TABLE OF
CONTENTS |
|||
Shareholder Expense Examples |
1 | ||
Portfolio Holdings Allocation |
3 | ||
Schedules of Investments |
5 | ||
Statements of Assets and Liabilities |
26 | ||
Statements of Operations |
28 | ||
Statements of Changes in Net Assets |
30 | ||
Financial Highlights |
35 | ||
Notes to Financial Statements |
40 | ||
Additional Information |
61 | ||
Expenses | |||
Beginning |
Ending |
Paid
During | |
Account |
Account |
Period | |
Value |
Value |
8/1/22
– | |
8/1/22 |
1/31/23 |
1/31/23(a) | |
FCF US Quality ETF |
|||
Actual |
$1,000.00 |
$1,009.50 |
$2.99 |
Hypothetical (5% return before expenses) |
$1,000.00 |
$1,022.23 |
$3.01 |
Expenses | |||
Beginning |
Ending |
Paid
During | |
Account |
Account |
Period | |
Value |
Value |
8/1/22
– | |
8/1/22 |
1/31/23 |
1/31/23(a) | |
FCF International Quality ETF |
|||
Actual |
$1,000.00 |
$1,010.90 |
$2.99 |
Hypothetical (5% return before expenses) |
$1,000.00 |
$1,022.23 |
$3.01 |
Expenses | |||
Beginning |
Ending |
Paid
During | |
Account |
Account |
Period | |
Value |
Value |
8/1/22
– | |
8/1/22 |
1/31/23 |
1/31/23(b) | |
Donoghue Forlines Tactical |
|||
High Yield ETF |
|||
Actual |
$1,000.00 |
$
971.20 |
$3.43 |
Hypothetical (5% return before expenses) |
$1,000.00 |
$1,021.73 |
$3.52 |
Expenses | |||
Beginning |
Ending |
Paid
During | |
Account |
Account |
Period | |
Value |
Value |
8/1/22
– | |
8/1/22 |
1/31/23 |
1/31/23(b) | |
Donoghue Forlines Risk |
|||
Managed Innovation ETF |
|||
Actual |
$1,000.00 |
$
969.20 |
$3.42 |
Hypothetical (5% return before expenses) |
$1,000.00 |
$1,021.73 |
$3.52 |
Expenses | |||
Beginning |
Ending |
Paid
During | |
Account |
Account |
Period | |
Value |
Value |
8/1/22
– | |
8/1/22 |
1/31/23 |
1/31/23(b) | |
Donoghue Forlines Yield |
|||
Enhanced Real Asset
ETF |
|||
Actual |
$1,000.00 |
$1,111.60 |
$3.67 |
Hypothetical (5% return before expenses) |
$1,000.00 |
$1,021.73 |
$3.52 |
(a) |
Actual Expenses Paid are equal to the
Fund’s annualized expense ratio of 0.59%, multiplied by the average
account value over the period, multiplied by 184/365 to reflect the
period. |
(b) |
Actual Expenses Paid are equal to the
Fund’s annualized expense ratio of 0.69%, multiplied by the average
account value over the period, multiplied by 184/365 to reflect the
period. |
FCF US Quality
ETF |
||||
Communications |
3.6 |
% | ||
Consumer Discretionary |
8.3 |
% | ||
Consumer Staples |
7.3 |
% | ||
Energy |
7.9 |
% | ||
Financials |
5.9 |
% | ||
Health Care |
17.9 |
% | ||
Industrials |
6.0 |
% | ||
Materials |
4.2 |
% | ||
Technology |
33.5 |
%(a) | ||
Utilities |
1.4 |
% | ||
REITs |
2.9 |
% | ||
Money Market Fund |
0.8 |
% | ||
Investment Purchased with the Cash Proceeds from Securities
Lending |
8.2 |
%(b) | ||
Liabilities in Excess of Other Assets |
(7.9 |
)% | ||
Total Net Assets |
100.0 |
% | ||
FCF International Quality ETF |
||||
Australia |
8.9 |
% | ||
Austria |
0.4 |
% | ||
Belgium |
0.7 |
% | ||
Brazil |
1.7 |
% | ||
Canada |
8.6 |
% | ||
China |
12.2 |
% | ||
Denmark |
4.5 |
% | ||
Finland |
1.0 |
% | ||
France |
6.9 |
% | ||
Germany |
0.9 |
% | ||
Hong Kong |
2.0 |
% | ||
India |
0.4 |
% | ||
Ireland |
1.6 |
% | ||
Israel |
1.0 |
% | ||
Italy |
1.4 |
% | ||
Japan |
4.7 |
% | ||
Netherlands |
4.3 |
% | ||
Norway |
3.2 |
% | ||
Portugal |
0.7 |
% | ||
Republic of Korea |
2.7 |
% | ||
Singapore |
0.7 |
% | ||
South Africa |
2.8 |
% | ||
Spain |
0.6 |
% | ||
Sweden |
1.7 |
% | ||
Switzerland |
7.4 |
% | ||
Taiwan |
6.8 |
% | ||
United Kingdom |
8.8 |
% | ||
Money Market Fund |
0.7 |
% | ||
Investment Purchased with the Cash Proceeds from Securities
Lending |
2.5 |
%(b) | ||
Other Assets in Excess of Liabilities |
0.2 |
% | ||
Total Net Assets |
100.0 |
% |
Donoghue Forlines Tactical High Yield
ETF |
||||
Exchange-Traded Funds |
99.9 |
% | ||
Money Market Fund |
0.2 |
% | ||
Investment Purchased with the Cash Proceeds from Securities
Lending |
33.5 |
%(b) | ||
Liabilities in Excess of Other Assets |
(33.6 |
)% | ||
Total Net Assets |
100.0 |
% | ||
Donoghue Forlines Risk Managed Innovation
ETF |
||||
Communications |
7.0 |
% | ||
Consumer Discretionary |
1.1 |
% | ||
Energy |
0.5 |
% | ||
Health Care |
12.2 |
% | ||
Industrials |
0.9 |
% | ||
Technology |
29.6 |
%(c) | ||
Exchange-Traded Funds |
48.5 |
% | ||
Money Market Fund |
0.2 |
% | ||
Investment Purchased with the Cash Proceeds from Securities
Lending |
10.5 |
%(b) | ||
Liabilities in Excess of Other Assets |
(10.5 |
)% | ||
Total Net Assets |
100.0 |
% | ||
Donoghue Forlines Yield Enhanced Real Asset
ETF |
||||
Energy |
32.6 |
%(d) | ||
Industrials |
14.9 |
% | ||
Materials |
18.5 |
% | ||
REITs |
18.2 |
% | ||
Master Limited Partnerships |
12.6 |
% | ||
Preferred Stocks |
2.6 |
% | ||
Money Market Fund |
0.5 |
% | ||
Investment Purchased with the Cash Proceeds from Securities
Lending |
16.3 |
%(b) | ||
Liabilities in Excess of Other Assets |
(16.2 |
)% | ||
Total Net Assets |
100.0 |
% |
(a) |
Amount represents investments in a
particular sector. No industry within this sector represented more than
25% of the Fund’s total assets at the time of investment. |
(b) |
Represents cash received as collateral in
return for securities lent as part of the securities lending program. The
cash is invested in the Mount Vernon Liquid Assets Portfolio, LLC as noted
in the applicable schedules of investments listed in this
report. |
(c) |
The amount represents investments in a
particular sector. Within the sector, the Fund will concentrate its
investments (i.e. invest more than 25% of its total assets) in a
particular industry or group of industries to approximately the same
extent the FCF Risk Managed Quality Innovation Index is
concentrated. |
(d) |
The amount represents investments in a
particular sector. Within the sector, the Fund will concentrate its
investments (i.e. invest more than 25% of its total assets) in a
particular industry or group of industries to approximately the same
extent the FCF Yield Enhanced Real Asset Index is
concentrated. |
Shares |
Value |
|||||||
COMMON STOCKS – 96.0% |
||||||||
Communications – 3.6% |
||||||||
Airbnb, Inc. – Class A (a) |
10,268 |
$ |
1,140,878 |
|||||
Alphabet, Inc. – Class A (a) |
29,822 |
2,947,607 |
||||||
Booking Holdings, Inc. (a) |
479 |
1,165,934 |
||||||
Expedia Group, Inc. (a) |
7,023 |
802,729 |
||||||
Sirius XM Holdings, Inc. (d) |
90,223 |
522,391 |
||||||
6,579,539 |
||||||||
Consumer Discretionary – 8.3% |
||||||||
AutoNation, Inc. (a) |
9,922 |
1,257,316 |
||||||
AutoZone, Inc. (a) |
755 |
1,841,332 |
||||||
Chipotle Mexican Grill, Inc. (a) |
659 |
1,084,964 |
||||||
Etsy, Inc. (a)(d) |
6,115 |
841,302 |
||||||
Genuine Parts Co. |
4,265 |
715,752 |
||||||
Group 1 Automotive, Inc. (d) |
5,904 |
1,262,570 |
||||||
Home Depot, Inc. |
3,624 |
1,174,792 |
||||||
Lowe’s Cos., Inc. |
4,833 |
1,006,472 |
||||||
O’Reilly Automotive, Inc. (a) |
2,365 |
1,873,908 |
||||||
Starbucks Corp. |
18,830 |
2,055,106 |
||||||
Ulta Beauty, Inc. (a) |
3,353 |
1,723,308 |
||||||
Williams-Sonoma, Inc. (d) |
3,171 |
427,895 |
||||||
15,264,717 |
||||||||
Consumer Staples – 7.3% |
||||||||
Altria Group, Inc. |
42,553 |
1,916,587 |
||||||
Clorox Co. (d) |
6,127 |
886,516 |
||||||
Coca-Cola Co. |
36,909 |
2,263,260 |
||||||
Colgate-Palmolive Co. |
20,209 |
1,506,177 |
||||||
Costco Wholesale Corp. |
1,301 |
664,993 |
||||||
Hershey Co. |
5,230 |
1,174,658 |
||||||
Kimberly-Clark Corp. |
6,749 |
877,438 |
||||||
Philip Morris International, Inc. |
21,913 |
2,284,211 |
||||||
Procter & Gamble Co. |
12,809 |
1,823,745 |
||||||
13,397,585 |
||||||||
Energy – 7.9% |
||||||||
APA Corp. |
19,574 |
867,715 |
||||||
Cheniere Energy, Inc. |
7,758 |
1,185,345 |
||||||
ConocoPhillips |
12,261 |
1,494,248 |
Shares |
Value |
|||||||
COMMON STOCKS – 96.0% (Continued) |
||||||||
Energy – 7.9% (Continued) |
||||||||
Enphase Energy, Inc. (a) |
3,782 |
$ |
837,259 |
|||||
Exxon Mobil Corp. |
32,948 |
3,822,298 |
||||||
Magnolia Oil & Gas Corp. – Class A (d) |
67,613 |
1,596,343 |
||||||
Occidental Petroleum Corp. |
12,604 |
816,613 |
||||||
Ovintiv, Inc. |
14,083 |
693,306 |
||||||
Targa Resources Corp. |
14,960 |
1,122,299 |
||||||
Texas Pacific Land Corp. |
492 |
981,958 |
||||||
Valero Energy Corp. |
7,661 |
1,072,770 |
||||||
14,490,154 |
||||||||
Financials – 5.9% |
||||||||
American Express Co. |
