ANNUAL
REPORT
October
31,
2022
BNY
Mellon
US
Large
Cap
Core
Equity
ETF
BNY
Mellon
US
Mid
Cap
Core
Equity
ETF
BNY
Mellon
US
Small
Cap
Core
Equity
ETF
BNY
Mellon
International
Equity
ETF
BNY
Mellon
Emerging
Markets
Equity
ETF
BNY
Mellon
Core
Bond
ETF
BNY
Mellon
Short
Duration
Corporate
Bond
ETF
BNY
Mellon
High
Yield
Beta
ETF
Discussion
of
Funds’
Performance
3
Fund
Performance
19
Understanding
Your
Fund’s
Expenses
27
Statements
of
Investments
28
Statements
of
Assets
and
Liabilities
129
Statements
of
Operations
132
Statements
of
Changes
in
Net
Assets
135
Financial
Highlights
139
Notes
to
Financial
Statements
147
Report
of
Independent
Registered
Public
Accounting
Firm
159
Important
Tax
Information
160
Liquidity
Risk
Management
Program
161
Board
Members
Information
162
Officers
of
the
Trust
163
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MORE
INFORMATION
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The
views
expressed
herein
are
current
to
the
date
of
this
report.
These
views
and
the
composition
of
the
funds’
portfolios
are
subject
to
change
at
any
time
based
on
market
and
other
conditions.
Not
FDIC-Insured
•
Not
Bank-Guaranteed
•
May
Lose
Value
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
For
the
period
November
1,
2021,
through
October
31,
2022,
as
provided
by
David
France,
CFA,
Todd
Frysinger,
CFA,
Vlasta
Sheremeta,
CFA,
Michael
Stoll
and
Marlene
Walker
Smith,
Portfolio
Managers
employed
by
the
fund’s
sub-adviser,
Mellon
Investments
Corporation.
Market
and
Fund
Performance
Overview
For
the
12-month
period
ending
October
31,
2022,
the
BNY
Mellon
US
Large
Cap
Core
Equity
ETF
(the
“fund”)
produced
a
net
asset
value
total
return
of
−16.91%.
1
In
comparison,
the
Morningstar
®
US
Large
Cap
Index
SM
(the
“Index”),
the
fund’s
benchmark,
returned
−16.94%
for
the
same
period.
2,3
Large-cap
equities
declined
during
the
reporting
period
under
pressure
from
increasing
inflation,
tightening
central
bank
policies
and
uncertainties
related
to
Russia’s
invasion
of
Ukraine.
The
difference
in
returns
between
the
fund
and
the
Index
resulted
primarily
from
transaction
costs
and
operating
expenses
that
are
not
reflected
in
Index
results.
The
Fund’s
Investment
Approach
The
fund
seeks
to
match
the
performance
of
the
Index.
To
pursue
its
goal,
the
fund
normally
invests
substantially
all
of
its
assets
in
equity
securities
comprising
the
Index.
The
Index
is
a
float-adjusted,
market
capitalization-weighted
index
designed
to
measure
the
performance
of
U.S.
large-
capitalization
stocks.
The
Index’s
initial
universe
of
eligible
securities
includes
common
stock,
tracking
stock
and
shares
of
real
estate
investment
trusts
(REITs)
issued
by
U.S.
companies
and
traded
on
the
New
York
Stock
Exchange,
NASDAQ
or
NYSE
Market
LLC.
At
each
reconstitution,
the
initial
universe
is
screened
to
exclude
securities
based
on
the
number
of
non-
trading
days
in
the
preceding
quarter
and
trading
volume
during
the
preceding
six-month
period.
Securities
with
more
than
10
non-trading
days
in
the
preceding
quarter,
or
that
have
a
bottom
25%
liquidity
score,
as
ranked
by
the
Index
provider
based
on
the
preceding
six-month
trading
volume,
are
excluded.
The
remaining
securities
comprise
the
investable
universe.
The
Index
is
composed
of
the
securities
of
companies
whose
cumulative
total
market
capitalization
represents
approximately
the
top
70%
of
the
remaining
securities
comprising
the
investable
universe.
The
Index
rebalances
quarterly
in
March,
June,
September
and
December,
and
reconstitutes
semi-annually
in
June
and
December.
Increasing
Inflation
and
Slowing
Economic
Growth
Pressure
Equities
U.S.
equities
started
the
reporting
period
on
a
mixed
note.
Concerns
regarding
the
new
COVID-19
Omicron
variant
came
to
the
fore
in
November
2021.
Markets
recovered
in
December
on
continued
economic
growth
and
strong
corporate
earnings
reports,
despite
increasingly
hawkish
rhetoric
from
the
U.S.
Federal
Reserve
(the
“Fed”)
regarding
the
tapering
of
the
Fed’s
asset-purchase
program
in
the
face
of
rising
inflation.
The
start
of
2022
saw
increasingly
aggressive
comments
from
the
Fed
regarding
monetary
tightening,
along
with
rising
tensions
between
Russia
and
Ukraine,
two
major
suppliers
of
energy,
agricultural
products
and
other
natural
resources.
As
a
result,
equity
markets
weakened
in
January,
then
plunged
in
early
February
as
Russia
invaded
its
neighbor,
while
commodity
prices
rose,
led
by
soaring
energy
prices.
Rapidly
rising
inflation
marked
the
second
half
of
the
period.
