ATAC US Rotation ETF

Ticker: RORO

 

ATAC Credit Rotation ETF

Ticker: JOJO

Annual Report

August 31, 2023

www.atacfunds.com

ii

ATAC ETFs

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

Table of Contents

A Message to Our Shareholders

1

Performance Summary

6

Asset Allocations

8

Schedules of Investments

10

Statements of Assets and Liabilities

12

Statements of Operations

13

Statements of Changes in Net Assets

14

Financial Highlights

16

Notes to the Financial Statements

18

Report of Independent Registered Public Accounting Firm

31

Expense Examples

33

Basis for Trustees’ Approval of Investment Advisory Agreement

35

Statement Regarding Liquidity Risk Management Program

38

Trustees and Executive Officers

39

Additional Information

43

1

ATAC ETFs

Market Commentary

During the closing weeks of 2022, equity markets were challenged due to persistent inflation readings, a hawkish stance by the U.S. Federal Reserve Board (the “Federal Reserve”), and looming recession fears. The Federal Reserve’s assertive measures to curb inflation saw the implementation of several interest rate hikes since March 2022, resulting in a rise in global short-term interest rates to their highest levels in more than a decade. The cumulative effect of the rate hikes since March 2022 led to a relatively low unemployment rate, positive gains in equity markets, and a slight uptick in consumer spending.

Market sentiment in 2023 showed a mixed picture. The equity market saw a significant upturn through August 2023. The negative sentiment evident with retail investors was primarily driven by fears of a market correction, and many were awaiting a better entry point. Institutional investors, on the other hand, increased their equity allocations, contributing to the market rally. Notably, despite a market rally since mid-October 2022, fund flows remained consistently negative since September 2022, indicating a level of market skepticism. The impact of these dynamics sets a complex stage for market movements, with several underlying factors such as central bank policies, global economic growth, inflation rates, and market sentiment playing critical roles in shaping the market trends through August 2023.

The information presented in this report relates to the Funds performance for the 1-year period ended August 31, 2023 (the “fiscal year”), as applicable.

2

ATAC US ROTATION ETF

2

The ATAC US Rotation ETF (“RORO” or the “Fund”) rotates offensively or defensively based on historically proven leading indicators of volatility, with the goal of taking less risk at the right time.

Index Description:

RORO is an actively managed fund-of-funds, focused on capital appreciation by toggling between U.S. equities and long duration U.S. Treasuries based on a proprietary market risk indicator.

RORO provides exposure to either U.S. small-cap and large-cap growth stocks or 20-year U.S. Treasuries. While RORO is actively managed, RORO’s investment adviser follows the trading signals of the ATAC Risk-On/Risk-Off Index (the “RORO Index”), a proprietary market risk index. Two hours prior to the NYSE market close each Friday, the RORO Index considers the relative price performance of the front-month contract for lumber futures and The U.S. dollar gold spot price. If lumber prices are outperforming gold, the RORO Index indicates a risk-on posture and the portfolio is adjusted to reflect up to 130% equity exposure through one or more U.S. equity ETFs. If gold is outperforming lumber, the RORO Index indicates a risk-off posture and the portfolio shifts 100% of its exposure to ETFs holding Treasuries. The level of risk determines the portfolio exposure, it is a binary decision. Since the exposure may change frequently, investors should anticipate a high portfolio turnover rate.

Fund Description:

RORO rotates offensively or defensively based on historically proven leading indicators of volatility, with the goal of taking less risk at the right time. RORO rotates around U.S. small-caps and growth (risk-on), and U.S. Treasuries (risk-off) based on the price of lumber relative to gold as a risk trigger.

Performance Overview:

During the fiscal year, RORO generated a total return of 21.52% (NAV) and 21.38% (Market). This compares to the 23.30% total return of the ATAC Risk-On/Risk-Off Domestic Index, and the 15.94% total return of RORO’s benchmark, the S&P 500® Total Return Index, for the same period.

Reviewing individual stocks based on performance attribution to the overall portfolio, leading contributors included Schwab US Large Cap Growth ETF and ProShares UltraPro Russell 2000. Conversely, the leading detractors included PIMCO 25+ Year Zero Coupon US Treasury ETF and iShares 1-20 Year Treasury Bond ETF.

Past performance does not guarantee future results.

Investors buy and sell ETF shares through a brokerage account or an investment advisor. Like ordinary stocks, brokerage commissions, and/or transaction costs or service fees may apply. Please consult your broker or financial advisor for their fee schedule.

As with all ETFs, Fund shares may be bought and sold in the secondary market at market prices. The market price normally should approximate the Fund’s net asset value per share (NAV), but the market price sometimes may be higher or lower than the NAV.

Because the Fund invests in Underlying ETFs an investor will indirectly bear the principal risks of the Underlying ETFs, including but not limited to, risks associated with investments in ETFs, equity securities, growth stocks, large and small capitalization companies, non-diversification, fixed income investments, derivatives, leverage. The Fund will bear its share of the fees and expenses of the underlying funds. Shareholders will pay higher expenses than would be the case if making direct investments in the underlying funds.

3

ATAC US ROTATION ETF

3

Debt securities are subject to the risk of an issuer’s (or other party’s) failure or inability to meet its obligations under the security. Multiple parties may have obligations under a debt security. An issuer or borrower may fail to pay principal and interest when due. The prices of fixed income securities may be affected by changes in interest rates, the creditworthiness and financial strength of the issuer and other factors. An increase in prevailing interest rates typically causes the value of existing fixed income securities to fall and often has a greater impact on longer duration and/or higher quality fixed income securities.

Because the Fund expects to change its exposure as frequently as each week based on short-term price performance information, (i) the Fund’s exposure may be affected by significant market movements at or near the end of such short-term period that are not predictive of such asset’s performance for subsequent periods and (ii) changes to the Fund’s exposure may lag a significant change in an asset’s direction (up or down) if such changes first take effect at or near a weekend. Such lags between an asset’s performance and changes to the Fund’s exposure may result in significant underperformance relative to the broader equity or fixed income market. Because the Adviser determines the exposure for the Fund based on the price movements of gold and lumber, the Fund is exposed to the risk that such assets or their relative price movements fail to accurately predict future performance.

The S&P 500® Total Return Index is an index of 500 large-capitalization companies selected by Standard & Poor’s Financial Services LLC. It is not possible to invest directly in an index. Index holdings are subject to change.

Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. For a complete list of portfolio holdings, please refer to the Schedule of Investments provided in this report or the Fund’s website www.atacfunds.com.

The Fund is distributed by Foreside Fund Services, LLC.

