Table of Contents

 

Performance Overview  
RiverFront Dynamic Core Income ETF 1
RiverFront Dynamic US Dividend Advantage ETF 4
RiverFront Dynamic US Flex-Cap ETF 7
RiverFront Strategic Income Fund 10
Disclosure of Fund Expenses 13
Report of Independent Registered Public Accounting Firm 14
Financial Statements  
Schedule of Investments  
RiverFront Dynamic Core Income ETF 15
RiverFront Dynamic US Dividend Advantage ETF 19
RiverFront Dynamic US Flex-Cap ETF 21
RiverFront Strategic Income Fund 23
Statement of Assets and Liabilities 26
Statement of Operations 27
Statements of Changes in Net Assets  
RiverFront Dynamic Core Income ETF 28
RiverFront Dynamic US Dividend Advantage ETF 29
RiverFront Dynamic US Flex-Cap ETF 30
RiverFront Strategic Income Fund 31
Financial Highlights 32
Notes to Financial Statements 36
Additional Information 44
Board Considerations Regarding Approval of Investment Advisory Agreement and Investment Sub-Advisory Agreements 45
Trustees & Officers 47

 

alpsfunds.com

 
 

RiverFront Dynamic Core Income ETF  
Performance Overview November 30, 2021 (Unaudited)

 

Investment Objective

RiverFront Dynamic Core Income ETF (the “Fund” or "RFCI") seeks total return, with an emphasis on income as the source of that total return. The Fund seeks to achieve its investment objective by investing in a global portfolio of fixed income securities of various maturities, ratings and currency denominations.

 

Market Recap

The fiscal year ended November 30, 2021 was a year of recovery for the global equity markets. Early into the fiscal year, the release of COVID-19 vaccines caused a global equity rally, led by value stocks. Both developed international equities and emerging international equities outperformed US equities during this rally but began to lose their momentum halfway through February 2021. Emerging markets, specifically, saw a large draw down from mid-February through March; this drawdown was caused in large part due to concerns surrounding China’s growth prospects. These concerns, amplified by political questions surrounding China, would continue to affect performance in the fiscal year, with emerging markets posting negative performance from June through the end of October.

 

In the developed world, the United States was able to outperform developed international markets. Despite lagging value stocks in the first quarter of the fiscal year, US growth stocks out-performed value for the fiscal year, leading the way within the broad US large cap asset class. For developed international stocks, the value rotation slowed, but never stopped, with growth stock pacing the broad market throughout the fiscal year.

 

Looking in the rear-view mirror, fixed income markets were volatile in 2021. After beginning the calendar year with the 10-year Treasury bonds yielding just .93%, yields quickly rose as the economy accelerated after Fed stimulus through quantitative easing and government transfer payments. Yields peaked at 1.74% at the end of March, and then traded within a 60-basis point range. With Treasury bond yields low, the funds used a combination of investment grade and high yield credit to generate income, while maintaining a short duration strategy versus the Bloomberg Aggregate Bond Index. The Fund’s duration was kept shorter due to the anticipation reducing bond purchases through its quantitative easing program in addition to inflation expectations increasing.

 

2021 Performance Attribution

Broadly, RFCI underperformed its benchmark for the 12-month period ending November 30, 2021. The underperformance was primarily due to the Fund’s selection within investment grade bonds.

 

Negative Contributors:

Selection within Treasuries: The Fund’s Treasury bond holdings had longer maturities than those in the benchmark and underperformed as interest rates rose throughout the period.
Allocation to Mortgage-backed Securities (MBS): The Fund had no exposure to MBS during this period and MBS outperformed Treasuries.

 

Positive Contributors:

Allocation to credit: The Fund’s overweight to corporate bonds relative to Treasuries, agencies, and mortgages was additive during the period, as credit spreads tightened.
Allocation to Treasuries: The Fund’s underweight to Treasuries had a positive effect on performance, as interest rates moved higher over the period.

 

2022 Outlook

While Riverfront understands and partially shares the worries surrounding rising debt and inflation that contributed to a flat to negative global stock market in the third quarter, RiverFront believes that stocks and commodities will remain the highest performing asset classes. These assets provide more potential for capital appreciation to offset inflation and higher taxes than ‘stable assets’ like cash, CDs, and bonds. In the US, RiverFront prefers to play the equity markets using a barbell approach to growth and value. RiverFront favors growth, mega-cap stocks, specifically those that lean towards software and services, while also selectively investing in more cyclical, value stocks. This approach allows RiverFront’s portfolios to have proper exposures to both sides of the growth versus value trade, while not overexposing the Fund to low-quality, value names or telecommunication stocks, which RiverFront believes at the aggregate are over-valued.

 

Internationally, RiverFront believes that the potential for a reacceleration in global growth lends itself to value investing. However, RiverFront believes that this excludes developed international energy stocks; it is RiverFront’s view that these stocks are worse positioned to take advantage of high oil prices than their US or emerging counterparts. From a country standpoint, RiverFront prefers the United Kingdom, France, Germany, and Japan, with a partially hedged position in yen and euro denominated assets. In emerging markets, RiverFront’s highest conviction is an underweight to China. RiverFront believes that the Chinese Communist Party's recent actions have signaled an aversion to free market economics that RiverFront believes are required to be a viable investment. As such, Riverfront has allocated capital away from Chinese equites toward South Korea and Saudi Arabian energy equities.

 

Heading into 2022, RiverFront believes the Fed will accelerate its tapering of bond purchases to help slow inflation. RiverFront expects inflation to peak in the first half of the year, thus limiting the upside pressure on yields. RiverFront’s base case for the 10-year Treasury bond is for it to reach 2% by the end of the calendar year. Given the low level of yields going into the new year RiverFront believes that there will be little price appreciation in bonds, with most of the total return coming from income. Therefore, the Fund will look to out yield the benchmark by owning short and intermediate corporate bonds, high yield, and bank loans in combination with long duration Treasuries to act as a shock absorber in case of risk off events.

1 | November 30, 2021

 

RiverFront Dynamic Core Income ETF  
Performance Overview November 30, 2021 (Unaudited)

 

Performance (as of November 30, 2021)

 

  1 Year 5 Year Since Inception^
RiverFront Dynamic Core Income ETF – NAV -1.51% 3.12% 2.51%
RiverFront Dynamic Core Income ETF – Market Price* -1.43% 3.08% 2.50%
Bloomberg U.S. Aggregate Bond Total Return Index -1.15% 3.65% 2.96%

 

Total Expense Ratio (per the current prospectus) is 0.54%.

 

Performance data quoted represents past performance. Past performance does not guarantee future results. Total return figures assume reinvestment of dividends and capital gains distributions, if any. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. For the most current month-end performance data please visit www.alpsfunds.com or call 1.866.759.5679.

 

NAV is an exchange-traded fund’s per-share value. The per-share dollar amount of the fund is derived by dividing the total value of all the securities in its portfolio, less any liabilities, by the number of fund shares outstanding. Market Price is the price at which a share can currently be traded in the market. Information detailing the number of days the Market Price of the Fund was greater than the Fund’s NAV and the number of days it was less than the Fund’s NAV can be obtained at www.alpsfunds.com.

 

^ The Fund commenced operations on June 14, 2016.
* Market Price means the official closing price of a share or, if it more accurately reflects the market value of a share at the time as of which the Fund calculates current net asset value per share, the price that is the midpoint of the bid-ask spread as of that time. It does not represent the returns an investor would receive if shares were traded at other times.

 

Bloomberg U.S. Aggregate Bond Total Return Index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS (agency and non-agency). The index is reported on a total return basis, which assumes reinvestment of any dividends and distributions realized during a given time period. The index is not actively managed and does not reflect any deductions for fees, expenses or taxes. One cannot invest directly in an index. Index performance does not reflect fund performance.

 

The RiverFront Dynamic Core Income ETF is not suitable for all investors. Investments in the Fund are subject to investment risks, including possible loss of the principal amount invested.

 

The Fund’s shares are not individually redeemable. Investors buy and sell shares of the Fund on a secondary market. Only market makers or “authorized participants” may trade directly with the Fund, typically in blocks of 25,000 shares.

 

ALPS Portfolio Solutions Distributor, Inc., a FINRA member, is the Distributor for the RiverFront Dynamic Core Income ETF.

2 | November 30, 2021

 

RiverFront Dynamic Core Income ETF  
Performance Overview November 30, 2021 (Unaudited)

 

Top 10 Holdings*^ (as of November 30, 2021)

 

United States Treasury Bond 02/15/2028 2.75% 6.49%
United States Treasury Bond 02/15/2041 1.88% 5.40%
United States Treasury Bond 02/15/2051 1.88% 3.98%
United States Treasury Note 10/31/2025 3.00% 3.22%
Broadcom, Inc. 11/15/2035 3.14% 2.02%
Marathon Oil Corp. 07/15/2027 4.40% 2.01%
Ford Motor Co. 04/22/2030 9.63% 1.98%
Iron Mountain, Inc. 09/15/2027 4.88% 1.97%
United States Treasury Note 10/31/2031 2.88% 1.86%
United States Treasury Bond 08/15/2051 2.00% 1.79%
Total % of Top 10 Holdings 30.72%

 

* % of Total Investments.
^ Excludes Money Market Fund

 

Future holdings are subject to change.

 

Growth of $10,000 (as of November 30, 2021)

  

Comparison of Change in Value of $10,000 Investment in the Fund and the Fund’s benchmark

 

 

The chart above compares historical performance of a hypothetical investment of $10,000 in the Fund since inception with the performance of the Fund’s benchmark index. Results include the reinvestment of all dividends and capital gains distributions. Past performance does not guarantee future results. The graph does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

3 | November 30, 2021

 

RiverFront Dynamic US Dividend Advantage ETF
Performance Overview November 30, 2021 (Unaudited)

 

Investment Objective

RiverFront Dynamic US Dividend Advantage ETF (the “Fund” or "RFDA") seeks to provide capital appreciation and dividend income. Under normal market conditions, the Fund seeks to achieve its investment objective by investing at least 65% of its net assets in a portfolio of equity securities of publicly traded U.S. companies with the potential for dividend income. Equity securities include common stocks and common or preferred shares of real estate investment trusts (“REITs”).

 

Market Recap

The fiscal year ended November 30, 2021 was a year of recovery for the global equity markets. Early into the fiscal year, the release of COVID-19 vaccines caused a global equity rally, led by value stocks. Both developed international equities and emerging international equities outperformed US equities during this rally but began to lose their momentum halfway through February 2021. Emerging markets, specifically, saw a large draw down from mid-February through March; this drawdown was caused in large part due to concerns surrounding China’s growth prospects. These concerns, amplified by political questions surrounding China, would continue to affect performance in the fiscal year, with emerging markets posting negative performance from June through the end of October.

 

In the developed world, the United States was able to outperform developed international. Despite lagging value stocks in the first quarter of the fiscal year, US growth stocks out-performed value for the fiscal year, leading the way within the broad US large cap asset class. For developed international stocks, the value rotation slowed, but never stopped, with growth stock pacing the broad market throughout the fiscal year.

 

Looking in the rear-view mirror, fixed income markets were volatile in 2021. After beginning the calendar year with the 10-year Treasury bonds yielding just .93%, yields quickly rose as the economy accelerated after Fed stimulus through quantitative easing and government transfer payments. Yields peaked at 1.74% at the end of March, and then traded within a 60-basis point range. With Treasury bond yields low, the Fund used a combination of investment grade and high yield credit to generate income, while maintaining a short duration strategy versus the Bloomberg Aggregate Bond Index. The Fund’s duration was kept shorter due to the anticipation reducing bond purchases through its quantitative easing program in addition to inflation expectations increasing.

 

2021 Performance Attribution

Broadly, RFDA underperformed its benchmark for the 12-month period ending November 30, 2021. The underperformance was primarily due to the Fund’s selection decisions.

 

1. Sector Allocation: The sector allocations in RFDA are determined through a bottoms-up process that ranks stocks on three fundamental cornerstones: value, quality and momentum/sentiment. If a sector produces more highly ranked stocks relative to another sector, that sector’s allocation is allowed to exceed its benchmark by a tolerable level, and vice versa. Sector allocation was a slightly negative contributor for RFDA in FY 2021.

 

a. Positive contributors: The underweights to utilities and healthcare were positive contributors.

 

b. Negative contributors: The portfolio’s underweights to consumer cyclicals and its over-weights to consumer non-cyclicals dampened relative performance.

 

2. Security Selection: The investment selection process behind RFDA is built on making a number of security selection choices. This means that there are rarely just one or two things contributing to the returns in the fund. In FY 2021, Riverfront's equity selection posted negative results in aggregate. A few of the top themes that contributed most to performance in the year were:

 

a. Positive contributors: Security selection in healthcare and consumer services were additive.

 

b. Negative contributors: Security selection in business services, non-energy materials and consumer cyclicals detracted from performance.

 

2022 Outlook

While Riverfront understands and partially shares the worries surrounding rising debt and inflation that contributed to a flat to negative global stock market in the third quarter, Riverfront believes that stocks and commodities will remain the highest performing asset classes. These assets provide more potential for capital appreciation to offset inflation and higher taxes than ‘stable assets’ like cash, CDs, and bonds. In the US, RiverFront prefers to play the equity markets using a barbell approach to growth and value. Riverfront favors growth, mega-cap stocks, specifically those that lean towards software and services, while also selectively investing in more cyclical, value stocks. This approach allows Riverfront’s portfolios to have proper exposures to both sides of the growth versus value trade, while not overexposing us to low-quality, value names or telecommunication stocks, which RiverFront believes at the aggregate are over-valued.

 

Internationally, RiverFront believes that the potential for a reacceleration in global growth lends itself to value investing. However, Riverfront believes that this excludes developed international energy stocks; it is Riverfront’s view that these stocks are less positioned to take advantage of high oil prices than their US or emerging counterparts. From a country standpoint, RiverFront prefers the United Kingdom, France, Germany, and Japan, with a partially hedged position in yen and euro denominated assets. In emerging markets, RiverFront’s highest conviction is an underweight to China. Riverfront believes that the Chinese Communist Party's recent actions have signaled an aversion to free market economics that we believe are required to be a viable investment. As such, Riverfront has allocated capital away from Chinese equites toward South Korea and Saudi Arabian energy equities.

4 | November 30, 2021

 

RiverFront Dynamic US Dividend Advantage ETF  
Performance Overview November 30, 2021 (Unaudited)

 

Heading into 2022, RiverFront believes the Fed will accelerate its tapering of bond purchases to help slow inflation. RiverFront expects inflation to peak in the first half of the year, thus limiting the upside pressure on yields. RiverFront’s base case for the 10-year Treasury bond is for it to reach 2% by the end of the calendar year. Given the low level of yields going into the new year RiverFront believes that there will be little price appreciation in bonds, with most of the total return coming from income.

 

Performance (as of November 30, 2021)

 

  1 Year 5 Year Since Inception^
RiverFront Dynamic US Dividend Advantage ETF – NAV 23.13% 13.19% 13.28%
RiverFront Dynamic US Dividend Advantage ETF – Market Price* 23.19% 13.18% 13.29%
S&P 500® Total Return Index 27.92% 17.90% 17.31%

 

Total Expense Ratio (per the current prospectus) is 0.52%.

 

Performance data quoted represents past performance. Past performance does not guarantee future results. Total return figures assume reinvestment of dividends and capital gains distributions, if any. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. For the most current month-end performance data please visit www.alpsfunds.com or call 1.866.759.5679.