The
Fed
attempted
to
dampen
the
trend
by
raising
rates
five
times
between
March
and
September,
from
a
range
of
0.00
–
0.25%
at
the
beginning
of
the
period
to
3.00%
–
3.25%
as
of
October
31,
2022—its
most
aggressive
series
of
rate
increases
in
decades,
with
further
increases
projected
by
the
end
of
the
year.
Rising
rates
heightened
concerns
that
economic
growth
could
be
undermined
by
anti-inflationary
moves.
The
resulting
risk-off
sentiment
broadly
undermined
equity
markets,
with
defensive,
value-oriented
stocks
strongly
outperforming
more
cyclical,
growth-oriented
shares.
Communication
Services
Lead
the
Equity
Market
Lower
Communication
services
stocks
led
the
Index
lower
as
the
sector
was
viewed
as
both
cyclical
and
interest-rate
sensitive,
with
companies
subject
to
supply-chain
disruptions
and
discretionary
spending
constraints.
Consumer
discretionary
shares
suffered
due
to
rising
input
prices
and
seemingly
intractable
supply-chain
bottlenecks.
Real
estate
underperformed
as
rising
interest
rates
increased
mortgage
expenses
and
dampened
property
sales.
On
the
positive
side,
shares
in
oil
&
natural
gas
exploration
&
production
companies
soared
as
energy
prices
climbed,
with
other
components
of
the
energy
sector—such
as
integrated
oil
&
gas
and
refineries—benefiting
as
well.
Consumer
staples
produced
modest
gains
as
a
value-oriented
sector
that
typically
tends
to
outperform
during
times
of
increasing
economic
stress
and
uncertainty.
Utility
stocks
also
generated
modest
gains
due
to
their
value-oriented
investment
proposition
and
the
ability
of
power
generators
to
insulate
profits
from
rising
input
expenses
by
hedging
energy
costs.
The
fund’s
use
of
derivatives
during
the
period
was
limited
to
futures
contracts
employed
solely
to
offset
the
impact
of
cash
positions,
which
the
fund
holds
pursuant
to
its
operations,
but
the
Index
does
not.
Such
holdings
helped
the
fund
more
closely
match
the
performance
of
the
Index.
Replicating
the
Performance
of
the
Index
In
seeking
to
match
the
performance
of
the
Index,
we
do
not
actively
manage
investments
in
response
to
macroeconomic
trends.
We
note,
however,
that
rising
inflation,
tightening
Fed
policy
and
geopolitical
uncertainties
related
to
the
war
in
Ukraine
are
likely
to
continue
posing
challenges
for
equity
investors
for
the
foreseeable
future.
With
inflation
in
the
United
States
currently
running
well
above
the
Fed’s
2%
target
rate,
the
question
remains
open
as
to
how
soon
the
Fed
can
bring
inflation
under
control,
and
to
what
extent
its
actions
will
slow
economic
growth.
As
always,
we
continue
to
monitor
factors
that
affect
the
fund’s
investments.
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
(continued)
November
15,
2022
1
Total
return
includes
reinvestment
of
dividends
and
any
capital
gains
paid.
A
fund’s
net
asset
value
(NAV)
is
the
sum
of
all
its
assets
less
any
liabilities,
divided
by
the
number
of
shares
outstanding.
ETFs
are
bought
and
sold
at
market
prices,
not
NAV,
therefore
an
investor’s
return
at
market
price
may
differ
from
NAV.
Past
performance
is
no
guarantee
of
future
results.
Share
price,
yield
and
investment
return
fluctuate
such
that
upon
redemption,
fund
shares
may
be
worth
more
or
less
than
their
original
cost.
2
Source:
Morningstar,
Inc.
—
The
Morningstar
®
US
Large
Cap
Index
SM
is
a
float-
adjusted,
market
capitalization-weighted
index
that
is
designed
to
measure
the
performance
of
U.S.
large-capitalization
stocks.
The
Index’s
initial
universe
of
eligible
securities
includes
common
stock,
tracking
stock
and
shares
of
real
estate
investment
trusts
(REITs)
issued
by
U.S.
companies
and
traded
on
the
New
York
Stock
Exchange,
NASDAQ
or
NYSE
Market
LLC.
At
each
reconstitution,
the
initial
universe
is
screened
to
exclude
securities
based
on
the
number
of
non-trading
days
in
the
preceding
quarter
and
trading
volume
during
the
preceding
six-month
period.
Securities
with
more
than
10
non-trading
days
in
the
preceding
quarter,
or
that
have
a
bottom
25%
liquidity
score,
as
ranked
by
the
index
provider
based
on
the
preceding
six-month
trading
volume,
are
excluded.
The
remaining
securities
comprise
the
investable
universe.
The
Index
is
composed
of
the
securities
of
companies
whose
cumulative
total
market
capitalization
represents
approximately
the
top
70%
of
the
remaining
securities
comprising
the
investable
universe.
Investors
cannot
invest
directly
in
any
index.
Investors
cannot
invest
directly
in
any
index.
3
Morningstar
®
is
a
service
mark
of
Morningstar,
Inc.
and
has
been
licensed
for
use
for
certain
purposes
by
the
Adviser.
The
fund
is
not
sponsored,
endorsed,
sold
or
promoted
by
Morningstar,
and
Morningstar
makes
no
representation
regarding
the
advisability
of
investing
in
the
fund.
ETFs
trade
like
stocks,
are
subject
to
investment
risk,
including
possible
loss
of
principal.
