Not
FDIC
or
NCUA
Insured
No
Financial
Institution
Guarantee
May
Lose
Value
STRATEGIC
BETA
ETFs
Semiannual
Report
April
30,
2022
(Unaudited)
Columbia
Multi-Sector
Municipal
Income
ETF
Strategic
Beta
ETFs
|
Semiannual
Report
2022
TABLE
OF
CONTENTS
Fund
at
a
Glance
3
Understanding
Your
Fund’s
Expenses
5
Portfolio
of
Investments
6
Statement
of
Assets
and
Liabilities
19
Statement
of
Operations
20
Statement
of
Changes
in
Net
Assets
21
Financial
Highlights
22
Notes
to
Financial
Statements
23
Liquidity
Risk
Management
Program
30
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
(Unaudited)
Strategic
Beta
ETFs
|
Semiannual
Report
2022
3
Portfolio
management
Catherine
Stienstra
Lead
Portfolio
Manager
Managed
Fund
since
2018
Douglas
Rangel,
CFA
Portfolio
Manager
Managed
Fund
since
June
2022
William
(Bill)
Callagy
Portfolio
Manager
Managed
Fund
since
June
2022
Anders
Myhran,
CFA*
Portfolio
Manager
Managed
Fund
since
2018
*
Anders
Myhran
has
announced
that
he
plans
to
retire
from
the
Investment
Manager
effective
September
30,
2022.
Until
then,
Mr.
Myhran
will
continue
to
serve
as
Portfolio
Manager
of
the
Fund.
Investment
objective
The
Fund
seeks
investment
results
that,
before
fees
and
expenses,
closely
correspond
to
the
performance
of
the
Beta
Advantage
®
Multi-Sector
Municipal
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
Municipal
Bond
Index
is
a
rules-based
multi-sector
strategic
beta
approach
to
measuring
the
performance
of
the
U.S.
tax-exempt
bond
market
which
is
composed
of
bonds
issued
by
or
on
behalf
of
state
or
local
governments
whose
interest
is
exempt
from
regular
federal
income
tax
(but
may
be
subject
to
the
alternative
minimum
tax),
through
representation
of
five
segments
of
the
municipal
debt
market
in
the
Index,
with
a
focus
on
yield,
quality,
maturity,
liquidity,
and
interest
rate
sensitivity
of
the
particular
segment.
The
Index
includes
publicly
issued
U.S.
dollar
denominated,
fixed
rate
municipal
bonds.
California
bonds,
Guam
bonds,
Puerto
Rico
bonds,
U.S.
Virgin
Island
bonds,
other
U.S.
territories,
commonwealths
and
possessions,
pre-refunded
bonds,
insured
bonds,
floaters,
callable
bonds
with
less
than
1
year
to
call,
tobacco
bonds,
and
derivatives
are
all
excluded
from
the
Index.
The
five
fixed
segments
with
their
respective
weightings
are
as
follows:
Municipal
Core
Revenue
Segment
(45%);
Municipal
Health
Care
Segment
(20%);
Municipal
High-Quality
Revenue
Segment
(15%);
The
Municipal
Core
General
Obligation
Segment
(10%);
and
the
Municipal
High
Yield
Segment
(10%).
Each
sector
of
the
Index
is
constructed
with
rules
specific
to
the
segment
to
provide
a
better
balance
of
quality,
yield
and
liquidity.
The
rules
for
each
segment
can
be
found
in
the
Fund’s
prospectus.
It
is
not
possible
to
invest
directly
in
an
index.
The
Bloomberg
Municipal
Bond
Index
is
an
unmanaged
index
considered
representative
of
the
broad
market
for
investment-grade,
tax-exempt
bonds
with
a
maturity
of
at
least
one
year.
Effective
August
24,
2021,
the
Bloomberg
Barclays
Municipal
Bond
Index
was
re-branded
as
the
Bloomberg
Municipal
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.
Average
annual
total
returns
(%)
(for
period
ended
April
30,
2022)
Inception
6
Months
cumulative
1
Year
Life
Market
Price
10/10/18
-8.50
-8.44
2.62
Net
Asset
Value
10/10/18
-8.35
-8.16
2.58
{
Beta
Advantage®
}
Multi-Sector
Municipal
Bond
Index
-8.13
-7.94
2.46
Bloomberg
Municipal
Bond
Index
-7.90
-7.88
1.98
FUND
AT
A
GLANCE
(continued)
(Unaudited)
4
Strategic
Beta
ETFs
|
Semiannual
Report
2022
Quality
breakdown
(%)
(at
April
30,
2022)
AAA
rating
7.8
AA
rating
34.9
A
rating
36.8
BBB
rating
12.7
BB
rating
6.6
B
rating
1.1
CC
rating
0.0
(a)
Not
rated
0.1
Total
100.0
(a)
Rounds
to
zero.
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.
Top
ten
states/territories
(%)
(at
April
30,
2022)
New
York
16
.7
New
Jersey
10
.2
Illinois
9
.4
Texas
8
.6
Pennsylvania
6
.7
Florida
6
.0
Ohio
4
.0
Connecticut
3
.8
Massachusetts
3
.4
Colorado
3
.2
Percentages
indicated
are
based
upon
total
investments
(excluding
Money
Market
Funds
and
derivatives,
if
any).
For
further
detail
about
these
holdings,
please
refer
to
the
section
entitled
"Portfolio
of
Investments".
Fund
holdings
are
as
of
the
date
given,
are
subject
to
change
at
any
time,
and
are
not
recommendations
to
buy
or
sell
any
security.
UNDERSTANDING
YOUR
FUND’S
EXPENSES
(Unaudited)
Strategic
Beta
ETFs
|
Semiannual
Report
2022
5
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
April
30,
2022.
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
$1,000
=
8.6),
then
multiply
the
result
by
the
number
for
your
Fund
under
the
heading
entitled
“Expenses
paid
for
the
period”
to
estimate
the
expenses
you
paid
on
your
account
during
this
period.
Hypothetical
Example
For
Comparison
Purposes
The
information
under
each
column
in
the
table
entitled
“Hypothetical”
provides
information
about
hypothetical
account
values
and
hypothetical
expenses
based
on
the
Fund’s
actual
expense
ratio
and
an
assumed
rate
of
return
of
5%
per
year
before
expenses,
which
is
not
the
Fund’s
actual
return.
The
hypothetical
account
values
and
expenses
may
not
be
used
to
estimate
the
actual
ending
account
balance
or
expenses
you
paid
for
the
period.
You
may
use
this
information
to
compare
the
ongoing
costs
of
investing
in
your
Fund
and
other
funds.
To
do
so,
compare
this
5%
hypothetical
example
with
the
5%
hypothetical
examples
that
appear
in
the
shareholder
reports
of
the
other
funds.
Please
note
that
the
expenses
shown
in
the
table
are
meant
to
highlight
your
ongoing
costs
only
and
do
not
reflect
any
transactional
costs,
such
as
brokerage
commissions
paid
on
purchases
and
sales
of
Fund
shares.
Therefore,
the
ending
account
values
and
expenses
paid
for
the
period
in
the
table
is
useful
in
comparing
ongoing
Fund
costs
only
and
will
not
help
you
determine
the
relative
total
costs
of
owning
different
funds.
In
addition,
if
these
transactional
costs
were
included,
your
costs
would
have
been
higher.
Expenses
are
calculated
using
the
Fund’s
annualized
expense
ratio,
multiplied
by
the
average
account
value
over
the
period,
then
multiplied
by
the
number
of
days
in
the
Fund’s
most
recent
fiscal
half-year
and
divided
by
365.
Expenses
do
not
include
fees
and
expenses
incurred
indirectly
by
the
Fund
from
its
investment
in
underlying
funds,
including
affiliated
and
non-affiliated
pooled
investment
vehicles,
such
as
mutual
funds
and
exchange-traded
funds.
November
1,
2021—
April
30,
2022
Beginning
account
value
($)
Ending
account
value
($)
Expense
paid
for
the
period
($)
Annualized
expense
ratios
for
the
period
(%)
Actual
Hypothetical
Actual
Hypothetical
Actual
Hypothetical
Actual
Columbia
Multi-Sector
Municipal
Income
ETF
1,000.00
1,000.00
916.50
1,023.65
1.09
1.15
0.23
PORTFOLIO
OF
INVESTMENTS
April
30,
2022
(Unaudited)
(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.
6
Strategic
Beta
ETFs
|
Semiannual
Report
2022
Municipal
Bonds
98
.2
%
Issue
Description
Principal
Amount
($)
Value
($)
Alabama
0.7%
County
of
Jefferson
AL
Sewer
Revenue,
Series
E
Revenue
Bonds
0.000%,
10/01/33
(a)
250,000‌
116,131‌
0.000%,
10/01/34
(a)
225,000‌
96,273‌
Health
Care
Authority
of
The
City
of
Huntsville
(The)
Series
B1
Revenue
Bonds
5.000%,
06/01/38
525,000‌
570,976‌
UAB
Medicine
Finance
Authority,
Series
B
Revenue
Bonds
5.000%,
09/01/35
235,000‌
250,151‌
4.000%,
09/01/36
275,000‌
279,570‌
Total
Alabama
1,313,101‌
Alaska
0.1%
Borough
of
Matanuska-Susitna
Revenue
Bonds
5.000%,
09/01/32
100,000‌
105,866‌
Arizona
1.1%
Arizona
Health
Facilities
Authority
Series
A
Revenue
Bonds
5.000%,
12/01/39
470,000‌
485,238‌
Arizona
Industrial
Development
Authority
Series
A
Revenue
Bonds
3.000%,
02/01/45
110,000‌
85,357‌
City
of
Mesa
AZ
Utility
System
Revenue
Revenue
Bonds
3.250%,
07/01/29
150,000‌
150,660‌
City
of
Phoenix
Civic
Improvement
Corp.
