RPAR Risk Parity ETF

Ticker: RPAR

UPAR Ultra Risk Parity ETF

Ticker: UPAR

Semi-Annual Report

June 30, 2023

RPAR ETFs

Portfolio Allocations

1

Schedules of Investments and Futures Contracts

2

Statements of Assets and Liabilities

9

Statements of Operations

10

Statements of Changes in Net Assets

11

Financial Highlights

13

Notes to Financial Statements

15

Expense Examples

31

Additional Information

32

TABLE OF CONTENTS

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

1

RPAR Risk Parity ETF

PORTFOLIO ALLOCATION at June 30, 2023 (Unaudited)(1) 

Sector/Security Type

% of Total
Portfolio

Exchange Traded Funds

26.1

%

United States Treasury Inflation Indexed Bonds

25.4

Futures Contracts(2) 

24.9

United States Treasury Bills

8.2

Basic Materials

4.9

Energy

4.7

Cash & Cash Equivalents(3) 

3.7

Industrial

1.4

Consumer (Non-cyclical)

0.4

Utilities

0.2

Consumer (Cyclical)

0.1

Total

100.0

%

(1)Percentages are based on total investments, including derivative contracts.

(2)Represents the notional value amount of the futures contracts.

(3)Represents short-term investments and investments purchased with collateral from securities lending.

UPAR Ultra Risk Parity ETF

PORTFOLIO ALLOCATION at June 30, 2023 (Unaudited)(1) 

Sector/Security Type

% of Total
Portfolio

Futures Contracts(2) 

43.0

%

United States Treasury Inflation Indexed Bonds

28.5

Exchange Traded Funds

14.4

Basic Materials

5.5

Energy

5.3

Industrial

1.6

Cash & Cash Equivalents(3) 

1.0

Consumer (Non-cyclical)

0.4

Utilities

0.2

Consumer (Cyclical)

0.1

Total

100.0

%

(1)Percentages are based on total investments, including derivative contracts.

(2)Represents the notional value amount of the futures contracts.

(3)Represents short-term investments.

RPAR Risk Parity ETF

2

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

SCHEDULE OF INVESTMENTS at June 30, 2023 (Unaudited)

 

 

Shares

 

Value

 

Common Stocks — 15.8%

Biotechnology — 0.4%

Corteva, Inc.

70,868

$4,060,736

 

Building Materials — 0.1%

Geberit AG

1,698

888,430

 

Chemicals — 1.3%

CF Industries Holdings, Inc.

21,317

1,479,826

Ecolab, Inc.

11,917

2,224,785

FMC Corp.

13,198

1,377,080

The Mosaic Co.

37,544

1,314,040

Nutrien Ltd.

53,924

3,187,150

OCI N.V.

22,028

527,995

PhosAgro PJSC - GDR(3) 

52,122

0

Sociedad Quimica y Minera de Chile S.A. - ADR(1) 

27,273

1,980,565

Yara International ASA

24,042

850,504

 

12,941,945

Distribution & Wholesale — 0.1%

Ferguson PLC

8,162

1,287,748

 

Energy — Alternate Sources — 0.7%

Enphase Energy, Inc.(2) 

8,946

1,498,276

First Solar, Inc.(2) 

8,336

1,584,590

Plug Power, Inc.(1)(2) 

41,063

426,644

SolarEdge Technologies, Inc.(2) 

4,656

1,252,697

Vestas Wind Systems A/S

76,265

2,027,744

Xinyi Solar Holdings Ltd.

617,620

713,251

 

7,503,202

Food — 0.1%

Mowi ASA

48,223

766,091

Salmar ASA

13,221

534,218

 

1,300,309

Iron & Steel — 0.9%

Fortescue Metals Group Ltd.

245,039

3,617,787

Mineral Resources Ltd.

13,625

647,833

Vale S.A. - ADR

366,221

4,914,686

 

9,180,306

Machinery — Diversified — 1.8%

AGCO Corp.

6,383

838,854

CNH Industrial NV - Class A

135,297

1,948,277

Deere & Co.

27,663

11,208,771

Husqvarna AB - Class B

59,930

541,746

IDEX Corp.