ETF
shares
are
listed
on
an
exchange,
and
shares
are
generally
purchased
and
sold
in
the
secondary
market
at
market
price.
At
times,
the
market
price
may
be
at
a
premium
or
discount
to
the
ETF’s
per
share
NAV.
In
addition,
ETFs
are
subject
to
the
risk
that
an
active
trading
market
for
an
ETF’s
shares
may
not
develop
or
be
maintained.
Buying
or
selling
ETF
shares
on
an
exchange
may
require
payment
of
brokerage
commissions
Equities
are
subject
generally
to
market,
market
sector,
market
liquidity,
issuer
and
investment
style
risks,
among
other
factors,
to
varying
degrees,
all
of
which
are
more
fully
described
in
the
fund’s
prospectus.
Recent
market
risks
include
pandemic
risks
related
to
COVID-19.
The
effects
of
COVID-19
have
contributed
to
increased
volatility
in
global
markets
and
will
likely
affect
certain
countries,
companies,
industries
and
market
sectors
more
dramatically
than
others.
To
the
extent
the
fund
may
overweight
its
investments
in
certain
countries,
companies,
industries
or
market
sectors,
such
positions
will
increase
the
fund's
exposure
to
risk
of
loss
from
adverse
developments
affecting
those
countries,
companies,
industries
or
sectors.
The
fund
may,
but
is
not
required,
to
use
derivative
instruments.
A
small
investment
in
derivatives
could
have
a
potentially
large
impact
on
the
fund’s
performance.
The
use
of
derivatives
involves
risks
different
from,
or
possibly
greater
than,
the
risks
associated
with
investing
directly
in
the
underlying
assets.
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
For
the
period
November
1,
2021,
through
October
31,
2022,
as
provided
by
David
France,
CFA,
Todd
Frysinger,
CFA,
Vlasta
Sheremeta,
CFA,
Michael
Stoll
and
Marlene
Walker
Smith,
Portfolio
Managers
employed
by
the
fund’s
sub-adviser,
Mellon
Investments
Corporation.
Market
and
Fund
Performance
Overview
For
the
12-month
period
ending
October
31,
2022,
the
BNY
Mellon
US
Mid
Cap
Core
Equity
ETF
(the
“fund”)
produced
a
net
asset
value
total
return
of
−15.88%.
1
In
comparison,
the
Morningstar
®
US
Mid
Cap
Index
SM
(the
“Index”),
the
fund’s
benchmark,
returned
−16.02%
for
the
same
period.
2,3
Equities
declined
during
the
reporting
period
under
pressure
from
increasing
inflation,
tightening
central
bank
policies
and
uncertainties
related
to
Russia’s
invasion
of
Ukraine.
The
difference
in
returns
between
the
fund
and
the
Index
resulted
primarily
from
transaction
costs
and
operating
expenses
that
are
not
reflected
in
Index
results.
The
Fund’s
Investment
Approach
The
fund
seeks
to
match
the
performance
of
the
Index.
To
pursue
its
goal,
the
fund
normally
invests
substantially
all
of
its
assets
in
equity
securities
comprising
the
Morningstar
®
US
Mid
Cap
Index
SM
.
The
Index
is
a
float-adjusted,
market
capitalization-weighted
index
designed
to
measure
the
performance
of
U.S.
medium-
capitalization
stocks.
The
Index’s
initial
universe
of
eligible
securities
includes
common
stock,
tracking
stock
and
shares
of
real
estate
investment
trusts
(REITs)
issued
by
U.S.
companies
and
traded
on
the
New
York
Stock
Exchange,
NASDAQ
or
NYSE
Market
LLC.
At
each
reconstitution,
the
initial
universe
is
screened
to
exclude
securities
based
on
the
number
of
non-
trading
days
in
the
preceding
quarter
and
trading
volume
during
the
preceding
six-month
period.
Securities
with
more
than
10
non-trading
days
in
the
preceding
quarter,
or
that
have
a
bottom
25%
liquidity
score,
as
ranked
by
the
Index
provider
based
on
the
preceding
six-month
trading
volume,
are
excluded.
The
remaining
securities
comprise
the
investable
universe.
The
Index
is
composed
of
the
securities
of
companies
whose
cumulative
total
market
capitalization
falls
approximately
between
the
bottom
10%-30%
of
the
remaining
securities
comprising
the
investable
universe.
The
Index
rebalances
quarterly
in
March,
June,
September
and
December,
and
reconstitutes
semi-annually
in
June
and
December.
Increasing
Inflation
and
Slowing
Economic
Growth
Pressure
Equities
U.S.
equities
started
the
reporting
period
on
a
mixed
note.
Concerns
regarding
the
new
COVID-19
Omicron
variant
came
to
the
fore
in
November
2021.
Markets
recovered
in
December
on
continued
economic
growth
and
strong
corporate
earnings
reports,
despite
increasingly
hawkish
rhetoric
from
the
U.S.
Federal
Reserve
(the
“Fed”)
regarding
the
tapering
of
the
Fed’s
asset-purchase
program
in
the
face
of
rising
inflation.
The
start
of
2022
saw
increasingly
aggressive
comments
from
the
Fed
regarding
monetary
tightening,
along
with
rising
tensions
between
Russia
and
Ukraine,
two
major
suppliers
of
energy,
agricultural
products
and
other
natural
resources.
As
a
result,
equity
markets
weakened
in
January,
then
plunged
in
early
February
as
Russia
invaded
its
neighbor,
while
commodity
prices
rose,
led
by
soaring
energy
prices.
