Not
Federally
Insured
|
No
Financial
Institution
Guarantee
|
May
Lose
Value
STRATEGIC
BETA
ETFs
Annual
Report
October
31,
2021
Columbia
Diversified
Fixed
Income
Allocation
ETF
Beginning
on
January
1,
2021,
as
permitted
by
regulations
adopted
by
the
Securities
and
Exchange
Commission,
paper
copies
of
the
Fund’s
annual
and
semiannual
shareholder
reports
like
this
one
are
no
longer
sent
by
mail,
unless
you
specifically
requested
paper
copies
of
the
reports.
Instead,
the
reports
are
made
available
on
the
Fund’s
website
(columbiathreadneedleus.
com/etfs),
and
each
time
a
report
is
posted
you
will
be
notified
by
mail
and
provided
with
a
website
address
to
access
the
report.
If
you
have
already
elected
to
receive
shareholder
reports
electronically,
you
will
not
be
affected
by
this
change
and
you
need
not
take
any
action.
You
may
elect
to
receive
shareholder
reports
and
other
communications
from
the
Fund
electronically
at
any
time
by
contacting
your
financial
intermediary
(such
as
a
broker-dealer
or
bank).
You
may
elect
to
receive
all
future
shareholder
reports
in
paper
free
of
charge.
You
can
contact
your
financial
intermediary
to
request
that
you
continue
receiving
paper
copies
of
your
shareholder
reports.
Your
election
to
receive
paper
reports
will
apply
to
all
Columbia
Funds
held
in
your
account.
Strategic
Beta
ETFs
|
Annual
Report
2021
TABLE
OF
CONTENTS
Fund
at
a
Glance
3
Manager
Discussion
of
Fund
Performance
5
Understanding
Your
Fund’s
Expenses
7
Portfolio
of
Investments
8
Statement
of
Assets
and
Liabilities
23
Statement
of
Operations
24
Statement
of
Changes
in
Net
Assets
25
Financial
Highlights
26
Notes
to
Financial
Statements
27
Report
of
Independent
Registered
Public
Accounting
Firm
35
Federal
Income
Tax
Information
36
Trustees
and
Officers
37
Approval
of
Investment
Management
Services
Agreement
45
Proxy
voting
policies
and
procedures
A
description
of
the
Trust’s
proxy
voting
policies
and
procedures
that
the
Trust
uses
to
determine
how
to
vote
proxies
relating
to
portfolio
securities,
and
the
Fund’s
proxy
voting
record
for
the
most
recent
twelve-month
period
ended
June 30
is
available,
without
charge,
by
visiting
columbiathreadneedleus.com/etfs
or
searching
the
website
of
the
Securities
and
Exchange
Commission
(the
SEC)
at
sec.gov.
Quarterly
schedule
of
investments
The
Fund
files
a
complete
schedule
of
portfolio
holdings
with
the
SEC
for
the
first
and
third
quarters
of
each
fiscal
year
on
Form
N-PORT.
The
Fund’s
Form
N-PORTs
are
available
on
the
SEC's
website
at
sec.gov.
The
Fund's
complete
schedule
of
portfolio
holdings,
as
filed
on
Form
N-PORT,
can
also
be
obtained
without
charge,
upon
request,
by
calling
888.800.4347.
Additional
Fund
information
For
more
information
about
the
Fund,
please
visit
columbiathreadneedleus.com/etfs
or
call
888.800.4347.
Premium/discount
information
for
the
Fund
covering
the
most
recently
completed
calendar
year
and
the
most
recently
completed
calendar
quarters
since
that
year
(or
since
the
Fund
began
trading,
if
shorter)
is
publicly
accessible,
free
of
charge,
at
columbiathreadneedleus.com/etfs.
Fund
investment
manager
Columbia
Management
Investment
Advisers,
LLC
(the
Investment
Manager)
290
Congress
Street
Boston,
MA
02210
Fund
distributor
ALPS
Distributors,
Inc.
1290
Broadway
Suite
1000
Denver,
CO
80203
ALPS
Distributors,
Inc.
is
not
affiliated
with
Columbia
Management
Investment
Advisers,
LLC.
Fund
administrator,
custodian
&
transfer
agent
The
Bank
of
New
York
Mellon
Corp.
240
Greenwich
Street
New
York,
NY
10286
The
Bank
of
New
York
Mellon
Corp.
is
not
affiliated
with
Columbia
Management
Investment
Advisers,
LLC.
FUND
AT
A
GLANCE
Columbia
Diversified
Fixed
Income
Allocation
ETF
Strategic
Beta
ETFs
|
Annual
Report
2021
3
Portfolio
management
Gene
Tannuzzo,
CFA
Lead
Portfolio
Manager
Managed
Fund
since
2017
David
Janssen,
CFA
Portfolio
Manager
Managed
Fund
since
2017
Investment
objective
The
Fund
seeks
investment
results
that,
before
fees
and
expenses,
closely
correspond
to
the
performance
of
the
Beta
Advantage®
Multi-Sector
Bond
Index.
All
results
shown
assume
reinvestment
of
distributions
during
the
period.
Returns
do
not
reflect
the
deduction
of
taxes
that
a
shareholder
may
pay
on
Fund
distributions
or
on
the
redemption
of
Fund
shares.
Performance
results
reflect
the
effect
of
any
fee
waivers
or
reimbursements
of
Fund
expenses
by
Columbia
Management
Investment
Advisers,
LLC
and/or
any
of
its
affiliates.
Absent
these
fee
waivers
or
expense
reimbursement
arrangements,
performance
results
would
have
been
lower.
The
performance
information
shown
represents
past
performance
and
is
not
a
guarantee
of
future
results.
The
investment
return
and
principal
value
of
your
investment
will
fluctuate
so
that
your
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
information
shown.
You
may
obtain
performance
information
current
to
the
most
recent
month-end
by
visiting
columbiathreadneedleus.com/etfs.
Through
July
31,
2020,
Market
Price
returns
are
based
on
the
midpoint
of
the
bid/ask
spread
for
Fund
shares
at
market
close
(typically
4
pm
ET).
Beginning
with
August
31,
2020
month-end
performance,
Market
Price
returns
are
based
on
closing
prices
reported
by
the
Fund's
primary
listing
exchange
(typically
4
pm
ET
close).
These
returns
do
not
represent
the
returns
an
investor
would
receive
if
shares
were
traded
at
other
times.
The
Fund’s
shares
may
trade
above
or
below
their
net
asset
value.
The
net
asset
value
of
the
Fund
will
generally
fluctuate
with
changes
in
the
market
value
of
the
Fund’s
holdings.
The
market
prices
of
shares,
however,
will
generally
fluctuate
in
accordance
with
changes
in
net
asset
value
as
well
as
the
relative
supply
of,
and
demand
for,
shares
on
the
exchange.
The
trading
price
of
shares
may
deviate
significantly
from
the
net
asset
value.
The
Beta
Advantage
®
Multi-Sector
Bond
Index
is
a
rules-based
multi-sector
strategic
beta
approach
to
measuring
the
performance
of
the
debt
market
through
representation
of
six
sectors,
each
focused
on
yield,
quality,
and
liquidity
of
the
particular
eligible
universe.
The
index
will
have
exposure
to
the
following
six
sectors
of
the
debt
market:
U.S.
Treasury
securities;
global
ex-U.S.
treasury
securities;
U.S.
agency
mortgage-backed
securities;
U.S.
corporate
investment-grade
bonds;
U.S.
corporate
high-yield
bonds;
and
emerging
markets
sovereign
debt.
The
Fund
uses
a
representative
approach
which
will
result
in
the
Fund
holding
a
smaller
number
of
securities
than
are
in
the
underlying
index.
The
Bloomberg
U.S.
Aggregate
Bond
Index
is
a
broad-based
benchmark
that
measures
the
investment
grade,
U.S.
dollar-denominated,
fixed-rate
taxable
bond
market,
including
Treasuries,
government-related
and
corporate
securities,
mortgage-backed
securities
(agency
fixed-rate
and
hybrid
adjustable-rate
mortgage
passthroughs),
asset-backed
securities,
and
commercial
mortgage-backed
securities.
Effective
August
24,
2021,
the
Bloomberg
Barclays
U.S.
Aggregate
Bond
Index
was
re-branded
as
the
Bloomberg
U.S.
Aggregate
Bond
Index.
Indices
are
not
available
for
investment,
are
not
professionally
managed
and
do
not
reflect
sales
charges,
fees,
brokerage
commissions,
taxes
or
other
expenses
of
investing.
Securities
in
the
Fund
may
not
match
those
in
an
index.
Fund
performance
may
be
significantly
negatively
impacted
by
the
economic
impact
of
the
COVID-19
pandemic.
The
COVID-19
pandemic
has
adversely
impacted
economies
and
capital
markets
around
the
world
in
ways
that
will
likely
continue
and
may
change
in
unforeseen
ways
for
an
indeterminate
period.
The
COVID-19
pandemic
may
exacerbate
pre-existing
political,
social
and
economic
risks
in
certain
countries
and
globally.
Average
annual
total
returns
(%)
(for
period
ended
October
31,
2021)
Inception
1
Year
Life
Market
Price
10/12/17
1.97
4.64
Net
Asset
Value
10/12/17
2.16
4.62
{
Beta
Advantage®
}
Multi-Sector
Bond
Index
2.36
4.84
Bloomberg
U.S.
Aggregate
Bond
Index
-0.48
3.61
FUND
AT
A
GLANCE
(continued)
Columbia
Diversified
Fixed
Income
Allocation
ETF
4
Strategic
Beta
ETFs
|
Annual
Report
2021
Performance
of
a
hypothetical
$10,000
investment
(October
12,
2017
—
October
31,
2021)
The
chart
above
shows
the
change
in
value
of
a
hypothetical
$10,000
investment
made
on
the
Fund’s
inception,
and
does
not
reflect
the
deduction
of
taxes
or
brokerage
commissions
that
a
shareholder
may
pay
on
Fund
distributions
or
on
the
redemption
of
Fund
shares.
For
Illustrative
purposes
only.
There
is
no
guarantee
similar
results
can
be
achieved.
Quality
breakdown
(%)
(at
October
31,
2021)
AAA
rating
35.6
AA
rating
2.1
A
rating
1.4
BBB
rating
24.7
BB
rating
23.8
B
rating
11.6
Not
rated
0.8
Total
100.0
Percentages
indicated
are
based
upon
total
fixed
income
investments.
Bond
ratings
apply
to
the
underlying
holdings
of
the
Fund
and
not
the
Fund
itself
and
are
divided
into
categories
ranging
from
highest
to
lowest
credit
quality,
determined
by
using
the
middle
rating
of
Moody's,
S&P
and
Fitch,
after
dropping
the
highest
and
lowest
available
ratings.
When
ratings
are
available
from
only
two
rating
agencies,
the
lower
rating
is
used.
When
a
rating
is
available
from
only
one
agency,
that
rating
is
used.
If
a
security
is
not
rated
but
has
a
rating
by
Kroll
and/or
DBRS,
the
same
methodology
is
applied
to
those
bonds
that
would
otherwise
be
not
rated.
When
a
bond
is
not
rated
by
any
rating
agency,
it
is
designated
as
"Not
rated."
Credit
quality
ratings
assigned
by
a
rating
agency
are
subjective
opinions,
not
statements
of
fact,
and
are
subject
to
change,
including
daily.
The
ratings
assigned
by
credit
rating
agencies
are
but
one
of
the
considerations
that
the
Investment
Manager
and/
or
Fund's
subadviser
incorporates
into
its
credit
analysis
process,
along
with
such
other
issuer-specific
factors
as
cash
flows,
capital
structure
and
leverage
ratios,
ability
to
de-leverage
(repay)
through
free
cash
flow,
quality
of
management,
market
positioning
and
access
to
capital,
as
well
as
such
security-specific
factors
as
the
terms
of
the
security
(e.g.,
interest
rate
and
time
to
maturity)
and
the
amount
and
type
of
any
collateral.
Portfolio
breakdown
(%)
(at
October
31,
2021
)
Corporate
Bonds
45.1
Foreign
Government
Obligations
20.9
U.S.
Government
&
Agency
Obligations
13.3
U.S.
Treasury
Obligations
15.4
Money
Market
Fund
5.3
Total
Investments
100.0
Percentages
indicated
are
based
upon
total
investments.
The
Fund’s
portfolio
composition
is
subject
to
change.
MANAGER
DISCUSSION
OF
FUND
PERFORMANCE
Strategic
Beta
ETFs
|
Annual
Report
2021
5
For
the
12-month
period
that
ended
October
31,
2021,
the
Fund
returned
2.16%
based
on
net
asset
value
(NAV)
and
1.97%
based
on
market
price.
The
Beta
Advantage
®
Multi-Sector
Bond
Index
(the
Index),
against
which
the
performance
of
the
Fund
is
measured,
returned
2.36%
during
the
same
period.
To
compare,
the
Bloomberg
U.S.
Aggregate
Bond
Index
returned
-0.48%
for
the
same
period.
The
Fund
had
a
NAV
of
$21.36
on
October
31,
2020
and
ended
the
annual
period
on
October
31,
2021
with
a
NAV
of
$21.29.
The
Fund’s
market
price
on
October
31,
2021
was
$21.31
per
share.
Market
overview
As
the
annual
period
began
in
the
last
two
months
of
2020,
fixed
income
market
performance
was
mixed,
with
most
spread,
or
non-government
bond,
sectors
outperforming
U.S.
Treasuries.
Market
sentiment
lifted
following
encouraging
efficacy
results
for
several
COVID-19
vaccines.
Risk
sentiment
was
bolstered
by
the
resolution
of
the
U.S.
presidential
election
and
another
round
of
fiscal
stimulus
provided
by
the
U.S.
government.
The
U.S.
Federal
Reserve
(Fed)
stated
it
would
continue
to
increase
its
asset
holdings
“until
substantial
further
progress
has
been
made
toward
the
Committee’s
maximum
employment
and
price
stability
goals.”
The
bond
market
then
retreated
in
the
first
quarter
of
2021,
as
rising
longer-term
interest
rates
proved
a
headwind
to
performance.
(There
is
generally
an
inverse
relationship
between
bond
prices
and
yield
movements,
so
that
bond
prices
rise
when
yields
decrease
and
vice
versa.)
The
rollout
of
multiple
COVID-19
vaccines
increased
confidence
that
relatively
normal
economic
activity
would
soon
resume.
However,
against
a
backdrop
of
rising
commodity
prices,
fears
rose
that
the
Fed
would
feel
compelled
to
move
up
the
timeline
for
tightening
monetary
policy
to
stave
off
higher
inflation.
In
March,
Fed
Chair
Powell
sought
to
ease
concerns
by
stating
economic
recovery
was
far
from
complete.
For
the
quarter,
returns
for
longer
maturity
U.S.
Treasuries
were
in
sharply
negative
territory.
Corporate
bonds
also
posted
negative
returns,
affected
by
rising
interest
rates.
Securitized
assets
held
up
better
given
their
lower
interest
rate
sensitivity
but
still
finished
with
a
modest
negative
return.
High-yield
corporate
bonds,
primarily
driven
by
credit
sentiment,
eked
out
a
modestly
positive
return
for
the
quarter.
The
bond
market
then
stabilized
during
the
second
quarter.
Economic
data
suggested
that
growth,
while
remaining
healthy,
may
ease
in
the
latter
half
of
2021,
which
removed
some
of
the
upward
pressure
on
inflation
and
interest
rates.
In
addition,
the
Fed
affirmed
its
intention
to
keep
short-term
interest
rates
near
zero
for
several
more
quarters,
while
signaling
it
could
begin
to
taper
its
bond
purchases
by
year
end.
Against
this
backdrop,
the
yield
on
the
10-year
U.S.
Treasury,
which
is
often
used
as
a
barometer
of
growth
and
inflation
expectations,
fell.
In
turn,
returns
for
longer
maturity
U.S.
Treasuries
were
notably
positive.
Corporate
bonds,
both
investment
grade
and
high
yield,
outperformed
U.S.
Treasuries,
supported
by
declining
U.S.
Treasury
yields
and
firm
credit
sentiment
given
strong
company
earnings.
Returns
for
securitized
assets
were
marginally
positive
for
the
quarter.
Bond
market
sentiment
then
wavered
in
the
third
quarter
of
2021
as
investors
began
to
factor
in
a
less
favorable
interest
rate
regime
on
the
part
of
the
Fed.
This
occurred
against
a
backdrop
of
exceptionally
strong
economic
growth
and
the
highest
inflation
in
decades,
which
was
driven
in
part
by
ongoing
post-pandemic
global
supply-chain
bottlenecks.
Signaling
around
a
shift
in
Fed
policy
towards
tapering
down
its
bond
purchases
before
calendar
year-end
and
the
start
of
increasing
short-term
interest
rates
as
soon
as
late
2022,
which
would
be
earlier
than
anticipated,
led
to
rising
yields
for
longer
term
U.S.
Treasuries
in
September.
Overall,
the
U.S.
fixed-income
market
was
essentially
flat
for
the
third
quarter,
with
returns
hovering
around
zero
for
U.S.
Treasuries,
corporate
bonds
and
securitized
assets
alike.
High-yield
corporate
bonds
posted
slightly
higher,
but
still
modest
returns
for
the
quarter.
October
saw
a
significant
increase
in
volatility
in
fixed-income
markets.
Increasingly,
high
energy
prices
and
ongoing
disruptions
in
the
global
supply
chain
caused
investors
to
focus
on
the
possibility
of
longer-term
inflationary
pressures.
Markets
priced
in
a
faster
pace
of
tightening
from
central
banks,
which
caused
the
gap
between
short-term
and
long-term
bond
yields
to
narrow
significantly.
The
U.S.
fixed-income
market
posted
modestly
negative
returns
for
the
month,
with
investment-grade
corporate
bonds
and
Treasury
inflation
protected
securities
among
the
only
sectors
to
generate
positive
returns
in
October.
The
Fund’s
notable
detractors
during
the
period
Of
the
six
sectors
in
which
the
Fund
invests,
Index
constituents
in
U.S.
Treasuries,
global
non-U.S.
dollar-denominated
sovereign
debt
and
U.S.
agency
mortgage-backed
securities
detracted
from
the
Index’s
results
relative
to
the
Bloomberg
U.S.
Aggregate
Bond
Index
during
the
annual
period.
MANAGER
DISCUSSION
OF
FUND
PERFORMANCE
(continued)
6
Strategic
Beta
ETFs
|
Annual
Report
2021
The
Fund
had
a
weighted
average
duration
of
6.96
years,
a
weighted
average
maturity
of
8.66
years,
a
weighted
average
yield
to
maturity
of
2.78%
and
a
weighted
average
coupon
of
3.53%
as
of
October
31,
2021.
The
30-day
SEC
yield
of
the
Fund
at
the
end
of
the
annual
period
was
2.20%.
The
Fund’s
notable
contributors
during
the
period
Of
the
six
sectors
in
which
the
Fund
invests,
Index
constituents
in
U.S.
high-yield
corporate
debt,
emerging
markets
sovereign
and
quasi-sovereign
debt
and
U.S.
investment-grade
corporate
debt
contributed
positively
to
the
Index’s
results
relative
to
the
Bloomberg
U.S.
Aggregate
Bond
Index
during
the
annual
period.
Fixed
income
securities
involve
interest
rate,
credit,
inflation,
illiquidity
and
reinvestment
risks.
Interest
rate
risk
is
the
risk
that
fixed
income
securities
will
decline
in
value
because
of
changes
in
interest
rates.
Generally,
the
value
of
debt
securities
falls
as
interest
rates
rise.
Fixed
income
securities
differ
in
their
sensitivities
to
changes
in
interest
rates.
Fixed
income
securities
with
longer
effective
durations
tend
to
be
more
sensitive
to
changes
in
interest
rates,
usually
making
them
more
volatile
than
securities
with
shorter
effective
durations.
Effective
duration
is
determined
by
a
number
of
factors
including
coupon
rate,
whether
the
coupon
is
fixed
or
floating,
time
to
maturity,
call
or
put
features,
and
various
repayment
features.
Below
investment-grade
securities,
or
“junk
bonds,”
are
more
likely
to
pose
a
credit
risk,
as
the
issuers
of
these
securities
are
more
likely
to
have
problems
making
interest
and
principal
payments
than
issuers
of
higher-rated
securities.
Lower-rated
securities
may
be
more
susceptible
to
real
or
perceived
adverse
economic
and
competitive
industry
conditions
than
higher-grade
securities,
and
prices
of
these
securities
may
be
more
sensitive
to
adverse
economic
downturns
or
individual
corporate
developments.
If
the
issuer
of
the
securities
defaults,
the
ETF
may
incur
additional
expenses
to
seek
recovery.
Generally,
rising
interest
rates
tend
to
extend
the
duration
of
fixed
rate
mortgage-related
securities,
making
them
more
sensitive
to
changes
in
interest
rates.
As
a
result,
in
a
period
of
rising
interest
rates,
if
the
ETF
holds
mortgage-related
securities,
it
may
exhibit
additional
volatility.
In
addition,
adjustable
and
fixed
rate
mortgage-related
securities
are
subject
to
prepayment
risk.
The
Fund
is
passively
managed
and
seeks
to
track
the
performance
of
an
index.
The
Fund’s
use
of
a
“representative
sampling”
approach
in
seeking
to
track
the
performance
of
its
index
(investing
in
only
some
of
the
components
of
the
index
that
collectively
are
believed
to
have
an
investment
profile
similar
to
that
of
the
index)
may
not
allow
the
Fund
to
track
its
index
with
the
same
degree
of
accuracy
as
would
an
investment
vehicle
replicating
the
entire
Index.
In
addition
to
the
multi-sector
bond
strategies
employed,
the
Fund
may
invest
in
other
securities,
including
private
placements.
The
Fund
may
have
portfolio
turnover,
which
may
cause
an
adverse
cost
impact.
There
may
be
additional
portfolio
turnover
risk
as
active
market
trading
of
the
Fund’s
shares
may
cause
more
frequent
creation
or
redemption
activities
that
could,
in
certain
circumstances,
increase
the
number
of
portfolio
transactions
as
well
as
tracking
error
to
the
Index
and
as
high
levels
of
transactions
increase
brokerage
and
other
transaction
costs
and
may
result
in
increased
taxable
capital
gains.
Foreign
currency
risks
involve
risk
of
capital
loss
from
unfavorable
fluctuation
in
currency
values,
from
differences
in
generally
accepted
accounting
principles,
from
economic
or
political
instability
in
other
nations
or
increased
volatility
and
lower
trading
volume.
See
the
Fund’s
prospectus
for
more
information
on
these
and
other
risks.
The
views
expressed
in
this
report
reflect
the
current
views
of
the
respective
parties
who
have
contributed
to
this
report.
These
views
are
not
guarantees
of
future
performance
and
involve
certain
risks,
uncertainties
and
assumptions
that
are
difficult
to
predict,
so
actual
outcomes
and
results
may
differ
significantly
from
the
views
expressed.
These
views
are
subject
to
change
at
any
time
based
upon
economic,
market
or
other
conditions
and
the
respective
parties
disclaim
any
responsibility
to
update
such
views.
These
views
may
not
be
relied
on
as
investment
advice
and,
because
investment
decisions
for
a
Columbia
fund
are
based
on
numerous
factors,
may
not
be
relied
on
as
an
indication
of
trading
intent
on
behalf
of
any
particular
Columbia
fund.
References
to
specific
securities
should
not
be
construed
as
a
recommendation
or
investment
advice.
UNDERSTANDING
YOUR
FUND’S
EXPENSES
(Unaudited)
Strategic
Beta
ETFs
|
Annual
Report
2021
7
As
a
shareholder
of
the
Fund,
you
incur
ongoing
costs,
including
investment
management
fees.
The
following
example
is
intended
to
help
you
understand
your
ongoing
costs
(in
dollars
and
cents)
of
investing
in
the
Fund
and
to
compare
these
costs
with
the
ongoing
costs
of
investing
in
other
funds.
The
examples
are
based
on
an
initial
investment
of
$1,000
invested
at
the
beginning
of
the
period
and
held
for
the
period
ended
October
31,
2021.
Actual
Expenses
The
information
under
each
column
in
the
table
below
entitled
“Actual”
provides
information
about
actual
account
values
and
actual
expenses.
You
may
use
the
information
in
these
columns,
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
$1,000
=
8.6),
then
multiply
the
result
by
the
number
for
your
Fund
under
the
heading
entitled
“Expenses
paid
for
the
period”
to
estimate
the
expenses
you
paid
on
your
account
during
this
period.
Hypothetical
Example
For
Comparison
Purposes
The
information
under
each
column
in
the
table
entitled
“Hypothetical”
provides
information
about
hypothetical
account
values
and
hypothetical
expenses
based
on
the
Fund’s
actual
expense
ratio
and
an
assumed
rate
of
return
of
5%
per
year
before
expenses,
which
is
not
the
Fund’s
actual
return.
The
hypothetical
account
values
and
expenses
may
not
be
used
to
estimate
the
actual
ending
account
balance
or
expenses
you
paid
for
the
period.
You
may
use
this
information
to
compare
the
ongoing
costs
of
investing
in
your
Fund
and
other
funds.
To
do
so,
compare
this
5%
hypothetical
example
with
the
5%
hypothetical
examples
that
appear
in
the
shareholder
reports
of
the
other
funds.
Please
note
that
the
expenses
shown
in
the
table
are
meant
to
highlight
your
ongoing
costs
only
and
do
not
reflect
any
transactional
costs,
such
as
brokerage
commissions
paid
on
purchases
and
sales
of
Fund
shares.
Therefore,
the
ending
account
values
and
expenses
paid
for
the
period
in
the
table
is
useful
in
comparing
ongoing
Fund
costs
only
and
will
not
help
you
determine
the
relative
total
costs
of
owning
different
funds.
In
addition,
if
these
transactional
costs
were
included,
your
costs
would
have
been
higher.
Expenses
are
calculated
using
the
Fund’s
annualized
expense
ratio,
multiplied
by
the
average
account
value
over
the
period,
then
multiplied
by
the
number
of
days
in
the
Fund’s
most
recent
fiscal
half-year
and
divided
by
365.