2,189

471,204

 

 

Shares

 

Value

 

Common Stocks — 15.8% (Continued)

Machinery — Diversified — 1.8% (Continued)

Kubota Corp.

114,155

$1,657,808

The Toro Co.

9,330

948,395

Xylem, Inc.

5,709

642,948

 

18,258,003

Mining — 4.7%

Allkem Ltd.(2) 

49,664

529,603

Antofagasta PLC

70,911

1,317,123

BHP Group Ltd. - ADR

194,338

11,596,148

Boliden AB

19,143

552,156

Cameco Corp.

35,465

1,111,992

China Molybdenum Co. Ltd. - Class H

2,401,868

1,256,624

First Quantum Minerals Ltd.

62,946

1,490,820

Freeport-McMoRan, Inc.

113,273

4,530,920

Glencore PLC

981,379

5,545,889

IGO Ltd.

56,300

569,637

Ivanhoe Mines Ltd.(2) 

115,342

1,054,705

Jiangxi Copper Co. Ltd. - H Shares

422,086

648,485

Lundin Mining Corp.

78,002

611,873

MMC Norilsk Nickel PJSC - ADR(3) 

181,762

0

NAC Kazatomprom JSC - GDR

21,047

565,112

Pilbara Minerals Ltd.

225,838

735,110

Rio Tinto PLC - ADR

128,284

8,189,650

South32 Ltd.

325,463

814,584

Southern Copper Corp.

61,796

4,433,245

Sumitomo Metal Mining Co. Ltd.

21,272

681,569

Teck Resources Ltd. - Class A

45,290

1,907,776

 

48,143,021

Oil & Gas — 5.5%

Aker BP ASA

17,027

400,185

BP PLC - ADR

85,378

3,012,990

Canadian Natural Resources Ltd.

30,550

1,719,527

Cenovus Energy, Inc.

47,504

807,738

Chevron Corp.

49,331

7,762,233

ConocoPhillips

33,845

3,506,680

Coterra Energy, Inc.

26,320

665,896

Devon Energy Corp.

15,599

754,056

Diamondback Energy, Inc.

5,709

749,934

Ecopetrol S.A. - ADR(1) 

55,309

566,917

Eni S.p.A - ADR(1) 

47,402

1,364,704

EOG Resources, Inc.

15,727

1,799,798


RPAR Risk Parity ETF

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

3

SCHEDULE OF INVESTMENTS at June 30, 2023 (Unaudited) (Continued)

 

 

Shares

 

Value

 

Common Stocks — 15.8% (Continued)

Oil & Gas — 5.5% (Continued)

Equinor ASA - ADR

94,963

$2,773,869

Exxon Mobil Corp.

111,717

11,981,648

Gazprom PJSC - ADR(3) 

523,190

0

Hess Corp.

7,418

1,008,477

Imperial Oil Ltd.

15,769

807,726

LUKOIL PJSC - ADR(3) 

31,173

0

Marathon Oil Corp.

14,911

343,251

Novatek PJSC - GDR(3) 

13,358

0

Occidental Petroleum Corp.

22,154

1,302,655

Pioneer Natural Resources Co.

5,703

1,181,548

Repsol S.A.

37,083

539,299

Rosneft Oil Co PJSC - GDR(3) 

488,696

0

Santos Ltd. - ADR(1) 

81,987

415,674

Shell PLC - ADR

98,411

5,942,056

Suncor Energy, Inc.

36,299

1,065,996

Total S.A. - ADR

72,070

4,154,115

Tourmaline Oil Corp.

9,224

435,112

Woodside Energy Group Ltd.

47,503

1,089,006

 

56,151,090

Water — 0.2%

American Water Works Co., Inc.

8,517

1,215,802

Veolia Environnement S.A.

