fund may receive rebate income or be charged a fee on borrowed securities which is reported as “Interest Expense” on the Statement of Operations. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security.
93
(h) Distributions to Shareholders
Distributions to shareholders are declared and paid on a monthly basis and are recorded on the ex-dividend date. The Fund uses a cash flow-based distribution approach based on the Fund’s net cash flow received from portfolio investments.
The estimated character of the distributions paid will either be a dividend (ordinary income eligible to be treated as qualified dividend income) or a return of capital. Distributions made from current or accumulated earnings and profits of the Fund will be taxable to shareholders as dividend income. Distributions that are in an amount greater than the Fund’s current and accumulated earnings and profits will represent a return of capital to the extent of a shareholder’s basis in their common shares, and such distributions will correspondingly increase the realized gain upon the sale of their common shares. Additionally, distributions not paid from current or accumulated earnings and profits that exceed a shareholder’s tax basis in their common shares will generally be taxed as a capital gain. This estimate is based on the Fund’s operating results during the period.
(i) Cash and Cash Equivalents
Cash is comprised of demand deposits. Cash equivalents are highly liquid investments with original maturities of 90 days or less. The carrying amount of cash equivalents, primarily representing money market funds is a reasonable estimate of fair value. These assets are considered to be Level 1 securities, per Accounting Standards Codification (“ASC”) Topic 820, Fair Value Measurements and Disclosures.
3. INVESTMENT MANAGEMENT RELATED PARTIES AND OTHER AGREEMENTS
Investment Advisory Agreement
The Trust, on behalf of the Fund, has entered into an Investment Advisory Agreement (the “Advisory Agreement”) with the Adviser, an indirect wholly-owned subsidiary of Virtus Investment Partners, Inc. (Ticker: VRTS) (together with its affiliates, “Virtus”). Pursuant to the Advisory Agreement, the Adviser has overall supervisory responsibility for the general management and investment of the Fund’s securities portfolio. For its services to the Fund, the Adviser is entitled to receive a fee, payable monthly, at an annual rate of 0.075% of the Fund’s average daily net assets, subject to a minimum annual fee of $25,000. The Sub-Adviser pays the Adviser’s fee out of the Sub-Adviser’s fee, pursuant to the Sub-Adviser’s unified fee arrangement with the Fund, as described below.
The Advisory Agreement may be terminated by the Trust on behalf of a Fund with the approval of a Fund’s Board or by a vote of the majority of a Fund’s shareholders. The Advisory Agreement may also be terminated by the Adviser by not more than 60 days’ nor less than 30 days’ written notice.
Sub-Advisory Agreement
Infrastructure Capital Advisors, LLC (the “Sub-Adviser”) provides investment advice and management services to the Fund. Pursuant to an investment sub-advisory agreement among the Trust, the Sub-Adviser and the Adviser, the Fund pays the Sub-Adviser a fee, payable monthly, at an annual rate of 0.95% of the Fund’s average daily net assets. The Sub-Adviser has agreed to pay all expenses of the Fund, except the Sub-Adviser’s fee, brokerage expenses, taxes, interest, litigation expenses, payments under any 12b-1 plan adopted by the Fund, and other non-routine or extraordinary expenses of the Fund.
Principal Underwriter
Pursuant to the terms of a Distribution Agreement with the Trust, VP Distributors, LLC (the “Distributor”) serves as the Fund’s principal underwriter. The Distributor receives compensation from the Adviser for the statutory underwriting services it provides to the Fund. The Distributor will not distribute shares in less than Creation Units (as hereinafter defined), and does not maintain a secondary market in shares. The shares are traded in the secondary market. The Distributor is an indirect wholly-owned subsidiary of Virtus.