4

ATAC CREDIT ROTATION ETF

The ATAC Credit Rotation ETF (“JOJO” or the “Fund”) is a bond ETF that rotates offensively or defensively based on a historically proven leading indicator of volatility, with the goal of taking less risk at the right time.

Index Description:

JOJO is an actively managed fund-of-funds that toggles between corporate high-yield bonds and U.S. Treasuries, depending on the utilities sector’s performance relative to the U.S large-cap market.

JOJO is actively managed to utilize a systematic risk management and rules-based strategy to toggle between corporate high-yield bonds and long-duration U.S Treasury securities depending on the utilities sector’s performance relative to the U.S. large-cap stock market. JOJO invests in ETFs based on the trading signals of the ATAC Credit-On/Credit-Off Index (the “JOJO Index”) that performs evaluations of the market performance of the utilities sector by comparing the performance of two ETFs—the Utilities Select Sector SPDR Fund (XLU) and the SPDR S&P 500 ETF Trust (SPY). JOJO’s investment adviser believes that the utilities sector’s movements are a precursor of major credit spread widening, as utilities stocks historically have outperformed the broader stock market ahead of high-volatility environments. JOJO will invest in high-yield ETFs when utilities stocks are underperforming (Credit-On) or U.S. Treasury ETFs when the same stocks are outperforming (Credit-Off) the broader market. As the JOJO Index is evaluated weekly, JOJO may engage in active and frequent trading that may lead to high portfolio turnover rate.

Fund Description:

JOJO is an ETF that seeks current income and long-term capital appreciation.

Performance Overview:

During the fiscal year, JOJO generated a total return of -0.62% (NAV) and -0.46% (Market). This compares to the -6.58% total return of the ATAC Credit-On/Credit-Off Index, and the -1.19% total return of JOJO’s benchmark, the Bloomberg U.S. Aggregate Bond Index, for the same period.

Reviewing individual stocks based on performance attribution to the overall portfolio, leading contributors included iShares iBoxx High Yield Corp Bond ETF and Xtrackers USD High Yield Corp Bond ETF. Conversely, the only detractor this period was the iShares 20+ Year Treasury Bond ETF.

Past performance does not guarantee future results.

Investors buy and sell ETF shares through a brokerage account or an investment advisor. Like ordinary stocks, brokerage commissions, and/or transaction costs or service fees may apply. Please consult your broker or financial advisor for their fee schedule.

As with all ETFs, Fund shares may be bought and sold in the secondary market at market prices. The market price normally should approximate the Fund’s net asset value per share (NAV), but the market price sometimes may be higher or lower than the NAV.

Because the Fund invests in Underlying ETFs an investor will indirectly bear the principal risks of the Underlying ETFs, including but not limited to, risks associated with investments in ETFs, equity securities, growth stocks, large and small capitalization companies, non-diversification, fixed income investments, derivatives, leverage. The Fund will bear its share of the fees and expenses of the underlying funds. Shareholders will pay higher expenses than would be the case if making direct investments in the underlying funds.

Debt securities are subject to the risk of an issuer’s (or other party’s) failure or inability to meet its obligations under the security. Multiple parties may have obligations under a debt security. An issuer or borrower may fail to pay principal and interest when due. The prices of fixed income securities may be affected by changes in interest rates,

5

ATAC CREDIT ROTATION ETF

the creditworthiness and financial strength of the issuer and other factors. An increase in prevailing interest rates typically causes the value of existing fixed income securities to fall and often has a greater impact on longer duration and/or higher quality fixed income securities.

Because the Fund expects to change its exposure as frequently as weekly based on short-term performance information, (i) the Fund’s exposure may be affected by significant market movements at or near the end of such short-term period that are not predictive of such asset’s performance for subsequent periods and (ii) changes to the Fund’s exposure may lag a significant change in an asset’s direction (up or down) if such changes first take effect at or near a weekend. Such lags between an asset’s performance and changes to the Fund’s exposure may result in significant underperformance relative to the broader fixed income market. Additionally, because the Adviser determines the exposure for the Fund based on the performance of the Utilities sector relative to the performance of the U.S. large-capitalization equity market, the Fund is exposed to the risk that such assets or their relative performance fail to accurately produce an advantageous signal. Consequently, the Fund may significantly underperform relative to the broader fixed income market if the Index is unsuccessful at producing an advantageous signal for the allocation to Underlying ETFs.

The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate bond market. This includes Treasuries, government-related and corporate securities, mortgage-backed securities, asset-backed securities and collateralized mortgage-backed securities.

The S&P 500® Total Return Index is an index of 500 large-capitalization companies selected by Standard & Poor’s Financial Services LLC

It is not possible to invest directly in an index. Index holdings are subject to change. Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. For a complete list of portfolio holdings, please refer to the Schedule of Investments provided in this report or the Fund’s website at www.atacfunds.com.

The Fund is distributed by Foreside Fund Services, LLC.

6

ATAC US ROTATION ETF

6

PERFORMANCE SUMMARY (Unaudited)

Total Returns for the periods ended August 31, 2023:

1 Year

Since Inception
(11/17/2020)

Ending Value
(8/31/2023)

ATAC US Rotation ETF - NAV

21.52%

-4.35%

$ 8,833

ATAC US Rotation ETF - Market

21.38%

-4.31%

8,844

S&P 500® Total Return Index

15.94%

10.02%

13,047

Lipper Flexible Portfolio Fund Total Return Index

8.22%

3.18%

10,913

This chart illustrates the performance of a hypothetical $10,000 investment made on November 17, 2020 (commencement of operations) and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The chart assumes reinvestment of capital gains, dividends, and return of capital, if applicable, for a fund and dividends for an index.

Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling (855) 282-2386. The Fund’s gross expense ratio is 1.42% and net expense is ratio is 1.15% (as of the Fund’s most recently filed Prospectus). The Fund’s investment adviser (defined below) has agreed to reduce its Management Fees (defined below) for the Fund to 0.98% until at least December 31, 2023.

7

ATAC CREDIT ROTATION ETF

PERFORMANCE SUMMARY (Unaudited)

Total Returns for the periods ended August 31, 2023

1 Year

Since Inception
(7/15/2021)

Ending Value
(8/31/2023)

ATAC Credit Rotation ETF - NAV

-0.62%

-9.66%

$8,055

ATAC Credit Rotation ETF - Market

-0.46%

-9.63%

8,061

Bloomberg U.S. Aggregate Bond Index

-1.19%

-6.04%

8,759

This chart illustrates the performance of a hypothetical $10,000 investment made on July 25, 2021 (commencement of operations) and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The chart assumes reinvestment of capital gains, dividends, and return of capital, if applicable, for a fund and dividends for an index.

Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling (855) 282-2386. The Fund’s gross expense ratio is 1.49% and net expense ratio is 1.22% (as of the Fund’s most recently filed Prospectus). The Fund’s investment adviser (defined below) has agreed to reduce its Management Fees (defined below) for the Fund to 0.98% until at least December 31, 2023.

8

ATAC US ROTATION ETF

8

Asset Allocation (Unaudited)
as of August 31, 2023
(1)
(% of Net Assets)

Short-Term Investment &
Liabilities in Excess of Other
Assets, Net
0.1%

Exchange-Traded Funds
99.9%

Fund Holdings (Unaudited)
as of August 31, 2023
(1)
(% of Net Assets)

Schwab U.S. Large-Cap Growth ETF

65.3%

Vanguard Small-Cap ETF

19.5%

ProShares UltraPro Russell2000 

15.1%

Cash & Cash Equivalents(2)

0.1%

Total

100.0%

(1)Fund holdings and asset allocation are subject to change and are not recommendations to buy or sell any securities.

(2)Represents cash, short-term investments, investments purchased with collateral from securities lending and liabilities in excess of other assets.

9

ATAC CREDIT ROTATION ETF

Asset Allocation (Unaudited)
as of August 31, 2023
(1)
(% of Net Assets)

Short-Term Investment &
Other Assets in Excess of
Liabilities, Net
0.1%

Exchange-Traded Funds
99.9%

Fund Holdings (Unaudited)
as of August 31, 2023
(1)
(% of Net Assets)

iShares 20+ Year Treasury Bond Fund

80.0%

iShares 7-10 Year Treasury Bond Fund

19.9%

Cash Equivalents(2)

0.1%

Total

100.0%

(1)Fund holdings and asset allocation are subject to change and are not recommendations to buy or sell any securities.

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

10

10

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

ATAC US ROTATION ETF

Schedule of Investments
August 31, 2023

Description

Shares

Value

EXCHANGE TRADED FUNDS – 99.9%

ProShares UltraPro Russell2000 

39,762

$1,640,978

Schwab U.S. Large-Cap Growth ETF(1)(2)

92,654

7,121,386

Vanguard Small-Cap ETF(2) 

10,601

2,131,119

Total Exchange-Traded Funds

(Cost $10,375,865)

10,893,483

 

 

SHORT-TERM INVESTMENTS – 0.1%

First American Government Obligations Fund, Class X, 5.248%(3)

(Cost $12,753)

12,753

12,753

 

INVESTMENTS PURCHASED WITH COLLATERAL FROM SECURITIES LENDING – 50.2%

Mount Vernon Liquid Assets Portfolio, LLC, 5.540%(3)

(Cost $5,471,665)

5,471,665

5,471,665

 

Total Investments – 150.2%

(Cost $15,860,283)

16,377,901

Liabilities in Excess of Other Assets, Net – (50.2)%

(5,479,615

)

Total Net Assets – 100.0%

$10,898,286

(1)Fair Value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov.

(2)This security or a portion of this security was out on loan as of August 31, 2023. Total loaned securities had a value of $5,338,796 or 49.0% of net assets as of August 31, 2023. The remaining contractual maturity of all of the securities lending transactions is overnight and continuous.

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

11

11

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

ATAC CREDIT ROTATION ETF

Schedule of Investments
August 31, 2023

Description

Shares

Value

EXCHANGE TRADED FUNDS – 99.9%

iShares 20+ Year Treasury Bond ETF(1)

42,889

$4,144,793

iShares 7–10 Year Treasury Bond ETF 

10,871

1,030,571

Total Exchange-Traded Funds

(Cost $5,102,583)

5,175,364

 

Total Investments – 99.9%

(Cost $5,102,583)

5,175,364

Other Assets in Excess of Liabilities, Net – 0.1%

2,097

Total Net Assets – 100.0%

$5,177,461

(1)Fair Value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov.

12

12

ATAC ETFs

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

Statements of Assets and Liabilities
August 31, 2023

 

ATAC US
Rotation ETF

ATAC Credit Rotation ETF

 

ASSETS:

Investments in securities, at value:

Unaffiliated issuers (Cost $15,860,283 and $5,102,583) (Note 2)

$16,377,901

 (1)

$5,175,364

Cash

52

Receivables:

Investment securities sold

4,809

Dividends and interest

150

53

Securities lending income, net (Note 5)

657

3,092

Total assets

16,378,760

5,183,318

 

LIABILITIES:

Collateral received for securities loaned (Note 5)

5,471,665

Payables:

Management fees (Note 4)

8,809

4,249

Other liabilities

1,608

Total liabilities

5,480,474

5,857

 

NET ASSETS

$10,898,286

$5,177,461

 

NET ASSETS CONSIST OF:

Paid-in capital

$20,193,825

$7,270,753

Total distributable (accumulated) earnings (losses)

(9,295,539

)

(2,093,292

)

Net assets

$10,898,286

$5,177,461

 

Net Asset Value (unlimited shares authorized):

Net assets

$10,898,286

$5,177,461

Shares of beneficial interest issued and outstanding

650,000

350,000

Net asset value

$16.77

$14.79

(1)Includes loaned securities with a value of $5,338,796.

13

13

ATAC ETFs

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

Statements of Operations
For the Year Ended August 31, 2023

 

ATAC US
Rotation ETF

ATAC Credit Rotation ETF

INVESTMENT INCOME:

Dividend income 

$215,252

$253,845

Securities lending income, net (Note 5)

19,318

12,972

Interest income

1,368

1,111

Total investment income

235,938

267,928

 

EXPENSES:

Management fees (Note 4)

109,495

64,794

Tax expense

565

Total expenses

110,060

64,794

Less: Management fee waiver (Note 4)

(23,651

)

(13,996

)

Net expenses

86,409

50,798

 

NET INVESTMENT INCOME (LOSS)

149,529

217,130

 

REALIZED AND UNREALIZED GAIN (LOSS):

Net realized gain (loss) 

661,720

(582,326

)

Change in net unrealized appreciation/depreciation

807,177

269,195

 

Net realized and unrealized gain (loss) 

1,468,897

(313,131

)

 

NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS

$1,618,426

$(96,001

)

14

14

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

ATAC US ROTATION ETF

Statement of Changes in Net Assets

 

Year Ended
August 31, 2023

Year Ended
August 31, 2022

OPERATIONS:

Net investment income (loss)

$149,529

$193,119

Net realized gain (loss) 

661,720

(12,241,225

)