 

NAV is an exchange-traded fund’s per-share value. The per-share dollar amount of the fund is derived by dividing the total value of all the securities in its portfolio, less any liabilities, by the number of fund shares outstanding. Market Price is the price at which a share can currently be traded in the market. Information detailing the number of days the Market Price of the Fund was greater than the Fund’s NAV and the number of days it was less than the Fund’s NAV can be obtained at www.alpsfunds.com.

 

^ The Fund commenced operations on June 7, 2016.

* Market Price means the official closing price of a share or, if it more accurately reflects the market value of a share at the time as of which the Fund calculates current net asset value per share, the price that is the midpoint of the bid-ask spread as of that time. It does not represent the returns an investor would receive if shares were traded at other times.

 

S&P 500® Total Return Index is the Standard & Poor’s composite index of 500 stocks, a widely recognized, unmanaged index of common stock prices. The index is reported on a total return basis, which assumes reinvestment of any dividends and distributions realized during a given time period. The index is not actively managed and does not reflect any deductions for fees, expenses or taxes. One cannot invest directly in an index. Index performance does not reflect fund performance.

 

The RiverFront Dynamic US Dividend Advantage ETF is not suitable for all investors. Investments in the Fund are subject to investment risks, including possible loss of the principal amount invested.

 

The Fund’s shares are not individually redeemable. Investors buy and sell shares of the Fund on a secondary market. Only market makers or “authorized participants” may trade directly with the Fund, typically in blocks of 25,000 shares.

 

ALPS Portfolio Solutions Distributor, Inc., a FINRA member, is the Distributor for the RiverFront Dynamic US Dividend Advantage ETF.

5 | November 30, 2021

 

RiverFront Dynamic US Dividend Advantage ETF  
Performance Overview November 30, 2021 (Unaudited)

 

Top 10 Holdings* (as of November 30, 2021)

 

Microsoft Corp. 8.54%
Apple, Inc. 5.54%
Amazon.com, Inc. 4.12%
Broadcom, Inc. 2.60%
Bank of America Corp. 2.58%
Oracle Corp. 2.34%
Eli Lilly & Co. 2.31%
Pfizer, Inc. 2.14%
Cadence Design Systems, Inc. 1.99%
Visa, Inc. 1.96%
Total % of Top 10 Holdings 34.12%

 

* % of Total Investments (excluding investments purchased with collateral from securities loaned)

 

Future holdings are subject to change. 

 

 

Growth of $10,000 (as of November 30, 2021)

 

Comparison of Change in Value of $10,000 Investment in the Fund and the Fund’s benchmark

 

 

 

The chart above compares historical performance of a hypothetical investment of $10,000 in the Fund since inception with the performance of the Fund’s benchmark index. Results include the reinvestment of all dividends and capital gains distributions. Past performance does not guarantee future results. The graph does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

6 | November 30, 2021

 

RiverFront Dynamic US Flex-Cap ETF  
Performance Overview November 30, 2021 (Unaudited)

 

Investment Objective

RiverFront Dynamic US Flex-Cap ETF (the “Fund” or "RFFC") seeks to provide capital appreciation. Under normal market conditions, the Fund seeks to achieve its investment objective by investing at least 65% of its net assets in a portfolio of equity securities of publicly traded U.S. companies. Equity securities include common stocks and common or preferred shares of real estate investment trusts (“REITs”).

 

Market Recap

The fiscal year ended November 30, 2021 was a year of recovery for the global equity markets. Early into the fiscal year, the release of COVID-19 vaccines caused a global equity rally, led by value stocks. Both developed international equities and emerging international equities outperformed US equities during this rally but began to lose their momentum halfway through February 2021. Emerging markets, specifically, saw a large draw down from mid-February through March; this drawdown was caused in large part due to concerns surrounding China’s growth prospects. These concerns, amplified by political questions surrounding China, would continue to affect performance in the fiscal year, with emerging markets posting negative performance from June through the end of October.

 

In the developed world, the United States was able to outperform developed international. Despite lagging value stocks in the first quarter of the fiscal year, US growth stocks out-performed value for the fiscal year, leading the way within the broad US large cap asset class. For developed international stocks, the value rotation slowed, but never stopped, with growth stock pacing the broad market throughout the fiscal year.

 

Looking in the rear-view mirror, fixed income markets were volatile in 2021. After beginning the calendar year with the 10-year Treasury bonds yielding just .93%, yields quickly rose as the economy accelerated after Fed stimulus through quantitative easing and government transfer payments. Yields peaked at 1.74% at the end of March, and then traded within a 60-basis point range. With Treasury bond yields low, the Fund used a combination of investment grade and high yield credit to generate income, while maintaining a short duration strategy versus the Bloomberg Aggregate Bond Index. The Fund’s duration was kept shorter due to the anticipation reducing bond purchases through its quantitative easing program in addition to inflation expectations increasing.

 

2021 Performance Attribution

 

Broadly, RFFC underperformed its benchmark for the 12-month period ending November 30, 2021. The underperformance was primarily due to the Fund’s allocation and selection decisions.

 

1. Sector Allocation: The sector allocations in RFFC are determined through a bottoms-up process that ranks stocks on three fundamental cornerstones: value, quality and momentum/sentiment. If a sector produces more highly ranked stocks relative to another sector, that sector’s allocation is allowed to exceed its benchmark by a tolerable level, and vice versa. Sector allocation was a slightly negative contributor for RFFC in FY 2021.

 

a. Positive contributors: The underweights to utilities and consumer services were positive contributors.

 

b. Negative contributors: The portfolio’s underweight to energy and over-weight to consumer non-cyclicals negatively impacted portfolio returns.

 

2. Security Selection: The investment selection process behind RFFC is built on making a number of security selection choices. This means that there are rarely just one or two things contributing to the returns in the fund. In FY 2021, RiverFront’s equity selection posted negative results in aggregate. A few of the top themes that contributed most to performance in the year were:

 

a. Positive contributors: Security selection in healthcare, technology, and industrials were net positives.

 

b. Negative contributors: Security selection in non-energy materials, consumer non-cyclicals and financials were detractors.

 

2022 Outlook

While Riverfront understands and partially shares the worries surrounding rising debt and inflation that contributed to a flat to negative global stock market in the third quarter, RiverFront believes that stocks and commodities will remain the highest performing asset classes. These assets provide more potential for capital appreciation to offset inflation and higher taxes than ‘stable assets’ like cash, CDs, and bonds. In the US, RiverFront prefers to play the equity markets using a barbell approach to growth and value. RiverFront favors growth, mega-cap stocks, specifically those that lean towards software and services, while also selectively investing in more cyclical, value stocks. This approach allows our portfolios to have proper exposures to both sides of the growth versus value trade, while not overexposing us to low-quality, value names or telecommunication stocks, which RiverFront believes at the aggregate are over-valued.

 

Internationally, RiverFront believes that the potential for a reacceleration in global growth lends itself to value investing. However, RiverFront believes that this excludes developed international energy stocks; it is RiverFront’s view that these stocks are less positioned to take advantage of high oil prices than their US or emerging counterparts. From a country standpoint, RiverFront prefers the United Kingdom, France, Germany, and Japan, with a partially hedged position in yen and euro denominated assets. In emerging markets, RiverFront’s highest conviction is an underweight to China. RiverFront believes that the Chinese Communist Party's recent actions have signaled an aversion to free market economics that RiverFront believes are required to be a viable investment. As such, Riverfront has allocated capital away from Chinese equites toward South Korea and Saudi Arabian energy equities.

7 | November 30, 2021

 

RiverFront Dynamic US Flex-Cap ETF  
Performance Overview November 30, 2021 (Unaudited)

 

Heading into 2022, RiverFront believes the Fed will accelerate its tapering of bond purchases to help slow inflation. RiverFront expects inflation to peak in the first half of the year, thus limiting the upside pressure on yields. RiverFront’s base case for the 10-year Treasury bond is for it to reach 2% by the end of the calendar year. Given the low level of yields going into the new year RiverFront believes that there will be little price appreciation in bonds, with most of the total return coming from income.

 

Performance (as of November 30, 2021)

 

  1 Year 5 Year Since Inception^
RiverFront Dynamic US Flex-Cap ETF – NAV 23.65% 12.71% 13.00%
RiverFront Dynamic US Flex-Cap ETF – Market Price* 23.56% 12.69% 12.99%
S&P Composite 1500® Total Return Index 27.95% 17.38% 16.93%

 

Total Expense Ratio (per the current prospectus) is 0.52%.

 

Performance data quoted represents past performance. Past performance does not guarantee future results. Total return figures assume reinvestment of dividends and capital gains distributions, if any. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. For the most current month-end performance data please visit www.alpsfunds.com or call 1.866.759.5679.

 

NAV is an exchange-traded fund’s per-share value. The per-share dollar amount of the fund is derived by dividing the total value of all the securities in its portfolio, less any liabilities, by the number of fund shares outstanding. Market Price is the price at which a share can currently be traded in the market. Information detailing the number of days the Market Price of the Fund was greater than the Fund’s NAV and the number of days it was less than the Fund’s NAV can be obtained at www.alpsfunds.com.

 

^ The Fund commenced operations on June 7, 2016.

 

* Market Price means the official closing price of a share or, if it more accurately reflects the market value of a share at the time as of which the Fund calculates current net asset value per share, the price that is the midpoint of the bid-ask spread as of that time. It does not represent the returns an investor would receive if shares were traded at other times.

 

S&P Composite 1500® Total Return Index is the Standard & Poor’s broad-based unmanaged capitalization-weighted index comprising 1,500 stocks of Large-cap, Mid-cap, and Small-cap U.S. companies. The index is reported on a total return basis, which assumes reinvestment of any dividends and distributions realized during a given time period. The index is not actively managed and does not reflect any deductions for fees, expenses or taxes. One cannot invest directly in an index. Index performance does not reflect fund performance.

 

The RiverFront Dynamic US Flex-Cap ETF is not suitable for all investors. Investments in the Fund are subject to investment risks, including possible loss of the principal amount invested.

 

The Fund’s shares are not individually redeemable. Investors buy and sell shares of the Fund on a secondary market. Only market makers or “authorized participants” may trade directly with the Fund, typically in blocks of 25,000 shares.

 

ALPS Portfolio Solutions Distributor, Inc., a FINRA member, is the Distributor for the RiverFront Dynamic US Flex-Cap ETF.

8 | November 30, 2021

 

RiverFront Dynamic US Flex-Cap ETF  
Performance Overview November 30, 2021 (Unaudited)

 

Top 10 Holdings* (as of November 30, 2021)

 

Microsoft Corp. 6.47%
Apple, Inc. 6.05%
Amazon.com, Inc. 3.29%
UnitedHealth Group, Inc. 1.73%
Enphase Energy, Inc. 1.64%
Advanced Micro Devices, Inc. 1.47%
Eli Lilly & Co. 1.45%
Adobe, Inc. 1.44%
Prologis, Inc. 1.39%
Oracle Corp. 1.35%
Total % of Top 10 Holdings 26.28%

 

* % of Total Investments (excluding investments purchased with collateral from securities loaned)

 

Future holdings are subject to change.

 

 

Growth of $10,000 (as of November 30, 2021)

 

Comparison of Change in Value of $10,000 Investment in the Fund and the Fund’s benchmark

 

 

The chart above compares historical performance of a hypothetical investment of $10,000 in the Fund since inception with the performance of the Fund’s benchmark index. Results include the reinvestment of all dividends and capital gains distributions. Past performance does not guarantee future results. The graph does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

9 | November 30, 2021

 

RiverFront Strategic Income Fund  
Performance Overview November 30, 2021 (Unaudited)

 

Investment Objective

The RiverFront Strategic Income Fund (the “Fund” or "RIGS") seeks total return, with an emphasis on income as the source of that total return. The Fund seeks to achieve its investment objective by investing in a global portfolio of fixed income securities of various maturities, ratings and currency denominations. The Fund utilizes various investment strategies in a broad array of fixed income sectors.

 

Market Recap

The fiscal year ended November 30, 2021 was a year of recovery for the global equity markets. Early into the fiscal year, the release of COVID-19 vaccines caused a global equity rally, led by value stocks. Both developed international equities and emerging international equities outperformed US equities, during this rally but began to lose their momentum halfway through February 2021. Emerging markets, specifically, saw a large draw down from mid-February through March; this drawdown was caused in large part due to concerns surrounding China’s growth prospects. These concerns, amplified by political questions surrounding China, would continue to affect performance in the fiscal year, with emerging markets posting negative performance from June through the end of October.

 

In the developed world, the United States was able to outperform developed international. Despite lagging value stocks in the first quarter of the fiscal year, US growth stocks out-performed value for the fiscal year, leading the way within the broad US large cap asset class. For developed international stocks, the value rotation slowed, but never stopped, with growth stock pacing the broad market throughout the fiscal year.

 

Looking in the rear-view mirror, fixed income markets were volatile in 2021. After beginning the calendar year with the 10-year Treasury bonds yielding just .93%, yields quickly rose as the economy accelerated after Fed stimulus through quantitative easing and government transfer payments. Yields peaked at 1.74% at the end of March, and then traded within a 60-basis point range. With Treasury bond yields low, the Fund used a combination of investment grade and high yield credit to generate income, while maintaining a short duration strategy versus the Bloomberg Aggregate Bond Index. The Fund’s duration was kept shorter due to the anticipation reducing bond purchases through its quantitative easing program in addition to inflation expectations increasing.

 

2021 Performance Attribution

Broadly, RIGS outperformed its benchmark for the 12-month period ending November 30, 2021. The outperformance was primarily due to its shorter duration and exposure to high yield corporate bonds.

 

Negative Contributors:

Cash allocation: The Fund’s allocation to cash throughout the period negatively impacted performance.

 

Allocation to Mortgage-Backed Securities (MBS): The Fund had no exposure to MBS during this period and MBS outperformed Treasuries.

 

Positive Contributors:

Selection within US Credit: The Fund held mainly short-maturity, high yield bonds during the period. High yield bonds were one of the highest performing sectors of the fixed income market, as credit spreads tightened sharply.
Allocation to Treasuries: The Fund was underweight Treasuries, which underperformed both Corporate bonds and MBS, as interest rates rose.

 

2022 Outlook

While Riverfront understands and partially shares the worries surrounding rising debt and inflation that contributed to a flat to negative global stock market in the third quarter, RiverFront believes that stocks and commodities will remain the highest performing asset classes. These assets provide more potential for capital appreciation to offset inflation and higher taxes than ‘stable assets’ like cash, CDs, and bonds. In the US, RiverFront prefers to play the equity markets using a barbell approach to growth and value. RiverFront favors growth, mega-cap stocks, specifically those that lean towards software and services, while also selectively investing in more cyclical, value stocks. This approach allows RiverFront’s portfolios to have proper exposures to both sides of the growth versus value trade, while not overexposing the Fund to low-quality, value names or telecommunication stocks, which RiverFront believes at the aggregate are over-valued.

 

Internationally, RiverFront believes that the potential for a reacceleration in global growth lends itself to value investing. However, RiverFront believes that this excludes developed international energy stocks; it is RiverFront’s view that these stocks are less positioned to take advantage of high oil prices than their US or emerging counterparts. From a country standpoint, RiverFront prefers the United Kingdom, France, Germany, and Japan, with a partially hedged position in yen and euro denominated assets. In markets, RiverFront’s highest conviction is an underweight to China. RiverFront believes that Chinese Communist Party's recent actions have signaled an aversion to free market economics that RiverFront believes are required to be a viable investment. As such, Riverfront has allocated capital away from Chinese equites toward South Korea and Saudi Arabian energy equities.