7,461 |
1,305,152 |
||||||
Aon PLC – Class A |
4,482 |
1,428,324 |
||||||
Erie Indemnity Co. – Class A (d) |
3,291 |
804,156 |
||||||
JPMorgan Chase & Co. |
6,875 |
962,225 |
||||||
LPL Financial Holdings, Inc. |
4,701 |
1,114,701 |
||||||
RLI Corp. (d) |
8,185 |
1,084,103 |
||||||
SEI Investments Co. |
18,070 |
1,128,110 |
||||||
Synchrony Financial |
32,012 |
1,175,801 |
||||||
T Rowe Price Group, Inc. (d) |
7,702 |
897,052 |
||||||
Willis Towers Watson PLC |
3,494 |
888,140 |
||||||
10,787,764 |
||||||||
Health Care – 17.9% |
||||||||
Abbott Laboratories |
13,258 |
1,465,672 |
||||||
AbbVie, Inc. |
17,450 |
2,578,237 |
||||||
Amgen, Inc. |
7,630 |
1,925,812 |
||||||
Bio-Rad Laboratories, Inc. – Class A (a) |
1,390 |
649,769 |
||||||
Bristol-Myers Squibb Co. |
24,880 |
1,807,532 |
||||||
Cardinal Health, Inc. |
10,481 |
809,657 |
||||||
Chemed Corp. |
1,277 |
645,064 |
||||||
CVS Health Corp. |
11,448 |
1,009,943 |
||||||
Elevance Health, Inc. |
2,153 |
1,076,478 |
||||||
Eli Lilly & Co. |
6,910 |
2,378,077 |
||||||
Gilead Sciences, Inc. |
15,453 |
1,297,125 |
||||||
Hologic, Inc. (a) |
12,835 |
1,044,384 |
||||||
Humana, Inc. |
1,474 |
754,246 |
Shares |
Value |
|||||||
COMMON STOCKS – 96.0% (Continued) |
||||||||
Health Care – 17.9% (Continued) |
||||||||
Johnson & Johnson |
16,842 |
$ |
2,752,320 |
|||||
McKesson Corp. |
4,146 |
1,570,007 |
||||||
Medpace Holdings, Inc. (a) |
5,563 |
1,229,812 |
||||||
Merck & Co., Inc. |
13,069 |
1,403,741 |
||||||
Mettler-Toledo International, Inc. (a) |
479 |
734,269 |
||||||
Molina Healthcare, Inc. (a) |
4,774 |
1,488,676 |
||||||
Pfizer, Inc. |
46,996 |
2,075,343 |
||||||
Regeneron Pharmaceuticals, Inc. (a) |
1,255 |
951,880 |
||||||
UnitedHealth Group, Inc. |
6,511 |
3,250,226 |
||||||
32,898,270 |
||||||||
Industrials – 6.0% |
||||||||
Cintas Corp. |
2,462 |
1,092,488 |
||||||
General Dynamics Corp. |
4,342 |
1,011,947 |
||||||
Insperity, Inc. (d) |
7,450 |
823,597 |
||||||
Keysight Technologies, Inc. (a) |
5,531 |
991,985 |
||||||
Landstar System, Inc. |
3,498 |
604,559 |
||||||
Lockheed Martin Corp. |
4,474 |
2,072,625 |
||||||
Matson, Inc. |
8,381 |
554,152 |
||||||
Otis Worldwide Corp. |
17,257 |
1,419,043 |
||||||
Rollins, Inc. |
17,229 |
627,136 |
||||||
United Parcel Service, Inc. – Class B |
9,448 |
1,750,053 |
||||||
10,947,585 |
||||||||
Materials – 4.2% |
||||||||
CF Industries Holdings, Inc. |
12,717 |
1,077,130 |
||||||
Dow, Inc. |
11,566 |
686,442 |
||||||
Eagle Materials, Inc. |
8,547 |
1,248,546 |
||||||
Louisiana-Pacific Corp. (d) |
13,026 |
886,940 |
||||||
LyondellBasell Industries NV – Class A |
11,632 |
1,124,698 |
||||||
Olin Corp. |
18,478 |
1,193,494 |
||||||
Sylvamo Corp. |
12,585 |
598,165 |
||||||
Trex Co., Inc. (a)(d) |
17,936 |
945,586 |
||||||
7,761,001 |
||||||||
Technology – 33.5% (c) |
||||||||
Accenture PLC – Class A |
6,844 |
1,909,818 |
||||||
Adobe, Inc. (a) |
4,194 |
1,553,206 |
Shares |
Value |
|||||||
COMMON STOCKS – 96.0% (Continued) |
||||||||
Technology – 33.5% (c) (Continued) |
||||||||
Apple, Inc. |
74,833 |
$ |
10,797,654 |
|||||
ASML Holding NV – NY Reg Shares |
2,591 |
1,712,236 |
||||||
Atlassian Corp. – Class A (a) |
6,043 |
976,670 |
||||||
Autodesk, Inc. (a) |
4,988 |
1,073,218 |
||||||
Box, Inc. – Class A (a)(d) |
31,782 |
1,016,706 |
||||||
Broadcom, Inc. |
3,852 |
2,253,459 |
||||||
Cadence Design Systems, Inc. (a) |
8,028 |
1,467,759 |
||||||
Cisco Systems, Inc. |
42,587 |
2,072,709 |
||||||
CommVault Systems, Inc. (a) |
13,807 |
859,210 |
||||||
Crowdstrike Holdings, Inc. – Class A (a) |
2,430 |
257,337 |
||||||
Datadog, Inc. – Class A (a)(d) |
4,443 |
332,381 |
||||||
DocuSign, Inc. (a) |
6,739 |
408,653 |
||||||
Dropbox, Inc. – Class A (a) |
46,630 |
1,083,215 |
||||||
Extreme Networks, Inc. (a) |
32,327 |
582,856 |
||||||
FactSet Research Systems, Inc. |
2,539 |
1,073,845 |
||||||
Fair Isaac Corp. (a) |
2,735 |
1,821,373 |
||||||
Fortinet, Inc. (a) |
30,724 |
1,608,094 |
||||||
Gartner, Inc. (a) |
4,652 |
1,573,027 |
||||||
HP, Inc. (d) |
41,103 |
1,197,741 |
||||||
International Business Machines Corp. (d) |
6,995 |
942,436 |
||||||
Jack Henry & Associates, Inc. |
6,771 |
1,219,389 |
||||||
Manhattan Associates, Inc. (a) |
7,820 |
1,019,415 |
||||||
MarketAxess Holdings, Inc. |
1,520 |
553,052 |
||||||
Mastercard, Inc. – Class A |
5,170 |
1,916,002 |
||||||
MaxLinear, Inc. (a)(d) |
8,558 |
352,590 |
||||||
Microchip Technology, Inc. |
8,808 |
683,677 |
||||||
Microsoft Corp. |
19,640 |
4,866,988 |
||||||
Motorola Solutions, Inc. |
3,072 |
789,535 |
||||||
MSCI, Inc. |
1,854 |
985,512 |
||||||
NVIDIA Corp. |
8,824 |
1,723,945 |
||||||
Palo Alto Networks, Inc. (a)(d) |
9,900 |
1,570,536 |
||||||
Paychex, Inc. |
5,380 |
623,327 |
||||||
Progress Software Corp. (d) |
15,036 |
797,509 |
||||||
Pure Storage, Inc. – Class A (a) |
33,432 |
967,522 |
||||||
Qualys, Inc. (a) |
4,920 |
567,571 |
||||||
Rambus, Inc. (a)(d) |
16,129 |
652,741 |
||||||
ServiceNow, Inc. (a)(d) |
3,359 |
1,528,782 |
Shares |
Value |
|||||||
COMMON STOCKS – 96.0% (Continued) |
||||||||
Technology – 33.5% (c) (Continued) |
||||||||
Synopsys, Inc. (a) |
3,125 |
$ |
1,105,469 |
|||||
Teradata Corp. (a) |
18,700 |
652,256 |
||||||
Veeva Systems, Inc. – Class A (a) |
1,822 |
310,742 |
||||||
Visa, Inc. – Class A (d) |
6,442 |
1,483,013 |
||||||
VMware, Inc. – Class A (a) |
4,615 |
565,199 |
||||||
61,508,375 |
||||||||
Utilities – 1.4% |
||||||||
Clearway Energy, Inc. – Class C (d) |
24,996 |
844,615 |
||||||
ONE Gas, Inc. |
20,881 |
1,719,759 |
||||||
2,564,374 |
||||||||
TOTAL COMMON STOCKS |
||||||||
(Cost $160,643,436) |
176,199,364 |
|||||||
REITs – 2.9% |
||||||||
Real Estate – 2.9% |
||||||||
American Tower Corp. |
5,592 |
1,249,197 |
||||||
Gaming and Leisure Properties, Inc. (d) |
14,310 |
766,443 |
||||||
Iron Mountain, Inc. (d) |
21,667 |
1,182,585 |
||||||
Lamar Advertising Co. – Class A |
9,894 |
1,054,107 |
||||||
Simon Property Group, Inc. |
7,704 |
989,656 |
||||||
TOTAL REITs |
||||||||
(Cost $5,019,637) |
5,241,988 |
|||||||
MONEY MARKET FUND – 0.8% |
||||||||
Fidelity Institutional Money Market Fund – |
||||||||
Government Portfolio, Institutional Class, 4.20%
(b) |
1,492,038 |
1,492,038 |
||||||
TOTAL MONEY MARKET FUND |
||||||||
(Cost $1,492,038) |
1,492,038 |
Shares |
Value |
|||||||
INVESTMENT PURCHASED WITH THE CASH |
||||||||
PROCEEDS FROM SECURITIES
LENDING – 8.2% |
||||||||
Investment Company – 8.2% |
||||||||
Mount Vernon Liquid Asset Portfolio, LLC, 4.53% (b) |
14,982,931 |
$ |
14,982,931 |
|||||
TOTAL INVESTMENT PURCHASED WITH THE |
||||||||
CASH PROCEEDS FROM SECURITIES LENDING |
||||||||
(Cost $14,982,931) |
14,982,931 |
|||||||
Total Investments (Cost $182,138,042) –
107.9% |
197,916,321 |
|||||||
Liabilities in Excess of Other Assets –
(7.9)% |
(14,429,224 |
) | ||||||
TOTAL NET ASSETS – 100.0% |
$ |
183,487,097 |
(a) |
Non-income producing
security. |
(b) |
Rate disclosed is the seven day
annualized yield as of January 31, 2023. |
(c) |
Amount represents investments in a
particular sector. No industry within this sector represented more than
25% of the Fund’s total assets at the time of investment. |
(d) |
All or a portion of this security was out
on loan at January 31, 2023. Total loaned securities had a market value of
$14,892,064 as of January 31, 2023. |
Shares |
Value |
|||||||
COMMON STOCKS – 94.7% |
||||||||
Communications – 5.5% |
||||||||
AfreecaTV Co., Ltd. |
1,240 |
$ |
79,929 |
|||||
Auto Trader Group PLC (b) |
19,753 |
152,690 |
||||||
Kakaku.com, Inc. |
8,918 |
147,303 |
||||||
KDDI Corp. |
6,706 |
209,116 |
||||||
MTN Group, Ltd. |
9,941 |
83,910 |
||||||
MultiChoice Group |
27,415 |
188,754 |
||||||
NetEase, Inc. – ADR |
3,424 |
303,401 |
||||||
Telenor ASA |
18,190 |
190,162 |
||||||
Telstra Corp., Ltd. |
62,169 |
179,039 |
||||||
1,534,304 |
||||||||
Consumer Discretionary – 12.2% |
||||||||
ANTA Sports Products, Ltd. |
14,516 |
219,189 |
||||||
Bunzl PLC |
3,409 |
124,823 |
||||||
BYD Co., Ltd. – Class H |
12,356 |
386,068 |
||||||
Ferrari NV (e) |
368 |
92,482 |
||||||
Geberit AG – Reg Shares |
369 |
208,623 |
||||||
Hennes & Mauritz AB – Class B |
17,865 |
218,871 |
||||||
Hermes International |
171 |
318,729 |
||||||
Howden Joinery Group PLC |
21,644 |
184,225 |
||||||
Industria de Diseno Textil SA |
5,157 |
160,455 |
||||||