Change in net unrealized appreciation/depreciation

807,177

(480,918

)

Net increase (decrease) in net assets resulting from operations

1,618,426

(12,529,024

)

 

DISTRIBUTIONS TO SHAREHOLDERS:

Net dividends and distributions - distributable earnings

(150,094

)

(1,060,738

)

Return of capital dividends

(62,506

) 

Total

(212,600

) 

(1,060,738

) 

 

CAPITAL SHARE TRANSACTIONS:

Net increase (decrease) in net assets derived from net change in outstanding shares(1)

1,704,943

(19,678,962

) 

 

TOTAL INCREASE (DECREASE) IN NET ASSETS

3,110,769

(33,268,724

) 

 

NET ASSETS:

Beginning of year

7,787,517

41,056,241

End of year

$10,898,286

$7,787,517

(1)Summary of share transactions is as follows:

 

Year Ended
August 31, 2023

Year Ended
August 31, 2022

 

Shares

Value

Shares

Value

Shares sold 

200,000

$3,213,013

400,000

$8,884,425

Shares redeemed 

(100,000

)

(1,508,070

) 

(1,525,000

) 

(28,563,387

) 

Net increase (decrease)

100,000

$1,704,943

(1,125,000

) 

$(19,678,962

) 

15

15

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

ATAC CREDIT ROTATION ETF

Statement of Changes in Net Assets

 

Year Ended
August 31, 2023

Year Ended
August 31, 2022

OPERATIONS:

Net investment income (loss)

$217,130

$132,331

Net realized gain (loss) 

(582,326

)

(1,907,723

)

Change in net unrealized appreciation/depreciation

269,195

(202,448

)

Net increase (decrease) in net assets resulting from operations

(96,001

)

(1,977,840

)

 

DISTRIBUTIONS TO SHAREHOLDERS:

Net dividends and distributions - distributable earnings

(217,130

)

(282,080

)

Return of capital dividends

(1,901

)

(66,021

)

Total

(219,031

)

(348,101

)

 

CAPITAL SHARE TRANSACTIONS:

Net increase (decrease) in net assets derived from net change
in outstanding shares
(1)

(717,367

)

4,507,850

 

TOTAL INCREASE (DECREASE) IN NET ASSETS

(1,032,399

)

2,181,909

 

NET ASSETS:

Beginning of year

6,209,860

4,027,951

End of year

$5,177,461

$6,209,860

(1)Summary of share transactions is as follows:

 

Year Ended
August 31, 2023

Year Ended
August 31, 2022

 

Shares

Value

Shares

Value

Shares sold 

100,000

$1,501,658

375,000

$7,453,765

Shares redeemed 

(150,000

)

(2,219,025

)

(175,000

)

(2,945,915

)

Net increase (decrease)

(50,000

)

$(717,367

)

200,000

$4,507,850

16

16

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

ATAC US ROTATION ETF

Financial Highlights

For a capital share outstanding through each year/period.

Year Ended August 31, 2023

Year Ended August 31, 2022

Period Ended
August 31, 2021
(1)

PER SHARE DATA:

Net asset value, beginning of period

$14.16

$24.51

$20.00

 

INVESTMENT OPERATIONS:

Net investment income (loss)(2)

0.26

0.16

0.06

Net realized and unrealized gain (loss)(3)

2.73

(9.88

)

4.45

Total from investment operations

2.99

(9.72

)

4.51

 

LESS DISTRIBUITONS:

From net investment income

(0.27

)

(0.63

)

From return of capital

(0.11

)

Total distributions

(0.38

)

(0.63

)

 

Net asset value, end of year/period

$16.77

$14.16

$24.51

 

TOTAL RETURN(5)

21.52

%

(40.69

)%

22.55

%(4)

 

SUPPLEMENTAL DATA AND RATIOS:

Net assets, end of period (millions)

$10.9

$7.8

$41.1

 

Ratio of expenses to average net assets 

Before management fees waived

1.25

%

1.25

%

1.25

%(6)

After management fees waived

0.98

%

0.98

%

0.98

%(6)

 

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

Before management fees waived

1.44

%

0.54

%

0.06

%(6)

After management fees waived

1.71

%

0.81

%

0.33

%(6)

 

Portfolio turnover rate(7)

1,452

%

1,212

%

678

%(4)

(1)The Fund commenced operations on November 17, 2020. The information presented is from November 17, 2020 to August 31, 2021.

(2)Calculated using average shares outstanding method.

(3)Net realized and unrealized gain (loss) per share in the caption are balancing amounts necessary to reconcile the change in the net asset value per share for the period, and may not reconcile with the net realized and unrealized gain (loss) in the Statement of Operations due to share transactions for the period.

(4)Not annualized.

(5)The total return is based on the Fund’s net asset value. Additional performance information is presented in the Performance Summary.

(6)Annualized.

(7)Excludes the impact of in-kind transactions, if applicable.

17

17

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

ATAC CREDIT ROTATION ETF

Financial Highlights

For a capital share outstanding through each year/period.

Year Ended August 31, 2023

Year Ended August 31, 2022

Period Ended
August 31, 2021
(1)

PER SHARE DATA:

Net asset value, beginning of period

$15.52

$20.14

$20.00

 

INVESTMENT OPERATIONS:

Net investment income (loss)(2)

0.63

0.30

0.00

 (7)

Net realized and unrealized gain (loss)(3)

(0.73

)

(4.14

)

0.16

Total from investment operations

(0.10

)

(3.84

)

0.16

 

LESS DISTRIBUITONS:

From net investment income

(0.63

)

(0.63

)

(0.02

)

From return of capital

(0.00

)(7)

(0.15

)

Total distributions

(0.63

)

(0.78

)

(0.02

)

 

Net asset value, end of year/period

$14.79

$15.52

$20.14

 

TOTAL RETURN(5)

(0.62

)%

(19.58

)%

0.79

%(4)

 

SUPPLEMENTAL DATA AND RATIOS:

Net assets, end of year/period (millions)

$5.2

$6.2

$4.0

 

Ratio of expenses to average net assets 

Before management fees waived

1.25

%

1.25

%

1.25

%(6)

After management fees waived

0.98

%

0.98

%

0.98

%(6)

 

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

Before management fees waived

3.92

%

1.41

%

(0.16

)%(6)

After management fees waived

4.19

%

1.68

%

0.11

%(6)

 

Portfolio turnover rate(8)

1,559

%

1,950

%

174

%(4)

(1)The Fund commenced operations on July 15, 2021. The information presented is from July 15, 2021 to August 31, 2021.

