Not
FDIC
or
NCUA
Insured
No
Financial
Institution
Guarantee
May
Lose
Value
STRATEGIC
BETA
ETFs
Annual
Report
October
31,
2022
Columbia
Multi-Sector
Municipal
Income
ETF
Strategic
Beta
ETFs
|
Annual
Report
2022
TABLE
OF
CONTENTS
Fund
at
a
Glance
3
Manager
Discussion
of
Fund
Performance
6
Understanding
Your
Fund’s
Expenses
8
Portfolio
of
Investments
9
Statement
of
Assets
and
Liabilities
23
Statement
of
Operations
24
Statement
of
Changes
in
Net
Assets
25
Financial
Highlights
26
Notes
to
Financial
Statements
27
Report
of
Independent
Registered
Public
Accounting
Firm
34
Federal
Income
Tax
Information
35
Trustees
and
Officers
36
Approval
of
Investment
Management
Services
Agreement
45
Proxy
voting
policies
and
procedures
A
description
of
the
Trust’s
proxy
voting
policies
and
procedures
that
the
Trust
uses
to
determine
how
to
vote
proxies
relating
to
portfolio
securities,
and
the
Fund’s
proxy
voting
record
for
the
most
recent
twelve-month
period
ended
June 30
is
available,
without
charge,
by
visiting
columbiathreadneedleus.com/etfs
or
searching
the
website
of
the
Securities
and
Exchange
Commission
(the
SEC)
at
sec.gov.
Quarterly
schedule
of
investments
The
Fund
files
a
complete
schedule
of
portfolio
holdings
with
the
SEC
for
the
first
and
third
quarters
of
each
fiscal
year
on
Form
N-PORT.
The
Fund’s
Form
N-PORTs
are
available
on
the
SEC’s
website
at
sec.gov.
The
Fund’s
complete
schedule
of
portfolio
holdings,
as
filed
on
Form
N-PORT,
is
available
on
columbiathreadneedleus.com/etfs
or
can
also
be
obtained
without
charge,
upon
request,
by
calling
800.426.3750.
Additional
Fund
information
For
more
information
about
the
Fund,
please
visit
columbiathreadneedleus.com/etfs
or
call
800.426.3750.
Premium/discount
information
for
the
Fund
covering
the
most
recently
completed
calendar
year
and
the
most
recently
completed
calendar
quarters
since
that
year
(or
since
the
Fund
began
trading,
if
shorter)
is
publicly
accessible,
free
of
charge,
at
columbiathreadneedleus.com/etfs.
Fund
investment
manager
Columbia
Management
Investment
Advisers,
LLC
(the
Investment
Manager)
290
Congress
Street
Boston,
MA
02210
Fund
distributor
ALPS
Distributors,
Inc.
1290
Broadway
Suite
1000
Denver,
CO
80203
ALPS
Distributors,
Inc.
is
not
affiliated
with
Columbia
Management
Investment
Advisers,
LLC.
Fund
administrator,
custodian
&
transfer
agent
The
Bank
of
New
York
Mellon
Corp.
240
Greenwich
Street
New
York,
NY
10286
The
Bank
of
New
York
Mellon
Corp.
is
not
affiliated
with
Columbia
Management
Investment
Advisers,
LLC.
FUND
AT
A
GLANCE
(Unaudited)
Strategic
Beta
ETFs
|
Annual
Report
2022
3
Portfolio
management
Catherine
Stienstra
Lead
Portfolio
Manager
Managed
Fund
since
2018
Douglas
Rangel,
CFA
Portfolio
Manager
Managed
Fund
since
June
2022
William
(Bill)
Callagy
Portfolio
Manager
Managed
Fund
since
June
2022
Investment
objective
Columbia
Multi-Sector
Municipal
Income
ETF
(the
Fund)
seeks
investment
results
that,
before
fees
and
expenses,
closely
correspond
to
the
performance
of
the
Beta
Advantage
®
Multi-Sector
Municipal
Bond
Index.
All
results
shown
assume
reinvestment
of
distributions
during
the
period.
Returns
do
not
reflect
the
deduction
of
taxes
that
a
shareholder
may
pay
on
Fund
distributions
or
on
the
redemption
of
Fund
shares.
Performance
results
reflect
the
effect
of
any
fee
waivers
or
reimbursements
of
Fund
expenses
by
Columbia
Management
Investment
Advisers,
LLC
and/or
any
of
its
affiliates.