JD Sports Fashion PLC |
74,631 |
149,744 |
||||||
La Francaise des Jeux SAEM (b) |
4,059 |
173,199 |
||||||
LVMH Moet Hennessy Louis Vuitton SE |
663 |
576,622 |
||||||
Pinduoduo, Inc. – ADR (a) |
3,117 |
305,404 |
||||||
Topsports International Holdings, Ltd. (b) |
70,506 |
66,449 |
||||||
ZOZO, Inc. |
7,126 |
183,399 |
||||||
3,368,282 |
||||||||
Consumer Staples – 9.8% |
||||||||
BGF Retail Co., Ltd. |
1,239 |
187,791 |
||||||
Chongqing Brewery Co., Ltd. – Class A |
13,742 |
244,458 |
||||||
Coles Group, Ltd. |
20,045 |
251,282 |
||||||
Dollarama, Inc. |
5,618 |
335,970 |
||||||
Imperial Brands PLC |
8,457 |
211,756 |
||||||
Jeronimo Martins SGPS SA |
9,604 |
208,192 |
||||||
Kweichow Moutai Co., Ltd. – Class A |
401 |
109,539 |
Shares |
Value |
|||||||
COMMON STOCKS – 94.7% (Continued) |
||||||||
Consumer Staples – 9.8%
(Continued) |
||||||||
Loblaw Cos., Ltd. |
2,519 |
$ |
225,670 |
|||||
L’Oreal SA |
190 |
78,089 |
||||||
Nongfu Spring Co., Ltd. – Class H (b) |
27,967 |
157,826 |
||||||
President Chain Store Corp. |
30,223 |
271,781 |
||||||
Shanxi Xinghuacun Fen Wine |
||||||||
Factory Co., Ltd. – Class A |
6,205 |
267,734 |
||||||
Unilever PLC |
3,369 |
170,645 |
||||||
2,720,733 |
||||||||
Energy – 7.2% |
||||||||
Aker BP ASA |
7,488 |
227,455 |
||||||
BP PLC – ADR |
7,398 |
268,030 |
||||||
Canadian Natural Resources, Ltd. |
3,383 |
207,651 |
||||||
Equinor ASA – ADR (e) |
10,470 |
318,602 |
||||||
Imperial Oil, Ltd. |
4,305 |
235,286 |
||||||
LONGi Green Energy Technology Co., Ltd. – Class A |
28,600 |
203,803 |
||||||
OMV AG |
2,065 |
102,931 |
||||||
Petroleo Brasileiro SA – ADR |
22,768 |
264,109 |
||||||
TotalEnergies SE – ADR (e) |
2,710 |
168,128 |
||||||
1,995,995 |
||||||||
Financials – 12.1% |
||||||||
Admiral Group PLC |
4,795 |
130,053 |
||||||
China Merchants Bank Co., Ltd. – Class H |
11,453 |
74,273 |
||||||
Commonwealth Bank of Australia |
1,322 |
102,701 |
||||||
Deutsche Boerse AG |
789 |
140,887 |
||||||
East Money Information Co., Ltd. – Class A |
2,199 |
7,319 |
||||||
FinecoBank Banca Fineco SpA |
5,773 |
103,242 |
||||||
Gjensidige Forsikring ASA |
7,960 |
142,667 |
||||||
Hargreaves Lansdown PLC |
11,979 |
131,290 |
||||||
Hong Kong Exchanges & Clearing, Ltd. |
6,593 |
296,305 |
||||||
Japan Exchange Group, Inc. |
3,755 |
57,090 |
||||||
Meritz Fire & Marine Insurance Co., Ltd. (c) |
7,742 |
324,312 |
||||||
Partners Group Holding AG |
318 |
296,638 |
||||||
Ping An Insurance Group Co. of China, Ltd. – Class H |
5,810 |
44,976 |
||||||
Royal Bank of Canada |
4,524 |
463,077 |
||||||
Singapore Exchange, Ltd. |
28,577 |
200,548 |
Shares |
Value |
|||||||
COMMON STOCKS – 94.7% (Continued) |
||||||||
Financials – 12.1% (Continued) |
||||||||
Toronto-Dominion Bank |
5,727 |
$ |
396,248 |
|||||
Wisdom Marine Lines Co., Ltd. |
90,667 |
183,297 |
||||||
Zurich Insurance Group AG |
536 |
264,750 |
||||||
3,359,673 |
||||||||
Health Care – 10.6% |
||||||||
Amplifon SpA |
6,593 |
181,124 |
||||||
Astellas Pharma, Inc. |
8,895 |
130,693 |
||||||
GSK PLC – ADR |
5,756 |
202,957 |
||||||
Ipsen SA |
1,385 |
145,149 |
||||||
Medibank Pvt, Ltd. |
74,619 |
154,849 |
||||||
Novo Nordisk A/S – Class B |
7,379 |
1,016,908 |
||||||
Orion Oyj – Class B |
2,348 |
125,563 |
||||||
Roche Holding AG |
1,697 |
528,749 |
||||||
Sonic Healthcare, Ltd. |
9,492 |
211,584 |
||||||
Zhangzhou Pientzehuang |
||||||||
Pharmaceutical Co., Ltd. – Class A |
4,930 |
226,766 |
||||||
2,924,342 |
||||||||
Industrials – 10.7% |
||||||||
AP Moller – Maersk A/S – Class A |
115 |
243,858 |
||||||
Atlas Copco AB – Class A |
21,739 |
256,396 |
||||||
COSCO SHIPPING Holdings Co., Ltd. – Class H |
150,068 |
155,022 |
||||||
Dassault Aviation SA |
1,335 |
227,425 |
||||||
Deutsche Post AG – Reg Shares |
2,544 |
108,913 |
||||||
Evergreen Marine Corp. Taiwan, Ltd. |
21,067 |
106,651 |
||||||
Intertek Group PLC |
3,400 |
182,129 |
||||||
Kone Oyj – Class B |
3,054 |
166,140 |
||||||
Korean Air Lines Co., Ltd. (a) |
8,194 |
161,312 |
||||||
Kuehne + Nagel International AG – Reg Shares |
951 |
226,038 |
||||||
Orient Overseas International, Ltd. |
5,616 |
92,894 |
||||||
Recruit Holdings Co., Ltd. |
5,112 |
162,748 |
||||||
Safran SA |
1,620 |
232,123 |
||||||
Schindler Holding AG |
746 |
158,367 |
||||||
SGS SA – Reg Shares |
102 |
247,897 |
||||||
Wan Hai Lines, Ltd. |
41,400 |
104,655 |
||||||
Yang Ming Marine Transport Corp. |
63,200 |
131,557 |
||||||
2,964,125 |
Shares |
Value |
|||||||
COMMON STOCKS – 94.7% (Continued) |
||||||||
Materials – 8.0% |
||||||||
Aluminum Corp of China, Ltd. – Class H |
244,704 |
$ |
130,136 |
|||||
BHP Group, Ltd. |
12,869 |
448,548 |
||||||
Evraz PLC (c) |
49,526 |
49,390 |
||||||
Exxaro Resources, Ltd. |
11,512 |
144,072 |
||||||
Fortescue Metals Group, Ltd. |
14,067 |
220,825 |
||||||
Kumba Iron Ore, Ltd. |
7,258 |
220,889 |
||||||
OCI NV |
5,454 |
185,231 |
||||||
Rio Tinto, Ltd. |
2,022 |
180,744 |
||||||
Shaanxi Coal Industry Co., Ltd. – Class A |
114,717 |
331,913 |
||||||
Sibanye Stillwater, Ltd. |
57,154 |
148,962 |
||||||
Xinyi Glass Holdings, Ltd. |
75,775 |
160,998 |
||||||
2,221,708 |
||||||||
Real Estate – 0.5% |
||||||||
Daito Trust Construction Co., Ltd. |
1,435 |
141,334 |
||||||
Technology – 16.6% |
||||||||
Accenture PLC – Class A |
723 |
201,753 |
||||||
ASML Holding NV |
1,060 |
694,421 |
||||||
Atlassian Corp. – Class A (a)(e) |
1,384 |
223,682 |
||||||
CGI, Inc. (a) |
1,106 |
94,794 |
||||||
Check Point Software Technologies, Ltd. (a) |
2,164 |
275,261 |
||||||
Constellation Software, Inc. |
243 |
429,324 |
||||||
eMemory Technology, Inc. |
3,334 |
179,886 |
||||||
Experian PLC |
6,791 |
247,233 |
||||||
Globalwafers Co., Ltd. |
12,000 |
209,026 |
||||||
Infosys, Ltd. – ADR (e) |
6,117 |
115,000 |
||||||
Lenovo Group, Ltd. |
202,520 |
161,941 |
||||||
Nomura Research Institute, Ltd. |
4,352 |
103,647 |
||||||
Nuvoton Technology Corp. |
18,656 |
80,465 |
||||||
Realtek Semiconductor Corp. |
13,085 |
139,457 |
||||||
RELX PLC |
13,303 |
393,942 |
||||||
Temenos AG – Reg Shares |
1,514 |
107,460 |
||||||
Trend Micro, Inc. |
3,206 |
157,388 |
||||||
Unimicron Technology Corp. |
59,500 |
270,499 |
||||||
Wiwynn Corp. |
8,000 |
199,833 |
||||||
Wolters Kluwer NV |
2,902 |
315,963 |
||||||
4,600,975 |
Shares |
Value |
|||||||
COMMON STOCKS – 94.7% (Continued) |
||||||||
Utilities – 1.5% |
||||||||
Elia Group SA/NV |
1,395 |
$ |
195,334 |
|||||
Origin Energy, Ltd. |
43,079 |
227,143 |
||||||
422,477 |
||||||||
TOTAL COMMON STOCKS |
||||||||
(Cost $29,201,938) |
26,253,948 |
|||||||
REITs – 1.2% |
||||||||
Real Estate – 1.2% |
||||||||
Goodman Group |
18,135 |
255,628 |
||||||
Segro PLC |
8,639 |
88,421 |
||||||
TOTAL REITs |
||||||||
(Cost $409,219) |
344,049 |
|||||||
PREFERRED STOCK – 0.7% |
||||||||
Utilities – 0.7% |
||||||||
Cia Energetica de Minas Gerais – ADR (e) |
92,458 |
207,106 |
||||||
TOTAL PREFERRED STOCK |
||||||||
(Cost $179,176) |
207,106 |
Shares |
Value |
|||||||
MONEY MARKET FUND – 0.7% |
||||||||
Fidelity Institutional Money Market Fund – |
||||||||
Government Portfolio, Institutional Class, 4.20%
(d) |
184,568 |
$ |
184,568 |
|||||
TOTAL MONEY MARKET FUND |
||||||||
(Cost $184,568) |
184,568 |
|||||||
INVESTMENT PURCHASED WITH THE CASH |
||||||||
PROCEEDS FROM SECURITIES
LENDING – 2.5% |
||||||||
Investment Company – 2.5% |
||||||||
Mount Vernon Liquid Asset Portfolio, LLC, 4.53% (d) |
684,129 |
684,129 |
||||||
TOTAL INVESTMENT PURCHASED WITH THE |
||||||||
CASH PROCEEDS FROM SECURITIES LENDING |
||||||||
(Cost $684,129) |
684,129 |
|||||||
Total Investments (Cost $30,659,030) –
99.8% |
27,673,800 |
|||||||
Other Assets in Excess of Liabilities –
0.2% |
61,051 |
|||||||
TOTAL NET ASSETS – 100.0% |
$ |
27,734,851 |
(a) |
Non-income producing
security. |
(b) |
Security exempt from registration under
Rule 144(a) and Regulation S of the Securities Act of 1933. Such
securities are treated as liquid securities according to the Fund’s
liquidity guidelines. At January 31, 2023, the value of these securities
amounted to $550,164 or 1.98% of net assets. |
(c) |
Value determined using significant
unobservable inputs. The value of these securities at January 31, 2023 is
$373,702 or 1.35% of net assets. |
(d) |
Rate disclosed is the seven day
annualized yield as of January 31, 2023. |
(e) |