Operational Administrator
Virtus ETF Solutions LLC (the “Administrator”) serves as the Fund’s operational administrator. The Administrator supervises the overall administration of the Trust and the Fund including, among other responsibilities, the coordination and day-to-day oversight of the Fund’s operations, the service providers’ communications with the Fund and each other and assistance with Trust, Board and contractual matters related to the Fund. The Administrator also provides persons satisfactory to the Board to serve as officers of the Trust. The Administrator is an indirect wholly-owned subsidiary of Virtus.
Accounting Services Administrator, Custodian and Transfer Agent
The Bank of New York Mellon (“BNY Mellon”) provides administrative, accounting, tax and financial reporting for the maintenance and operations of the Trust as the Fund’s accounting services administrator. BNY Mellon also serves as the custodian for the Fund’s assets, and serves as transfer agent and dividend paying agent for the Fund.
94
Affiliated Shareholders
At October 31, 2023, the Sub-Adviser held shares of the Fund which may be redeemed at any time that aggregated to the following:
Fund |
|
Shares |
|
% of
shares |
InfraCap MLP ETF |
|
48,045 |
|
0.5% |
4. CREATION AND REDEMPTION TRANSACTIONS
The Fund issues and redeems shares on a continuous basis at Net Asset Value (“NAV”) in aggregate blocks of shares or multiples thereof called “Creation Units.” The Fund’s Creation Units may be issued and redeemed generally for cash or an in-kind deposit of securities held by the Fund. In each instance of cash creations or redemptions, the Trust may impose transaction fees based on transaction expenses related to the particular exchange that will be higher than the transaction fees associated with in-kind purchases or redemptions.
Only “Authorized Participants” who have entered into contractual arrangements with the Distributor may purchase or redeem shares directly from the Fund. An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the shares directly from the Fund. Rather, most retail investors will purchase shares in the secondary market with the assistance of a broker and will be subject to customary brokerage commissions or fees.
Authorized participants pay a fixed transaction fee of $500 to the shareholder servicing agent when purchasing and redeeming Creation Units of the Fund. The transaction fee is used to defray the costs associated with the issuance and redemption of Creation Units.
5. FEDERAL INCOME TAX
The Fund is taxed as a regular C-corporation for federal income tax purposes and as such is obligated to pay federal and applicable state and foreign corporate taxes on its taxable income. Currently, the federal income tax rate for a corporation is 21 percent. This treatment differs from most investment companies, which elect to be treated as “regulated investment companies” under the Code in order to avoid paying entity level income taxes. Under current law, the Fund is not eligible to elect treatment as a regulated investment company due to its investments primarily in MLPs invested in energy assets. The Fund expects that substantially all of the distributions it receives from MLPs may be treated as a tax-deferred return of capital, thus reducing the Fund’s current tax liability. However, the amount of taxes paid by the Fund will vary depending on the amount of income and gains derived from investments and/or sales of MLP interests and such taxes will reduce your return from an investment in the Fund.
Cash distributions from MLPs to the Fund that exceed the Fund’s allocable share of such MLP’s net taxable income are considered a tax deferred return of capital that will reduce the Fund’s adjusted tax basis in the equity securities of the MLP. These reductions in the Fund’s adjusted tax basis in the MLP equity securities will increase the amount of any taxable gain (or decrease the amount of any tax loss) recognized by the Fund on a subsequent sale of the securities. The Fund will accrue deferred income taxes for any future tax liability associated with (i) that portion of MLP distributions considered to be a tax-deferred return of capital as well as (ii) capital appreciation of its investments. Upon the sale of an MLP security, the Fund may be liable for previously deferred taxes. The Fund will rely to some extent on information provided by the MLPs, which is not necessarily timely, to estimate the deferred tax liability for purposes of financial statement reporting and determining the Fund’s NAV. From time to time, the Adviser will modify the estimates or assumptions related to the Fund’s deferred tax liability as new information becomes available. The Fund will generally compute deferred income taxes based on the federal income tax rate applicable to corporations and an assumed rate attributable to state taxes.