Expenses
do
not
include
fees
and
expenses
incurred
indirectly
by
the
Fund
from
its
investment
in
underlying
funds,
including
affiliated
and
non-affiliated
pooled
investment
vehicles,
such
as
mutual
funds
and
exchange-traded
funds.
May
1,
2021
—
October
31,
2021
Beginning
account
value
($)
Ending
account
value
($)
Expense
paid
for
the
period
($)
Annualized
expense
ratios
for
the
period
(%)
Actual
Hypothetical
Actual
Hypothetical
Actual
Hypothetical
Actual
Columbia
Diversified
Fixed
Income
Allocation
ETF
1,000.00
1,000.00
1,010.20
1,023.79
1.42
1.43
0.28
PORTFOLIO
OF
INVESTMENTS
October
31,
2021
(Percentages
represent
value
of
investments
compared
to
net
assets)
Investments
in
Securities
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
8
Strategic
Beta
ETFs
|
Annual
Report
2021
Corporate
Bonds
  50.8%
Issue
Description
Principal
Amount
($)
Value
($)
Aerospace
&
Defense
1.3%
Arconic
Corp.
6.125%,
02/15/28
(a)
1,000,000‌
1,055,046‌
Boeing
Co.
(The)
5.040%,
05/01/27
440,000‌
499,917‌
5.150%,
05/01/30
1,820,000‌
2,124,018‌
Howmet
Aerospace,
Inc.
6.875%,
05/01/25
1,214,000‌
1,407,732‌
Huntington
Ingalls
Industries,
Inc.
3.483%,
12/01/27
200,000‌
213,270‌
L3Harris
Technologies,
Inc.
3.850%,
12/15/26
158,000‌
173,431‌
4.400%,
06/15/28
400,000‌
456,177‌
Northrop
Grumman
Corp.
3.250%,
01/15/28
719,000‌
774,039‌
Oshkosh
Corp.
3.100%,
03/01/30
504,000‌
525,550‌
Rolls-Royce
PLC
5.750%,
10/15/27
(a)
700,000‌
777,224‌
Spirit
AeroSystems,
Inc.
7.500%,
04/15/25
(a)
1,139,000‌
1,202,622‌
Teledyne
Technologies,
Inc.
2.750%,
04/01/31
500,000‌
510,113‌
Textron,
Inc.
3.000%,
06/01/30
462,000‌
481,790‌
3.900%,
09/17/29
12,000‌
13,287‌
TransDigm,
Inc.
6.250%,
03/15/26
(a)
3,566,000‌
3,724,830‌
8.000%,
12/15/25
(a)
1,414,000‌
1,503,974‌
Total
15,443,020‌
Airlines
1.4%
American
Airlines,
Inc.
11.750%,
07/15/25
(a)
2,018,000‌
2,499,875‌
American
Airlines,
Inc./AAdvantage
Loyalty
IP
Ltd.
5.500%,
04/20/26
(a)
1,580,000‌
1,656,890‌
5.750%,
04/20/29
(a)
2,040,000‌
2,195,732‌
Delta
Air
Lines,
Inc.
2.900%,
10/28/24
100,000‌
102,044‌
3.625%,
03/15/22
768,000‌
772,926‌
3.750%,
10/28/29
1,140,000‌
1,157,200‌
7.375%,
01/15/26
440,000‌
517,282‌
Hawaiian
Brand
Intellectual
Property
Ltd.
/
HawaiianMiles
Loyalty
Ltd.
5.750%,
01/20/26
(a)
1,400,000‌
1,470,000‌
Southwest
Airlines
Co.
2.625%,
02/10/30
513,000‌
518,630‌
5.125%,
06/15/27
623,000‌
718,757‌
Spirit
Loyalty
Cayman
Ltd.
/
Spirit
IP
Cayman
Ltd.
8.000%,
09/20/25
(a)
409,000‌
457,862‌
United
Airlines,
Inc.
4.375%,
04/15/26
(a)
1,980,000‌
2,050,140‌
4.625%,
04/15/29
(a)
2,360,000‌
2,433,721‌
Total
16,551,059‌
Apartment
REIT
0.1%
American
Homes
4
Rent
LP
4.900%,
02/15/29
342,000‌
397,758‌
Essex
Portfolio
LP
3.000%,
01/15/30
218,000‌
228,778‌
Invitation
Homes
Operating
Partnership
LP
2.000%,
08/15/31
500,000‌
474,228‌
Mid-America
Apartments
LP
3.950%,
03/15/29
140,000‌
157,529‌
Corporate
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
UDR,
Inc.
3.000%,
08/15/31
240,000‌
249,461‌
Series
MTN,
3.200%,
01/15/30
220,000‌
234,827‌
Total
1,742,581‌
Automotive
0.9%
Allison
Transmission,
Inc.
3.750%,
01/30/31
(a)
1,140,000‌
1,095,619‌
Aptiv
PLC
4.350%,
03/15/29
100,000‌
113,912‌
BorgWarner,
Inc.
2.650%,
07/01/27
200,000‌
208,128‌
Clarios
Global
LP
/
Clarios
US
Finance
Co.
6.250%,
05/15/26
(a)
581,000‌
607,903‌
Ford
Motor
Co.
4.346%,
12/08/26
55,000‌
58,841‌
8.500%,
04/21/23
2,207,000‌
2,418,426‌
9.000%,
04/22/25
3,439,000‌
4,135,783‌
General
Motors
Co.
6.800%,
10/01/27
360,000‌
443,603‌
General
Motors
Financial
Co.,
Inc.
3.600%,
06/21/30
504,000‌
535,809‌
4.350%,
04/09/25
140,000‌
152,178‌
Goodyear
Tire
&
Rubber
Co.
(The)
5.000%,
07/15/29
(a)
725,000‌
764,668‌
Lear
Corp.
4.250%,
05/15/29
100,000‌
111,681‌
Total
10,646,551‌
Banking
1.5%
Ally
Financial,
Inc.
5.750%,
11/20/25
1,267,000‌
1,437,265‌
Banco
Santander
SA
2.749%,
12/03/30
400,000‌
393,706‌
Bank
of
America
Corp.
2.482%,
(US
5
Year
CMT
T-Note
+
1.200%),
09/21/36
(b)
800,000‌
777,722‌
Bank
of
Montreal
3.803%,
(USD
5
Year
Swap
+
1.432%),
12/15/32
(b)
375,000‌
404,840‌
Barclays
PLC
4.836%,
05/09/28
700,000‌
779,850‌
4.972%,
(3-month
USD
LIBOR
+
1.902%),
05/16/29
(b)
250,000‌
288,540‌
Capital
One
Financial
Corp.
3.750%,
07/28/26
64,000‌
69,183‌
3.800%,
01/31/28
430,000‌
474,306‌
Citizens
Financial
Group,
Inc.
2.638%,
09/30/32
414,000‌
413,818‌
3.250%,
04/30/30
100,000‌
106,547‌
Deutsche
Bank
AG
4.500%,
04/01/25
500,000‌
536,035‌
Deutsche
Bank
AG/New
York
NY
3.035%,
(SOFRRATE
+
1.718%),
05/28/32
(b)
750,000‌
756,439‌
3.547%,
(SOFRRATE
+
3.043%),
09/18/31
(b)
300,000‌
317,547‌
3.729%,
(SOFRRATE
+
2.757%),
01/14/32
(b)
1,400,000‌
1,435,945‌
4.875%,
12/01/32
200,000‌
217,424‌
Discover
Bank
Series
BKNT,
4.650%,
09/13/28
400,000‌
461,542‌
PORTFOLIO
OF
INVESTMENTS
(continued)
October
31,
2021
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
Strategic
Beta
ETFs
|
Annual
Report
2021
9
Corporate
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Fifth
Third
Bancorp
2.550%,
05/05/27
672,000‌
697,205‌
Intesa
Sanpaolo
SpA
5.710%,
01/15/26
(a)
1,075,000‌
1,193,692‌
KeyCorp
Series
MTN,
2.250%,
04/06/27
738,000‌
754,718‌
Series
MTN,
2.550%,
10/01/29
242,000‌
249,582‌
Morgan
Stanley
2.484%,
(SOFRRATE
+
1.360%),
09/16/36
(b)
600,000‌
583,542‌
NatWest
Group
PLC
4.445%,
(3-month
USD
LIBOR
+
1.871%),
05/08/30
(b)
500,000‌
566,884‌
4.892%,
(3-month
USD
LIBOR
+
1.754%),
05/18/29
(b)
200,000‌
230,712‌
Santander
Holdings
USA,
Inc.
4.400%,
07/13/27
557,000‌
619,812‌
Sumitomo
Mitsui
Financial
Group,
Inc.
2.142%,
09/23/30
168,000‌
161,388‌
3.202%,
09/17/29
90,000‌
94,207‌
SVB
Financial
Group
3.125%,
06/05/30
200,000‌
212,253‌
Synchrony
Financial
5.150%,
03/19/29
265,000‌
308,628‌
UniCredit
SpA
5.459%,
06/30/35
(a)
2,100,000‌
2,298,730‌
7.296%,
04/02/34
(a)
800,000‌
961,660‌
Westpac
Banking
Corp.
2.668%,
11/15/35
339,000‌
330,706‌
4.110%,
07/24/34
160,000‌
173,022‌
Series
GMTN,
4.322%,
(USD
5
Year
Swap
+
2.236%),
11/23/31
(b)
150,000‌
163,425‌
Total
18,470,875‌
Brokerage/Asset
Managers/Exchanges
0.6%
Affiliated
Managers
Group,
Inc.
3.300%,
06/15/30
100,000‌
106,499‌
CI
Financial
Corp.
3.200%,
12/17/30
440,000‌
450,711‌
Coinbase
Global,
Inc.
3.375%,
10/01/28
(a)
600,000‌
578,250‌
3.625%,
10/01/31
(a)
450,000‌
428,782‌
Intercontinental
Exchange,
Inc.
1.850%,
09/15/32
143,000‌
134,368‌
2.100%,
06/15/30
964,000‌
951,073‌
Jefferies
Finance
LLC
/
JFIN
Co.-Issuer
Corp.
5.000%,
08/15/28
(a)
1,000,000‌
1,014,288‌
Jefferies
Group
LLC
2.750%,
10/15/32
150,000‌
148,655‌
Jefferies
Group
LLC
/
Jefferies
Group
Capital
Finance,
Inc.
4.850%,
01/15/27
278,000‌
318,289‌
Lazard
Group
LLC
4.375%,
03/11/29
424,000‌
479,049‌
LPL
Holdings,
Inc.
4.000%,
03/15/29
(a)
1,120,000‌
1,145,313‌
Nasdaq,
Inc.
1.650%,
01/15/31
480,000‌
449,065‌
Nomura
Holdings,
Inc.
2.679%,
07/16/30
200,000‌
200,257‌
3.103%,
01/16/30
200,000‌
206,446‌
Raymond
James
Financial,
Inc.
4.650%,
04/01/30
404,000‌
474,780‌
Corporate
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Stifel
Financial
Corp.
4.000%,
05/15/30
180,000‌
198,791‌
Total
7,284,616‌
Building
Materials
0.4%
Builders
FirstSource,
Inc.
4.250%,
02/01/32
(a)
747,000‌
753,689‌
Fortune
Brands
Home
&
Security,
Inc.
3.250%,
09/15/29
180,000‌
193,150‌
Martin
Marietta
Materials,
Inc.
2.400%,
07/15/31
500,000‌
499,234‌
3.500%,
12/15/27
230,000‌
249,474‌
Masco
Corp.
2.000%,
02/15/31
380,000‌
365,184‌
Owens
Corning
3.875%,
06/01/30
200,000‌
219,413‌
Standard
Industries,
Inc.
3.375%,
01/15/31
(a)
939,000‌
871,376‌
4.375%,
07/15/30
(a)
925,000‌
928,260‌
Vulcan
Materials
Co.
3.500%,
06/01/30
216,000‌
235,360‌
Total
4,315,140‌
Cable
and
Satellite
1.9%
Altice
Financing
SA
5.000%,
01/15/28
(a)
2,400,000‌
2,312,040‌
CCO
Holdings
LLC
/
CCO
Holdings
Capital
Corp.
4.750%,
03/01/30
(a)
3,450,000‌
3,566,021‌
5.125%,
05/01/27
(a)
2,538,000‌
2,632,919‌
Charter
Communications
Operating
LLC
/
Charter
Communications
Operating
Capital
2.800%,
04/01/31
814,000‌
810,009‌
4.200%,
03/15/28
418,000‌
464,670‌
Connect
Finco
SARL
/
Connect
US
Finco
LLC
6.750%,
10/01/26
(a)
1,800,000‌
1,866,423‌
CSC
Holdings
LLC
4.500%,
11/15/31
(a)
2,000,000‌
1,940,569‌
6.500%,
02/01/29
(a)
1,050,000‌
1,125,659‌
LCPR
Senior
Secured
Financing
DAC
6.750%,
10/15/27
(a)
950,000‌
1,002,352‌
Radiate
Holdco
LLC
/
Radiate
Finance,
Inc.
4.500%,
09/15/26
(a)
830,000‌
843,469‌
Sirius
XM
Radio,
Inc.
5.000%,
08/01/27
(a)
2,845,000‌
2,973,092‌
Telenet
Finance
Luxembourg
Notes
Sarl
5.500%,
03/01/28
(a)
200,000‌
208,568‌
UPC
Broadband
Finco
BV
4.875%,
07/15/31
(a)
1,600,000‌
1,627,193‌
Virgin
Media
Secured
Finance
PLC
5.500%,
05/15/29
(a)
1,100,000‌
1,158,900‌
Ziggo
BV
4.875%,
01/15/30
(a)
1,000,000‌
1,015,693‌
Total
23,547,577‌
Chemicals
0.3%
Avantor
Funding,
Inc.
4.625%,
07/15/28
(a)
1,000,000‌
1,037,599‌
Cabot
Corp.
4.000%,
07/01/29
180,000‌
195,467‌
Dow
Chemical
Co.
(The)
2.100%,
11/15/30
160,000‌
157,330‌
4.800%,
11/30/28
245,000‌
288,086‌
DuPont
de
Nemours,
Inc.
4.725%,
11/15/28
666,000‌
778,011‌
PORTFOLIO
OF
INVESTMENTS
(continued)
October
31,
2021
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
10
Strategic
Beta
ETFs
|
Annual
Report
2021
Corporate
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
FMC
Corp.
3.450%,
10/01/29
310,000‌
333,653‌
Huntsman
International
LLC
2.950%,
06/15/31
50,000‌
51,027‌
LYB
International
Finance
III
LLC
2.250%,
10/01/30
100,000‌
99,477‌
NewMarket
Corp.
2.700%,
03/18/31
100,000‌
99,226‌
Nutrien
Ltd.
2.950%,
05/13/30
160,000‌
168,164‌
4.200%,
04/01/29
322,000‌
365,165‌
RPM
International,
Inc.
4.550%,
03/01/29
140,000‌
159,538‌
Sherwin-Williams
Co.
(The)
2.950%,
08/15/29
390,000‌
412,483‌
Westlake
Chemical
Corp.
3.375%,
06/15/30
114,000‌
121,873‌
Total
4,267,099‌
Construction
Machinery
0.4%
H&E
Equipment
Services,
Inc.
3.875%,
12/15/28
(a)
1,120,000‌
1,115,796‌
SRM
Escrow
Issuer
LLC
6.000%,
11/01/28
(a)
1,154,000‌
1,202,144‌
United
Rentals
North
America,
Inc.
3.875%,
02/15/31
1,060,000‌
1,067,342‌
4.875%,
01/15/28
1,299,000‌
1,371,747‌
Total
4,757,029‌
Consumer
Cyclical
Services
0.9%
Allied
Universal
Holdco
LLC
/
Allied
Universal
Finance
Corp.
6.625%,
07/15/26
(a)
357,000‌
375,456‌
Allied
Universal
Holdco
LLC/Allied
Universal
Finance
Corp./Atlas
Luxco
4
Sarl
4.625%,
06/01/28
(a)
3,000,000‌
2,977,010‌
Compass
Group
Diversified
Holdings
LLC
5.250%,
04/15/29
(a)
900,000‌
935,795‌
eBay,
Inc.
2.600%,
05/10/31
480,000‌
485,580‌
2.700%,
03/11/30
50,000‌
51,346‌
Expedia
Group,
Inc.
2.950%,
03/15/31
50,000‌
50,445‌
3.250%,
02/15/30
100,000‌
102,943‌
4.625%,
08/01/27
504,000‌
564,540‌
IHS
Markit
Ltd.
4.250%,
05/01/29
1,126,000‌
1,284,155‌
Prime
Security
Services
Borrower
LLC
/
Prime
Finance,
Inc.
3.375%,
08/31/27
(a)
1,492,000‌
1,429,914‌
5.750%,
04/15/26
(a)
1,234,000‌
1,319,720‌
Service
Corp
International
3.375%,
08/15/30
600,000‌
590,833‌
Staples,
Inc.
7.500%,
04/15/26
(a)
1,373,000‌
1,390,484‌
Total
11,558,221‌
Consumer
Products
0.3%
Clorox
Co.
(The)
3.900%,
05/15/28
100,000‌
112,331‌
Hasbro,
Inc.
3.550%,
11/19/26
100,000‌
107,794‌
3.900%,
11/19/29
376,000‌
412,776‌
Newell
Brands,
Inc.
4.700%,
04/01/26
2,059,000‌
2,255,446‌
Corporate
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Whirlpool
Corp.
2.400%,
05/15/31
380,000‌
379,577‌
4.750%,
02/26/29
63,000‌
73,197‌
Total
3,341,121‌
Diversified
Manufacturing
0.8%
Carlisle
Cos.,
Inc.
3.750%,
12/01/27
260,000‌
283,527‌
Carrier
Global
Corp.
2.722%,
02/15/30
1,130,000‌
1,159,412‌
Flowserve
Corp.
3.500%,
10/01/30
128,000‌
133,916‌
General
Electric
Co.
3.625%,
05/01/30
820,000‌
918,169‌
Griffon
Corp.
5.750%,
03/01/28
760,000‌
794,712‌
Johnson
Controls
International
PLC
3.900%,
02/14/26
73,000‌
79,631‌
Raytheon
Technologies
Corp.
4.125%,
11/16/28
1,028,000‌
1,165,027‌
Roper
Technologies,
Inc.
3.800%,
12/15/26
185,000‌
202,872‌
TK
Elevator
US
Newco,
Inc.
5.250%,
07/15/27
(a)
1,150,000‌
1,172,164‌
Trane
Technologies
Luxembourg
Finance
SA
3.800%,
03/21/29
218,000‌
241,212‌
WESCO
Distribution,
Inc.
7.125%,
06/15/25
(a)
800,000‌
851,081‌
7.250%,
06/15/28
(a)
1,717,000‌
1,895,606‌
Westinghouse
Air
Brake
Technologies
Corp.
4.950%,
09/15/28
584,000‌
670,284‌
Xylem,
Inc.
2.250%,
01/30/31
160,000‌
159,703‌
Total
9,727,316‌
Electric
1.9%
AES
Corp.
(The)
2.450%,
01/15/31
500,000‌
489,992‌
Ameren
Corp.
3.500%,
01/15/31
160,000‌
173,601‌
American
Electric
Power
Co.,
Inc.
Series
J,
4.300%,
12/01/28
495,000‌
559,773‌
Avangrid,
Inc.
3.800%,
06/01/29
214,000‌
237,909‌
Calpine
Corp.
4.500%,
02/15/28
(a)
1,065,000‌
1,078,579‌
5.125%,
03/15/28
(a)
1,020,000‌
1,017,457‌
Clearway
Energy
Operating
LLC
3.750%,
02/15/31
(a)
1,880,000‌
1,876,336‌
4.750%,
03/15/28
(a)
580,000‌
613,275‌
CMS
Energy
Corp.
4.750%,
(US
5
Year
CMT
T-Note
+
4.116%),
06/01/50
(b)
240,000‌
267,818‌
Dominion
Energy,
Inc.
Series
C,
2.250%,
08/15/31
500,000‌
493,531‌
Series
C,
3.375%,
04/01/30
92,000‌
98,929‌
4.250%,
06/01/28
268,000‌
302,526‌
DTE
Energy
Co.
Series
C,
3.400%,
06/15/29
451,000‌
484,794‌
Duke
Energy
Corp.
2.450%,
06/01/30
752,000‌
754,344‌
3.150%,
08/15/27
136,000‌
144,820‌
PORTFOLIO
OF
INVESTMENTS
(continued)
October
31,
2021
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
Strategic
Beta
ETFs
|
Annual
Report
2021
11
Corporate
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Edison
International
5.750%,
06/15/27
263,000‌
301,686‌
Entergy
Corp.
2.400%,
06/15/31
380,000‌
374,284‌
Evergy,
Inc.
2.900%,
09/15/29
200,000‌
208,611‌
Eversource
Energy
Series
R,
1.650%,
08/15/30
490,000‌
462,381‌
Exelon
Corp.
4.050%,
04/15/30
240,000‌
270,055‌
FirstEnergy
Corp.
Series
B,
4.400%,
07/15/27
1,720,000‌
1,865,811‌
IPALCO
Enterprises,
Inc.
4.250%,
05/01/30
190,000‌
211,008‌
NextEra
Energy
Capital
Holdings,
Inc.
1.900%,
06/15/28
500,000‌
494,767‌
2.250%,
06/01/30
520,000‌
519,757‌
NRG
Energy,
Inc.
3.625%,
02/15/31
(a)
1,160,000‌
1,129,801‌
3.875%,
02/15/32
(a)
1,000,000‌
979,946‌
Pacific
Gas
and
Electric
Co.
2.500%,
02/01/31
1,330,000‌
1,268,610‌
4.550%,
07/01/30
670,000‌
729,831‌
PG&E
Corp.
5.000%,
07/01/28
584,000‌
607,131‌
5.250%,
07/01/30
1,400,000‌
1,463,126‌
Public
Service
Enterprise
Group,
Inc.
1.600%,
08/15/30
200,000‌
187,295‌
Puget
Energy,
Inc.
4.100%,
06/15/30
240,000‌
263,611‌
Southern
Co.
(The)
Series
A,
3.700%,
04/30/30
540,000‌
586,847‌
Vistra
Operations
Co.
LLC
5.000%,
07/31/27
(a)
770,000‌
788,406‌
5.625%,
02/15/27
(a)
1,202,000‌
1,238,604‌
WEC
Energy
Group,
Inc.
1.800%,
10/15/30
200,000‌
190,884‌
Xcel
Energy,
Inc.
2.600%,
12/01/29
380,000‌
391,690‌
4.000%,
06/15/28
136,000‌
152,331‌
Total
23,280,157‌
Environmental
0.1%
Republic
Services,
Inc.
1.750%,
02/15/32
150,000‌
141,951‌
Waste
Connections,
Inc.
4.250%,
12/01/28
367,000‌
418,812‌
Waste
Management,
Inc.
1.150%,
03/15/28
500,000‌
476,748‌
1.500%,
03/15/31
200,000‌
187,609‌
Total
1,225,120‌
Finance
Companies
1.1%
AerCap
Ireland
Capital
DAC
/
AerCap
Global
Aviation
Trust
3.300%,
01/30/32
2,500,000‌
2,548,533‌
3.650%,
07/21/27
150,000‌
158,810‌
Air
Lease
Corp.
Series
GMTN,
3.750%,
06/01/26
550,000‌
588,623‌
Aircastle
Ltd.
4.250%,
06/15/26
90,000‌
97,555‌
Aon
Corp.
2.800%,
05/15/30
400,000‌
414,659‌
Corporate
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Ares
Capital
Corp.
3.875%,
01/15/26
190,000‌
201,570‌
First
American
Financial
Corp.
4.000%,
05/15/30
80,000‌
87,848‌
Fortress
Transportation
and
Infrastructure
Investors
LLC
6.500%,
10/01/25
(a)
580,000‌
597,011‌
GATX
Corp.
4.700%,
04/01/29
86,000‌
99,133‌
GE
Capital
Funding
LLC
4.400%,
05/15/30
400,000‌
467,879‌
Global
Aircraft
Leasing
Co.
Ltd.
6.500%,
09/15/24
(a),(c)
1,274,837‌
1,237,223‌
Golub
Capital
BDC,
Inc.
2.500%,
08/24/26
120,000‌
119,189‌
Main
Street
Capital
Corp.
3.000%,
07/14/26
80,000‌
80,801‌
Midcap
Financial
Issuer
Trust
6.500%,
05/01/28
(a)
400,000‌
415,833‌
Oaktree
Specialty
Lending
Corp.
2.700%,
01/15/27
150,000‌
148,982‌
OneMain
Finance
Corp.
6.125%,
03/15/24
50,000‌
53,180‌
7.125%,
03/15/26
2,311,000‌
2,624,559‌
Owl
Rock
Capital
Corp.
2.625%,
01/15/27
380,000‌
375,406‌
3.400%,
07/15/26
348,000‌
357,710‌
PartnerRe
Finance
B
LLC
4.500%,
(US
5
Year
CMT
T-Note
+
3.815%),
10/01/50
(b)
120,000‌
128,183‌
Rocket
Mortgage
LLC
5.250%,
01/15/28
(a)
1,020,000‌
1,093,498‌
Rocket
Mortgage
LLC
/
Rocket
Mortgage
Co.-Issuer,
Inc.
3.875%,
03/01/31
(a)
1,281,000‌
1,265,105‌
Sixth
Street
Specialty
Lending,
Inc.
2.500%,
08/01/26
120,000‌
120,518‌
Total
13,281,808‌
Food
and
Beverage
2.1%
Anheuser-Busch
Cos.
LLC
/
Anheuser-Busch
InBev
Worldwide,
Inc.
4.700%,
02/01/36
594,000‌
718,488‌
Anheuser-Busch
InBev
Worldwide,
Inc.
3.500%,
06/01/30
3,000,000‌
3,285,214‌
Aramark
Services,
Inc.
5.000%,
02/01/28
(a)
2,093,000‌
2,149,566‌
B&G
Foods,
Inc.
5.250%,
04/01/25
1,100,000‌
1,125,770‌
Campbell
Soup
Co.
2.375%,
04/24/30
184,000‌
183,952‌
Conagra
Brands,
Inc.
4.850%,
11/01/28
384,000‌
448,142‌
Constellation
Brands,
Inc.