All or a portion of this security was out
on loan at January 31, 2023. Total loaned securities had a market value of
$678,846 as of January 31, 2023. |
Shares |
Value |
|||||||
EXCHANGE-TRADED FUNDS – 99.9% |
||||||||
iShares 0-5 Year High Yield Corporate Bond ETF (b) |
100,544 |
$ |
4,223,853 |
|||||
iShares Broad USD High Yield Corporate Bond ETF |
193,881 |
6,939,001 |
||||||
iShares Fallen Angels USD Bond ETF |
110,505 |
2,823,403 |
||||||
iShares iBoxx High Yield Corporate Bond ETF (b) |
82,933 |
6,330,276 |
||||||
SPDR Bloomberg High Yield Bond ETF (b) |
48,984 |
4,586,372 |
||||||
SPDR Bloomberg Short-Term High Yield Bond ETF |
102,380 |
2,561,547 |
||||||
VanEck Fallen Angel High Yield Bond ETF |
93,057 |
2,612,110 |
||||||
Xtrackers USD High Yield Corporate Bond ETF |
145,907 |
5,102,368 |
||||||
TOTAL EXCHANGE-TRADED FUNDS |
||||||||
(Cost $34,774,520) |
35,178,930 |
|||||||
MONEY MARKET FUND – 0.2% |
||||||||
Fidelity Institutional Money Market Fund – |
||||||||
Government Portfolio, Institutional Class, 4.20%
(a) |
72,435 |
72,435 |
||||||
TOTAL MONEY MARKET FUND |
||||||||
(Cost $72,435) |
72,435 |
|||||||
INVESTMENT PURCHASED WITH THE CASH |
||||||||
PROCEEDS FROM SECURITIES
LENDING – 33.5% |
||||||||
Investment Company – 33.5% |
||||||||
Mount Vernon Liquid Asset Portfolio, LLC, 4.53% (a) |
11,816,185 |
11,816,185 |
||||||
TOTAL INVESTMENT PURCHASED WITH THE |
||||||||
CASH PROCEEDS FROM SECURITIES LENDING |
||||||||
(Cost $11,816,185) |
11,816,185 |
|||||||
Total Investments (Cost $46,663,140) –
133.6% |
47,067,550 |
|||||||
Liabilities in Excess of Other Assets –
(33.6%) |
(11,834,496 |
) | ||||||
TOTAL NET ASSETS – 100.0% |
$ |
35,233,054 |
(a) |
Rate disclosed is the seven day
annualized yield as of January 31, 2023. |
(b) |
All or a portion of this security was out
on loan at January 31, 2023. Total loaned securities had a market value of
$11,635,440 as of January 31, 2023. |
Shares |
Value |
|||||||
COMMON STOCKS – 51.3% |
||||||||
Communications – 7.0% |
||||||||
Airbnb, Inc. – Class A (a) |
3,090 |
$ |
343,330 |
|||||
Alphabet, Inc. – Class A (a) |
7,984 |
789,139 |
||||||
Expedia Group, Inc. (a) |
2,215 |
253,175 |
||||||
GoDaddy, Inc. – Class A (a) |
2,695 |
221,340 |
||||||
Match Group, Inc. (a) |
4,286 |
231,958 |
||||||
Meta Platforms, Inc. – Class A (a) |
4,412 |
657,256 |
||||||
ROBLOX Corp. – Class A (a) |
7,457 |
277,475 |
||||||
Trade Desk, Inc. – Class A (a)(d) |
5,083 |
257,708 |
||||||
Zillow Group, Inc. – Class C (a)(d) |
5,207 |
230,201 |
||||||
3,261,582 |
||||||||
Consumer Discretionary – 1.1% |
||||||||
eBay, Inc. (d) |
5,873 |
290,713 |
||||||
Etsy, Inc. (a)(d) |
1,796 |
247,094 |
||||||
537,807 |
||||||||
Energy – 0.5% |
||||||||
Enphase Energy, Inc. (a) |
992 |
219,609 |
||||||
Health Care – 12.2% |
||||||||
AbbVie, Inc. |
3,452 |
510,033 |
||||||
Amgen, Inc. |
1,617 |
408,131 |
||||||
Bristol-Myers Squibb Co. |
6,000 |
435,900 |
||||||
Eli Lilly & Co. |
1,574 |
541,692 |
||||||
Exelixis, Inc. (a) |
8,611 |
151,726 |
||||||
Gilead Sciences, Inc. |
4,870 |
408,788 |
||||||
Halozyme Therapeutics, Inc. (a)(d) |
3,115 |
161,264 |
||||||
Hologic, Inc. (a) |
3,174 |
258,268 |
||||||
Ionis Pharmaceuticals, Inc. (a) |
3,790 |
151,107 |
||||||
Jazz Pharmaceuticals PLC (a) |
1,291 |
202,248 |
||||||
Johnson & Johnson |
3,427 |
560,040 |
||||||
Merck & Co., Inc. |
4,855 |
521,476 |
||||||
Neurocrine Biosciences, Inc. (a) |
1,685 |
186,917 |
||||||
QIAGEN NV (a) |
3,983 |
195,167 |
||||||
Regeneron Pharmaceuticals, Inc. (a) |
489 |
370,892 |
||||||
Royalty Pharma PLC – Class A |
5,387 |
211,117 |
||||||
Vertex Pharmaceuticals, Inc. (a) |
1,214 |
392,243 |
||||||
5,667,009 |
Shares |
Value |
|||||||
COMMON STOCKS – 51.3% (Continued) |
||||||||
Industrials – 0.9% |
||||||||
Lockheed Martin Corp. |
871 |
$ |
403,499 |
|||||
Technology – 29.6% (c) |
||||||||
Adobe, Inc. (a) |
1,377 |
509,958 |
||||||
Akamai Technologies, Inc. (a) |
2,337 |
207,876 |
||||||
ANSYS, Inc. (a) |
960 |
255,706 |
||||||
Apple, Inc. |
7,046 |
1,016,667 |
||||||
Atlassian Corp. – Class A (a) |
1,914 |
309,341 |
||||||
Autodesk, Inc. (a) |
1,607 |
345,762 |
||||||
Bentley Systems, Inc. – Class B |
5,283 |
206,301 |
||||||
Broadcom, Inc. |
961 |
562,195 |
||||||
Cadence Design Systems, Inc. (a) |
1,919 |
350,851 |
||||||
Cisco Systems, Inc. |
9,881 |
480,908 |
||||||
Crowdstrike Holdings, Inc. – Class A (a) |
2,324 |
246,112 |
||||||
Datadog, Inc. – Class A (a)(d) |
3,470 |
259,591 |
||||||
DocuSign, Inc. (a) |
4,348 |
263,663 |
||||||
Dropbox, Inc. – Class A (a) |
7,485 |
173,877 |
||||||
Dynatrace, Inc. (a) |
5,452 |
209,520 |
||||||
F5, Inc. (a) |
1,272 |
187,823 |
||||||
FactSet Research Systems, Inc. |
517 |
218,660 |
||||||
Fair Isaac Corp. (a) |
368 |
245,070 |
||||||
Fortinet, Inc. (a) |
5,806 |
303,886 |
||||||
HubSpot, Inc. (a) |
766 |
265,810 |
||||||
International Business Machines Corp. (d) |
2,925 |
394,085 |
||||||
Intuit, Inc. |
1,033 |
436,618 |
||||||
Jack Henry & Associates, Inc. |
1,157 |
208,364 |
||||||
Lattice Semiconductor Corp. (a) |
2,837 |
215,016 |
||||||
Manhattan Associates, Inc. (a) |
1,534 |
199,972 |
||||||
Microchip Technology, Inc. |
4,007 |
311,023 |
||||||
Motorola Solutions, Inc. |
1,098 |
282,197 |
||||||
NetApp, Inc. |
3,341 |
221,274 |
||||||
Palantir Technologies, Inc. – Class A (a)(d) |
30,237 |
235,244 |
||||||
Palo Alto Networks, Inc. (a)(d) |
1,999 |
317,121 |
||||||
Paylocity Holding Corp. (a) |
950 |
197,875 |
||||||
PayPal Holdings, Inc. (a) |
4,910 |
400,116 |
||||||
PTC, Inc. (a) |
1,724 |
232,533 |
||||||
Pure Storage, Inc. – Class A (a) |
6,874 |
198,934 |
Shares |
Value |
|||||||
COMMON STOCKS – 51.3% (Continued) |
||||||||
Technology – 29.6% (c) (Continued) |
||||||||
Qorvo, Inc. (a) |
1,960 |
$ |
212,974 |
|||||
Qualys, Inc. (a) |
1,016 |
117,206 |
||||||
Salesforce, Inc. (a) |
2,807 |
471,492 |
||||||
ServiceNow, Inc. (a)(d) |
946 |
430,553 |
||||||
Snowflake, Inc. – Class A (a) |
2,116 |
331,027 |
||||||
SPS Commerce, Inc. (a) |
952 |
129,548 |
||||||
Synopsys, Inc. (a) |
999 |
353,396 |
||||||
Ubiquiti, Inc. (d) |
767 |
224,087 |
||||||
Veeva Systems, Inc. – Class A (a) |
1,450 |
247,297 |
||||||
Workday, Inc. – Class A (a) |
1,771 |
321,313 |
||||||
Zoom Video Communications, Inc. – Class A (a)(d) |
3,199 |
239,925 |
||||||
Zscaler, Inc. (a) |
1,881 |
233,545 |
||||||
13,782,312 |
||||||||
TOTAL COMMON STOCKS |
||||||||
(Cost $25,045,347) |
23,871,818 |
|||||||
EXCHANGE-TRADED FUNDS – 48.5% |
||||||||
iShares 1-3 Year Treasury Bond ETF (d) |
76,811 |
6,283,140 |
||||||
Schwab Short-Term U.S. Treasury ETF |
107,615 |
5,230,089 |
||||||
SPDR Portfolio Short Term Treasury ETF |
119,529 |
3,480,684 |
||||||
Vanguard Short-Term Treasury ETF |
130,206 |
7,584,500 |
||||||
TOTAL EXCHANGE-TRADED FUNDS |
||||||||
(Cost $22,670,022) |
22,578,413 |
|||||||
MONEY MARKET FUND – 0.2% |
||||||||
Fidelity Institutional Money Market Fund – |
||||||||
Government Portfolio, Institutional Class, 4.20%
(b) |
81,863 |
81,863 |
||||||
TOTAL MONEY MARKET FUND |
||||||||
(Cost $81,863) |
81,863 |
Shares |
Value |
|||||||
INVESTMENT PURCHASED WITH THE CASH |
||||||||
PROCEEDS FROM SECURITIES
LENDING – 10.5% |
||||||||
Investment Company – 10.5% |
||||||||
Mount Vernon Liquid Asset Portfolio, LLC, 4.53% (b) |
4,873,821 |
$ |
4,873,821 |
|||||
TOTAL INVESTMENT PURCHASED WITH THE |
||||||||
CASH PROCEEDS FROM SECURITIES LENDING |
||||||||
(Cost $4,873,821) |
4,873,821 |
|||||||
Total Investments (Cost $52,671,053) –
110.5% |
51,405,915 |
|||||||
Liabilities in Excess of Other Assets –
(10.5)% |
(4,890,570 |
) | ||||||
TOTAL NET ASSETS – 100.0% |
$ |
46,515,345 |
(a) |
Non-income producing
security. |
(b) |
Rate disclosed is the seven day
annualized yield as of January 31, 2023. |
(c) |
The amount represents investments in a
particular sector. Within the sector, the Fund will concentrate its
investments (i.e. invest more than 25% of its total assets) in a
particular industry or group of industries to approximately the same
extent of the FCF Risk Managed Quality Innovation Index is
concentrated. |
(d) |
All or a portion of this security was out
on loan at January 31, 2023. Total loaned securities had a market value of
$4,808,309 as of January 31, 2023. |
Shares |
Value |
|||||||
COMMON STOCKS – 66.0% |
||||||||
Energy – 32.6% (c) |