 

Heading into 2022, RiverFront believes the Fed will accelerate its tapering of bond purchases to help slow inflation. RiverFront expects inflation to peak in the first half of the year, thus limiting the upside pressure on yields. RiverFront’s base case for the 10-year Treasury bond is for it to reach 2% by the end of the calendar year. Given the low level of yields going into the new year RiverFront believes that there will be little price appreciation in bonds, with most of the total return coming from income. Therefore, the Fund will look to out yield the benchmark by owning short and intermediate corporate bonds, high yield, and bank loans in combination with long duration Treasuries to act as a shock absorber in case of risk off events.

10 | November 30, 2021

 

RiverFront Strategic Income Fund  
Performance Overview November 30, 2021 (Unaudited)

 

Performance (as of November 30, 2021)

 

  1 Year 5 Year Since Inception^
RiverFront Strategic Income Fund – NAV 1.52% 3.44% 3.84%
RiverFront Strategic Income Fund – Market Price* 1.60% 3.43% 3.83%
Bloomberg U.S. Aggregate Bond Total Return Index -1.15% 3.65% 3.32%

 

Total Expense Ratio (per the current prospectus) is 0.48%. The Fund’s management fees consist of a fee of 0.11% paid to the Fund’s investment adviser and a fee of 0.35% paid to the Fund’s sub-adviser.

 

Performance data quoted represents past performance. Past performance does not guarantee future results. Total return figures assume reinvestment of dividends and capital gains distributions, if any. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. For most current month-end performance data please visit www.alpsfunds.com or call 1.866.759.5679.

 

NAV is an exchange-traded fund’s per-share value. The per-share dollar amount of the Fund is derived by dividing the total value of all the securities in its portfolio, less any liabilities, by the number of Fund shares outstanding. Market Price is the price at which a share can currently be traded in the market. Information detailing the number of days the Market Price of the Fund was greater than the Fund’s NAV and the number of days it was less than the Fund’s NAV can be obtained at www.alpsfunds.com.

 

^ The Fund commenced Investment Operations on October 8, 2013.
* Market Price means the official closing price of a share or, if it more accurately reflects the market value of a share at the time as of which the Fund calculates current net asset value per share, the price that is the midpoint of the bid-ask spread as of that time. It does not represent the returns an investor would receive if shares were traded at other times.

 

Duration is a measure of the sensitivity of the price (the value of principal) of a fixed-income investment to a change in interest rates. Duration is expressed as a number of years. The duration number is a calculation involving present value, yield, coupon, final maturity and call features. The bigger the duration number, the greater the interest-rate risk or reward for bond prices. Rising interest rates mean falling bond prices, while declining interest rates mean rising bond prices.

 

Bloomberg U.S. Aggregate Bond Total Return Index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS (agency and non-agency). The index is reported on a total return basis, which assumes reinvestment of any dividends and distributions realized during a given time period. The index is not actively managed and does not reflect any deductions for fees, expenses or taxes. One cannot invest directly in an index. Index performance does not reflect fund performance.

 

The RiverFront Strategic Income Fund is not suitable for all investors. Investments in the Fund are subject to investment risks, including possible loss of the principal amount invested.

 

The Fund's shares are not individually redeemable. Investors buy and sell shares of the fund on a secondary market. Only market makers or "authorized participants" may trade directly with the Fund, typically in blocks of 25,000 shares.

 

ALPS Portfolio Solutions Distributor, Inc., a FINRA member, is the distributor for the RiverFront Strategic Income Fund.

11 | November 30, 2021

 

RiverFront Strategic Income Fund  
Performance Overview November 30, 2021 (Unaudited)

 

Top 10 Holdings*^ (as of November 30, 2021)

 

United States Treasury Bond 02/15/2031 1.13% 3.74%
United States Treasury Bond 02/15/2050 2.00% 1.78%
CIT Group, Inc. 08/15/2022 5.00% 1.54%
T-Mobile USA, Inc. 04/15/2026 2.63% 1.38%
JPMorgan Chase & Co. 10/01/2027 4.25% 1.30%
PulteGroup, Inc. 03/01/2026 5.50% 1.30%
Citigroup, Inc. 09/29/2027 4.45% 1.30%
Bank of America Corp. 10/22/2026 4.25% 1.29%
Goldman Sachs Group, Inc. 10/21/2025 4.25% 1.27%
Vistra Operations Co. LLC 07/15/2024 3.55% 1.26%
Total % of Top 10 Holdings 16.16%

 

* % of Total Investments.
^ Excludes Money Market Fund

 

Future holdings are subject to change.

 

 

Growth of $10,000 (as of November 30, 2021)

 

Comparison of Change in Value of $10,000 Investment in the Fund and the Fund’s benchmark

 

 

The chart above compares historical performance of a hypothetical investment of $10,000 in the Fund since inception with the performance of the Fund’s benchmark index. Results include the reinvestment of all dividends and capital gains distributions. Past performance does not guarantee future results. The graph does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

12 | November 30, 2021

 

RiverFront ETFs  
Disclosure of Fund Expenses November 30, 2021 (Unaudited)

 

Shareholder Expense Example: As a shareholder of a Fund, you incur certain ongoing costs, including management fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds. It is based on an investment of $1,000 invested at the beginning of the (six month) period and held through November 30, 2021.

 

Actual Return: The first line of the table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses attributable to your investment during this period.

 

Hypothetical 5% Return: The second line of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

The expenses shown in the table are meant to highlight ongoing Fund costs only and do not reflect any transaction costs, such as brokerage commissions and other fees to financial intermediaries. Therefore, the second line is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these costs were included, your costs would have been higher.

 

  Beginning Account Value 6/1/21 Ending Account Value 11/30/21 Expense Ratio(a) Expenses Paid During Period 6/1/21 - 11/30/21(b)
RiverFront Dynamic Core Income ETF        
Actual $1,000.00 $1,007.10 0.51% $2.57
Hypothetical (5% return before expenses) $1,000.00 $1,022.51 0.51% $2.59
RiverFront Dynamic US Dividend Advantage ETF        
Actual $1,000.00 $1,059.40 0.52% $2.68
Hypothetical (5% return before expenses) $1,000.00 $1,022.46 0.52% $2.64
RiverFront Dynamic US Flex-Cap ETF        
Actual $1,000.00 $1,063.30 0.52% $2.69
Hypothetical (5% return before expenses) $1,000.00 $1,022.46 0.52% $2.64
RiverFront Strategic Income Fund        
Actual $1,000.00 $1,002.70 0.46% $2.31
Hypothetical (5% return before expenses) $1,000.00 $1,022.76 0.46% $2.33

 

(a) Annualized, based on the Fund's most recent fiscal half year expenses.
(b) Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (183), divided by 365.

13 | November 30, 2021

 


RiverFront ETFs
Report of Independent Registered Public Accounting Firm

 

To the Board of Trustees of ALPS ETF Trust and the shareholders of RiverFront Dynamic Core Income ETF, RiverFront Dynamic US Dividend Advantage ETF, RiverFront Dynamic US Flex-Cap ETF, and RiverFront Strategic Income Fund:

 

Opinion on the Financial Statements and Financial Highlights

 

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of RiverFront Dynamic Core Income ETF, RiverFront Dynamic US Dividend Advantage ETF, RiverFront Dynamic US Flex-Cap ETF, and RiverFront Strategic Income Fund (the "Funds"), four of the funds constituting the ALPS ETF Trust as of November 30, 2021, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, and the related notes.

 

In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of November 30, 2021, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

 

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of November 30, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

 

DELOITTE & TOUCHE LLP

 

Denver, Colorado

January 26, 2022

 

We have served as the auditor of one or more investment companies advised by ALPS Advisors, Inc. since 2007.

14 | November 30, 2021

 

RiverFront Dynamic Core Income ETF  
Schedule of Investments November 30, 2021

 

Security Description   Principal Amount     Value  
CORPORATE BONDS (60.90%)                
Communications (7.96%)                
AT&T, Inc.                
2.55%, 12/01/2033   $ 2,066,000     $ 1,999,530  
Charter Communications Operating LLC / Charter Communications Operating Capital                
4.91%, 07/23/2025     1,143,000       1,262,176  
Comcast Corp.                
3.60%, 03/01/2024     74,000       78,495  
3.55%, 05/01/2028     197,000       216,827  
4.15%, 10/15/2028     1,104,000       1,251,695  
Discovery Communications LLC                
3.95%, 03/20/2028     136,000       148,502  
Sirius XM Radio, Inc.                
3.13%, 09/01/2026(a)     1,265,000       1,248,214  
T-Mobile USA, Inc.                
4.00%, 04/15/2022     197,000       198,698  
Verizon Communications, Inc.                
4.33%, 09/21/2028     197,000       224,660  
4.02%, 12/03/2029     111,000       124,613  
2.36%, 03/15/2032(a)     932,000       924,951  
ViacomCBS, Inc.                
3.50%, 01/15/2025     368,000       390,321  
3.70%, 06/01/2028     50,000       54,679  
Walt Disney Co.                
2.00%, 09/01/2029     1,265,000       1,264,073  
Total Communications             9,387,434  
                 
Consumer Discretionary (6.73%)                
ADT Security Corp.                
4.13%, 06/15/2023     93,000       96,160  
Alibaba Group Holding, Ltd.                
3.60%, 11/28/2024     273,000       289,559  
3.40%, 12/06/2027     197,000       210,129  
Amazon.com, Inc.                
3.15%, 08/22/2027     412,000       444,056  
CoreCivic, Inc.                
4.63%, 05/01/2023     197,000       197,427  
eBay, Inc.                
3.45%, 08/01/2024     136,000       143,397  
Ford Motor Co.                
9.63%, 04/22/2030     1,600,000       2,326,160  
General Motors Financial Co., Inc.                
3.70%, 05/09/2023     350,000       362,303  
3.60%, 06/21/2030     1,091,000       1,157,730  
Goodyear Tire & Rubber Co.                
4.88%, 03/15/2027     1,143,000       1,187,886  
Lowe's Cos., Inc.                
3.10%, 05/03/2027     136,000       145,059  
Marriott International, Inc.                
4.00%, 04/15/2028(b)     185,000       201,650  
McDonald's Corp.                
3.50%, 03/01/2027     68,000       73,854  

 

Security Description   Principal Amount     Value  
Consumer Discretionary (continued)            
Nordstrom, Inc.                
4.25%, 08/01/2031   $ 1,143,000   $ 1,095,400  
Total Consumer Discretionary             7,930,770  
                 
Consumer Staples (1.28%)                
Anheuser-Busch InBev                
Worldwide, Inc.                
4.00%, 04/13/2028     1,279,000       1,433,044  
Constellation Brands, Inc.                
4.75%, 12/01/2025     68,000       76,342  
Total Consumer Staples             1,509,386  
                 
Energy (7.46%)                
Chevron Corp.                
2.90%, 03/03/2024     350,000       364,884  
ConocoPhillips Co.                
4.95%, 03/15/2026     136,000       153,851  
Continental Resources, Inc.                
4.50%, 04/15/2023     197,000       203,970  
3.80%, 06/01/2024     197,000       205,852  
Enterprise Products Operating LLC                
3.35%, 03/15/2023     350,000       359,621  
Exxon Mobil Corp.                
3.04%, 03/01/2026     495,000       525,653  
Hess Midstream Operations LP                
4.25%, 02/15/2030(a)     1,143,000       1,107,716  
Kinder Morgan Energy Partners LP                
4.25%, 09/01/2024     197,000       210,837  
Marathon Oil Corp.                
4.40%, 07/15/2027     2,150,000       2,355,261  
Marathon Petroleum Corp.                
3.80%, 04/01/2028     136,000       146,316  
ONEOK Partners LP                
3.38%, 10/01/2022     350,000       355,245  
Ovintiv Exploration, Inc.                
5.63%, 07/01/2024     197,000       215,142  
Sabine Pass Liquefaction LLC                
5.63%, 04/15/2023     273,000       287,131  
5.75%, 05/15/2024     136,000       148,665  
Schlumberger Investment SA                
3.65%, 12/01/2023     568,000       594,939  
Shell International Finance BV                
2.75%, 04/06/2030     1,143,000       1,196,331  
Williams Cos., Inc.                
4.55%, 06/24/2024     136,000       146,255  
3.90%, 01/15/2025     206,000       220,439  
Total Energy             8,798,108  
                 
Financials (18.81%)                
Aflac, Inc.                
3.63%, 11/15/2024     273,000       292,977  
Ally Financial, Inc.                
4.13%, 02/13/2022     513,000       516,585  
Bank of America Corp.                
4.25%, 10/22/2026     1,714,000       1,891,629  

 

See Notes to Financial Statements.

15 | November 30, 2021

 


RiverFront Dynamic Core Income ETF
 
Schedule of Investments November 30, 2021

 

Security Description   Principal Amount     Value  
Financials (continued)                
Berkshire Hathaway, Inc.                
3.13%, 03/15/2026   $ 350,000     $ 374,798  
Chubb INA Holdings, Inc.                
3.35%, 05/03/2026     339,000       365,521  
Citigroup, Inc.                
3M US L + 1.43%,                
09/01/2023(c)     350,000       353,124  
4.45%, 09/29/2027     197,000       219,305  
6.63%, 06/15/2032     706,000       947,499  
Cooperatieve Rabobank UA                
4.63%, 12/01/2023     350,000       374,844  
Credit Suisse Group AG                
4.55%, 04/17/2026     322,000       356,312  
Discover Bank                
4.65%, 09/13/2028     185,000       211,698  
Goldman Sachs Group, Inc.                
3M US L + 0.75%,                
02/23/2023(c)     568,000       570,631  
3M US L + 1.60%,                
11/29/2023(c)     350,000       358,852  
3.50%, 11/16/2026     35,000       37,359  
5.95%, 01/15/2027     978,000       1,156,182  
Host Hotels & Resorts LP                
4.00%, 06/15/2025     136,000       144,409  
HSBC Holdings PLC                
4.30%, 03/08/2026     185,000       203,133  
3.90%, 05/25/2026     273,000       295,501  
4.38%, 11/23/2026     136,000       148,811  
Intercontinental Exchange, Inc.                
3.75%, 09/21/2028     197,000       218,272  
Iron Mountain, Inc.                
4.88%, 09/15/2027(a)     2,268,000       2,309,686  
JPMorgan Chase & Co.                
3.38%, 05/01/2023     273,000       282,951  
3M US L + 1.23%,                
10/24/2023(c)     809,000       816,463  
4.25%, 10/01/2027     1,342,000       1,500,899  
Lincoln National Corp.                
3.35%, 03/09/2025     273,000       290,449  
M&T Bank Corp.                
3M US L + 0.68%,                
07/26/2023(c)     350,000       353,051  
MetLife, Inc.                
3.60%, 04/10/2024     341,000       361,576  
6.50%, 12/15/2032     50,000       70,273  
Mitsubishi UFJ Financial Group, Inc.                
3.85%, 03/01/2026     273,000       297,444  
Mizuho Financial Group, Inc.                
3M US L + 1.00%,                
09/11/2024(c)     700,000       708,598  
3.17%, 09/11/2027     68,000       72,173  