Rapidly
rising
inflation
marked
the
second
half
of
the
period.
The
Fed
attempted
to
dampen
the
trend
by
raising
rates
five
times
between
March
and
September,
from
a
range
of
0.00
–
0.25%
at
the
beginning
of
the
period
to
3.00%
–
3.25%
as
of
October
31,
2022—its
most
aggressive
series
of
rate
increases
in
decades,
with
further
increases
projected
by
the
end
of
the
year.
Rising
rates
heightened
concerns
that
economic
growth
could
be
undermined
by
anti-inflationary
moves.
The
resulting
risk-off
sentiment
broadly
undermined
equity
markets,
with
defensive,
value-oriented
stocks
strongly
outperforming
more
cyclical,
growth-oriented
shares.
Communication
Services
Lead
the
Equity
Market
Lower
Communication
services
stocks
led
the
Index
lower
as
the
sector
was
viewed
as
both
cyclical
and
interest-rate
sensitive,
with
companies
subject
to
supply-chain
disruptions
and
discretionary
spending
constraints.
Consumer
discretionary
shares
suffered
due
to
rising
input
prices
and
seemingly
intractable
supply-
chain
bottlenecks.
Information
technology
underperformed
as
investors
turned
away
from
growth-oriented
stocks
in
favor
of
more
defensive
issues.
On
the
positive
side,
shares
in
energy
companies
soared
as
oil
and
gas
prices
climbed.
Consumer
staples
produced
modest
gains
as
a
value-oriented
sector
that
typically
tends
to
outperform
during
times
of
increasing
economic
stress
and
uncertainty.
Utility
stocks
also
generated
modest
gains
due
to
their
value-oriented
investment
proposition
and
the
ability
of
power
generators
to
insulate
profits
from
rising
input
expenses
by
hedging
energy
costs.
The
fund’s
use
of
derivatives
during
the
period
was
limited
to
futures
contracts
employed
solely
to
offset
the
impact
of
cash
positions,
which
the
fund
holds
pursuant
to
its
operations,
but
the
Index
does
not.
Such
holdings
helped
the
fund
more
closely
match
the
performance
of
the
Index.
Replicating
the
Performance
of
the
Index
In
seeking
to
match
the
performance
of
the
Index,
we
do
not
actively
manage
investments
in
response
to
macroeconomic
trends.
We
note,
however,
that
rising
inflation,
tightening
Fed
policy
and
geopolitical
uncertainties
related
to
the
war
in
Ukraine
are
likely
to
continue
posing
challenges
for
equity
investors
for
the
foreseeable
future.
With
inflation
in
the
United
States
currently
running
well
above
the
Fed’s
2%
target
rate,
the
question
remains
open
as
to
how
soon
the
Fed
can
bring
inflation
under
control
and
to
what
extent
its
actions
will
slow
economic
growth.
As
always,
we
continue
to
monitor
factors
that
affect
the
fund’s
investments.
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
(continued)
November
15,
2022
1
Total
return
includes
reinvestment
of
dividends
and
any
capital
gains
paid.
A
fund’s
net
asset
value
(NAV)
is
the
sum
of
all
its
assets
less
any
liabilities,
divided
by
the
number
of
shares
outstanding.
ETFs
are
bought
and
sold
at
market
prices,
not
NAV,
therefore
an
investor’s
return
at
market
price
may
differ
from
NAV.
Past
performance
is
no
guarantee
of
future
results.
Share
price,
yield
and
investment
return
fluctuate
such
that
upon
redemption,
fund
shares
may
be
worth
more
or
less
than
their
original
cost.
2
Source:
Morningstar,
Inc.
—
The
Morningstar
®
US
Mid
Cap
Index
SM
is
a
float-adjusted,
market
capitalization-weighted
index
that
is
designed
to
measure
the
performance
of
U.S.
mid-capitalization
stocks.
The
Index’s
initial
universe
of
eligible
securities
includes
common
stock,
tracking
stock
and
shares
of
real
estate
investment
trusts
(REITs)
issued
by
U.S.
companies
and
traded
on
the
New
York
Stock
Exchange,
NASDAQ
or
NYSE
Market
LLC.
At
each
reconstitution,
the
initial
universe
is
screened
to
exclude
securities
based
on
the
number
of
non-trading
days
in
the
preceding
quarter
and
trading
volume
during
the
preceding
six-month
period.
Securities
with
more
than
10
non-trading
days
in
the
preceding
quarter,
or
that
have
a
bottom
25%
liquidity
score,
as
ranked
by
the
Index
provider
based
on
the
preceding
six-month
trading
volume,
are
excluded.
The
remaining
securities
comprise
the
investable
universe.
The
Index
is
composed
of
the
securities
of
companies
whose
cumulative
total
market
capitalization
falls
approximately
between
the
bottom
10%-30%
of
the
remaining
securities
comprising
the
investable
universe.
Investors
cannot
invest
directly
in
any
index.
3
Morningstar
®
is
a
service
mark
of
Morningstar,
Inc.
and
has
been
licensed
for
use
for
certain
purposes
by
the
Adviser.
The
fund
is
not
sponsored,
endorsed,
sold
or
promoted
by
Morningstar,
and
Morningstar
makes
no
representation
regarding
the
advisability
of
investing
in
the
fund.
ETFs
trade
like
stocks,
are
subject
to
investment
risk,
including
possible
loss
of
principal.