||||||||
Antero Midstream Corp. |
46,440 |
$ |
506,196 |
|||||
BP PLC – ADR |
32,236 |
1,167,910 |
||||||
Chevron Corp. |
8,088 |
1,407,474 |
||||||
Civitas Resources, Inc. |
6,886 |
458,263 |
||||||
ConocoPhillips |
9,126 |
1,112,185 |
||||||
Coterra Energy, Inc. |
21,789 |
545,379 |
||||||
Diamondback Energy, Inc. |
4,719 |
689,540 |
||||||
DT Midstream, Inc. |
8,202 |
448,321 |
||||||
Ecopetrol SA – ADR (b) |
69,080 |
786,821 |
||||||
Eni SpA – ADR (b) |
28,583 |
883,215 |
||||||
EOG Resources, Inc. |
5,802 |
767,314 |
||||||
Equinor ASA – ADR (b) |
29,279 |
890,960 |
||||||
Equitrans Midstream Corp. |
58,547 |
424,466 |
||||||
Exxon Mobil Corp. |
14,708 |
1,706,275 |
||||||
Kinder Morgan, Inc. (b) |
44,359 |
811,770 |
||||||
Murphy Oil Corp. |
10,390 |
453,108 |
||||||
ONEOK, Inc. (b) |
12,178 |
833,949 |
||||||
Petroleo Brasileiro SA – ADR |
79,233 |
919,103 |
||||||
Plains GP Holdings LP – Class A |
28,343 |
371,010 |
||||||
TotalEnergies SE – ADR |
20,591 |
1,277,466 |
||||||
Williams Cos., Inc. |
25,358 |
817,542 |
||||||
Woodside Energy Group, Ltd. – ADR |
30,467 |
791,533 |
||||||
18,069,800 |
||||||||
Industrials – 14.9% |
||||||||
Allison Transmission Holdings, Inc. |
8,045 |
362,669 |
||||||
AO Smith Corp. (b) |
7,915 |
535,846 |
||||||
Emerson Electric Co. |
6,545 |
590,490 |
||||||
Honeywell International, Inc. |
3,946 |
822,662 |
||||||
Hubbell, Inc. |
2,290 |
524,204 |
||||||
Norfolk Southern Corp. |
3,129 |
769,139 |
||||||
Oshkosh Corp. |
4,093 |
412,493 |
||||||
Parker-Hannifin Corp. (b) |
2,641 |
860,966 |
||||||
Siemens AG – ADR |
15,779 |
1,232,024 |
||||||
Union Pacific Corp. |
4,618 |
942,949 |
||||||
Waste Management, Inc. |
4,898 |
757,868 |
||||||
Watsco, Inc. (b) |
1,514 |
435,078 |
||||||
8,246,388 |
Shares |
Value |
|||||||
COMMON STOCKS – 66.0% (Continued) |
||||||||
Materials – 18.5% |
||||||||
Avient Corp. |
9,823 |
$ |
398,028 |
|||||
BHP Group, Ltd. – ADR (b) |
20,721 |
1,453,578 |
||||||
Celanese Corp. |
4,151 |
511,403 |
||||||
Dow, Inc. |
16,916 |
1,003,965 |
||||||
Element Solutions, Inc. |
18,070 |
370,074 |
||||||
Huntsman Corp. |
17,475 |
553,783 |
||||||
LyondellBasell Industries NV – Class A |
9,711 |
938,956 |
||||||
Newmont Corp. |
16,924 |
895,787 |
||||||
Olin Corp. |
9,285 |
599,718 |
||||||
Rio Tinto PLC – ADR (b) |
15,735 |
1,248,572 |
||||||
Sibanye Stillwater, Ltd. – ADR (b) |
55,593 |
598,181 |
||||||
Southern Copper Corp. (b) |
14,756 |
1,109,799 |
||||||
Ternium SA – ADR |
13,798 |
556,749 |
||||||
10,238,593 |
||||||||
TOTAL COMMON STOCKS |
||||||||
(Cost $34,554,380) |
36,554,781 |
|||||||
REITs – 18.2% |
||||||||
Financials – 0.8% |
||||||||
Starwood Property Trust, Inc. |
23,113 |
482,831 |
||||||
Real Estate – 17.4% |
||||||||
American Tower Corp. |
3,913 |
874,125 |
||||||
AvalonBay Communities, Inc. |
3,216 |
570,647 |
||||||
Boston Properties, Inc. |
6,033 |
449,700 |
||||||
Crown Castle, Inc. |
6,315 |
935,315 |
||||||
EastGroup Properties, Inc. |
2,962 |
498,356 |
||||||
Equity LifeStyle Properties, Inc. |
7,575 |
543,733 |
||||||
Extra Space Storage, Inc. |
3,582 |
565,347 |
||||||
Gaming and Leisure Properties, Inc. (b) |
12,470 |
667,893 |
||||||
Iron Mountain, Inc. |
12,490 |
681,704 |
||||||
Lamar Advertising Co. – Class A |
6,088 |
648,616 |
||||||
LXP Industrial Trust |
32,131 |
371,113 |
||||||
Medical Properties Trust, Inc. (b) |
37,689 |
488,073 |
||||||
Omega Healthcare Investors, Inc. (b) |
16,494 |
485,583 |
Shares |
Value |
|||||||
REITs – 18.2% (Continued) |
||||||||
Real Estate – 17.4% (Continued) |
||||||||
Public Storage |
2,805 |
$ |
853,674 |
|||||
Simon Property Group, Inc. |
7,697 |
988,757 |
||||||
9,622,636 |
||||||||
TOTAL REITs |
||||||||
(Cost $9,891,678) |
10,105,467 |
|||||||
MASTER LIMITED PARTNERSHIPS –
12.6% |
||||||||
Energy – 11.8% |
||||||||
Cheniere Energy Partners LP |
13,660 |
745,426 |
||||||
DCP Midstream, LP |
14,826 |
623,285 |
||||||
Energy Transfer, LP |
67,892 |
901,606 |
||||||
EnLink Midstream, LLC |
43,458 |
552,786 |
||||||
Enterprise Products Partners, LP |
37,880 |
969,728 |
||||||
Magellan Midstream Partners, LP |
11,500 |
614,100 |
||||||
MPLX, LP |
25,594 |
893,742 |
||||||
Plains All American Pipeline, LP |
49,070 |
611,412 |
||||||
Western Midstream Partners, LP |
23,352 |
630,971 |
||||||
6,543,056 |
||||||||
Materials – 0.8% |
||||||||
Alliance Resource Partners, LP |
18,130 |
415,721 |
||||||
TOTAL MASTER LIMITED PARTNERSHIPS |
||||||||
(Cost $6,183,245) |
6,958,777 |
|||||||
PREFERRED STOCKS – 2.6% |
||||||||
Energy – 1.5% |
||||||||
Petroleo Brasileiro SA – ADR |
82,073 |
846,993 |
||||||
Materials – 1.1% |
||||||||
Gerdau SA – ADR |
88,143 |
572,930 |
||||||
TOTAL PREFERRED STOCKS |
||||||||
(Cost $1,360,065) |
1,419,923 |
|||||||
MONEY MARKET FUND – 0.5% |
||||||||
Fidelity Institutional Money Market Fund – |
||||||||
Government Portfolio, Institutional Class, 4.20%
(a) |
265,730 |
265,730 |
||||||
TOTAL MONEY MARKET FUND |
||||||||
(Cost $265,730) |
265,730 |
Shares |
Value |
|||||||
INVESTMENT PURCHASED WITH THE CASH |
||||||||
PROCEEDS FROM SECURITIES
LENDING – 16.3% |
||||||||
Investment Company – 16.3% |
||||||||
Mount Vernon Liquid Asset Portfolio, LLC, 4.53% (a) |
9,046,749 |
$ |
9,046,749 |
|||||
TOTAL INVESTMENT PURCHASED WITH THE |
||||||||
CASH PROCEEDS FROM SECURITIES LENDING |
||||||||
(Cost $9,046,749) |
9,046,749 |
|||||||
Total Investments (Cost $61,301,847) –
116.2% |
64,351,427 |
|||||||
Liabilities in Excess of Other Assets –
(16.2)% |
(8,970,903 |
) | ||||||
TOTAL NET ASSETS – 100.0% |
$ |
55,380,524 |
(a) |
Rate disclosed is the seven day
annualized yield as of January 31, 2023. |
(b) |
All or a portion of this security was out
on loan at January 31, 2023. Total loaned securities had a market value of
$8,971,722 as of January 31, 2023. |
(c) |
The amount represents investments in a
particular sector. Within the sector, the Fund will concentrate its
investments (i.e. invest more than 25% of its total assets) in a
particular industry or group of industries to approximately the same
extent of the FCF Yield Enhanced Real Asset Index is
concentrated. |
FCF |
||||||||
FCF
US |
International |
|||||||
Quality
ETF |
Quality
ETF |
|||||||
ASSETS |
||||||||
Investments in Securities, at Value* (Including securities
on |
||||||||
loan valued at $14,892,064 and $678,846,
respectively) |
$ |
197,916,321 |
$ |
27,673,800 |
||||
Cash |
1,209,660 |
— |
||||||
Foreign Currency, at Value* |
— |
601,532 |
||||||
Receivable for Investment Securities Sold |
2,342,158 |
— |
||||||
Interest and Dividends Receivable |
137,583 |
158,975 |
||||||
Securities Lending Income Receivable |
5,127 |
253 |
||||||
Receivable for Fund Shares Sold |
25,518,045 |
— |
||||||
Total
Assets |
227,128,894 |
28,434,560 |
||||||
LIABILITIES |
||||||||
Payable for Securities Loaned |
14,982,931 |
684,129 |
||||||
Payable for Investment Securities Purchased |
24,977,330 |
— |
||||||
Management Fees Payable |
78,651 |
13,586 |
||||||
Due to Custodian |
— |
1,994 |
||||||
Payable for Fund Shares Redeemed |
3,602,885 |
— |
||||||
Total
Liabilities |
43,641,797 |
699,709 |
||||||
NET ASSETS |
$ |
183,487,097 |
$ |
27,734,851 |
||||
NET ASSETS CONSIST OF: |
||||||||
Paid-in Capital |
$ |
167,579,988 |
$ |
40,055,268 |
||||
Total Distributable Earnings (Deficit) |
15,907,109 |
(12,320,417 |
) | |||||
Net
Assets |
$ |
183,487,097 |
$ |
27,734,851 |
||||
* Identified Cost: |
||||||||
Investments
in Securities |
$ |
182,138,042 |
$ |
30,659,030 |
||||
Foreign
Currency |
$ |
— |
$ |
575,839 |
||||
Net Asset Value (unlimited shares
authorized): |
||||||||
Net Assets |
$ |
183,487,097 |
$ |
27,734,851 |
||||
Shares Outstanding (No Par Value) |
3,775,000 |
1,025,000 |
||||||
Net Asset Value per Share |
$ |
48.61 |
$ |
27.06 |
Donoghue |
Donoghue |
Donoghue |
||||||||||
Forlines |
Forlines |
Forlines |
||||||||||
Tactical
High |
Risk
Managed |
Yield
Enhanced |
||||||||||
Yield
ETF |
Innovation
ETF |
Real
Asset ETF |
||||||||||
ASSETS |
||||||||||||
Investments in Securities, at Value* |
||||||||||||
(Including securities on loan valued at
$11,635,440, |
||||||||||||
$4,808,309, and $8,971,722, respectively) |
$ |
47,067,550 |
$ |
51,405,915 |
$ |
64,351,427 |
||||||
Interest and Dividends Receivable |
234 |
8,814 |
105,260 |
|||||||||
Securities Lending Income Receivable |