 

Security Description   Principal Amount     Value  
Financials (continued)            
Morgan Stanley                
3M US L + 1.40%,                
10/24/2023(c)   $ 700,000     $ 707,873  
5.00%, 11/24/2025     427,000       477,868  
3.63%, 01/20/2027     538,000       583,041  
NatWest Group PLC                
3M US L + 1.48%,                
05/15/2023(c)     273,000       276,304  
3M US L + 1.47%,                
05/15/2023(c)     350,000       351,674  
PNC Financial Services Group, Inc.                
3.15%, 05/19/2027     273,000       294,685  
3.45%, 04/23/2029     1,091,000       1,191,957  
Starwood Property Trust, Inc.                
5.00%, 12/15/2021     92,000       92,096  
Truist Bank                
3.30%, 05/15/2026     273,000       292,623  
UBS Group AG                
4.13%, 09/24/2025     113,000       123,181  
4.13%, 04/15/2026     68,000       74,647  
Wells Fargo & Co.                
3.00%, 04/22/2026     1,528,000       1,604,868  
Total Financials             22,171,822  
                 
Health Care (6.05%)                
AbbVie, Inc.                
3.20%, 11/21/2029     1,143,000       1,218,154  
Aetna, Inc.                
3.50%, 11/15/2024     197,000       208,930  
Bristol-Myers Squibb Co.                
3.25%, 02/27/2027     768,000       833,454  
Cigna Corp.                
3.00%, 07/15/2023     340,000       350,862  
CVS Health Corp.                
4.30%, 03/25/2028     392,000       441,825  
DaVita, Inc.                
4.63%, 06/01/2030(a)     1,143,000       1,127,998  
HCA, Inc.                
5.38%, 09/01/2026     1,143,000       1,280,149  
Johnson & Johnson                
2.45%, 03/01/2026     350,000       364,965  
Merck & Co., Inc.                
2.80%, 05/18/2023     685,000       707,389  
Pfizer, Inc.                
3.20%, 09/15/2023     284,000       296,667  
UnitedHealth Group, Inc.                
3.75%, 07/15/2025     273,000       296,432  
Total Health Care             7,126,825  
                 
Industrials (4.13%)                
3M Co.                
3.25%, 02/14/2024     568,000       596,738  
Boeing Co.                
3.45%, 11/01/2028     197,000       206,510  
5.15%, 05/01/2030     1,143,000       1,327,597  

 

See Notes to Financial Statements.

16 | November 30, 2021

 

RiverFront Dynamic Core Income ETF  
Schedule of Investments November 30, 2021

 

Security Description   Principal Amount     Value  
Industrials (continued)            
CNH Industrial NV                
4.50%, 08/15/2023   $ 273,000     $ 288,301  
FedEx Corp.                
3.40%, 02/15/2028     197,000       215,947  
General Dynamics Corp.                
3.50%, 05/15/2025     266,000       285,112  
General Electric Co.                
3.45%, 05/01/2027     1,143,000       1,246,205  
John Deere Capital Corp.                
2.65%, 06/24/2024     273,000       285,238  
Lockheed Martin Corp.                
3.55%, 01/15/2026     197,000       213,430  
Textron, Inc.                
3.65%, 03/15/2027     185,000       200,113  
Total Industrials             4,865,191  
                 
Materials (1.92%)                
Ball Corp.                
4.00%, 11/15/2023     197,000       206,333  
DuPont de Nemours, Inc.                
4.73%, 11/15/2028     1,143,000       1,333,070  
Glencore Funding LLC                
3.00%, 10/27/2022(a)     350,000       356,571  
LyondellBasell Industries NV                
5.75%, 04/15/2024     197,000       215,444  
Sherwin-Williams Co.                
3.45%, 06/01/2027     136,000       146,631  
Total Materials             2,258,049  
                 
Technology (5.63%)                
Apple, Inc.                
3.20%, 05/11/2027     1,143,000       1,231,089  
Broadcom, Inc.                
4.11%, 09/15/2028     159,000       174,854  
3.14%, 11/15/2035(a)     2,396,000       2,365,606  
Flex, Ltd.                
5.00%, 02/15/2023     273,000       286,179  
Microsoft Corp.                
3.30%, 02/06/2027     952,000       1,033,606  
3.45%, 08/08/2036     86,000       98,987  
2.92%, 03/17/2052     93,000       99,115  
Oracle Corp.                
3.25%, 11/15/2027     1,067,000       1,129,783  
S&P Global, Inc.                
4.00%, 06/15/2025     197,000       214,546  
Total Technology             6,633,765  
                 
Utilities (0.93%)                
CMS Energy Corp.                
3.60%, 11/15/2025     113,000       120,819  
Consumers Energy Co.                
3.13%, 08/31/2024     136,000       142,528  
Dominion Energy, Inc.                
4.25%, 06/01/2028     185,000       207,132  

 

Security Description   Principal Amount     Value  
Utilities (continued)                
Exelon Corp.                
3.40%, 04/15/2026   $ 112,000     $ 119,503  
Southern Co.                
2.95%, 07/01/2023     350,000       359,520  
Southwestern Electric Power Co.                
4.10%, 09/15/2028     136,000       151,214  
Total Utilities             1,100,716  
                 
TOTAL CORPORATE BONDS                
(Cost $71,663,214)             71,782,066  
                 
GOVERNMENT BONDS (27.24%)                
United States Treasury Bond                
2.75%, 02/15/2028     6,992,000       7,605,712  
1.25%, 08/15/2031     2,000,000       1,968,281  
3.88%, 08/15/2040     974,300       1,302,860  
1.88%, 02/15/2041     6,303,000       6,327,377  
2.75%, 11/15/2047     1,324,000       1,580,939  
1.88%, 02/15/2051     4,583,000       4,665,528  
2.00%, 08/15/2051     2,000,000       2,097,187  
United States Treasury Inflation Indexed Bonds                
2.13%, 02/15/2040(d)     393,142       608,983  
United States Treasury Note                
2.88%, 10/31/2023     2,087,000       2,181,323  
3.00%, 10/31/2025     3,502,000       3,768,481  
TOTAL GOVERNMENT BONDS                
(Cost $30,331,775)             32,106,671  

 

    7 Day Yield     Shares     Value  
SHORT TERM INVESTMENTS (11.29%)                  
Money Market Fund                        
State Street Institutional Treasury Plus Money
Market Fund
    0.01 %     13,308,403       13,308,403  
TOTAL SHORT TERM INVESTMENTS                        
(Cost $13,308,403)                     13,308,403  
                         
TOTAL INVESTMENTS (99.43%)                        
(Cost $115,303,392)                   $ 117,197,140  
OTHER ASSETS IN EXCESS OF LIABILITIES (0.57%)                     675,731  
NET ASSETS - 100.00%                   $ 117,872,871  

 

Investment Abbreviations:

LIBOR - London Interbank Offered Rate

 

Reference Rates:

3M US L - 3 Month LIBOR as of November 30, 2021 was 0.17%

 

See Notes to Financial Statements.

17 | November 30, 2021

 

RiverFront Dynamic Core Income ETF  
Schedule of Investments November 30, 2021

 

(a) Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate market value of those securities was $9,440,742, representing 8.01% of net assets.
(b) Securities were purchased pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. As of November 30, 2021, the market value of those securities was $201,650 representing 0.17% of net assets.
(c) Floating or variable rate security. The reference rate is described above. The rate in effect as of November 30, 2021 is based on the reference rate plus the displayed spread as of the security's last reset date.
(d) Principal amount of security is adjusted for inflation.

 

 

See Notes to Financial Statements.

18 | November 30, 2021

 

RiverFront Dynamic US Dividend Advantage ETF  
Schedule of Investments November 30, 2021

 

Security Description   Shares     Value  
COMMON STOCKS (99.55%)            
Communication Services (4.90%)                
AT&T, Inc.     55,279     $ 1,262,020  
Meta Platforms, Inc., Class A(a)     3,798       1,232,299  
News Corp., Class B     75,471       1,626,400  
Sirius XM Holdings, Inc.(b)     156,053       951,923  
Verizon Communications, Inc.     28,308       1,423,043  
Total Communication Services             6,495,685  
                 
Consumer Discretionary (11.18%)                
Amazon.com, Inc.(a)     1,557       5,460,508  
Best Buy Co., Inc.     9,565       1,022,116  
Dollar General Corp.     3,263       722,102  
Domino's Pizza, Inc.     2,599       1,362,240  
Lowe's Cos., Inc.     7,044       1,722,892  
NIKE, Inc., Class B     4,531       766,826  
PulteGroup, Inc.     12,809       640,834  
Starbucks Corp.     11,691       1,281,801  
Target Corp.     7,526       1,835,140  
Total Consumer Discretionary             14,814,459  
                 
Consumer Staples (6.77%)                
Coca-Cola Co.     44,096       2,312,835  
Colgate-Palmolive Co.     22,475       1,686,075  
Mondelez International, Inc., Class A     32,430       1,911,424  
Philip Morris International, Inc.     5,677       487,881  
Vector Group, Ltd.     76,269       1,185,220  
Walmart, Inc.     9,909       1,393,503  
Total Consumer Staples             8,976,938  
                 
Energy (1.13%)                
Kinder Morgan, Inc.     96,692       1,494,858  
                 
Financials (9.28%)                
Ameriprise Financial, Inc.     6,314       1,828,534  
Artisan Partners Asset Management, Inc., Class A     17,909       801,070  
Bank of America Corp.     76,855       3,417,742  
First Republic Bank     624       130,828  
FNB Corp.     66,868       779,681  
Fulton Financial Corp.     63,761       1,006,786  
Mercury General Corp.     12,604       643,056  
Navient Corp.     43,805       864,273  
Progressive Corp.     12,332       1,146,136  
Starwood Property Trust, Inc.     34,580       863,117  
Trustmark Corp.     26,499       811,134  
Total Financials             12,292,357  
                 
Health Care (10.40%)                
AbbVie, Inc.     10,198       1,175,626  
Boston Scientific Corp.(a)     46,132       1,756,245  
Eli Lilly & Co.     12,325       3,057,093  
Humana, Inc.     3,285       1,378,747  
Merck & Co., Inc.     22,423       1,679,707  
Pfizer, Inc.     52,797       2,836,783  

 

Security Description   Shares     Value  
Health Care (continued)                
Zoetis, Inc.     8,534     $ 1,894,889  
Total Health Care             13,779,090  
                 
Industrials (8.24%)                
3M Co.     10,992       1,869,080  
A O Smith Corp.     8,148       644,099  
Fastenal Co.     36,156       2,139,351  
Lockheed Martin Corp.     4,402       1,467,275  
Northrop Grumman Corp.     3,498       1,220,102  
Rollins, Inc.     50,043       1,665,431  
United Parcel Service, Inc., Class B     9,668       1,917,841  
Total Industrials             10,923,179  
                 
Information Technology (34.74%)                
Advanced Micro Devices, Inc.(a)     12,677       2,007,656  
Apple, Inc.     44,408       7,340,642  
Broadcom, Inc.     6,217       3,442,229  
Cadence Design Systems, Inc.(a)     14,828       2,631,377  
Cisco Systems, Inc./Delaware     15,553       852,927  
CommVault Systems, Inc.(a)     18,622       1,170,951  
Intel Corp.     44,065       2,167,998  
Microsoft Corp.     34,189       11,302,542  
Motorola Solutions, Inc.     6,002       1,519,586  
National Instruments Corp.     15,803       656,141  
Oracle Corp.     34,157       3,099,406  
Paychex, Inc.     14,196       1,692,163  
Power Integrations, Inc.     14,970       1,497,449  
Salesforce.com, Inc.(a)     2,801       798,173  
Square, Inc., Class A(a)(b)     9,077       1,891,011  
Texas Instruments, Inc.     7,142       1,373,907  
Visa, Inc.     13,390       2,594,580  
Total Information Technology             46,038,738  
                 
Materials (1.45%)                
Newmont Mining Corp.     26,522       1,456,588  
Westrock Co.     10,745       466,226  
Total Materials             1,922,814  
                 
Real Estate (9.83%)                
American Assets Trust, Inc.     25,052       861,789  
American Tower Corp.     7,121       1,869,120  
Brandywine Realty Trust     53,127       682,682  
Douglas Emmett, Inc.     15,320       502,036  
Equity Residential     19,293       1,645,886  
Iron Mountain, Inc.     33,996       1,544,778  
Kimco Realty Corp.     1,583       35,491  
Lexington Realty Trust     43,019       647,436  
National Health Investors, Inc.     9,211       481,183  
Omega Healthcare Investors, Inc.     16,969       474,114  
Paramount Group, Inc.     80,881       643,813  
Piedmont Office Realty Trust, Inc., Class A     71,344       1,239,959  
Prologis, Inc.     8,324       1,254,843  
Sabra Health Care REIT, Inc.     37,088       479,548  

 

See Notes to Financial Statements.

19 | November 30, 2021

 

RiverFront Dynamic US Dividend Advantage ETF  
Schedule of Investments November 30, 2021

 

Security Description   Shares     Value  
Real Estate (continued)                
SITE Centers Corp.     43,742     $ 658,754  
Total Real Estate             13,021,432  
                 
Utilities (1.63%)                
Alliant Energy Corp.     8,291       454,264  
Entergy Corp.     7,937       796,399  
PPL Corp.     32,879       915,022  
Total Utilities             2,165,685  
                 
TOTAL COMMON STOCKS                
(Cost $93,087,500)             131,925,235  

 

    7 Day Yield     Shares     Value  
SHORT TERM INVESTMENTS (0.44%)                
Money Market Fund (0.35%)                        
State Street Institutional Treasury Plus Money Market Fund                        
(Cost $467,176)     0.01 %     467,176       467,176  
                         
Investments Purchased with Collateral from Securities Loaned (0.09%)                        
State Street Navigator Securities Lending Government Money Market Portfolio, 0.03%                        
(Cost $117,429)             117,429       117,429  
TOTAL SHORT TERM INVESTMENTS                        
(Cost $584,605)                     584,605  
                         
TOTAL INVESTMENTS (99.99%)                        
(Cost $93,672,105)                   $ 132,509,840  
OTHER ASSETS IN EXCESS OF LIABILITIES (0.01%)                     14,353  
NET ASSETS - 100.00%                   $ 132,524,193  

 

(a) Non-income producing security.
(b) Security, or a portion of the security position is currently on loan. The total market value of securities on loan is $1,504,347.

 

 

See Notes to Financial Statements.