ETF
shares
are
listed
on
an
exchange,
and
shares
are
generally
purchased
and
sold
in
the
secondary
market
at
market
price.
At
times,
the
market
price
may
be
at
a
premium
or
discount
to
the
ETF’s
per
share
NAV.
In
addition,
ETFs
are
subject
to
the
risk
that
an
active
trading
market
for
an
ETF’s
shares
may
not
develop
or
be
maintained.
Buying
or
selling
ETF
shares
on
an
exchange
may
require
payment
of
brokerage
commissions.
Equities
are
subject
generally
to
market,
market
sector,
market
liquidity,
issuer
and
investment
style
risks,
among
other
factors,
to
varying
degrees,
all
of
which
are
more
fully
described
in
the
fund’s
prospectus.
Recent
market
risks
include
pandemic
risks
related
to
COVID-19.
The
effects
of
COVID-19
have
contributed
to
increased
volatility
in
global
markets
and
will
likely
affect
certain
countries,
companies,
industries
and
market
sectors
more
dramatically
than
others.
To
the
extent
the
fund
may
overweight
its
investments
in
certain
countries,
companies,
industries
or
market
sectors,
such
positions
will
increase
the
fund's
exposure
to
risk
of
loss
from
adverse
developments
affecting
those
countries,
companies,
industries
or
sectors.
The
prices
of
mid-cap
company
stocks
tend
to
be
more
volatile
than
the
prices
of
large
company
stocks,
mainly
because
these
companies
have
less
established
and
more
volatile
earnings
histories.
They
also
tend
to
be
less
liquid
than
larger
company
stocks.
The
fund
may,
but
is
not
required,
to
use
derivative
instruments.
A
small
investment
in
derivatives
could
have
a
potentially
large
impact
on
the
fund’s
performance.
The
use
of
derivatives
involves
risks
different
from,
or
possibly
greater
than,
the
risks
associated
with
investing
directly
in
the
underlying
assets.
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
For
the
period
November
1,
2021,
through
October
31,
2022,
as
provided
by
David
France,
CFA,
Todd
Frysinger,
CFA,
Vlasta
Sheremeta,
CFA,
Michael
Stoll
and
Marlene
Walker
Smith,
Portfolio
Managers
employed
by
the
fund’s
sub-adviser,
Mellon
Investments
Corporation.
Market
and
Fund
Performance
Overview
For
the
12-month
period
ending
October
31,
2022,
the
BNY
Mellon
US
Small
Cap
Core
Equity
ETF
(the
“fund”)
produced
a
net
asset
value
total
return
of
−17.45%.
1
In
comparison,
the
Morningstar
®
US
Small
Cap
Index
SM
(the
“Index”),
the
fund’s
benchmark,
produced
a
return
of
−17.47%
for
the
same
period.
2,3
Equities
declined
during
the
reporting
period
under
pressure
from
increasing
inflation,
tightening
central
bank
policies
and
uncertainties
related
to
Russia’s
invasion
of
Ukraine.
The
difference
in
returns
between
the
fund
and
the
Index
resulted
primarily
from
transaction
costs
and
operating
expenses
that
are
not
reflected
in
Index
results.
The
Fund’s
Investment
Approach
The
fund
seeks
to
match
the
performance
of
the
Index.
To
pursue
its
goal,
the
fund
normally
invests
substantially
all
of
its
assets
in
equity
securities
comprising
the
Index.
The
Index
is
a
float-adjusted,
market
capitalization-weighted
index
designed
to
measure
the
performance
of
U.S.
small-
capitalization
stocks.
The
Index’s
initial
universe
of
eligible
securities
includes
common
stock,
tracking
stock
and
shares
of
real
estate
investment
trusts
(REITs)
issued
by
U.S.
companies
and
traded
on
the
New
York
Stock
Exchange,
NASDAQ
or
NYSE
Market
LLC.
At
each
reconstitution,
the
initial
universe
is
screened
to
exclude
securities
based
on
the
number
of
non-
trading
days
in
the
preceding
quarter
and
trading
volume
during
the
preceding
six-month
period.
Securities
with
more
than
10
non-trading
days
in
the
preceding
quarter,
or
that
have
a
bottom
25%
liquidity
score,
as
ranked
by
the
Index
provider
based
on
the
preceding
six-month
trading
volume,
are
excluded.
The
remaining
securities
comprise
the
investable
universe.
The
Index
is
composed
of
the
securities
of
companies
whose
cumulative
total
market
capitalization
represents
approximately
the
bottom
3%-10%
of
the
remaining
securities
comprising
the
investable
universe.
The
Index
rebalances
quarterly
in
March,
June,
September
and
December,
and
reconstitutes
semi-annually
in
June
and
December.
Increasing
Inflation
and
Slowing
Economic
Growth
Pressure
Equities
U.S.
equities
started
the
reporting
period
on
a
mixed
note.
Concerns
regarding
the
new
COVID-19
Omicron
variant
came
to
the
fore
in
November
2021.
Markets
recovered
in
December
on
continued
economic
growth
and
strong
corporate
earnings
reports,
despite
increasingly
hawkish
rhetoric
from
the
U.S.
Federal
Reserve
(the
“Fed”)
regarding
the
tapering
of
the
Fed’s
asset-purchase
program
in
the
face
of
rising
inflation.
The
start
of
2022
saw
increasingly
aggressive
comments
from
the
Fed
regarding
monetary
tightening,
along
with
rising
tensions
between
Russia
and
Ukraine,
two
major
suppliers
of
energy,
agricultural
products
and
other
natural
resources.