3.150%,
08/01/29
200,000‌
212,460‌
Flowers
Foods,
Inc.
2.400%,
03/15/31
120,000‌
118,609‌
General
Mills,
Inc.
4.200%,
04/17/28
455,000‌
515,163‌
Ingredion,
Inc.
2.900%,
06/01/30
455,000‌
472,735‌
JBS
USA
LUX
SA
/
JBS
USA
Food
Co.
/
JBS
USA
Finance,
Inc.
5.500%,
01/15/30
(a)
1,074,000‌
1,176,030‌
6.500%,
04/15/29
(a)
1,295,000‌
1,437,963‌
PORTFOLIO
OF
INVESTMENTS
(continued)
October
31,
2021
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
12
Strategic
Beta
ETFs
|
Annual
Report
2021
Corporate
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
JM
Smucker
Co.
(The)
2.375%,
03/15/30
120,000‌
121,078‌
Keurig
Dr
Pepper,
Inc.
4.597%,
05/25/28
464,000‌
534,000‌
Kraft
Heinz
Foods
Co.
3.000%,
06/01/26
3,128,000‌
3,262,925‌
Lamb
Weston
Holdings,
Inc.
4.625%,
11/01/24
(a)
877,000‌
898,323‌
4.875%,
11/01/26
(a)
702,000‌
720,078‌
McCormick
&
Co.,
Inc.
1.850%,
02/15/31
45,000‌
43,176‌
2.500%,
04/15/30
532,000‌
540,999‌
Mondelez
International,
Inc.
2.750%,
04/13/30
380,000‌
395,623‌
Performance
Food
Group,
Inc.
5.500%,
10/15/27
(a)
1,117,000‌
1,167,916‌
Pilgrim's
Pride
Corp.
4.250%,
04/15/31
(a)
1,110,000‌
1,171,337‌
5.875%,
09/30/27
(a)
1,020,000‌
1,075,050‌
Post
Holdings,
Inc.
4.500%,
09/15/31
(a)
3,286,000‌
3,225,212‌
Sysco
Corp.
5.950%,
04/01/30
352,000‌
445,935‌
Tyson
Foods,
Inc.
4.350%,
03/01/29
560,000‌
644,229‌
Total
26,089,973‌
Foreign
Agencies
6.3%
CNAC
HK
Finbridge
Co.
Ltd.
4.125%,
07/19/27
1,400,000‌
1,512,456‌
5.125%,
03/14/28
2,200,000‌
2,501,912‌
Comision
Federal
de
Electricidad
Series
REGS,
3.348%,
02/09/31
3,036,000‌
2,933,480‌
DP
World
Crescent
Ltd.
Series
EMTN,
3.875%,
07/18/29
900,000‌
959,279‌
Series
REGS,
4.848%,
09/26/28
3,350,000‌
3,767,556‌
Ecopetrol
SA
5.375%,
06/26/26
1,800,000‌
1,950,689‌
6.875%,
04/29/30
4,076,000‌
4,705,147‌
Equate
Petrochemical
BV
Series
REGS,
2.625%,
04/28/28
4,449,000‌
4,440,351‌
Gazprom
OAO
Via
Gaz
Capital
SA
Series
REGS,
8.625%,
04/28/34
5,284,000‌
7,613,636‌
Gazprom
PJSC
via
Gaz
Finance
PLC
Series
REGS,
2.950%,
01/27/29
200,000‌
195,569‌
Huarong
Finance
2017
Co.
Ltd.
Series
EMTN,
4.250%,
11/07/27
1,700,000‌
1,613,010‌
Huarong
Finance
II
Co.
Ltd.
Series
EMTN,
4.625%,
06/03/26
700,000‌
685,795‌
Indonesia
Asahan
Aluminium
Persero
PT
Series
REGS,
5.450%,
05/15/30
2,300,000‌
2,635,078‌
Series
REGS,
6.530%,
11/15/28
800,000‌
964,867‌
KazMunayGas
National
Co.
JSC
Series
REGS,
4.750%,
04/19/27
1,000,000‌
1,112,357‌
Series
REGS,
5.375%,
04/24/30
3,630,000‌
4,270,264‌
Pertamina
Persero
PT
Series
REGS,
2.300%,
02/09/31
1,115,000‌
1,062,918‌
Series
REGS,
3.650%,
07/30/29
1,600,000‌
1,704,856‌
Perusahaan
Perseroan
Persero
PT
Perusahaan
Listrik
Negara
Series
REGS,
4.125%,
05/15/27
640,000‌
690,532‌
Series
REGS,
5.450%,
05/21/28
2,700,000‌
3,122,655‌
Corporate
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Petrobras
Global
Finance
BV
5.093%,
01/15/30
4,305,000‌
4,394,618‌
5.600%,
01/03/31
4,020,000‌
4,211,501‌
5.999%,
01/27/28
2,301,000‌
2,509,518‌
Petroleos
Mexicanos
6.500%,
03/13/27
5,617,000‌
5,987,723‌
6.840%,
01/23/30
7,207,000‌
7,529,806‌
Power
Finance
Corp.
Ltd.
Series
REGS,
3.950%,
04/23/30
1,230,000‌
1,268,931‌
4.500%,
06/18/29
2,000,000‌
2,131,719‌
Total
76,476,223‌
Gaming
1.2%
Caesars
Entertainment,
Inc.
6.250%,
07/01/25
(a)
2,130,000‌
2,242,066‌
Caesars
Resort
Collection
LLC
/
CRC
Finco,
Inc.
5.750%,
07/01/25
(a)
1,255,000‌
1,318,446‌
GLP
Capital
LP
/
GLP
Financing
II,
Inc.
4.000%,
01/15/30
531,000‌
564,193‌
Las
Vegas
Sands
Corp.
3.900%,
08/08/29
447,000‌
453,089‌
Melco
Resorts
Finance
Ltd.
Series
REGS,
4.875%,
06/06/25
700,000‌
691,574‌
5.375%,
12/04/29
(a)
1,200,000‌
1,181,183‌
MGM
Growth
Properties
Operating
Partnership
LP
/
MGP
Finance
Co.-
Issuer,
Inc.
5.625%,
05/01/24
624,000‌
677,191‌
Sands
China
Ltd.
5.400%,
08/08/28
300,000‌
324,529‌
Scientific
Games
International,
Inc.
5.000%,
10/15/25
(a)
1,165,000‌
1,200,252‌
Studio
City
Finance
Ltd.
5.000%,
01/15/29
(a)
1,000,000‌
905,410‌
VICI
Properties
LP
/
VICI
Note
Co.,
Inc.
4.250%,
12/01/26
(a)
744,000‌
771,040‌
4.625%,
12/01/29
(a)
980,000‌
1,046,547‌
Wynn
Las
Vegas
LLC
/
Wynn
Las
Vegas
Capital
Corp.
5.250%,
05/15/27
(a)
1,040,000‌
1,053,552‌
Wynn
Macau
Ltd.
5.125%,
12/15/29
(a)
900,000‌
811,904‌
5.625%,
08/26/28
(a)
1,000,000‌
921,906‌
Total
14,162,882‌
Health
Care
2.7%
Agilent
Technologies,
Inc.
2.300%,
03/12/31
400,000‌
397,366‌
AmerisourceBergen
Corp.
2.700%,
03/15/31
200,000‌
203,394‌
Becton
Dickinson
and
Co.
1.957%,
02/11/31
300,000‌
290,697‌
3.700%,
06/06/27
19,000‌
20,740‌
Boston
Scientific
Corp.
2.650%,
06/01/30
710,000‌
726,617‌
Cardinal
Health,
Inc.
3.410%,
06/15/27
60,000‌
64,753‌
CHS/Community
Health
Systems,
Inc.
5.625%,
03/15/27
(a)
2,434,000‌
2,547,684‌
8.000%,
03/15/26
(a)
500,000‌
528,212‌
Cigna
Corp.
2.400%,
03/15/30
340,000‌
343,311‌
4.375%,
10/15/28
1,230,000‌
1,409,847‌
CommonSpirit
Health
2.782%,
10/01/30
90,000‌
92,279‌
PORTFOLIO
OF
INVESTMENTS
(continued)
October
31,
2021
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
Strategic
Beta
ETFs
|
Annual
Report
2021
13
Corporate
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
3.347%,
10/01/29
120,000‌
127,714‌
CVS
Health
Corp.
3.250%,
08/15/29
1,500,000‌
1,602,236‌
DaVita,
Inc.
3.750%,
02/15/31
(a)
1,884,000‌
1,785,852‌
4.625%,
06/01/30
(a)
2,666,000‌
2,681,237‌
DH
Europe
Finance
II
Sarl
2.600%,
11/15/29
500,000‌
518,918‌
HCA,
Inc.
2.375%,
07/15/31
500,000‌
488,668‌
3.500%,
09/01/30
1,686,000‌
1,775,288‌
4.125%,
06/15/29
488,000‌
540,834‌
5.625%,
09/01/28
2,242,000‌
2,636,680‌
5.875%,
02/15/26
1,021,000‌
1,162,880‌
Hologic,
Inc.
3.250%,
02/15/29
(a)
1,280,000‌
1,270,603‌
Illumina,
Inc.
2.550%,
03/23/31
760,000‌
761,027‌
IQVIA,
Inc.
5.000%,
10/15/26
(a)
200,000‌
205,792‌
5.000%,
05/15/27
(a)
900,000‌
933,007‌
Laboratory
Corp.
of
America
Holdings
2.950%,
12/01/29
76,000‌
79,751‌
3.600%,
09/01/27
190,000‌
206,213‌
MEDNAX,
Inc.
6.250%,
01/15/27
(a)
1,693,000‌
1,777,140‌
Mozart
Debt
Merger
Sub,
Inc.
3.875%,
04/01/29
(a)
1,500,000‌
1,492,792‌
Ochsner
LSU
Health
System
of
North
Louisiana
Series
2021,
2.510%,
05/15/31
190,000‌
185,848‌
PerkinElmer,
Inc.
2.550%,
03/15/31
120,000‌
121,574‌
3.300%,
09/15/29
400,000‌
428,268‌
Quest
Diagnostics,
Inc.
2.800%,
06/30/31
500,000‌
517,930‌
Sabra
Health
Care
LP
3.900%,
10/15/29
200,000‌
209,141‌
Smith
&
Nephew
PLC
2.032%,
10/14/30
180,000‌
174,864‌
Stryker
Corp.
1.950%,
06/15/30
610,000‌
599,804‌
Tenet
Healthcare
Corp.
4.875%,
01/01/26
(a)
680,000‌
699,206‌
6.250%,
02/01/27
(a)
2,250,000‌
2,336,864‌
Thermo
Fisher
Scientific,
Inc.
2.000%,
10/15/31
500,000‌
488,998‌
4.497%,
03/25/30
85,000‌
100,054‌
Universal
Health
Services,
Inc.
2.650%,
10/15/30
(a)
500,000‌
496,618‌
Zimmer
Biomet
Holdings,
Inc.
3.550%,
03/20/30
336,000‌
365,030‌
Total
33,395,731‌
Healthcare
Insurance
0.6%
Anthem,
Inc.
2.550%,
03/15/31
500,000‌
510,329‌
Centene
Corp.
4.250%,
12/15/27
1,909,000‌
1,999,729‌
4.625%,
12/15/29
3,917,000‌
4,230,993‌
Humana,
Inc.
2.150%,
02/03/32
500,000‌
484,157‌
Total
7,225,208‌
Corporate
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Healthcare
REIT
0.6%
Diversified
Healthcare
Trust
9.750%,
06/15/25
620,000‌
673,489‌
Healthcare
Realty
Trust,
Inc.
2.400%,
03/15/30
256,000‌
256,479‌
Healthcare
Trust
of
America
Holdings
LP
3.100%,
02/15/30
696,000‌
721,058‌
Healthpeak
Properties,
Inc.
3.000%,
01/15/30
150,000‌
157,798‌
MPT
Operating
Partnership
LP
/
MPT
Finance
Corp.
3.500%,
03/15/31
1,260,000‌
1,270,752‌
4.625%,
08/01/29
685,000‌
725,352‌
5.000%,
10/15/27
764,000‌
804,065‌
National
Health
Investors,
Inc.
3.000%,
02/01/31
364,000‌
349,317‌
Omega
Healthcare
Investors,
Inc.
3.250%,
04/15/33
380,000‌
374,559‌
3.625%,
10/01/29
276,000‌
288,308‌
Ventas
Realty
LP
3.000%,
01/15/30
260,000‌
269,891‌
4.400%,
01/15/29
297,000‌
337,884‌
Welltower,
Inc.
2.800%,
06/01/31
500,000‌
512,935‌
Total
6,741,887‌
Home
Construction
0.1%
DR
Horton,
Inc.
1.400%,
10/15/27
100,000‌
97,038‌
Lennar
Corp.
4.750%,
11/29/27
825,000‌
940,756‌
NVR,
Inc.
3.000%,
05/15/30
90,000‌
93,708‌
Total
1,131,502‌
Independent
Energy
1.8%
Apache
Corp.
4.375%,
10/15/28
1,200,000‌
1,289,207‌
Canadian
Natural
Resources
Ltd.
3.850%,
06/01/27
44,000‌
47,714‌
Comstock
Resources,
Inc.
5.875%,
01/15/30
(a)
1,405,000‌
1,461,407‌
6.750%,
03/01/29
(a)
484,000‌
520,170‌
ConocoPhillips
4.300%,
08/15/28
(a)
316,000‌
361,747‌
Continental
Resources,
Inc.
4.375%,
01/15/28
1,490,000‌
1,626,043‌
5.750%,
01/15/31
(a)
860,000‌
1,030,225‌
Coterra
Energy,
Inc.
4.375%,
03/15/29
(a)
230,000‌
261,068‌
CrownRock
LP
/
CrownRock
Finance,
Inc.
5.625%,
10/15/25
(a)
1,007,000‌
1,030,459‌
Devon
Energy
Corp.
4.500%,
01/15/30
(a)
512,000‌
556,581‌
Diamondback
Energy,
Inc.
3.500%,
12/01/29
520,000‌
554,706‌
Endeavor
Energy
Resources
LP
/
EER
Finance,
Inc.
5.750%,
01/30/28
(a)
1,594,000‌
1,673,092‌
EQT
Corp.
3.900%,
10/01/27
1,920,000‌
2,046,858‌
6.625%,
02/01/25
500,000‌
562,618‌
MEG
Energy
Corp.
7.125%,
02/01/27
(a)
981,000‌
1,030,732‌
PORTFOLIO
OF
INVESTMENTS
(continued)
October
31,
2021
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
14
Strategic
Beta
ETFs
|
Annual
Report
2021
Corporate
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Neptune
Energy
Bondco
PLC
6.625%,
05/15/25
(a)
200,000‌
204,290‌
New
Fortress
Energy,
Inc.
6.500%,
09/30/26
(a)
2,404,000‌
2,337,710‌
Occidental
Petroleum
Corp.
2.900%,
08/15/24
2,025,000‌
2,062,423‌
3.500%,
08/15/29
661,000‌
670,802‌
6.625%,
09/01/30
1,000,000‌
1,225,387‌
Pioneer
Natural
Resources
Co.
2.150%,
01/15/31
640,000‌
618,505‌
Range
Resources
Corp.
9.250%,
02/01/26
500,000‌
541,401‌
Total
21,713,145‌
Industrials
0.0%
Canadian
Pacific
Railway
Co.
2.050%,
03/05/30
100,000‌
98,303‌
Industy
0.0%
Otis
Worldwide
Corp.
2.565%,
02/15/30
456,000‌
464,317‌
Integrated
Energy
0.2%
Cenovus
Energy,
Inc.
4.250%,
04/15/27
1,608,000‌
1,766,145‌
Chevron
USA,
Inc.
3.250%,
10/15/29
4,000‌
4,382‌
New
Fortress
Energy,
Inc.
6.750%,
09/15/25
(a)
1,300,000‌
1,266,767‌
Total
3,037,294‌
Leisure
1.0%
Carnival
Corp.
5.750%,
03/01/27
(a)
5,734,000‌
5,834,323‌
9.875%,
08/01/27
(a)
396,000‌
456,392‌
Cedar
Fair
LP
/
Canada's
Wonderland
Co.
/
Magnum
Management
Corp.
/
Millennium
Op
5.500%,
05/01/25
(a)
900,000‌
935,987‌
Live
Nation
Entertainment,
Inc.
6.500%,
05/15/27
(a)
970,000‌
1,064,262‌
Royal
Caribbean
Cruises
Ltd.
5.500%,
04/01/28
(a)
972,000‌
987,846‌
9.125%,
06/15/23
(a)
540,000‌
586,453‌
10.875%,
06/01/23
(a)
920,000‌
1,029,936‌
11.500%,
06/01/25
(a)
780,000‌
887,975‌
Total
11,783,174‌
Life
Insurance
0.3%
American
International
Group,
Inc.
3.400%,
06/30/30
468,000‌
506,825‌
4.200%,
04/01/28
335,000‌
378,718‌
Athene
Holding
Ltd.
3.500%,
01/15/31
200,000‌
213,486‌
6.150%,
04/03/30
192,000‌
239,291‌
Brighthouse
Financial,
Inc.
3.700%,
06/22/27
212,000‌
229,781‌
CNO
Financial
Group,
Inc.
5.250%,
05/30/29
304,000‌
354,823‌
Globe
Life,
Inc.
2.150%,
08/15/30
200,000‌
196,878‌
Lincoln
National
Corp.
3.050%,
01/15/30
320,000‌
337,510‌
Prudential
Financial,
Inc.
5.700%,
(3-month
USD
LIBOR
+
2.665%),
09/15/48
(b)
350,000‌
399,882‌
Corporate
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Reinsurance
Group
of
America,
Inc.
3.900%,
05/15/29
440,000‌
488,195‌
Total
3,345,389‌
Lodging
0.3%
Choice
Hotels
International,
Inc.
3.700%,
01/15/31
200,000‌
213,358‌
Hilton
Domestic
Operating
Co.,
Inc.
3.625%,
02/15/32
(a)
2,295,000‌
2,240,899‌
Hyatt
Hotels
Corp.
4.375%,
09/15/28
666,000‌
730,391‌
Marriott
International,
Inc.
Series
FF,
4.625%,
06/15/30
614,000‌
699,297‌
Total
3,883,945‌
Materials
0.1%
Acuity
Brands
Lighting,
Inc.
2.150%,
12/15/30
90,000‌
87,523‌
Cleveland-Cliffs,
Inc.
9.875%,
10/17/25
(a)
544,000‌
622,573‌
Total
710,096‌
Media
and
Entertainment
1.7%
Activision
Blizzard,
Inc.
1.350%,
09/15/30
371,000‌
341,918‌
3.400%,
06/15/27
20,000‌
21,624‌
AMC
Networks,
Inc.
4.250%,
02/15/29
240,000‌
236,494‌
Clear
Channel
Worldwide
Holdings,
Inc.
5.125%,
08/15/27
(a)
1,107,000‌
1,136,073‌
Discovery
Communications
LLC
3.950%,
03/20/28
445,000‌
490,060‌
4.125%,
05/15/29
512,000‌
568,850‌
Electronic
Arts,
Inc.
1.850%,
02/15/31
240,000‌
230,641‌
Fox
Corp.
3.500%,
04/08/30
436,000‌
472,896‌
4.709%,
01/25/29
80,000‌
92,424‌
Interpublic
Group
of
Cos.,
Inc.
(The)
4.750%,
03/30/30
40,000‌
46,953‌
Netflix,
Inc.
4.875%,
04/15/28
676,000‌
775,022‌
5.875%,
11/15/28
2,866,000‌
3,489,810‌
News
Corp.
3.875%,
05/15/29
(a)
1,672,000‌
1,701,524‌
Nexstar
Media,
Inc.
4.750%,
11/01/28
(a)
2,950,000‌
3,013,003‌
5.625%,
07/15/27
(a)
90,000‌
94,924‌
Nielsen
Finance
LLC
/
Nielsen
Finance
Co.
5.625%,
10/01/28
(a)
1,665,000‌
1,732,525‌
RELX
Capital,
Inc.
3.000%,
05/22/30
200,000‌
211,007‌
4.000%,
03/18/29
582,000‌
650,199‌
TEGNA,
Inc.
4.625%,
03/15/28
800,000‌
807,872‌
5.000%,
09/15/29
1,325,000‌
1,342,008‌
Univision
Communications,
Inc.
4.500%,
05/01/29
(a)
1,225,000‌
1,238,704‌
6.625%,
06/01/27
(a)
1,290,000‌
1,396,102‌
ViacomCBS,
Inc.
4.950%,
01/15/31
626,000‌
742,821‌
Total
20,833,454‌
PORTFOLIO
OF
INVESTMENTS
(continued)
October
31,
2021
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
Strategic
Beta
ETFs
|
Annual
Report
2021
15
Corporate
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Media
Cable
0.3%
DIRECTV
Holdings
LLC
/
DIRECTV
Financing
Co.,
Inc.
5.875%,
08/15/27
(a)
1,700,000‌
1,764,360‌
LCPR
Senior
Secured
Financing
DAC
5.125%,
07/15/29
(a)
800,000‌
810,680‌
Sirius
XM
Radio,
Inc.
4.000%,
07/15/28
(a)
500,000‌
503,366‌
Total
3,078,406‌
Metals
and
Mining
0.7%
Cleveland-Cliffs,
Inc.
6.750%,
03/15/26
(a)
934,000‌
993,525‌
FMG
Resources
August
2006
Pty
Ltd.
4.375%,
04/01/31
(a)
2,344,000‌
2,381,828‌
Freeport-McMoRan,
Inc.
4.625%,
08/01/30
1,490,000‌
1,612,016‌
Newmont
Corp.
2.250%,
10/01/30
617,000‌
607,516‌
2.800%,
10/01/29
228,000‌
234,844‌
Novelis
Corp.
4.750%,
01/30/30
(a)
1,120,000‌
1,163,891‌
Nucor
Corp.
2.700%,
06/01/30
480,000‌
495,225‌
Reliance
Steel
&
Aluminum
Co.
2.150%,
08/15/30
100,000‌
97,379‌
Steel
Dynamics,
Inc.
3.250%,
01/15/31
310,000‌
329,248‌
3.450%,
04/15/30
380,000‌
408,236‌
Vale
Overseas
Ltd.
3.750%,
07/08/30
414,000‌
422,865‌
Total
8,746,573‌
Midstream
2.4%
Boardwalk
Pipelines
LP
3.400%,
02/15/31
300,000‌
312,145‌
Cheniere
Corpus
Christi
Holdings
LLC
3.700%,
11/15/29
100,000‌
107,520‌
Cheniere
Energy
Partners
LP
4.000%,
03/01/31
(a)
1,760,000‌
1,831,424‌
4.500%,
10/01/29
1,679,000‌
1,792,698‌
Cheniere
Energy,
Inc.
4.625%,
10/15/28
1,800,000‌
1,889,899‌
CQP
Holdco
LP
/
BIP-V
Chinook
Holdco
LLC
5.500%,
06/15/31
(a)
750,000‌
783,281‌
DCP
Midstream
Operating
LP
5.375%,
07/15/25
655,000‌
725,946‌
DT
Midstream,
Inc.
4.125%,
06/15/29
(a)
1,000,000‌
1,007,822‌
4.375%,
06/15/31
(a)
400,000‌
405,963‌
Enable
Midstream
Partners
LP
4.950%,
05/15/28
392,000‌
438,404‌
Enbridge,
Inc.
3.125%,
11/15/29
724,000‌
765,873‌
Energy
Transfer
LP
5.250%,
04/15/29
894,000‌
1,036,754‌
Enterprise
Products
Operating
LLC
2.800%,
01/31/30
420,000‌
436,600‌
4.150%,
10/16/28
219,000‌
247,444‌
EQM
Midstream
Partners
LP
4.750%,
07/15/23
443,000‌
466,389‌
4.750%,
01/15/31
(a)
740,000‌
766,217‌
6.500%,
07/01/27
(a)
1,474,000‌
1,640,195‌
Corporate
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Genesis
Energy
LP
/
Genesis
Energy
Finance
Corp.
8.000%,
01/15/27
300,000‌
301,517‌
Kinder
Morgan,
Inc.
2.000%,
02/15/31
380,000‌
361,417‌
MPLX
LP
2.650%,
08/15/30
500,000‌
497,609‌
4.125%,
03/01/27
331,000‌
364,957‌
National
Fuel
Gas
Co.
2.950%,
03/01/31
300,000‌
303,046‌
NGL
Energy
Operating
LLC
/
NGL
Energy
Finance
Corp.
7.500%,
02/01/26
(a)
2,924,000‌
2,968,529‌
ONEOK,
Inc.
4.350%,
03/15/29
168,000‌
186,983‌
Phillips
66
Partners
LP
3.150%,
12/15/29
120,000‌
125,194‌
Plains
All
American
Pipeline
LP
/
PAA
Finance
Corp.
3.550%,
12/15/29
225,000‌
234,752‌
3.800%,
09/15/30
500,000‌
528,498‌
Sabine
Pass
Liquefaction
LLC
4.500%,
05/15/30
340,000‌
387,203‌
5.000%,
03/15/27
116,000‌
131,648‌
Targa
Resources
Partners
LP
/
Targa
Resources
Partners
Finance
Corp.
4.000%,
01/15/32
(a)
1,286,000‌
1,326,529‌
4.875%,
02/01/31
1,470,000‌
1,585,117‌
TransCanada
PipeLines
Ltd.
4.250%,
05/15/28
496,000‌
560,138‌
Venture
Global
Calcasieu
Pass
LLC
3.875%,
08/15/29
(a)
400,000‌
407,417‌
4.125%,
08/15/31
(a)
630,000‌
652,577‌
Western
Midstream
Operating
LP
4.350%,
02/01/25
600,000‌
629,796‌
5.300%,
02/01/30
1,730,000‌
1,896,107‌
Williams
Cos.,
Inc.
(The)
2.600%,
03/15/31
240,000‌
240,070‌
3.750%,
06/15/27
320,000‌
348,390‌
Total
28,692,068‌
Natural
Gas
0.1%
NiSource,
Inc.