20 | November 30, 2021

 

RiverFront Dynamic US Flex-Cap ETF  
Schedule of Investments November 30, 2021

 

Security Description   Shares     Value  
COMMON STOCKS (99.56%)            
Communication Services (5.78%)                
Alphabet, Inc., Class A(a)     157     $ 445,558  
Alphabet, Inc., Class C(a)     145       413,111  
Comcast Corp., Class A     8,748       437,225  
Meta Platforms, Inc., Class A(a)     1,936       628,154  
New York Times Co., Class A     6,193       294,167  
Sirius XM Holdings, Inc.(b)     47,616       290,458  
Verizon Communications, Inc.     9,610       483,095  
Total Communication Services             2,991,768  
                 
Consumer Discretionary (10.28%)                
Adtalem Global Education, Inc.(a)     5,972       177,189  
Amazon.com, Inc.(a)     485       1,700,929  
Chegg, Inc.(a)     3,534       98,422  
Domino's Pizza, Inc.     853       447,091  
Hanesbrands, Inc.     13,191       213,035  
Lowe's Cos., Inc.     2,693       658,681  
PulteGroup, Inc.     6,390       319,692  
Sonic Automotive, Inc., Class A     6,279       281,990  
Target Corp.     2,726       664,708  
Wendy's Co.     10,005       205,903  
Williams-Sonoma, Inc.     2,830       551,397  
Total Consumer Discretionary             5,319,037  
                 
Consumer Staples (6.66%)                
Brown-Forman Corp.     4,590       301,425  
Coca-Cola Co.     10,517       551,617  
Colgate-Palmolive Co.     5,018       376,450  
Mondelez International, Inc., Class A     7,091       417,943  
Procter & Gamble Co.     4,772       689,936  
Sprouts Farmers Market, Inc.(a)     8,037       212,659  
Vector Group, Ltd.     23,864       370,847  
Walmart, Inc.     3,733       524,972  
Total Consumer Staples             3,445,849  
                 
Energy (1.23%)                
Coterra Energy, Inc.     11,893       238,811  
EOG Resources, Inc.     4,570       397,590  
Total Energy             636,401  
                 
Financials (9.54%)                
Ameriprise Financial, Inc.     2,055       595,128  
Berkshire Hathaway, Inc., Class B(a)     687       190,086  
BlackRock, Inc.     683       617,849  
First Commonwealth Financial Corp.     23,599       354,693  
Hope Bancorp, Inc.     20,018       287,258  
Kearny Financial Corp.     24,054       305,726  
Mercury General Corp.     5,839       297,906  
OceanFirst Financial Corp.     9,812       202,225  
Progressive Corp.     6,604       613,776  
Provident Financial Services, Inc.     14,448       340,106  

 

Security Description   Shares     Value  
Financials (continued)            
S&P Global, Inc.     1,099     $ 500,847  
Trupanion, Inc.(a)(b)     3,047       375,756  
Trustmark Corp.     8,250       252,533  
Total Financials             4,933,889  
                 
Health Care (12.44%)                
AbbVie, Inc.     4,842       558,186  
Anthem, Inc.     1,319       535,817  
Boston Scientific Corp.(a)     9,635       366,805  
Eli Lilly & Co.     3,019       748,833  
Exelixis, Inc.(a)     13,186       221,393  
Johnson & Johnson     1,066       166,221  
Merck & Co., Inc.     6,373       477,401  
NeoGenomics, Inc.(a)     5,824       199,530  
Pacific Biosciences of                
California, Inc.(a)     16,196       375,909  
Perrigo Co. PLC     5,062       185,826  
Quidel Corp.(a)     1,416       208,945  
RadNet, Inc.(a)     12,240       329,990  
STAAR Surgical Co.(a)     2,996       285,189  
UnitedHealth Group, Inc.     2,017       895,992  
Vertex Pharmaceuticals, Inc.(a)     1,424       266,203  
Zoetis, Inc.     2,750       610,610  
Total Health Care             6,432,850  
                 
Industrials (9.90%)                
3M Co.     2,488       423,060  
Allison Transmission Holdings, Inc.     5,535       191,456  
CACI International, Inc., Class A(a)     815       211,435  
Cintas Corp.     1,010       426,412  
CoreCivic, Inc.(a)     34,422       370,725  
Expeditors International of Washington, Inc.     2,521       306,604  
Fastenal Co.     5,179       306,441  
General Electric Co.     2,199       208,883  
Graco, Inc.     5,332       388,650  
Hubbell, Inc.     1,349       263,999  
Lockheed Martin Corp.     1,020       339,986  
Northrop Grumman Corp.     1,068       372,518  
Rollins, Inc.     8,248       274,493  
Steelcase, Inc., Class A     13,677       153,046  
United Parcel Service, Inc.,                
Class B     2,794       554,246  
Vicor Corp.(a)     2,300       329,958  
Total Industrials             5,121,912  
                 
Information Technology (34.58%)                
Adobe, Inc.(a)     1,113       745,543  
Advanced Micro Devices, Inc.(a)     4,793       759,067  
Apple, Inc.     18,918       3,127,145  
Broadcom, Inc.     1,039       575,274  
Cognizant Technology Solutions Corp., Class A     3,303       257,568  
Enphase Energy, Inc.(a)     3,400       850,000  
Entegris, Inc.     3,721       543,564  

 

See Notes to Financial Statements.

21 | November 30, 2021

 

RiverFront Dynamic US Flex-Cap ETF  
Schedule of Investments November 30, 2021

 

Security Description   Shares     Value  
Information Technology (continued)            
EPAM Systems, Inc.(a)     956     $ 581,774  
Gogo, Inc.(a)(b)     23,949       307,026  
Intel Corp.     10,979       540,167  
Knowles Corp.(a)     17,268       375,061  
Mastercard, Inc., Class A     1,940       610,945  
Microsoft Corp.     10,113       3,343,257  
Monolithic Power Systems, Inc.     1,222       676,328  
NCR Corp.(a)     7,041       273,895  
Oracle Corp.     7,669       695,885  
PayPal Holdings, Inc.(a)     2,854       527,676  
Power Integrations, Inc.     4,594       459,538  
Salesforce.com, Inc.(a)     2,268       646,289  
Square, Inc., Class A(a)(b)     1,951       406,452  
Visa, Inc.     3,516       681,295  
VMware, Inc., Class A     2,120       247,489  
Zebra Technologies Corp., Class A(a)     1,117       657,667  
Total Information Technology             17,888,905  
                 
Materials (3.66%)                
Axalta Coating Systems, Ltd.(a)     8,251       250,170  
Eastman Chemical Co.     2,346       244,664  
FMC Corp.     2,883       288,848  
NewMarket Corp.     440       145,772  
O-I, Inc.(a)     22,824       252,662  
Packaging Corp. of America     1,540       201,109  
Vulcan Materials Co.     1,652       316,589  
Westrock Co.     4,495       195,038  
Total Materials             1,894,852  
                 
Real Estate (4.86%)                
Apartment Income REIT Corp.     5,301       269,079  
Apartment Investment and Management Co., Class A(a)     5,301       39,280  
CubeSmart     6,601       355,926  
Douglas Emmett, Inc.     6,986       228,931  
Kennedy-Wilson Holdings, Inc.     13,436       291,427  
Kimco Realty Corp.     14,501       325,113  
Piedmont Office Realty Trust, Inc., Class A     16,542       287,500  
Prologis, Inc.     4,771       719,228  
Total Real Estate             2,516,484  
                 
Utilities (0.63%)                
Entergy Corp.     3,267       327,811  
                 
TOTAL COMMON STOCKS                
(Cost $35,992,455)             51,509,758  

 

Security Description   Shares     Value  
EXCHANGE TRADED FUNDS (0.17%)            
iShares Core S&P 500 ETF     191     $ 87,408  
                 
TOTAL EXCHANGE TRADED FUNDS                
(Cost $84,839)             87,408  

 

    7 Day Yield     Shares     Value  
SHORT TERM INVESTMENTS (0.77%)          
Money Market Fund (0.21%)                  
State Street Institutional Treasury Plus
Money Market Fund
                       
(Cost $109,022)     0.01 %     109,022       109,022  
                         
Investments Purchased with Collateral from Securities Loaned (0.56%)                        
State Street Navigator Securities Lending Government Money Market Portfolio, 0.03%                        
(Cost $287,699)             287,699       287,699  
TOTAL SHORT TERM INVESTMENTS              
(Cost $396,721)                     396,721  
                         
TOTAL INVESTMENTS (100.50%)                        
(Cost $36,474,015)                   $ 51,993,887  
LIABILITIES IN EXCESS OF OTHER ASSETS (-0.50%)           (259,219 )
NET ASSETS - 100.00%                   $ 51,734,668  

 

(a) Non-income producing security.
(b) Security, or a portion of the security position is currently on loan. The total market value of securities on loan is $855,062.

 

See Notes to Financial Statements.

22 | November 30, 2021

 

RiverFront Strategic Income Fund  
Schedule of Investments November 30, 2021

 

Security Description   Principal Amount     Value  
CORPORATE BONDS (81.86%)            
Communications (5.53%)                
AMC Networks, Inc.                
5.00%, 04/01/2024   $ 420,000     $ 422,978  
4.75%, 08/01/2025     500,000       508,867  
CCO Holdings LLC / CCO Holdings                
Capital Corp.                
5.50%, 05/01/2026(a)     580,000       599,505  
CSC Holdings LLC                
5.50%, 04/15/2027(a)     1,075,000       1,105,530  
Level 3 Financing, Inc.                
3.75%, 07/15/2029(a)     1,268,000       1,179,684  
Netflix, Inc.                
4.38%, 11/15/2026     1,000,000       1,103,665  
Sirius XM Radio, Inc.                
3.13%, 09/01/2026(a)     1,045,000       1,031,133  
T-Mobile USA, Inc.                
2.63%, 04/15/2026     1,953,000       1,956,662  
Total Communications             7,908,024  
                 
Consumer Discretionary (14.69%)                
Air Canada                
3.88%, 08/15/2026(a)     1,098,000       1,096,227  
Aramark Services, Inc.                
6.38%, 05/01/2025(a)     1,098,000       1,146,422  
Caesars Entertainment, Inc.                
6.25%, 07/01/2025(a)     1,300,000       1,353,157  
DR Horton, Inc.                
4.38%, 09/15/2022     1,738,000       1,770,951  
Goodyear Tire & Rubber Co.                
5.00%, 05/31/2026     1,334,000       1,365,922  
Hilton Domestic Operating Co., Inc.                
3.75%, 05/01/2029(a)     1,209,000       1,199,588  
International Game Technology PLC                
6.50%, 02/15/2025(a)     1,148,000       1,247,044  
Las Vegas Sands Corp.                
3.20%, 08/08/2024     972,000       991,986  
Lennar Corp.                
4.75%, 11/29/2027     1,209,000       1,375,558  
MGM Resorts International                
6.00%, 03/15/2023     1,300,000       1,355,172  
Newell Brands, Inc.                
4.35%, 04/01/2023     400,000       414,824  
4.70%, 04/01/2026     1,000,000       1,072,188  
Nissan Motor Co., Ltd.                
3.52%, 09/17/2025(a)     1,209,000       1,268,813  
PulteGroup, Inc.                
5.50%, 03/01/2026     1,610,000       1,837,775  
Royal Caribbean Cruises, Ltd.                
10.88%, 06/01/2023(a)     1,357,000       1,477,678  
Six Flags Entertainment Corp.                
4.88%, 07/31/2024(a)     729,000       735,379  

 

Security Description   Principal Amount     Value  
Consumer Discretionary (continued)            
Yum! Brands, Inc.                
7.75%, 04/01/2025(a)   $ 1,209,000     $ 1,276,819  
Total Consumer Discretionary             20,985,503  
                 
Consumer Staples (2.63%)                
Anheuser-Busch InBev                
Worldwide, Inc.                
4.75%, 01/23/2029     1,098,000       1,281,517  
JBS USA Food Co.                
7.00%, 01/15/2026     1,278,000       1,331,720  
Spectrum Brands, Inc.                
5.75%, 07/15/2025     30,000       30,590  
US Foods, Inc.                
6.25%, 04/15/2025(a)     1,075,000       1,120,935  
Total Consumer Staples             3,764,762  
                 
Energy (5.36%)                
Cheniere Corpus Christi Holdings LLC                
7.00%, 06/30/2024     1,271,000       1,414,294  
DCP Midstream Operating LP                
5.38%, 07/15/2025     1,045,000       1,119,435  
EQM Midstream Partners LP                
4.75%, 07/15/2023     408,000       421,025  
Occidental Petroleum Corp.                
2.90%, 08/15/2024     1,120,000       1,124,010  
Petroleos Mexicanos                
4.88%, 01/18/2024     1,075,000       1,095,576  
Schlumberger Holdings Corp.                
3.90%, 05/17/2028(a)     1,098,000       1,200,256  
Valero Energy Corp.                
3.40%, 09/15/2026     1,209,000       1,283,507  
Total Energy             7,658,103  
                 
Financials (25.25%)                
Air Lease Corp.                
4.25%, 02/01/2024     1,008,000       1,067,908  
Ares Capital Corp.                
3.50%, 02/10/2023     1,212,000       1,243,367  
Avolon Holdings Funding, Ltd.                
2.53%, 11/18/2027(a)     1,142,000       1,115,128  
Bancolombia SA                
5.13%, 09/11/2022     996,000       1,018,231  
Bank of America Corp.                
4.25%, 10/22/2026     1,649,000       1,819,893  
Blackstone Secured Lending Fund                
3.63%, 01/15/2026     1,196,000       1,249,378  
Capital One Financial Corp.                
4.20%, 10/29/2025     1,098,000       1,196,526  
CIT Group, Inc.                
5.00%, 08/15/2022     2,121,000       2,179,656  
Citigroup, Inc.                
4.45%, 09/29/2027     1,649,000       1,835,704  
EPR Properties                
4.75%, 12/15/2026     1,045,000       1,130,596  

 

See Notes to Financial Statements.