As
a
result,
equity
markets
weakened
in
January,
then
plunged
in
early
February
as
Russia
invaded
its
neighbor,
while
commodity
prices
rose,
led
by
soaring
energy
prices.
Rapidly
rising
inflation
marked
the
second
half
of
the
period.
The
Fed
attempted
to
dampen
the
trend
by
raising
rates
five
times
between
March
and
September,
from
a
range
of
0.00
–
0.25%
at
the
beginning
of
the
period
to
3.00%
–
3.25%
as
of
October
31,
2022—its
most
aggressive
series
of
rate
increases
in
decades,
with
further
increases
projected
by
the
end
of
the
year.
Rising
rates
heightened
concerns
that
economic
growth
could
be
undermined
by
anti-inflationary
moves.
The
resulting
risk-off
sentiment
broadly
undermined
equity
markets,
with
defensive,
value-oriented
stocks
strongly
outperforming
more
cyclical,
growth-oriented
shares.
Communication
Services
Lead
the
Equity
Market
Lower
The
information
technology
sector,
which
includes
many
of
the
fastest
growing
companies
in
the
Index,
led
the
market
lower
as
investors
turned
away
from
growth-oriented
stocks
in
favor
of
more
defensive
issues.
Communications
services
underperformed
as
well
as
the
sector
was
viewed
as
both
cyclical
and
interest-rate
sensitive,
with
companies
subject
to
supply-
chain
disruptions
and
discretionary
spending
constraints.
Health
care
companies
saw
declining
revenues
from
pandemic-related
testing
and
immunization,
leading
to
lower
share
prices.
On
the
positive
side,
shares
in
oil
&
gas
exploration
&
production
companies
soared
as
commodity
prices
climbed.
Utility
stocks
also
generated
modest
gains
due
to
their
value-oriented
investment
proposition
and
the
ability
of
power
generators
to
insulate
profits
from
rising
input
expenses
by
hedging
energy
costs.
Consumer
staples
declined
slightly
but
outperformed
the
market
average
as
a
value-oriented
sector
that
typically
tends
to
perform
relatively
well
during
times
of
increasing
economic
stress
and
uncertainty.
The
fund’s
use
of
derivatives
during
the
period
was
limited
to
futures
contracts
employed
solely
to
offset
the
impact
of
cash
positions,
which
the
fund
holds
pursuant
to
its
operations,
but
the
Index
does
not.
Such
holdings
helped
the
fund
more
closely
match
the
performance
of
the
Index.
Replicating
the
Performance
of
the
Index
In
seeking
to
match
the
performance
of
the
Index,
we
do
not
actively
manage
investments
in
response
to
macroeconomic
trends.
We
note,
however,
that
rising
inflation,
tightening
Fed
policy
and
geopolitical
uncertainties
related
to
the
war
in
Ukraine
are
likely
to
continue
posing
challenges
for
equity
investors
for
the
foreseeable
future.
With
inflation
in
the
United
States
currently
running
well
above
the
Fed’s
2%
target
rate,
the
question
remains
open
as
to
how
soon
the
Fed
can
bring
inflation
under
control
and
to
what
extent
its
actions
will
slow
economic
growth.
As
always,
we
continue
to
monitor
factors
that
affect
the
fund’s
investments.
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
(continued)
November
15,
2022
1
Total
return
includes
reinvestment
of
dividends
and
any
capital
gains
paid.
A
fund’s
net
asset
value
(NAV)
is
the
sum
of
all
its
assets
less
any
liabilities,
divided
by
the
number
of
shares
outstanding.
ETFs
are
bought
and
sold
at
market
prices,
not
NAV,
therefore
an
investor’s
return
at
market
price
may
differ
from
NAV.
Past
performance
is
no
guarantee
of
future
results.
Share
price,
yield
and
investment
return
fluctuate
such
that
upon
redemption,
fund
shares
may
be
worth
more
or
less
than
their
original
cost.
2
Source:
Morningstar,
Inc.
—
The
Morningstar
®
US
Small
Cap
Index
SM
is
a
float-
adjusted,
market
capitalization-weighted
index
that
is
designed
to
measure
the
performance
of
U.S.
small-capitalization
stocks.
The
Index’s
initial
universe
of
eligible
securities
includes
common
stock,
tracking
stock
and
shares
of
real
estate
investment
trusts
(REITs)
issued
by
U.S.
companies
and
traded
on
the
New
York
Stock
Exchange,
NASDAQ
or
NYSE
Market
LLC.
At
each
reconstitution,
the
initial
universe
is
screened
to
exclude
securities
based
on
the
number
of
non-trading
days
in
the
preceding
quarter
and
trading
volume
during
the
preceding
six-month
period.
Securities
with
more
than
10
non-trading
days
in
the
preceding
quarter,
or
that
have
a
bottom
25%
liquidity
score,
as
ranked
by
the
Index
provider
based
on
the
preceding
six-month
trading
volume,
are
excluded.
The
remaining
securities
comprise
the
investable
universe.
The
Index
is
composed
of
the
securities
of
companies
whose
cumulative
total
market
capitalization
represents
approximately
the
bottom
3%-10%
of
the
remaining
securities
comprising
the
investable
universe.
Investors
cannot
invest
directly
in
any
index.
3
Morningstar
®
is
a
service
mark
of
Morningstar,
Inc.
and
has
been
licensed
for
use
for
certain
purposes
by
the
Adviser.