3.490%,
05/15/27
464,000‌
501,933‌
3.600%,
05/01/30
240,000‌
261,748‌
Sempra
Energy
3.400%,
02/01/28
627,000‌
674,439‌
Total
1,438,120‌
Office
REIT
0.2%
Boston
Properties
LP
3.250%,
01/30/31
732,000‌
767,838‌
Corporate
Office
Properties
LP
2.000%,
01/15/29
500,000‌
484,045‌
Highwoods
Realty
LP
2.600%,
02/01/31
80,000‌
80,114‌
Kilroy
Realty
LP
3.050%,
02/15/30
228,000‌
237,730‌
Office
Properties
Income
Trust
2.400%,
02/01/27
45,000‌
43,983‌
Piedmont
Operating
Partnership
LP
3.150%,
08/15/30
250,000‌
255,876‌
Total
1,869,586‌
Oil
Field
Services
0.0%
NOV,
Inc.
3.600%,
12/01/29
300,000‌
316,071‌
PORTFOLIO
OF
INVESTMENTS
(continued)
October
31,
2021
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
16
Strategic
Beta
ETFs
|
Annual
Report
2021
Corporate
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Other
Financial
Institutions
0.3%
Blackstone
Secured
Lending
Fund
2.125%,
02/15/27
(a)
300,000‌
293,779‌
Icahn
Enterprises
LP
/
Icahn
Enterprises
Finance
Corp.
5.250%,
05/15/27
800,000‌
831,551‌
6.250%,
05/15/26
1,589,000‌
1,664,137‌
Nationstar
Mortgage
Holdings,
Inc.
5.500%,
08/15/28
(a)
510,000‌
522,451‌
Total
3,311,918‌
Other
Industry
0.1%
AECOM
5.125%,
03/15/27
995,000‌
1,097,731‌
Rexford
Industrial
Realty
LP
2.125%,
12/01/30
120,000‌
115,265‌
Total
1,212,996‌
Other
REIT
0.6%
American
Campus
Communities
Operating
Partnership
LP
2.850%,
02/01/30
112,000‌
115,098‌
Brookfield
Property
REIT,
Inc.
/
BPR
Cumulus
LLC
/
BPR
Nimbus
LLC
/
GGSI
Sellco
LL
5.750%,
05/15/26
(a)
1,146,000‌
1,185,134‌
CubeSmart
LP
2.000%,
02/15/31
50,000‌
48,465‌
4.375%,
02/15/29
260,000‌
294,999‌
CyrusOne
LP
/
CyrusOne
Finance
Corp.
2.150%,
11/01/30
790,000‌
752,383‌
3.450%,
11/15/29
390,000‌
408,249‌
Digital
Realty
Trust
LP
3.600%,
07/01/29
346,000‌
376,129‌
Duke
Realty
LP
1.750%,
02/01/31
150,000‌
142,587‌
EPR
Properties
3.750%,
08/15/29
222,000‌
227,865‌
4.950%,
04/15/28
304,000‌
333,393‌
Extra
Space
Storage
LP
2.550%,
06/01/31
150,000‌
149,326‌
HAT
Holdings
I
LLC
/
HAT
Holdings
II
LLC
3.375%,
06/15/26
(a)
855,000‌
852,539‌
Host
Hotels
&
Resorts
LP
Series
H,
3.375%,
12/15/29
408,000‌
418,041‌
Lexington
Realty
Trust
2.700%,
09/15/30
236,000‌
236,553‌
Life
Storage
LP
2.200%,
10/15/30
240,000‌
235,881‌
Safehold
Operating
Partnership
LP
2.800%,
06/15/31
380,000‌
378,464‌
Service
Properties
Trust
4.350%,
10/01/24
750,000‌
755,799‌
WP
Carey,
Inc.
2.400%,
02/01/31
500,000‌
493,629‌
Total
7,404,534‌
Other
Utility
0.0%
American
Water
Capital
Corp.
3.750%,
09/01/28
145,000‌
161,758‌
Essential
Utilities,
Inc.
2.704%,
04/15/30
300,000‌
308,522‌
Total
470,280‌
Packaging
0.6%
Amcor
Flexibles
North
America,
Inc.
2.630%,
06/19/30
260,000‌
263,659‌
Corporate
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Ardagh
Metal
Packaging
Finance
USA
LLC
/
Ardagh
Metal
Packaging
Finance
PLC
4.000%,
09/01/29
(a)
1,600,000‌
1,593,025‌
Ardagh
Packaging
Finance
PLC
/
Ardagh
Holdings
USA,
Inc.
4.125%,
08/15/26
(a)
800,000‌
816,201‌
Avery
Dennison
Corp.
2.650%,
04/30/30
444,000‌
451,815‌
Ball
Corp.
2.875%,
08/15/30
860,000‌
826,280‌
5.250%,
07/01/25
510,000‌
568,695‌
Crown
Americas
LLC
/
Crown
Americas
Capital
Corp.
VI
4.750%,
02/01/26
500,000‌
515,688‌
Mauser
Packaging
Solutions
Holding
Co.
5.500%,
04/15/24
(a)
989,000‌
990,018‌
Pactiv
Evergreen
Group
Issuer
Inc/Pactiv
Evergreen
Group
Issuer
LLC/
Reynolds
Gro
4.000%,
10/15/27
(a)
1,400,000‌
1,369,486‌
Trivium
Packaging
Finance
BV
5.500%,
08/15/26
(a)
200,000‌
208,078‌
Total
7,602,945‌
Paper
0.3%
Mercer
International,
Inc.
5.125%,
02/01/29
792,000‌
787,393‌
Packaging
Corp.
of
America
3.000%,
12/15/29
608,000‌
639,988‌
Rayonier
LP
2.750%,
05/17/31
150,000‌
149,014‌
Suzano
Austria
GmbH
3.750%,
01/15/31
894,000‌
894,220‌
5.000%,
01/15/30
400,000‌
430,842‌
Weyerhaeuser
Co.
4.000%,
11/15/29
50,000‌
56,057‌
4.000%,
04/15/30
88,000‌
98,726‌
WRKCo,
Inc.
3.000%,
06/15/33
120,000‌
124,743‌
Total
3,180,983‌
Pharmaceuticals
1.6%
AbbVie,
Inc.
2.950%,
11/21/26
240,000‌
253,726‌
3.200%,
11/21/29
2,808,000‌
3,003,402‌
4.250%,
11/14/28
35,000‌
39,757‌
Amgen,
Inc.
2.200%,
02/21/27
910,000‌
928,429‌
3.200%,
11/02/27
100,000‌
107,175‌
Bausch
Health
Americas,
Inc.
8.500%,
01/31/27
(a)
455,000‌
484,178‌
Bausch
Health
Cos.,
Inc.
5.500%,
11/01/25
(a)
3,487,000‌
3,546,695‌
Biogen,
Inc.
2.250%,
05/01/30
520,000‌
511,876‌
Bristol-Myers
Squibb
Co.
3.900%,
02/20/28
64,000‌
71,945‌
Endo
Luxembourg
Finance
Co.
I
Sarl
/
Endo
US,
Inc.
6.125%,
04/01/29
(a)
3,069,000‌
3,022,759‌
Gilead
Sciences,
Inc.
1.200%,
10/01/27
460,000‌
443,547‌
1.650%,
10/01/30
300,000‌
286,837‌
Mylan,
Inc.
4.550%,
04/15/28
230,000‌
260,665‌
Organon
&
Co.
/
Organon
Foreign
Debt
Co.-Issuer
BV
4.125%,
04/30/28
(a)
2,000,000‌
2,027,082‌
PORTFOLIO
OF
INVESTMENTS
(continued)
October
31,
2021
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
Strategic
Beta
ETFs
|
Annual
Report
2021
17
Corporate
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
5.125%,
04/30/31
(a)
1,840,000‌
1,897,785‌
Regeneron
Pharmaceuticals,
Inc.
1.750%,
09/15/30
420,000‌
396,674‌
Royalty
Pharma
PLC
1.750%,
09/02/27
320,000‌
313,770‌
2.200%,
09/02/30
100,000‌
96,888‌
Takeda
Pharmaceutical
Co.
Ltd.
2.050%,
03/31/30
1,200,000‌
1,171,730‌
5.000%,
11/26/28
200,000‌
236,566‌
Viatris,
Inc.
2.700%,
06/22/30
700,000‌
699,468‌
Zoetis,
Inc.
2.000%,
05/15/30
280,000‌
274,958‌
Total
20,075,912‌
Property
&
Casualty
0.3%
American
Financial
Group,
Inc.
5.250%,
04/02/30
156,000‌
188,019‌
Aon
Corp.
3.750%,
05/02/29
210,000‌
232,793‌
Assurant,
Inc.
2.650%,
01/15/32
760,000‌
748,138‌
Brown
&
Brown,
Inc.
2.375%,
03/15/31
100,000‌
98,682‌
4.500%,
03/15/29
160,000‌
181,730‌
CNA
Financial
Corp.
3.900%,
05/01/29
420,000‌
465,751‌
Enstar
Group
Ltd.
3.100%,
09/01/31
455,000‌
445,205‌
4.950%,
06/01/29
252,000‌
283,882‌
Fairfax
Financial
Holdings
Ltd.
3.375%,
03/03/31
(a)
300,000‌
309,832‌
Fidelity
National
Financial,
Inc.
2.450%,
03/15/31
160,000‌
158,661‌
3.400%,
06/15/30
260,000‌
277,209‌
Hanover
Insurance
Group,
Inc.
(The)
2.500%,
09/01/30
80,000‌
79,913‌
Markel
Corp.
3.350%,
09/17/29
330,000‌
356,361‌
Willis
North
America,
Inc.
4.500%,
09/15/28
381,000‌
431,985‌
Total
4,258,161‌
Railroads
0.0%
CSX
Corp.
3.250%,
06/01/27
197,000‌
211,794‌
Norfolk
Southern
Corp.
2.550%,
11/01/29
340,000‌
351,468‌
Total
563,262‌
Real
Estate
0.1%
Alexandria
Real
Estate
Equities,
Inc.
2.000%,
05/18/32
905,000‌
871,686‌
Refining
0.2%
HollyFrontier
Corp.
4.500%,
10/01/30
200,000‌
218,050‌
Marathon
Petroleum
Corp.
3.800%,
04/01/28
310,000‌
338,197‌
PBF
Holding
Co.
LLC
/
PBF
Finance
Corp.
6.000%,
02/15/28
1,439,000‌
1,045,806‌
9.250%,
05/15/25
(a)
994,000‌
964,486‌
Valero
Energy
Corp.
4.350%,
06/01/28
227,000‌
254,326‌
Total
2,820,865‌
Corporate
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Restaurants
0.5%
1011778
BC
ULC
/
New
Red
Finance,
Inc.
3.875%,
01/15/28
(a)
725,000‌
723,226‌
4.000%,
10/15/30
(a)
2,280,000‌
2,211,821‌
McDonald's
Corp.
Series
MTN,
2.625%,
09/01/29
516,000‌
535,311‌
Starbucks
Corp.
2.550%,
11/15/30
440,000‌
449,329‌
3.550%,
08/15/29
100,000‌
110,081‌
4.000%,
11/15/28
64,000‌
72,367‌
Yum!
Brands,
Inc.
3.625%,
03/15/31
950,000‌
939,189‌
4.625%,
01/31/32
571,000‌
595,384‌
Total
5,636,708‌
Retail
0.0%
Genuine
Parts
Co.
1.875%,
11/01/30
160,000‌
151,791‌
Retail
REIT
0.3%
Agree
LP
2.900%,
10/01/30
90,000‌
92,466‌
Brixmor
Operating
Partnership
LP
4.050%,
07/01/30
360,000‌
397,469‌
4.125%,
05/15/29
290,000‌
323,841‌
Federal
Realty
Investment
Trust
3.500%,
06/01/30
500,000‌
539,781‌
Kimco
Realty
Corp.
2.700%,
10/01/30
50,000‌
51,345‌
National
Retail
Properties,
Inc.
4.300%,
10/15/28
150,000‌
169,482‌
Regency
Centers
LP
2.950%,
09/15/29
50,000‌
52,194‌
3.700%,
06/15/30
370,000‌
405,027‌
Retail
Properties
of
America,
Inc.
4.750%,
09/15/30
195,000‌
214,318‌
Spirit
Realty
LP
3.200%,
02/15/31
400,000‌
414,105‌
STORE
Capital
Corp.
2.750%,
11/18/30
240,000‌
240,000‌
VEREIT
Operating
Partnership
LP
2.850%,
12/15/32
240,000‌
248,564‌
3.100%,
12/15/29
50,000‌
53,134‌
3.400%,
01/15/28
50,000‌
53,669‌
3.950%,
08/15/27
18,000‌
19,923‌
Total
3,275,318‌
Retailers
0.7%
Advance
Auto
Parts,
Inc.
3.900%,
04/15/30
222,000‌
244,853‌
AutoZone,
Inc.
4.000%,
04/15/30
360,000‌
405,171‌
Bath
&
Body
Works,
Inc.
6.625%,
10/01/30
(a)
1,336,000‌
1,495,007‌
Best
Buy
Co.,
Inc.
1.950%,
10/01/30
380,000‌
366,545‌
Dollar
General
Corp.
3.500%,
04/03/30
540,000‌
588,249‌
3.875%,
04/15/27
37,000‌
40,890‌
Dollar
Tree,
Inc.
4.000%,
05/15/25
514,000‌
556,713‌
Hanesbrands,
Inc.
4.875%,
05/15/26
(a)
1,056,000‌
1,129,287‌
PORTFOLIO
OF
INVESTMENTS
(continued)
October
31,
2021
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
18
Strategic
Beta
ETFs
|
Annual
Report
2021
Corporate
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Lowe's
Cos.,
Inc.
2.625%,
04/01/31
240,000‌
245,038‌
3.650%,
04/05/29
419,000‌
462,426‌
Michaels
Cos.,
Inc.
(The)
5.250%,
05/01/28
(a)
1,520,000‌
1,536,448‌
O'Reilly
Automotive,
Inc.
4.350%,
06/01/28
320,000‌
365,554‌
PetSmart,
Inc.
/
PetSmart
Finance
Corp.
4.750%,
02/15/28
(a)
1,500,000‌
1,541,666‌
Ross
Stores,
Inc.
1.875%,
04/15/31
150,000‌
144,390‌
Total
9,122,237‌
Supermarkets
0.2%
Albertsons
Cos.,
Inc.
/
Safeway,
Inc.
/
New
Albertsons
LP
/
Albertsons
LLC
3.500%,
03/15/29
(a)
1,512,000‌
1,490,122‌
4.625%,
01/15/27
(a)
895,000‌
936,418‌
Kroger
Co.
(The)
3.700%,
08/01/27
199,000‌
218,312‌
Total
2,644,852‌
Technology
4.1%
Amphenol
Corp.
2.800%,
02/15/30
416,000‌
431,271‌
Arrow
Electronics,
Inc.
3.250%,
09/08/24
44,000‌
46,237‌
Avaya,
Inc.
6.125%,
09/15/28
(a)
1,556,000‌
1,620,106‌
Avnet,
Inc.
3.000%,
05/15/31
45,000‌
44,808‌
Black
Knight
InfoServ
LLC
3.625%,
09/01/28
(a)
700,000‌
697,331‌
Broadcom
Corp.
/
Broadcom
Cayman
Finance
Ltd.
3.875%,
01/15/27
1,055,000‌
1,143,054‌
Broadcom,
Inc.
3.469%,
04/15/34
(a)
1,150,000‌
1,184,605‌
Broadridge
Financial
Solutions,
Inc.
2.600%,
05/01/31
50,000‌
50,350‌
2.900%,
12/01/29
180,000‌
186,849‌
Citrix
Systems,
Inc.
3.300%,
03/01/30
145,000‌
147,089‌
Clarivate
Science
Holdings
Corp.
3.875%,
07/01/28
(a)
240,000‌
237,275‌
CommScope,
Inc.
4.750%,
09/01/29
(a)
1,500,000‌
1,471,287‌
6.000%,
03/01/26
(a)
1,223,000‌
1,266,761‌
Dell
International
LLC
/
EMC
Corp.
4.900%,
10/01/26
581,000‌
662,420‌
5.300%,
10/01/29
500,000‌
601,328‌
Equinix,
Inc.
2.150%,
07/15/30
496,000‌
483,185‌
3.200%,
11/18/29
150,000‌
158,081‌
Fidelity
National
Information
Services,
Inc.
2.250%,
03/01/31
740,000‌
727,290‌
Fiserv,
Inc.
3.500%,
07/01/29
1,262,000‌
1,361,822‌
Flex
Ltd.
4.875%,
06/15/29
504,000‌
573,168‌
Fortinet,
Inc.
2.200%,
03/15/31
240,000‌
237,244‌
Global
Payments,
Inc.
3.200%,
08/15/29
926,000‌
968,528‌
Corporate
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
HP,
Inc.
2.650%,
06/17/31
(a)
1,000,000‌
984,583‌
Imola
Merger
Corp.
4.750%,
05/15/29
(a)
2,774,000‌
2,850,624‌
Iron
Mountain,
Inc.
4.500%,
02/15/31
(a)
370,000‌
373,116‌
5.250%,
07/15/30
(a)
1,433,000‌
1,497,901‌
Jabil,
Inc.
3.000%,
01/15/31
250,000‌
255,408‌
Juniper
Networks,
Inc.
3.750%,
08/15/29
120,000‌
130,660‌
Keysight
Technologies,
Inc.
3.000%,
10/30/29
330,000‌
346,951‌
KLA
Corp.
4.100%,
03/15/29
100,000‌
113,534‌
Leidos,
Inc.
2.300%,
02/15/31
500,000‌
481,636‌
LogMeIn,
Inc.
5.500%,
09/01/27
(a)
1,269,000‌
1,271,002‌
Marvell
Technology,
Inc.
2.950%,
04/15/31
760,000‌
775,296‌
Microchip
Technology,
Inc.
4.250%,
09/01/25
780,000‌
811,025‌
Micron
Technology,
Inc.
4.185%,
02/15/27
76,000‌
83,796‌
4.663%,
02/15/30
610,000‌
697,925‌
Motorola
Solutions,
Inc.
4.600%,
05/23/29
380,000‌
437,493‌
MSCI,
Inc.
3.875%,
02/15/31
(a)
900,000‌
929,380‌
4.000%,
11/15/29
(a)
808,000‌
844,524‌
NCR
Corp.
5.125%,
04/15/29
(a)
2,014,000‌
2,060,111‌
NetApp,
Inc.
2.700%,
06/22/30
380,000‌
386,341‌
NortonLifeLock,
Inc.
5.000%,
04/15/25
(a)
1,322,000‌
1,339,538‌
NXP
BV
/
NXP
Funding
LLC
/
NXP
USA,
Inc.
3.400%,
05/01/30
(a)
510,000‌
546,982‌
4.300%,
06/18/29
(a)
80,000‌
90,166‌
Open
Text
Corp.
3.875%,
02/15/28
(a)
940,000‌
947,408‌
Open
Text
Holdings,
Inc.
4.125%,
02/15/30
(a)
1,160,000‌
1,179,681‌
Oracle
Corp.
2.875%,
03/25/31
2,000,000‌
2,048,705‌
Qorvo,
Inc.
4.375%,
10/15/29
934,000‌
1,003,474‌
Sabre
GLBL,
Inc.
7.375%,
09/01/25
(a)
1,250,000‌
1,330,912‌
Sensata
Technologies
BV
4.000%,
04/15/29
(a)
600,000‌
609,308‌
ServiceNow,
Inc.
1.400%,
09/01/30
656,000‌
612,582‌
Square,
Inc.
3.500%,
06/01/31
(a)
1,924,000‌
1,972,892‌
SS&C
Technologies,
Inc.
5.500%,
09/30/27
(a)
1,737,000‌
1,829,703‌
Verisk
Analytics,
Inc.
4.125%,
03/15/29
160,000‌
180,778‌
PORTFOLIO
OF
INVESTMENTS
(continued)
October
31,
2021
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
Strategic
Beta
ETFs
|
Annual
Report
2021
19
Corporate
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
VMware,
Inc.
2.200%,
08/15/31
500,000‌
486,902‌
3.900%,
08/21/27
265,000‌
290,662‌
Vontier
Corp.
2.950%,
04/01/31
(a)
1,330,000‌
1,314,327‌
Western
Digital
Corp.
4.750%,
02/15/26
2,339,000‌
2,569,758‌
Western
Union
Co.
(The)
2.750%,
03/15/31
160,000‌
159,663‌
Xerox
Corp.
4.375%,
03/15/23
1,160,000‌
1,197,840‌
Total
49,342,676‌
Tobacco
0.4%
Altria
Group,
Inc.
4.800%,
02/14/29
1,150,000‌
1,310,801‌
BAT
Capital
Corp.
2.259%,
03/25/28
860,000‌
843,130‌
3.557%,
08/15/27
660,000‌
698,296‌
Vector
Group
Ltd.
5.750%,
02/01/29
(a)
1,510,000‌
1,506,335‌
Total
4,358,562‌
Transportation
Services
0.2%
FedEx
Corp.
2.400%,
05/15/31
500,000‌
501,213‌
3.400%,
02/15/28
290,000‌
316,265‌
GXO
Logistics,
Inc.
2.650%,
07/15/31
(a)
150,000‌
148,781‌
XPO
Logistics,
Inc.
6.250%,
05/01/25
(a)
984,000‌
1,036,686‌
Total
2,002,945‌
Wireless
1.9%
Altice
Financing
SA
5.750%,
08/15/29
(a)
500,000‌
492,431‌
Altice
France
SA
5.500%,
10/15/29
(a)
4,000,000‌
3,921,566‌
American
Tower
Corp.
1.875%,
10/15/30
250,000‌
237,835‌
2.750%,
01/15/27
342,000‌
355,421‌
3.800%,
08/15/29
125,000‌
137,429‌
Crown
Castle
International
Corp.
2.100%,
04/01/31
500,000‌
479,392‌
3.650%,
09/01/27
245,000‌
265,774‌
SBA
Communications
Corp.
3.125%,
02/01/29
(a)
1,640,000‌
1,574,741‌
3.875%,
02/15/27
1,010,000‌
1,041,140‌
Sprint
Corp.
7.625%,
03/01/26
1,618,000‌
1,941,823‌
T-Mobile
USA,
Inc.
3.500%,
04/15/31
910,000‌
943,376‌
3.750%,
04/15/27
697,000‌
756,495‌
3.875%,
04/15/30
3,154,000‌
3,450,360‌
4.750%,
02/01/28
1,800,000‌
1,899,900‌
VEON
Holdings
BV
3.375%,
11/25/27
(a)
1,700,000‌
1,698,880‌
Vmed
O2
UK
Financing
I
PLC
4.750%,
07/15/31
(a)
800,000‌
804,258‌
VMware,
Inc.
4.700%,
05/15/30
100,000‌
116,700‌
Vodafone
Group
PLC
7.000%,
04/04/79
2,088,000‌
2,522,766‌
Total
22,640,287‌
Corporate
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Wirelines
1.8%
AT&T,
Inc.
2.550%,
12/01/33
1,650,000‌
1,600,212‌
4.300%,
02/15/30
1,191,000‌
1,352,668‌
Frontier
Communications
Holdings
LLC
5.000%,
05/01/28
(a)
660,000‌
673,302‌
5.875%,
10/15/27
(a)
2,544,000‌
2,674,098‌
Iliad
Holding
SAS
7.000%,
10/15/28
(a)
1,500,000‌
1,545,137‌
Level
3
Financing,
Inc.
4.250%,
07/01/28
(a)
1,020,000‌
1,010,055‌
4.625%,
09/15/27
(a)
950,000‌
974,176‌
Lumen
Technologies,
Inc.
4.000%,
02/15/27
(a)
700,000‌
702,821‌
5.125%,
12/15/26
(a)
2,255,000‌
2,309,421‌
Uniti
Group
LP
/
Uniti
Fiber
Holdings,
Inc.
/
CSL
Capital
LLC
7.875%,
02/15/25
(a)
1,650,000‌
1,737,073‌
Verizon
Communications,
Inc.
2.355%,
03/15/32
(a)
2,000,000‌
1,969,590‌
2.550%,
03/21/31
1,420,000‌
1,431,927‌
Vodafone
Group
PLC
4.375%,
05/30/28
1,022,000‌
1,164,987‌
Windstream
Escrow
LLC
/
Windstream
Escrow
Finance
Corp.
7.750%,
08/15/28
(a)
1,240,000‌
1,312,131‌
Zayo
Group
Holdings,
Inc.
4.000%,
03/01/27
(a)
1,564,000‌
1,518,688‌
Total
21,976,286‌
Total
Corporate
Bonds
(Cost
$612,332,212)
617,597,841‌
Foreign
Government
Obligations
(d),(e)
  23.5%
Principal
Amount
($)
Value
($)
Australia
Government
Bond
Series
138,
3.250%,
04/21/29
AUD
7,619,000‌
6,334,788‌
Series
160,
1.000%,
12/21/30
AUD
4,038,000‌
2,811,052‌
Series
155,
2.500%,
05/21/30
AUD
5,362,000‌
4,246,338‌
Brazilian
Government
International
Bond
4.625%,
01/13/28
1,800,000‌
1,846,639‌
3.875%,
06/12/30
11,125,000‌
10,391,846‌
Canadian
Government
Bond
1.250%,
06/01/30
CAD
17,285,000‌
13,488,461‌
CITIC
Ltd.
Series
EMTN,
3.700%,
06/14/26
200,000‌
212,446‌
Series
EMTN,
3.875%,
02/28/27
200,000‌
214,829‌
Colombia
Government
International
Bond
4.500%,
03/15/29
3,800,000‌
4,017,418‌
3.125%,
04/15/31
7,330,000‌
6,866,487‌
Dominican
Republic
International
Bond
Series
REGS,
5.950%,
01/25/27
1,245,000‌
1,389,524‌
Series
REGS,
4.500%,
01/30/30
4,100,000‌
4,144,992‌
Series
REGS,
4.875%,
09/23/32
5,412,000‌
5,490,403‌
Export-Import
Bank
of
India
Series
REGS,
3.875%,
02/01/28
3,350,000‌
3,593,010‌
Series
REGS,
3.250%,
01/15/30
627,000‌
637,226‌
French
Republic
Government
Bond
OAT
5.750%,
10/25/32
EUR
1,724,000‌
3,185,954‌
1.500%,
05/25/31
EUR
7,738,000‌
10,054,044‌
Guatemala
Government
Bond
Series
REGS,
4.875%,
02/13/28
3,180,000‌
3,450,502‌
Indonesia
Government
International
Bond
3.850%,
10/15/30
3,207,000‌
3,575,726‌
PORTFOLIO
OF
INVESTMENTS
(continued)
October
31,
2021
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
20
Strategic
Beta
ETFs
|
Annual
Report
2021
Foreign
Government
Obligations
(d),(e)
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Series
REGS,
4.750%,
01/08/26
1,160,000‌
1,306,675‌
Series
REGS,
8.500%,
10/12/35
2,927,000‌
4,614,570‌
Italy
Buoni
Poliennali
Del
Tesoro
5.250%,
11/01/29
EUR
903,000‌
1,401,072‌
6.000%,
05/01/31
EUR
6,908,000‌
11,580,891‌
Ivory
Coast
Government
International
Bond
Series
REGS,
6.125%,
06/15/33
2,400,000‌
2,518,707‌
Series
REGS,
6.375%,
03/03/28
2,000,000‌
2,186,187‌
Japan
Government
Ten
Year
Bond
Series
358,
0.100%,
03/20/30
JPY
573,900,000‌
5,069,415‌
Series
360,
0.100%,
09/20/30
JPY
465,100,000‌
4,102,384‌
Series
359,
0.100%,
06/20/30
JPY
206,000,000‌
1,819,068‌
Series
362,
0.100%,
03/20/31
JPY
61,500,000‌
541,115‌
Japan
Government
Twenty
Year
Bond
Series
128,
1.900%,
06/20/31
JPY
30,000,000‌
309,021‌
Series
123,
2.100%,
12/20/30
JPY
38,000,000‌
395,558‌
Series
140,
1.700%,
09/20/32
JPY
28,000,000‌
286,883‌
Series
145,
1.700%,
06/20/33
JPY
69,000,000‌
711,962‌
Mexico
Government
International
Bond
4.500%,
04/22/29
1,100,000‌
1,230,845‌
3.250%,
04/16/30
3,100,000‌
3,166,708‌
2.659%,
05/24/31
3,632,000‌
3,502,322‌
New
Zealand
Government
Bond
Series
0429,
3.000%,
04/20/29
NZD
17,928,000‌
13,279,929‌
Norway
Government
Bond
Series
482,
1.375%,
08/19/30
(a)
NOK
119,830,000‌
13,815,163‌
Oman
Government
International
Bond
Series
REGS,
6.000%,
08/01/29
2,000,000‌
2,145,728‌
Series
REGS,
4.750%,
06/15/26
200,000‌
205,708‌
Series
REGS,
5.625%,
01/17/28
8,083,000‌
8,509,995‌
Panama
Government
International
Bond
6.700%,
01/26/36
5,766,000‌
7,692,137‌
2.252%,
09/29/32
4,384,000‌
4,130,115‌
Paraguay
Government
International
Bond
4.950%,
04/28/31
(a)
800,000‌
896,980‌
Series
REGS,
4.950%,
04/28/31
1,600,000‌
1,793,959‌
Series
REGS,
2.739%,
01/29/33
1,000,000‌
961,841‌
Perusahaan
Penerbit
SBSN
Indonesia
III
Series
REGS,
4.150%,
03/29/27
6,440,000‌
7,173,040‌
Peruvian
Government
International
Bond
8.750%,
11/21/33
4,047,000‌
6,269,861‌
2.783%,
01/23/31
9,699,000‌
9,669,621‌
Philippine
Government
International
Bond
9.500%,
02/02/30
5,674,000‌
8,790,251‌
3.000%,
02/01/28
2,800,000‌
2,986,629‌
Republic
of
South
Africa
Government
International
Bond
4.300%,
10/12/28
3,840,000‌
3,875,733‌
4.850%,
09/30/29
4,650,000‌
4,770,480‌
Russian
Foreign
Bond
-
Eurobond
Series
REGS,
4.375%,
03/21/29
4,600,000‌
5,186,011‌
Series
REGS,
5.100%,
03/28/35
8,800,000‌
10,527,357‌
Sharjah
Sukuk
Program
Ltd.
3.234%,
10/23/29
500,000‌
506,317‌
Series
EMTN,
4.226%,
03/14/28
4,000,000‌
4,304,621‌
Sweden
Government
Bond
Series
1056,
2.250%,
06/01/32
SEK
17,020,000‌
2,363,133‌
Series
1062,
0.125%,
05/12/31
(a)
SEK
76,130,000‌
8,670,337‌
Series
1061,
0.750%,
11/12/29
(a)
SEK
22,800,000‌
2,743,969‌
United
Kingdom
Gilt
4.750%,
12/07/30
GBP
3,719,000‌
6,775,174‌
Foreign
Government
Obligations
(d),(e)
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
0.875%,
10/22/29
GBP
4,991,000‌
6,822,223‌
Uruguay
Government
International
Bond
4.375%,
10/27/27
3,373,000‌
3,843,880‌
4.375%,
01/23/31
5,218,000‌
6,024,254‌
Total
Foreign
Government
Obligations
(Cost
$289,490,957)
285,429,514‌
U.S.
Government
&
Agency
Obligations
  15.0%
Principal
Amount
($)
Value
($)
Uniform
Mortgage-Backed
Security
TBA
13.3%
1.500%,
11/15/51
9,700,000‌
9,392,707‌
2.000%,
11/15/51
78,290,000‌
78,274,708‌
2.500%,
12/15/51
43,970,000‌
45,050,356‌
3.000%,
11/15/51
(f)
12,200,000‌
12,729,461‌
3.500%,
11/15/51
5,529,000‌
5,843,030‌
4.000%,
11/15/51
5,195,000‌
5,562,293‌
4.500%,
11/15/51
(f)
4,055,000‌
4,383,202‌
Total
161,235,757‌
Federal
Home
Loan
Mortgage
Corporation
1.3%
2.500%,
08/01/50
6,799,106‌
6,987,463‌
3.000%,
01/01/50
347,989‌
363,028‌
3.000%,
02/01/50
355,021‌
370,558‌
3.000%,
08/01/50
5,209,111‌
5,432,590‌
3.500%,
08/01/47
656,611‌
697,863‌
3.500%,
08/01/49
206,548‌
217,961‌
3.500%,
09/01/49
249,885‌
263,682‌
3.500%,
10/01/49
278,236‌
293,639‌
3.500%,
11/01/49
267,958‌
282,771‌
3.500%,
02/01/50
319,580‌
337,075‌
4.000%,
08/01/49
244,849‌
261,676‌
4.000%,
09/01/49
276,936‌
295,974‌
Total
15,804,280‌
Federal
National
Mortgage
Association
0.4%
3.000%,
12/01/49
333,331‌
348,030‌
3.000%,
01/01/50
428,281‌
447,799‌
3.000%,
01/01/50
347,627‌
363,111‌
3.000%,
02/01/50
341,847‌
356,786‌
3.000%,
03/01/50
357,404‌
373,033‌
3.500%,
04/01/49
76,936‌
81,256‌
3.500%,
08/01/49
217,309‌
229,205‌
3.500%,
09/01/49
377,409‌
398,628‌
3.500%,
09/01/49
240,137‌
253,575‌
3.500%,
10/01/49
263,121‌
277,525‌
3.500%,
12/01/49
307,290‌
324,469‌
3.500%,
02/01/50
317,362‌
334,736‌
4.000%,
09/01/47
310,579‌
334,538‌
4.000%,
03/01/48
565,168‌
607,904‌
4.000%,
05/01/49
69,250‌
74,083‌
Total
4,804,678‌
Total
U.S.
Government
&
Agency
Obligations
(Cost
$181,499,447)
181,844,715‌
U.S.
Treasury
Obligations
  17.4%
Principal
Amount
($)
Value
($)
U.S.
Treasury
Bill
7.4%
0.041%,
01/27/22
5,000,000‌
4,999,374‌
0.048%,
12/30/21
25,000,000‌
24,996,848‌
0.048%,
01/06/22
25,000,000‌
24,997,047‌
0.048%,
01/13/22
25,000,000‌
24,996,975‌
0.049%,
03/31/22
5,000,000‌
4,998,867‌
PORTFOLIO
OF
INVESTMENTS
(continued)
October
31,
2021
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
Strategic
Beta
ETFs
|
Annual
Report
2021
21
Notes
to
Portfolio
of
Investments
U.S.
Treasury
Obligations
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
0.482%,
03/24/22
5,000,000‌
4,998,830‌
Total
89,987,941‌
U.S.
Treasury
Bond
6.1%
1.125%,
05/15/40
260,000‌
225,306‌
1.750%,
08/15/41
1,349,000‌
1,298,834‌
1.875%,
02/15/41
19,988,000‌
19,663,195‌
1.875%,
02/15/51
29,678,000‌
29,200,370‌
2.000%,
08/15/51
4,194,000‌
4,255,599‌
2.250%,
05/15/41
487,000‌
508,839‌
2.375%,
11/15/49
2,562,000‌
2,803,389‌
2.375%,
05/15/51
6,269,000‌
6,892,961‌
3.000%,
05/15/42
1,629,000‌
1,913,312‌
3.375%,
05/15/44
2,230,000‌
2,796,211‌
3.375%,
11/15/48
2,110,000‌
2,753,550‌
3.750%,
11/15/43
1,273,300‌
1,675,185‌
Total
73,986,751‌
U.S.
Treasury
Obligations
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
U.S.
Treasury
Note
3.9%
1.125%,
02/15/31
24,670,000‌
23,810,405‌
1.250%,
08/15/31
10,393,000‌
10,099,073‌
1.625%,
05/15/31
9,093,000‌
9,161,197‌
2.625%,
02/15/29
4,013,000‌
4,334,667‌
Total
47,405,342‌
Total
U.S.
Treasury
Obligations
(Cost
$207,745,848)
211,380,034‌
Money
Market
Funds
5.9%
Shares
Value
($)
Dreyfus
Treasury
Securities
Cash
Management,
Institutional
Shares
0.030%
(g)
72,066,815‌
72,066,815‌
Total
Money
Market
Funds
(Cost
$72,066,815)
72,066,815‌
Total
Investments
in
Securities
(Cost
$1,363,135,279)
1,368,318,919‌
Other
Assets
&
Liabilities,
Net
(152,807,983‌)
Net
Assets
1,215,510,936‌
(a)
Represents
privately
placed
and
other
securities
and
instruments
exempt
from
Securities
and
Exchange
Commission
registration
(collectively,
private
placements),
such
as
Section
4(a)(2)
and
Rule
144A
eligible
securities,
which
are
often
sold
only
to
qualified
institutional
buyers.
At
October
31,
2021,
the
total
value
of
these
securities
amounted
to
$295,640,693,
which
represents
24.32%
of
total
net
assets.
(b)
Variable
rate
security.
The
interest
rate
shown
was
the
current
rate
as
of
October
31,
2021.
(c)
Payment-in-kind
security.
Interest
can
be
paid
by
issuing
additional
par
of
the
security
or
in
cash.
(d)
Principal
amounts
are
shown
in
United
States
Dollars
unless
otherwise
noted.
(e)
Principal
and
interest
may
not
be
guaranteed
by
a
governmental
entity.
(f)
Represents
a
security
purchased
on
a
when-issued
basis.
(g)
The
rate
shown
is
the
seven-day
current
annualized
yield
at
October
31,
2021.
Abbreviation
Legend
LIBOR
London
Interbank
Offered
Rates
PJSC
Private
Joint
Stock
Company
SOFR
Secured
Overnight
Financing
Rate
TBA
To
Be
Announced
Currency
Legend
AUD
Australian
Dollar
CAD
Canadian
Dollar
EUR
Euro
GBP
Pound
Sterling
JPY
Japanese
Yen
NOK
Norwegian
Krone
NZD
New
Zealand
Dollar
SEK
Swedish
Krona
Fair
Value
Measurements
The
Fund
categorizes
its
fair
value
measurements
according
to
a
three-level
hierarchy
that
maximizes
the
use
of
observable
inputs
and
minimizes
the
use
of
unobservable
inputs
by
prioritizing
that
the
most
observable
input
be
used
when
available.
Observable
inputs
are
those
that
market
participants
would
use
in
pricing
an
investment
based
on
market
data
obtained
from
sources
independent
of
the
reporting
entity.
Unobservable
inputs
are
those
that
reflect
the
Fund’s
assumptions
about
the
information
market
participants
would
use
in
pricing
an
investment.
An
investment’s
level
within
the
fair
value
hierarchy
is
based
on
the
lowest
level
of
any
input
that
is
deemed
significant
to
the
asset's
or
liability’s
fair
value
measurement.
The
input
levels
are
not
necessarily
an
indication
of
the
risk
or
liquidity
associated
with
investments
at
that
level.
For
example,
certain
U.S.
government
securities
are
generally
high
quality
and
liquid,
however,
they
are
reflected
as
Level
2
because
the
inputs
used
to
determine
fair
value
may
not
always
be
quoted
prices
in
an
active
market.
Fair
value
inputs
are
summarized
in
the
three
broad
levels
listed
below:
PORTFOLIO
OF
INVESTMENTS
(continued)
October
31,
2021
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
22
Strategic
Beta
ETFs
|
Annual
Report
2021
Fair
Value
Measurements
(continued)
Level
1
—
Valuations
based
on
quoted
prices
for
investments
in
active
markets
that
the
Fund
has
the
ability
to
access
at
the
measurement
date.
Valuation
adjustments
are
not
applied
to
Level
1
investments.
Level
2
—
Valuations
based
on
other
significant
observable
inputs
(including
quoted
prices
for
similar
securities,
interest
rates,
prepayment
speeds,
credit
risks,
etc.).
Level
3
—
Valuations
based
on
significant
unobservable
inputs
(including
the
Fund’s
own
assumptions
and
judgment
in
determining
the
fair
value
of
investments).
Inputs
that
are
used
in
determining
fair
value
of
an
investment
may
include
price
information,
credit
data,
volatility
statistics,
and
other
factors.
These
inputs
can
be
either
observable
or
unobservable.
The
availability
of
observable
inputs
can
vary
between
investments,
and
is
affected
by
various
factors
such
as
the
type
of
investment,
and
the
volume
and
level
of
activity
for
that
investment
or
similar
investments
in
the
marketplace.
The
inputs
will
be
considered
by
the
Investment
Manager,
along
with
any
other
relevant
factors
in
the
calculation
of
an
investment’s
fair
value.
The
Fund
uses
prices
and
inputs
that
are
current
as
of
the
measurement
date,
which
may
include
periods
of
market
dislocations.
During
these
periods,
the
availability
of
prices
and
inputs
may
be
reduced
for
many
investments.
This
condition
could
cause
an
investment
to
be
reclassified
between
the
various
levels
within
the
hierarchy.
Investments
falling
into
the
Level
3
category
are
primarily
supported
by
quoted
prices
from
brokers
and
dealers
participating
in
the
market
for
those
investments.
However,
these
may
be
classified
as
Level
3
investments
due
to
lack
of
market
transparency
and
corroboration
to
support
these
quoted
prices.
Additionally,
valuation
models
may
be
used
as
the
pricing
source
for
any
remaining
investments
classified
as
Level
3.
These
models
may
rely
on
one
or
more
significant
unobservable
inputs
and/or
significant
assumptions
by
the
Investment
Manager.
Inputs
used
in
valuations
may
include,
but
are
not
limited
to,
financial
statement
analysis,
capital
account
balances,
discount
rates
and
estimated
cash
flows,
and
comparable
company
data.
Under
the
direction
of
the
Fund’s
Board
of
Trustees
(the
Board),
the
Investment
Manager’s
Valuation
Committee
(the
Committee)
is
responsible
for
overseeing
the
valuation
procedures
approved
by
the
Board.
The
Committee
consists
of
voting
and
non-voting
members
from
various
groups
within
the
Investment
Manager’s
organization,
including
operations
and
accounting,
trading
and
investments,
compliance,
risk
management
and
legal.
The
Committee
meets
at
least
monthly
to
review
and
approve
valuation
matters,
which
may
include
a
description
of
specific
valuation
determinations,
data
regarding
pricing
information
received
from
approved
pricing
vendors
and
brokers
and
the
results
of
Board-approved
valuation
control
policies
and
procedures
(the
Policies).
The
Policies
address,
among
other
things,
instances
when
market
quotations
are
or
are
not
readily
available,
including
recommendations
of
third
party
pricing
vendors
and
a
determination
of
appropriate
pricing
methodologies;
events
that
require
specific
valuation
determinations
and
assessment
of
fair
value
techniques;
securities
with
a
potential
for
stale
pricing,
including
those
that
are
illiquid,
restricted,
or
in
default;
and
the
effectiveness
of
third-party
pricing
vendors,
including
periodic
reviews
of
vendors.
The
Committee
meets
more
frequently,
as
needed,
to
discuss
additional
valuation
matters,
which
may
include
the
need
to
review
back-testing
results,
review
time-
sensitive
information
or
approve
related
valuation
actions.
The
Committee
reports
to
the
Board,
with
members
of
the
Committee
meeting
with
the
Board
at
each
of
its
regularly
scheduled
meetings
to
discuss
valuation
matters
and
actions
during
the
period,
similar
to
those
described
earlier.
The
following
table
is
a
summary
of
the
inputs
used
to
value
the
Fund’s
investments
at
October
31,
2021:
Level
1
($)
Level
2
($)
Level
3
($)
Total
($)
Investments
in
Securities
Corporate
Bonds
–
617,597,841
–
617,597,841
Foreign
Government
Obligations
–
285,429,514
–
285,429,514
U.S.
Government
&
Agency
Obligations
–
181,844,715
–
181,844,715
U.S.
Treasury
Obligations
211,380,034
–
–
211,380,034
Money
Market
Funds
72,066,815
–
–
72,066,815
Total
Investments
in
Securities
283,446,849
1,084,872,070
–
1,368,318,919
See
the
Portfolio
of
Investments
for
all
investment
classifications
not
indicated
in
the
table.
The
Fund’s
assets
assigned
to
the
Level
2
input
category
are
generally
valued
using
the
market
approach,
in
which
a
security's
value
is
determined
through
reference
to
prices
and
information
from
market
transactions
for
similar
or
identical
assets.
STATEMENT
OF
ASSETS
AND
LIABILITIES
October
31,
2021
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
Strategic
Beta
ETFs
|
Annual
Report
2021
23
Assets
Investments
in
securities,
at
value
Unaffiliated
issuers
(cost
$1,363,135,279)
$1,368,318,919
Foreign
currency
(cost
$3,719)
3,001
Receivable
for:
Investments
sold
on
a
delayed
delivery
basis
45,043,408
Interest
9,485,857
Investments
sold
2,675,372
Dividends
43,620
Reclaims
receivable
11,680
Total
assets
1,425,581,857
Liabilities
Payable
for:
Investments
purchased
on
a
delayed
delivery
basis
206,086,462
Investments
purchased
3,696,066
Investment
management
fees
288,393
Total
liabilities
210,070,921
Net
assets
applicable
to
outstanding
capital
stock
$1,215,510,936
Represented
by:
Paid-in
capital
$1,217,378,613
Total
distributable
earnings
(loss)
(1,867,677)
Total
-
representing
net
assets
applicable
to
outstanding
capital
stock
$1,215,510,936
Shares
outstanding
57,100,000
Net
asset
value
per
share
$21.29
STATEMENT
OF
OPERATIONS
Year
Ended
October
31,
2021
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
24
Strategic
Beta
ETFs
|
Annual
Report
2021
Investment
Income:
Interest
$26,005,469
Dividends
-
unaffiliated
issuers
48,932
Foreign
taxes
withheld
(153,181)
Total
income
25,901,220
Expenses:
Investment
management
fees
2,772,311
Net
Investment
Income
23,128,909
Realized
and
unrealized
gain
(loss)
-
net
Net
realized
gain
(loss)
on:
Investments
-
unaffiliated
issuers
(5,897,365)
In-kind
transactions
1,104,827
Foreign
currency
translations
(5,252)
Net
realized
loss
(4,797,790)
Change
in
net
unrealized
appreciation
(depreciation)
on:
Investments
-
unaffiliated
issuers
(7,556,525)
Foreign
currency
translations
(2,717)
Net
change
in
unrealized
depreciation
(7,559,242)
Net
realized
and
unrealized
loss
(12,357,032)
Net
Increase
in
net
assets
resulting
from
operations
$10,771,877
STATEMENT
OF
CHANGES
IN
NET
ASSETS
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
Strategic
Beta
ETFs
|
Annual
Report
2021
25
Year
Ended
October
31,
2021
Year
Ended
October
31,
2020
Operations
Net
investment
income
$23,128,909
$9,507,934
Net
realized
loss
(4,797,790)
(2,915,456)
Net
change
in
unrealized
appreciation
(depreciation)
(7,559,242)
6,738,128
Net
increase
in
net
assets
resulting
from
operations
10,771,877
13,330,606
Distributions
to
shareholders
Net
investment
income
and
net
realized
gains
(23,545,137)
(8,838,484)
Shareholder
transactions
Proceeds
from
shares
sold
698,714,370
377,579,960
Cost
of
shares
redeemed
(6,489,712)
(39,239,227)
Net
increase
in
net
assets
resulting
from
shareholder
transactions
692,224,658
338,340,733
Increase
in
net
assets
679,451,398
342,832,855
Net
Assets:
Net
assets
beginning
of
year
536,059,538
193,226,683
Net
assets
at
end
of
year
$1,215,510,936
$536,059,538
Capital
stock
activity
Shares
outstanding,
beginning
of
year
25,100,050
9,300,050
Subscriptions
32,300,000
17,900,000
Redemptions
(300,050)
(2,100,000)
Shares
outstanding,
end
of
year
57,100,000
25,100,050
FINANCIAL
HIGHLIGHTS
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
26
Strategic
Beta
ETFs
|
Annual
Report
2021
The
following
table
is
intended
to
help
you
understand
the
Fund’s
financial
performance.
Per
share
net
investment
income
(loss)
amounts
are
calculated
based
on
average
shares
outstanding
during
the
period.
Total
return
assumes
reinvestment
of
all
dividends
and
distributions,
if
any.
Total
Return
at
NAV
is
calculated
assuming
an
initial
investment
made
at
the
net
asset
value
at
the
beginning
of
the
period,
reinvestment
of
all
dividends
and
distributions
at
net
asset
value
during
the
period
and
redemption
on
the
last
day
of
the
period.
Total
Return
at
Market
is
calculated
assuming
an
initial
investment
made
at
the
market
price
at
the
beginning
of
the
period,
reinvestment
of
all
dividends
and
distributions
at
market
price
during
the
period
and
redemption
on
the
last
day
of
the
period.
The
total
return
would
have
been
lower
if
certain
expenses
had
not
been
reimbursed/waived
by
the
Investment
Manager.
Through
July
31,
2020,
Market
Price
returns
are
based
on
the
midpoint
of
the
bid/ask
spread
for
Fund
shares
at
market
close
(typically
4
pm
ET).
Beginning
with
August
31,
2020
month-end
performance,
Market
Price
returns
are
based
on
closing
prices
reported
by
the
Fund's
primary
listing
exchange
(typically
4
pm
ET
close).
These
returns
do
not
represent
the
returns
an
investor
would
receive
if
shares
were
traded
at
other
times.
Total
return
and
portfolio
turnover
are
not
annualized
for
periods
of
less
than
one
year.
The
portfolio
turnover
rate
is
calculated
without
regard
to
purchase
and
sales
transactions
of
short-term
instruments,
certain
derivatives
and
in-kind
transactions,
if
any.
If
such
transactions
were
included,
the
Fund’s
portfolio
turnover
rate
may
be
higher.
Year
Ended
October
31
,
2017
(a)
2021
2020
2019
2018
Per
share
data
Net
asset
value,
beginning
of
year
$21.36‌
$20.78‌
$18.86‌
$19.94‌
$20.00‌
Income
(loss)
from
investment
operations:
Net
investment
income
0.50‌
0.60‌
0.72‌
0.67‌
0.03‌
Net
realized
and
unrealized
gain
(loss)
(0.04‌)
0.57‌
1.91‌
(1.13‌)
(0.09‌)
Total
from
investment
operations
0.46‌
1.17‌
2.63‌
(0.46‌)
(0.06‌)
Less
distributions
to
shareholders:
Net
investment
income
(0.53‌)
(0.59‌)
(0.71‌)
(0.62‌)
–‌
Total
distribution
to
shareholders
(0.53‌)
(0.59‌)
(0.71‌)
(0.62‌)
–‌
Net
asset
value,
end
of
year
$21.29‌
$21.36‌
$20.78‌
$18.86‌
$19.94‌
Total
Return
at
NAV
2.16‌%
5.71‌%
14.21‌%
(2.32‌)%
(0.30‌)%
Total
Return
at
Market
1.97‌%
5.69‌%
14.78‌%
(2.68‌)%
(0.15‌)%
Ratios
to
average
net
assets:
Total
gross
expenses
(b)
0.28‌%
0.28‌%
0.28‌%
0.28‌%
(c)
0.28‌%
(d)
Total
net
expenses
(b)(e)
0.28‌%
0.28‌%
0.28‌%
0.24‌%
(c)
–‌%
(d)
Net
investment
income
2.34‌%
2.87‌%
3.62‌%
3.49‌%
3.10‌%
(d)
Supplemental
data
Net
assets,
end
of
year
(in
thousands)
$1,215,511‌
$536,060‌
$193,227‌
$84,884‌
$29,917‌
Portfolio
turnover
171‌%
156‌%
171‌%
140‌%
–‌%
(a)
The
Fund
commenced
operations
on
October
12,
2017.
Per
share
data
and
total
return
reflect
activity
from
that
date.
(b)
In
addition
to
the
fees
and
expenses
that
the
Fund
bears
directly,
the
Fund
indirectly
bears
a
pro
rata
share
of
the
fees
and
expenses
of
any
other
funds
in
which
it
invests.
Such
indirect
expenses
are
not
included
in
the
Fund’s
reported
expense
ratios.
(c)
The
ratio
includes
less
than
0.01%
for
the
year
ended
October
31,
2018
attributed
to
overdraft
expense,
which
is
outside
the
Unitary
Fee
(as
defined
in
Note
3).
(d)
Annualized
(e)
Total
net
expenses
include
the
impact
of
certain
fee
waivers/expense
reimbursements
made
by
the
Investment
Manager
and
certain
of
its
affiliates,
if
applicable.
NOTES
TO
FINANCIAL
STATEMENTS
October
31,
2021
Strategic
Beta
ETFs
|
Annual
Report
2021
27
Note
1.
Organization
Columbia
Diversified
Fixed
Income
Allocation
ETF
(the
Fund),
a
series
of
Columbia
ETF
Trust
I
(the
Trust),
is
a
diversified
fund.
The
Trust
is
registered
under
the
Investment
Company
Act
of
1940,
as
amended
(the
1940
Act),
as
an
open-end
management
investment
company
organized
as
a
Massachusetts
business
trust.
The
Trust
may
issue
an
unlimited
number
of
shares
(without
par
value).
Fund
Shares
The
market
prices
of
the
Fund’s
shares
may
differ
to
some
degree
from
the
Fund’s
net
asset
value
(NAV).
Unlike
conventional
mutual
funds,
the
Fund
issues
and
redeems
shares
on
a
continuous
basis,
at
NAV,
only
in
a
large
specified
number
of
shares,
each
called
a
“Creation
Unit.”
A
Creation
Unit
consists
of
50,000
shares.
Creation
Units
are
issued
and
redeemed
generally
in-kind
for
a
basket
of
securities
and/or
for
cash.
Investors
such
as
market
makers,
large
investors
and
institutions
who
wish
to
deal
in
Creation
Units
directly
with
the
Fund
must
have
entered
into
an
authorized
participant
agreement
(Authorized
Participants)
with
the
Funds’
principal
underwriter
and
the
transfer
agent,
or
purchase
through
a
dealer
that
has
entered
into
such
an
agreement.
Authorized
participants
may
purchase
or
redeem
Fund
shares
directly
from
the
Fund
only
in
Creation
Units.
The
Funds’
shares
are
also
listed
on
the
New
York
Stock
Exchange
for
which
investors
can
purchase
and
sell
shares
on
the
secondary
market
through
a
broker
at
market
prices
which
may
differ
from
the
NAV
of
the
Fund.
Note
2.
Summary
of
significant
accounting
policies
Basis
of
preparation
The
Fund
is
an
investment
company
that
applies
the
accounting
and
reporting
guidance
in
the
Financial
Accounting
Standards
Board
(FASB)
Accounting
Standards
Codification
Topic
946,
Financial
Services
–
Investment
Companies
(ASC946).
The
financial
statements
are
prepared
in
accordance
with
U.S.
generally
accepted
accounting
principles
(GAAP),
which
requires
management
to
make
certain
estimates
and
assumptions
that
affect
the
reported
amounts
of
assets
and
liabilities,
the
disclosure
of
contingent
assets
and
liabilities
at
the
date
of
the
financial
statements
and
the
reported
amounts
of
income
and
expenses
during
the
reporting
period.
Actual
results
could
differ
from
those
estimates.
The
following
is
a
summary
of
significant
accounting
policies
followed
by
the
Fund
in
the
preparation
of
its
financial
statements.
Security
valuation
Debt
securities
generally
are
valued
by
pricing
services
approved
by
the
Board
of
Trustees
based
upon
market
transactions
for
normal,
institutional-size
trading
units
of
similar
securities.
The
services
may
use
various
pricing
techniques
that
take
into
account,
as
applicable,
factors
such
as
yield,
quality,
coupon
rate,
maturity,
type
of
issue,
trading
characteristics
and
other
data,
as
well
as
approved
independent
broker-dealer
quotes.
Debt
securities
for
which
quotations
are
not
readily
available
or
not
believed
to
be
reflective
of
market
value
may
also
be
valued
based
upon
a
bid
quote
from
an
approved
independent
broker-dealer.
Debt
securities
maturing
in
60
days
or
less
are
valued
primarily
at
amortized
market
value,
unless
this
method
results
in
a
valuation
that
management
believes
does
not
approximate
fair
value.
Investments
in
open-end
investment
companies
(other
than
exchange-traded
funds
(ETFs)),
are
valued
at
the
latest
net
asset
value
reported
by
those
companies
as
of
the
valuation
time.
Investments
for
which
market
quotations
are
not
readily
available,
or
that
have
quotations
which
management
believes
are
not
reflective
of
market
value
or
reliable,
are
valued
at
fair
value
as
determined
in
good
faith
under
procedures
approved
by
and
under
the
general
supervision
of
the
Board
of
Trustees.
If
a
security
or
class
of
securities
(such
as
foreign
securities)
is
valued
at
fair
value,
such
value
is
likely
to
be
different
from
the
quoted
or
published
price
for
the
security,
if
available.
The
determination
of
fair
value
often
requires
significant
judgment.
To
determine
fair
value,
management
may
use
assumptions
including
but
not
limited
to
future
cash
flows
and
estimated
risk
premiums.
Multiple
inputs
from
various
sources
may
be
used
to
determine
fair
value.
NOTES
TO
FINANCIAL
STATEMENTS
(continued)
October
31,
2021
28
Strategic
Beta
ETFs
|
Annual
Report
2021
GAAP
requires
disclosure
regarding
the
inputs
and
valuation
techniques
used
to
measure
fair
value
and
any
changes
in
valuation
inputs
or
techniques.
In
addition,
investments
shall
be
disclosed
by
major
category.
This
information
is
disclosed
following
the
Fund’s
Portfolio
of
Investments.
Foreign
currency
transactions
and
translations
The
values
of
all
assets
and
liabilities
denominated
in
foreign
currencies
are
generally
translated
into
U.S.
dollars
at
exchange
rates
determined
at
the
close
of
regular
trading
on
the
New
York
Stock
Exchange.
Net
realized
and
unrealized
gains
(losses)
on
foreign
currency
transactions
and
translations
include
gains
(losses)
arising
from
the
fluctuation
in
exchange
rates
between
trade
and
settlement
dates
on
securities
transactions,
gains
(losses)
arising
from
the
disposition
of
foreign
currency
and
currency
gains
(losses)
between
the
accrual
and
payment
dates
on
dividends,
interest
income
and
foreign
withholding
taxes.
For
financial
statement
purposes,
the
Fund
does
not
distinguish
that
portion
of
gains
(losses)
on
investments
which
is
due
to
changes
in
foreign
exchange
rates
from
that
which
is
due
to
changes
in
market
prices
of
the
investments.
Such
fluctuations
are
included
with
the
net
realized
and
unrealized
gains
(losses)
on
investments
in
the
Statement
of
Operations.
To
be
announced
securities
The
Fund
may
trade
securities
on
a
To
Be
Announced
(TBA)
basis.
As
with
other
delayed-delivery
transactions,
a
seller
agrees
to
issue
a
TBA
security
at
a
future
date.
However,
the
seller
does
not
specify
the
particular
securities
to
be
delivered.
Instead,
the
Fund
agrees
to
accept
any
security
that
meets
specified
terms.
In
some
cases,
Master
Securities
Forward
Transaction
Agreements
(MSFTAs)
may
be
used
to
govern
transactions
of
certain
forward-settling
agency
mortgage-backed
securities,
such
as
delayed-delivery
and
TBAs,
between
the
Fund
and
counterparty.
The
MSFTA
maintains
provisions
for,
among
other
things,
initiation
and
confirmation,
payment
and
transfer,
events
of
default,
termination,
and
maintenance
of
collateral
relating
to
such
transactions.
Mortgage
dollar
roll
transactions
The
Fund
may
enter
into
mortgage
“dollar
rolls”
in
which
the
Fund
sells
securities
for
delivery
in
the
current
month
and
simultaneously
contracts
with
the
same
counterparty
to
repurchase
similar
but
not
identical
securities
(same
type,
coupon
and
maturity)
on
a
specified
future
date.
During
the
roll
period,
the
Fund
loses
the
right
to
receive
principal
and
interest
paid
on
the
securities
sold.
However,
the
Fund
may
benefit
because
it
receives
negotiated
amounts
in
the
form
of
reductions
of
the
purchase
price
for
the
future
purchase
plus
the
interest
earned
on
the
cash
proceeds
of
the
securities
sold
until
the
settlement
date
of
the
forward
purchase.
The
Fund
records
the
incremental
difference
between
the
forward
purchase
and
sale
of
each
forward
roll
as
a
realized
gain
or
loss.
Unless
any
realized
gains
exceed
the
income,
capital
appreciation,
and
gain
or
loss
due
to
mortgage
prepayments
that
would
have
been
realized
on
the
securities
sold
as
part
of
the
mortgage
dollar
roll,
the
use
of
this
technique
may
diminish
the
investment
performance
of
the
Fund
compared
to
what
the
performance
would
have
been
without
the
use
of
mortgage
dollar
rolls.
All
cash
proceeds
will
be
invested
in
instruments
that
are
permissible
investments
for
the
Fund.
The
Fund
identifies
cash
or
liquid
securities
in
an
amount
equal
to
the
forward
purchase
price.
For
financial
reporting
and
tax
purposes,
the
Fund
treats
“to
be
announced”
mortgage
dollar
rolls
as
two
separate
transactions,
one
involving
the
purchase
of
a
security
and
a
separate
transaction
involving
a
sale.
These
transactions
may
increase
the
Fund’s
portfolio
turnover
rate.
The
Fund
does
not
currently
enter
into
mortgage
dollar
rolls
that
are
accounted
for
as
financing
transactions.
Mortgage
dollar
rolls
involve
the
risk
that
the
market
value
of
the
securities
the
Fund
is
obligated
to
repurchase
may
decline
below
the
repurchase
price,
or
that
the
counterparty
may
default
on
its
obligations.
NOTES
TO
FINANCIAL
STATEMENTS
(continued)
October
31,
2021
Strategic
Beta
ETFs
|
Annual
Report
2021
29
Delayed
delivery
securities
The
Fund
may
trade
securities
on
other
than
normal
settlement
terms,
including
securities
purchased
or
sold
on
a
“when-
issued”
or
"forward
commitment"
basis.
This
may
increase
risk
to
the
Fund
since
the
other
party
to
the
transaction
may
fail
to
deliver,
which
could
cause
the
Fund
to
subsequently
invest
at
less
advantageous
prices.
The
Fund
designates
cash
or
liquid
securities
in
an
amount
equal
to
the
delayed
delivery
commitment.
Security
transactions
Security
transactions
are
accounted
for
on
the
trade
date.
Cost
is
determined
and
gains
(losses)
are
based
upon
the
specific
identification
method
for
both
financial
statement
and
federal
income
tax
purposes.
Income
recognition
Interest
income
is
recorded
on
an
accrual
basis.
Market
premiums
and
discounts,
including
original
issue
discounts,
are
amortized
and
accreted,
respectively,
over
the
expected
life
of
the
security
on
all
debt
securities,
unless
otherwise
noted.
The
Fund
may
place
a
debt
security
on
non-accrual
status
and
reduce
related
interest
income
when
it
becomes
probable
that
the
interest
will
not
be
collected
and
the
amount
of
uncollectible
interest
can
be
reasonably
estimated.
A
defaulted
debt
security
is
removed
from
non-accrual
status
when
the
issuer
resumes
interest
payments
or
when
collectability
of
interest
is
reasonably
assured.
Dividend
income
is
recorded
on
the
ex-dividend
date.
Expenses
General
expenses
of
the
Trust
are
allocated
to
the
Fund
and
other
funds
of
the
Trust
based
upon
relative
net
assets
or
other
expense
allocation
methodologies
determined
by
the
nature
of
the
expense.
Expenses
directly
attributable
to
the
Fund
are
charged
to
the
Fund.
Determination
of
net
asset
value
The
NAV
per
share
of
the
Fund
is
computed
by
dividing
the
value
of
the
net
assets
of
the
Fund
by
the
total
number
of
outstanding
shares
of
that
Fund,
rounded
to
the
nearest
cent,
at
the
close
of
regular
trading
(ordinarily
4:00
p.m.
Eastern
Time)
every
day
the
New
York
Stock
Exchange
is
open.
Federal
income
tax
status
For
federal
income
tax
purposes,
the
Fund
is
treated
as
a
separate
entity.
The
Fund
intends
to
qualify
each
year
as
a
regulated
investment
company
under
Subchapter
M
of
the
Internal
Revenue
Code,
as
amended,
and
will
distribute
substantially
all
of
its
investment
company
taxable
income
and
net
capital
gain,
if
any,
for
its
tax
year,
and
as
such
will
not
be
subject
to
federal
income
taxes.
In
addition,
the
Fund
intends
to
distribute
in
each
calendar
year
substantially
all
of
its
ordinary
income,
capital
gain
net
income
and
certain
other
amounts,
if
any,
such
that
the
Fund
should
not
be
subject
to
federal
excise
tax.
Therefore,
no
federal
income
or
excise
tax
provisions
are
recorded.
Foreign
taxes
The
Fund
may
be
subject
to
foreign
taxes
on
income,
gains
on
investments
or
currency
repatriation,
a
portion
of
which
may
be
recoverable.
The
Fund
will
accrue
such
taxes
and
recoveries,
as
applicable,
based
upon
its
current
interpretation
of
tax
rules
and
regulations
that
exist
in
the
markets
in
which
it
invests.
Realized
gains
in
certain
countries
may
be
subject
to
foreign
taxes
at
the
Fund
level,
based
on
statutory
rates.
The
Fund
accrues
for
such
foreign
taxes
on
realized
and
unrealized
gains
at
the
appropriate
rate
for
each
jurisdiction,
as
applicable.
The
amount,
if
any,
is
disclosed
as
a
liability
on
the
Statement
of
Assets
and
Liabilities.
NOTES
TO
FINANCIAL
STATEMENTS
(continued)
October
31,
2021
30
Strategic
Beta
ETFs
|
Annual
Report
2021
Distributions
to
shareholders
Distributions
from
net
investment
income,
if
any,
are
declared
and
paid
monthly.
Net
realized
capital
gains,
if
any,
are
distributed
at
least
annually.
Income
distributions
and
capital
gain
distributions
are
determined
in
accordance
with
federal
income
tax
regulations,
which
may
differ
from
GAAP.
Guarantees
and
indemnifications
Under
the
Trust’s
organizational
documents
and,
in
some
cases,
by
contract,
its
officers
and
trustees
are
indemnified
against
certain
liabilities
arising
out
of
the
performance
of
their
duties
to
the
Trust
or
its
funds.
In
addition,
certain
of
the
Fund’s
contracts
with
its
service
providers
contain
general
indemnification
clauses.
The
Fund’s
maximum
exposure
under
these
arrangements
is
unknown
since
the
amount
of
any
future
claims
that
may
be
made
against
the
Fund
cannot
be
determined,
and
the
Fund
has
no
historical
basis
for
predicting
the
likelihood
of
any
such
claims.
Note
3.
Investment
management
fees
Under
an
Investment
Management
Services
Agreement,
Columbia
Management
Investment
Advisers,
LLC
(the
Investment
Manager),
a
wholly-owned
subsidiary
of
Ameriprise
Financial,
Inc.,
determines
which
securities
will
be
purchased,
held
or
sold.
The
investment
management
fee
is
a
unitary
fee
paid
monthly
to
the
Investment
Manager
at
an
annual
rate
based
on
the
Fund’s
average
daily
net
assets.
In
return
for
this
fee,
the
Investment
Manager
pays
the
operating
costs
and
expenses
of
the
Fund
other
than
the
following
expenses
(which
will
be
paid
by
the
Fund):
taxes;
interest
incurred
on
borrowing
by
the
Fund,
if
any;
brokerage
fees
and
commissions
and
any
other
portfolio
transaction
expenses;
interest
and
fee
expense
related
to
the
Fund’s
participation
in
inverse
floater
structures;
infrequent
and/or
unusual
expenses,
including
without
limitation
litigation
expenses;
distribution
and/or
service
fees;
expenses
incurred
in
connection
with
lending
securities;
and
any
other
expenses
approved
by
the
Board
of
Trustees.
The
investment
management
fee
is
an
annual
fee
that
is
equal
to
0.28%
of
the
Fund’s
average
daily
net
assets.
Compensation
of
board
members
Members
of
the
Board
of
Trustees
who
are
not
officers
or
employees
of
the
Investment
Manager
or
Ameriprise
Financial
are
compensated
for
their
services
to
the
Fund.
Under
a
Deferred
Compensation
Plan
(the
Deferred
Plan),
these
members
of
the
Board
of
Trustees
may
elect
to
defer
payment
of
up
to
100%
of
their
compensation.
Deferred
amounts
are
treated
as
though
equivalent
dollar
amounts
had
been
invested
in
shares
of
certain
funds
managed
by
the
Investment
Manager.
The
deferred
amount
is
adjusted
for
market
value
changes
and
remains
until
distributed
in
accordance
with
the
Deferred
Plan.
All
amounts
payable
under
the
Deferred
Plan
constitute
a
general
unsecured
obligation
of
the
Fund.
The
expenses
of
the
compensation
of
the
members
of
the
Board
of
Trustees
that
are
allocated
to
the
Fund
are
payable
by
the
Investment
Manager.
Compensation
of
Chief
Compliance
Officer
The
Board
of
Trustees
has
appointed
a
Chief
Compliance
Officer
for
the
Fund
in
accordance
with
federal
securities
regulations.
A
portion
of
the
Chief
Compliance
Officer’s
total
compensation
is
allocated
to
the
Fund,
along
with
other
allocations
to
affiliated
registered
investment
companies
managed
by
the
Investment
Manager
and
its
affiliates,
based
on
relative
net
assets.
The
expenses
of
the
Chief
Compliance
Officer
allocated
to
the
Fund
are
payable
by
the
Investment
Manager.
Distribution
and
service
fees
ALPS
Distributors,
Inc.,
(the
Distributor)
serves
as
the
distributor
for
the
Fund.
The
Fund
has
adopted
a
distribution
and
service
plan
(the
Distribution
Plan).
Under
the
Distribution
Plan,
the
Fund
is
authorized
to
pay
distribution
fees
to
the
Distributor
and
other
firms
that
provide
distribution
and
shareholder
services
at
the
maximum
annual
rate
of
0.25%
of
average
daily
net
assets
of
the
Fund.
No
distribution
or
service
fees
are
currently
paid
by
the
Fund
or
have
been
approved
for
payment
by
the
Board
of
Trustees.
There
are
no
current
plans
to
impose
these
fees.
Note
4.
Federal
tax
information
The
timing
and
character
of
income
and
capital
gain
distributions
are
determined
in
accordance
with
income
tax
regulations,
which
may
differ
from
GAAP
because
of
temporary
or
permanent
book
to
tax
differences.
NOTES
TO
FINANCIAL
STATEMENTS
(continued)
October
31,
2021
Strategic
Beta
ETFs
|
Annual
Report
2021
31
At
October
31,
2021,
these
differences
are
primarily
due
to
differing
treatments
for
deferral/reversal
of
wash
sale
losses,
foreign
currency
transactions,
capital
loss
carryforwards,
principal
and/or
interest
of
fixed
income
securities
and
reversal
of
capital
gains
(losses)
on
a
redemption-in-kind.
To
the
extent
these
differences
are
permanent,
reclassifications
are
made
among
the
components
of
the
Fund’s
net
assets.
Temporary
differences
do
not
require
reclassifications.
The
following
reclassifications
were
made:
The
tax
character
of
distributions
paid
during
the
years
indicated
was
as
follows:
Short-term
capital
gain
distributions,
if
any,
are
considered
ordinary
income
distributions
for
tax
purposes.
At
October
31,
2021,
the
components
of
distributable
earnings
on
a
tax
basis
were
as
follows:
At
October
31,
2021,
the
cost
of
all
investments
for
federal
income
tax
purposes
along
with
the
aggregate
gross
unrealized
appreciation
and
depreciation
based
on
that
cost
was:
Tax
cost
of
investments
and
unrealized
appreciation/(depreciation)
may
also
include
timing
differences
that
do
not
constitute
adjustments
to
tax
basis.
The
following
capital
loss
carryforwards,
determined
at
October
31,
2021,
may
be
available
to
reduce
future
net
realized
gains
on
investments,
if
any,
to
the
extent
permitted
by
the
Internal
Revenue
Code.
In
addition,
for
the
year
ended
October
31,
2021,
capital
loss
carryforwards
utilized,
if
any,
were
as
follows:
Management
of
the
Fund
has
concluded
that
there
are
no
significant
uncertain
tax
positions
in
the
Fund
that
would
require
recognition
in
the
financial
statements.
However,
management’s
conclusion
may
be
subject
to
review
and
adjustment
at
a
later
date
based
on
factors
including,
but
not
limited
to,
new
tax
laws,
regulations,
and
administrative
interpretations
(including
relevant
court
decisions).
Generally,
the
Fund’s
federal
tax
returns
for
the
prior
three
fiscal
years
remain
subject
to
examination
by
the
Internal
Revenue
Service.
Note
5.
Portfolio
information
The
cost
of
purchases
and
proceeds
from
sales
of
securities,
excluding
short-term
investments
and
in-kind
transactions,
if
any,
aggregated
to
$1,880,840,402
and
$1,668,168,702,
respectively,
for
the
year
ended
October
31,
2021,
of
which
$90,238,503
and
$74,375,825,
respectively,
were
U.S.
government
securities.
The
amount
of
purchase
and
sale
activity
impacts
the
portfolio
turnover
rate
reported
in
the
Financial
Highlights.
Undistributed
net
investment
income
($)
Accumulated
net
realized
gain
(loss)
($)
Paid-in
capital
($)
1,648,938
(2,749,306)
1,100,368
Year
Ended
October
31,
2021
Year
Ended
October
31,
2020
Ordinary
income
($)
Long-term
capital
gain
($)
Total
($)
Ordinary
income
($)
Long-term
capital
gain
($)
Total
($)
23,545,137
-
23,545,137
8,838,484
-
8,838,484
Undistributed
ordinary
income
($)
Undistributed
long-term
capital
gains
($)
Capital
loss
carryforwards
($)
Net
unrealized
appreciation
($)
2,474,499
-
(8,284,937)
3,942,761
Federal
tax
cost
($)
Gross
unrealized
appreciation
($)
Gross
unrealized
depreciation
($)
Net
unrealized
appreciation
($)
1,364,376,158
20,004,504
(16,061,743)
3,942,761
No
expiration
short-term
($)
No
expiration
long-term
($)
Total
($)
Utilized
($)
8,284,937
-
8,284,937
-
NOTES
TO
FINANCIAL
STATEMENTS
(continued)
October
31,
2021
32
Strategic
Beta
ETFs
|
Annual
Report
2021
Note
6.
In-kind
transactions
The
Fund
may
accept
in-kind
contributions
and
redemptions.
In-kind
contributions
are
accounted
for
at
the
fair
market
value
of
the
in-kind
securities
contributed
on
the
date
of
contribution.
For
the
year
ended
October
31,
2021,
the
cost
basis
of
securities
contributed
was
$487,911,293.
Proceeds
from
the
sales
of
securities
include
the
value
of
securities
delivered
through
an
in-kind
redemption
of
certain
Fund
shares.
Net
realized
gains
on
these
securities
are
not
taxable
to
remaining
shareholders
in
the
Fund.
For
the
year
ended
October
31,
2021,
the
in-kind
redemption
cost
basis
was
$5,322,154,
the
proceeds
from
sales
were
$6,426,981
and
the
net
realized
gain
was
$1,104,827.
Note
7.
Line
of
credit
The
Fund
has
access
to
a
revolving
credit
facility
with
a
syndicate
of
banks
led
by
JPMorgan
Chase
Bank,
N.A.,
Citibank,
N.A.
and
Wells
Fargo
Bank,
N.A.
whereby
the
Fund
may
borrow
for
the
temporary
funding
of
shareholder
redemptions
or
for
other
temporary
or
emergency
purposes.
Pursuant
to
an
October
28,
2021
amendment
and
restatement,
the
credit
facility,
which
is
a
collective
agreement
between
the
Fund
and
certain
other
funds
managed
by
the
Investment
Manager
or
an
affiliated
investment
manager,
severally
and
not
jointly,
permits
collective
borrowings
up
to
$950
million.
Interest
is
currently
charged
to
each
participating
fund
based
on
its
borrowings
at
a
rate
equal
to
the
higher
of
(i)
the
federal
funds
effective
rate,
(ii)
the
secured
overnight
financing
rate
plus
0.11448%
and
(iii)
the
overnight
bank
funding
rate,
plus
in
each
case,
1.00%.
Each
borrowing
under
the
credit
facility
matures
no
later
than
60
days
after
the
date
of
borrowing.
The
Fund
also
pays
a
commitment
fee
equal
to
its
pro
rata
share
of
the
unused
amount
of
the
credit
facility
at
a
rate
of
0.15%
per
annum.
The
commitment
fee
is
included
in
other
expenses
in
the
Statement
of
Operations.
This
agreement
expires
annually
in
October
unless
extended
or
renewed.
Prior
to
the
October
28,
2021
amendment
and
restatement,
the
Fund
had
access
to
a
revolving
credit
facility
with
a
syndicate
of
banks
led
by
JPMorgan
Chase
Bank,
N.A.,
Citibank,
N.A.
and
Wells
Fargo
Bank,
N.A.
which
permitted
collective
borrowings
up
to
$950
million.
Interest
was
charged
to
each
participating
fund
based
on
its
borrowings
at
a
rate
equal
to
the
higher
of
(i)
the
federal
funds
effective
rate,
(ii)
the
one-
month
London
Interbank
Offered
Rate
(LIBOR)
rate
and
(iii)
the
overnight
bank
funding
rate,
plus
in
each
case,
1.25%.
The
Fund
had
no
borrowings
during
the
year
ended
October
31,
2021.
Note
8.
Significant
risks
Credit
risk
Credit
risk
is
the
risk
that
the
value
of
debt
instruments
in
the
Fund’s
portfolio
may
decline
because
the
issuer
defaults
or
otherwise
becomes
unable
or
unwilling,
or
is
perceived
to
be
unable
or
unwilling,
to
honor
its
financial
obligations,
such
as
making
payments
to
the
Fund
when
due.
Credit
rating
agencies
assign
credit
ratings
to
certain
debt
instruments
to
indicate
their
credit
risk.
Lower-rated
or
unrated
debt
instruments
held
by
the
Fund
may
present
increased
credit
risk
as
compared
to
higher-rated
debt
instruments.