23 | November 30, 2021

 

RiverFront Strategic Income Fund    
Schedule of Investments November 30, 2021  

 

Security Description   Principal Amount     Value  
Financials (continued)            
FS KKR Capital Corp.                
3.40%, 01/15/2026   $ 1,209,000     $ 1,234,300  
GLP Capital LP / GLP Financing II, Inc.                
3.35%, 09/01/2024     972,000       1,011,716  
Goldman Sachs Group, Inc.                
4.25%, 10/21/2025     1,649,000       1,795,412  
HAT Holdings I LLC / HAT Holdings II LLC                
3.38%, 06/15/2026(a)     1,131,000       1,114,917  
Icahn Enterprises LP / Icahn Enterprises Finance Corp.                
4.75%, 09/15/2024     1,301,000       1,325,654  
Iron Mountain, Inc.                
4.88%, 09/15/2027(a)     1,161,000       1,182,339  
iStar, Inc.                
4.75%, 10/01/2024     1,365,000       1,413,219  
JPMorgan Chase & Co.                
4.25%, 10/01/2027     1,649,000       1,844,249  
MPT Operating Partnership LP /                
MPT Finance Corp.                
5.25%, 08/01/2026     972,000       999,823  
Newmark Group, Inc.                
6.13%, 11/15/2023     1,281,000       1,379,355  
Omega Healthcare Investors, Inc.                
4.38%, 08/01/2023     330,000       345,940  
5.25%, 01/15/2026     669,000       748,166  
OneMain Finance Corp.                
6.13%, 03/15/2024     1,300,000       1,366,619  
Park Aerospace Holdings, Ltd.                
5.25%, 08/15/2022(a)     26,000       26,677  
Santander Holdings USA, Inc.                
3.50%, 06/07/2024     496,000       519,554  
SBA Communications Corp.                
3.88%, 02/15/2027     1,550,000       1,588,265  
Starwood Property Trust, Inc.                
5.00%, 12/15/2021     765,000       765,796  
4.75%, 03/15/2025     1,000,000       1,039,063  
Synchrony Financial                
2.85%, 07/25/2022     1,030,000       1,043,886  
VICI Properties LP / VICI Note Co., Inc.                
4.25%, 12/01/2026(a)     1,430,000       1,476,496  
Total Financials             36,077,833  
                 
Health Care (2.03%)                
DaVita, Inc.                
4.63%, 06/01/2030(a)     1,161,000       1,145,762  
HCA, Inc.                
5.88%, 05/01/2023     1,133,000       1,201,376  
5.38%, 02/01/2025     500,000       546,000  
Total Health Care             2,893,138  
                 
Industrials (5.13%)                
Boeing Co.                
4.88%, 05/01/2025     1,209,000       1,326,344  

 

Security Description   Principal Amount     Value  
Industrials (continued)            
MasTec, Inc.                
4.50%, 08/15/2028(a)   $ 1,118,000 $     1,150,500  
Sensata Technologies BV                
5.00%, 10/01/2025(a)     1,000,000       1,084,285  
Stericycle, Inc.                
5.38%, 07/15/2024(a)     1,046,000       1,072,098  
TransDigm, Inc.                
6.25%, 03/15/2026(a)     1,075,000       1,116,860  
WESCO Distribution, Inc.                
7.13%, 06/15/2025(a)     1,500,000       1,586,303  
Total Industrials             7,336,390  
                 
Materials (13.71%)                
Alcoa Nederland Holding BV                
4.13%, 03/31/2029(a)     1,357,000       1,386,081  
ArcelorMittal SA                
3.60%, 07/16/2024     1,133,000       1,188,767  
Arconic Corp.                
6.00%, 05/15/2025(a)     1,098,000       1,146,603  
Ardagh Packaging Finance PLC /                
Ardagh Holdings USA, Inc.                
5.25%, 04/30/2025(a)     1,322,000       1,362,870  
Ball Corp.                
5.25%, 07/01/2025     834,000       916,228  
4.88%, 03/15/2026     500,000       544,688  
Berry Global, Inc.                
4.88%, 07/15/2026(a)     1,160,000       1,205,037  
Braskem Finance, Ltd.                
6.45%, 02/03/2024     1,335,000       1,447,754  
CF Industries, Inc.                
3.45%, 06/01/2023     879,000       911,505  
Freeport-McMoRan, Inc.                
3.88%, 03/15/2023     1,133,000       1,167,194  
5.00%, 09/01/2027     550,000       572,643  
Graphic Packaging International LLC                
4.88%, 11/15/2022     1,481,000       1,515,374  
Mauser Packaging Solutions Holding Co.                
5.50%, 04/15/2024(a)     434,000       435,050  
Methanex Corp.                
5.13%, 10/15/2027     1,075,000       1,125,611  
NOVA Chemicals Corp.                
4.88%, 06/01/2024(a)     1,300,000       1,349,848  
Novelis Corp.                
3.25%, 11/15/2026(a)     1,045,000       1,045,679  
Sasol Financing International, Ltd.                
4.50%, 11/14/2022     582,000       590,348  
Sasol Financing USA LLC                
4.38%, 09/18/2026     669,000       660,310  
Standard Industries, Inc.                
3.38%, 01/15/2031(a)     1,098,000       1,013,278  
Total Materials             19,584,868  

 

See Notes to Financial Statements.

24 | November 30, 2021

 

RiverFront Strategic Income Fund  
Schedule of Investments November 30, 2021

 

Security Description   Principal Amount     Value  
Technology (3.30%)            
Flex, Ltd.                
5.00%, 02/15/2023   $ 1,333,000 $     1,397,353  
Microchip Technology, Inc.                
4.25%, 09/01/2025     1,118,000       1,158,553  
NortonLifeLock, Inc.                
3.95%, 06/15/2022     146,000       146,311  
5.00%, 04/15/2025(a)     859,000       869,660  
Seagate HDD Cayman                
4.75%, 06/01/2023     1,098,000       1,149,601  
Total Technology             4,721,478  
                 
Utilities (4.23%)                
AmeriGas Partners LP / AmeriGas                
Finance Corp.                
5.88%, 08/20/2026     1,131,000       1,236,500  
Calpine Corp.                
5.25%, 06/01/2026(a)     1,081,000       1,107,686  
NextEra Energy Operating Partners LP                
4.25%, 07/15/2024(a)     1,496,000       1,532,196  
NRG Energy, Inc.                
6.63%, 01/15/2027     374,000       387,120  
Vistra Operations Co. LLC                
3.55%, 07/15/2024(a)     1,721,000       1,785,931  
Total Utilities             6,049,433  
                 
TOTAL CORPORATE BONDS                
(Cost $117,462,395)             116,979,532  
                 
GOVERNMENT BONDS (6.30%)                
United States Treasury Bond                
1.13%, 02/15/2031     5,420,000       5,292,546  
1.13%, 08/15/2040     1,357,000       1,200,627  
2.00%, 02/15/2050     2,403,000       2,513,856  
TOTAL GOVERNMENT BONDS                
(Cost $8,545,528)             9,007,029  

 

    7 Day Yield     Shares     Value  
SHORT TERM INVESTMENTS (10.90%)          
Money Market Fund                        
State Street Institutional Treasury Plus Money Market Fund     0.01 %     15,569,861       15,569,861  
TOTAL SHORT TERM INVESTMENTS              
(Cost $15,569,861)                     15,569,861  
                         
TOTAL INVESTMENTS (99.06%)                        
(Cost $141,577,784)                   $ 141,556,422  
OTHER ASSETS IN EXCESS OF LIABILITIES (0.94%)           1,336,764  
NET ASSETS - 100.00%                   $ 142,893,186  

 

(a) Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate market value of those securities was $43,349,454, representing 30.34% of net assets.

 

See Notes to Financial Statements.

25 | November 30, 2021

 

RiverFront ETFs  
Statement of Assets and Liabilities November 30, 2021

 

    RiverFront Dynamic Core Income ETF     RiverFront Dynamic US Dividend Advantage ETF     RiverFront Dynamic US Flex- Cap ETF     RiverFront Strategic Income Fund  
ASSETS:                                
Investments, at value   $ 117,197,140     $ 132,509,840     $ 51,993,887     $ 141,556,422  
Dividend receivable           190,258       51,333        
Interest receivable     725,018                   1,424,310  
Total Assets     117,922,158       132,700,098       52,045,220       142,980,732  
                                 
LIABILITIES:                                
Payable to adviser     49,287       58,476       22,853       54,196  
Payable for investments purchased                       33,350  
Payable for collateral upon return of securities loaned           117,429       287,699        
Total Liabilities     49,287       175,905       310,552       87,546  
NET ASSETS   $ 117,872,871     $ 132,524,193     $ 51,734,668     $ 142,893,186  
                                 
NET ASSETS CONSIST OF:                                
Paid-in capital   $ 114,258,887     $ 110,873,706     $ 60,381,219     $ 152,981,346  
Total distributable earnings     3,613,984       21,650,487       (8,646,551 )     (10,088,160 )
NET ASSETS   $ 117,872,871     $ 132,524,193     $ 51,734,668     $ 142,893,186  
                                 
INVESTMENTS, AT COST   $ 115,303,392     $ 93,672,105     $ 36,474,015     $ 141,577,784  
                                 
PRICING OF SHARES                                
Net Assets   $ 117,872,871     $ 132,524,193     $ 51,734,668     $ 142,893,186  
Shares of beneficial interest outstanding (Unlimited number of shares authorized, par value $0.01 per share)     4,650,000       2,950,002       1,125,002       5,825,000  
Net Asset Value, offering and redemption price per share   $ 25.35     $ 44.92     $ 45.99     $ 24.53  

 

 

See Notes to Financial Statements.

26 | November 30, 2021

 

RiverFront ETFs  
Statement of Operations For the Year Ended November 30, 2021

 

    RiverFront Dynamic Core Income ETF     RiverFront Dynamic US Dividend Advantage ETF     RiverFront Dynamic US Flex- Cap ETF     RiverFront Strategic Income Fund  
INVESTMENT INCOME:                        
Interest   $ 2,543,754     $     $     $ 3,367,279  
Dividends(a)     1,480       2,574,570       712,667       2,163  
Non-Cash Dividends(b)                 208,615        
Securities Lending Income           2,421       5,591        
Total Investment Income     2,545,234       2,576,991       926,873       3,369,442  
                                 
EXPENSES:                                
Investment adviser and sub-adviser fees (Note 3)     555,036       674,222       322,665       575,624  
Total Expenses     555,036       674,222       322,665       575,624  
NET INVESTMENT INCOME     1,990,198       1,902,769       604,208       2,793,818  
                                 
REALIZED AND UNREALIZED GAIN/(LOSS)                                
Net realized gain on investments(c)     2,564,824       8,733,483       10,365,533       491,816  
NET REALIZED GAIN     2,564,824       8,733,483       10,365,533       491,816  
Net change in unrealized appreciation/(depreciation) on investments     (6,289,006 )     15,974,138       2,789,216       (1,547,122 )
NET CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION)     (6,289,006 )     15,974,138       2,789,216       (1,547,122 )
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS     (3,724,182 )     24,707,621       13,154,749       (1,055,306 )
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS   $ (1,733,984 )   $ 26,610,390     $ 13,758,957     $ 1,738,512  

 

(a) Net of foreign tax withholding in the amounts of $–, $–, $– and $158, respectively.
(b) Represents non-cash distributions in connection with capital changes for certain investments held by the Fund recorded on ex-date and based on fair value.
(c) Includes realized gain or loss as a result of in-kind transactions (See Note 4 in Notes to Financial Statements).

 

See Notes to Financial Statements.

27 | November 30, 2021

 

RiverFront Dynamic Core Income ETF
Statements of Changes in Net Assets

 

    For the Year Ended November 30, 2021     For the Year Ended November 30, 2020  
OPERATIONS:            
Net investment income   $ 1,990,198     $ 2,438,367  
Net realized gain     2,564,824       3,629,089  
Net change in unrealized appreciation/(depreciation)     (6,289,006 )     1,439,069  
Net increase/(decrease) in net assets resulting from operations     (1,733,984 )     7,506,525  
                 
DISTRIBUTIONS TO SHAREHOLDERS:                
From distributable earnings     (1,962,506 )     (2,449,436 )
Total distributions     (1,962,506 )     (2,449,436 )
                 
CAPITAL SHARE TRANSACTIONS:                
Proceeds from sale of shares     17,914,173       11,640,417  
Shares redeemed     (9,068,318 )     (38,925,424 )
Net increase/(decrease) from share transactions     8,845,855       (27,285,007 )
                 
Net increase/(decrease) in net assets     5,149,365       (22,227,918 )
                 
NET ASSETS:                
Beginning of period     112,723,506       134,951,424  
End of period   $ 117,872,871     $ 112,723,506  
                 
OTHER INFORMATION:                
CAPITAL SHARE TRANSACTIONS:                
Beginning shares     4,300,000       5,350,000  
Shares sold     700,000       450,000  
Shares redeemed     (350,000 )     (1,500,000 )
Shares outstanding, end of period     4,650,000       4,300,000  

 

See Notes to Financial Statements.

28 | November 30, 2021

 

RiverFront Dynamic US Dividend Advantage ETF
Statements of Changes in Net Assets

 

    For the Year Ended November 30, 2021     For the Year Ended November 30, 2020  
OPERATIONS:            
Net investment income   $ 1,902,769     $ 2,090,176  
Net realized gain/(loss)     8,733,483       (3,382,886 )
Net change in unrealized appreciation     15,974,138       17,047,755  
Net increase in net assets resulting from operations     26,610,390       15,755,045  
                 
DISTRIBUTIONS TO SHAREHOLDERS:                
From distributable earnings     (1,936,954 )     (2,186,237 )
Total distributions     (1,936,954 )     (2,186,237 )
                 
CAPITAL SHARE TRANSACTIONS:                
Proceeds from sale of shares     4,577,634       26,065,088  
Shares redeemed     (30,021,042 )     (37,167,998 )
Net decrease from share transactions     (25,443,408 )     (11,102,910 )
                 
Net increase/(decrease) in net assets     (769,972 )     2,465,898  
                 
NET ASSETS:                
Beginning of period     133,294,165       130,828,267  
End of period   $ 132,524,193     $ 133,294,165  
                 
OTHER INFORMATION:                
CAPITAL SHARE TRANSACTIONS:                
Beginning shares     3,600,002       3,850,002  
Shares sold     100,000       850,000  
Shares redeemed     (750,000 )     (1,100,000 )
Shares outstanding, end of period     2,950,002       3,600,002  

 

See Notes to Financial Statements.

29 | November 30, 2021

 

RiverFront Dynamic US Flex-Cap ETF
Statements of Changes in Net Assets

 

    For the Year Ended November 30, 2021     For the Year Ended November 30, 2020  
OPERATIONS:            
Net investment income   $ 604,208     $ 1,184,324  
Net realized gain/(loss)     10,365,533       (7,294,795 )
Net change in unrealized appreciation     2,789,216       6,053,248  
Net increase/(decrease) in net assets resulting from operations     13,758,957       (57,223 )
                 
DISTRIBUTIONS TO SHAREHOLDERS:                
From distributable earnings     (679,274 )     (1,188,592 )
Total distributions     (679,274 )     (1,188,592 )
                 
CAPITAL SHARE TRANSACTIONS:                
Proceeds from sale of shares           1,823,640  
Shares redeemed     (32,744,774 )     (55,840,068 )
Net decrease from share transactions     (32,744,774 )     (54,016,428 )
                 
Net decrease in net assets     (19,665,091 )     (55,262,243 )
                 
NET ASSETS:                
Beginning of period     71,399,759       126,662,002  
End of period   $ 51,734,668     $ 71,399,759  
                 
OTHER INFORMATION:                
CAPITAL SHARE TRANSACTIONS:                
Beginning shares     1,900,002       3,650,002  
Shares sold           50,000  
Shares redeemed     (775,000 )     (1,800,000 )
Shares outstanding, end of period     1,125,002       1,900,002  

 

See Notes to Financial Statements.

30 | November 30, 2021

 

RiverFront Strategic Income Fund
Statements of Changes in Net Assets

 

    For the Year Ended November 30, 2021     For the Year Ended November 30, 2020  
OPERATIONS:            
Net investment income   $ 2,793,818     $ 4,733,460  
Net realized gain/(loss)     491,816       (800,489 )
Net change in unrealized depreciation     (1,547,122 )     (812,935 )
Net increase in net assets resulting from operations     1,738,512       3,120,036  
                 
DISTRIBUTIONS TO SHAREHOLDERS:                
From distributable earnings     (3,171,669 )     (4,943,458 )
Total distributions     (3,171,669 )     (4,943,458 )
                 
CAPITAL SHARE TRANSACTIONS:                
Proceeds from sale of shares     43,888,656       17,274,109  
Shares redeemed     (18,545,978 )     (64,356,361 )
Net increase/(decrease) from share transactions     25,342,678       (47,082,252 )
                 
Net increase/(decrease) in net assets     23,909,521       (48,905,674 )
                 
NET ASSETS:                
Beginning of period     118,983,665       167,889,339  
End of period   $ 142,893,186     $ 118,983,665  
                 
OTHER INFORMATION:                
CAPITAL SHARE TRANSACTIONS:                
Beginning shares     4,800,000       6,800,000  
Shares sold     1,775,000       700,000  
Shares redeemed     (750,000 )     (2,700,000 )
Shares outstanding, end of period     5,825,000       4,800,000  

 

See Notes to Financial Statements.