32,733

1,033,854

 

2,249,656

Total Common Stocks

(Cost $185,678,759)

161,964,446

 

Exchange Traded Funds — 35.5%

SPDR Gold MiniShares Trust(2) 

2,571,356

97,942,950

Vanguard FTSE Developed Markets ETF

1,135,062

52,417,163

Vanguard FTSE Emerging Markets ETF

1,932,594

78,617,924

Vanguard Total Stock Market ETF(1) 

606,427

133,583,740

Total Exchange Traded Funds

(Cost $373,081,295)

362,561,777

 

 

 

Principal
Amount

 

Value

 

United States Treasury Obligations — 45.8%

United States Treasury Bills — 11.2%

5.074%, 9/7/2023(4)(5) 

$115,376,000

$114,286,790

 

United States Treasury Inflation Indexed Bonds — 34.6%

2.125%, 2/15/2040

6,852,131

7,350,160

2.125%, 2/15/2041

34,600,139

37,110,357

0.750%, 2/15/2042

40,212,058

34,144,500

0.625%, 2/15/2043

46,130,340

37,818,164

1.375%, 2/15/2044

45,097,312

42,417,964

0.750%, 2/15/2045

46,984,495

38,779,086

1.000%, 2/15/2046

38,519,407

33,370,671

0.875%, 2/15/2047

38,125,115

31,944,188

1.000%, 2/15/2048

38,104,215

32,731,464

1.000%, 2/15/2049

24,468,249

21,014,510

0.250%, 2/15/2050

23,910,709

16,698,069

0.125%, 2/15/2051

13,092,300

8,718,744

0.125%, 2/15/2052

15,088,817

9,991,643

1.500%, 2/15/2053

1,637,983

1,587,292

 

353,676,812

Total United States Treasury Obligations

(Cost $571,261,781)

467,963,602

 

 

Shares

 

 

 

Short-Term Investments — 1.1%

Money Market Funds — 1.1%

First American Government Obligations Fund, Class X, 5.006%(6) 

11,187,625

11,187,625

Total Short-Term Investments

(Cost $11,187,625)

11,187,625

 

Investments Purchased with Collateral from Securities Lending — 3.9%

First American Government Obligations Fund, Class X, 5.006%(6) 

39,731,308

39,731,308

 

Total Investments Purchased with Collateral from Securities Lending

(Cost $39,731,308)

39,731,308

 

Total Investments in Securities — 102.1%

(Cost $1,180,940,768)

1,043,408,758

Liabilities in Excess of Other Assets — (2.1)%

(21,234,728

)

Total Net Assets — 100.0%

$1,022,174,030


RPAR Risk Parity ETF

4

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

ADRAmerican Depositary Receipt

GDRGlobal Depositary Receipt

(1)This security or a portion of this security was out on loan as of June 30, 2023. Total loaned securities had a value of $39,348,114 or 3.8% of net assets as of June 30, 2023. The remaining contractual maturity of all of the securities lending transactions is overnight and continuous.

(2)Non-income producing security.

(3)The security is fair valued by the Valuation Designee (See Note 2).

(4)Rate represents the annualized effective yield to maturity from the purchase price.

(5)Zero coupon security.

(6)The rate shown is the annualized seven-day effective yield as of June 30, 2023.

SCHEDULE OF INVESTMENTS at June 30, 2023 (Unaudited) (Continued)

RPAR Risk Parity ETF

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

5

SCHEDULE OF FUTURES CONTRACTS at June 30, 2023 (Unaudited)

The RPAR Risk Parity ETF had the following futures contracts outstanding with PhillipCapital Inc.

Long Futures
Contracts Outstanding

Number of
Contracts

Notional
Amount

Unrealized
Appreciation
(Depreciation)

Notional
Value

10-Year U.S. Treasury Note Futures (9/20/2023)

1,532

$173,727,260

$(1,736,323

)

$171,990,937

Ultra Long-Term U.S. Treasury Bond Futures (9/20/2023)

1,281

171,224,570

3,271,649

174,496,219

 

$344,951,830

$1,535,326

$346,487,156

UPAR Ultra Risk Parity ETF

6

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

 

 

Shares

 

Value

 

Common Stocks — 22.0%

Biotechnology — 0.5%

Corteva, Inc.

6,721

$385,113

 

Building Materials — 0.1%

Geberit AG

116

60,694

 

Chemicals — 1.8%

CF Industries Holdings, Inc.

1,864

129,399

Ecolab, Inc.