High-yield
investments
risk
Securities
and
other
debt
instruments
held
by
the
Fund
that
are
rated
below
investment
grade
(commonly
called
"high-
yield"
or
"junk"
bonds)
and
unrated
debt
instruments
of
comparable
quality
expose
the
Fund
to
a
greater
risk
of
loss
of
principal
and
income
than
a
fund
that
invests
solely
or
primarily
in
investment
grade
debt
instruments.
In
addition,
these
investments
have
greater
price
fluctuations,
are
less
liquid
and
are
more
likely
to
experience
a
default
than
higher-
rated
debt
instruments.
High-yield
debt
instruments
are
considered
to
be
predominantly
speculative
with
respect
to
the
issuer’s
capacity
to
pay
interest
and
repay
principal.
Interest
rate
risk
Interest
rate
risk
is
the
risk
of
losses
attributable
to
changes
in
interest
rates.
In
general,
if
prevailing
interest
rates
rise,
the
values
of
debt
instruments
tend
to
fall,
and
if
interest
rates
fall,
the
values
of
debt
instruments
tend
to
rise.
Actions
by
governments
and
central
banking
authorities
can
result
in
increases
or
decreases
in
interest
rates.
Higher
periods
of
inflation
could
lead
such
authorities
to
raise
interest
rates.
Increasing
interest
rates
may
negatively
affect
the
value
of
debt
securities
held
by
the
Fund,
resulting
in
a
negative
impact
on
the
Fund’s
performance
and
net
asset
value
per
share.
NOTES
TO
FINANCIAL
STATEMENTS
(continued)
October
31,
2021
Strategic
Beta
ETFs
|
Annual
Report
2021
33
In
general,
the
longer
the
maturity
or
duration
of
a
debt
security,
the
greater
its
sensitivity
to
changes
in
interest
rates.
The
Fund
is
subject
to
the
risk
that
the
income
generated
by
its
investments
may
not
keep
pace
with
inflation.
Liquidity
risk
Liquidity
risk
is
the
risk
associated
with
a
lack
of
marketability
of
investments
which
may
make
it
difficult
to
sell
the
investment
at
a
desirable
time
or
price.
Changing
regulatory,
market
or
other
conditions
or
environments
(for
example,
the
interest
rate
or
credit
environments)
may
adversely
affect
the
liquidity
of
the
Fund’s
investments.
The
Fund
may
have
to
accept
a
lower
selling
price
for
the
holding,
sell
other
investments,
or
forego
another,
more
appealing
investment
opportunity.
Generally,
the
less
liquid
the
market
at
the
time
the
Fund
sells
a
portfolio
investment,
the
greater
the
risk
of
loss
or
decline
of
value
to
the
Fund.
A
less
liquid
market
can
lead
to
an
increase
in
Fund
redemptions,
which
may
negatively
impact
Fund
performance
and
net
asset
value
per
share,
including,
for
example,
if
the
Fund
is
forced
to
sell
securities
in
a
down
market.
Market
and
environment
risk
The
Fund
may
incur
losses
due
to
declines
in
the
value
of
one
or
more
securities
in
which
it
invests.
These
declines
may
be
due
to
factors
affecting
a
particular
issuer,
or
the
result
of,
among
other
things,
political,
regulatory,
market,
economic
or
social
developments
affecting
the
relevant
market(s)
more
generally.
In
addition,
turbulence
in
financial
markets
and
reduced
liquidity
in
equity,
credit
and/or
fixed
income
markets
may
negatively
affect
many
issuers,
which
could
adversely
affect
the
Fund,
including
causing
difficulty
in
assigning
prices
to
hard-to-value
assets
in
thinly
traded
and
closed
markets,
significant
redemptions
and
operational
challenges.
Global
economies
and
financial
markets
are
increasingly
interconnected,
and
conditions
and
events
in
one
country,
region
or
financial
market
may
adversely
impact
issuers
in
a
different
country,
region
or
financial
market.
These
risks
may
be
magnified
if
certain
events
or
developments
adversely
interrupt
the
global
supply
chain;
in
these
and
other
circumstances,
such
risks
might
affect
companies
worldwide.
As
a
result,
local,
regional
or
global
events
such
as
terrorism,
war,
natural
disasters,
disease/virus
outbreaks
and
epidemics
or
other
public
health
issues,
recessions,
depressions
or
other
events
–
or
the
potential
for
such
events
–
could
have
a
significant
negative
impact
on
global
economic
and
market
conditions
and
could
result
in
increased
premiums
or
discounts
to
the
Fund’s
net
asset
value.
The
COVID-19
pandemic
has
resulted
in,
and
may
continue
to
result
in,
significant
global
economic
and
societal
disruption
and
market
volatility
due
to
disruptions
in
market
access,
resource
availability,
facilities
operations,
imposition
of
tariffs,
export
controls
and
supply
chain
disruption,
among
others.
Such
disruptions
may
be
caused,
or
exacerbated
by,
quarantines
and
travel
restrictions,
workforce
displacement
and
loss
in
human
and
other
resources.
The
uncertainty
surrounding
the
magnitude,
duration,
reach,
costs
and
effects
of
the
global
pandemic,
as
well
as
actions
that
have
been
or
could
be
taken
by
governmental
authorities
or
other
third
parties,
present
unknowns
that
are
yet
to
unfold.
The
impacts,
as
well
as
the
uncertainty
over
impacts
to
come,
of
COVID-19
–
and
any
other
infectious
illness
outbreaks,
epidemics
and
pandemics
that
may
arise
in
the
future
–
could
negatively
affect
global
economies
and
markets
in
ways
that
cannot
necessarily
be
foreseen.
In
addition,
the
impact
of
infectious
illness
outbreaks
and
epidemics
in
emerging
market
countries
may
be
greater
due
to
generally
less
established
healthcare
systems,
governments
and
financial
markets.
Public
health
crises
caused
by
the
COVID-19
outbreak
may
exacerbate
other
pre-existing
political,
social
and
economic
risks
in
certain
countries
or
globally.
The
disruptions
caused
by
COVID-19
could
prevent
the
Fund
from
executing
advantageous
investment
decisions
in
a
timely
manner
and
negatively
impact
the
Fund’s
ability
to
achieve
its
investment
objectives.
Any
such
event(s)
could
have
a
significant
adverse
impact
on
the
value
and
risk
profile
of
the
Fund.
Passive
investment
risk
The
Fund
is
not
“actively”
managed
and
may
be
affected
by
a
general
decline
in
market
segments
related
to
its
tracking
index.
The
Fund
invests
in
securities
or
instruments
included
in,
or
believed
by
the
Investment
Manager
to
be
representative
of,
its
tracking
index,
regardless
of
their
investment
merits.
The
Fund
does
not
seek
temporary
defensive
positions
when
markets
decline
or
appear
overvalued.
The
decision
of
whether
to
remove
a
security
from
a
tracking
index
is
made
by
an
independent
index
provider
who
is
not
affiliated
with
the
Fund
or
the
Investment
Manager.
NOTES
TO
FINANCIAL
STATEMENTS
(continued)
October
31,
2021
34
Strategic
Beta
ETFs
|
Annual
Report
2021
Note
9.
Subsequent
events
Management
has
evaluated
the
events
and
transactions
that
have
occurred
through
the
date
the
financial
statements
were
issued
and
noted
no
items
requiring
adjustment
of
the
financial
statements
or
additional
disclosure.
Note
10.
Information
regarding
pending
and
settled
legal
proceedings
Ameriprise
Financial
and
certain
of
its
affiliates
have
historically
been
involved
in
a
number
of
legal,
arbitration
and
regulatory
proceedings,
including
routine
litigation,
class
actions,
and
governmental
actions,
concerning
matters
arising
in
connection
with
the
conduct
of
their
business
activities.
Ameriprise
Financial
believes
that
the
Fund
is
not
currently
the
subject
of,
and
that
neither
Ameriprise
Financial
nor
any
of
its
affiliates
are
the
subject
of,
any
pending
legal,
arbitration
or
regulatory
proceedings
that
are
likely
to
have
a
material
adverse
effect
on
the
Fund
or
the
ability
of
Ameriprise
Financial
or
its
affiliates
to
perform
under
their
contracts
with
the
Fund.
Ameriprise
Financial
is
required
to
make
quarterly
(10-Q),
annual
(10-K)
and,
as
necessary,
8-K
filings
with
the
Securities
and
Exchange
Commission
(SEC)
on
legal
and
regulatory
matters
that
relate
to
Ameriprise
Financial
and
its
affiliates.
Copies
of
these
filings
may
be
obtained
by
accessing
the
SEC
website
at
www.sec.gov.
There
can
be
no
assurance
that
these
matters,
or
the
adverse
publicity
associated
with
them,
will
not
result
in
increased
Fund
redemptions,
reduced
sale
of
Fund
shares
or
other
adverse
consequences
to
the
Fund.
Further,
although
we
believe
proceedings
are
not
likely
to
have
a
material
adverse
effect
on
the
Fund
or
the
ability
of
Ameriprise
Financial
or
its
affiliates
to
perform
under
their
contracts
with
the
Fund,
these
proceedings
are
subject
to
uncertainties
and,
as
such,
we
are
unable
to
estimate
the
possible
loss
or
range
of
loss
that
may
result.
An
adverse
outcome
in
one
or
more
of
these
proceedings
could
result
in
adverse
judgments,
settlements,
fines,
penalties
or
other
relief
that
could
have
a
material
adverse
effect
on
the
consolidated
financial
condition
or
results
of
operations
of
Ameriprise
Financial
or
one
or
more
of
its
affiliates
that
provides
services
to
the
Fund.
Strategic
Beta
ETFs
|
Annual
Report
2021
35
REPORT
OF
INDEPENDENT
REGISTERED
PUBLIC
ACCOUNTING
FIRM
To
the
Board
of
Trustees
of
Columbia
ETF
Trust
I
and
Shareholders
of
Columbia
Diversified
Fixed
Income
Allocation
ETF
Opinion
on
the
Financial
Statements
We
have
audited
the
accompanying
statement
of
assets
and
liabilities,
including
the
portfolio
of
investments,
of
Columbia
Diversified
Fixed
Income
Allocation
ETF
(one
of
the
funds
constituting
Columbia
ETF
Trust
I,
referred
to
hereafter
as
the
"Fund")
as
of
October
31,
2021,
the
related
statement
of
operations
for
the
year
ended
October
31,
2021,
the
statement
of
changes
in
net
assets
for
each
of
the
two
years
in
the
period
ended
October
31,
2021,
including
the
related
notes,
and
the
financial
highlights
for
each
of
the
four
years
in
the
period
ended
October
31,
2021
and
for
the
period
October
12,
2017
(commencement
of
operations)
through
October
31,
2017
(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,
2021,
the
results
of
its
operations
for
the
year
then
ended,
the
changes
in
its
net
assets
for
each
of
the
two
years
in
the
period
ended
October
31,
2021
and
the
financial
highlights
for
each
of
the
four
years
in
the
period
ended
October
31,
2021
and
for
the
period
October
12,
2017
(commencement
of
operations)
through
October
31,
2017
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,
2021
by
correspondence
with
the
custodian
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
opinion.
/s/PricewaterhouseCoopers
LLP
Minneapolis,
Minnesota
December
21,
2021
We
have
served
as
the
auditor
of
one
or
more
investment
companies
within
the
Columbia
Funds
Complex
since
1977.
FEDERAL
INCOME
TAX
INFORMATION
(Unaudited)
36
Strategic
Beta
ETFs
|
Annual
Report
2021
The
Fund
hereby
designates
the
following
tax
attributes
for
the
fiscal
year
ended
October
31,
202
1
.
Shareholders
will
be
notified
in
early
202
2
of
the
amounts
for
use
in
preparing
202
1
income
tax
returns.
The
Fund
reports
the
following
for
ordinary
income
distributions:
Fund
Columbia
Diversified
Fixed
Income
Allocation
ETF
$23,545,137
TRUSTEES
AND
OFFICERS
Strategic
Beta
ETFs
|
Annual
Report
2021
37
The
Board
oversees
the
Funds'
operations
and
appoints
officers
who
are
responsible
for
day-to-day
business
decisions
based
on
policies
set
by
the
Board.
The
following
table
provides
basic
biographical
information
about
the
Funds'
Trustees
as
of
the
printing
of
this
report,
including
their
principal
occupations
during
the
past
five
years,
although
specific
titles
for
individuals
may
have
varied
over
the
period.
The
year
set
forth
beneath
Length
of
Service
in
the
table
below
is
the
year
in
which
the
Trustee
was
first
appointed
or
elected
as
Trustee
to
any
Fund
currently
in
the
Columbia
Funds
Complex
or
a
predecessor
thereof.
Under
current
Board
policy,
each
Trustee
generally
serves
until
December
31
of
the
year
such
Trustee
turns
seventy-five
(75).
Independent
trustees
Name,
Address,
Year
of
Birth
Position
held
with
the
Columbia
Funds
and
Length
of
Service
Principal
Occupation(s)
During
the
Past
Five
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
the
Columbia
Funds
Complex*
Overseen
Other
Directorships
Held
by
Trustee
During
the
Past
Five
Years
George
S.
Batejan
c/o
Columbia
Management
Investment
Advisers,
LLC,
290
Congress
Street
Boston,
MA
02210
1953
Trustee
2017
Executive
Vice
President,
Global
Head
of
Technology
and
Operations,
Janus
Capital
Group,
Inc.,
2010-2016
171
Former
Chairman
of
the
Board,
NICSA
(National
Investment
Company
Services
Association)
(Executive
Committee,
Nominating
Committee
and
Governance
Committee),
2014-2016;
former
Director,
Intech
Investment
Management,
2011-2016;
former
Board
Member,
Metro
Denver
Chamber
of
Commerce,
2015-2016;
former
Advisory
Board
Member,
University
of
Colorado
Business
School,
2015-2018
Kathleen
Blatz
c/o
Columbia
Management
Investment
Advisers,
LLC,
290
Congress
Street
Boston,
MA
02210
1954
Trustee
2006
Attorney,
specializing
in
arbitration
and
mediation;
Chief
Justice,
Minnesota
Supreme
Court,
1998-2006;
Associate
Justice,
Minnesota
Supreme
Court,
1996-1998;
Fourth
Judicial
District
Court
Judge,
Hennepin
County,
1994-1996;
Attorney
in
private
practice
and
public
service,
1984-1993;
State
Representative,
Minnesota
House
of
Representatives,
1979-1993,
which
included
service
on
the
Tax
and
Financial
Institutions
and
Insurance
Committees;
Member
and
Interim
Chair,
Minnesota
Sports
Facilities
Authority,
January
-
July
2017;
Interim
President
and
Chief
Executive
Officer,
Blue
Cross
and
Blue
Shield
of
Minnesota
(health
care
insurance),
February
-
July
2018
171
Trustee,
BlueCross
BlueShield
of
Minnesota
since
2009
(Chair
of
the
Business
Development
Committee,
2014-2017;
Chair
of
the
Governance
Committee,  2017-2019);
former
Member
and
Chair
of
the
Board,
Minnesota
Sports
Facilities
Authority,
January
2017
–
July
2017;
Director,
Robina
Foundation,
2009-2020
(Chair,
2014-2020)
TRUSTEES
AND
OFFICERS
(continued)
38
Strategic
Beta
ETFs
|
Annual
Report
2021
Independent
trustees
(continued)
Name,
Address,
Year
of
Birth
Position
held
with
the
Columbia
Funds
and
Length
of
Service
Principal
Occupation(s)
During
the
Past
Five
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
the
Columbia
Funds
Complex*
Overseen
Other
Directorships
Held
by
Trustee
During
the
Past
Five
Years
Pamela
G.
Carlton
c/o
Columbia
Management
Investment
Advisers,
LLC,
290
Congress
Street
Boston,
MA
02210
1954
Trustee
2007
President,
Springboard-
Partners
in
Cross
Cultural
Leadership
(consulting
company)
since
2003;
Managing
Director
of
US
Equity
Research,
JP
Morgan
Chase,
1999-2003;
Director
of
US
Equity
Research,
Chase
Asset
Management,
1996-
1999;
Co-Director
Latin
America
Research,
1993-1996,
COO
Global
Research,
1992-1996,
Co-Director
of
US
Research,
1991-1992,
Investment
Banker,
Morgan
Stanley,
1982-1991;
Attorney,
Cleary
Gottlieb
Steen
&
Hamilton
LLP,
1980-1982
171
Trustee,
New
York
Presbyterian
Hospital
Board
(Executive
Committee
and
Chair
of
People
Committee)
since
1996;
Director,
DR
Bank
(Audit
Committee)
since
2017;
Director,
Evercore
Inc.
(Audit
Committee,
Nominating
and
Governance
Committee)
since
2019
Janet
Langford
Carrig
c/o
Columbia
Management
Investment
Advisers,
LLC,
290
Congress
Street
Boston,
MA
02210
1957
Trustee
1996
Senior
Vice
President,
General
Counsel
and
Corporate
Secretary,
ConocoPhillips
(independent
energy
company),
September
2007-October
2018
169
Director,
EQT
Corporation
(natural
gas
producer)
since
2019;
Director,
Whiting
Petroleum
Corporation
(independent
oil
and
gas
company)
since
2020
J.
Kevin
Connaughton
c/o
Columbia
Management
Investment
Advisers,
LLC,
290
Congress
Street
Boston,
MA
02210
1964
Trustee
2020
(a)
Member,
FINRA
National
Adjudicatory
Council
since
January
2020;
Adjunct
Professor
of
Finance,
Bentley
University
since
January
2018;
Managing
Director
and
General
Manager
of
Mutual
Fund
Products,
Columbia
Management
Investment
Advisers,
LLC,
May
2010-February
2015;
President,
Columbia
Funds,
2008-2015;
and
senior
officer
of
Columbia
Funds
and
affiliated
funds,
2003-2015
169
Director,
The
Autism
Project
since
March
2015;
former
Member
of
the
Investment
Committee,
St.
Michael’s
College,
November
2015-February
2020;
former
Trustee,
St.
Michael’s
College,
June
2017-September
2019;
former
Trustee,
New
Century
Portfolios,
January
2015-December
2017
Olive
M.
Darragh
c/o
Columbia
Management
Investment
Advisers,
LLC,
290
Congress
Street
Boston,
MA
02210
1962
Trustee
2020
(a)
Managing
Director
of
Darragh
Inc.
(strategy
and
talent
management
consulting
firm)
since
2010;
Founder
and
CEO,
Zolio,
Inc.
(investment
management
talent
identification
platform)
since
2004;
Partner,
Tudor
Investments,
2004-2010;
Senior
Partner,
McKinsey
&
Company
(consulting),
2001-2004
169
Former
Director,
University
of
Edinburgh
Business
School
(Member
of
US
Board);
former
Director,
Boston
Public
Library
Foundation
Patricia
M.
Flynn
c/o
Columbia
Management
Investment
Advisers,
LLC,
290
Congress
Street
Boston,
MA
02210
1950
Trustee
2004
Trustee
Professor
of
Economics
and
Management,
Bentley
University
since
1976
(also
teaches
and
conducts
research
on
corporate
governance);
Dean,
McCallum
Graduate
School
of
Business,
Bentley
University,
1992-2002
171
Trustee,
MA
Taxpayers
Foundation
since
1997;
Board
of
Governors,
Innovation
Institute,
MA
Technology
Collaborative
since
2010;
Board
of
Directors,
The
MA
Business
Roundtable
2003-2019
TRUSTEES
AND
OFFICERS
(continued)
Strategic
Beta
ETFs
|
Annual
Report
2021
39
Independent
trustees
(continued)
Name,
Address,
Year
of
Birth
Position
held
with
the
Columbia
Funds
and
Length
of
Service
Principal
Occupation(s)
During
the
Past
Five
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
the
Columbia
Funds
Complex*
Overseen
Other
Directorships
Held
by
Trustee
During
the
Past
Five
Years
Brian
J.
Gallagher
c/o
Columbia
Management
Investment
Advisers,
LLC,
290
Congress
Street
Boston,
MA
02210
1954
Trustee
2017
Retired;
Partner
with
Deloitte
&
Touche
LLP
and
its
predecessors,
1977-2016
171
Trustee,
Catholic
Schools
Foundation
since
2004
Douglas
A.
Hacker
c/o
Columbia
Management
Investment
Advisers,
LLC,
290
Congress
Street
Boston,
MA
02210
1955
Co-Chair
since
2021;
Chair
of
CFST
I
and
CFVIT
since
2014;
Trustee
of
CFST
I
and
CFVIT
since
1996
and
CFST,
CFST
II,
CFVST
II,
CET
I
and
CET
II
since
2021
Independent
business
executive
since
May
2006;
Executive
Vice
President
–
Strategy
of
United
Airlines,
December
2002-May
2006;
President
of
UAL
Loyalty
Services
(airline
marketing
company),
September
2001-December
2002;
Executive
Vice
President
and
Chief
Financial
Officer
of
United
Airlines,
July
1999-September
2001
169
Director,
Spartan
Nash
Company
(food
distributor);
Director,
Aircastle
Limited
(Chair
of
Audit
Committee)
(aircraft
leasing);
former
Director,
Nash
Finch
Company
(food
distributor),
2005-
2013;
former
Director,
SeaCube
Container
Leasing
Ltd.
(container
leasing),
2010-2013;
and
former
Director,
Travelport
Worldwide
Limited
(travel
information
technology),
2014-2019
Nancy
T.
Lukitsh
c/o
Columbia
Management
Investment
Advisers,
LLC,
290
Congress
Street
Boston,
MA
02210
1956
Trustee
2011
Senior
Vice
President,
Partner
and
Director
of
Marketing,
Wellington
Management
Company,
LLP
(investment
adviser),
1997-
2010;
Chair,
Wellington
Management
Portfolios
(commingled
non-U.S.
investment
pools),
2007
-2010;
Director,
Wellington
Trust
Company,
NA
and
other
Wellington
affiliates,
1997-2010
169
None
David
M.
Moffett
c/o
Columbia
Management
Investment
Advisers,
LLC,
290
Congress
Street,
Boston,
MA
02210
1952
Trustee
2011
Retired;
Consultant
to
Bridgewater
and
Associates
169
Director,
CSX
Corporation
(transportation
suppliers);
Director,
Genworth
Financial,
Inc.
(financial
and
insurance
products
and
services);
Director,
PayPal
Holdings
Inc.
(payment
and
data
processing
services);
Trustee,
University
of
Oklahoma
Foundation;
former
Director,
eBay
Inc.
(online
trading
community),
2007-2015;
and
former
Director,
CIT
Bank,
CIT
Group
Inc.
(commercial
and
consumer
finance),
2010-2016
TRUSTEES
AND
OFFICERS
(continued)
40
Strategic
Beta
ETFs
|
Annual
Report
2021
Independent
trustees
(continued)
Name,
Address,
Year
of
Birth
Position
held
with
the
Columbia
Funds
and
Length
of
Service
Principal
Occupation(s)
During
the
Past
Five
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
the
Columbia
Funds
Complex*
Overseen
Other
Directorships
Held
by
Trustee
During
the
Past
Five
Years
Catherine
James
Paglia
c/o
Columbia
Management
Investment
Advisers,
LLC,
290
Congress
Street
Boston,
MA
02210
1952
Co-Chair
since
2021;
Chair
of
CFST,
CFST
II,
CFVST
II,
CET
I
and
CET
II
since
2020;
Trustee
of
CFST,
CFST
II,
CFVST
II,
CET
I
and
CET
II
since
2004
and
CFST
I
and
CFVIT
since
2021
Director,
Enterprise
Asset
Management,
Inc.
(private
real
estate
and
asset
management
company)
since
September
1998;
Managing
Director
and
Partner,
Interlaken
Capital,
Inc.,
1989-1997;
Vice
President,
1982-1985,
Principal,
1985-1987,
Managing
Director,
1987-1989,
Morgan
Stanley;
Vice
President,
Investment
Banking,
1980-1982,
Associate,
Investment
Banking,
Dean
Witter
Reynolds,
Inc.,
1976-1980
171
Director,
Valmont
Industries,
Inc.
(irrigation
systems
manufacturer)
since
2012;
Trustee,
Carleton
College
(on
the
Investment
Committee);
Trustee,
Carnegie
Endowment
for
International
Peace
(on
the
Investment
Committee)
Anthony
M.
Santomero
c/o
Columbia
Management
Investment
Advisers,
LLC,
290
Congress
Street
Boston,
MA
02210
1946
Trustee
2008
Richard
K.
Mellon
Professor
Emeritus
of
Finance,
The
Wharton
School,
University
of
Pennsylvania,
since
2002;
Senior
Advisor,
McKinsey
&
Company
(consulting),
2006-
2008;
President,
Federal
Reserve
Bank
of
Philadelphia,
2000-2006;
Professor
of
Finance,
The
Wharton
School,
University
of
Pennsylvania,
1972-2002
171
Trustee,
Penn
Mutual
Life
Insurance
Company
since
March
2008;
Director,
RenaissanceRe
Holdings
Ltd.
since
May
2008;
former
Director,
Citigroup
Inc.
and
Citibank,
N.A.,
2009-2019;
former
Trustee,
BofA
Funds
Series
Trust
(11
funds),
2008-2011
Minor
M.
Shaw
c/o
Columbia
Management
Investment
Advisers,
LLC,
290
Congress
Street
Boston,
MA
02210
1947
Trustee
2003
President,
Micco
LLC
(private
investments)
since
2011;
President,
Micco
Corp.
(family
investment
business),
1998-2011
171
Director,
BlueCross
BlueShield
of
South
Carolina
(Chair
of
Compensation
Committee)
since
April
2008;
Trustee,
Hollingsworth
Funds
(on
the
Investment
Committee)
since
2016
(previously
Board
Chair
from
2016-2019);
Former
Advisory
Board
member,
Duke
Energy
Corp.,
2016-
2020;
Chair
of
the
Duke
Endowment;
Chair
of
Greenville
–
Spartanburg
Airport
Commission;
former
Trustee,
BofA
Funds
Series
Trust
(11
funds),
2003-2011;
former
Director,
Piedmont
Natural
Gas,
2004-2016;
former
Director,
National
Association
of
Corporate
Directors,
Carolinas
Chapter,
2013-2018;
Chair
of
Daniel-Mickel
Foundation
TRUSTEES
AND
OFFICERS
(continued)
Strategic
Beta
ETFs
|
Annual
Report
2021
41
*
The
term
“Columbia
Funds
Complex”
as
used
herein
includes
Columbia
Seligman
Premium
Technology
Growth
Fund,
Tri-Continental
Corporation
and
each
series
of
Columbia
Funds
Series
Trust
(CFST),
Columbia
Funds
Series
Trust
I
(CFST
I),
Columbia
Funds
Series
Trust
II
(CFST
II),
Columbia
ETF
Trust
I
(CET
I),
Columbia
ETF
Trust
II
(CET
II),
Columbia
Funds
Variable
Insurance
Trust
(CFVIT)
and
Columbia
Funds
Variable
Series
Trust
II
(CFVST
II).
Messrs.
Batejan,
Beckman,
Gallagher
and
Santomero
and
Mses.
Blatz,
Carlton,
Flynn,
Paglia,
Shaw
and
Yeager
serve
as
directors
of
Columbia
Seligman
Premium
Technology
Growth
Fund
and
Tri-Continental
Corporation.
(a)
J.
Kevin
Connaughton
was
appointed
a
consultant
to
the
Independent
Trustees
of
CFST
I
and
CFVIT
effective
March
1,
2016.
Natalie
A.
Trunow
was
appointed
a
consultant
to
the
Independent
Trustees
of
CFST
I
and
CFVIT
effective
September
1,
2016.
Olive
M.
Darragh
was
appointed
a
consultant
to
the
Independent
Trustees
of
CFST
I
and
CFVIT
effective
June
10,
2019.
Shareholders
of
the
Funds
elected
Mr.
Connaughton
and
Mses.
Darragh
and
Trunow
as
Trustees
of
CFST,
CFST
I,
CFST
II,
CET
I,
CET
II,
and
CFVST
II
effective
January
1,
2021,
and
of
CFVIT,
effective
July
1,
2020.
Independent
trustees
(continued)
Name,
Address,
Year
of
Birth
Position
held
with
the
Columbia
Funds
and
Length
of
Service
Principal
Occupation(s)
During
the
Past
Five
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
the
Columbia
Funds
Complex*
Overseen
Other
Directorships
Held
by
Trustee
During
the
Past
Five
Years
Natalie
A.
Trunow
c/o
Columbia
Management
Investment
Advisers,
LLC,
290
Congress
Street
Boston,
MA
02210
1967
Trustee
2020
(a)
Chief
Executive
Officer,
Millennial
Portfolio
Solutions
LLC
(asset
management
and
consulting
services)
since
January
2016;
Non-executive
Member
of
the
Investment
Committee,
Sarona
Asset
Management
Inc.
(private
equity
firm)
since
September
2019;
Advisor,
Horizon
Investments
(asset
management
and
consulting
services)
since
August
2018;
Advisor,
Paradigm
Asset
Management
since
November
2016;
Director
of
Investments,
Casey
Family
Programs,
April
2016-September
2016;
Senior
Vice
President
and
Chief
Investment
Officer,
Calvert
Investments,
August
2008
-
January
2016;
Section
Head
and
Portfolio
Manager,
General
Motors
Asset
Management,
June
1997-August
2008
169
Director,
Health
Services
for
Children
with
Special
Needs,
Inc.;
Director,
Consumer
Credit
Counseling
Services
(formerly
Guidewell
Financial
Solutions);
Independent
Director,
Investment
Committee,
Sarona
Asset
Management
Sandra
Yeager
c/o
Columbia
Management
Investment
Advisers,
LLC,
290
Congress
Street
Boston,
MA
02210
1964
Trustee
2017
Retired;
President
and
founder,
Hanoverian
Capital,
LLC
(SEC
registered
investment
advisor
firm),
2008-2016;
Managing
Director,
DuPont
Capital,
2006-2008;
Managing
Director,
Morgan
Stanley
Investment
Management,
2004-2006;
Senior
Vice
President,
Alliance
Bernstein,
1990-2004
171
Director,
NAPE
Education
Foundation,
October
2016-October
2020
TRUSTEES
AND
OFFICERS
(continued)
42
Strategic
Beta
ETFs
|
Annual
Report
2021
*
Interested
person
(as
defined
under
the
1940 Act)
by
reason
of
being
an
officer,
director,
security
holder
and/or
employee
of
the
Investment
Manager
or
Ameriprise
Financial.
(a)
Mr.
Beckman
serves
as
the
President
and
Principal
Executive
Officer
of
the
Columbia
Funds
(since
2021).
The
Statement
of
Additional
Information
has
additional
information
about
the
Funds’
Board
members
and
is
available
without
charge,
upon
request
by
calling
888.800.4347
or
visiting
columbiathreadneedleus.com/etfs.
Interested
trustee
affiliated
with
Investment
Manager*
Name,
Address,
Year
of
Birth
Position
Held
with
the
Columbia
Funds
and
Length
of
Service
Principal
Occupation(s)
During
the
Past
Five
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
the
Columbia
Funds
Complex
Overseen
Other
Directorships
Held
by
Trustee
During
the
Past
Five
Years
Daniel
J.
Beckman
c/o
Columbia
Management
Investment
Advisers,
LLC
290
Congress
Street
Boston,
MA
02210
1962
Trustee
November
2021
(a)
Vice
President
–
Head
of
North
America
Product,
Columbia
Management
Investment
Advisers,
LLC
(since
April
2015);
officer
of
Columbia
Funds
and
affiliated
funds
since
2020.
171
Director,
Ameriprise
Trust
Company,
since
October
2016;
Director,
Columbia
Management
Investment
Distributors,
Inc.
since
November
2018
TRUSTEES
AND
OFFICERS
(continued)
Strategic
Beta
ETFs
|
Annual
Report
2021
43
The
Board
has
appointed
officers
who
are
responsible
for
day-to-day
business
decisions
based
on
policies
it
has
established.
The
officers
serve
at
the
pleasure
of
the
Board.
The
following
table
provides
basic
information
about
the
Officers
of
the
Trusts
as
of
the
printing
of
this
report,
including
principal
occupations
during
the
past
five
years,
although
their
specific
titles
may
have
varied
over
the
period.
In
addition
to
Mr.
Beckman
who
is
the
President
and
Principal
Executive
Officer,
the
Funds'
other
officers
are:
Fund
officers
Name,
Address
and
Year
of
Birth
Position
and
Year
First
Appointed
to
Position
for
any
Fund
in
the
Columbia
Funds
Complex
Predecessor
Thereof
Principal
Occupation(s)
During
Past
Five
Years
Michael
G.
Clarke
290
Congress
Street
Boston,
MA
02210
1969
Chief
Financial
Officer
Principal
Financial
Officer
(2009)
and
Senior
Vice
President
(2019)
Vice
President,
Head
of
North
American
Operations,
and
Co-Head
of
Global
Operations,
Columbia
Management
Investment
Advisers,
LLC,
since
June
2019
(previously
Vice
President
–
Accounting
and
Tax,
May
2010
–
May
2019);
senior
officer
of
Columbia
Funds
and
affiliated
funds
since
2002.
Joseph
Beranek
5890
Ameriprise
Financial
Center
Minneapolis,
MN
55474
1965
Treasurer
and
Chief
Accounting
Officer
(Principal
Accounting
Officer)
(2019)
and
Principal
Financial
Officer
(2020),
CFST,
CFST
I,
CFST
II,
CFVIT
and
CFVST
II;
Assistant
Treasurer,
CET
I
and
CET
II
Vice
President
–
Mutual
Fund
Accounting
and
Financial
Reporting,
Columbia
Management
Investment
Advisers,
LLC,
since
December
2018
and
March
2017,
respectively
(previously
Vice
President
–
Pricing
and
Corporate
Actions,
May
2010
–
March
2017).
Marybeth
Pilat
290
Congress
Street
Boston,
MA
02210
1968
Treasurer
and
Chief
Accounting
Officer
(Principal
Accounting
Officer)
and
Principal
Financial
Officer
(2020)
for
CET
I
and
CET
II;
Assistant
Treasurer,
CFST,
CFST
I,
CFST
II,
CFVIT
and
CFVST
II
Vice
President
–
Product
Pricing
and
Administration,
Columbia
Management
Investment
Advisers,
LLC,
since
May
2017;
Director
-
Fund
Administration,
Calvert
Investments,
August
2015
–
March
2017;
Vice
President
-
Fund
Administration,
Legg
Mason,
May
2015
-
July
2015;
Vice
President
-
Fund
Administration,
Columbia
Management
Investment
Advisers,
LLC,
May
2010
-
April
2015.
William
F.
Truscott
290
Congress
Street
Boston,
MA
02210
1960
Senior
Vice
President
(2001)
Formerly,
Trustee
of
Columbia
Funds
Complex
until
January
1,
2021;
Chief
Executive
Officer,
Global
Asset
Management,
Ameriprise
Financial,
Inc.
since
September
2012;
Chairman
of
the
Board
and
President,
Columbia
Management
Investment
Advisers,
LLC
since
July
2004
and
February
2012,
respectively;
Chairman
of
the
Board
and
Chief
Executive
Officer,
Columbia
Management
Investment
Distributors,
Inc.
since
November
2008
and
February
2012,
respectively;
Chairman
of
the
Board
and
Director,
Threadneedle
Asset
Management
Holdings,
Sàrl
since
March
2013
and
December
2008,
respectively;
senior
executive
of
various
entities
affiliated
with
Columbia
Threadneedle.
Christopher
O.
Petersen
5228
Ameriprise
Financial
Center
Minneapolis,
MN
55474
1970
Senior
Vice
President
and
Assistant
Secretary
(2021)
Formerly,
Trustee
of
Columbia
Funds
Complex
until
November
22,
2021;
Senior
Vice
President
and
Assistant
General
Counsel,
Ameriprise
Financial,
Inc.
since
September
2021
(previously
Vice
President
and
Lead
Chief
Counsel,
January
2015
-
September
2021);
President
and
Principal
Executive
Officer
of
the
Columbia
Funds
2015
-
2021;
officer
of
Columbia
Funds
and
affiliated
funds
since
2007.
Thomas
P.
McGuire
290
Congress
Street
Boston,
MA
02210
1972
Senior
Vice
President
and
Chief
Compliance
Officer
(2012)
Vice
President
–
Asset
Management
Compliance,
Ameriprise
Financial,
Inc.,
since
May
2010;
Chief
Compliance
Officer,
Columbia
Acorn/Wanger
Funds
since
December
2015;
Chief
Compliance
Officer,
Ameriprise
Certificate
Company
September
2010
–
September
2020.
Colin
Moore
290
Congress
Street
Boston,
MA
02210
1958
Senior
Vice
President
(2010)
Executive
Vice
President
and
Global
Chief
Investment
Officer,
Ameriprise
Financial,
Inc.,
since
July
2013;
Executive
Vice
President
and
Global
Chief
Investment
Officer,
Columbia
Management
Investment
Advisers,
LLC
since
July
2013.
Ryan
C.
Larrenaga
290
Congress
Street
Boston,
MA
02210
1970
Senior
Vice
President
(2017),
Chief
Legal
Officer
(2017)
and
Secretary
(2015)
Vice
President
and
Chief
Counsel,
Ameriprise
Financial,
Inc.
since
August
2018
(previously
Vice
President
and
Group
Counsel,
August
2011
-
August
2018);
Chief
Legal
Officer,
Columbia
Acorn/Wanger
Funds,
since
September
2020;
officer
of
Columbia
Funds
and
affiliated
funds
since
2005.
TRUSTEES
AND
OFFICERS
(continued)
44
Strategic
Beta
ETFs
|
Annual
Report
2021
Fund
officers
(continued)
Name,
Address
and
Year
of
Birth
Position
and
Year
First
Appointed
to
Position
for
any
Fund
in
the
Columbia
Funds
Complex
Predecessor
Thereof
Principal
Occupation(s)
During
Past
Five
Years
Michael
E.
DeFao
290
Congress
Street
Boston,
MA
02210
1968
Vice
President
(2011)
and
Assistant
Secretary
(2010)
Vice
President
and
Chief
Counsel,
Ameriprise
Financial,
Inc.
since
May
2010;
Vice
President,
Chief
Legal
Officer
and
Assistant
Secretary,
Columbia
Management
Investment
Advisers,
LLC
since
October
2021
(previously
Vice
President
and
Assistant
Secretary,
May
2010
–
September
2021).
Lyn
Kephart-Strong
5228
Ameriprise
Financial
Center
Minneapolis,
MN
55474
1960
Vice
President
(2015)
President,
Columbia
Management
Investment
Services
Corp.
since
October
2014;
Vice
President
&
Resolution
Officer,
Ameriprise
Trust
Company
since
August
2009.
APPROVAL
OF
INVESTMENT
MANAGEMENT
SERVICES
AGREEMENT
Strategic
Beta
ETFs
|
Annual
Report
2021
45
Columbia
Management
Investment
Advisers,
LLC
(the
Investment
Manager,
and
together
with
its
domestic
and
global
affiliates,
Columbia
Threadneedle
Investments),
a
wholly-owned
subsidiary
of
Ameriprise
Financial,
Inc.
(Ameriprise
Financial),
serves
as
the
investment
manager
to
Columbia
Diversified
Fixed
Income
Allocation
ETF
(the
Fund).
Under
an
investment
management
services
agreement
(the
IMS
Agreement),
the
Investment
Manager
provides
investment
advice
and
other
services
to
the
Fund
and
other
funds
in
the
Columbia
Fund
family
(collectively,
the
Columbia
Funds).
On
an
annual
basis,
the
Fund's
Board
of
Trustees
(the
Board),
including
the
independent
Board
members
(the
Independent
Trustees),
considers
renewal
of
the
IMS
Agreement.
The
Investment
Manager
prepared
detailed
reports
for
the
Board
and
its
Contracts
Committee
in
November
and
December
2020
and
March,
April
and
June
2021,
including
reports
providing
the
results
of
analyses
performed
by
an
independent
third-party
data
provider,
Broadridge
Financial
Solutions,
Inc.
(Broadridge),
and
a
comprehensive
response
to
requests
for
information
by
independent
legal
counsels
to
the
Independent
Trustees
(Independent
Legal
Counsel)
in
a
letter
to
the
Investment
Manager,
to
assist
the
Board
in
making
this
determination.
In
addition,
throughout
the
year,
the
Board
(or
its
committees)
regularly
meets
with
portfolio
management
teams
and
senior
management
personnel
and
reviews
information
prepared
by
the
Investment
Manager
addressing
the
services
the
Investment
Manager
provides
and
Fund
performance.
The
Board
also
accords
appropriate
weight
to
the
work,
deliberations
and
conclusions
of
the
various
committees,
such
as
the
Contracts
Committee,
the
Investment
Oversight
Committee,
the
Audit
Committee
and
the
Compliance
Committee
in
determining
whether
to
continue
the
IMS
Agreement.
The
Board,
at
its
June
15,
2021
Board
meeting
(the
June
Meeting),
considered
the
renewal
of
the
IMS
Agreement
for
an
additional
one-year
term.
At
the
June
Meeting,
Independent
Legal
Counsel
reviewed
with
the
Independent
Trustees
various
factors
relevant
to
the
Board's
consideration
of
advisory
agreements
and
the
Board's
legal
responsibilities
related
to
such
consideration.
The
Independent
Trustees
considered
all
information
that
they,
their
legal
counsel
or
the
Investment
Manager
believed
reasonably
necessary
to
evaluate
and
to
approve
the
continuation
of
the
IMS
Agreement.
Among
other
things,
the
information
and
factors
considered
included
the
following:
Information
on
the
investment
performance
of
the
Fund
relative
to
the
performance
of
a
group
of
funds
determined
to
be
comparable
to
the
Fund
by
Broadridge,
as
well
as
performance
relative
to
benchmarks;
Information
on
the
Fund’s
management
fees
and
total
expenses,
including
information
comparing
the
Fund’s
expenses
to
those
of
a
group
of
comparable
funds,
as
determined
by
Broadridge;
Terms
of
the
IMS
Agreement;
Descriptions
of
various
services
performed
by
the
Investment
Manager
under
the
IMS
Agreement,
including
portfolio
management
and
portfolio
trading
practices;
Information
regarding
any
recently
negotiated
management
fees
of
similarly-managed
portfolios
of
other
institutional
clients
of
the
Investment
Manager;
Information
regarding
the
resources
of
the
Investment
Manager,
including
information
regarding
senior
management,
portfolio
managers
and
other
personnel;
Information
regarding
the
capabilities
of
the
Investment
Manager
with
respect
to
compliance
monitoring
services;
and
The
profitability
to
the
Investment
Manager
and
its
affiliates
from
their
relationships
with
the
Fund.
Following
an
analysis
and
discussion
of
the
foregoing,
and
the
factors
identified
below,
the
Board,
including
all
of
the
Independent
Trustees,
approved
the
renewal
of
the
IMS
Agreement.
Nature,
extent
and
quality
of
services
provided
by
the
Investment
Manager
The
Board
analyzed
various
reports
and
presentations
it
had
received
detailing
the
services
performed
by
the
Investment
Manager,
as
well
as
its
history,
expertise,
resources
and
relative
capabilities,
and
the
qualifications
of
its
personnel.
APPROVAL
OF
INVESTMENT
MANAGEMENT
SERVICES
AGREEMENT
(continued)
46
Strategic
Beta
ETFs
|
Annual
Report
2021
The
Board
specifically
considered
the
many
developments
during
recent
years
concerning
the
services
provided
by
the
Investment
Manager.
Among
other
things,
the
Board
noted
the
organization
and
depth
of
the
equity
and
credit
research
departments.
The
Board
further
observed
the
enhancements
to
the
investment
risk
management
department’s
processes,
systems
and
oversight,
over
the
past
several
years,
as
well
as
planned
2021
initiatives
in
this
regard.
The
Board
also
took
into
account
the
broad
scope
of
services
provided
by
the
Investment
Manager
to
the
Fund,
including,
among
other
services,
investment,
risk
and
compliance
oversight.
The
Board
also
took
into
account
the
information
it
received
concerning
the
Investment
Manager's
ability
to
attract
and
retain
key
portfolio
management
personnel
and
that
it
has
sufficient
resources
to
provide
competitive
and
adequate
compensation
to
investment
personnel.
The
Board
also
observed
that
the
Investment
Manager
has
been
able
to
effectively
manage
the
Columbia
Funds
through
the
COVID-19
pandemic
period
with
no
disruptions
in
services
provided.
In
connection
with
the
Board's
evaluation
of
the
overall
package
of
services
provided
by
the
Investment
Manager,
the
Board
also
considered
the
nature,
quality
and
range
of
administrative
services
provided
to
the
Fund
by
the
Investment
Manager,
as
well
as
the
achievements
in
2020
in
the
performance
of
administrative
services,
and
noted
the
various
enhancements
anticipated
for
2021.
In
evaluating
the
quality
of
services
provided
under
the
IMS
Agreement,
the
Board
also
took
into
account
the
organization
and
strength
of
the
Fund’s
and
its
service
providers’
compliance
programs.
The
Board
also
reviewed
the
financial
condition
of
the
Investment
Manager
and
its
affiliates
and
each
entity’s
ability
to
carry
out
its
responsibilities
under
the
IMS
Agreement.
In
addition,
the
Board
discussed
the
acceptability
of
the
terms
of
the
IMS
Agreement,
noting
that
no
changes
are
proposed
from
the
form
of
agreement
previously
approved.
The
Board
also
noted
the
wide
array
of
legal
and
compliance
services
provided
to
the
Columbia
Funds
under
the
Fund
IMS
Agreement.
After
reviewing
these
and
related
factors
(including
investment
performance
as
discussed
below),
the
Board
concluded,
within
the
context
of
their
overall
conclusions,
that
the
nature,
extent
and
quality
of
the
services
provided
to
the
Fund
under
the
IMS
Agreement
supported
the
continuation
of
the
IMS
Agreement.
Investment
performance
In
this
connection,
the
Board
carefully
reviewed
the
investment
performance
of
the
Fund,
including
detailed
reports
providing
the
results
of
analyses
performed
by
the
Investment
Manager
and
Broadridge
collectively
showing,
for
various
periods
(including
since
manager
inception):
(i)
the
performance
of
the
Fund,
(ii)
the
performance
of
a
benchmark
index,
(iii)
the
percentage
ranking
of
the
Fund
among
its
comparison
group,
(iv)
the
Fund’s
performance
relative
to
peers
and
benchmarks,
(v)
the
net
assets
of
the
Fund
and
(vi)
index
tracking
error
data
of
the
Fund.
The
Board
observed
the
Fund’s
tracking
error
versus
its
performance
was
within
the
range
of
management’s
expectations.
The
Board
also
reviewed
a
description
of
the
third-party
data
provider’s
methodology
for
identifying
the
Fund’s
peer
groups
for
purposes
of
performance
and
expense
comparisons.
The
Board
also
considered
the
Investment
Manager’s
performance
and
reputation
generally.
After
reviewing
these
and
related
factors,
the
Board
concluded,
within
the
context
of
their
overall
conclusions,
that
the
performance
of
the
Fund
and
the
Investment
Manager,
in
light
of
other
considerations,
supported
the
continuation
of
the
IMS
Agreement.
Comparative
fees,
costs
of
services
provided
and
the
profits
realized
by
the
Investment
Manager
and
its
affiliates
from
their
relationships
with
the
Fund
The
Board
reviewed
comparative
fees
and
the
costs
of
services
provided
under
the
IMS
Agreement.
The
Board
considered
the
unified/all-inclusive
fee
structure
utilized
by
the
Fund,
observing
that
many
of
the
competitors
of
the
Fund
have
adopted
similar
unified/all-inclusive
fee
structures,
as
well
as
data
showing
the
Fund’s
contribution
to
the
Investment
Manager’s
profitability.
The
Board
accorded
particular
weight
to
the
notion
that
a
primary
objective
of
the
level
of
fees
is
to
achieve
a
rational
pricing
model
applied
consistently
across
the
various
product
lines
in
the
Fund
family,
while
assuring
that
the
overall
fees
for
each
Columbia
Fund
(with
certain
exceptions)
are
generally
in
line
with
the
current
"pricing
philosophy"
such
that
Fund
total
expense
ratios,
in
general,
approximate
or
are
lower
than
the
median
expense
ratios
of
funds
in
the
same
APPROVAL
OF
INVESTMENT
MANAGEMENT
SERVICES
AGREEMENT
(continued)
Strategic
Beta
ETFs
|
Annual
Report
2021
47
Lipper
comparison
universe.
The
Board
took
into
account
that
the
Fund's
total
expense
ratio
(after
considering
proposed
expense
caps/waivers)
approximated
the
peer
universe's
median
expense
ratio.
After
reviewing
these
and
related
factors,
the
Board
concluded,
within
the
context
of
their
overall
conclusions,
that
the
levels
of
management
fees
and
expenses
of
the
Fund,
in
light
of
other
considerations,
supported
the
continuation
of
the
IMS
Agreement.
The
Board
also
considered
the
profitability
of
the
Investment
Manager
and
its
affiliates
in
connection
with
the
Investment
Manager
providing
management
services
to
the
Fund.
With
respect
to
the
profitability
of
the
Investment
Manager
and
its
affiliates,
the
Independent
Trustees
referred
to
information
discussing
the
profitability
to
the
Investment
Manager
and
Ameriprise
Financial
from
managing
the
Columbia
Funds.
The
Board
considered
that
in
2020
the
Board
had
considered
2019
profitability
and
that
the
2021
information
showed
that
the
profitability
generated
by
the
Investment
Manager
in
2020
increased
slightly
from
2019
levels.
It
also
took
into
account
the
indirect
economic
benefits
flowing
to
the
Investment
Manager
or
its
affiliates
in
connection
with
managing
the
Columbia
Funds,
such
as
the
enhanced
ability
to
offer
various
other
financial
products
to
Ameriprise
Financial
customers
and
overall
reputational
advantages.
The
Board
noted
that
the
fees
paid
by
the
Fund
should
permit
the
Investment
Manager
to
offer
competitive
compensation
to
its
personnel,
make
necessary
investments
in
its
business
and
earn
an
appropriate
profit.
After
reviewing
these
and
related
factors,
the
Board
concluded,
within
the
context
of
their
overall
conclusions,
that
the
costs
of
services
provided
and
the
profitability
to
the
Investment
Manager
and
its
affiliates
from
their
relationships
with
the
Fund
supported
the
continuation
of
the
IMS
Agreement.
Economies
of
scale
The
Board
considered
that
the
IMS
Agreement
provides
for
a
unified
fee
level
that
does
not
include
pre-established
breakpoints,
and
management’s
observation
that
the
ETF
fee
structures
often
do
not
include
breakpoints
due
to
the
more
volatile
nature
of
their
inflows/outflows.
Conclusion
The
Board
reviewed
all
of
the
above
considerations
in
reaching
its
decision
to
approve
the
continuation
of
the
IMS
Agreement.
In
reaching
its
conclusions,
no
single
factor
was
determinative.
On
June
15,
2021,
the
Board,
including
all
of
the
Independent
Trustees,
determined
that
fees
payable
under
the
IMS
Agreement
were
fair
and
reasonable
in
light
of
the
extent
and
quality
of
services
provided
and
approved
the
renewal
of
the
IMS
Agreement.
Columbia
ETF
Trust
I
290
Congress
Street
Boston,
MA
02210
ANN290_10_L01_(12/21)
CET001430
Investors
should
consider
the
investment
objectives,
risks,
charges
and
expenses
of
an
exchange-traded
fund
(ETF)
carefully
before
investing.
For
a
free
prospectus
and
summary
prospectus,
which
contains
this
and
other
important
information
about
the
ETFs,
visit
columbiathreadneedleus.com/etfs.
Read
the
prospectus
and
summary
prospectus
carefully
before
investing.
Columbia
Management
Investment
Advisers,
LLC
serves
as
the
investment
manager
to
the
ETFs.
The
ETFs
are
distributed
by
ALPS
Distributors,
Inc.,
which
is
not
affiliated
with
Columbia
Management
Investment
Advisers,
LLC,
or
its
parent
company,
Ameriprise
Financial,
Inc.
©
2021
Columbia
Management
Investment
Advisers,
LLC.
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