1,931 |
1,148 |
2,165 |
|||||||||
Total
Assets |
47,069,715 |
51,415,877 |
64,458,852 |
|||||||||
LIABILITIES |
||||||||||||
Payable for Securities Loaned |
11,816,185 |
4,873,821 |
9,046,749 |
|||||||||
Management Fees Payable |
20,476 |
26,711 |
31,579 |
|||||||||
Total
Liabilities |
11,836,661 |
4,900,532 |
9,078,328 |
|||||||||
NET ASSETS |
$ |
35,233,054 |
$ |
46,515,345 |
$ |
55,380,524 |
||||||
NET ASSETS CONSIST OF: |
||||||||||||
Paid-in Capital |
$ |
42,708,570 |
$ |
58,659,933 |
$ |
52,763,408 |
||||||
Total Distributable Earnings (Deficit) |
(7,475,516 |
) |
(12,144,588 |
) |
2,617,116 |
|||||||
Net
Assets |
$ |
35,233,054 |
$ |
46,515,345 |
$ |
55,380,524 |
||||||
* Identified Cost: |
||||||||||||
Investments
in Securities |
$ |
46,663,140 |
$ |
52,671,053 |
$ |
61,301,847 |
||||||
Net Asset Value (unlimited shares
authorized): |
||||||||||||
Net Assets |
$ |
35,233,054 |
$ |
46,515,345 |
$ |
55,380,524 |
||||||
Shares Outstanding (No Par Value) |
1,675,000 |
2,025,000 |
2,025,000 |
|||||||||
Net Asset Value per Share |
$ |
21.03 |
$ |
22.97 |
$ |
27.35 |
FCF |
||||||||
FCF
US |
International |
|||||||
Quality
ETF |
Quality
ETF |
|||||||
INVESTMENT INCOME |
||||||||
Income: |
||||||||
Dividends
(net of foreign withholding tax and issuance fees |
||||||||
of
$754 and $64,462, respectively) |
$ |
1,365,764 |
$ |
832,079 |
||||
Interest |
20,930 |
2,687 |
||||||
Securities
Lending Income |
33,130 |
2,632 |
||||||
Total
Investment Income |
1,419,824 |
837,398 |
||||||
Expenses: |
||||||||
Management
Fees |
479,611 |
123,311 |
||||||
Total
Expenses |
479,611 |
123,311 |
||||||
Net Investment Income |
940,213 |
714,087 |
||||||
REALIZED & UNREALIZED GAIN
(LOSS) |
||||||||
ON INVESTMENTS AND FOREIGN
CURRENCIES |
||||||||
Net Realized Gain (Loss) on: |
||||||||
Investment
Securities |
1,681,939 |
(8,136,188 |
) | |||||
Foreign
Currencies |
— |
(20,123 |
) | |||||
Total |
1,681,939 |
(8,156,311 |
) | |||||
Net Change in Unrealized Appreciation (Depreciation) of: |
||||||||
Investment
Securities |
(1,856,210 |
) |
5,957,931 |
|||||
Foreign
Currencies |
— |
34,626 |
||||||
Total |
(1,856,210 |
) |
5,992,557 |
|||||
Net Realized and Unrealized Loss on |
||||||||
Investments and Foreign Currencies |
(174,271 |
) |
(2,163,754 |
) | ||||
NET INCREASE (DECREASE) IN NET |
||||||||
ASSETS RESULTING FROM
OPERATIONS |
$ |
765,942 |
$ |
(1,449,667 |
) |
Donoghue |
Donoghue |
Donoghue |
||||||||||
Forlines |
Forlines |
Forlines
Yield |
||||||||||
Tactical
High |
Risk
Managed |
Enhanced
Real |
||||||||||
Yield
ETF |
Innovation
ETF |
Asset
ETF |
||||||||||
INVESTMENT INCOME |
||||||||||||
Income: |
||||||||||||
Dividends
(net of foreign withholding tax |
||||||||||||
and
issuance fees of $0, |
||||||||||||
$0,
and $41,124, respectively) |
$ |
897,336 |
$ |
407,622 |
$ |
1,013,359 |
||||||
Interest |
1,922 |
2,372 |
3,009 |
|||||||||
Securities
Lending Income |
37,683 |
22,328 |
11,761 |
|||||||||
Total
Investment Income |
936,941 |
432,322 |
1,028,129 |
|||||||||
Expenses: |
||||||||||||
Management
Fees |
135,536 |
222,592 |
122,117 |
|||||||||
Total
Expenses |
135,536 |
222,592 |
122,117 |
|||||||||
Net Investment Income |
801,405 |
209,730 |
906,012 |
|||||||||
REALIZED & UNREALIZED |
||||||||||||
GAIN (LOSS) ON
INVESTMENTS |
||||||||||||
Net Realized Loss on: |
||||||||||||
Investment
Securities |
(1,834,006 |
) |
(7,045,842 |
) |
(617,938 |
) | ||||||
Total |
(1,834,006 |
) |
(7,045,842 |
) |
(617,938 |
) | ||||||
Net Change in Unrealized |
||||||||||||
Appreciation
(Depreciation) of: |
||||||||||||
Investment Securities |
(446,613 |
) |
2,892,470 |
4,202,398 |
||||||||
Total |
(446,613 |
) |
2,892,470 |
4,202,398 |
||||||||
Net Realized and Unrealized |
||||||||||||
Gain (Loss) on Investments |
(2,280,619 |
) |
(4,153,372 |
) |
3,584,460 |
|||||||
NET INCREASE (DECREASE) IN NET |
||||||||||||
ASSETS RESULTING FROM
OPERATIONS |
$ |
(1,479,214 |
) |
$ |
(3,943,642 |
) |
$ |
4,490,472 |
Six-Months
Ended |
||||||||
January
31, 2023 |
Year
Ended |
|||||||
(Unaudited) |
July
31, 2022 |
|||||||
OPERATIONS |
||||||||
Net
Investment Income |
$ |
940,213 |
$ |
2,233,457 |
||||
Net
Realized Gain on Investments |
1,681,939 |
13,536,685 |
||||||
Change
in Unrealized Appreciation (Depreciation) |
||||||||
of
Investments |
(1,856,210 |
) |
(20,902,235 |
) | ||||
Net
Increase (Decrease) in Net |
||||||||
Assets
Resulting from Operations |
765,942 |
(5,132,093 |
) | |||||
DISTRIBUTIONS TO SHAREHOLDERS |
||||||||
Dividends
and Distributions |
(2,104,907 |
) |
(19,681,904 |
) | ||||
Total
Distributions to Shareholders |
(2,104,907 |
) |
(19,681,904 |
) | ||||
CAPITAL SHARE TRANSACTIONS |
||||||||
Proceeds
from Shares Sold |
46,203,373 |
59,418,927 |
||||||
Payments
for Shares Redeemed |
(38,314,953 |
) |
(61,616,675 |
) | ||||
Net
Increase (Decrease) in Net Assets Derived |
||||||||
from
Capital Share Transactions(a) |
7,888,420 |
(2,197,748 |
) | |||||
Net Increase (Decrease) in Net
Assets |
6,549,455 |
(27,011,745 |
) | |||||
NET ASSETS |
||||||||
Beginning
of Period |
176,937,642 |
203,949,387 |
||||||
End
of Period |
$ |
183,487,097 |
$ |
176,937,642 |
(a) |
Summary of capital share transactions is as
follows: |
Shares |
Shares |
||||||||
Subscriptions |
950,000 |
1,125,000 |
|||||||
Redemptions |
(800,000 |
) |
(1,200,000 |
) | |||||
Net Increase (Decrease) |
150,000 |
(75,000 |
) |
Six-Months
Ended |
||||||||
January
31, 2023 |
Year
Ended |
|||||||
(Unaudited) |
July
31, 2022 |
|||||||
OPERATIONS |
||||||||
Net
Investment Income |
$ |
714,087 |
$ |
2,252,022 |
||||
Net
Realized Loss on Investments and Foreign Currencies |
(8,156,311 |
) |
(1,738,791 |
) | ||||
Change
in Unrealized Appreciation (Depreciation) |
||||||||
of
Investments and Foreign Currencies |
5,992,557 |
(14,497,380 |
) | |||||
Net
Decrease in Net Assets Resulting from Operations |
(1,449,667 |
) |
(13,984,149 |
) | ||||
DISTRIBUTIONS TO SHAREHOLDERS |
||||||||
Dividends
and Distributions |
(2,427,370 |
) |
(1,705,435 |
) | ||||
Total
Distributions to Shareholders |
(2,427,370 |
) |
(1,705,435 |
) | ||||
CAPITAL SHARE TRANSACTIONS |
||||||||
Proceeds
from Shares Sold |
— |
32,564,450 |
||||||
Payments
for Shares Redeemed |
(22,545,325 |
) |
(21,831,178 |
) | ||||
Net
Increase (Decrease) in Net Assets |
||||||||
Derived
from Capital Share Transactions(a) |
(22,545,325 |
) |
10,733,272 |
|||||
Net Decrease in Net Assets |
(26,422,362 |
) |
(4,956,312 |
) | ||||
NET ASSETS |
||||||||
Beginning
of Period |
54,157,213 |
59,113,525 |
||||||
End
of Period |
$ |
27,734,851 |
$ |
54,157,213 |
(a) |
Summary of capital share transactions is as
follows: |
Shares |
Shares |
||||||||
Subscriptions |
— |
925,000 |
|||||||
Redemptions |
(825,000 |
) |
(700,000 |
) | |||||
Net Increase (Decrease) |
(825,000 |
) |
225,000 |
Six-Months
Ended |
||||||||
January
31, 2023 |
Year
Ended |
|||||||
(Unaudited) |
July
31, 2022 |
|||||||
OPERATIONS |
||||||||
Net
Investment Income |
$ |
801,405 |
$ |
1,600,764 |
||||
Net
Realized Loss on Investments |
(1,834,006 |
) |
(7,223,902 |
) | ||||
Change
in Unrealized Appreciation (Depreciation) |
||||||||
of
Investments |
(446,613 |
) |
37,334 |
|||||
Net
Decrease in Net Assets Resulting from Operations |
(1,479,214 |
) |
(5,585,804 |
) | ||||
DISTRIBUTIONS TO SHAREHOLDERS |
||||||||
Dividends
and Distributions |
(828,155 |
) |
(1,832,922 |
) | ||||
Total
Distributions to Shareholders |
(828,155 |
) |
(1,832,922 |
) | ||||
CAPITAL SHARE TRANSACTIONS |
||||||||
Proceeds
from Shares Sold |
522,055 |
23,731,897 |
||||||
Payments
for Shares Redeemed |
(10,568,662 |
) |
(57,678,098 |
) | ||||
Net
Decrease in Net Assets Derived |
||||||||
from
Capital Share Transactions(a) |
(10,046,607 |
) |
(33,946,201 |
) | ||||
Net
Decrease in Net Assets |
(12,353,976 |
) |
(41,364,927 |
) | ||||
NET ASSETS |
||||||||
Beginning
of Period |
47,587,030 |
88,951,957 |
||||||
End
of Period |
$ |
35,233,054 |
$ |
47,587,030 |
(a) |
Summary of capital share transactions is as
follows: |
Shares |
Shares |
||||||||
Subscriptions |
25,000 |
1,050,000 |
|||||||
Redemptions |
(500,000 |
) |
(2,425,000 |
) | |||||
Net Decrease |
(475,000 |
) |
(1,375,000 |
) |
Six-Months
Ended |
||||||||
January
31, 2023 |
Year
Ended |
|||||||
(Unaudited) |
July
31, 2022 |
|||||||
OPERATIONS |
||||||||
Net