(2)Calculated using average shares outstanding method.

(3)Net realized and unrealized gain (loss) per share in the caption are balancing amounts necessary to reconcile the change in the net asset value per share for the period, and may not reconcile with the net realized and unrealized gain (loss) in the Statement of Operations due to share transactions for the period.

(4)Not annualized.

(5)The total return is based on the Fund’s net asset value. Additional performance information is presented in the Performance Summary.

(6)Annualized.

(7)Does not round to $0.01 or $(0.01), as applicable.

(8)Excludes the impact of in-kind transactions, if applicable.

18

ATAC ETFs

Notes to the Financial Statements

August 31, 2023

1. ORGANIZATION

The ATAC US Rotation ETF and ATAC Credit Rotation ETF (each, a “Fund,” and collectively, the “Funds”) are non-diversified series of shares of beneficial interest of Tidal ETF Trust (the “Trust”). The Trust was organized as a Delaware statutory trust on June 4, 2018 and is registered with the Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and the offering of each Fund’s shares is registered under the Securities Act of 1933, as amended. The Trust is governed by the Board of Trustees (the “Board”). Toroso Investments, LLC (“Toroso” or the “Adviser”), a Tidal Financial Group company, serves as investment adviser to the Funds. Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 “Financial Services—Investment Companies.” The ATAC US Rotation ETF commenced operations on November 17, 2020 and the ATAC Credit Rotation ETF commenced operations on July 15, 2021.

The investment objective of the ATAC US Rotation ETF is to seek total return. The investment objective of the ATAC Credit Rotation ETF is to seek current income and long-term capital appreciation.

2. SIGNIFICANT ACCOUNTING POLICIES

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

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

Debt securities are valued by using an evaluated mean of the bid and asked prices provided by Independent Pricing Agents. The Independent Pricing Agents may employ methodologies that utilize actual market transactions (if the security is actively traded), broker dealer supplied valuations, or other methodologies designed to identify the market value for such securities. In arriving at valuations, such methodologies generally consider factors such as security prices, yields, maturities, call features, ratings and developments relating to specific securities.

Effective September 8, 2022, for securities for which quotations are not readily available, under Rule 2a-5 of the 1940 Act, a fair value policy will be determined by the Valuation Designee (as defined in Rule 2a-5) in accordance with the Pricing and Valuation Policy and Fair Value Procedures, as applicable, of the Adviser, subject to oversight by the Board. When a security is “fair valued,” consideration is given to the facts and circumstances relevant to the particular situation, including a review of various factors set forth in the Adviser’s Pricing and Valuation Policy and Fair Value Procedures, as applicable fair value pricing is an inherently subjective process, and no single standard

19

ATAC ETFs

Notes to the Financial Statements – Continued

August 31, 2023

exists for determining fair value. Different funds could reasonably arrive at different values for the same security. The use of fair value pricing by a fund may cause the net asset value (“NAV”) of its shares to differ significantly from the net asset value that would be calculated without regard to such considerations.

As described above, the Funds utilize various methods to measure the fair value of their investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are:

Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.

Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability and would be based on the best information available.

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

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

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

ATAC US Rotation ETF

Investments in Securities

 

Investments Measured at Net Asset
Value

 

Level 1

 

Level 2

 

Level 3

 

Total

Exchange-Traded Funds

$

$10,893,483

$

$

$10,893,483

Short-Term Investments

12,753

12,753

Investments Purchased With Collateral From Securities Lending(1)

5,471,665

 

 

 

 

5,471,665

Total Investments in Securities

$5,471,665

 

$10,906,236

 

$

 

$

 

$16,377,901

20

ATAC ETFs

Notes to the Financial Statements – Continued

August 31, 2023

ATAC Credit Rotation ETF

Investments in Securities

 

Level 1

 

Level 2

 

Level 3

 

Total

Exchange-Traded Funds

$5,175,364

 

$

 

$

 

$5,175,364

Total Investments in Securities

$5,175,364

 

$

 

$

 

$5,175,364

(1) Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Schedule of Investments.

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

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

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

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

Distributions to Shareholders – Distributions to shareholders from net investment income, if any, for the ATAC US Rotation ETF are declared and paid at least quarterly and for the ATAC Credit Rotation ETF are declared and paid at least monthly. Distributions to shareholders from net realized gains on securities, if any, for each Fund normally are declared and paid on an annual basis. Distributions are recorded on the ex-dividend date.

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

Share Valuation – The NAV per share of each Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash or other assets, minus all liabilities by the total number of shares outstanding for each

21

ATAC ETFs

Notes to the Financial Statements – Continued

August 31, 2023

Fund, rounded to the nearest cent. Each Fund’s shares will not be priced on the days on which the New York Stock Exchange (“NYSE”) is closed for trading.

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

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

Reclassification of Capital Accounts – U.S. GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or NAV per share. These differences are primarily due to adjustments for redemptions in-kind. For the year ended August 31, 2023, the following adjustments were made:

Name of Fund

Paid-In Capital

 

Total Distributable (Accumulated) Earnings (Losses)

ATAC US Rotation ETF

$(179,759)

$179,759

ATAC Credit Rotation ETF

$(151,190)

$151,190

During the year ended August 31, 2023, the ATAC US Rotation ETF and ATAC Credit Rotation ETF realized $179,194 and $151,190, respectively, in net capital losses resulting from in-kind redemptions, in which shareholders exchanged Fund shares for securities held by the Funds rather than for cash. Because such losses are not taxable to the Funds, and are not distributed to shareholders, they have been reclassified from accumulated losses to paid-in capital.

Recently Issued Accounting Pronouncements –

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

22

ATAC ETFs

Notes to the Financial Statements – Continued

August 31, 2023

In December 2022, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2022-06, Reference Rate Reform (Topic 848) – Deferral of the Sunset Date of Topic 848 (“ASU 2022-06). ASU 2022-06 is an amendment to ASU 2020-04, which provided optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates and which was effective as of March 12, 2020 through December 31, 2022. ASU 2022-06 extends the effective period through December 31, 2024. The Fund is currently evaluating the impact, if any, of applying ASU 2022-06.

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

3. PRINCIPAL INVESTMENT RISKS

Associated Risks of Short-Term Signals – Because the Funds expect to change their exposure as frequently as each week based on short-term price performance information, (i) each Fund’s exposure may be affected by significant market movements at or near the end of such short-term period that are not predictive of such asset’s performance for subsequent periods and (ii) changes to each Fund’s exposure may lag a significant change in an asset’s direction (up or down) if such changes first take effect at or near a weekend. Such lags between an asset’s performance and changes to each Fund’s exposure may result in significant underperformance relative to the broader equity or fixed income market.