1,164

217,307

FMC Corp.

1,152

120,200

K+S AG

1,639

28,530

Nutrien Ltd.

5,115

302,319

OCI N.V.

2,087

50,024

PhosAgro PJSC - GDR(1) 

1,126

0

Sociedad Quimica y Minera de Chile S.A. - ADR

2,581

187,432

The Mosaic Co.

3,260

114,100

Yara International ASA

2,277

80,551

 

1,229,862

Distribution & Wholesale — 0.2%

Ferguson PLC

716

112,966

 

Energy — Alternate Sources — 1.0%

Enphase Energy, Inc.(2) 

884

148,053

First Solar, Inc.(2) 

736

139,906

Ming Yang Smart Energy Group Ltd. - GDR

17

204

Plug Power, Inc.(2) 

4,586

47,649

SolarEdge Technologies, Inc.(2) 

406

109,234

Vestas Wind Systems A/S

7,228

192,179

Xinyi Solar Holdings Ltd.

51,882

59,915

 

697,140

Food — 0.2%

Mowi ASA

4,569

72,585

Salmar ASA

1,251

50,549

 

123,134

Iron & Steel — 1.3%

Fortescue Metals Group Ltd.

23,245

343,192

Mineral Resources Ltd.

1,454

69,134

Vale S.A. - ADR

35,294

473,646

 

885,972

Machinery — Diversified — 2.5%

AGCO Corp.

675

88,709

CNH Industrial NV - Class A

12,834

184,810

Deere & Co.

2,581

1,045,795

 

 

Shares

 

Value

 

Common Stocks — 22.0% (Continued)

Machinery — Diversified — 2.5% (Continued)

Husqvarna AB - Class B

5,683

$51,372

IDEX Corp.

320

68,883

Kubota Corp.

10,826

157,220

The Toro Co.

974

99,007

Xylem, Inc.

770

86,717

 

1,782,513

Mining — 6.5%

Allkem Ltd.(2) 

4,055

43,241

Antofagasta PLC

7,313

135,834

BHP Group Ltd. - ADR

18,554

1,107,117

Boliden AB

1,842

53,130

Cameco Corp.

3,265

102,373

China Molybdenum Co. Ltd. - Class H

211,226

110,511

First Quantum Minerals Ltd.

5,834

138,173

Freeport-McMoRan, Inc.

10,069

402,760

Glencore PLC

93,097

526,102

IGO Ltd.

4,880

49,375

Ivanhoe Mines Ltd.(2) 

10,576

96,709

Jiangxi Copper Co. Ltd. - H Shares

36,795

56,531

Lundin Mining Corp.

5,183

40,657

MMC Norilsk Nickel PJSC - ADR(1) 

3,990

0

NAC Kazatomprom JSC - GDR

1,937

52,008

Pilbara Minerals Ltd.

21,680

70,569

Rio Tinto PLC - ADR

12,625

805,980

South32 Ltd.

31,848

79,711

Southern Copper Corp.

5,817

417,312

Sumitomo Metal Mining Co. Ltd.

2,022

64,786

Teck Resources Ltd. - Class A

4,218

177,677

 

4,530,556

Oil & Gas — 7.6%

Aker BP ASA

1,535

36,077

BP PLC - ADR

7,811

275,650

Canadian Natural Resources Ltd.

3,019

169,926

Cenovus Energy, Inc.

4,556

77,468

Chevron Corp.

4,687

737,499

ConocoPhillips

3,032

314,146

Coterra Energy, Inc.

1,667

42,175

Devon Energy Corp.

1,857

89,767

Diamondback Energy, Inc.

455

59,769

Ecopetrol S.A. - ADR

6,081

62,330


SCHEDULE OF INVESTMENTS at June 30, 2023 (Unaudited)

UPAR Ultra Risk Parity ETF

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

7

 

 

Shares

 

Value

 

Common Stocks — 22.0% (Continued)

Oil & Gas — 7.6% (Continued)

Eni S.p.A - ADR

4,374

$125,928

EOG Resources, Inc.

1,621

185,507

Equinor ASA - ADR

8,902

260,027

Exxon Mobil Corp.