Investment Income |
$ |
209,730 |
$ |
402,468 |
||||
Net
Realized Loss on Investments |
(7,045,842 |
) |
(43,488 |
) | ||||
Change
in Unrealized Appreciation (Depreciation) |
||||||||
of
Investments |
2,892,470 |
(15,726,612 |
) | |||||
Net
Decrease in Net Assets Resulting from Operations |
(3,943,642 |
) |
(15,367,632 |
) | ||||
DISTRIBUTIONS TO SHAREHOLDERS |
||||||||
Dividends
and Distributions |
(550,240 |
) |
(4,065,017 |
) | ||||
Total
Distributions to Shareholders |
(550,240 |
) |
(4,065,017 |
) | ||||
CAPITAL SHARE TRANSACTIONS |
||||||||
Proceeds
from Shares Sold |
— |
41,013,310 |
||||||
Payments
for Shares Redeemed |
(41,943,725 |
) |
(15,989,915 |
) | ||||
Net
Increase (Decrease) in Net Assets Derived |
||||||||
from
Capital Share Transactions(a) |
(41,943,725 |
) |
25,023,395 |
|||||
Net Increase (Decrease) in Net
Assets |
(46,437,607 |
) |
5,590,746 |
|||||
NET ASSETS |
||||||||
Beginning
of Period |
92,952,952 |
87,362,206 |
||||||
End
of Period |
$ |
46,515,345 |
$ |
92,952,952 |
(a) |
Summary of capital share transactions is as
follows: |
Shares |
Shares |
||||||||
Subscriptions |
— |
1,500,000 |
|||||||
Redemptions |
(1,850,000 |
) |
(575,000 |
) | |||||
Net Increase (Decrease) |
(1,850,000 |
) |
925,000 |
Six-Months
Ended |
||||||||
January
31, 2023 |
Period
Ended |
|||||||
(Unaudited) |
July
31, 2022(a) |
|||||||
OPERATIONS |
||||||||
Net
Investment Income |
$ |
906,012 |
$ |
1,569,211 |
||||
Net
Realized Gain (Loss) on Investments |
(617,938 |
) |
565,780 |
|||||
Change
in Unrealized Appreciation (Depreciation) |
||||||||
of
Investments |
4,202,398 |
(1,152,818 |
) | |||||
Net
Increase in Net Assets Resulting from Operations |
4,490,472 |
982,173 |
||||||
DISTRIBUTIONS TO SHAREHOLDERS |
||||||||
Dividends
and Distributions |
(2,716,262 |
) |
(1,150,709 |
) | ||||
Total
Distributions to Shareholders |
(2,716,262 |
) |
(1,150,709 |
) | ||||
CAPITAL SHARE TRANSACTIONS |
||||||||
Proceeds
from Shares Sold |
27,581,670 |
77,786,935 |
||||||
Payments
for Shares Redeemed |
(8,832,610 |
) |
(42,761,145 |
) | ||||
Net
Increase in Net Assets Derived |
||||||||
from
Capital Share Transactions(b) |
18,749,060 |
35,025,790 |
||||||
Net Increase in Net Assets |
20,523,270 |
34,857,254 |
||||||
NET ASSETS |
||||||||
Beginning
of Period |
34,857,254 |
— |
||||||
End
of Period |
$ |
55,380,524 |
$ |
34,857,254 |
(a) |
Fund commenced operations on December 13, 2021. |
(b) |
Summary of capital share transactions is as
follows: |
Shares |
Shares |
||||||||
Subscriptions |
1,050,000 |
3,050,000 |
|||||||
Redemptions |
(350,000 |
) |
(1,725,000 |
) | |||||
Net Increase |
700,000 |
1,325,000 |
Six-Months |
||||||||||||||||||||||||
Ended |
Year |
Year |
Year |
Year |
Year |
|||||||||||||||||||
January
31, |
Ended |
Ended |
Ended |
Ended |
Ended |
|||||||||||||||||||
2023 |
July
31, |
July
31, |
July
31, |
July
31, |
July
31, |
|||||||||||||||||||
(Unaudited) |
2022 |
2021 |
2020 |
2019 |
2018 |
|||||||||||||||||||
Net Asset Value, |
||||||||||||||||||||||||
Beginning of Period/Year |
$ |
48.81 |
$ |
55.12 |
$ |
39.92 |
$ |
37.59 |
$ |
36.41 |
$ |
29.81 |
||||||||||||
Income from |
||||||||||||||||||||||||
Investment
Operations: |
||||||||||||||||||||||||
Net Investment Income(a) |
0.28 |
0.60 |
0.28 |
0.25 |
0.30 |
0.21 |
||||||||||||||||||
Net Realized and Unrealized |
||||||||||||||||||||||||
Gain (Loss) on Investments |
0.16 |
(f) |
(1.59 |
) |
15.11 |
2.36 |
1.07 |
6.53 |
||||||||||||||||
Total
from |
||||||||||||||||||||||||
Investment
Operations |
0.44 |
(0.99 |
) |
15.39 |
2.61 |
1.37 |
6.74 |
|||||||||||||||||
Less
Distributions: |
||||||||||||||||||||||||
From Net Investment Income |
(0.21 |
) |
(0.47 |
) |
(0.19 |
) |
(0.28 |
) |
(0.19 |
) |
(0.14 |
) | ||||||||||||
From Net Realized |
||||||||||||||||||||||||
Gain on Investments |
(0.43 |
) |
(4.85 |
) |
— |
— |
— |
— |
||||||||||||||||
Total
Distributions |
(0.64 |
) |
(5.32 |
) |
(0.19 |
) |
(0.28 |
) |
(0.19 |
) |
(0.14 |
) | ||||||||||||
Net Asset Value, |
||||||||||||||||||||||||
End of Period/Year |
$ |
48.61 |
$ |
48.81 |
$ |
55.12 |
$ |
39.92 |
$ |
37.59 |
$ |
36.41 |
||||||||||||
Total Return |
0.95 |
%(b) |
-2.92 |
%(e) |
38.64 |
% |
6.97 |
% |
3.89 |
% |
22.62 |
% | ||||||||||||
Supplemental
Data: |
||||||||||||||||||||||||
Net Assets at End |
||||||||||||||||||||||||
of Period/Year (000’s) |
$ |
183,487 |
$ |
176,938 |
$ |
203,949 |
$ |
108,791 |
$ |
124,056 |
$ |
99,214 |
||||||||||||
Ratios to Average Net Assets: |
||||||||||||||||||||||||
Expenses to Average Net Assets |
0.59 |
%(c) |
0.59 |
% |
0.59 |
% |
0.59 |
% |
0.59 |
% |
0.59 |
% | ||||||||||||
Net Investment Income |
||||||||||||||||||||||||
to Average Net Assets |
1.16 |
%(c) |
1.15 |
% |
0.61 |
% |
0.68 |
% |
0.84 |
% |
0.60 |
% | ||||||||||||
Portfolio Turnover Rate(d) |
20 |
%(b) |
51 |
% |
98 |
% |
83 |
% |
49 |
% |
42 |
% |
(a) |
Calculated based on average shares
outstanding during the period/year. |
(b) |
Not annualized. |
(c) |
Annualized. |
(d) |
Excludes impact of in-kind
transactions. |
(e) |
During the fiscal year ended July 31,
2022, the Advisor reimbursed the Fund for certain losses. Had the Fund not
been reimbursed for these losses the total return would have remained at
-2.92%. |
(f) |
As required by the SEC standard per share
data calculation methodology, this represents a balancing figure derived
from the other amounts in the financial highlights tables that captures
all other changes affecting net asset value per share. This per share gain
amount does not correlate to the aggregate of the net realized and
unrealized loss in the Statements of Operations for the period ended
January 31, 2023 primarily due to the timing of sales and repurchases of
the Fund’s shares in relation to fluctuating market values of the Fund’s
portfolio. |
Six-Months |
||||||||||||||||||||||||
Ended |
Year |
Year |
Year |
Year |
Year |
|||||||||||||||||||
January
31, |
Ended |
Ended |
Ended |
Ended |
Ended |
|||||||||||||||||||
2023 |
July
31, |
July
31, |
July
31, |
July
31, |
July
31, |
|||||||||||||||||||
(Unaudited) |
2022 |
2021 |
2020 |
2019 |
2018 |
|||||||||||||||||||
Net Asset Value, |
||||||||||||||||||||||||
Beginning of Period/Year |
$ |
29.27 |
$ |
36.38 |
$ |
26.16 |
$ |
26.02 |
$ |
26.93 |
$ |
25.48 |
||||||||||||
Income from |
||||||||||||||||||||||||
Investment Operations: |
||||||||||||||||||||||||
Net Investment Income(a) |
0.47 |
1.12 |
0.44 |
0.25 |
0.37 |
0.34 |
||||||||||||||||||
Net Realized and Unrealized |
||||||||||||||||||||||||
Gain (Loss) on Investments |
(0.31 |
) |
(7.50 |
) |
9.98 |
0.40 |
(1.08 |
) |
1.18 |
|||||||||||||||
Total
from |
||||||||||||||||||||||||
Investment
Operations |
0.16 |
(6.38 |
) |
10.42 |
0.65 |
(0.71 |
) |
1.52 |
||||||||||||||||
Less Distributions: |
||||||||||||||||||||||||
From Net Investment Income |
(2.37 |
) |
(0.31 |
) |
(0.20 |
) |
(0.51 |
) |
(0.20 |
) |
(0.07 |
) | ||||||||||||
From Net Realized |
||||||||||||||||||||||||
Gain on Investments |
— |
(0.42 |
) |
— |
— |
— |
— |
|||||||||||||||||
Total
Distributions |
(2.37 |
) |
(0.73 |
) |
(0.20 |
) |
(0.51 |
) |
(0.20 |
) |
(0.07 |
) | ||||||||||||
Net Asset Value, |
||||||||||||||||||||||||
End of Period/Year |
$ |
27.06 |
$ |
29.27 |
$ |
36.38 |
$ |
26.16 |
$ |
26.02 |
$ |
26.93 |
||||||||||||
Total Return |
1.06 |
%(b) |
-17.93 |
% |
39.96 |
% |
2.42 |
% |
-2.47 |
% |
5.97 |
% | ||||||||||||
Supplemental
Data: |
||||||||||||||||||||||||
Net Assets at End |
||||||||||||||||||||||||
of Period/Year (000’s) |
$ |
27,735 |
$ |
54,157 |
$ |
59,114 |
$ |
11,116 |
$ |
12,361 |
$ |
10,098 |
||||||||||||
Ratios to Average Net Assets: |
||||||||||||||||||||||||
Expenses to Average Net Assets |
0.59 |
%(c) |
0.59 |
% |
0.59 |
% |
0.59 |
% |
0.59 |
% |
0.59 |
% | ||||||||||||
Net Investment Income |
||||||||||||||||||||||||
to Average Net Assets |
3.42 |
%(c) |
3.32 |
% |
1.32 |
% |
1.00 |
% |
1.48 |
% |
1.28 |
% | ||||||||||||
Portfolio Turnover Rate(d) |
26 |
%(b) |
42 |
% |
87 |
% |
45 |
% |
43 |
% |
83 |
% | ||||||||||||
(a) |
Calculated based on average shares
outstanding during the period/year. |
(b) |
Not annualized. |
(c) |
Annualized. |
(d) |
Excludes impact of in-kind
transactions. |
Six-Months
Ended |
||||||||||||
January
31, 2023 |
Year
Ended |
Period
Ended |
||||||||||
(Unaudited) |
July
31, 2022 |
July
31, 2021(a) |