Absent
these
fee
waivers
or
expense
reimbursement
arrangements,
performance
results
would
have
been
lower.
The
performance
information
shown
represents
past
performance
and
is
not
a
guarantee
of
future
results.
The
investment
return
and
principal
value
of
your
investment
will
fluctuate
so
that
your
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
information
shown.
You
may
obtain
performance
information
current
to
the
most
recent
month-end
by
visiting
columbiathreadneedleus.com/etfs.
Through
July
31,
2020,
Market
Price
returns
are
based
on
the
midpoint
of
the
bid/ask
spread
for
fund
shares
at
market
close
(typically
4
pm
ET).
Beginning
with
August
31,
2020
month-end
performance,
Market
Price
returns
are
based
on
closing
prices
reported
by
the
Fund's
primary
listing
exchange
(typically
4
pm
ET
close).
These
returns
do
not
represent
the
returns
an
investor
would
receive
if
shares
were
traded
at
other
times.
The
Fund’s
shares
may
trade
above
or
below
their
net
asset
value.
The
net
asset
value
of
the
Fund
will
generally
fluctuate
with
changes
in
the
market
value
of
the
Fund’s
holdings.
The
market
prices
of
shares,
however,
will
generally
fluctuate
in
accordance
with
changes
in
net
asset
value
as
well
as
the
relative
supply
of,
and
demand
for,
shares
on
the
exchange.
The
trading
price
of
shares
may
deviate
significantly
from
the
net
asset
value.
The
Beta
Advantage
®
Multi-Sector
Municipal
Bond
Index
is
a
rules-based
multi-sector
strategic
beta
approach
to
measuring
the
performance
of
the
U.S.
tax-exempt
bond
market
which
is
composed
of
bonds
issued
by
or
on
behalf
of
state
or
local
governments
whose
interest
is
exempt
from
regular
federal
income
tax
(but
may
be
subject
to
the
alternative
minimum
tax),
through
representation
of
five
segments
of
the
municipal
debt
market
in
the
Index,
with
a
focus
on
yield,
quality,
maturity,
liquidity,
and
interest
rate
sensitivity
of
the
particular
segment.
The
Index
includes
publicly
issued
U.S.
dollar
denominated,
fixed
rate
municipal
bonds.
California
bonds,
Guam
bonds,
Puerto
Rico
bonds,
U.S.
Virgin
Island
bonds,
other
U.S.
territories,
commonwealths
and
possessions,
pre-refunded
bonds,
insured
bonds,
floaters,
callable
bonds
with
less
than
1
year
to
call,
tobacco
bonds,
and
derivatives
are
all
excluded
from
the
Index.
The
five
fixed
segments
with
their
respective
weightings
are
as
follows:
Municipal
Core
Revenue
Segment
(45%);
Municipal
Health
Care
Segment
(20%);
Municipal
High-Quality
Revenue
Segment
(15%);
The
Municipal
Core
General
Obligation
Segment
(10%);
and
the
Municipal
High
Yield
Segment
(10%).
Each
sector
of
the
Index
is
constructed
with
rules
specific
to
the
segment
to
provide
a
better
balance
of
quality,
yield
and
liquidity.
The
rules
for
each
segment
can
be
found
in
the
Fund’s
prospectus.
It
is
not
possible
to
invest
directly
in
an
index.
The
Bloomberg
Municipal
Bond
Index
is
an
unmanaged
index
considered
representative
of
the
broad
market
for
investment-grade,
tax-exempt
bonds
with
a
maturity
of
at
least
one
year.
Indices
are
not
available
for
investment,
are
not
professionally
managed
and
do
not
reflect
sales
charges,
fees,
brokerage
commissions,
taxes
or
other
expenses
of
investing.
Securities
in
the
Fund
may
not
match
those
in
an
index.
Average
annual
total
returns
(%)
(for
period
ended
October
31,
2022)
Inception
1
Year
Life
Market
Price
10/10/18
-12.40
1.20
Net
Asset
Value
10/10/18
-12.17
1.19
{
Beta
Advantage®
}
Multi-Sector
Municipal
Bond
Index
-12.18
1.03
Bloomberg
Municipal
Bond
Index
-11.98
0.61
FUND
AT
A
GLANCE
(continued)
(Unaudited)
4
Strategic
Beta
ETFs
|
Annual
Report
2022
Performance
of
a
hypothetical
$10,000
investment
(October
10,
2018
—
October
31,
2022)
The
chart
above
shows
the
change
in
value
of
a
hypothetical
$10,000
investment
made
on
the
Fund’s
inception,
and
does
not
reflect
the
deduction
of
taxes
or
brokerage
commissions
that
a
shareholder
may
pay
on
Fund
distributions
or
on
the
redemption
of
Fund
shares.