31 | November 30, 2021

 

RiverFront Dynamic Core Income ETF  
Financial Highlights For a share outstanding throughout the periods presented

 

    For the Year Ended November 30, 2021     For the Year Ended November 30, 2020     For the Year Ended November 30, 2019     For the Year Ended November 30, 2018     For the Year Ended November 30, 2017  
NET ASSET VALUE, BEGINNING OF PERIOD   $ 26.21     $ 25.22     $ 23.52     $ 24.60     $ 24.32  
                                         
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:                                        
Net investment income(a)     0.47       0.50       0.68       0.68       0.53  
Net realized and unrealized gain/(loss)     (0.87 )     0.99       1.70       (1.10 )     0.23  
Total from investment operations     (0.40 )     1.49       2.38       (0.42 )     0.76  
                                         
DISTRIBUTIONS:                                        
From net investment income     (0.46 )     (0.50 )     (0.68 )     (0.66 )     (0.48 )
Total distributions     (0.46 )     (0.50 )     (0.68 )     (0.66 )     (0.48 )
                                         
NET INCREASE/(DECREASE) IN NET ASSET VALUE     (0.86 )     0.99       1.70       (1.08 )     0.28  
NET ASSET VALUE, END OF PERIOD   $ 25.35     $ 26.21     $ 25.22     $ 23.52     $ 24.60  
TOTAL RETURN(b)     (1.51 )%     5.97 %     10.22 %     (1.74 )%     3.15 %
                                         
RATIOS/SUPPLEMENTAL DATA:                                        
Net assets, end of period (000s)   $ 117,873     $ 112,724     $ 134,951     $ 150,527     $ 47,962  
                                         
Ratio of expenses to average net assets     0.51 %     0.51 %     0.51 %     0.51 %     0.51 %
Ratio of net investment income to average net assets     1.83 %     1.94 %     2.74 %     2.83 %     2.15 %
Portfolio turnover rate(c)     45 %     11 %     6 %     15 %     18 %

 

(a) Based on average shares outstanding during the period.
(b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period and the redemption at the net asset value on the last day of the period and assuming all distributions are reinvested at the actual reinvestment prices. Total return calculated for a period of less than one year is not annualized.
(c) Portfolio turnover for periods less than one year are not annualized and does not include securities received or delivered from processing creations or redemptions in-kind.

 

See Notes to Financial Statements.

32 | November 30, 2021

 

RiverFront Dynamic US Dividend Advantage ETF  
Financial Highlights For a share outstanding throughout the periods presented

 

    For the Year Ended November 30, 2021     For the Year Ended November 30, 2020     For the Year Ended November 30, 2019     For the Year Ended November 30, 2018     For the Year Ended November 30, 2017  
NET ASSET VALUE, BEGINNING OF PERIOD   $ 37.03     $ 33.98     $ 31.19     $ 31.39     $ 26.59  
                                         
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:                                        
Net investment income(a)     0.62       0.56       0.65       0.73       0.63  
Net realized and unrealized gain/(loss)     7.90       3.08       2.81       (0.26 )     4.76  
Total from investment operations     8.52       3.64       3.46       0.47       5.39  
                                         
DISTRIBUTIONS:                                        
From net investment income     (0.63 )     (0.59 )     (0.67 )     (0.67 )     (0.59 )
Total distributions     (0.63 )     (0.59 )     (0.67 )     (0.67 )     (0.59 )
                                         
NET INCREASE/(DECREASE) IN NET ASSET VALUE     7.89       3.05       2.79       (0.20 )     4.80  
NET ASSET VALUE, END OF PERIOD   $ 44.92     $ 37.03     $ 33.98     $ 31.19     $ 31.39  
TOTAL RETURN(b)     23.13 %     10.92 %     11.29 %     1.45 %     20.49 %
                                         
RATIOS/SUPPLEMENTAL DATA:                                        
Net assets, end of period (000s)   $ 132,524     $ 133,294     $ 130,828     $ 151,293     $ 59,644  
                                         
Ratio of expenses to average net assets     0.52 %     0.52 %     0.52 %     0.52 %     0.52 %
Ratio of net investment income to average net assets     1.47 %     1.68 %     2.05 %     2.27 %     2.19 %
Portfolio turnover rate(c)     0 %     75 %     64 %     96 %     54 %

 

(a) Based on average shares outstanding during the period.
(b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period and the redemption at the net asset value on the last day of the period and assuming all distributions are reinvested at the actual reinvestment prices. Total return calculated for a period of less than one year is not annualized.
(c) Portfolio turnover for periods less than one year are not annualized and does not include securities received or delivered from processing creations or redemptions in-kind.

 

See Notes to Financial Statements.

33 | November 30, 2021

 

RiverFront Dynamic US Flex-Cap ETF  
Financial Highlights For a share outstanding throughout the periods presented

 

    For the Year Ended November 30, 2021     For the Year Ended November 30, 2020     For the Year Ended November 30, 2019     For the Year Ended November 30, 2018     For the Year Ended November 30, 2017  
NET ASSET VALUE, BEGINNING OF PERIOD   $ 37.58     $ 34.70     $ 32.79     $ 32.46     $ 26.84  
                                         
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:                                        
Net investment income(a)     0.42       0.45       0.48       0.44       0.31  
Net realized and unrealized gain     8.43       2.87 (b)     1.93       0.27 (b)     5.59  
Total from investment operations     8.85       3.32       2.41       0.71       5.90  
                                         
DISTRIBUTIONS:                                        
From net investment income     (0.44 )     (0.44 )     (0.50 )     (0.38 )     (0.28 )
Total distributions     (0.44 )     (0.44 )     (0.50 )     (0.38 )     (0.28 )
                                         
NET INCREASE IN NET ASSET VALUE     8.41       2.88       1.91       0.33       5.62  
NET ASSET VALUE, END OF PERIOD   $ 45.99     $ 37.58     $ 34.70     $ 32.79     $ 32.46  
TOTAL RETURN(c)     23.65 %     9.75 %     7.49 %     2.16 %     22.08 %
                                         
RATIOS/SUPPLEMENTAL DATA:                                        
Net assets, end of period (000s)   $ 51,735     $ 71,400     $ 126,662     $ 152,464     $ 40,576  
                                         
Ratio of expenses to average net assets     0.52 %     0.52 %     0.52 %     0.52 %     0.52 %
Ratio of net investment income to average net assets     0.97 %     1.34 %     1.46 %     1.30 %     1.05 %
Portfolio turnover rate(d)     5 %     99 %     98 %     152 %     86 %

 

(a) Based on average shares outstanding during the period.
(b) Net realized and unrealized gain on investments per share does not correlate to the aggregate of the net realized and unrealized gain/(loss) in the Statements of Operations for the period(s) presented, primarily due to the timing of the sales and repurchases of the Fund's shares in relation to the fluctuating market values for the Fund's portfolio.
(c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period and the redemption at the net asset value on the last day of the period and assuming all distributions are reinvested at the actual reinvestment prices. Total return calculated for a period of less than one year is not annualized.
(d) Portfolio turnover for periods less than one year are not annualized and does not include securities received or delivered from processing creations or redemptions in-kind.

 

See Notes to Financial Statements.

34 | November 30, 2021

 

RiverFront Strategic Income Fund  
Financial Highlights For a share outstanding throughout the periods presented

 

    For the Year Ended November 30, 2021     For the Year Ended November 30, 2020     For the Year Ended November 30, 2019     For the Year Ended November 30, 2018     For the Year Ended November 30, 2017  
NET ASSET VALUE, BEGINNING OF PERIOD   $ 24.79     $ 24.69     $ 24.27     $ 25.21     $ 25.02  
                                         
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:                                        
Net investment income(a)     0.55       0.81       0.94       1.06       1.11  
Net realized and unrealized gain/(loss)     (0.18 )     0.13 (b)     0.48       (0.92 )     0.19  
Total from investment operations     0.37       0.94       1.42       0.14       1.30  
                                         
DISTRIBUTIONS:                                        
From net investment income     (0.63 )     (0.84 )     (1.00 )     (1.08 )     (1.11 )
Total distributions     (0.63 )     (0.84 )     (1.00 )     (1.08 )     (1.11 )
                                         
NET INCREASE/(DECREASE) IN NET ASSET VALUE     (0.26 )     0.10       0.42       (0.94 )     0.19  
NET ASSET VALUE, END OF PERIOD   $ 24.53     $ 24.79     $ 24.69     $ 24.27     $ 25.21  
TOTAL RETURN(c)     1.52 %     3.95 %     5.96 %     0.57 %     5.29 %
                                         
RATIOS/SUPPLEMENTAL DATA:                                        
Net assets, end of period (000s)   $ 142,893     $ 118,984     $ 167,889     $ 152,880     $ 337,769  
                                         
Ratio of expenses excluding waiver/reimbursement to average net assets     0.46 %     0.46 %     0.46 %     0.46 %     0.46 %
Ratio of expenses including waiver/reimbursement to average net assets     0.46 %     0.46 %     0.46 %     0.17 %(d)      0.16 %(e) 
Ratio of net investment income including expenses waiver/reimbursement to average net assets     2.23 %     3.32 %     3.83 %     4.31 %     4.41 %
Portfolio turnover rate(f)     50 %     54 %     44 %     35 %     32 %

 

(a) Based on average shares outstanding during the period.
(b) Net realized and unrealized gain on investments per share does not correlate to the aggregate of the net realized and unrealized gain/(loss) in the Statements of Operations for the period(s) presented, primarily due to the timing of the sales and repurchases of the Fund's shares in relation to the fluctuating market values for the Fund's portfolio.
(c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period and the redemption at the net asset value on the last day of the period and assuming all distributions are reinvested at the actual reinvestment prices. Total return calculated for a period of less than one year is not annualized.
(d) Effective November 1, 2018, the Fund’s management fee consists of a fee of 0.11% paid to the Fund’s investment adviser and a fee of 0.35% paid to the Fund’s sub-adviser. The Fund’s sub-adviser ceased its voluntary waiver effective November 1, 2018.
(e) Effective July 1, 2016, the Fund’s management fee consists of a fee of 0.16% paid to the Fund’s investment adviser and a fee of 0.30% paid to the Fund’s sub-adviser. The Fund’s sub-adviser voluntarily waived all of its 0.30% annual sub-advisory fee payable by the Fund until November 1, 2018.
(f) Portfolio turnover for periods less than one year are not annualized and does not include securities received or delivered from processing creations or redemptions in-kind.

 

See Notes to Financial Statements.

35 | November 30, 2021

 

RiverFront ETFs  
Notes to Financial Statements November 30, 2021

 

1. ORGANIZATION

 

 

ALPS ETF Trust (the “Trust”), a Delaware statutory trust, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As of November 30, 2021, the Trust consists of eighteen separate portfolios. Each portfolio represents a separate series of the Trust. This report pertains solely to the RiverFront Dynamic Core Income ETF, the RiverFront Dynamic US Dividend Advantage ETF, the RiverFront Dynamic US Flex-Cap ETF, and the RiverFront Strategic Income Fund (each a “Fund” and collectively, the “Funds”).

 

The investment objective of the RiverFront Dynamic Core Income ETF Fund is to seek total return, with an emphasis on income as the source of that total return. The Fund has elected to qualify as a diversified series of the Trust under the 1940 Act.

 

The investment objective of the RiverFront Dynamic US Dividend Advantage ETF Fund is to seek to provide capital appreciation and dividend income. The Fund has elected to qualify as a diversified series of the Trust under the 1940 Act.

 

The investment objective of the RiverFront Dynamic US Flex-Cap ETF Fund is to seek to provide capital appreciation. The Fund has elected to qualify as a diversified series of the Trust under the 1940 Act.

 

The investment objective of the RiverFront Strategic Income Fund is to seek total return, with an emphasis on income as the source of that total return. The Fund has elected to qualify as a diversified series of the Trust under the 1940 Act.

 

Each Fund’s Shares (“Shares”) are listed on the NYSE Arca, Inc. Each Fund issues and redeems Shares at net asset value (“NAV”) in blocks of 25,000 Shares (prior to October 1, 2021 in blocks of 50,000 Shares), each of which is called a “Creation Unit”. Creation Units are issued and redeemed principally in-kind for securities and/or cash. Except when aggregated in Creation Units, Shares are not redeemable securities of a Fund.

 

Pursuant to the Trust’s organizational documents, its Officers and Trustees are indemnified against certain liability arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred.

 

2.  SIGNIFICANT ACCOUNTING POLICIES

 

 

The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The accompanying financial statements were prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946.

 

A. Portfolio Valuation

Each Fund’s NAV is determined daily, as of the close of regular trading on the New York Stock Exchange (the “NYSE”), normally 4:00 p.m. Eastern Time, on each day the NYSE is open for trading. The NAV is computed by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding.

 

Portfolio securities listed on any exchange other than the NASDAQ Stock Market LLC (“NASDAQ”) are valued at the last sale price on the business day as of which such value is being determined. If there has been no sale on such day, the securities are valued at the mean of the most recent bid and ask prices on such day. Securities traded on the NASDAQ are valued at the NASDAQ Official Closing Price as determined by NASDAQ. Portfolio securities traded on more than one securities exchange are valued at the last sale price on the business day as of which such value is being determined at the close of the exchange representing the principal market for such securities. Portfolio securities traded in the over-the-counter market, but excluding securities traded on the NASDAQ, are valued at the last quoted sale price in such market.

 

Corporate bonds and United States government bonds are typically valued at the mean between the evaluated bid and ask prices formulated by an independent pricing service.

 

Each Fund’s investments are valued at market value or, in the absence of market value with respect to any portfolio securities, at fair value according to procedures adopted by the Trust’s Board of Trustees (the “Board”). When market quotations are not readily available or when events occur that make established valuation methods unreliable, securities of the Funds may be valued in good faith by or under the direction of the Board. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market price is not available from a pre-established primary pricing source or the pricing source is not willing to provide a price; a security with respect to which an event has occurred that is most likely to materially affect the value of the security after the market has closed but before the calculation of a Fund’s NAV or make it difficult or impossible to obtain a reliable market quotation; or a security whose price, as provided by the pricing service, does not reflect the security’s “fair value” due to the security being de-listed from a national exchange or the security’s primary trading market is temporarily closed at a time when, under normal conditions, it would be open. As a general principle, the current “fair value” of a security would be the amount which the owner might reasonably expect to receive from the sale on the applicable exchange or principal market. A variety of factors may be considered in determining the fair value of such securities.

36 | November 30, 2021

 

RiverFront ETFs  
Notes to Financial Statements November 30, 2021

 

B. Fair Value Measurements

Each Fund discloses the classification of its fair value measurements following a three-tier hierarchy based on the inputs used to measure fair value. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability that are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability that are developed based on the best information available.

 

Valuation techniques used to value the Funds’ investments by major category are as follows:

 

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the mean of the most recent quoted bid and ask prices on such day and are generally categorized as Level 2 in the hierarchy. Investments in open-end mutual funds are valued at their closing NAV each business day and are categorized as Level 1 in the hierarchy.

 

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For corporate bonds, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The RiverFront Dynamic Core Income ETF, the RiverFront Dynamic Unconstrained Income ETF, and the RiverFront Strategic Income Fund may invest a significant portion of their assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.

 

Various inputs are used in determining the value of each Fund’s investments as of the end of the reporting period. When inputs used fall into different levels of the fair value hierarchy, the level in the hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The designated input levels are not necessarily an indication of the risk or liquidity associated with these investments.