10,113

1,084,619

Gazprom PJSC - ADR(1) 

11,925

0

Hess Corp.

869

118,141

Imperial Oil Ltd.

1,443

73,914

LUKOIL PJSC - ADR(1) 

818

0

Marathon Oil Corp.

1,453

33,448

Novatek PJSC - GDR(1) 

329

0

Occidental Petroleum Corp.

2,395

140,826

Pioneer Natural Resources Co.

609

126,173

Repsol S.A.

3,547

51,584

Rosneft Oil Co PJSC - GDR(1) 

10,479

0

Santos Ltd. - ADR

8,353

42,350

Shell PLC - ADR

9,163

553,262

Suncor Energy, Inc.

3,273

96,119

Total S.A. - ADR

6,668

384,344

Tourmaline Oil Corp.

1,060

50,002

Woodside Energy Group Ltd.

4,528

103,804

 

5,294,855

Water — 0.3%

American Water Works Co., Inc.

674

96,214

Veolia Environnement S.A.

2,837

89,605

 

185,819

Total Common Stocks

(Cost $16,690,731)

15,288,624

 

Exchange Traded Funds — 24.2%

SPDR Gold MiniShares Trust(2) 

243,390

9,270,725

Vanguard Extended Market ETF

15,885

2,364,165

Vanguard FTSE Developed Markets ETF

37,226

1,719,097

Vanguard FTSE Emerging Markets ETF

85,668

3,484,974

 

5,204,071

Total Exchange Traded Funds

(Cost $16,287,793)

16,838,961

 

 

Principal
Amount

 

Value

 

United States Treasury Obligations — 47.8%

United States Treasury Inflation Indexed Bonds — 47.8%

2.125%, 2/15/2040

$641,422

$688,043

2.125%, 2/15/2041

3,259,564

3,496,043

0.750%, 2/15/2042

3,794,046

3,221,566

0.625%, 2/15/2043

4,322,616

3,543,729

1.375%, 2/15/2045

4,246,015

3,993,748

0.750%, 2/15/2045

4,407,172

3,637,500

1.000%, 2/15/2046

3,613,035

3,130,095

0.875%, 2/15/2047

3,620,610

3,033,629

1.000%, 2/15/2048

3,577,422

3,073,000

1.000%, 2/15/2049

2,303,844

1,978,652

0.250%, 2/15/2050

2,251,364

1,572,242

0.125%, 2/15/2051

1,223,471

814,763

0.125%, 2/15/2052

1,406,880

931,620

1.500%, 2/15/2053

157,165

152,301

Total United States Treasury Obligations

(Cost $33,336,909)

33,266,931

 

 

Shares

 

 

 

Short-Term Investments — 1.6%

Money Market Funds — 1.6%

First American Government Obligations Fund, Class X, 5.006%(3) 

1,107,807

1,107,807

Total Short-Term Investments

(Cost $1,107,807)

1,107,807

 

Total Investments in Securities — 95.6%

(Cost $67,423,240)

66,502,323

Other Assets in Excess of Liabilities — 4.4%

3,070,628

Total Net Assets — 100.0%

$69,572,951

ADRAmerican Depositary Receipt

GDRGlobal Depositary Receipt

(1)The security is fair valued by the Valuation Designee (See Note 2).

(2)Non-income producing security.

(3)The rate shown is the annualized seven-day effective yield as of June 30, 2023.


SCHEDULE OF INVESTMENTS at June 30, 2023 (Unaudited) (Continued)

UPAR Ultra Risk Parity ETF

8

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

SCHEDULE OF FUTURES CONTRACTS at June 30, 2023 (Unaudited)

The UPAR Ultra Risk Parity ETF had the following futures contracts outstanding with PhillipCapital Inc.