For
Illustrative
purposes
only.
There
is
no
guarantee
similar
results
can
be
achieved.
Quality
breakdown
(%)
(at
October
31,
2022)
AAA
rating
8.5
AA
rating
36.7
A
rating
41.3
BBB
rating
5.3
BB
rating
6.8
B
rating
1.3
CCC
rating
0.1
Total
100.0
Percentages
indicated
are
based
upon
total
fixed
income
investments.
Quality
breakdown
(%)
(at
October
31,
2022)
Bond
ratings
apply
to
the
underlying
holdings
of
the
Fund
and
not
the
Fund
itself
and
are
divided
into
categories
ranging
from
highest
to
lowest
credit
quality,
determined
by
using
the
middle
rating
of
Moody's,
S&P
and
Fitch,
after
dropping
the
highest
and
lowest
available
ratings.
When
ratings
are
available
from
only
two
rating
agencies,
the
lower
rating
is
used.
When
a
rating
is
available
from
only
one
agency,
that
rating
is
used.
If
a
security
is
not
rated
but
has
a
rating
by
Kroll
and/or
DBRS,
the
same
methodology
is
applied
to
those
bonds
that
would
otherwise
be
not
rated.
When
a
bond
is
not
rated
by
any
rating
agency,
it
is
designated
as
"Not
rated."
Credit
quality
ratings
assigned
by
a
rating
agency
are
subjective
opinions,
not
statements
of
fact,
and
are
subject
to
change,
including
daily.
The
ratings
assigned
by
credit
rating
agencies
are
but
one
of
the
considerations
that
the
Investment
Manager
and/
or
Fund's
subadviser
incorporates
into
its
credit
analysis
process,
along
with
such
other
issuer-specific
factors
as
cash
flows,
capital
structure
and
leverage
ratios,
ability
to
de-leverage
(repay)
through
free
cash
flow,
quality
of
management,
market
positioning
and
access
to
capital,
as
well
as
such
security-specific
factors
as
the
terms
of
the
security
(e.g.,
interest
rate
and
time
to
maturity)
and
the
amount
and
type
of
any
collateral.
FUND
AT
A
GLANCE
(continued)
(Unaudited)
Strategic
Beta
ETFs
|
Annual
Report
2022
5
Top
ten
states/territories
(%)
(at
October
31,
2022)
New
York
17
.2
Texas
9
.4
New
Jersey
9
.0
Illinois
9
.0
Pennsylvania
6
.3
Florida
5
.9
Colorado
4
.2
Connecticut
3
.8
Ohio
3
.1
Massachusetts
3
.0
Percentages
indicated
are
based
upon
total
investments
(excluding
Money
Market
Funds
and
derivatives,
if
any).
For
further
detail
about
these
holdings,
please
refer
to
the
section
entitled
"Portfolio
of
Investments".
Fund
holdings
are
as
of
the
date
given,
are
subject
to
change
at
any
time,
and
are
not
recommendations
to
buy
or
sell
any
security.
MANAGER
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
6
Strategic
Beta
ETFs
|
Annual
Report
2022
For
the
12-month
period
that
ended
October
31,
2022,
Columbia
Multi-Sector
Municipal
Income
ETF
returned
-12.17%
based
on
net
asset
value
(NAV)
and
-12.40%
based
on
market
price.
The
Beta
Advantage
®
Multi-Sector
Municipal
Bond
Index
(the
Index),
against
which
the
performance
of
the
Fund
is
measured,
returned
-12.18%
during
the
same
period.
To
compare,
the
Bloomberg
Municipal
Bond
Index
returned
-11.98%
for
the
same
period.
The
Fund
had
a
NAV
of
$22.30
on
October
31,
2021
and
ended
the
annual
period
on
October
31,
2022
with
a
NAV
of
$19.27.
The
Fund’s
market
price
on
October
31,
2022
was
$19.28
per
share.
Market
overview
During
the
annual
period,
rising
interest
rates
were
the
primary
driver
of
fixed
income
market
performance
overall,
including
the
municipal
bond
market.
With
inflation
near
multi-decade
highs,
the
U.S.
Federal
Reserve
(Fed)
kicked
off
its
interest
rate
hiking
program
in
March
2022
and
then
raised
interest
rates
four
more
times
—
for
a
total
of
300
basis
points
—
by
the
end
of
October.
(A
basis
point
is
1/100th
of
a
percentage
point.)
In
addition,
the
Fed
began
tapering
its
asset
purchases
in
an
effort
to
reduce
the
size
of
its
balance
sheet.
This
Fed
activity,
combined
with
supply-chain
constraints,
elevated
food
and
fuel
prices,
war
in
Ukraine
and
lingering
COVID-19
concerns,
pressured
both
fixed-income
and
equity
markets,
resulting
in
some
of
the
worst
performance
in
decades.
Municipal
bond
yields
followed
the
upward
march
of
U.S.
Treasury
yields
during
the
annual
period,
closing
October
2022
significantly
higher
across
the
yield
curve,
or
spectrum
of
maturities.
Municipal
bond
yields
rose
more
at
the
short-term
end
of
the
yield
curve,
but
longer
maturity
bonds
underperformed
their
shorter
term
counterparts,
given
their
longer
duration.
Also,
lower
credit
quality
segments
were
weaker,
with
AAA-rated
municipal
bonds
returning
-11.24%
for
the
annual
period
as
compared
to
-15.30%
and
-16.45%
for
BBB-rated
municipal
bonds
and
high-yield
municipal
bonds,
respectively.
(Remember,
there
is
an
inverse
relationship
between
bond
prices
and
yield
movements,
so
that
bond
prices
fall
when
yields
increase
and
vice
versa.)
Higher
yields,
followed
by
negative
total
returns,
caused
investors
to
flee
the
municipal
bond
sector
at
a
record
pace.
Despite
the
negative
returns,
there
were
several
notable
bright
spots
during
the
period.
First,
fundamental
credit
health
across
much
of
the
municipal
bond
market
remained
strong.
Upgrades
outpaced
downgrades
during
the
period,
and
most
issuers
benefited
from
better
than
consensus
expected
revenues
and
tax
collections
and
substantial
post-
COVID-19
federal
aid.
Second,
municipal
bond
exchange-traded
funds
(ETFs)
bucked
the
mutual
fund
outflow
trend
and
experienced
inflows,
using
those
monies
to
take
advantage
of
higher
absolute
yield
levels
and
more
inexpensive
offerings.
Finally,
while
absolute
returns
disappointed,
municipal
bonds,
as
measured
by
the
Bloomberg
Municipal
Bond
Index,
was
one
of
the
best-performing
sectors
in
the
U.S.
fixed-income
market
during
the
period,
outperforming
U.S.
Treasuries,
investment-grade
corporate
bonds
and
securitized
sectors.
The
Fund’s
notable
contributors
during
the
period
Index
constituents
in
the
state
general
obligation
(GO),
water
and
sewer,
transportation
and
local
GO
sectors
saw
the
least
negative
total
returns
and,
therefore,
contributed
most
positively
to
the
Index’s
results
on
a
relative
basis
during
the
annual
period.
The
Fund’s
notable
detractors
during
the
period
Index
constituents
in
the
industrial
development
revenue/pollution
control
revenue
(IDR/PCR),
hospitals
and
special
tax
sectors
saw
the
most
negative
total
returns,
detracting
most
from
the
Index’s
results
on
a
relative
basis
during
the
annual
period.
Investing
involves
risks,
including
the
risk
of
loss
of
principal.
Market
risk
may
affect
a
single
issuer,
sector
of
the
economy,
industry
or
the
market
as
a
whole.
Fixed-income
securities
present
credit
risk,
which
includes
issuer
default
risk.
The
Fund
is
subject
to
municipal
securities
risk,
which
includes
the
risk
that
the
value
of
such
securities
may
be
affected
by
state
tax,
legislative,
regulatory,
demographic
or
political
conditions/factors,
as
well
as
a
state’s
financial,
economic
or
other
conditions/factors.
The
Fund
may
invest
materially
in
a
single
issuer
and,
therefore,
be
more
exposed
to
the
risk
of
loss
than
a
fund
that
invests
more
broadly.
Prepayment
and
extension
risk
exists
because
the
timing
of
payments
on
a
loan,
bond
or
other
investment
may
accelerate
when
interest
rates
fall
or
decelerate
when
interest
rates
rise
which
may
reduce
investment
opportunities
and
potential
returns.
A
rise
in
interest
rates
may
result
in
a
price
decline
of
fixed-income
instruments
held
by
the
Fund,
negatively
impacting
its
performance
and
NAV.
Falling
rates
may
result
in
the
Fund
investing
in
lower
yielding
debt
instruments,
lowering
the
Fund’s
income
and
yield.
These
risks
may
be
heightened
for
longer
maturity
and
duration
securities.
Non-investment-grade
(high-yield
or
junk)
securities
present
greater
price
volatility
and
more
risk
to
principal
and
income
than
higher
rated
securities.
The
Fund
is
passively
managed
and
seeks
to
track
the
performance
of
an
index.
The
Fund’s
use
of
a
“representative
sampling”
MANAGER
DISCUSSION
OF
FUND
PERFORMANCE
(continued)
(Unaudited)
Strategic
Beta
ETFs
|
Annual
Report
2022
7
approach
in
seeking
to
track
the
performance
of
its
index
(investing
in
only
some
of
the
components
of
the
index
that
collectively
are
believed
to
have
an
investment
profile
similar
to
that
of
the
index)
may
not
allow
the
Fund
to
track
its
index
with
the
same
degree
of
accuracy
as
would
an
investment
vehicle
replicating
the
entire
index.
The
Fund
may
not
sell
a
poorly
performing
security
unless
it
was
removed
from
the
index.
There
is
no
guarantee
that
the
index
and,
correspondingly,
the
Fund
will
achieve
positive
returns.
Risk
exists
that
the
index
provider
may
not
follow
its
methodology
for
index
construction.
Errors
may
result
in
a
negative
fund
performance.
The
Fund's
net
asset
value
will
generally
decline
when
the
market
value
of
its
targeted
index
declines.
Although
the
Fund’s
shares
are
listed
on
an
exchange,
there
can
be
no
assurance
that
an
active,
liquid
or
otherwise
orderly
trading
market
for
shares
will
be
established
or
maintained.
The
Fund’s
portfolio
turnover,
as
it
seeks
to
track
its
index,
may
cause
an
adverse
expense
impact,
decreasing
the
Fund’s
returns
relative
to
the
index,
which
does
not
bear
transaction
expenses.
There
may
be
additional
portfolio
turnover
risk
as
active
market
trading
of
the
Fund’s
shares
may
cause
more
frequent
creation
or
redemption
activities
that
could,
in
certain
circumstances,
including
if
creation
and
redemptions
units
are
not
affected
on
an
in-kind
basis,
increase
the
number
of
portfolio
transactions
as
well
as
tracking
error
to
the
index
and
as
high
levels
of
transactions
increase
brokerage
and
other
transaction
costs
and
may
result
in
increased
taxable
capital
gains.
Market
or
other
(e.g.,
interest
rate)
environments
may
adversely
affect
the
liquidity
of
fund
investments,
negatively
impacting
their
price.
Generally,
the
less
liquid
the
market
at
the
time
the
Fund
sells
a
holding,
the
greater
the
risk
of
loss
or
decline
of
value
to
the
Fund.
See
the
Fund’s
prospectus
for
more
information
on
these
and
other
risks.
The
views
expressed
in
this
report
reflect
the
current
views
of
the
respective
parties
who
have
contributed
to
this
report.
These
views
are
not
guarantees
of
future
performance
and
involve
certain
risks,
uncertainties
and
assumptions
that
are
difficult
to
predict,
so
actual
outcomes
and
results
may
differ
significantly
from
the
views
expressed.
These
views
are
subject
to
change
at
any
time
based
upon
economic,
market
or
other
conditions
and
the
respective
parties
disclaim
any
responsibility
to
update
such
views.
These
views
may
not
be
relied
on
as
investment
advice
and,
because
investment
decisions
for
a
Columbia
fund
are
based
on
numerous
factors,
may
not
be
relied
on
as
an
indication
of
trading
intent
on
behalf
of
any
particular
Columbia
fund.
References
to
specific
securities
should
not
be
construed
as
a
recommendation
or
investment
advice.
UNDERSTANDING
YOUR
FUND’S
EXPENSES
(Unaudited)
8
Strategic
Beta
ETFs
|
Annual
Report
2022