The Fund’s income tax expense/(benefit) consists of the following:
As of October 31, 2023 |
|
Current |
|
Deferred |
|
Total |
|
Federal |
|
$4,308,701 |
|
$6,594,314 |
|
$10,903,015 |
|
State |
|
175,405 |
|
655,754 |
|
831,159 |
|
Valuation Allowance |
|
— |
|
3,394,091 |
|
3,394,091 |
|
Total Tax Expense/(Benefit) |
|
$4,484,106 |
|
$10,644,159 |
|
$15,128,265 |
|
95
Components of the Fund’s deferred tax assets and liabilities are as follows:
|
|
As of |
|
Deferred Tax Assets: |
|
|
|
Capital Loss Carryforward |
|
$46,414,999 |
|
Other |
|
318,064 |
|
Total Deferred Tax Assets |
|
46,733,063 |
|
Less Valuation Allowance |
|
(29,922,440 |
) |
Net Deferred Tax Assets |
|
$16,810,623 |
|
Deferred Tax Liabilities: |
|
|
|
Net Unrealized Gain on Investment |
|
$16,279,954 |
|
Book vs tax deferred income from MLP Investments |
|
11,174,828 |
|
Total Deferred Tax Liabilities |
|
27,454,782 |
|
Total Net Deferred Tax Asset/(Liability) |
|
$(10,644,159 |
) |
The Fund reviews the recoverability of its deferred tax assets based upon the weight of available evidence. When assessing the recoverability of its deferred tax assets, significant weight was given to the effects of potential future realized and unrealized gains on investments and the period over which these deferred tax assets can be realized. Currently, any capital losses that may be generated by the Fund in the future are eligible to be carried back up to three years and can be carried forward for five years to offset capital gains recognized by the Fund in those years. As of the year ended October 31, 2023, the Fund has a capital loss carryforward of $212,377,997 of which $42,521,302 expires in 2024, $153,290,897 expires in 2025, and $16,565,798 expires in 2026.
Based upon the Fund’s assessment, it has determined that it is “more-likely-than-not” that a portion of its deferred tax assets will not be realized through future taxable income of the appropriate character. Accordingly, a valuation allowance has been established for the Fund’s deferred tax assets. The Fund will continue to assess the need for a valuation allowance in the future. Significant changes in the fair value of its portfolio of investments may change the Fund’s assessment of the recoverability of these assets and may result in an adjustment of the valuation allowance against all or a portion of the Fund’s gross deferred tax assets.
Total income tax (benefit)/expense (current and deferred) differs from the amount computed by applying the federal statutory income tax rate of 21% to net investment and realized and unrealized gain/(losses) on investment before taxes as follows for the Fund:
|
|
Amount |
|
Rate |
|
Income Tax (Benefit) at Statutory Rate |
|
$11,002,918 |
|
21.00 |
% |
State Income Taxes (Net of Federal Benefit) |
|
447,924 |
|
0.85 |
% |
Permanent Differences, Net |
|
(166,568 |
) |
(0.30 |
)% |
Effect of State Tax Rate Change |
|
449,899 |
|
0.86 |
% |
Valuation Allowance |
|
3,394,092 |
|
6.48 |
% |
Net Income Tax Expense/(Benefit) |
|
$15,128,265 |
|
28.89 |
% |
The Fund recognizes interest accrued related to unrecognized tax benefits and penalties as income tax expense. For the period from inception to October 31, 2023, the Fund does not have any accrued penalties or interest.
The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more-likely-than-not” to be sustained assuming examination by tax authorities. Management has analyzed the Fund’s tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on U.S. tax returns and state tax returns filed since inception of the Fund. The Fund’s tax years, October 31, 2020 through October 31, 2022, remain subject to examination by tax authorities in the United States. Due to the nature of the Fund’s investments, the Fund may be required to file income tax returns in several states. As of the year ended October 31, 2023, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially over the next fiscal year.