Long Futures
Contracts Outstanding

Number of
Contracts

Notional
Amount

Unrealized
Appreciation
(Depreciation)

Notional
Value

CME Group E-Mini S&P 500 Index Future (9/15/2023)

458

$9,961,715

$316,378

$10,278,093

MSCI Emerging Markets Index Future (9/15/2023)

79

3,989,798

(48,093

)

3,941,705

MSCI EAFE Index Future (9/15/2023)

30

3,208,463

24,787

3,233,250

10-Year U.S. Treasury Note Future (9/20/2023)

145

16,447,323

(168,807

)

16,278,516

Ultra Long-Term U.S. Treasury Bond Future (9/20/2023)

121

16,188,398

294,071

16,482,469

 

$49,795,697

$418,336

$50,214,033

RPAR ETFs

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

9

STATEMENTS OF ASSETS AND LIABILITIES at June 30, 2023 (Unaudited)

 

 

RPAR Risk Parity ETF

 

UPAR Ultra
Risk Parity ETF

 

 

Assets:

Investments in securities, at value (Note 2)

$1,043,408,758

(1) 

$66,502,323

Foreign currency (cost of $133,004 and $517, respectively)

134,714

518

Deposits at broker for futures (Note 2)

28,644,154

2,449,296

Receivables:

Investment securities sold

9,370,476

63,272

Dividends and interest

1,908,787

178,341

Securities lending, net

5,678

Variation margin receivable

1,535,326

418,336

Total assets

1,085,007,893

69,612,086

 

Liabilities:

Collateral received from securities on loan

39,731,308

Payables:

Fund shares redeemed

22,675,791

Management fees (Note 4)

421,281

35,418

Other liabilities

5,483

3,717

Total liabilities

62,833,863

39,135

Net Assets

$1,022,174,030

$69,572,951

 

Components of Net Assets:

Paid-in capital

$1,422,439,914

$75,032,452

Total distributable (accumulated) earnings (losses)

(400,265,884

)

(5,459,501

)

Net assets

$1,022,174,030

$69,572,951

 

Net Asset Value (unlimited shares authorized):

Net assets

$1,022,174,030

$69,572,951

Shares of beneficial interest issued and outstanding

53,175,000

5,050,000

Net asset value

$19.22

$13.78

 

Cost of investments

$1,180,940,768

$67,423,240

(1)Includes securities on loan with a value of $39,348,114.

RPAR ETFs

10

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

STATEMENTS OF OPERATIONS For the Six-Months Ended June 30, 2023 (Unaudited)

 

 

RPAR Risk Parity ETF

 

UPAR Ultra
Risk Parity ETF

 

 

Investment Income:

Interest income

$12,045,237

$950,892

Dividend income (net of foreign withholding tax of $199,438 and $16,621, respectively)

5,534,249

333,531

Securities lending income, net (Note 5)

58,504

Total investment income

17,637,990

1,284,423

 

Expenses:

Management fees (Note 4)

2,694,325

225,747

Total expenses before interest expense and management fee waiver

2,694,325

225,747

Interest expense

10

114

Less: Management fee waiver (Note 4)

(107,773

)

(10,419

)

Net expenses

2,586,562

215,442

Net investment income (loss)

15,051,428

1,068,981

 

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investments

3,480,580

(80,830

)

Foreign currency translations

(27,268

)

(2,354

)

Futures contracts

(12,669,697

)

(264,256

)

Change in net unrealized appreciation/depreciation on:

Investments

24,841,822

2,981,995

Foreign currency translations

807,091

50,601

Futures contracts

10,362,959

3,205,354

Net realized and unrealized gain (loss)

26,795,487

5,890,510

Net increase (decrease) in net assets resulting from operations

$41,846,915

$6,959,491

RPAR Risk Parity ETF

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

11

STATEMENTS OF CHANGES IN NET ASSETS

 

 

Six-Months Ended
June 30, 2023 (Unaudited)

 

Year Ended
December 31, 2022

 

 

Increase (Decrease) in Net Assets From:

 

Operations:

Net investment income (loss)

$15,051,428

$47,995,574

Net realized gain (loss)

(9,216,385

)

(104,024,701

)

Change in net unrealized appreciation/depreciation

36,011,872

(329,578,675

)

Net increase (decrease) in net assets resulting from operations

41,846,915

(385,607,802

)

 

Distributions to Shareholders:

Net distributions to shareholders

(14,507,647

)

(46,768,036

)

 

Capital Share Transactions: