Annual Report

KFA Large Cap Quality Dividend Index ETF

KFA Small Cap Quality Dividend Index ETF

KFA Value Line® Dynamic Core Equity Index ETF

KFA Mount Lucas Index Strategy ETF

March 31, 2022

   

 

Table of Contents

Management Discussion of Fund Performance

 

1

Schedules of Investments/Consolidated Schedule of Investments

   

KFA Large Cap Quality Dividend Index ETF

 

10

KFA Small Cap Quality Dividend Index ETF

 

15

KFA Value Line® Dynamic Core Equity Index ETF

 

17

KFA Mount Lucas Index Strategy ETF

 

20

Statements of Assets and Liabilities/Consolidated Statement of Assets and Liabilities

 

22

Statements of Operations/Consolidated Statement of Operations

 

24

Statements of Changes in Net Assets/Consolidated Statements of Changes in Net Assets

 

26

Financial Highlights/Consolidated Financial Highlights

 

30

Notes to Financial Statements/Consolidated Notes to Financial Statements

 

32

Report of Independent Registered Public Accounting Firm

 

47

Trustees and Officers of the Trust

 

49

Disclosure of Fund Expenses

 

52

Notice to the Shareholders

 

54

Supplemental Information

 

55

The Funds file their complete schedules of Fund holdings with the Securities and Exchange Commission (the “Commission”) for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Form N-PORT reports are available on the Commission’s website at http://www.sec.gov.

A description of the policies and procedures that KraneShares Trust uses to determine how to vote proxies relating to Fund securities, as well as information relating to how the Funds voted proxies relating to Fund securities during the most recent 12-month year ended June 30, are available (i) without charge, upon request, by calling 855-857-2638; and (ii) on the Commission’s website at http://www.sec.gov.

Fund shares may only be purchased or redeemed from a Fund in Creation Unit aggregations. Investors who cannot transact in Creation Units of a Fund’s shares must buy or sell Fund shares in the secondary market at their market price, which may be at a premium or discount to a Fund’s net asset value, with the assistance of a broker. In doing so, the investor may incur brokerage commissions and may pay more than net asset value when buying Fund shares and receive less than net asset value when selling Fund shares.

 

Management Discussion of Fund Performance (Unaudited)

Dear Shareholders:

We are pleased to provide you with the Annual Report for the four exchange-traded funds (“ETFs”) that are the subject of this report (“KFA Funds”), for the 12-month period ended March 31, 2022. Despite recent market volatility, we are encouraged by the long-term prospects for our high-conviction investment strategies. Thank you for investing with us.

For the period, the KFA Funds delivered the following returns*:

Fund

 

Return*

 

Underlying
Index Return

 

Morningstar
Peer Group
Median

KFA Large Cap Quality Dividend Index ETF (KLCD)

 

13.82%

 

14.27

%(a)

 

13.98

%(1)

KFA Small Cap Quality Dividend Index ETF (KSCD)

 

0.97%

 

1.30

%(b)

 

2.22

%(2)

KFA Value Line® Dynamic Core Equity Index ETF (KVLE)

 

12.62%

 

13.33

%(c)

 

13.98

%(1)

KFA Mount Lucas Index Strategy ETF (KMLM)

 

22.21%

 

26.11

%(d)

 

N/A

 

We believe that investing in diversifying stock, bond, and managed futures strategies is an important way to help manage portfolio risk.

Jonathan Krane, CEO

March 31, 2022

*       Returns based on change in net asset value as of March 31, 2022.

 

Morningstar Peer Group
Median Return

 

Morningstar Peer Group Name

(1)

 

13.98%

 

U.S. ETF Large Blend

(2)

 

2.22%

 

U.S. ETF Small Blend

(a)    The underlying index for KFA Large Cap Quality Dividend Index ETF.

(b)    The underlying index for KFA Small Cap Quality Dividend Index ETF.

(c)    The underlying index for KFA Value Line Dynamic Core Equity Index ETF.

(d)    The underlying index for KFA Mount Lucas Index Strategy ETF.

The Morningstar Fund Large Blend Category portfolios are fairly representative of the overall U.S. stock market in size, growth rates, and price. Stocks in the top 70% of the capitalization of the U.S. equity market are defined as large cap. The blend style is assigned to portfolios where neither growth nor value characteristics predominate. These portfolios tend to invest across the spectrum of U.S. industries, and owing to their broad exposure, the portfolios’ returns are often similar to those of the S&P 500 Index.

The Morningstar Fund Small Blend Category portfolios invest in stocks of small companies where neither growth nor value characteristics predominate. Stocks in the bottom 10% of the capitalization of the U.S. equity market are defined as small cap.

1

Management Discussion of Fund Performance (Unaudited) (continued)

KFA Large Cap Quality Dividend Index ETF

The KFA Large Cap Quality Dividend Index ETF (the “Fund”) seeks to track the performance of the Russell 1000 Dividend Select Equal Weight Index (the “Underlying Index”). The Underlying Index is designed to measure the equity market performance of large cap companies that have increased their dividend payments over a period of ten years (subject to certain exceptions).

U.S. Large Cap Dividend Review:

Global equity markets followed an upward trend in the second half of 2021, as the world continued to recover from COVID-19. Equity markets in the U.S. and Europe were largely up for the period whereas China has experienced a bear market while remaining above pre-pandemic levels. However, a global equity and bond selloff occurred in the first quarter of 2022 as investors assessed the impact of the war in Ukraine, inflation, rising rates in the U.S., and supply chain disruptions, among other risks. Meanwhile, the yield on the 10-Year U.S. Treasury bond increased by nearly 0.66% in the first three months of 2022 from 1.67% to 2.33% along with rising inflation in the United States. Interest rates in China did not follow the U.S. and fell by 0.10% during the same three-month period.

Given U.S. Federal Reserve rate hikes and surging inflation in the U.S., we have seen an increase in interest in dividend-paying equity strategies. Investors are looking to diversify beyond growth equities and investment grade bonds, both of which saw steep declines in the first quarter of 2022.

We see two potential catalysts for the U.S. dividend-paying equity market in the year to come:

•   A continuation of the rotation into dividend stocks to hedge against inflation in 2022.

•   A strong U.S. economy and dollar that is drawing in investors from other countries and asset classes.

•   The potential for a prolonged period of market volatility, leading investors to seek a defensive return stream through investing in dividend paying U.S. equities.

For the one-year period ending on March 31, 2022 (the “reporting period”), the NAV of the Fund increased by 13.82%, while the Underlying Index increased by 14.27%.

At the end of the reporting period, the Fund held 21.33% of the portfolio in the Financials sector, 16.56% in the Industrials sector, 9.52% in the Consumer Staples sector, and 8.85% in the Information Technology sector.

2

Management Discussion of Fund Performance (Unaudited) (continued)

KFA Large Cap Quality Dividend Index ETF (concluded)

Growth of a $10,000 Investment‡

(at Net Asset Value)‡

AVERAGE TOTAL RETURN FOR THE PERIOD ENDED MARCH 31, 2022*

 

One Year
Return

 

Annualized 
Inception to Date

   

Net Asset
Value

 

Market
Price^

 

Net Asset
Value

 

Market
Price^

KFA Large Cap Quality Dividend Index ETF

 

13.82

%

 

13.53

%‡

 

13.84

%‡

 

13.91

%‡

Russell 1000 Dividend Select Equal Weight Index

 

N/A

 

 

14.27

%‡

 

N/A

 

 

14.32

%‡

Russell 1000 Index

 

N/A

 

 

13.27

%‡

 

N/A

 

 

19.22

%‡

*       The Fund commenced operations on June 11, 2019.

‡      Unaudited.

^      Beginning December 23, 2020, market price returns are based on the official closing price of an ETF share or, if it more accurately reflects the market value of an ETF share at the time as of which the ETF calculates current NAV per share, the midpoint between the national best bid and national best offer (“NBBO”) as of that time. Prior to that date, market price returns were based on the midpoint between the Bid and Ask price. NAVs are calculated using prices as of 4:00 PM Eastern Time.

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Current performance may be lower or higher than the performance data quoted. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. For performance data current to the most recent month end, please call (855-857-2638) or visit www.kraneshares.com. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. As stated in the Fund’s prospectus, the Fund’s operating expense ratio is 0.41%. Please note that one cannot invest directly in an unmanaged index. There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change and should not be considered recommendations to buy individual securities. For further information on the Fund’s objectives, risks, and strategies, see the Fund’s prospectus. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

3

Management Discussion of Fund Performance (Unaudited) (continued)

KFA Small Cap Quality Dividend Index ETF

The KFA Small Cap Quality Dividend Index ETF (the “Fund”) seeks to track the performance of the Russell 2000 Dividend Select Equal Weight Index (the “Underlying Index”). The Underlying Index is designed to measure the equity market performance of small cap companies that have increased their dividend payments over a period of ten years (subject to certain exceptions).

U.S. Small Cap Dividend Review:

Global equity markets followed an upward trend in the second half of 2021, as the world continued to recover from COVID-19. Equity markets in the US and Europe were largely up for the period whereas China has experienced a bear market while remaining above pre-pandemic levels. However, a global equity and bond selloff occurred in the first quarter of 2022 as investors assessed the impact of the war in Ukraine, inflation, rising rates in the US, and supply chain disruptions, among other risks. Meanwhile, the yield on the 10-Year US Treasury bond slightly increased by nearly 0.66% in the first three months of 2022 from 1.67% to 2.33% along with rising inflation in the United States. Interest rates in China did not follow the U.S. and fell by 0.10% during the same three-month period.

Given U.S. Federal Reserve rate hikes and surging inflation in the U.S., we have seen an increase in interest in dividend-paying equity strategies. Investors are looking to diversify beyond growth equities and investment grade bonds, both of which saw steep declines in the first quarter of 2022.

We see two potential catalysts for the U.S. dividend-paying equity market in the year to come:

•   A continuation of the rotation into dividend stocks to hedge against inflation in 2022.

•   A strong U.S. economy and dollar that is drawing in investors from other countries and asset classes.

•   The potential for a prolonged period of market volatility, leading investors to seek a defensive return stream through investing in dividend paying U.S. equities.

For the one-year period ending on March 31, 2022 (the “reporting period”), the NAV of the Fund increased by 0.97%, while the Underlying Index increased by 1.30%.

At the end of the reporting period, the Fund held 27.82% of the portfolio in the Financials sector, 19.47% in the Industrials sector, and 17.55% in the Utilities sector, and 12.77% in the Materials sector.

4

Management Discussion of Fund Performance (Unaudited) (continued)

KFA Small Cap Quality Dividend Index ETF (concluded)

Growth of a $10,000 Investment‡

(at Net Asset Value)‡

AVERAGE TOTAL RETURN FOR THE PERIOD ENDED MARCH 31, 2022*

 

One Year
Return

 

Annualized 
Inception to Date

   

Net Asset
Value

 

Market
Price^

 

Net Asset
Value

 

Market
Price^

KFA Small Cap Quality Dividend Index ETF

 

0.97

%

 

0.34

%‡

 

6.08

%‡

 

6.11

%‡

Russell 2000 Dividend Select Equal Weight Index

 

N/A

 

 

1.30

%‡

 

N/A

 

 

6.63

%‡

Russell 2000 Index

 

N/A

 

 

-5.79

%‡

 

N/A

 

 

13.06

%‡

*       The Fund commenced operations on June 11, 2019.

‡      Unaudited.

^      Beginning December 23, 2020, market price returns are based on the official closing price of an ETF share or, if it more accurately reflects the market value of an ETF share at the time as of which the ETF calculates current NAV per share, the midpoint between the national best bid and national best offer (“NBBO”) as of that time. Prior to that date, market price returns were based on the midpoint between the Bid and Ask price. NAVs are calculated using prices as of 4:00 PM Eastern Time.

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Current performance may be lower or higher than the performance data quoted. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. For performance data current to the most recent month end, please call (855-857-2638) or visit www.kraneshares.com. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. As stated in the Fund’s prospectus, the Fund’s operating expense ratio is 0.51%. Please note that one cannot invest directly in an unmanaged index. There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change and should not be considered recommendations to buy individual securities. For further information on the Fund’s objectives, risks, and strategies, see the Fund’s prospectus. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

5

Management Discussion of Fund Performance (Unaudited) (continued)

KFA Value Line® Dynamic Core Equity Index ETF

The KFA Value Line® Dynamic Core Equity Index ETF (the “Fund”) seeks to track the performance of the 3D/L Value Line® Dynamic Core Equity Index (the “Underlying Index”). The Underlying Index seeks to capture quality U.S. large cap companies based on a three-factor process which selects stocks that have high dividend yields that are among the highest rated by Value Line®’s Safety™ and Timeliness™ Ranking Systems. Careful quantitative modelling, that incorporates a unique set of risk management tools, adjusts the beta of the overall portfolio based on the market environment. The Underlying index is rebalanced monthly.

U.S. Large Cap Dividend Review:

Global equity markets followed an upward trend in the second half of 2021, as the world continued to recover from COVID-19. Equity markets in the US and Europe were largely up for the period whereas China has experienced a bear market while remaining above pre-pandemic levels. However, a global equity and bond selloff occurred in the first quarter of 2022 as investors assessed the impact of the war in Ukraine, inflation, rising rates in the U.S., and supply chain disruptions, among other risks. Meanwhile, the yield on the 10-Year U.S. Treasury bond slightly increased by nearly 0.66% in the first three months of 2022 from 1.67% to 2.33% along with rising inflation in the United States. Interest rates in China did not follow the U.S. and fell by 0.10% during the same three-month period.

The first quarter of 2022 was challenging for the equity markets. The S&P 500 gave up -4.60% on a total return basis, its first down quarter since the pandemic-driven first quarter of 2020. Of course, Q1 2020 was just two years ago, but it is worth reminding ourselves how comparatively rare S&P 500 down quarters have been recently. Indeed, Q1 2022 was only the fourth red quarter for the S&P in the 25 quarters since September 2015.

We believe the Fund can help investors position themselves for rocky markets. Steady companies with strong balance sheets that pay healthy dividends should do well compared to the S&P 500 or overall market in most times of difficulty. This is even more so in an environment characterized by reluctant equity investors, who increase U.S. equity allocations for lack of alternatives and naturally favor the less risky stocks.

We see two potential catalysts for the U.S. dividend-paying equity market in the year to come:

•   A continuation of the rotation into dividend stocks to hedge against inflation in 2022.

•   A strong U.S. economy and dollar that is drawing in investors from other countries and asset classes.

•   The potential for a prolonged period of market volatility, leading investors to seek a defensive return stream through investing in dividend paying U.S. equities.

For the one-year period ending on March 31, 2022 (the “reporting period”), the NAV of the Fund increased by 12.62% while the Underlying Index increased by 13.33%.

At the end of the reporting period, the Fund held 24.67% of the portfolio in the Information Technology sector, 20.82% in the Utilities sector, 16.79% in the Industrials sector, and 9.19% in the Financials sector.

6

Management Discussion of Fund Performance (Unaudited) (continued)

KFA Value Line® Dynamic Core Equity Index ETF (concluded)

Growth of a $10,000 Investment‡

(at Net Asset Value)‡

AVERAGE TOTAL RETURN FOR THE PERIOD ENDED MARCH 31, 2022*

 

One Year  Return

 

Annualized 
Inception to Date

   

Net Asset
Value

 

Market
Price^

 

Net Asset
Value

 

Market
Price^

KFA Value Line® Dynamic Core Equity Index ETF

 

12.62

%

 

12.81

%‡

 

21.42

%‡

 

21.57

%‡

3D/L Value Line® Dynamic Core Equity Index

 

N/A

 

 

13.33

%‡

 

N/A

 

 

21.96

%‡

S&P 500 Index

 

N/A

 

 

15.65

%‡

 

N/A

 

 

20.83

%‡

*       The Fund commenced operations on November 23, 2020.

‡      Unaudited

^      Beginning December 23, 2020, market price returns are based on the official closing price of an ETF share or, if it more accurately reflects the market value of an ETF share at the time as of which the ETF calculates current NAV per share, the midpoint between the national best bid and national best offer (“NBBO”) as of that time. Prior to that date, market price returns were based on the midpoint between the Bid and Ask price. NAVs are calculated using prices as of 4:00 PM Eastern Time.

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Current performance may be lower or higher than the performance data quoted. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. For performance data current to the most recent month end, please call (855-857-2638) or visit www.kraneshares.com. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. As stated in the Fund’s prospectus, the Fund’s operating expense ratio is 0.55%. Please note that one cannot invest directly in an unmanaged index. There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change and should not be considered recommendations to buy individual securities. For further information on the Fund’s objectives, risks, and strategies, see the Fund’s prospectus. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

7

Management Discussion of Fund Performance (Unaudited) (continued)

KFA Mount Lucas Index Strategy ETF

The KFA Mount Lucas Index Strategy ETF (the “Fund”) seeks to track the performance of the KFA MLM Index (the “Index”) which consists of a portfolio of twenty-two liquid futures contracts traded on U.S. and foreign exchanges. The Index includes futures contracts on 11 commodities, 6 currencies, and 5 global bond markets. These three baskets are weighted by their relative historical volatility, and within each basket, the constituent markets are equal dollar weighted.

Managed Futures Review:

Global commodity prices have rebounded from pandemic lows and are reaching record highs as global energy demand is soaring. Increased activity in commodity markets driven by supply chain issues, geopolitical tensions, and the reopening of economies globally benefitted trend-following commodities futures trading strategies. West Texas Intermediate (WTI)1 crude has led the commodity rebound with a 17.94% rise year to date. Gold is on the rise as well with a 8.69% gain over the last year.

We see two potential catalysts for the commodities futures market in the year to come:

•    Going into 2022, we expect the disruptions we have seen in supply chains to improve. This should mean that prices edge lower from current levels. But importantly, we still expect them to remain above long-term averages.

•    Central banks are set to tighten monetary policy over the course of 2022. Forecasts predict a stronger U.S. dollar in the year to come.

For the one-year period ending on March 31, 2022 (the “reporting period”), the NAV of the Fund increased by 22.21%, while the Underlying Index increased by 26.11%.

At the end of the reporting period, the Fund’s largest exposure in each of its three respective asset classes (fixed income, currencies, commodities) were the Canada 10-Year Bond (short) at 25.14% of NAV, the Euro (short) at 16.40% of NAV, and Natural Gas at 8.86% of NAV.

1              WTI — West Texas Intermediate, which is the type of oil the futures contract is based on.

8

Management Discussion of Fund Performance (Unaudited) (concluded)

KFA Mount Lucas Index Strategy ETF (concluded)

Growth of a $10,000 Investment‡

(at Net Asset Value)‡

AVERAGE TOTAL RETURN FOR THE PERIOD ENDED MARCH 31, 2022*

 

One Year  Return

 

Annualized 
Inception to Date

   

Net Asset
Value

 

Market
Price^

 

Net Asset
Value

 

Market
Price^

KFA Mount Lucas Index Strategy ETF

 

22.21

%

 

22.24

%‡

 

25.07

%‡

 

25.27

%‡

KFA MLM Index

 

N/A

 

 

26.11

%‡

 

N/A

 

 

28.32

%‡

*       The Fund commenced operations on December 1, 2020.

‡      Unaudited

^      Beginning December 23, 2020, market price returns are based on the official closing price of an ETF share or, if it more accurately reflects the market value of an ETF share at the time as of which the ETF calculates current NAV per share, the midpoint between the national best bid and national best offer (“NBBO”) as of that time. Prior to that date, market price returns were based on the midpoint between the Bid and Ask price. NAVs are calculated using prices as of 4:00 PM Eastern Time.

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Current performance may be lower or higher than the performance data quoted. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. For performance data current to the most recent month end, please call (855-857-2638) or visit www.kraneshares.com. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. As stated in the Fund’s prospectus, the Fund’s operating expense ratio is 0.90%. Please note that one cannot invest directly in an unmanaged index. There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change and should not be considered recommendations to buy individual securities. For further information on the Fund’s objectives, risks, and strategies, see the Fund’s prospectus. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

9

Schedule of Investments March 31, 2022

KFA Large Cap Quality Dividend Index ETF

 

Shares

 

Value

COMMON STOCK — 99.8%‡

     

 

 

UNITED STATES — 99.8%

     

 

 

Communication Services — 2.4%

     

 

 

Interpublic Group of Companies

 

11,650

 

$

412,992

Omnicom Group

 

4,969

 

 

421,769

Verizon Communications

 

7,173

 

 

365,393

       

 

1,200,154

Consumer Discretionary — 6.9%

     

 

 

Churchill Downs

 

1,687

 

 

374,143

Genuine Parts

 

3,216

 

 

405,280

Home Depot

 

1,217

 

 

364,284

Lowe’s

 

1,774

 

 

358,685

McDonald’s

 

1,663

 

 

411,227

Polaris

 

3,225

 

 

339,657

Pool

 

837

 

 

353,926

Service International

 

6,398

 

 

421,116

Tractor Supply

 

1,787

 

 

417,032

       

 

3,445,350

Consumer Staples — 9.5%

     

 

 

Altria Group

 

7,373

 

 

385,239

Archer-Daniels-Midland

 

4,768

 

 

430,360

Church & Dwight

 

3,944

 

 

391,955

Coca-Cola

 

6,286

 

 

389,732

Costco Wholesale

 

740

 

 

426,129

Flowers Foods

 

14,599

 

 

375,340

Hershey

 

1,864

 

 

403,798

J M Smucker

 

2,983

 

 

403,928

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

10

Schedule of Investments March 31, 2022

KFA Large Cap Quality Dividend Index ETF (continued)

 

Shares

 

Value

COMMON STOCK (continued)

     

 

 

Consumer Staples (continued)

     

 

 

Kroger

 

6,693

 

$

383,978

McCormick

 

3,874

 

 

386,625

PepsiCo

 

2,362

 

 

395,352

Procter & Gamble

 

2,549

 

 

389,487

       

 

4,761,923

Energy — 1.7%

     

 

 

Marathon Petroleum

 

4,994

 

 

426,987

ONEOK

 

5,749

 

 

406,052

       

 

833,039

Financials — 21.3%

     

 

 

Aflac

 

6,590

 

 

424,330

American Express

 

2,234

 

 

417,758

American Financial Group

 

2,877

 

 

418,948

Ameriprise Financial

 

1,398

 

 

419,903

Aon, Cl A

 

1,328

 

 

432,437

Arthur J Gallagher

 

2,440

 

 

426,024

Assurant

 

2,335

 

 

424,573

Assured Guaranty

 

6,577

 

 

418,692

BOK Financial

 

3,967

 

 

372,700

Brown & Brown

 

5,637

 

 

407,386

Chubb

 

1,919

 

 

410,474

Cincinnati Financial

 

3,261

 

 

443,365

CME Group, Cl A

 

1,588

 

 

377,722

Comerica

 

4,384

 

 

396,445

Cullen/Frost Bankers

 

2,927

 

 

405,126

FactSet Research Systems

 

933

 

 

405,062

First American Financial

 

5,989

 

 

388,207

First Horizon

 

16,638

 

 

390,827

Hanover Insurance Group

 

2,761

 

 

412,825

Marsh & McLennan

 

2,492

 

 

424,687

Morningstar

 

1,447

 

 

395,277

Old Republic International

 

14,903

 

 

385,540

People’s United Financial

 

19,560

 

 

391,004

Raymond James Financial

 

3,913

 

 

430,078

Travelers

 

2,290

 

 

418,452

W R Berkley

 

6,531

 

 

434,899

       

 

10,672,741

Health Care — 8.1%

     

 

 

AmerisourceBergen, Cl A

 

2,683

 

 

415,087

Anthem

 

821

 

 

403,292

Becton Dickinson

 

1,439

 

 

382,774

Bristol-Myers Squibb

 

5,680

 

 

414,810

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

11

Schedule of Investments March 31, 2022

KFA Large Cap Quality Dividend Index ETF (continued)

 

Shares

 

Value

COMMON STOCK (continued)

     

 

 

Health Care (continued)

     

 

 

Humana

 

889

 

$

386,866

Merck

 

5,033

 

 

412,958

Pfizer

 

8,089

 

 

418,767

STERIS

 

1,604

 

 

387,799

UnitedHealth Group

 

791

 

 

403,386

West Pharmaceutical Services

 

983

 

 

403,728

       

 

4,029,467

Industrials — 17.4%

     

 

 

A O Smith

 

5,767

 

 

368,454

Carlisle

 

1,726

 

 

424,458

CH Robinson Worldwide

 

3,732

 

 

401,974

Dover

 

2,583

 

 

405,273

Eaton

 

2,617

 

 

397,156

General Dynamics

 

1,610

 

 

388,300

HEICO

 

2,625

 

 

403,042

JB Hunt Transport Services

 

1,935

 

 

388,529

L3Harris Technologies

 

1,502

 

 

373,202

Lockheed Martin

 

867

 

 

382,694

Nordson

 

1,717

 

 

389,896

Norfolk Southern

 

1,387

 

 

395,600

Northrop Grumman

 

845

 

 

377,901

PACCAR

 

4,543

 

 

400,102

Regal Rexnord

 

2,528

 

 

376,116

Republic Services, Cl A

 

3,035

 

 

402,137

Robert Half International

 

3,332

 

 

380,448

Roper Technologies

 

861

 

 

406,590

Union Pacific

 

1,499

 

 

409,542

United Parcel Service, Cl B

 

1,895

 

 

406,402

Waste Management

 

2,501

 

 

396,408

WW Grainger

 

807

 

 

416,242

       

 

8,690,466

Information Technology — 8.0%

     

 

 

Amphenol, Cl A

 

5,126

 

 

386,244

Automatic Data Processing

 

1,880

 

 

427,775

Cisco Systems

 

6,983

 

 

389,372

Corning

 

10,107

 

 

373,049

Intuit

 

834

 

 

401,021

Jack Henry & Associates

 

2,134

 

 

420,505

Mastercard, Cl A

 

1,168

 

 

417,420

Microsoft

 

1,342

 

 

413,752

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

12

Schedule of Investments March 31, 2022

KFA Large Cap Quality Dividend Index ETF (continued)

 

Shares

 

Value

COMMON STOCK (continued)

     

 

 

Information Technology (continued)

     

 

 

Paychex

 

3,138

 

$

428,243

QUALCOMM

 

2,393

 

 

365,698

       

 

4,023,079

Materials — 8.3%

     

 

 

Albemarle

 

2,183

 

 

482,771

Eastman Chemical

 

3,446

 

 

386,159

Nucor

 

2,880

 

 

428,112

Reliance Steel & Aluminum

 

2,095

 

 

384,118

Royal Gold

 

3,056

 

 

431,752

RPM International

 

4,855

 

 

395,391

Sherwin-Williams

 

1,516

 

 

378,424

Silgan Holdings

 

9,345

 

 

432,019

Steel Dynamics

 

5,080

 

 

423,824

Westlake

 

3,482

 

 

429,679

       

 

4,172,249

Real Estate — 7.9%

     

 

 

Alexandria Real Estate Equities

 

2,005

 

 

403,506

AvalonBay Communities

 

1,594

 

 

395,902

Camden Property Trust

 

2,298

 

 

381,928

CubeSmart

 

7,699

 

 

400,579

Essex Property Trust

 

1,166

 

 

402,830

Extra Space Storage

 

1,970

 

 

405,032

Iron Mountain

 

7,553

 

 

418,512

Mid-America Apartment Communities

 

1,851

 

 

387,692

UDR

 

6,796

 

 

389,886

WP Carey

 

4,860

 

 

392,882

       

 

3,978,749

Utilities — 8.3%

     

 

 

Alliant Energy

 

6,576

 

 

410,869

American Electric Power

 

4,138

 

 

412,848

Atmos Energy

 

3,414

 

 

407,939

CMS Energy

 

5,927

 

 

414,534

Consolidated Edison

 

4,452

 

 

421,515

Edison International

 

6,112

 

 

428,451

IDACORP

 

3,560

 

 

410,682

National Fuel Gas

 

6,060

 

 

416,322

Public Service Enterprise Group

 

5,885

 

 

411,950

Sempra Energy

 

2,592

 

 

435,767

       

 

4,170,877

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

13

Schedule of Investments March 31, 2022

KFA Large Cap Quality Dividend Index ETF (concluded)

     

Value

TOTAL UNITED STATES

     

$

49,978,094

TOTAL COMMON STOCK
(Cost $45,298,848)

     

 

49,978,094

       

 

 

TOTAL INVESTMENTS — 99.8%
(Cost $45,298,848)

     

 

49,978,094

OTHER ASSETS LESS LIABILITIES — 0.2%

     

 

105,901

NET ASSETS — 100%

     

$

50,083,995

‡       Industries are utilized for compliance purposes, whereas sectors are utilized for reporting.

†       Real Estate Investment Trust

Cl — Class

As of March 31, 2022, all of the Fund’s investments were considered Level 1 of the fair value hierarchy, in accordance with the authoritative guidance under U.S. GAAP.

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

14

Schedule of Investments March 31, 2022

KFA Small Cap Quality Dividend Index ETF

 

Shares

 

Value

COMMON STOCK — 99.7%‡

     

 

 

UNITED STATES — 99.7%

     

 

 

Communication Services — 2.3%

     

 

 

Telephone and Data Systems

 

44,517

 

$

840,481

       

 

 

Consumer Staples — 10.9%

     

 

 

Andersons

 

16,522

 

 

830,396

J & J Snack Foods

 

4,850

 

 

752,235

SpartanNash

 

23,613

 

 

778,993

Tootsie Roll Industries

 

23,752

 

 

830,378

Universal

 

13,792

 

 

800,902

       

 

3,992,904

Financials — 27.8%

     

 

 

Associated Banc-Corp

 

34,227

 

 

779,007

Atlantic Union Bankshares

 

20,657

 

 

757,905

BancFirst

 

10,272

 

 

854,733

Cohen & Steers

 

10,008

 

 

859,587

Federal Agricultural Mortgage, Cl C

 

6,771

 

 

734,518

Fulton Financial

 

46,285

 

 

769,257

Independent Bank

 

9,596

 

 

783,897

Lakeland Bancorp

 

45,937

 

 

767,148

Lakeland Financial

 

10,197

 

 

744,381

Sandy Spring Bancorp

 

17,695

 

 

794,859

Southside Bancshares

 

19,346

 

 

789,897

Washington Trust Bancorp

 

15,069

 

 

791,123

WesBanco

 

22,844

 

 

784,920

       

 

10,211,232

Health Care — 4.4%

     

 

 

Atrion

 

1,111

 

 

792,143

Ensign Group

 

9,204

 

 

828,452

       

 

1,620,595

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

15

Schedule of Investments March 31, 2022

KFA Small Cap Quality Dividend Index ETF (concluded)

 

Shares

 

Value

COMMON STOCK (continued)

     

 

 

Industrials — 19.4%

     

 

 

Apogee Enterprises

 

17,351

 

$

823,478

Applied Industrial Technologies

 

8,004

 

 

821,691

Franklin Electric

 

9,515

 

 

790,125

GATX

 

7,015

 

 

865,160

Hillenbrand

 

16,900

 

 

746,473

HNI

 

20,547

 

 

761,266

Matthews International, Cl A

 

23,449

 

 

758,810

McGrath RentCorp

 

9,868

 

 

838,583

Standex International

 

7,397

 

 

739,108

       

 

7,144,694

Materials — 12.7%

     

 

 

Avient

 

16,006

 

 

768,288

Balchem

 

5,692

 

 

778,097

HB Fuller

 

12,034

 

 

795,086

Materion

 

9,635

 

 

826,105

Sensient Technologies

 

9,968

 

 

836,814

Worthington Industries

 

13,291

 

 

683,290

       

 

4,687,680

Real Estate — 4.7%

     

 

 

Kennedy-Wilson Holdings

 

36,049

 

 

879,235

Terreno Realty

 

11,297

 

 

836,543

       

 

1,715,778

Utilities — 17.5%

     

 

 

Avista

 

17,049

 

 

769,762

Black Hills

 

10,996

 

 

846,912

Chesapeake Utilities

 

5,656

 

 

779,171

Middlesex Water

 

7,372

 

 

775,313

New Jersey Resources

 

17,643

 

 

809,108

Portland General Electric

 

14,919

 

 

822,783

South Jersey Industries

 

22,997

 

 

794,546

Southwest Gas Holdings

 

10,772

 

 

843,340

       

 

6,440,935

TOTAL UNITED STATES

     

 

36,654,299

TOTAL COMMON STOCK
(Cost $34,794,857)

     

 

36,654,299

TOTAL INVESTMENTS — 99.7%
(Cost $34,794,857)

     

 

36,654,299

OTHER ASSETS LESS LIABILITIES — 0.3%

     

 

92,154

NET ASSETS — 100%

     

$

36,746,453

‡       Industries are utilized for compliance purposes, whereas sectors are utilized for reporting.

†       Real Estate Investment Trust

Cl — Class

As of March 31, 2022, all of the Fund’s investments were considered Level 1 of the fair value hierarchy, in accordance with the authoritative guidance under U.S. GAAP.

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

16

Schedule of Investments March 31, 2022

KFA Value Line® Dynamic Core Equity Index ETF

 

Shares

 

Value

COMMON STOCK — 99.9%‡

     

 

 

UNITED STATES — 99.9%

     

 

 

Communication Services — 4.7%

     

 

 

Alphabet, Cl C*

 

136

 

$

379,847

AT&T

 

18,550

 

 

438,336

Verizon Communications

 

11,954

 

 

608,937

       

 

1,427,120

Consumer Discretionary — 5.1%

     

 

 

Amazon.com*

 

78

 

 

254,276

Home Depot

 

2,276

 

 

681,275

Lowe’s

 

2,501

 

 

505,677

Pool

 

281

 

 

118,821

       

 

1,560,049

Consumer Staples — 4.9%

     

 

 

Clorox

 

3,183

 

 

442,532

Coca-Cola

 

7,395

 

 

458,490

PepsiCo

 

3,621

 

 

606,083

       

 

1,507,105

Financials — 9.2%

     

 

 

Aflac

 

6,431

 

 

414,092

Bank of New York Mellon

 

3,877

 

 

192,416

BlackRock, Cl A

 

448

 

 

342,348

Houlihan Lokey, Cl A

 

2,430

 

 

213,354

JPMorgan Chase

 

3,914

 

 

533,557

Morgan Stanley

 

6,713

 

 

586,716

T Rowe Price Group

 

463

 

 

70,001

US Bancorp

 

8,596

 

 

456,877

       

 

2,809,361

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

17

Schedule of Investments March 31, 2022

KFA Value Line® Dynamic Core Equity Index ETF (continued)

 

Shares

 

Value

COMMON STOCK (continued)

     

 

 

Health Care — 8.2%

     

 

 

Amgen

 

1,723

 

$

416,656

Bristol-Myers Squibb

 

7,909

 

 

577,594

Eli Lilly

 

786

 

 

225,087

Gilead Sciences

 

8,649

 

 

514,183

Merck

 

4,548

 

 

373,164

UnitedHealth Group

 

793

 

 

404,406

       

 

2,511,090

Industrials — 16.9%

     

 

 

3M

 

3,612