Revenue
Bonds
4.000%
07/01/28,
Series
B
150,000‌
154,855‌
5.000%
07/01/36,
Series
D
215,000‌
230,332‌
Maricopa
County
Industrial
Development
Authority,
Series
A
Revenue
Bonds
5.000%,
01/01/35
205,000‌
218,343‌
4.000%,
01/01/38
220,000‌
220,872‌
Maricopa
County
Special
Health
Care
District
Series
C
5.000%,
07/01/31
510,000‌
563,544‌
Total
Arizona
2,109,201‌
California
0.1%
Department
of
Veterans
Affairs
Veteran's
Farm
&
Home
Purchase
Program
Series
A
Revenue
Bonds
2.100%,
12/01/35
150,000‌
127,949‌
Colorado
3.2%
Adams
12
Five
Star
Schools
Series
B
5.000%,
12/15/27
155,000‌
171,489‌
City
&
County
of
Denver
Revenue
Bonds
5.000%,
10/01/32
100,000‌
101,032‌
Municipal
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
City
&
County
of
Denver
CO
Airport
System
Revenue,
Series
A
Revenue
Bonds
5.000%,
12/01/26
270,000‌
290,382‌
5.000%,
12/01/27
160,000‌
173,389‌
5.000%,
11/15/29
325,000‌
353,710‌
5.000%,
12/01/29
285,000‌
311,033‌
5.000%,
12/01/30
150,000‌
165,528‌
Colorado
Health
Facilities
Authority
Revenue
Bonds
5.000%
08/01/35,
Series
A-2
200,000‌
215,927‌
4.000%
08/01/38,
Series
A-1
225,000‌
219,942‌
5.000%
11/01/39,
Series
A
180,000‌
193,231‌
5.000%
11/15/41,
Series
A
250,000‌
277,737‌
5.000%
01/01/44,
Series
A
385,000‌
392,029‌
5.000%
08/01/44,
Series
A-2
200,000‌
214,266‌
5.000%
11/01/44,
Series
A
700,000‌
748,083‌
Colorado
Housing
and
Finance
Authority
Series
L
Revenue
Bonds
1.650%,
05/01/29
250,000‌
225,260‌
E-470
Public
Highway
Authority
Series
A
Revenue
Bonds
0.000%,
09/01/34
(a)
140,000‌
88,035‌
Regional
Transportation
District
Revenue
Bonds
5.000%,
06/01/26
260,000‌
276,808‌
5.000%,
06/01/27
165,000‌
176,070‌
State
of
Colorado
Revenue
Bonds
4.000%
03/15/30,
Series
L
250,000‌
264,256‌
5.000%
12/15/33,
Series
A
150,000‌
170,391‌
4.000%
12/15/36,
Series
A
500,000‌
520,171‌
3.000%
12/15/37,
Series
A
250,000‌
229,323‌
Total
Colorado
5,778,092‌
Connecticut
3.7%
Connecticut
Housing
Finance
Authority
Revenue
Bonds
2.875%
11/15/30,
Series
A-1
175,000‌
168,385‌
2.000%
11/15/36,
Series
B-3
250,000‌
199,710‌
Connecticut
State
Health
&
Educational
Facilities
Authority
Revenue
Bonds
5.000%
07/01/32,
Series
A
320,000‌
351,917‌
5.000%
07/01/33,
Series
A
235,000‌
257,373‌
5.000%
07/01/35,
Series
A
265,000‌
288,139‌
4.000%
07/01/38,
Series
A
200,000‌
200,417‌
3.000%
07/01/39,
Series
A
345,000‌
295,119‌
5.000%
12/01/45
275,000‌
288,672‌
State
of
Connecticut
Clean
Water
Fund
-
State
Revolving
Fund
Series
A
Revenue
Bonds
5.000%,
03/01/27
225,000‌
239,622‌
State
of
Connecticut
Special
Tax
Revenue
Revenue
Bonds
5.000%
08/01/28,
Series
A
450,000‌
483,640‌
5.000%
01/01/29,
Series
A
340,000‌
379,305‌
5.000%
09/01/30,
Series
A
135,000‌
147,084‌
PORTFOLIO
OF
INVESTMENTS
(continued)
April
30,
2022
(Unaudited)
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
Strategic
Beta
ETFs
|
Semiannual
Report
2022
7
Municipal
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
5.000%
10/01/31,
Series
B
125,000‌
139,032‌
5.000%
01/01/33,
Series
A
260,000‌
285,259‌
5.000%
05/01/33,
Series
A
465,000‌
530,940‌
5.000%
08/01/34,
Series
A
345,000‌
366,015‌
5.000%
09/01/34,
Series
A
175,000‌
183,249‌
5.000%
05/01/35,
Series
A
450,000‌
512,249‌
4.000%
05/01/36,
Series
A
535,000‌
556,783‌
5.000%
11/01/36,
Series
D
750,000‌
855,904‌
Total
Connecticut
6,728,814‌
Delaware
0.3%
Delaware
State
Health
Facilities
Authority,
Series
A
Revenue
Bonds
4.000%,
07/01/40
200,000‌
200,255‌
5.000%,
10/01/40
215,000‌
240,029‌
5.000%,
10/01/45
125,000‌
137,885‌
Total
Delaware
578,169‌
District
of
Columbia
2.1%
District
of
Columbia
Revenue
Bonds
5.000%,
04/01/33
370,000‌
397,529‌
5.000%,
04/01/36
450,000‌
479,121‌
4.000%,
07/15/40
130,000‌
131,107‌
5.000%,
07/15/40
140,000‌
147,685‌
District
of
Columbia
Water
&
Sewer
Authority
Series
A
Revenue
Bonds
5.000%,
10/01/29
250,000‌
272,752‌
Metropolitan
Washington
Airports
Authority
Aviation
Revenue
Revenue
Bonds
5.000%
10/01/29,
Series
A
125,000‌
130,607‌
5.000%
10/01/30
200,000‌
215,181‌
5.000%
10/01/30,
Series
A
750,000‌
829,000‌
5.000%
10/01/32,
Series
A
350,000‌
388,004‌
5.000%
10/01/33,
Series
A
450,000‌
495,965‌
Metropolitan
Washington
Airports
Authority
Dulles
Toll
Road
Revenue
Revenue
Bonds
0.000%
10/01/30,
Series
B
(a)
130,000‌
95,476‌
0.000%
10/01/37,
Series
A
(a)
500,000‌
242,650‌
Total
District
of
Columbia
3,825,077‌
Florida
5.9%
Alachua
County
Health
Facilities
Authority
Series
B-1
Revenue
Bonds
5.000%,
12/01/34
150,000‌
164,531‌
Brevard
County
Health
Facilities
Authority
Revenue
Bonds
4.000%,
04/01/36
140,000‌
140,379‌
Capital
Trust
Agency,
Inc.
Series
A
Revenue
Bonds
5.250%,
12/01/43
(b)
150,000‌
159,876‌
Central
Florida
Expressway
Authority
Series
D
Revenue
Bonds
5.000%,
07/01/34
645,000‌
739,390‌
Municipal
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
City
of
Gainesville
FL
Utilities
System
Revenue,
Series
A
Revenue
Bonds
5.000%,
10/01/28
125,000‌
139,015‌
5.000%,
10/01/31
225,000‌
248,280‌
5.000%,
10/01/32
125,000‌
137,638‌
City
of
Port
St
Lucie
FL
Utility
System
Revenue
Revenue
Bonds
5.000%,
09/01/29
285,000‌
310,461‌
4.000%,
09/01/30
250,000‌
260,242‌
City
of
Tampa,
Series
B
Revenue
Bonds
4.000%,
07/01/38
175,000‌
178,671‌
4.000%,
07/01/39
500,000‌
510,567‌
County
of
Miami-Dade
FL
Aviation
Revenue
Revenue
Bonds
5.000%
10/01/32
205,000‌
212,395‌
5.000%
10/01/32,
Series
A
250,000‌
258,183‌
County
of
Miami-Dade
FL
Water
&
Sewer
System
Revenue
Revenue
Bonds
5.000%
10/01/25
315,000‌
338,634‌
5.000%
10/01/30,
Series
B
250,000‌
268,026‌
Escambia
County
Health
Facilities
Authority
Series
A
Revenue
Bonds
4.000%,
08/15/45
250,000‌
238,406‌
Florida
Development
Finance
Corp.
Revenue
Bonds
4.000%
11/15/34
200,000‌
208,559‌
4.000%
06/01/36,
Series
A
(b)
400,000‌
367,136‌
4.000%
06/01/41,
Series
A
(b)
200,000‌
174,849‌
Greater
Orlando
Aviation
Authority,
Series
A
Revenue
Bonds
5.000%,
10/01/26
260,000‌
282,543‌
5.000%,
10/01/27
255,000‌
281,353‌
4.000%,
10/01/35
275,000‌
279,232‌
Hillsborough
County
Industrial
Development
Authority
Series
A
Revenue
Bonds
4.000%,
10/01/43
165,000‌
162,500‌
Hillsborough
County
School
Board
Revenue
Bonds
5.000%,
07/01/29
150,000‌
167,112‌
JEA
Water
&
Sewer
System
Revenue
Series
A
Revenue
Bonds
5.000%,
10/01/29
555,000‌
616,813‌
North
Broward
Hospital
District
Series
B
Revenue
Bonds
5.000%,
01/01/35
200,000‌
215,749‌
Orange
County
Health
Facilities
Authority,
Series
A
Revenue
Bonds
5.000%,
10/01/37
100,000‌
105,710‌
5.000%,
10/01/39
100,000‌
105,731‌
PORTFOLIO
OF
INVESTMENTS
(continued)
April
30,
2022
(Unaudited)
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
8
Strategic
Beta
ETFs
|
Semiannual
Report
2022
Municipal
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Palm
Beach
County
School
District
Revenue
Bonds
5.000%
08/01/27,
Series
D
350,000‌
375,048‌
5.000%
08/01/28,
Series
B
360,000‌
401,477‌
5.000%
08/01/30,
Series
D
685,000‌
731,825‌
School
Board
of
Miami-Dade
County
(The)
Revenue
Bonds
5.000%
05/01/28,
Series
B
670,000‌
712,303‌
5.000%
05/01/30,
Series
A
195,000‌
206,326‌
5.000%
11/01/31,
Series
D
145,000‌
152,286‌
5.000%
05/01/32,
Series
A
135,000‌
142,475‌
School
District
of
Broward
County
Series
A
Revenue
Bonds
5.000%,
07/01/34
250,000‌
283,263‌
South
Broward
Hospital
District
Series
A
Revenue
Bonds
3.500%,
05/01/39
200,000‌
183,335‌
South
Florida
Water
Management
District
Revenue
Bonds
5.000%,
10/01/33
150,000‌
160,398‌
Volusia
County
School
Board
Series
B
Revenue
Bonds
5.000%,
08/01/30
200,000‌
210,439‌
Total
Florida
10,831,156‌
Georgia
2.6%
Brookhaven
Development
Authority
Series
A
Revenue
Bonds
4.000%,
07/01/44
490,000‌
492,620‌
City
of
Atlanta
GA
Airport
Passenger
Facility
Charge
Series
C
Revenue
Bonds
5.000%,
07/01/36
200,000‌
220,265‌
City
of
Atlanta
GA
Water
&
Wastewater
Revenue
Revenue
Bonds
5.000%,
11/01/27
190,000‌
203,650‌
5.750%,
11/01/29
200,000‌
240,994‌
Gainesville
&
Hall
County
Hospital
Authority,
Series
A
Revenue
Bonds
5.000%,
02/15/36
500,000‌
545,523‌
5.000%,
02/15/42
805,000‌
873,800‌
George
L
Smith
II
Congress
Center
Authority
Series
A
Revenue
Bonds
2.375%,
01/01/31
200,000‌
176,705‌
Gwinnett
County
School
District
5.000%,
02/01/27
200,000‌
213,583‌
Municipal
Electric
Authority
of
Georgia
Series
A
Revenue
Bonds
5.000%,
01/01/28
200,000‌
216,035‌
State
of
Georgia
4.000%
02/01/26,
Series
A-2
215,000‌
221,378‌
Municipal
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
5.000%
02/01/27,
Series
A
200,000‌
218,323‌
5.000%
02/01/28,
Series
A-2
500,000‌
555,770‌
5.000%
07/01/28,
Series
F
460,000‌
510,469‌
Total
Georgia
4,689,115‌
Hawaii
0.9%
City
&
County
of
Honolulu
Series
A
5.000%,
10/01/29
350,000‌
377,486‌
State
of
Hawaii
5.000%
01/01/26
500,000‌
543,468‌
5.000%
08/01/26,
Series
EO
200,000‌
211,168‌
5.000%
10/01/27,
Series
FH
150,000‌
164,999‌
State
of
Hawaii
Airports
System
Revenue
Series
A
Revenue
Bonds
5.000%,
07/01/33
350,000‌
378,614‌
Total
Hawaii
1,675,735‌
Idaho
0.1%
Idaho
Health
Facilities
Authority
Series
A
Revenue
Bonds
5.000%,
03/01/44
120,000‌
122,503‌
Illinois
9.2%
Chicago
Board
of
Education
0.000%
12/01/29,
Series
A
(a)
185,000‌
134,197‌
5.000%
12/01/30,
Series
A
150,000‌
159,094‌
0.000%
12/01/31,
Series
A
(a)
355,000‌
234,336‌
0.000%
12/01/31,
Series
B-1
(a)
220,000‌
145,222‌
5.000%
12/01/33,
Series
A
850,000‌
895,389‌
5.000%
12/01/34,
Series
A
350,000‌
367,796‌
5.250%
12/01/35,
Series
C
130,000‌
134,146‌
4.000%
12/01/36,
Series
B
1,200,000‌
1,115,697‌
5.000%
12/01/38,
Series
A
400,000‌
419,780‌
5.250%
12/01/39,
Series
C
235,000‌
243,247‌
5.000%
12/01/41,
Series
A
250,000‌
261,175‌
5.000%
12/01/42,
Series
A
200,000‌
202,224‌
Chicago
Housing
Authority
Series
A
Revenue
Bonds
5.000%,
01/01/32
180,000‌
193,999‌
Chicago
Midway
International
Airport
Series
A
Revenue
Bonds
5.000%,
01/01/30
500,000‌
515,710‌
Chicago
O'Hare
International
Airport
Revenue
Bonds
5.000%
01/01/28,
Series
B
555,000‌
584,654‌
5.000%
01/01/31,
Series
B
450,000‌
470,502‌
5.000%
01/01/33,
Series
A
550,000‌
568,557‌
5.000%
01/01/33,
Series
B
330,000‌
353,005‌
5.000%
01/01/34,
Series
B
675,000‌
719,446‌
5.000%
01/01/34,
Series
C
500,000‌
526,852‌
5.000%
01/01/35,
Series
B
350,000‌
368,828‌
City
of
Chicago
0.000%
01/01/31,
Series
C
(a)
320,000‌
227,838‌
4.000%
01/01/34,
Series
B
188,000‌
181,897‌
PORTFOLIO
OF
INVESTMENTS
(continued)
April
30,
2022
(Unaudited)
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
Strategic
Beta
ETFs
|
Semiannual
Report
2022
9
Municipal
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
City
of
Chicago
IL
Wastewater
Transmission
Revenue
Series
C
Revenue
Bonds
5.000%,
01/01/24
230,000‌
239,087‌
Cook
Kane
Lake
&
McHenry
Counties
Community
College
District
No
512
4.000%,
12/15/29
180,000‌
192,155‌
Illinois
Finance
Authority
Revenue
Bonds
4.000%
01/01/25
340,000‌
353,082‌
5.000%
07/01/28
115,000‌
126,353‌
5.000%
07/01/31
140,000‌
152,874‌
5.000%
01/01/32,
Series
A
250,000‌
276,061‌
5.000%
08/15/33,
Series
A
250,000‌
279,382‌
4.000%
08/15/37,
Series
A
500,000‌
501,563‌
4.125%
11/15/37,
Series
A
235,000‌
237,397‌
4.000%
01/01/40,
Series
A
275,000‌
291,673‌
4.000%
08/15/41,
Series
A
600,000‌
598,162‌
5.000%
01/01/44,
Series
A
300,000‌
336,824‌
4.125%
05/01/45
200,000‌
201,547‌
Illinois
State
Toll
Highway
Authority
Revenue
Bonds
5.000%
01/01/30,
Series
B
865,000‌
979,119‌
5.000%
01/01/31,
Series
C
150,000‌
169,775‌
4.000%
12/01/31,
Series
A
210,000‌
217,541‌
5.000%
12/01/31,
Series
A
435,000‌
465,985‌
Metropolitan
Pier
&
Exposition
Authority
Revenue
Bonds
0.000%
06/15/28
(a)
100,000‌
78,626‌
0.000%
12/15/29,
Series
A
(a)
160,000‌
117,314‌
0.000%
06/15/30
(a)
370,000‌
264,836‌
0.000%
06/15/30,
Series
A
(a)
415,000‌
297,046‌
0.000%
06/15/36,
Series
A
(a)
540,000‌
287,634‌
0.000%
12/15/36,
Series
A
(a)
750,000‌
364,710‌
0.000%
12/15/41,
Series
B
(a)
280,000‌
101,984‌
Northern
Illinois
Municipal
Power
Agency
Series
A
Revenue
Bonds
4.000%,
12/01/32
200,000‌
205,332‌
State
of
Illinois
4.000%
06/01/33
100,000‌
98,397‌
4.000%
03/01/39,
Series
A
200,000‌
190,236‌
Will
County
Community
High
School
District
No
210
Lincoln-Way
Series
B
0.000%,
01/01/31
(a)
300,000‌
214,152‌
Total
Illinois
16,862,438‌
Indiana
0.6%
City
of
Anderson
Revenue
Bonds
6.000%,
10/01/42
150,000‌
114,855‌
Indiana
Finance
Authority
Revenue
Bonds
3.000%
11/01/30,
Series
A
150,000‌
137,788‌
4.000%
11/01/33,
Series
C
100,000‌
102,708‌
5.000%
12/01/35,
Series
A
150,000‌
156,634‌
5.000%
06/01/39,
Series
A
225,000‌
225,204‌
Municipal
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Indiana
Municipal
Power
Agency
Series
A
Revenue
Bonds
5.000%,
01/01/34
100,000‌
109,341‌
St
Joseph
County
Hospital
Authority
Series
C
Revenue
Bonds
4.000%,
08/15/44
240,000‌
238,893‌
Total
Indiana
1,085,423‌
Iowa
0.5%
Iowa
Finance
Authority
Revenue
Bonds
5.000%
08/01/31
500,000‌
554,913‌
2.250%
01/01/32,
Series
D
150,000‌
133,951‌
5.000%
05/15/43,
Series
A
160,000‌
161,200‌
Total
Iowa
850,064‌
Kansas
0.1%
Kansas
Development
Finance
Authority
Series
A
Revenue
Bonds
5.000%,
05/01/28
190,000‌
194,923‌
Kentucky
0.8%
County
of
Christian
Revenue
Bonds
5.375%,
02/01/36
250,000‌
262,918‌
Kentucky
Turnpike
Authority
Series
B
Revenue
Bonds
5.000%,
07/01/26
160,000‌
173,079‌
Louisville/Jefferson
County
Metropolitan
Government,
Series
A
Revenue
Bonds
5.000%,
10/01/30
290,000‌
315,870‌
4.000%,
10/01/35
735,000‌
742,252‌
Total
Kentucky
1,494,119‌
Louisiana
0.5%
East
Baton
Rouge
Sewerage
Commission
Series
A
(Mandatory
Put
02/01/28)
Revenue
Bonds
1.300%,
02/01/41
275,000‌
254,527‌
Louisiana
Public
Facilities
Authority
Revenue
Bonds
5.000%,
06/01/27
140,000‌
147,113‌
State
of
Louisiana
5.000%
08/01/25,
Series
C
220,000‌
231,807‌
5.000%
08/01/27,
Series
B
230,000‌
251,239‌
Total
Louisiana
884,686‌
Maine
0.0%
Maine
State
Housing
Authority
Series
B
Revenue
Bonds
3.450%,
11/15/34
100,000‌
96,443‌
Maryland
2.6%
County
of
Frederick
Series
A
Revenue
Bonds
5.000%,
09/01/32
(b)
75,000‌
78,764‌
PORTFOLIO
OF
INVESTMENTS
(continued)
April
30,
2022
(Unaudited)
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
10
Strategic
Beta
ETFs
|
Semiannual
Report
2022
Municipal
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
County
of
Howard
Series
B
5.000%,
02/15/28
225,000‌
250,007‌
County
of
Montgomery
Series
A
5.000%,
11/01/26
150,000‌
165,877‌
County
of
Prince
George's
Series
A
4.000%,
07/15/30
150,000‌
160,821‌
Maryland
Community
Development
Administration
Revenue
Bonds
0.900%
03/01/27,
Series
B
250,000‌
225,129‌
2.200%
09/01/36,
Series
C
350,000‌
286,033‌
Maryland
Health
&
Higher
Educational
Facilities
Authority
Revenue
Bonds
4.000%
07/01/41
165,000‌
163,576‌
5.000%
08/15/41,
Series
A
100,000‌
101,898‌
5.000%
05/15/45,
Series
A
250,000‌
267,824‌
5.500%
01/01/46,
Series
A
350,000‌
371,101‌
Maryland
Stadium
Authority
Revenue
Bonds
5.000%,
05/01/34
100,000‌
110,833‌
Maryland
Water
Quality
Financing
Administration
Revolving
Loan
Fund
Revenue
Bonds
2.800%,
03/01/26
150,000‌
149,409‌
3.000%,
03/01/30
310,000‌
306,901‌
Montgomery
County
Housing
Opportunities
Commission
Series
A-2
(Mandatory
Put
01/01/25)
Revenue
Bonds
1.800%,
07/01/26
350,000‌
342,298‌
State
of
Maryland,
Series
A
5.000%,
03/15/26
305,000‌
333,558‌
5.000%,
08/01/30
330,000‌
377,940‌
5.000%,
03/15/31
895,000‌
999,927‌
Total
Maryland
4,691,896‌
Massachusetts
3.3%
Commonwealth
of
Massachusetts
5.000%
07/01/27,
Series
A
250,000‌
279,198‌
5.000%
07/01/28,
Series
A
200,000‌
219,261‌
5.000%
03/01/29,
Series
A
150,000‌
171,544‌
5.000%
07/01/30,
Series
A
160,000‌
172,055‌
5.000%
11/01/30,
Series
E
215,000‌
250,504‌
5.000%
07/01/31,
Series
B
335,000‌
366,099‌
5.000%
11/01/31,
Series
E
250,000‌
278,239‌
Massachusetts
Department
of
Transportation
Series
A
Revenue
Bonds
0.000%,
01/01/28
(a)
435,000‌
367,159‌
Massachusetts
Development
Finance
Agency
Revenue
Bonds
5.000%
10/01/24
400,000‌
415,021‌
5.000%
10/01/25
250,000‌
262,134‌
5.000%
07/01/34,
Series
E
110,000‌
117,285‌
5.000%
07/01/36,
Series
I
150,000‌
158,076‌
Municipal
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
5.000%
07/01/36,
Series
K
150,000‌
163,130‌
4.000%
07/01/38,
Series
K
150,000‌
151,436‌
5.000%
10/01/38
400,000‌
419,100‌
4.000%
07/01/40
200,000‌
187,915‌
5.000%
07/01/41,
Series
I
350,000‌
368,154‌
5.000%
07/01/43,
Series
J2
350,000‌
376,131‌
5.000%
07/01/44,
Series
A
200,000‌
212,571‌
Massachusetts
Port
Authority
Series
A
Revenue
Bonds
5.000%,
07/01/36
250,000‌
271,367‌
Massachusetts
Transportation
Trust
Fund
Metropolitan
Highway
System
Revenue
Series
A
Revenue
Bonds
5.000%,
01/01/32
460,000‌
519,623‌
Massachusetts
Water
Resources
Authority
Series
C
Revenue
Bonds
5.000%,
08/01/31
300,000‌
332,784‌
Total
Massachusetts
6,058,786‌
Michigan
2.7%
Flint
Hospital
Building
Authority
Revenue
Bonds
4.000%,
07/01/41
185,000‌
177,767‌
Great
Lakes
Water
Authority
Sewage
Disposal
System
Revenue
Series
B
Revenue
Bonds
5.000%,
07/01/29
200,000‌
224,519‌
Great
Lakes
Water
Authority
Water
Supply
System
Revenue
Revenue
Bonds
5.000%
07/01/28,
Series
A
200,000‌
223,176‌
5.000%
07/01/31,
Series
C
650,000‌
700,006‌
Michigan
Finance
Authority
Revenue
Bonds
5.000%
10/01/29,
Series
B
275,000‌
301,391‌
5.000%
07/01/31,
Series
C-3
350,000‌
366,660‌
3.125%
12/01/35,
Series
A
100,000‌
91,019‌
5.000%
11/15/41
450,000‌
484,305‌
3.250%
11/15/42
150,000‌
132,729‌
5.000%
12/01/42,
Series
A-MI
605,000‌
653,366‌
4.000%
02/15/44,
Series
A
155,000‌
152,708‌
5.000%
11/01/44,
Series
A
250,000‌
265,958‌
Michigan
State
Building
Authority,
Series
I
Revenue
Bonds
5.000%,
10/15/27
400,000‌
447,463‌
5.000%,
04/15/30
145,000‌
156,540‌
5.000%,
04/15/32
155,000‌
166,826‌
Royal
Oak
Hospital
Finance
Authority
Series
D
Revenue
Bonds
5.000%,
09/01/39
340,000‌
352,697‌
Total
Michigan
4,897,130‌
Minnesota
0.7%
City
of
Apple
Valley
Series
A
Revenue
Bonds
4.250%,
01/01/37
260,000‌
219,922‌
PORTFOLIO
OF
INVESTMENTS
(continued)
April
30,
2022
(Unaudited)
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
Strategic
Beta
ETFs
|
Semiannual
Report
2022
11
Municipal
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
City
of
Maple
Grove
Revenue
Bonds
4.000%,
05/01/37
210,000‌
210,180‌
City
of
Minneapolis
Series
A
Revenue
Bonds
6.000%,
07/01/43
100,000‌
101,433‌
City
of
St
Cloud
Series
A
Revenue
Bonds
4.000%,
05/01/37
320,000‌
320,224‌
Duluth
Housing
&
Redevelopment
Authority
Series
A
Revenue
Bonds
5.000%,
11/01/33
100,000‌
103,227‌
Minnesota
Housing
Finance
Agency
Series
G
Revenue
Bonds
1.650%,
01/01/28
305,000‌
275,055‌
Total
Minnesota
1,230,041‌
Mississippi
0.3%
Mississippi
Development
Bank
Series
A
Revenue
Bonds
5.000%,
08/01/25
270,000‌
288,909‌
Mississippi
Home
Corp.
Series
A
Revenue
Bonds
1.950%,
06/01/32
200,000‌
174,197‌
State
of
Mississippi
Series
C
5.000%,
10/01/26
100,000‌
108,325‌
Total
Mississippi
571,431‌
Missouri
1.6%
Cape
Girardeau
County
Industrial
Development
Authority
Revenue
Bonds
4.000%,
03/01/41
250,000‌
243,538‌
Health
&
Educational
Facilities
Authority
of
the
State
of
Missouri
Revenue
Bonds
4.000%
11/15/42
150,000‌
150,103‌
4.000%
07/01/46,
Series
A
600,000‌
580,773‌
Lees
Summit
Industrial
Development
Authority
Series
A
Revenue
Bonds
5.000%,
08/15/32
150,000‌
159,506‌
Metropolitan
St
Louis
Sewer
District
Series
A
Revenue
Bonds
5.000%,
05/01/29
895,000‌
992,872‌
Missouri
Joint
Municipal
Electric
Utility
Commission,
Series
A
Revenue
Bonds
5.000%,
12/01/30
270,000‌
288,163‌
4.000%,
12/01/32
200,000‌
205,420‌
4.000%,
12/01/33
120,000‌
122,851‌
Municipal
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
St
Louis
County
Industrial
Development
Authority
Revenue
Bonds
5.000%,
09/01/32
100,000‌
105,548‌
Total
Missouri
2,848,774‌
Montana
0.2%
Montana
Facility
Finance
Authority
Series
A
Revenue
Bonds
4.000%,
01/01/37
335,000‌
349,612‌
Nebraska
0.3%
Public
Power
Generation
Agency
Series
A
Revenue
Bonds
5.000%,
01/01/28
540,000‌
572,628‌
New
Jersey
10.0%
New
Jersey
Economic
Development
Authority
Revenue
Bonds
4.375%
06/15/27,
Series
XX
470,000‌
483,543‌
5.500%
09/01/27,
Series
N-1
120,000‌
133,907‌
4.000%
11/01/27,
Series
A
370,000‌
380,503‌
5.000%
06/15/30,
Series
B
210,000‌
228,125‌
3.125%
07/01/31,
Series
A
145,000‌
138,990‌
5.000%
06/15/32,
Series
EEE
175,000‌
186,205‌
6.000%
07/01/32,
Series
A
200,000‌
200,391‌
4.000%
06/15/34,
Series
QQQ
350,000‌
345,133‌
5.000%
06/15/34,
Series
WW
300,000‌
309,116‌
4.000%
07/01/34,
Series
A
315,000‌
311,875‌
5.000%
06/15/35,
Series
WW
270,000‌
278,175‌
5.000%
06/15/36,
Series
AAA
525,000‌
548,379‌
New
Jersey
Educational
Facilities
Authority
Revenue
Bonds
5.000%,
06/15/28
135,000‌
140,954‌
New
Jersey
Health
Care
Facilities
Financing
Authority
Series
A
Revenue
Bonds
4.000%,
07/01/32
225,000‌
231,623‌
New
Jersey
Housing
&
Mortgage
Finance
Agency,
Series
D
Revenue
Bonds
4.000%,
04/01/24
265,000‌
270,971‌
4.000%,
04/01/25
225,000‌
231,431‌
New
Jersey
Transportation
Trust
Fund
Authority
Revenue
Bonds
0.000%
12/15/25,
Series
C
(a)
180,000‌
159,922‌
0.000%
12/15/26,
Series
C
(a)
210,000‌
179,103‌
5.000%
06/15/27,
Series
A-1
260,000‌
282,191‌
0.000%
12/15/27,
Series
A
(a)
300,000‌
244,736‌
0.000%
12/15/27,
Series
C
(a)
350,000‌
287,105‌
5.000%
06/15/28,
Series
A-1
240,000‌
260,145‌
0.000%
12/15/28,
Series
A
(a)
335,000‌
260,800‌
5.000%
06/15/29,
Series
BB-1
245,000‌
266,903‌
0.000%
12/15/29,
Series
A
(a)
850,000‌
630,126‌
5.000%
06/15/30,
Series
A
480,000‌
512,261‌
0.000%
12/15/30,
Series
C
(a)
225,000‌
160,376‌
5.000%
06/15/31,
Series
BB
115,000‌
123,515‌
5.000%
06/15/32,
Series
D
385,000‌
401,504‌
PORTFOLIO
OF
INVESTMENTS
(continued)
April
30,
2022
(Unaudited)
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
12
Strategic
Beta
ETFs
|
Semiannual
Report
2022
Municipal
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
5.250%
06/15/32,
Series
C
445,000‌
463,905‌
0.000%
12/15/32,
Series
A
(a)
595,000‌
382,093‌
5.000%
12/15/32,
Series
A
805,000‌
854,107‌
5.000%
06/15/33,
Series
A
400,000‌
430,782‌
5.000%
06/15/33,
Series
BB-1
1,250,000‌
1,324,283‌
0.000%
12/15/33,
Series
C
(a)
705,000‌
453,615‌
5.000%
06/15/34,
Series
2014
250,000‌
269,870‌
0.000%
12/15/34,
Series
A
(a)
135,000‌
78,101‌
0.000%
12/15/34,
Series
A
(a)
130,000‌
75,210‌
0.000%
12/15/34,
Series
C
(a)
250,000‌
154,909‌
5.000%
12/15/34,
Series
A
820,000‌
878,646‌
4.750%
06/15/35,
Series
AA
200,000‌
204,485‌
0.000%
12/15/35,
Series
A
(a)
165,000‌
90,708‌
4.000%
06/15/36,
Series
A
550,000‌
540,251‌
4.000%
06/15/36,
Series
AA
120,000‌
117,753‌
5.000%
06/15/36,
Series
AA
120,000‌
121,348‌
New
Jersey
Turnpike
Authority
Revenue
Bonds
5.000%
01/01/31,
Series
E
875,000‌
931,786‌
5.000%
01/01/32,
Series
B
255,000‌
284,043‌
5.000%
01/01/32,
Series
E
695,000‌
737,654‌
4.000%
01/01/33,
Series
G
225,000‌
235,376‌
5.000%
01/01/33,
Series
A
270,000‌
282,876‌
5.000%
01/01/33,
Series
B
460,000‌
510,805‌
5.000%
01/01/34,
Series
A
205,000‌
223,920‌
5.000%
01/01/34,
Series
E
395,000‌
418,369‌
Total
New
Jersey
18,252,903‌
New
York
16.4%
Albany
Capital
Resource
Corp.
Revenue
Bonds
4.000%,
07/01/41
250,000‌
236,758‌
Brooklyn
Arena
Local
Development
Corp.
Series
A
Revenue
Bonds
3.000%,
07/15/36
150,000‌
141,440‌
Broome
County
Local
Development
Corp.
Revenue
Bonds
3.000%,
04/01/45
200,000‌
158,175‌
Buffalo
&
Erie
County
Industrial
Land
Development
Corp.
Revenue
Bonds
5.000%,
07/01/40
400,000‌
401,410‌
4.000%,
07/01/45
225,000‌
201,414‌
City
of
New
York
5.000%
08/01/25,
Series
C
350,000‌
376,692‌
5.000%
08/01/25,
Series
J
115,000‌
118,817‌
5.000%
08/01/27,
Series
A
735,000‌
789,180‌
5.000%
08/01/27,
Series
C-1
175,000‌
193,658‌
5.000%
08/01/27,
Series
E
150,000‌
165,993‌
5.000%
08/01/28,
Series
A
390,000‌
414,484‌
5.000%
08/01/28,
Series
A-1
250,000‌
279,902‌
5.000%
08/01/28,
Series
C
620,000‌
670,595‌
5.000%
08/01/29,
Series
A-1
200,000‌
224,970‌
Dutchess
County
Local
Development
Corp.,
Series
B
Revenue
Bonds
4.000%,
07/01/34
300,000‌
307,634‌
3.000%,
07/01/36
320,000‌
297,875‌
Municipal
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Erie
County
Industrial
Development
Agency
(The)
Series
A
Revenue
Bonds
5.000%,
05/01/30
310,000‌
339,603‌
Long
Island
Power
Authority
Revenue
Bonds
0.000%
06/01/28
(a)
220,000‌
182,199‌
5.250%
09/01/29,
Series
C
140,000‌
161,145‌
5.000%
09/01/34
115,000‌
125,718‌
5.000%
09/01/34,
Series
A
400,000‌
446,916‌
5.000%
09/01/37,
Series
A
250,000‌
276,335‌
Metropolitan
Transportation
Authority
Revenue
Bonds
5.000%
11/15/26,
Series
A2
275,000‌
295,023‌
5.000%
11/15/27,
Series
C-1
250,000‌
265,224‌
5.000%
11/15/28,
Series
C-1
445,000‌
480,746‌
5.000%
11/15/31,
Series
C-1
365,000‌
388,753‌
5.000%
11/15/31,
Series
D
380,000‌
399,838‌
5.000%
11/15/32,
Series
D
580,000‌
617,490‌
5.000%
11/15/33,
Series
D-1
450,000‌
467,657‌
4.000%
11/15/35,
Series
C-1
215,000‌
213,861‌
5.000%
11/15/35,
Series
B
305,000‌
319,738‌
Monroe
County
Industrial
Development
Corp.
Series
A
Revenue
Bonds
4.000%,
07/01/35
125,000‌
126,838‌
New
York
City
Municipal
Water
Finance
Authority
Revenue
Bonds
5.000%
06/15/27,
Series
FF
500,000‌
536,145‌
5.000%
06/15/27,
Series
GG
175,000‌
187,811‌
5.000%
06/15/28,
Series
BB-2
330,000‌
366,267‌
5.000%
06/15/28,
Series
CC-2
405,000‌
444,599‌
5.000%
06/15/28,
Series
EE
145,000‌
152,494‌
5.000%
06/15/28,
Series
FF
200,000‌
214,554‌
5.000%
06/15/28,
Series
HH
380,000‌
407,389‌
5.000%
06/15/29,
Series
AA-2
125,000‌
142,574‌
5.000%
06/15/29,
Series
FF
640,000‌
686,286‌
5.000%
06/15/29,
Series
GG
150,000‌
160,848‌
5.000%
06/15/29,
Series
GG-2
500,000‌
558,304‌
5.000%
06/15/30,
Series
AA-2
145,000‌
167,030‌
5.000%
06/15/30,
Series
EE
125,000‌
143,971‌
5.000%
06/15/30,
Series
GG-1
250,000‌
287,946‌
New
York
Liberty
Development
Corp.
Series
A
Revenue
Bonds
2.400%,
11/15/35
350,000‌
296,911‌
New
York
State
Dormitory
Authority,
Series
A
Revenue
Bonds
5.000%,
07/01/28
365,000‌
402,475‌
5.000%,
10/01/29
160,000‌
176,738‌
5.000%,
10/01/30
340,000‌
369,563‌
5.000%,
08/01/31
200,000‌
211,843‌
5.000%,
10/01/31
310,000‌
336,115‌
5.000%,
08/01/32
390,000‌
411,443‌
5.000%,
05/01/33
400,000‌
424,126‌
5.000%,
07/01/33
400,000‌
440,053‌
5.000%,
08/01/33
110,000‌
115,890‌
PORTFOLIO
OF
INVESTMENTS
(continued)
April
30,
2022
(Unaudited)
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
Strategic
Beta
ETFs
|
Semiannual
Report
2022
13
Municipal
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
5.000%,
07/01/34
450,000‌
487,593‌
4.000%,
10/01/34
200,000‌
207,555‌
4.000%,
07/01/35
650,000‌
674,909‌
5.000%,
07/01/35
450,000‌
477,234‌
New
York
State
Environmental
Facilities
Corp.
Revenue
Bonds
5.000%
06/15/27,
Series
A
500,000‌
553,784‌
5.000%
06/15/31
265,000‌
279,222‌
New
York
State
Housing
Finance
Agency
Series
E
Revenue
Bonds
1.100%,
05/01/26
150,000‌
140,264‌
New
York
State
Thruway
Authority
Revenue
Bonds
5.000%
01/01/29,
Series
B
200,000‌
222,061‌
5.000%
01/01/30,
Series
K
470,000‌
498,045‌
5.000%
01/01/31,
Series
K
160,000‌
169,470‌
4.000%
01/01/36,
Series
O
250,000‌
257,033‌
4.000%
01/01/38,
Series
B
150,000‌
150,896‌
New
York
Transportation
Development
Corp.
Revenue
Bonds
5.000%
01/01/31
200,000‌
209,211‌
3.000%
08/01/31
250,000‌
231,392‌
5.000%
12/01/32,
Series
A
180,000‌
189,314‌
5.000%
12/01/32,
Series
C
200,000‌
215,258‌
5.000%
01/01/34
175,000‌
182,700‌
5.000%
07/01/34,
Series
A-P3
500,000‌
514,658‌
5.000%
10/01/35
200,000‌
211,451‌
5.000%
01/01/36
150,000‌
156,516‌
5.000%
12/01/36,
Series
A
425,000‌
442,946‌
5.000%
10/01/40
275,000‌
287,863‌
4.000%
12/01/42,
Series
C
160,000‌
154,510‌
Oneida
County
Local
Development
Corp.
Series
A
Revenue
Bonds
3.000%,
12/01/44
255,000‌
228,775‌
Port
Authority
of
New
York
&
New
Jersey
Revenue
Bonds
5.000%
09/15/25,
Series
207
115,000‌
122,101‌
5.000%
09/15/27,
Series
207
860,000‌
936,205‌
5.000%
09/15/29,
Series
207
800,000‌
874,886‌
5.000%
07/15/31,
Series
209
300,000‌
332,375‌
3.250%
05/01/33,
Series
189
125,000‌
122,479‌
5.000%
10/15/33,
Series
194
440,000‌
467,543‌
5.000%
11/15/33,
Series
205
200,000‌
219,129‌
5.000%
07/15/35,
Series
222
200,000‌
223,348‌
5.000%
10/15/35,
Series
194
405,000‌
426,716‌
State
of
New
York
Mortgage
Agency
Series
233
Revenue
Bonds
1.900%,
10/01/31
250,000‌
214,502‌
Triborough
Bridge
&
Tunnel
Authority
Revenue
Bonds
0.000%
11/15/29,
Series
A
(a)
100,000‌
77,792‌
5.000%
11/15/31,
Series
A
485,000‌
526,991‌
5.000%
11/15/31,
Series
B
490,000‌
539,731‌
Total
New
York
29,953,914‌
Municipal
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
North
Carolina
0.7%
Charlotte-Mecklenburg
Hospital
Authority
(The)
Revenue
Bonds
5.000%
01/15/34,
Series
A
215,000‌
228,537‌
5.000%
01/15/49,
Series
D
(Mandatory
Put
12/01/31)
205,000‌
231,931‌
North
Carolina
Municipal
Power
Agency
No
1
Series
A
Revenue
Bonds
5.000%,
01/01/28
240,000‌
257,820‌
North
Carolina
Turnpike
Authority
Revenue
Bonds
5.000%,
01/01/35
145,000‌
162,007‌
State
of
North
Carolina
Revenue
Bonds
5.000%,
03/01/30
300,000‌
338,176‌
Total
North
Carolina
1,218,471‌
North
Dakota
0.2%
North
Dakota
Housing
Finance
Agency
Revenue
Bonds
2.250%
01/01/25,
Series
A
175,000‌
172,864‌
2.750%
07/01/27,
Series
A
185,000‌
181,223‌
3.550%
07/01/33,
Series
D
95,000‌
92,458‌
Total
North
Dakota
446,545‌
Ohio
3.9%
Akron
Bath
Copley
Joint
Township
Hospital
District
Revenue
Bonds
4.000%,
11/15/36
250,000‌
246,678‌
American
Municipal
Power,
Inc.
Revenue
Bonds
5.000%
02/15/33,
Series
C
630,000‌
706,906‌
5.000%
02/15/35,
Series
C
250,000‌
278,641‌
4.000%
02/15/36,
Series
A
385,000‌
397,862‌
City
of
Columbus
5.000%
07/01/25,
Series
1
205,000‌
221,046‌
4.000%
08/15/27,
Series
A
380,000‌
398,202‌
City
of
Columbus
OH
Sewerage
Revenue
Revenue
Bonds
5.000%,
06/01/29
350,000‌
382,059‌
County
of
Allen
OH
Hospital
Facilities
Revenue
Series
A
Revenue
Bonds
5.000%,
11/01/43
115,000‌
118,451‌
Franklin
County
Convention
Facilities
Authority
Revenue
Bonds
5.000%,
12/01/44
200,000‌
202,943‌
Ohio
Housing
Finance
Agency
Series
K
Revenue
Bonds
3.200%,
09/01/36
75,000‌
68,298‌
Ohio
Turnpike
&
Infrastructure
Commission
Revenue
Bonds
5.000%
02/15/33,
Series
A
500,000‌
555,364‌
0.000%
02/15/34,
Series
A-4
(a)
285,000‌
317,519‌
0.000%
02/15/35,
Series
A-4
(a)
150,000‌
174,806‌
PORTFOLIO
OF
INVESTMENTS
(continued)
April
30,
2022
(Unaudited)
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
14
Strategic
Beta
ETFs
|
Semiannual
Report
2022
Municipal
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Ohio
Water
Development
Authority,
Series
A
Revenue
Bonds
5.000%,
06/01/25
335,000‌
361,309‌
5.000%,
06/01/29
930,000‌
1,065,333‌
5.000%,
12/01/30
325,000‌
354,653‌
Ohio
Water
Development
Authority
Water
Pollution
Control
Loan
Fund
Series
A
Revenue
Bonds
5.000%,
06/01/28
250,000‌
278,300‌
Southeastern
Ohio
Port
Authority
Revenue
Bonds
5.500%,
12/01/43
135,000‌
138,990‌
State
of
Ohio
Revenue
Bonds
3.250%
01/01/35,
Series
A
130,000‌
126,359‌
3.250%
01/01/37,
Series
A
140,000‌
133,245‌
4.000%
01/01/46,
Series
B
575,000‌
573,823‌
Total
Ohio
7,100,787‌
Oklahoma
0.8%
Grand
River
Dam
Authority,
Series
A
Revenue
Bonds
5.000%,
06/01/28
185,000‌
202,654‌
5.000%,
06/01/30
200,000‌
218,781‌
5.000%,
06/01/31
400,000‌
436,523‌
Norman
Regional
Hospital
Authority
Revenue
Bonds
4.000%,
09/01/37
150,000‌
150,559‌
Oklahoma
Development
Finance
Authority
Series
B
Revenue
Bonds
5.000%,
08/15/38
100,000‌
102,808‌
Tulsa
County
Industrial
Authority
Revenue
Bonds
5.000%,
11/15/32
335,000‌
350,644‌
Total
Oklahoma
1,461,969‌
Oregon
1.5%
City
of
Eugene
OR
Electric
Utility
System
Revenue
Series
A
Revenue
Bonds
4.000%,
08/01/31
410,000‌
434,673‌
Medford
Hospital
Facilities
Authority,
Series
A
Revenue
Bonds
5.000%,
08/15/38
455,000‌
503,327‌
5.000%,
08/15/45
270,000‌
294,371‌
Oregon
Health
&
Science
University
Series
A
Revenue
Bonds
4.000%,
07/01/41
1,000,000‌
1,018,653‌
Salem
Hospital
Facility
Authority,
Series
A
Revenue
Bonds
5.000%,
05/15/34
200,000‌
218,109‌
4.000%,
05/15/41
240,000‌
239,713‌
Total
Oregon
2,708,846‌
Municipal
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Pennsylvania
6.5%
Allegheny
County
Hospital
Development
Authority,
Series
A
Revenue
Bonds
5.000%,
04/01/35
150,000‌
166,708‌
4.000%,
07/15/39
620,000‌
623,568‌
4.000%,
04/01/44
520,000‌
526,493‌
Allentown
Neighborhood
Improvement
Zone
Development
Authority
Revenue
Bonds
5.000%,
05/01/42
(b)
100,000‌
103,889‌
Berks
County
Industrial
Development
Authority
Revenue
Bonds
3.750%,
11/01/42
120,000‌
95,395‌
Berks
County
Municipal
Authority
(The)
Series
A
Revenue
Bonds
5.000%,
11/01/40
100,000‌
99,996‌
Cambria
County
General
Financing
Authority
Series
TT4
Revenue
Bonds
5.000%,
11/01/29
315,000‌
343,569‌
Chambersburg
Area
Municipal
Authority
Revenue
Bonds
5.500%,
10/01/33
150,000‌
158,299‌
Chester
County
Health
and
Education
Facilities
Authority
Revenue
Bonds
4.250%
11/01/32
100,000‌
85,892‌
4.000%
09/01/41,
Series
A
200,000‌
199,107‌
City
of
Philadelphia
PA
Airport
Revenue
Revenue
Bonds
5.000%,
07/01/36
250,000‌
274,320‌
Commonwealth
Financing
Authority
Series
A
Revenue
Bonds
5.000%,
06/01/33
255,000‌
266,706‌
Commonwealth
of
Pennsylvania
5.000%
01/01/26,
Series
1
260,000‌
281,782‌
5.000%
01/01/28,
Series
1
600,000‌
659,983‌
5.000%
09/15/28,
Series
2
200,000‌
218,811‌
5.000%
03/15/29,
Series
1
200,000‌
213,393‌
5.000%
03/15/31,
Series
1
340,000‌
362,236‌
Cumberland
County
Municipal
Authority
Revenue
Bonds
4.000%,
01/01/33
110,000‌
112,838‌
Dauphin
County
General
Authority
Revenue
Bonds
5.000%,
10/15/34
(b)
100,000‌
103,403‌
Delaware
Valley
Regional
Finance
Authority
Revenue
Bonds
5.700%
07/01/27,
Series
B
110,000‌
124,715‌
5.500%
08/01/28,
Series
A
1,230,000‌
1,389,162‌
5.750%
07/01/32
100,000‌
122,149‌
Geisinger
Authority
Series
A-2
Revenue
Bonds
5.000%,
02/15/39
375,000‌
404,278‌
PORTFOLIO
OF
INVESTMENTS
(continued)
April
30,
2022
(Unaudited)
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
Strategic
Beta
ETFs
|
Semiannual
Report
2022
15
Municipal
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Hospitals
&
Higher
Education
Facilities
Authority
of
Philadelphia
(The)
Revenue
Bonds
5.000%,
07/01/33
100,000‌
107,038‌
Montgomery
County
Industrial
Development
Authority
Series
A
Revenue
Bonds
4.500%,
01/15/32
200,000‌
210,527‌
Pennsylvania
Economic
Development
Financing
Authority
Series
A
Revenue
Bonds
6.400%,
12/01/38
100,000‌
65,505‌
Pennsylvania
Higher
Educational
Facilities
Authority
Revenue
Bonds
4.000%
08/15/44
500,000‌
503,568‌
5.000%
09/01/45,
Series
A
250,000‌
258,092‌
Pennsylvania
Housing
Finance
Agency
Revenue
Bonds
3.650%
10/01/32,
Series
122
220,000‌
221,123‌
3.550%
10/01/33,
Series
127B
360,000‌
355,168‌
Pennsylvania
Turnpike
Commission
Revenue
Bonds
5.000%
06/01/28,
Series
B
250,000‌
270,122‌
5.000%
06/01/28,
Series
B-2
200,000‌
219,201‌
6.000%
12/01/30,
Series
E
760,000‌
862,483‌
6.250%
06/01/33,
Series
C
190,000‌
213,419‌
Philadelphia
Authority
For
Industrial
Development
Revenue
Bonds
5.000%
10/01/27
300,000‌
329,098‌
5.000%
04/01/33,
Series
2015
225,000‌
237,789‌
5.000%
09/01/42,
Series
A
200,000‌
217,128‌
Pittsburgh
Water
&
Sewer
Authority
Series
A
Revenue
Bonds
5.000%,
09/01/26
130,000‌
141,264‌
Redevelopment
Authority
of
the
City
of
Philadelphia
Series
A
Revenue
Bonds
5.000%,
04/15/31
475,000‌
506,362‌
State
Public
School
Building
Authority
Series
A
Revenue
Bonds
5.000%,
06/01/33
280,000‌
303,174‌
Total
Pennsylvania
11,957,753‌
Rhode
Island
0.4%
Rhode
Island
Commerce
Corp.
Series
B
Revenue
Bonds
5.000%,
06/15/31
365,000‌
389,512‌
Rhode
Island
Housing
and
Mortgage
Finance
Corp.
Series
76-A
Revenue
Bonds
2.350%,
10/01/36
500,000‌
413,801‌
Total
Rhode
Island
803,313‌
Municipal
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
South
Carolina
0.8%
Piedmont
Municipal
Power
Agency
Series
A-2
Revenue
Bonds
0.000%,
01/01/29
(a)
120,000‌
95,437‌
South
Carolina
Jobs-Economic
Development
Authority
Revenue
Bonds
5.000%
05/01/32,
Series
A
190,000‌
208,396‌
5.000%
07/01/32,
Series
C
300,000‌
334,923‌
5.000%
05/01/43,
Series
A
200,000‌
214,804‌
4.000%
12/01/44,
Series
A
200,000‌
196,487‌
South
Carolina
Public
Service
Authority
Series
A
Revenue
Bonds
5.000%,
12/01/33
325,000‌
346,909‌
Total
South
Carolina
1,396,956‌
South
Dakota
0.4%
South
Dakota
Health
&
Educational
Facilities
Authority
Revenue
Bonds
5.000%,
07/01/35
180,000‌
191,024‌
4.000%,
07/01/37
150,000‌
150,332‌
South
Dakota
Housing
Development
Authority
Series
F
Revenue
Bonds
2.650%,
11/01/27
500,000‌
492,763‌
Total
South
Dakota
834,119‌
Tennessee
0.7%
Chattanooga
Health
Educational
&
Housing
Facility
Board
Series
A-1
Revenue
Bonds
4.000%,
08/01/36
105,000‌
103,338‌
City
of
Memphis,
Series
A
5.000%,
04/01/25
250,000‌
268,350‌
5.000%,
04/01/26
245,000‌
262,840‌
Memphis-Shelby
County
Industrial
Development
Board
Series
B
Revenue
Bonds
5.000%,
11/01/30
150,000‌
163,444‌
Metropolitan
Government
Nashville
&
Davidson
County
Health
&
Educational
Facs
Bd
Series
A
Revenue
Bonds
5.000%,
07/01/35
150,000‌
158,385‌
Tennessee
Housing
Development
Agency
Revenue
Bonds
2.450%,
01/01/27
250,000‌
245,815‌
Total
Tennessee
1,202,172‌
Texas
8.4%
Alamo
Community
College
District
5.000%,
08/15/28
330,000‌
366,985‌
PORTFOLIO
OF
INVESTMENTS
(continued)
April
30,
2022
(Unaudited)
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
16
Strategic
Beta
ETFs
|
Semiannual
Report
2022
Municipal
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Austin
Convention
Enterprises,
Inc.
Series
B
Revenue
Bonds
5.000%,
01/01/32
250,000‌
255,650‌
Central
Texas
Turnpike
System
Revenue
Bonds
0.000%
08/15/28,
Series
A
(a)
150,000‌
123,483‌
0.000%
08/15/29,
Series
A
(a)
270,000‌
213,987‌
5.000%
08/15/33,
Series
C
225,000‌
231,724‌
City
of
Austin
TX
Airport
System
Revenue
Revenue
Bonds
5.000%,
11/15/27
200,000‌
210,557‌
City
of
Dallas
5.000%,
02/15/26
330,000‌
345,078‌
City
of
Dallas
TX
Waterworks
&
Sewer
System
Revenue
Series
A
Revenue
Bonds
5.000%,
10/01/29
580,000‌
637,473‌
City
of
Garland
TX
Electric
Utility
System
Revenue
Revenue
Bonds
3.000%,
03/01/37
300,000‌
272,015‌
City
of
Houston
Series
A
5.000%,
03/01/26
355,000‌
385,597‌
City
of
Houston
TX
Airport
System
Revenue
Series
B-1
Revenue
Bonds
4.000%,
07/15/41
450,000‌
408,403‌
City
of
Houston
TX
Combined
Utility
System
Revenue
Series
B
Revenue
Bonds
5.000%,
11/15/27
695,000‌
762,246‌
City
of
Longview
TX
Waterworks
&
Sewer
System
Revenue
Revenue
Bonds
3.000%,
03/01/25
225,000‌
228,046‌
City
of
San
Antonio
TX
Electric
&
Gas
Systems
Revenue
Revenue
Bonds
5.000%,
02/01/27
220,000‌
241,272‌
5.000%,
02/01/30
205,000‌
224,299‌
5.000%,
02/01/36
525,000‌
583,465‌
Dallas
Fort
Worth
International
Airport
Series
A
Revenue
Bonds
5.250%,
11/01/30
225,000‌
232,859‌
Fort
Bend
Independent
School
District
5.000%,
08/15/29
480,000‌
535,174‌
Harris
County
Cultural
Education
Facilities
Finance
Corp.
Revenue
Bonds
5.000%,
11/15/29
155,000‌
174,687‌
5.000%,
07/01/45
240,000‌
251,248‌
Harris
County-Houston
Sports
Authority
Series
A-3
Revenue
Bonds
0.000%,
11/15/32
(a)
200,000‌
113,608‌
Municipal
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Lower
Colorado
River
Authority
Revenue
Bonds
5.000%,
05/15/32
350,000‌
404,634‌
5.000%,
05/15/35
350,000‌
385,629‌
Matagorda
County
Navigation
District
No
1
Revenue
Bonds
5.125%,
11/01/28
315,000‌
357,534‌
New
Hope
Cultural
Education
Facilities
Finance
Corp.
Revenue
Bonds
5.000%
12/01/39,
Series
A-1
115,000‌
119,485‌
4.000%
08/15/40,
Series
A
225,000‌
227,092‌
North
East
Independent
School
District
5.250%,
02/01/29
150,000‌
172,334‌
North
Texas
Municipal
Water
District
Water
System
Revenue
Revenue
Bonds
5.000%,
09/01/28
250,000‌
269,682‌
North
Texas
Tollway
Authority
Revenue
Bonds
0.000%
01/01/28,
Series
D
(a)
230,000‌
193,553‌
5.000%
01/01/28,
Series
A
415,000‌
445,805‌
5.000%
01/01/29,
Series
A
250,000‌
268,365‌
5.000%
01/01/29,
Series
B
325,000‌
343,341‌
0.000%
01/01/30,
Series
D
(a)
500,000‌
391,889‌
5.000%
01/01/30,
Series
A
545,000‌
578,653‌
0.000%
01/01/34,
Series
D
(a)
295,000‌
196,257‌
5.000%
01/01/36,
Series
A
370,000‌
395,913‌
Northeast
Higher
Education
Finance
Corp.
Series
B
Revenue
Bonds
5.000%,
08/15/40
110,000‌
111,212‌
Port
Freeport
Revenue
Bonds
5.000%,
06/01/33
895,000‌
977,256‌
Round
Rock
Independent
School
District
Series
A
5.000%,
08/01/30
100,000‌
114,518‌
San
Antonio
Water
System,
Series
A
Revenue
Bonds
5.000%,
05/15/29
150,000‌
163,351‌
5.000%,
05/15/30
400,000‌
434,984‌
5.000%,
05/15/31
155,000‌
168,391‌
2.625%,
05/01/49
(Mandatory
Put
05/01/24)
300,000‌
301,557‌
State
of
Texas,
Series
A
5.000%,
10/01/27
165,000‌
174,887‌
5.000%,
10/01/29
125,000‌
135,039‌
Tarrant
County
Cultural
Education
Facilities
Finance
Corp.
Revenue
Bonds
5.000%
07/01/32,
Series
B
120,000‌
131,922‌
5.000%
05/15/37
100,000‌
103,813‌
Tarrant
Regional
Water
District
Water
Supply
System
Revenue
Revenue
Bonds
5.000%,
03/01/29
225,000‌
239,976‌
Texas
Water
Development
Board,
Series
A
Revenue
Bonds
5.000%,
04/15/28
315,000‌
352,167‌
5.000%,
10/15/28
200,000‌
225,291‌
PORTFOLIO
OF
INVESTMENTS
(continued)
April
30,
2022
(Unaudited)
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
Strategic
Beta
ETFs
|
Semiannual
Report
2022
17
Notes
to
Portfolio
of
Investments
Municipal
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
5.000%,
10/15/30
150,000‌
161,895‌
Total
Texas
15,344,281‌
Utah
0.1%
City
of
Salt
Lake
City
UT
Airport
Revenue
Series
A
Revenue
Bonds
5.000%,
07/01/30
100,000‌
108,763‌
Virginia
0.3%
Fairfax
County
Industrial
Development
Authority
Series
A
Revenue
Bonds
5.000%,
05/15/44
225,000‌
232,418‌
Virginia
Resources
Authority
Clean
Water
Revolving
Fund
Series
B
Revenue
Bonds
4.000%,
10/01/27
185,000‌
191,999‌
Virginia
Small
Business
Financing
Authority
Revenue
Bonds
5.250%,
10/01/29
165,000‌
175,206‌
Total
Virginia
599,623‌
Washington
2.0%
City
of
Seattle
WA
Water
System
Revenue
Revenue
Bonds
5.000%,
05/01/27
1,000,000‌
1,071,770‌
County
of
King
WA
Sewer
Revenue
Series
B
Revenue
Bonds
5.000%,
07/01/27
235,000‌
257,472‌
Port
of
Seattle
Revenue
Bonds
5.000%,
04/01/36
200,000‌
217,618‌
State
of
Washington
5.000%
07/01/28,
Series
R-2015-C
150,000‌
159,647‌
5.000%
07/01/29,
Series
B
210,000‌
227,627‌
5.000%
07/01/30,
Series
R-2015E
200,000‌
211,974‌
Municipal
Bonds
(continued)
Issue
Description
Principal
Amount
($)
Value
($)
Washington
Health
Care
Facilities
Authority
Revenue
Bonds
5.000%
08/15/31
170,000‌
182,853‌
5.000%
08/01/38,
Series
A-2
150,000‌
159,798‌
5.000%
10/01/38,
Series
D
350,000‌
359,778‌
5.000%
08/15/45,
Series
A
200,000‌
208,797‌
5.000%
09/01/45
300,000‌
325,838‌
Washington
State
Convention
Center
Public
Facilities
District
Revenue
Bonds
4.000%,
07/01/32
210,000‌
204,611‌
Washington
State
Housing
Finance
Commission
Series
A
Revenue
Bonds
5.000%,
01/01/34
(b)
100,000‌
104,276‌
Total
Washington
3,692,059‌
Wisconsin
0.9%
Public
Finance
Authority,
Series
A
Revenue
Bonds
5.000%,
06/01/40
200,000‌
209,153‌
4.000%,
01/01/45
200,000‌
195,061‌
State
of
Wisconsin
5.000%
05/01/27
100,000‌
107,352‌
5.000%
11/01/28,
Series
2
500,000‌
546,351‌
Wisconsin
Health
&
Educational
Facilities
Authority
Revenue
Bonds
4.250%
07/01/33,
Series
B
200,000‌
159,600‌
3.500%
02/15/46,
Series
A
405,000‌
364,012‌
Total
Wisconsin
1,581,529‌
Total
Municipal
Bonds
(Cost
$194,705,335)
179,237,175‌
Money
Market
Funds
1
.2
%
Shares
Value
($)
Dreyfus
Tax
Exempt
Cash
Management
Fund,
Institutional
Shares
0.318%
(c)
2,279,496‌
2,279,268‌
Total
Money
Market
Funds
(Cost
$2,279,268)
2,279,268‌
Total
Investments
in
Securities
(Cost
$196,984,603)
181,516,443‌
Other
Assets
&
Liabilities,
Net
1,023,939‌
Net
Assets
182,540,382‌
(a)
Zero
coupon
bond.
(b)
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
April
30,
2022,
the
total
value
of
these
securities
amounted
to
$1,092,193,
which
represents
0.60%
of
total
net
assets.
(c)
The
rate
shown
is
the
seven-day
current
annualized
yield
at
April
30,
2022.
PORTFOLIO
OF
INVESTMENTS
(continued)
April
30,
2022
(Unaudited)
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
18
Strategic
Beta
ETFs
|
Semiannual
Report
2022
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:
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
April
30,
2022:
Level
1
($)
Level
2
($)
Level
3
($)
Total
($)
Investments
in
Securities
Municipal
Bonds
–
179,237,175
–
179,237,175
Money
Market
Funds
2,279,268
–
–
2,279,268
Total
Investments
in
Securities
2,279,268
179,237,175
–
181,516,443
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
April
30,
2022
(Unaudited)
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
Strategic
Beta
ETFs
|
Semiannual
Report
2022
19
Assets
Investments
in
securities,
at
value
Unaffiliated
issuers
(cost
$196,984,603)
$181,516,443
Receivable
for:
Interest
2,339,881
Total
assets
183,856,324
Liabilities
Payable
for:
Investments
purchased
1,281,433
Investment
management
fees
34,509
Total
liabilities
1,315,942
Net
assets
applicable
to
outstanding
capital
stock
$182,540,382
Represented
by:
Paid-in
capital
$198,192,611
Total
distributable
earnings
(loss)
(15,652,229)
Total
-
representing
net
assets
applicable
to
outstanding
capital
stock
$182,540,382
Shares
outstanding
9,000,000
Net
asset
value
per
share
$20.28
STATEMENT
OF
OPERATIONS
Six
Months
Ended
April
30,
2022
(Unaudited)
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
20
Strategic
Beta
ETFs
|
Semiannual
Report
2022
Investment
Income:
Interest
$1,443,862
Total
income
1,443,862
Expenses:
Investment
management
fees
199,925
Overdraft
expense
28
Total
expenses
199,953
Net
Investment
Income
1,243,909
Realized
and
unrealized
gain
(loss)
-
net
Net
realized
gain
(loss)
on:
Investments
-
unaffiliated
issuers
(376,537)
Net
realized
loss
(376,537)
Change
in
net
unrealized
appreciation
(depreciation)
on:
Investments
-
unaffiliated
issuers
(17,727,397)
Net
change
in
unrealized
depreciation
(17,727,397)
Net
realized
and
unrealized
loss
(18,103,934)
Net
Decrease
in
net
assets
resulting
from
operations
$(16,860,025)
STATEMENT
OF
CHANGES
IN
NET
ASSETS
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
Strategic
Beta
ETFs
|
Semiannual
Report
2022
21
Six
Months
Ended
April
30,
2022
(Unaudited)
Year
Ended
October
31,
2021
Operations
Net
investment
income
$1,243,909
$1,559,527
Net
realized
gain
(loss)
(376,537)
142,741
Net
change
in
unrealized
appreciation
(depreciation)
(17,727,397)
396,180
Net
increase
(decrease)
in
net
assets
resulting
from
operations
(16,860,025)
2,098,448
Distributions
to
shareholders
Net
investment
income
and
net
realized
gains
(1,348,596)
(1,616,392)
Shareholder
transactions
Proceeds
from
shares
sold
75,354,892
84,369,700
Cost
of
shares
redeemed
(16,225,131)
(1,112)
Net
increase
in
net
assets
resulting
from
shareholder
transactions
59,129,761
84,368,588
Increase
in
net
assets
40,921,140
84,850,644
Net
Assets:
Net
assets
beginning
of
period
141,619,242
56,768,598
Net
assets
at
end
of
period
$182,540,382
$141,619,242
Capital
stock
activity
Shares
outstanding,
beginning
of
period
6,350,000
2,600,050
Subscriptions
3,400,000
3,750,000
Redemptions
(750,000)
(50)
Shares
outstanding,
end
of
period
9,000,000
6,350,000
FINANCIAL
HIGHLIGHTS
The
accompanying
Notes
to
Financial
Statements
are
an
integral
part
of
these
financial
statements.
22
Strategic
Beta
ETFs
|
Semiannual
Report
2022
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.
Six
Months
Ended
April
30,
2022
(Unaudited)
Year
Ended
October
31,
2021
2020
2019
2018
(a)
Per
share
data
Net
asset
value,
beginning
of
period
$22.30‌
$21.83‌
$21.56‌
$20.02‌
$20.00‌
Income
(loss)
from
investment
operations:
Net
investment
income
0.15‌
0.37‌
0.51‌
0.56‌
0.03‌
Net
realized
and
unrealized
gain
(loss)
(2.00‌)
0.52‌
0.30‌
1.51‌
(0.01‌)
Total
from
investment
operations
(1.85‌)
0.89‌
0.81‌
2.07‌
0.02‌
Less
distributions
to
shareholders:
Net
investment
income
(0.15‌)
(0.38‌)
(0.51‌)
(0.53‌)
–‌
Net
realized
gains
(0.02‌)
(0.04‌)
(0.03‌)
–‌
–‌
Total
distribution
to
shareholders
(0.17‌)
(0.42‌)
(0.54‌)
(0.53‌)
–‌
Net
asset
value,
end
of
period
$20.28‌
$22.30‌
$21.83‌
$21.56‌
$20.02‌
Total
Return
at
NAV
(8.35‌)%
4.11‌%
3.82‌%
10.42‌%
0.10‌%
Total
Return
at
Market
(8.50‌)%
3.85‌%
4.18‌%
10.24‌%
0.45‌%
Ratios
to
average
net
assets:
Total
gross
expenses
(b)
0.23‌%
(c)(d)
0.23‌%
(d)
0.23‌%
0.26‌%
0.28‌%
(c)
Total
net
expenses
(b)(e)
0.23‌%
(c)(d)
0.23‌%
(d)
0.23‌%
0.26‌%
0.28‌%
(c)
Net
investment
income
1.43‌%
(c)
1.65‌%
2.37‌%
2.67‌%
2.34‌%
(c)
Supplemental
data
Net
assets,
end
of
period
(in
thousands)
$182,540‌
$141,619‌
$56,769‌
$26,946‌
$16,014‌
Portfolio
turnover
10‌%
6‌%
11‌%
20‌%
48‌%
(a)
The
Fund
commenced
operations
on
October
10,
2018.
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)
Annualized.
(d)
The
ratio
includes
less
than
0.01%
attributed
to
overdraft
expense,
which
is
outside
the
Unitary
Fee
(as
defined
in
Note
3).
(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
April
30,
2022
(Unaudited)
Strategic
Beta
ETFs
|
Semiannual
Report
2022
23
Note
1.
Organization
Columbia
Multi-Sector
Municipal
Income
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
Fund’s
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
Fund’s
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
(ASC
946).
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)
April
30,
2022
(Unaudited)
24
Strategic
Beta
ETFs
|
Semiannual
Report
2022
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.
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.
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
net
asset
value
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
net
tax-exempt
and
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.
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
NOTES
TO
FINANCIAL
STATEMENTS
(continued)
April
30,
2022
(Unaudited)
Strategic
Beta
ETFs
|
Semiannual
Report
2022
25
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;
interest
and
fee
expense
related
to
the
Fund’s
participation
in
inverse
floater
structures
and
any
other
portfolio
transaction
expenses;
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
0.23%
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
Fund’s
deferred
amount
is
adjusted
for
market
value
changes
and
remains
in
the
Fund
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.
At
April
30,
2022,
the
approximate
cost
of
all
investments
for
federal
income
tax
purposes
and
the
aggregate
gross
approximate
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.
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.
Federal
tax
cost
($)
Gross
unrealized
appreciation
($)
Gross
unrealized
(depreciation)
($)
Net
unrealized
appreciation
(depreciation)
($)
196,984,603
226,272
(15,694,432)
(15,468,160)
NOTES
TO
FINANCIAL
STATEMENTS
(continued)
April
30,
2022
(Unaudited)
26
Strategic
Beta
ETFs
|
Semiannual
Report
2022
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
$71,951,467
and
$17,828,471,
respectively,
for
the
six
months
ended
April
30,
2022.
The
amount
of
purchase
and
sale
activity
impacts
the
portfolio
turnover
rate
reported
in
the
Financial
Highlights.
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
period
ended
April
30,
2022,
the
cost
basis
of
securities
contributed
was
$5,187,578.
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
six
months
ended
April
30,
2022,
the
Fund
did
not
have
in-kind
redemptions.
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
an
agreement
between
the
Fund
and
certain
other
funds
managed
by
the
Investment
Manager
or
an
affiliated
investment
manager,
severally
and
not
jointly,
permits
aggregate
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
six
months
ended
April
30,
2022.
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.
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.
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.
NOTES
TO
FINANCIAL
STATEMENTS
(continued)
April
30,
2022
(Unaudited)
Strategic
Beta
ETFs
|
Semiannual
Report
2022
27
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
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’s
ability
to
price
or
value
hard-to-value
assets
in
thinly
traded
and
closed
markets
and
could
cause
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
large-scale
invasion
of
Ukraine
by
Russia
in
February
2022
has
resulted
in
sanctions
and
market
disruptions,
including
declines
in
regional
and
global
stock
and
commodity
markets
and
significant
devaluations
of
Russian
currency.
The
extent
and
duration
of
the
military
action
are
impossible
to
predict
but
could
be
significant.
Market
disruption
caused
by
the
Russian
military
action,
and
any
counter
measures
or
responses
thereto
(including
international
sanctions,
a
downgrade
in
the
country’s
credit
rating,
purchasing
and
financing
restrictions,
boycotts,
tariffs,
changes
in
consumer
or
purchaser
preferences,
cyberattacks
and
espionage)
could
have
severe
adverse
impacts
on
regional
and/or
global
securities
and
commodities
markets,
including
markets
for
oil
and
natural
gas.
These
impacts
may
include
reduced
market
liquidity,
distress
in
credit
markets,
further
disruption
of
global
supply
chains,
increased
risk
of
inflation,
and
limited
access
to
investments
in
certain
international
markets
and/or
issuers.
These
developments
and
other
related
events
could
negatively
impact
Fund
performance.
The
pandemic
caused
by
coronavirus
disease
2019
and
its
variants
(COVID-19)
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
objective.
Any
such
events
could
have
a
significant
adverse
impact
on
the
value
and
risk
profile
of
the
Fund.
NOTES
TO
FINANCIAL
STATEMENTS
(continued)
April
30,
2022
(Unaudited)
28
Strategic
Beta
ETFs
|
Semiannual
Report
2022
Securities
issued
by
a
particular
state
and
its
instrumentalities
are
subject
to
the
risk
of
unfavorable
developments
in
such
state.
A
municipal
security
can
be
significantly
affected
by
adverse
tax,
legislative,
regulatory,
demographic
or
political
changes
as
well
as
changes
in
a
particular
state’s
(state
and
its
instrumentalities’)
financial,
economic
or
other
condition
and
prospects.
Municipal
securities
risk
Municipal
securities
are
debt
obligations
generally
issued
to
obtain
funds
for
various
public
purposes,
including
general
financing
for
state
and
local
governments,
or
financing
for
a
specific
project
or
public
facility,
and
include
obligations
of
the
governments
of
the
U.S.
territories,
commonwealths
and
possessions
such
as
Guam,
Puerto
Rico
and
the
U.S.
Virgin
Islands
to
the
extent
such
obligations
are
exempt
from
state
and
U.S.
federal
income
taxes.
The
value
of
municipal
securities
can
be
significantly
affected
by
actual
or
expected
political
and
legislative
changes
at
the
federal
or
state
level.
Municipal
securities
may
be
fully
or
partially
backed
by
the
taxing
authority
of
the
local
government,
by
the
credit
of
a
private
issuer,
by
the
current
or
anticipated
revenues
from
a
specific
project
or
specific
assets
or
by
domestic
or
foreign
entities
providing
credit
support,
such
as
letters
of
credit,
guarantees
or
insurance,
and
are
generally
classified
into
general
obligation
bonds
and
special
revenue
obligations.
Because
many
municipal
securities
are
issued
to
finance
projects
in
sectors
such
as
education,
health
care,
transportation
and
utilities,
conditions
in
those
sectors
can
affect
the
overall
municipal
market.
Issuers
in
a
state,
territory,
commonwealth
or
possession
in
which
the
Fund
invests
may
experience
significant
financial
difficulties
for
various
reasons,
including
as
the
result
of
events
that
cannot
be
reasonably
anticipated
or
controlled
such
as
economic
downturns
or
similar
periods
of
economic
stress,
social
conflict
or
unrest,
labor
disruption
and
natural
disasters.
Such
financial
difficulties
may
lead
to
credit
rating
downgrades
or
defaults
of
such
issuers
which
in
turn,
could
affect
the
market
values
and
marketability
of
many
or
all
municipal
obligations
of
issuers
in
such
state,
territory,
commonwealth
or
possession.
The
value
of
the
Fund’s
shares
will
be
negatively
impacted
to
the
extent
it
invests
in
such
securities.
The
Fund’s
annual
and
semiannual
reports
show
the
Fund’s
investment
exposures
at
a
point
in
time.
The
risk
of
investing
in
the
Fund
is
directly
correlated
to
the
Fund’s
investment
exposures.
Securities
issued
by
a
particular
state
and
its
instrumentalities
are
subject
to
the
risk
of
unfavorable
developments
in
such
state.
A
municipal
security
can
be
significantly
affected
by
adverse
tax,
legislative,
regulatory,
demographic
or
political
changes
as
well
as
changes
in
a
particular
state’s
(state
and
its
instrumentalities’)
financial,
economic
or
other
condition
and
prospects.
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
the
tracking
index
is
made
by
an
independent
index
provider
who
is
not
affiliated
with
the
Fund
or
the
Investment
Manager.
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
are
involved
in
the
normal
course
of
business
in
legal
proceedings
which
include
regulatory
inquiries,
arbitration
and
litigation,
including
class
actions
concerning
matters
arising
in
connection
with
the
conduct
of
its
activities
as
a
diversified
financial
services
firm.
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
NOTES
TO
FINANCIAL
STATEMENTS
(continued)
April
30,
2022
(Unaudited)
Strategic
Beta
ETFs
|
Semiannual
Report
2022
29
(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.
LIQUIDITY
RISK
MANAGEMENT
PROGRAM
(Unaudited)
30
Strategic
Beta
ETFs
|
Semiannual
Report
2022
Pursuant
to
Rule
22e-4
under
the
1940
Act,
the
Fund
has
adopted
a
liquidity
risk
management
program
(the
Program).
The
Program’s
principal
objectives
include
assessing,
managing
and
periodically
reviewing
the
Fund’s
liquidity
risk.
Liquidity
risk
is
defined
as
the
risk
that
the
Fund
could
not
meet
redemption
requests
without
significant
dilution
of
remaining
investors’
interests
in
the
Fund.
The
Board
has
appointed
the
Investment
Manager
as
the
program
administrator
for
the
Fund’s
Program.
The
Investment
Manager
has
delegated
oversight
of
the
Program
to
its
Liquidity
Risk
Management
Committee
(the
Committee).
At
a
board
meeting
during
the
fiscal
period,
the
Committee
provided
the
Board
with
a
report
addressing
the
operations
of
the
program
and
assessing
its
adequacy
and
effectiveness
of
implementation
for
the
period
January
1,
2021,
through
December
31,
2021,
including:
There
can
be
no
assurance
that
the
Program
will
achieve
its
objectives
in
the
future.
Please
refer
to
the
Fund’s
prospectus
for
more
information
regarding
the
Fund’s
exposure
to
liquidity
risk
and
other
principal
risks
to
which
an
investment
in
the
Fund
may
be
subject.
the
Fund
had
sufficient
liquidity
to
both
meet
redemptions
and
operate
effectively
on
behalf
of
shareholders;
there
were
no
material
changes
to
the
Program
during
the
period;
the
implementation
of
the
Program
was
effective
to
manage
the
Fund’s
liquidity
risk;
and
the
Program
operated
adequately
during
the
period.
Columbia
ETF
Trust
I
290
Congress
Street
Boston,
MA
02210
SAR303_10_M01_(06/22)
CET001582
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.
©
2022
Columbia
Management
Investment
Advisers,
LLC.
columbiathreadneedleus.com/etfs