The
fund
is
not
sponsored,
endorsed,
sold
or
promoted
by
Morningstar,
and
Morningstar
makes
no
representation
regarding
the
advisability
of
investing
in
the
fund.
ETFs
trade
like
stocks,
are
subject
to
investment
risk,
including
possible
loss
of
principal.
ETF
shares
are
listed
on
an
exchange,
and
shares
are
generally
purchased
and
sold
in
the
secondary
market
at
market
price.
At
times,
the
market
price
may
be
at
a
premium
or
discount
to
the
ETF’s
per
share
NAV.
In
addition,
ETFs
are
subject
to
the
risk
that
an
active
trading
market
for
an
ETF’s
shares
may
not
develop
or
be
maintained.
Buying
or
selling
ETF
shares
on
an
exchange
may
require
payment
of
brokerage
commissions.
Equities
are
subject
generally
to
market,
market
sector,
market
liquidity,
issuer
and
investment
style
risks,
among
other
factors,
to
varying
degrees,
all
of
which
are
more
fully
described
in
the
fund’s
prospectus.
Recent
market
risks
include
pandemic
risks
related
to
COVID-19.
The
effects
of
COVID-19
have
contributed
to
increased
volatility
in
global
markets
and
will
likely
affect
certain
countries,
companies,
industries
and
market
sectors
more
dramatically
than
others.
To
the
extent
the
fund
may
overweight
its
investments
in
certain
countries,
companies,
industries
or
market
sectors,
such
positions
will
increase
the
fund's
exposure
to
risk
of
loss
from
adverse
developments
affecting
those
countries,
companies,
industries
or
sectors.
The
prices
of
small
company
stocks
tend
to
be
more
volatile
than
the
prices
of
large
company
stocks,
mainly
because
these
companies
have
less
established
and
more
volatile
earnings
histories.
They
also
tend
to
be
less
liquid
than
larger
company
stocks.
The
fund
may,
but
is
not
required,
to
use
derivative
instruments.
A
small
investment
in
derivatives
could
have
a
potentially
large
impact
on
the
fund’s
performance.
The
use
of
derivatives
involves
risks
different
from,
or
possibly
greater
than,
the
risks
associated
with
investing
directly
in
the
underlying
assets.
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
For
the
period
November
1,
2021,
through
October
31,
2022,
as
provided
by
David
France,
CFA,
Todd
Frysinger,
CFA,
Vlasta
Sheremeta,
CFA,
Michael
Stoll
and
Marlene
Walker
Smith,
Portfolio
Managers
employed
by
the
fund’s
sub-adviser,
Mellon
Investments
Corporation.
Market
and
Fund
Performance
Overview
For
the
12-month
period
ending
October
31,
2022,
the
BNY
Mellon
International
Equity
ETF
(the
“fund”)
produced
a
total
return
of
−21.49%.
1
This
compares
with
a
−21.51%
total
return
for
the
fund’s
benchmark,
the
Morningstar
®
Developed
Markets
ex-US
Large
Cap
Index
SM
(the
“Index”),
during
the
same
period.
2,3
International
equities
declined
during
the
reporting
period
under
pressure
from
increasing
inflation,
tightening
central
bank
policies
and
uncertainties
related
to
Russia’s
invasion
of
Ukraine.
The
difference
in
returns
between
the
fund
and
the
Index
resulted
primarily
from
transaction
costs
and
operating
expenses
that
are
not
reflected
in
Index
results.
The
Fund’s
Investment
Approach
The
fund
seeks
to
track
the
performance
of
the
Index.
To
pursue
its
goal,
the
fund
normally
invests
substantially
all
of
its
assets
in
equity
securities
comprising
the
Index,
depositary
receipts
based
on
securities
comprising
the
Index,
exchange-traded
funds
(ETFs)
providing
exposure
to
such
securities,
and
derivatives
with
economic
characteristics
similar
to
such
securities
or
the
Index.
The
fund’s
derivatives
investments
may
include
futures,
currency
forwards,
total
return
swaps
and
structured
notes.
The
Index
is
a
float-adjusted,
market
capitalization-weighted
index
designed
to
measure
the
performance
of
developed-
market
(excluding
the
United
States)
large-capitalization
stocks.
The
Index’s
initial
universe
of
eligible
securities
includes
equity
securities
(including
common
stock,
preferred
stock
and
shares
of
real
estate
investment
trusts
(REITs)),
issued
by
developed-
market
companies
(excluding
the
United
States)
and
traded
on
a
major
foreign
exchange.
At
each
reconstitution,
the
initial
universe
is
screened
to
exclude
securities
based
on
the
number
of
non-trading
days,
trading
volume
and
turnover
during
the
preceding
six-month
period,
and
market
capitalization.
The
Index
rebalances
quarterly
in
March,
June,
September
and
December,
and
reconstitutes
semi-annually
in
June
and
December.
Equities
Decline
as
Inflation
Mounts
International
developed-market
equities
encountered
challenging
conditions
from
the
start
of
the
reporting
period
as
inflationary
pressures
put
a
damper
on
markets.
Commodity
prices
rose
in
response
to
wage
increases
and
pandemic-related
supply-chain
bottlenecks,
while
government
stimulus
and
accommodative
monetary
policies
pressured
prices
as
well.
Central
banks
responded
with
increasingly
hawkish
rhetoric
regarding
interest-
rate
increases.