Short-Term Signals Risk (ATAC US Rotation ETF) – Additionally, because the Adviser determines the exposure for the ATAC US Rotation ETF based on the price movements of gold and lumber, the Fund is exposed to the risk that such assets or their relative price movements fail to accurately predict future performance. Consequently, the ATAC US Rotation ETF may significantly underperform relative to the broader equity or fixed income market if the ATAC Risk-On/Risk-Off Index (the “RORO Index”) is unsuccessful at predicting future performance for the underlying exchange-traded funds (“Underlying ETFs”) in which the Fund invests.

Short-Term Signals Risk (ATAC Credit Rotation ETF) – Additionally, because the Adviser (defined below) determines the exposure for the ATAC Credit Rotation ETF based on the performance of the Utilities sector relative to the performance of the U.S. large-capitalization equity market, the Fund is exposed to the risk that such assets or their relative performance fail to accurately produce an advantageous signal. Consequently, the ATAC Credit Rotation ETF may significantly underperform relative to the broader fixed income market if the ATAC Credit-On/Credit-Off Index (the “JOJO Index”) is unsuccessful at producing an advantageous signal for the allocation to Underlying ETFs.

Credit Risk (ATAC Credit Rotation ETF Only) – Debt securities are subject to the risk of an issuer’s (or other party’s) failure or inability to meet its obligations under the security. Multiple parties may have obligations under a debt security. An issuer or borrower may fail to pay principal and interest when due. A guarantor, insurer or credit support provider may fail to provide the agreed upon protection. A counterparty to a transaction may fail to

23

ATAC ETFs

Notes to the Financial Statements – Continued

August 31, 2023

perform its side of the bargain. An intermediary or agent interposed between the investor and other parties may fail to perform the terms of its service. Also, performance under a debt security may be linked to the obligations of other persons who may fail to meet their obligations. The credit risk associated with a debt security could increase to the extent that the Fund’s ability to benefit fully from its investment in the security depends on the performance by multiple parties of their respective contractual or other obligations. The market value of a debt security is also affected by the market’s perception of the creditworthiness of the issuer.

Derivatives Risk (ATAC US Rotation ETF Only) – The Fund is exposed to Derivatives Risk through its investments in leveraged Underlying ETFs. Such Underlying ETFs may use derivative instruments, including swap agreements and futures contracts, which derive their value from the value of an underlying asset or index. Derivative investments have risks, including the imperfect correlation between the value of such instruments and the underlying assets or index; the loss of principal, including the potential loss of amounts greater than the initial amount invested in the derivative instrument; the possible default of the other party to the transaction; and illiquidity of the derivative investments. If a counterparty becomes bankrupt or otherwise fails to perform its obligations under a derivative contract due to financial difficulties, the Underlying ETFs may experience significant delays in obtaining any recovery under the derivative contract in a bankruptcy or other reorganization proceeding. The derivatives used by the Underlying ETFs may give rise to a form of leverage. The use of leverage may exaggerate any increase or decrease in the NAV, causing the Underlying ETFs to be more volatile. The use of leverage may also increase expenses and increase the impact of the Underlying ETF’s other risks. The use of leverage may cause the Underlying ETFs to liquidate portfolio positions to satisfy its obligations or to meet collateral segregation requirements or regulatory requirements when it may not be advantageous to liquidate such positions, resulting in increased volatility of returns. Certain of the Underlying ETF’s transactions in derivatives could also affect the amount, timing, and character of distributions to shareholders, which may result in the Underlying ETFs realizing more short-term capital gain and ordinary income subject to tax at ordinary income tax rates than it would if it did not engage in such transactions, which may adversely impact the Underlying ETF’s after-tax returns.

Equity Market Risk (ATAC US ETF Only) – To the extent the Fund invests in Underlying ETFs that invest in equity securities, the Fund is subject to the risk that the equity securities held by such Underlying ETFs may experience sudden, unpredictable drops in value or long periods of decline in value. This may occur because of factors that affect securities markets generally or factors affecting specific issuers, industries, or sectors in which an Underlying ETF invests. Common stocks are generally exposed to greater risk than other types of securities, such as preferred stock and debt obligations, because common stockholders generally have inferior rights to receive payment from issuers.

ETF Risks –

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

24

ATAC ETFs

Notes to the Financial Statements – Continued

August 31, 2023

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

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

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

Fixed Income Risk – The Funds invest in Underlying ETFs that principally invest in long-duration U.S. Treasury securities. The value of fixed income securities will fluctuate with changes in interest rates. Typically, a rise in interest rates causes a decline in the value of fixed income securities. On the other hand, if rates fall, the value of the fixed income securities generally increases. Fixed income securities may be subject to a greater risk of rising interest rates due to the current period of historically low rates and the effect of potential government fiscal policy initiatives and resulting market reaction to those initiatives. In general, the market price of fixed income securities with longer maturities will increase or decrease more in response to changes in interest rates than shorter-term securities. The value of fixed income securities may be affected by the inability of issuers to repay principal and interest or illiquidity in debt securities markets.

Government Obligations Risk – Some of the Underlying ETFs in which the Fund invests may invest in securities issued by the U.S. government or its agencies or instrumentalities. There can be no guarantee that the United States will be able to meet its payment obligations with respect to such securities. Additionally, market prices and yields of securities supported by the full faith and credit of the U.S. government or other countries may decline or be negative for short or long periods of time.

Government Securities Risk – A security backed by the U.S. Treasury or the full faith and credit of the United States is guaranteed only as to the timely payment of interest and principal when held to maturity. The market prices for such securities are not guaranteed and will fluctuate. In addition, because many types of U.S. government securities trade actively outside the United States, their prices may rise and fall as changes in global economic conditions affect the demand for these securities. In addition, U.S. Treasury obligations may differ from other securities in their interest rates, maturities, times of issuance and other characteristics. Changes in the financial condition or credit rating of the U.S government may cause the value of U.S. Treasury obligations to decline.

Growth Stocks Risk (ATAC US Rotation ETF Only) – Growth stocks, which may be held by some of the Underlying ETFs in which the Fund invests or in which the Fund may directly invest, tend to rise and fall with the business cycle. When the economy is doing well, generally the value of these companies increases; however, when

25

ATAC ETFs

Notes to the Financial Statements – Continued

August 31, 2023

there is a recession or downturn in the economy, these companies tend to decrease in value because their goods and services are generally not a necessity. These are typically companies that provide consumer discretionary goods or services. The success of consumer product manufacturers and retailers is tied closely to the performance of domestic and international economies, interest rates, exchange rates, competition, consumer confidence, changes in demographics, and consumer preferences. Growth companies may depend heavily on disposable household income and consumer spending, and may be strongly affected by social trends and marketing campaigns.

High Portfolio Turnover Risk – The Funds may actively and frequently trade all or a significant portion of the securities in their portfolio. A high portfolio turnover rate increases transaction costs, which may increase each Fund’s expenses. Frequent trading may also cause adverse tax consequences for investors in the Funds due to an increase in short-term capital gains.

High Yield Securities Risk (ATAC Credit Rotation ETF only) – Securities rated below investment grade are often referred to as high yield securities or “junk bonds” and are considered speculative in nature. Investments in lower rated corporate debt securities typically entail greater price volatility and principal and income risk. High yield securities may be more susceptible to real or perceived adverse economic and competitive industry conditions than investment grade securities. The prices of high yield securities have been found to be more sensitive to adverse economic downturns or individual corporate developments. A projection of an economic downturn or of a period of rising interest rates, for example, could cause a decline in high yield security prices because the advent of a recession could lessen the ability of a highly leveraged company to make principal and interest payments on its debt securities. If an issuer of high yield securities defaults, in addition to risking payment of all or a portion of interest and principal, the Fund by investing in such securities may incur additional expenses to obtain recovery.

Interest Rate Risk – When interest rates increase, underlying fixed income securities or instruments held by the Funds will generally decline in value. The historically low interest rate environment heightens the risks associated with rising interest rates. A rising interest rate environment may adversely impact the liquidity of fixed income securities and lead to increased volatility of fixed income markets. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with changing interest rates may have unpredictable effects on the markets and each Fund’s investments. Fluctuations in interest rates may also affect the liquidity of underlying fixed income securities and instruments held by the Funds.

Leveraged ETF Risk (ATAC US Rotation ETF Only) – Leveraged ETFs are subject to the risks presented by traditional ETFs (see “ETF Risks” above). Leveraged ETFs seek to provide investment results that match a multiple of the performance of an underlying index (e.g., three times the performance) for a single day and rely to some degree, often extensively, on derivatives to achieve their objectives. Thus, the Fund is indirectly exposed to derivatives risk through its investments in these leveraged ETFs. Further, investments in leveraged ETFs are subject to the risk that the performance of such ETF will not correlate with the underlying index as intended. Leveraged ETFs often “reset” daily, meaning that they are designed to achieve their stated objectives on a daily basis. Due to the effect of compounding, their performance over longer periods of time can differ significantly from the performance of their underlying index or benchmark during the same period of time. This effect can be magnified in volatile markets. Consequently, these investment vehicles may be extremely volatile and can potentially expose the Fund to complete loss of its investment.

Management Risk – The Funds are actively-managed and may not meet their investment objective based on the Adviser’s success or failure to implement investment strategies for the Funds.

26

ATAC ETFs

Notes to the Financial Statements – Continued

August 31, 2023

Market Capitalization Risk (ATAC US Rotation ETF Only) – These risks apply to the extent the Underlying ETFs in which the Fund invests or in which the Fund invests directly, hold securities of large- and small-capitalization companies.

Large-Capitalization Investing. The securities of large-capitalization companies may be relatively mature compared to smaller companies and therefore subject to slower growth during times of economic expansion. Large-capitalization companies may also be unable to respond quickly to new competitive challenges, such as changes in technology and consumer tastes.

Small-Capitalization Investing. The securities of small-capitalization companies may be more vulnerable to adverse issuer, market, political, or economic developments than securities of large- or mid-capitalization companies. The securities of small-capitalization companies generally trade in lower volumes and are subject to greater and more unpredictable price changes than large- or mid-capitalization stocks or the stock market as a whole. There is typically less publicly available information concerning smaller-capitalization companies than for larger, more established companies.

Non-Diversification Risk – Because the Funds are “non-diversified,” each Fund may invest a greater percentage of its assets in the securities of a single issuer or a smaller number of issuers than if they were diversified funds. As a result, a decline in the value of an investment in a single issuer or a small number of issuers could cause each Fund’s overall value to decline to a greater degree than if the Funds held a more diversified portfolio. This may increase each Fund’s volatility and have a greater impact on each Fund’s performance.

Underlying ETFs Risks – The Funds will incur higher and duplicative expenses because they invest in Underlying ETFs. There is also the risk that the Funds may suffer losses due to the investment practices of the Underlying ETFs. The Funds will be subject to substantially the same risks as those associated with the direct ownership of securities held by the Underlying ETFs. Additionally, the market price of the shares of an Underlying ETF in which the Funds invest will fluctuate based on changes in the NAV as well as changes in the supply and demand of its shares in the secondary market. It is also possible that an active secondary market for an Underlying ETF’s shares may not develop, and market trading in the shares of the Underlying ETF may be halted under certain circumstances. Underlying ETFs are also subject to the “ETF Risks” described above.

4. COMMITMENTS AND OTHER RELATED PARTY TRANSACTIONS

The Adviser serves as investment adviser to the Funds pursuant to an investment advisory agreement between the Adviser and the Trust, on behalf of the Funds (the “Advisory Agreement”), and, pursuant to the Advisory Agreement, has overall responsibility for the general management and administration of the Funds, subject to the direction and control of the Board. The Adviser is also responsible for trading portfolio securities on behalf of the Funds, including selecting broker-dealers to execute purchase and sales transactions, subject to the supervision of the Board.

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

Name of Fund

Management Fee

Management Fee
After Waiver

ATAC US Rotation ETF

1.25%

0.98%

ATAC Credit Rotation ETF

1.25%

0.98%

27

ATAC ETFs

Notes to the Financial Statements – Continued

August 31, 2023

The Adviser has contractually agreed to waive 0.27% of its Management Fee until at least December 31, 2023 for each Fund (each, a “Fee Waiver Agreement,” and collectively, the “Fee Waiver Agreements”). The Fee Waiver Agreements may be terminated only by, or with the consent of, the Board. Any waived Management Fees are not able to be recouped by the Adviser under the Fee Waiver Agreements. Management Fees for the year ended August 31, 2023 are disclosed in the Statement of Operations.

Out of the Management Fee, the Adviser is obligated to pay or arrange for the payment of substantially all expenses of the Funds, including the cost of transfer agency, custody, fund administration, and all other related services necessary for the Funds to operate. Under the Advisory Agreement, the Adviser has agreed to pay all expenses incurred by the Funds except for interest charges on any borrowings, dividends and other expenses on securities sold short, taxes, brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, accrued deferred tax liability, extraordinary expenses, distribution fees, and expenses paid by the Funds under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act (the “Excluded Expenses”), and the Management Fee payable to the Adviser. To the extent a Fund incurs Excluded Expenses, the Fund’s Total Annual Fund Operating Expenses After Fee Waiver is greater than 0.98%. The Management Fees incurred are paid monthly to the Adviser.

The Adviser has entered into an agreement with Tactical Rotation Management, LLC (“TRM”), an entity owned by Mr. Michael Gayed, a portfolio manager for the Funds, under which the Adviser and TRM jointly assume the obligation of the Adviser to pay all expenses of the Fund, except Excluded Expenses (such expenses of the Funds, except Excluded Expenses, the “Unitary Expenses”), and such expenses are divided equally between the Adviser and TRM. Although TRM has agreed to be responsible for half of the Unitary Expenses, the Adviser retains the ultimate obligation to the Funds to pay such expenses. TRM is entitled to a fee, paid by the Adviser, based on the Management Fees earned by the Adviser under the Advisory Agreement less the Unitary Expenses and certain start-up costs.

Tidal ETF Services LLC (“Tidal”), a Tidal Financial Group Company, and an affiliate of the Adviser, serves as the Funds’ administrator and, in that capacity, performs various administrative and management services for the Funds. Tidal coordinates the payment of Fund-related expenses and manages the Trust’s relationships with its various service providers.

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as the Funds’ sub-administrator, fund accountant and transfer agent. In those capacities Fund Services performs various administrative and accounting services for the Funds. Fund Services prepares various federal and state regulatory filings, reports and returns for the Funds, including regulatory compliance monitoring and financial reporting; prepares reports and materials to be supplied to the Board; and monitors the activities of the Funds’ custodian. U.S. Bank N.A. (the “Custodian”), an affiliate of Fund Services, serves as the Funds’ custodian. The Custodian acts as the securities lending agent (the “Securities Lending Agent”) for the Funds.

Foreside Fund Services, LLC (the “Distributor”) acts as the Funds’ principal underwriter in a continuous public offering of the Funds’ shares.

Certain officers and a trustee of the Trust are affiliated with the Adviser. Neither the affiliated trustee nor the Trust’s officers receive compensation from the Funds.

28

ATAC ETFs

Notes to the Financial Statements – Continued

August 31, 2023

5. SECURITIES LENDING

The Funds may lend up to 33 1/3% of the value of the securities in its portfolios to brokers, dealers and financial institutions (but not individuals) under terms of participation in a securities lending program administered by the Securities Lending Agent. The securities lending agreement requires that loans are collateralized at all times in an amount equal to at least the market value of the securities loaned by the Funds. The Funds receive compensation in the form of fees and earned interest on the cash collateral. Due to timing issues of when a security is recalled from loan, the financial statements may differ in presentation. The amount of fees depends on a number of factors including the type of security and length of the loan. The Funds continue to receive interest payments or dividends on the securities loaned during the borrowing period. Gain or loss in the value of securities loaned that may occur during the term of the loan will be for the account of the Funds. The Funds have the right under the terms of the securities lending agreements to recall the securities from the borrower on demand.

As of August 31, 2023, the market value of the securities on loan and payable on collateral received for securities lending were as follows:

Name of Fund

Market Value of
Securities on Loan

Payable on
Collateral Received

Percentage of Net Assets
of Securities on Loan

ATAC US Rotation ETF

$5,338,796

$5,471,665

49.0%

ATAC Credit Rotation ETF

$

$

0%

The cash collateral is invested in the Mount Vernon Liquid Assets Portfolio, LLC of which the investment objective is to seek to maximize income to the extent consistent with the preservation of capital and liquidity and maintain a stable NAV of $1.00. Although risk is mitigated by the collateral, the Funds could experience a delay in recovering its securities and possible loss of income or value if the borrower fails to return the borrowed securities. In addition, the Funds bear the risk of loss associated with the investment of cash collateral received.

During the year ended August 31, 2023, the Funds loaned securities that were collateralized by cash. The cash collateral received was invested in the Mount Vernon Liquid Assets Portfolio, LLC as listed in the Fund’s Schedule of Investments. Securities lending income is disclosed in the Fund’s Statement of Operations.

The Funds are not subject to a master netting agreement with respect to the Fund’s participation in securities lending; therefore, no additional disclosures regarding netting arrangements are required.

As of August 31, 2023, the ATAC Credit Rotation ETF did not have any securities on loan.

6. PURCHASES AND SALES OF SECURITIES

For the year ended August 31, 2023, the cost of purchases and proceeds from the sales or maturities of securities, excluding short term investments, U.S. government securities and in-kind transactions were as follows:

Name of Fund

Purchases

Sales

ATAC US Rotation ETF

$127,504,146

$127,124,916

ATAC Credit Rotation ETF

81,006,441

81,003,280

There were no purchases or sales of long-term U.S. government securities for the year ended August 31, 2023 in the ATAC US Rotation ETF or the ATAC Credit Rotation ETF.

29

ATAC ETFs

Notes to the Financial Statements – Continued

August 31, 2023

For the year ended August 31, 2023, in-kind transactions associated with creations and redemptions were as follows:

Name of Fund

In-Kind Purchases

In-Kind Sales

ATAC US Rotation ETF

$2,821,053

$1,503,965

ATAC Credit Rotation ETF

1,495,386

2,213,234

7. INCOME TAXES AND DISTRIBUTIONS TO SHAREHOLDERS

The tax character of distributions paid during the years ended August 31, 2023 and August 31, 2022 are as follows:

Name of Fund

Distributions paid from:

August 31, 2023

August 31, 2022

ATAC US Rotation ETF

Ordinary income

$150,094 

$1,060,738

 

Return of Capital

62,506

ATAC Credit Rotation ETF

Ordinary income

217,130

282,080

 

Return of Capital

1,901

66,021

As of the year ended August 31, 2023, the components of accumulated earnings/(losses) on a tax basis were as follows:

ATAC US Rotation ETF

 

ATAC Credit Rotation ETF

Cost of investments

$16,727,619

 

$5,426,677

Gross tax unrealized appreciation

517,618

72,781

Gross tax unrealized depreciation

(867,336

)

(324,094

)

Net tax unrealized appreciation (depreciation)

(349,718

)

(251,313

)

Undistributed ordinary income (loss)

Undistributed long-term capital gain (loss)

 

Total distributable earnings

 

Other accumulated gain (loss)

(8,945,821

)

(1,841,979

)

Total accumulated gain (loss)

$(9,295,539

)

$(2,093,292