At October 31, 2023, the adjusted cost basis of investments and gross unrealized appreciation and depreciation of investments, excluding written options, for federal income tax purposes were as follows:
Fund |
|
Federal Tax |
|
Gross |
|
Gross |
|
Net
Unrealized |
InfraCap MLP ETF |
|
$308,444,939 |
|
$128,029,755 |
|
$
(2,174,402 |
) |
$125,855,353 |
96
The tax character of dividends and distributions paid during the fiscal years ended October 31, 2023 and October 31, 2022 were as follows:
Fund |
|
2023 |
|
2022 |
|
Distributions Paid From Ordinary Income |
|
Distributions Paid From Ordinary Income | |
InfraCap MLP ETF |
|
$26,762,601 |
|
$27,209,601 |
6. INVESTMENT TRANSACTIONS
Purchases and sales of investments (excluding short-term investments), subscriptions in-kind and redemptions in-kind for the year ended October 31, 2023 were as follows:
Fund |
|
Purchases |
|
Sales |
|
Subscriptions |
|
Redemptions |
InfraCap MLP ETF |
|
$282,466,860 |
|
$332,148,264 |
|
$30,287,434 |
|
$— |
7. DERIVATIVE FINANCIAL INSTRUMENTS
Options
The Fund may write covered call and put options on portfolio securities and other financial instruments. Premiums received are recorded as liabilities. The liabilities are subsequently adjusted to reflect the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are exercised or are closed are added to or offset against the proceeds or amount paid on the transactions to determine the net realized gain or loss. By writing a covered call option, the Fund, in exchange for the premium, foregoes the opportunity for capital appreciation above the exercise price should the market price of the underlying security increase. By writing a put option, the Fund, in exchange for the premium, accepts the risk of having to purchase a security at an exercise price that is above the current price. Changes in value of written options are reported as change in unrealized gain (loss) on written options in the Statement of Operations. When the written option expires, is terminated or is sold, the Fund will record a gain or loss, which is reported as realized gain (loss) on written options in the Statement of Operations. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Fund to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Fund may purchase call and put options on the portfolio securities or other financial instruments. The Fund may purchase call options to protect against an increase in the price of the security or financial instrument it anticipates purchasing. The Fund may purchase put options on securities which it holds or other financial instruments to protect against a decline in the value of the security or financial instrument or to close out covered written positions. Changes in value of purchased options are reported as part of change in unrealized gain (loss) on investments in the Statement of Operations. When the purchased option expires, is terminated or is sold, the Fund will record a gain or loss, which is reported as part of realized gain (loss) on investments in the Statement of Operations. Risks may arise from an imperfect correlation between the change in market value of the securities held by the Fund and the prices of options relating to the securities purchased or sold by the Fund and from the possible lack of liquid secondary market for an option. The maximum exposure to loss for any purchased option is limited to the premium initially paid for the option.
Transactions in derivative instruments reflected on the Statement of Assets and Liabilities at October 31, 2023 are as follows:
Liabilities |
|
Equity Risk |
|
Written options, at value |
|
$(669,886 |
) |
Transactions in derivative instruments reflected on the Statement of Operations during the year ended October 31, 2023 were as follows:
Net Realized Gain (Loss) on: |
|
Equity Risk |
|
Investments* |
|
$(103,518 |
) |
Written options |
|
2,836,231 |
|
Change in Net Unrealized Appreciation (Depreciation) on: |
|
Equity Risk |
|
Written options |
|
$46,521 |
|
*Purchased option contracts are included in Net Realized Gain (Loss) on Investments within the Statement of Operations.
97
For the year ended October 31, 2023, the monthly average market value of the purchased and written options contracts held by the Fund were $542 and $(796,282), respectively.