The
Bank
of
England
took
the
lead
in
December
2021
with
a
0.15%
increase
of
the
base
rate
to
0.25%.
That
same
month,
the
U.S.
Federal
Reserve
(the
“Fed”)
announced
its
intention
to
scale
back
its
asset
purchases
earlier
in
2022
than
previously
planned
and
signaled
a
more
rapid
increase
in
interest
rates
in
the
coming
year.
Inflationary
forces
were
exacerbated
by
the
Russian
invasion
of
Ukraine
in
early
2022.
As
the
largest
land
war
in
Europe
since
World
War
II
continued
with
no
sign
of
an
early
resolution,
European
markets
began
contemplating
the
possibility
of
reduced
or
curtailed
oil
and
natural
gas
exports
from
Russia,
a
leading
source
of
energy
commodities
to
the
continent.
Energy
costs,
already
at
elevated
levels,
spiked
higher,
along
with
prices
of
crucial
agricultural
chemicals
and
industrial
metals.
As
inflation
heated
up,
central
banks
responded
with
increasingly
tight
monetary
policies,
raising
the
specter
of
a
possible
global
recession.
While
stocks
in
energy
producers
surged
along
with
oil
and
gas
prices,
all
other
sectors
lost
ground.
Growth-oriented
shares
suffered
particularly
sharp
losses
as
the
threat
of
rising
interest
rates
caused
investors
to
question
the
pace
of
future
growth
and
the
relative
value
of
future
earnings.
Information
technology,
real
estate
and
consumer
discretionary
stocks
experienced
the
most
significant
declines,
while
the
traditionally
more
defensive
health
care
and
consumer
staples
sectors
outperformed
the
market
average.
Economic
Ties
to
Russia
and
China
Detract
From
a
regional
perspective,
Western
European
stocks
broadly
lost
ground
due
to
the
region’s
proximity
to
the
Russia/Ukraine
conflict
and
its
dependence
on
Russian
energy
exports.
Poland,
Austria,
the
Netherlands
and
Germany
were
hit
particularly
hard
by
the
impact
of
the
war
on
their
domestic
economies.
Most
Asian
markets
were
hard
hit
as
well.
Japan
saw
its
currency
decline
as
the
country
continued
to
experience
long-standing
structural
difficulties
caused
by
its
aging
population
and
anemic
growth
rate.
Hong
Kong
and
South
Korea
were
negatively
affected
by
the
prevailing,
global
inflationary
environment
and
by
their
proximity
and
economic
ties
to
China,
which
experienced
sharply
slowing
economic
growth
due
to
extensive
COVID-19
lockdowns
and
government
regulatory
crackdowns
on
several
key
industries.
On
the
other
hand,
a
few
individual
country
markets
performed
relatively
well.
The
Singapore
market
benefited
from
its
lack
of
technology
exposure
and
a
comparatively
heavy
weighting
in
financials
and
value-oriented
shares.
The
Norway
market
included
a
large
component
of
energy
producers,
bolstering
the
country’s
average
returns.
Portugal
saw
relatively
little
impact
from
the
Russia-Ukraine
conflict
compared
with
its
European
neighbors.
Australian
shares
were
buoyed
by
the
country’s
significant
commodity
exports.
The
fund’s
use
of
derivatives
during
the
period
was
limited
to
futures
contracts
employed
solely
to
offset
the
impact
of
cash
positions,
which
the
fund
holds
pursuant
to
its
operations,
but
the
Index
does
not.
Such
holdings
helped
the
fund
more
closely
match
the
performance
of
the
Index.
Replicating
the
Performance
of
the
Index
In
seeking
to
match
the
performance
of
the
Index,
we
do
not
actively
manage
investments
in
response
to
macroeconomic
trends.
We
note,
however,
that
rising
inflation,
tightening
central
bank
policy
and
geopolitical
uncertainties
related
to
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
(continued)
the
war
in
Ukraine
are
likely
to
continue
posing
challenges
for
equity
investors
for
the
foreseeable
future.
With
global
inflation
running
higher
than
most
central
banks
are
willing
to
tolerate,
the
question
remains
open
as
to
how
soon
fiscal
authorities
can
bring
inflation
under
control,
and
to
what
extent
their
actions
will
slow
economic
growth.
As
always,
we
continue
to
monitor
factors
that
affect
the
fund’s
investments.
November
15,
2022
1
Total
return
includes
reinvestment
of
dividends
and
any
capital
gains
paid.
A
fund’s
net
asset
value
(NAV)
is
the
sum
of
all
its
assets
less
any
liabilities,
divided
by
the
number
of
shares
outstanding.
ETFs
are
bought
and
sold
at
market
prices,
not
NAV,
therefore
an
investor’s
return
at
market
price
may
differ
from
NAV.
Past
performance
is
no
guarantee
of
future
results.
Share
price,
yield
and
investment
return
fluctuate
such
that
upon
redemption,
fund
shares
may
be
worth
more
or
less
than
their
original
cost.
2
Source:
Morningstar
Inc.
—
The
Morningstar
®
Developed
Markets
ex-US
Large
Cap
Index
SM
is
a
float-adjusted,
market
capitalization-weighted
index
designed
to
measure
the
performance
of
developed-market
(excluding
the
United
States)
large-capitalization
stocks.
A
country
is
considered
developed
if
it
meets
the
following
criteria:
(i)
its
annual
per
capita
gross
national
income
falls
in
the
World
Bank’s
high-income
category
for
the
most
recent
three
years;
(ii)
it