 

These inputs are categorized in the following hierarchy under applicable financial accounting standards:

 

Level 1 – Unadjusted quoted prices in active markets for identical investments, unrestricted assets or liabilities that a Fund has the ability to access at the measurement date;
Level 2 – Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or inputs other than quoted prices that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and
Level 3 – Significant unobservable prices or inputs (including the Fund’s own assumptions in determining the fair value of investments) where there is little or no market activity for the asset or liability at the measurement date.

37 | November 30, 2021

 

RiverFront ETFs  
Notes to Financial Statements November 30, 2021

 

The following is a summary of the inputs used to value the Funds’ investments as of November 30, 2021:

 

RiverFront Dynamic Core Income ETF

 

Investments in Securities at Value   Level 1 - Quoted and Unadjusted Prices     Level 2 - Other Significant Observable Inputs     Level 3 - Significant Unobservable Inputs     Total  
Corporate Bonds*   $     $ 71,782,066     $      –     $ 71,782,066  
Government Bonds*           32,106,671             32,106,671  
Short Term Investments     13,308,403                   13,308,403  
Total   $ 13,308,403     $ 103,888,737     $     $ 117,197,140  

 

RiverFront Dynamic US Dividend Advantage ETF

 

Investments in Securities at Value   Level 1 - Quoted and Unadjusted Prices     Level 2 - Other Significant Observable Inputs     Level 3 - Significant Unobservable Inputs     Total  
Common Stocks*   $ 131,925,235     $     $      –     $ 131,925,235  
Short Term Investments     584,605                   584,605  
Total   $ 132,509,840     $     $     $ 132,509,840  

 

RiverFront Dynamic US Flex-Cap ETF

 

Investments in Securities at Value   Level 1 - Quoted and Unadjusted Prices     Level 2 - Other Significant Observable Inputs     Level 3 - Significant Unobservable Inputs     Total  
Common Stocks*   $ 51,509,758     $     $      –     $ 51,509,758  
Exchange Traded Funds     87,408                   87,408  
Short Term Investments     396,721                   396,721  
Total   $ 51,993,887     $     $     $ 51,993,887  

 

RiverFront Strategic Income Fund

 

Investments in Securities at Value   Level 1 - Quoted and Unadjusted Prices     Level 2 - Other Significant Observable Inputs     Level 3 - Significant Unobservable Inputs     Total  
Corporate Bonds*   $     $ 116,979,532     $     –     $ 116,979,532  
Government Bonds*           9,007,029             9,007,029  
Short Term Investments     15,569,861                   15,569,861  
Total   $ 15,569,861     $ 125,986,561     $     $ 141,556,422  

 

* For a detailed sector breakdown, see the accompanying Schedule of Investments.

 

The Funds did not have any securities that used significant unobservable inputs (Level 3) in determining fair value and there were no transfers into or out of Level 3 during the year ended November 30, 2021.

 

C. Securities Transactions and Investment Income

Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the specific identification in accordance with GAAP. Dividend income and capital gains distributions, if any, are recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis, including amortization of premiums and accretion of discounts.

 

D. Dividends and Distributions to Shareholders

Dividends from net investment income for each Fund, if any, are declared and paid monthly or as the Board may determine from time to time. Distributions of net realized capital gains earned by the Funds, if any, are distributed at least annually.

 

E. Federal Tax and Tax Basis Information

The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. GAAP. Reclassifications are made to the Funds’ capital accounts for permanent tax differences to reflect income and gains available for distribution (or available capital loss carryforwards) under income tax regulations.

38 | November 30, 2021

 

RiverFront ETFs  
Notes to Financial Statements November 30, 2021

 

For the year ended November 30, 2021, the following reclassifications, which had no impact on results of operations or net assets, were recorded to reflect permanent tax differences resulting primarily from in-kind transactions:

 

Fund   Paid-in Capital     Total Distributable Earnings  
RiverFront Dynamic Core Income ETF   $ 697,983     $ (697,983 )
RiverFront Dynamic US Dividend Advantage ETF     8,589,950       (8,589,950 )
RiverFront Dynamic US Flex-Cap ETF     9,437,462       (9,437,462 )
RiverFront Strategic Income Fund     275,390       (275,390 )

 

The tax character of the distributions paid during the fiscal year ended November 30, 2021 and November 30, 2020 was as follows:

 

    Ordinary Income     Long-Term Capital Gain     Return of Capital  
November 30, 2021                  
RiverFront Dynamic Core Income ETF   $ 1,962,506     $     $  
RiverFront Dynamic US Dividend Advantage ETF     1,936,954              
RiverFront Dynamic US Flex-Cap ETF     679,274              
RiverFront Strategic Income Fund     3,171,669              

 

    Ordinary Income     Long-Term Capital Gain     Return of Capital  
November 30, 2020                  
RiverFront Dynamic Core Income ETF   $ 2,449,436     $     $  
RiverFront Dynamic US Dividend Advantage ETF     2,186,237              
RiverFront Dynamic US Flex-Cap ETF     1,188,592              
RiverFront Strategic Income Fund     4,943,458              

 

The character of distributions made during the year may differ from its ultimate characterization for federal income tax purposes.

 

The RiverFront Dynamic Core Income ETF, RiverFront Dynamic US Dividend Advantage ETF and RiverFront Dynamic US Flex-Cap ETF used capital loss carryovers during the year ended November 30, 2021 in the amounts of $163,328, $78,238 and $818,235, respectively.

 

Under current law, capital losses maintain their character as short-term or long-term and are carried forward to the next tax year without expiration. As of November 30, 2021, the following amounts are available as carry forwards to the next tax year:

 

Fund   Short-Term     Long-Term  
RiverFront Dynamic US Dividend Advantage ETF   $ 5,611,019     $ 11,582,063  
RiverFront Dynamic US Flex-Cap ETF     12,308,600       11,857,380  
RiverFront Strategic Income Fund     7,097,858       2,743,833  

 

As of November 30, 2021, the components of distributable earnings on a tax basis for each Fund were as follows:

 

    RiverFront Dynamic Core Income ETF     RiverFront Dynamic US Dividend Advantage ETF     RiverFront Dynamic US Flex-Cap ETF     RiverFront Strategic Income Fund  
Accumulated net investment income   $ 59,074     $ 13,342     $ 1,082     $ 62,614  
Accumulated net realized gain/(loss) on investments     1,710,559       (17,193,082 )     (24,165,980 )     (9,841,691 )
Net unrealized appreciation/(depreciation) on investments     1,844,351       38,830,227       15,518,347       (309,083 )
Total   $ 3,613,984     $ 21,650,487     $ (8,646,551 )   $ (10,088,160 )

39 | November 30, 2021

 

RiverFront ETFs  
Notes to Financial Statements November 30, 2021

 

As of November 30, 2021, the cost of investments for federal income tax purposes and accumulated net unrealized appreciation/(depreciation) on investments were as follows:

 

    RiverFront Dynamic Core Income ETF     RiverFront Dynamic US Dividend Advantage ETF     RiverFront Dynamic US Flex-Cap ETF     RiverFront Strategic Income Fund  
Gross appreciation (excess of value over tax cost)   $ 3,035,527     $ 41,175,813     $ 17,061,968     $ 756,357  
Gross depreciation (excess of tax cost over value)     (1,191,176 )     (2,345,586 )     (1,543,621 )     (1,065,440 )
Net unrealized appreciation/(depreciation)     1,844,351       38,830,227       15,518,347       (309,083 )
Cost of investments for income tax purposes   $ 115,352,789     $ 93,679,613     $ 36,475,540     $ 141,865,505  

 

The differences between book-basis and tax-basis are primarily due to the deferral of losses from wash sales and difference between premium amortization due to Accounting Standards Update 2017-08.

 

F. Income Taxes

No provision for income taxes is included in the accompanying financial statements, as each Fund intends to distribute to shareholders all taxable investment income and realized gains and otherwise comply with Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Each Fund evaluates tax positions taken (or expected to be taken) in the course of preparing the Funds’ tax returns to determine whether these positions meet a “more-likely-than-not” standard that, based on the technical merits, have a more than fifty percent likelihood of being sustained by a taxing authority upon examination. A tax position that meets the “more-likely-than-not” recognition threshold is measured to determine the amount of benefit to recognize in the financial statements.

 

As of and during the year ended November 30, 2021, the Funds did not have a liability for any unrecognized tax benefits. Each Fund files U.S. federal, state, and local tax returns as required. Each Fund’s tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return, but may extend to four years in certain jurisdictions. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.

 

G. Lending of Portfolio Securities

The RiverFront Dynamic US Dividend Advantage ETF and the RiverFront Dynamic US Flex-Cap ETF have entered into a securities lending agreement with State Street Bank & Trust Co. (“SSB”), the Funds’ lending agent. Each Fund may lend its portfolio securities only to borrowers that are approved by SSB. Each Fund will limit such lending to not more than 33 1/3% of the value of its total assets. Each Fund’s securities held at SSB as custodian shall be available to be lent except those securities the Fund or ALPS Advisors, Inc. specifically identifies in writing as not being available for lending. The borrower pledges and maintains with the Fund collateral consisting of cash (U.S. Dollars only), securities issued or guaranteed by the U.S. government or its agencies or instrumentalities, and cash equivalents (including irrevocable bank letters of credit) issued by a person other than the borrower or an affiliate of the borrower. The initial collateral received by each Fund is required to have a value of no less than 102% of the market value of the loaned securities for U.S equity securities and a value of no less than 105% of the market value for non-U.S. equity securities. The collateral is maintained thereafter, at a market value equal to not less than 102% of the current value of the U.S. equity securities on loan and not less than 105% of the current value of the non-U.S. equity securities on loan. The market value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to each Fund on the next business day. During the term of the loan, each Fund is entitled to all distributions made on or in respect of the loaned securities. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the customary time period for settlement of securities transactions.

 

Any cash collateral received is reinvested in a money market fund managed by SSB as disclosed in the Fund’s Schedule of Investments and is reflected in the Statements of Assets and Liabilities as a payable for collateral upon return of securities loaned. Non-cash collateral, in the form of securities issued or guaranteed by the U.S. government or its agencies or instrumentalities, is not disclosed in the Fund’s Statements of Assets and Liabilities as it is held by the lending agent on behalf of the Fund, and the Fund does not have the ability to re-hypothecate these securities. Income earned by the Fund from securities lending activity is disclosed in the Statement of Operations.

40 | November 30, 2021

 

RiverFront ETFs  
Notes to Financial Statements November 30, 2021

 

The following is a summary of the Fund's securities lending agreement and related cash and non-cash collateral received as of November 30, 2021:

 

Fund   Market Value of Securities on Loan     Cash Collateral Received     Non-Cash Collateral Received     Total Collateral Received  
RiverFront Dynamic US Dividend Advantage ETF   $ 1,504,347     $ 117,429     $ 1,454,190     $ 1,571,619  
RiverFront Dynamic US Flex-Cap ETF     855,062       287,699       609,254       896,953  

 

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Funds benefit from a borrower default indemnity provided by SSB. SSB’s indemnity allows for full replacement of securities lent wherein SSB will purchase the unreturned loaned securities on the open market by applying the proceeds of the collateral, or to the extent such proceeds are insufficient or the collateral is unavailable, SSB will purchase the unreturned loan securities at SSB’s expense. However, the Funds could suffer a loss if the value of the investments purchased with cash collateral falls below the value of the cash collateral received.

 

The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged or securities loaned, and the remaining contractual maturity of those transactions as of November 30, 2021:

 

RiverFront Dynamic US Dividend Advantage ETF         Remaining contractual maturity of the agreements  
Securities Lending Transactions   Overnight & Continuous     Up to 30 days     30-90 days     Greater than 90 days     Total  
Common Stocks   $ 117,429     $     $     $     $ 117,429  
Total Borrowings                                     117,429  
Gross amount of recognized liabilities for securities lending (collateral received)     $ 117,429  

 

RiverFront Dynamic US Flex-Cap ETF         Remaining contractual maturity of the agreements  
Securities Lending Transactions   Overnight & Continuous     Up to 30 days     30-90 days     Greater than 90 days     Total  
Common Stocks   $ 287,699     $     $     $     $ 287,699  
Total Borrowings                                     287,699  
Gross amount of recognized liabilities for securities lending (collateral received)     $ 287,699  

 

3.  INVESTMENT ADVISORY FEE AND OTHER AFFILIATED TRANSACTIONS

 

 

ALPS Advisors, Inc. (the “Adviser”) serves as the Funds’ investment adviser pursuant to an Investment Advisory Agreement with the Trust on behalf of each Fund (the “Advisory Agreement”). Pursuant to the Advisory Agreement, each Fund pays the Adviser an annual management fee for the services and facilities it provides, payable on a monthly basis as a percentage of the relevant Fund’s average daily net assets as set out below:

 

Fund Advisory Fee
RiverFront Dynamic Core Income ETF 0.51%(a)
RiverFront Dynamic US Dividend Advantage ETF 0.52%(b)
RiverFront Dynamic US Flex-Cap ETF 0.52%(b)
RiverFront Strategic Income Fund 0.11%

 

(a) The unitary advisory fee as a percentage of net assets is subject to the following breakpoints: (i) 0.51% for average net assets up to $600 million, (ii) 0.48% for average net assets equal to or greater than $600 million.

(b) The unitary advisory fee as a percentage of net assets is subject to the following breakpoints: (i) 0.52% for average net assets up to $600 million, (ii) 0.49% for average net assets equal to or greater than $600 million.

 

Out of the unitary management fee, the Adviser pays substantially all expenses of each Fund, including the cost of transfer agency, custody, fund administration, legal, audit, trustees and other services, except for interest expenses, distribution fees or expenses, brokerage expenses, taxes and extraordinary expenses not incurred in the ordinary course of each Fund's business. The Adviser’s unitary management fee is designed to pay substantially all of each Fund's expenses and to compensate the Adviser for providing services for each Fund.

41 | November 30, 2021

 

RiverFront ETFs  
Notes to Financial Statements November 30, 2021

 

RiverFront Investment Group, LLC (the “Sub-Adviser”) serves as each Fund’s sub-adviser pursuant to a sub-advisory agreement with the Trust (the ‘‘Sub-Advisory Agreement’’). Pursuant to the Sub-Advisory Agreement, the Adviser pays the Sub-Adviser a sub-advisory fee out of the Adviser’s advisory fee for the services it provides besides RiverFront Strategic Income Fund, in which the Fund directly pays the Sub-Adviser. The fee is payable on a monthly basis at the annual rate of the relevant Fund’s average daily net assets as set out below:

 

Fund Sub-Advisory Fee
RiverFront Dynamic Core Income ETF 0.35%
RiverFront Dynamic US Dividend Advantage ETF 0.35%
RiverFront Dynamic US Flex-Cap ETF 0.35%
RiverFront Strategic Income Fund 0.35%

 

ALPS Fund Services, Inc., an affiliate of the Adviser, is the administrator of the Funds.

Each Trustee receives (1) a quarterly retainer of $10,000, (2) a per meeting fee of $5,000, (3) $1,500 for any special meeting held outside of a regularly scheduled board meeting, and (4) reimbursement for all reasonable out-of-pocket expenses relating to attendance at meetings. In addition, the Chairman of the Board and Chairman of the Audit Committee each receives a quarterly retainer of $2,000, in connection with their respective roles.

 

4.  PURCHASES AND SALES OF SECURITIES