8. BORROWINGS
The Fund entered into Lending Agreements (the “Agreements”) with commercial banks (the “Banks”) that allows the Fund to borrow cash from the Banks. Borrowings under the Agreements are collateralized by investments of the Fund. If the Fund defaults with respect to any of its obligations under the Agreements, the Banks may foreclose on assets of the Fund and/or the Fund may be required to repay immediately, in part or in full, the loan balance outstanding under the Agreements, necessitating the sale of securities at potentially inopportune times. Interest is charged at the Overnight Bank Funding Rate (“OBFR”) plus an additional percentage rate on the amount borrowed. The Agreements have an on-demand commitment term. For the year ended October 31, 2023, the average daily borrowings under the Agreements and the weighted average interest rate were $94,429,647 and 5.87%, respectively.
9. INVESTMENT RISKS
As with any investment, an investment in the Fund could result in a loss or the performance of the Fund could be inferior to that of other investments. An investor should consider the Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus and statement of additional information contain this and other important information.
MLP Risk
Investments in securities of MLPs involve risks that differ from investments in common stock including risks related to limited control and limited rights to vote on matters affecting the MLP, risks related to potential conflicts of interest between the MLP and the MLP’s general partner and cash flow risks. MLP common units and other equity securities can be affected by macro-economic and other factors affecting the stock market in general, expectations of interest rates, investor sentiment towards MLPs or the energy sector, changes in a particular issuer’s financial condition or unfavorable or unanticipated poor performance of a particular issuer (in the case of MLPs, generally measured in terms of distributable cash flow). Prices of common units of individual MLPs and other equity securities also can be affected by fundamentals unique to the partnership or company, including earnings power and coverage ratios.
Market Risk
Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issue, recessions, or other events could have a significant impact on the Fund and its investments, including hampering the ability of the Fund’s portfolio manager(s) to invest the Fund’s assets as intended.
10. LIBOR
In July 2017, the head of the United Kingdom Financial Conduct Authority (“FCA”) announced the intention to phase out the use of LIBOR by the end of 2021. However, after subsequent announcements by the FCA, the LIBOR administrator and other regulators, certain of the most widely used LIBORs continued until approximately June 30, 2023. The ICE Benchmark Administration Limited, which is regulated and authorized by FCA, and the administrator of LIBOR, ceased publishing certain LIBOR settings on December 31, 2021. On April 3, 2023, the FCA announced its decision to require LIBOR’s administrator to continue to publish the 1-month, 3-month, and 6-month U.S. dollar settings under an unrepresentative synthetic methodology until September 30, 2024. On March 15, 2022, the Adjustable Interest Act (LIBOR) Act (the “LIBOR Act”) was enacted into law which directs the Federal Reserve Board, as a fallback mechanism, to identify benchmark rates based on SOFR that will replace LIBOR in certain financial contracts after June 30, 2023. On December 16, 2022, the Federal Reserve adopted regulations implementing the LIBOR Act. The Fund may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The expected discontinuation of LIBOR could have a significant impact on the financial markets and may present a material risk for certain market participants, including the Fund. Abandonment of or modifications to LIBOR could lead to significant short- and long-term uncertainty and market instability. The risks associated with this discontinuation and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. It remains uncertain the effects such changes will have on the Fund, issuers of instruments in which the Fund invests, and the financial markets generally.
11. 10% SHAREHOLDERS
As of October 31, 2023, the Fund had individual shareholder account(s) and/or omnibus shareholder account(s) (comprised of a group of individual shareholders), which individually amounted to more than 10% of the total shares outstanding of the Fund as detailed below:
Fund |
|
% of
Shares |
|
Number of |
InfraCap MLP ETF |
|
50% |
|
2 |
98
12. RECENT ACCOUNTING PRONOUNCEMENTS
In March 2020, the FASB issued Accounting Standards Update (“ASU”) No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered reference rates as of the end of 2021. In March 2021, the administrator for LIBOR announced the extension of the publication of a majority of the USD LIBOR settings to June 30, 2023. On December 21, 2022, the FASB issued ASU 2022-06 to defer the sunset date of ASC 848 until December 31, 2024. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2024. Management is currently evaluating the impact, if any, of ASU 2020-04 and ASU 2020-06, but does not believe there will be a material impact.
13. NEW REGULATORY PRONOUNCEMENT
In October 2022, the SEC adopted a rule and form amendments relating to tailored shareholder reports for mutual funds and ETFs; and fee information in investment company advertisements. The rule and form amendments will require mutual funds and ETFs to transmit streamlined shareholder reports that highlight key information to investors. The rule amendments will require 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 in January 2023 and there is an 18-month transition period after the effective date of the amendment with a compliance date of July 2024.
14. SUBSEQUENT EVENTS
Management has evaluated subsequent events through the issuance of these financial statements and has determined that there are no material events that would require disclosure.
99
To the Board of Trustees of ETFis Series Trust I and Shareholders of InfraCap REIT Preferred ETF, Virtus InfraCap U.S. Preferred Stock ETF, Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Newfleet Multi-Sector Bond ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF, and Virtus WMC International Dividend ETF
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of InfraCap REIT Preferred ETF, Virtus InfraCap U.S. Preferred Stock ETF, Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Newfleet Multi-Sector Bond ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF and Virtus WMC International Dividend ETF (eight of the funds constituting ETFis Series Trust I, hereafter collectively referred to as the “Funds”) as of October 31, 2023, the related statements of operations for the year ended October 31, 2023, the statement of cash flows for Virtus InfraCap U.S. Preferred Stock ETF for the year ended October 31, 2023, the statements of changes in net assets for each of the two years in the period ended October 31, 2023, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of October 31, 2023, the results of each of their operations and the cash flows for Virtus InfraCap U.S. Preferred Stock ETF for the year then ended, the changes in each of their net assets for each of the two years in the period ended October 31, 2023 and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2023, by correspondence with the custodian, transfer agent, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Philadelphia,
Pennsylvania
December 21,
2023
We have served as the auditor of one or more investment companies in Virtus ETF Solutions since 2017.
PricewaterhouseCoopers LLP,
Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA
19103
T: (267) 330 3000, F: (267) 330
3300,
www.pwc.com/us
100
To the Board of Trustees of ETFis Series Trust I and Shareholders of InfraCap MLP ETF
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of InfraCap MLP ETF (one of the funds constituting ETFis Series Trust I, hereafter referred to as the “Fund”) as of October 31, 2023, the related statements of operations and cash flows for the year ended October 31, 2023, the statement of changes in net assets for each of the two years in the period ended October 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended October 31, 2023 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of October 31, 2023, the results of its operations and its cash flows for the year then ended, the changes in its net assets for each of the two years in the period ended October 31, 2023 and the financial highlights for each of the five years in the period ended October 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2023, by correspondence with the custodian, transfer agent, and broker. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Philadelphia,
Pennsylvania
December 21,
2023
We have served as the auditor of one or more investment companies in Virtus ETF Solutions since 2017.
PricewaterhouseCoopers LLP,
Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA
19103
T: (267) 330 3000, F: (267) 330 3300,
www.pwc.com/us
101
Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted a liquidity risk management program (the “Program”) to govern the Funds’ approach to managing liquidity risk, which is the risk that a Fund would not be able to meet redemption requests without significant dilution of remaining investors’ interests in the Fund. The Program is overseen by the Adviser as the Funds’ Liquidity Risk Management Program Administrator (the “Program Administrator”), and the Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the Funds. Assessment and management of a Fund’s liquidity risk under the Program take into consideration certain factors, such as the Fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short- and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of Fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.
At a meeting of the Board held on May 22, 2023, the Board received a report from the Program Administrator addressing the operation and management of the Program for calendar year 2022 (the “Review Period”). The Program Administrator’s report noted that for the Review Period, the Program Administrator believed that the Program was implemented and operated effectively in all material respects and that existing procedures, controls and safeguards were appropriately designed to enable the Program Administrator to administer the Program in compliance with Rule 22e-4. The Program Administrator’s report noted that during the Review Period, there were no events that created liquidity related concerns for the Funds. The Program Administrator’s report further noted that no significant or reportable changes had been made to the Program during the Review Period and no material changes were made to the Program as a result of the Program Administrator’s annual review.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to a Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in that Fund may be subject.
102
Information pertaining to the Trustees and officers of the Trust as of the date of issuance of this report is set forth below. The Statement of Additional Information (“SAI”) includes additional information about the Fund’s Trustees and is available, without charge, upon request, by calling the Adviser (toll-free) at (888)-383-4184.
The address for each Trustee and officer is 31 West 52nd Street, 16th Floor, New York, NY 10019. Each Trustee serves until resignation, death, retirement or removal. Officers are elected yearly by the Trustees.
Name and |
Position(s) Held |
Length of |
Principal Occupation(s) |
Number of |
Other |
INDEPENDENT TRUSTEES | |||||
Myles J. Edwards |
Trustee |
Since 2016 |
General Counsel and Chief Compliance Officer (since 2021), Sanctuary Securities, Inc. and Sanctuary Advisors, LLC; Chief Compliance Officer (since 2020), 1776 Wealth, Inc.; General Counsel and Chief Compliance Officer (since 2019), Bruderman Brothers, LLC and Bruderman Asset Management, LLC; Chief Compliance Officer (since 2018), Netrex Capital Markets, LLC; Chief Executive Officer (since 2018), Final Compliance; Chief Compliance Officer (since 2018), Knight Vinke; and General Counsel, Chief Compliance Officer and Chief Operating Officer (2014 to 2018), Shufro, Rose & Co., LLC. |
17 |
Trustee (since 2015), Virtus ETF Trust II (7 portfolios) |
James A. Simpson |
Trustee |
Since Inception |
President (since 2009), ETP Resources, LLC (a financial services consulting company). |
17 |
Trustee (since 2018), Asset Management Fund (5 portfolios); Trustee (since 2015), Virtus ETF Trust II (7 portfolios) |
Robert S. Tull, Jr. Year of Birth: 1952 |
Trustee |
Since Inception |
President (since 2017), ProcureAM, LLC; President (since 2018), Procure Holdings LLC; President (2005 to 2018), Robert Tull & Co. |
17 |
Trustee (since 2015), Virtus ETF Trust II (7 portfolios); Trustee (since 2018), Procure ETF Trust II (1 portfolio) |
INTERESTED TRUSTEE** | |||||
William J. Smalley |
Trustee, President and Chief Executive Officer |
Since Inception |
President (since 2012), Virtus ETF Solutions LLC; Managing Principal (2012 to 2016) and Executive Vice President (2016 to 2019), ETF Distributors LLC; Managing Director (since 2012), Virtus ETF Advisers LLC; President and Chief Executive Officer (since 2013), ETFis Series Trust I; and President and Chief Executive Officer (since 2015), Virtus ETF Trust II. |
10 |
None |
103
Name and |
Position(s) Held |
Length of |
Principal Occupation(s) |
Number of |
Other |
OTHER EXECUTIVE OFFICERS | |||||
Timothy Branigan |
Fund
Chief Deputy Assistant |
Since 2022
February
2020 to 2022 |
Various officer positions (since 2019) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
N/A |
N/A |
Daphne Chisolm Year of Birth: 1969 |
Chief Legal Officer and Secretary |
Since May 2023 |
Vice President and Senior Counsel (since 2023), Virtus Investment Partners, Inc.; Attorney at Law engaged in private practice as a solo practitioner (2018 to 2023); and various officer positions (since 2023) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
N/A |
N/A |
Brinton W. Frith |
Treasurer and Chief Financial Officer |
Since Inception |
President (since 2013), Virtus ETF Advisers LLC; Vice President (since 2016) and Managing Director (since 2013), Virtus ETF Solutions LLC; Treasurer and Chief Financial Officer (since 2013), ETFis Series Trust I; and Treasurer and Chief Financial Officer (since 2015), Virtus ETF Trust II. |
N/A |
N/A |
Julia Short |
Senior Vice President |
Since 2022 |
Senior Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc.; and Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). |
N/A |
N/A |
104
Name and |
Position(s) Held |
Length of |
Principal Occupation(s) |
Number of |
Other |
Richard W. Smirl Year of Birth: 1967 |
Executive Vice President |
Since 2022 |
Chief Operating Officer (since 2021); Virtus Investment Partners, Inc.; Executive Vice President (since 2021), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Executive Vice President (since 2021) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc.; Chief Operating Officer (2018 to 2021), Russell Investments; Executive Director (Jan. to July 2018), State of Wisconsin Investment Board; and Partner and Chief Operating Officer (2004 to 2018), William Blair Investment Management. |
N/A |
N/A |
__________
* As of the date of the issuance of this report, the Fund Complex consisted of the Trust, which consisted of ten portfolios—InfraCap REIT Preferred ETF, Virtus InfraCap U.S. Preferred Stock ETF, Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Newfleet Multi-Sector Bond ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF, Virtus Reaves Utilities ETF, Virtus WMC International Dividend ETF and InfraCap MLP ETF, and Virtus ETF Trust II, which consisted of seven portfolios—Virtus Duff & Phelps Clean Energy ETF, Virtus Newfleet ABS/MBS ETF, Virtus Newfleet Short Duration High Yield Bond ETF, Virtus Newfleet Short Duration Core Plus Bond ETF, Virtus Seix Senior Loan ETF, Virtus Stone Harbor Emerging Markets High Yield Bond ETF and Virtus Terranova U.S. Quality Momentum ETF.
** William J. Smalley is an “interested person” as defined in the Investment Company Act of 1940, because he is an employee of the Adviser.
105
INFORMATION ABOUT PORTFOLIO HOLDINGS
The Trust files a complete schedule of portfolio holdings for each Fund with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT-P. Form N-PORT-P is available on the SEC’s website at https://www.sec.gov.
The Funds’ premium/discount information for the most recently completed calendar year, and the most recently completed calendar quarters since that year is available by visiting www.virtusetfs.com or by calling (888) 383-4184.
INFORMATION ABOUT PROXY VOTING
A description of the policies and procedures the Funds use to determine how to vote proxies relating to portfolio securities is provided in the SAI. The SAI is available without charge upon request by calling toll-free at (888) 383-0553, by accessing the SEC’s website at www.sec.gov or by accessing the Funds’ website at www.virtusetfs.com.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30th is available by calling toll-free at (888) 383-0553 or by accessing the SEC’s website at www.sec.gov.
TAX INFORMATION
For the fiscal year ended October 31, 2023, the Funds make the following disclosures for federal income tax purposes. Below is listed the percentages, or the maximum amount allowable, of its ordinary income dividends (“QDI”) to qualify for the lower tax rates applicable to individual shareholders, and the percentage of ordinary income dividends earned by each Fund which qualifies for the dividends received deduction (“DRD”) for corporate shareholders. The actual percentage of QDI and DRD for the calendar year will be designated in year-end tax statements.
Funds |
|
QDI |
|
DRD |
InfraCap REIT Preferred ETF |
|
0.00% |
|
0.00% |
Virtus InfraCap U.S. Preferred Stock ETF |
|
69.65% |
|
59.22% |
Virtus LifeSci Biotech Clinical Trials ETF |
|
0.00% |
|
0.00% |
Virtus LifeSci Biotech Products ETF |
|
0.00% |
|
0.00% |
Virtus Newfleet Multi-Sector Bond ETF |
|
0.00% |
|
0.00% |
Virtus Private Credit Strategy ETF |
|
1.57% |
|
0.33% |
Virtus Real Asset Income ETF |
|
64.87% |
|
16.91% |
Virtus WMC International Dividend ETF |
|
92.78% |
|
0.00% |
c/o VP Distributors, LLC
One Financial Plaza
Hartford, Connecticut 06103
8572(12/23)