||||||||||
Net Asset Value, Beginning of Period/Year |
$ |
22.13 |
$ |
25.23 |
$ |
25.00 |
||||||
Income from Investment Operations: |
||||||||||||
Net Investment Income(b) |
0.44 |
0.61 |
0.57 |
|||||||||
Net Realized and Unrealized |
||||||||||||
Gain (Loss) on Investments |
(1.08 |
) |
(3.08 |
) |
0.15 |
|||||||
Total
from Investment Operations |
(0.64 |
) |
(2.47 |
) |
0.72 |
|||||||
Less Distributions: |
||||||||||||
From Net Investment Income |
(0.46 |
) |
(0.63 |
) |
(0.49 |
) | ||||||
Total
Distributions |
(0.46 |
) |
(0.63 |
) |
(0.49 |
) | ||||||
Net Asset Value, End of Period/Year |
$ |
21.03 |
$ |
22.13 |
$ |
25.23 |
||||||
Total Return |
-2.88 |
%(c) |
-9.96 |
% |
2.92 |
%(c) | ||||||
Supplemental
Data: |
||||||||||||
Net Assets at End of Period/Year (000’s) |
$ |
35,233 |
$ |
47,587 |
$ |
88,952 |
||||||
Ratios to Average Net
Assets(f): |
||||||||||||
Expenses to Average Net Assets |
0.69 |
%(d) |
0.69 |
% |
0.69 |
%(d) | ||||||
Net Investment Income to Average Net Assets |
4.08 |
%(d) |
2.52 |
% |
3.54 |
%(d) | ||||||
Portfolio Turnover Rate(e) |
320 |
%(c) |
1029 |
% |
327 |
%(c) |
(a) |
Commencement of operations on December 7,
2020. |
(b) |
Calculated based on average shares
outstanding during the period/year. |
(c) |
Not annualized. |
(d) |
Annualized. |
(e) |
Excludes impact of in-kind
transactions. |
(f) |
Income and expense ratios presented do
not reflect the income and expenses of underlying
funds. |
Six-Months
Ended |
||||||||||||
January
31, 2023 |
Year
Ended |
Period
Ended |
||||||||||
(Unaudited) |
July
31, 2022 |
July
31, 2021(a) |
||||||||||
Net Asset Value, Beginning of Period/Year |
$ |
23.99 |
$ |
29.61 |
$ |
25.00 |
||||||
Income from Investment Operations: |
||||||||||||
Net Investment Income(b) |
0.08 |
0.12 |
0.02 |
|||||||||
Net Realized and Unrealized |
||||||||||||
Gain (Loss) on Investments |
(0.83 |
) |
(4.34 |
) |
4.60 |
|||||||
Total
from Investment Operations |
(0.75 |
) |
(4.22 |
) |
4.62 |
|||||||
Less Distributions: |
||||||||||||
From Net Investment Income |
(0.27 |
) |
(0.05 |
) |
(0.01 |
) | ||||||
From Net Realized Gain on Investments |
— |
(1.35 |
) |
— |
||||||||
Total
Distributions |
(0.27 |
) |
(1.40 |
) |
(0.01 |
) | ||||||
Net Asset Value, End of Period/Year |
$ |
22.97 |
$ |
23.99 |
$ |
29.61 |
||||||
Total Return |
-3.08 |
%(c) |
-15.16 |
% |
18.48 |
%(c) | ||||||
Supplemental
Data: |
||||||||||||
Net Assets at End of Period/Year (000’s) |
$ |
46,515 |
$ |
92,953 |
$ |
87,362 |
||||||
Ratios to Average Net
Assets: |
||||||||||||
Expenses to Average Net Assets |
0.69 |
%(d) |
0.69 |
% |
0.69 |
%(d) | ||||||
Net Investment Income to Average Net Assets |
0.65 |
%(d) |
0.45 |
% |
0.11 |
%(d) | ||||||
Portfolio Turnover Rate(e) |
85 |
%(c) |
82 |
% |
40 |
%(c) |
(a) |
Commencement of operations on December 7,
2020. |
(b) |
Calculated based on average shares
outstanding during the period/year. |
(c) |
Not annualized. |
(d) |
Annualized. |
(e) |
Excludes impact of in-kind
transactions. |
Six-Months
Ended |
||||||||
January
31, 2023 |
Period
Ended |
|||||||
(Unaudited) |
July
31, 2022(a) |
|||||||
Net Asset Value, Beginning of Period |
$ |
26.31 |
$ |
25.00 |
||||
Income from Investment Operations: |
||||||||
Net Investment Income(b) |
0.67 |
0.63 |
||||||
Net Realized and Unrealized Gain on Investments |
2.11 |
1.11 |
(f) | |||||
Total
from Investment Operations |
2.78 |
1.74 |
||||||
Less Distributions: |
||||||||
From Net Investment Income |
(0.99 |
) |
(0.43 |
) | ||||
From Net Realized Gain on Investments |
(0.75 |
) |
— |
|||||
Total
Distributions |
(1.74 |
) |
(0.43 |
) | ||||
Net Asset Value, End of Period |
$ |
27.35 |
$ |
26.31 |
||||
Total Return |
11.16 |
%(c) |
6.88 |
%(c) | ||||
Supplemental
Data: |
||||||||
Net Assets at End of Period (000’s) |
$ |
55,381 |
$ |
34,857 |
||||
Ratios to Average Net
Assets: |
||||||||
Expenses to Average Net Assets |
0.69 |
%(d) |
0.69 |
%(d) | ||||
Net Investment Income to Average Net Assets |
5.12 |
%(d) |
3.79 |
%(d) | ||||
Portfolio Turnover Rate(e) |
38 |
%(c) |
48 |
%(c) |
(a) |
Commencement of operations on December
13, 2021. |
(b) |
Calculated based on average shares
outstanding during the period. |
(c) |
Not annualized. |
(d) |
Annualized. |
(e) |
Excludes impact of in-kind
transactions. |
(f) |
As required by the SEC standard per share
data calculation methodology, this represents a balancing figure derived
from the other amounts in the financial highlights tables that captures
all other changes affecting net asset value per share. This per share gain
amount does not correlate to the aggregate of the net realized and
unrealized loss in the Statements of Operations for the period ended July
31, 2022, primarily due to the timing of sales and repurchases of the
Fund’s shares in relation to fluctuating market values of the Fund’s
portfolio. |
Distributable
Earnings |
Paid-In |
|||||||
(Accumulated
Deficit) |
Capital |
|||||||
FCF US Quality ETF |
$ |
(13,033,782 |
) |
$ |
13,033,782 |
|||
FCF International Quality ETF |
$ |
490,605 |
$ |
(490,605 |
) | |||
Donoghue Forlines Tactical High Yield ETF |
$ |
1,486,167 |
$ |
(1,486,167 |
) | |||
Donoghue Forlines Risk Managed Innovation ETF |
$ |
(1,919,909 |
) |
$ |
1,919,909 |
|||
Donoghue Forlines Yield Enhanced Real Asset ETF |
$ |
1,011,442 |
$ |
(1,011,442 |
) |
Gains
(Losses) from |
||||
In-Kind
Redemptions |
||||
FCF US Quality ETF |
$ |
13,911,304 |
||
FCF International Quality ETF |
$ |
272,003 |
||
Donoghue Forlines Tactical High Yield ETF |
$ |
(522,551 |
) | |
Donoghue Forlines Risk Managed Innovation ETF |
$ |
1,958,349 |
||
Donoghue Forlines Yield Enhanced Real Asset ETF |
$ |
(900,104 |
) |
Level 1 — |
Unadjusted quoted prices in active
markets for identical assets or liabilities. |
Level 2 — |
Observable inputs other than quoted
prices included in Level 1 that are observable for the asset or liability,
either directly or indirectly. These inputs may include quoted prices for
the identical instrument on an inactive market, prices for similar
securities, interest rates, prepayment speeds, credit risk, yield curves,
default rates and similar data. |
Level 3 — |
Unobservable inputs for the asset or
liability, to the extent relevant observable inputs are not available;
representing the Fund’s own assumptions about the assumptions a market
participant would use in valuing the asset or liability and would be based
on the best information available. |
FCF US Quality
ETF |
||||||||||||||||||||
Description^ |
Non-Categorized |
Level
1 |
Level
2 |
Level
3 |
Total |
|||||||||||||||
Common Stocks |
$ |
— |
$ |
176,199,364 |
$ |
— |
$ |
— |
$ |
176,199,364 |
||||||||||
REITs |
— |
5,241,988 |
— |
— |
5,241,988 |
|||||||||||||||
Money Market Fund |
— |
1,492,038 |
— |
— |
1,492,038 |
|||||||||||||||
Investment Purchased |
||||||||||||||||||||
with the Cash |
||||||||||||||||||||
Proceeds from |
||||||||||||||||||||
Securities Lending* |
14,982,931 |
— |
— |
— |
14,982,931 |
|||||||||||||||
Total
Investments |
$ |
14,982,931 |
$ |
182,933,390 |
$ |
— |
$ |
— |
$ |
197,916,321 |
||||||||||
FCF International
Quality ETF |
||||||||||||||||||||
Description^ |
Non-Categorized |
Level
1 |
Level
2 |
Level
3 |
Total |
|||||||||||||||
Common Stocks |
$ |
— |
$ |
25,880,246 |
$ |
— |
$ |
373,702 |
$ |
26,253,948 |
||||||||||
REITs |
— |
344,049 |
— |
— |
344,049 |
|||||||||||||||
Preferred Stock |
— |
207,106 |
— |
— |
207,106 |
|||||||||||||||
Money Market Fund |
— |
184,568 |
— |
— |
184,568 |
|||||||||||||||
Investment Purchased |
||||||||||||||||||||
with the Cash |
||||||||||||||||||||
Proceeds from |
||||||||||||||||||||
Securities Lending* |
684,129 |
— |
— |
— |
684,129 |
|||||||||||||||
Total
Investments |
$ |
684,129 |
$ |
26,615,969 |
$ |
— |
$ |
373,702 |
$ |
27,673,800 |
Donoghue Forlines
Tactical High Yield ETF |
||||||||||||||||||||
Description^ |
Non-Categorized |
Level
1 |
Level
2 |
Level
3 |
Total |
|||||||||||||||
Exchange-Traded |
||||||||||||||||||||
Funds |
$ |
— |
$ |
35,178,930 |
$ |
— |
$ |
— |
$ |
35,178,930 |
||||||||||
Money Market Fund |
— |
72,435 |
— |
— |
72,435 |
|||||||||||||||
Investment Purchased |
||||||||||||||||||||
with the Cash |
||||||||||||||||||||
Proceeds from |
||||||||||||||||||||
Securities Lending* |
11,816,185 |
— |
— |
— |
11,816,185 |
|||||||||||||||
Total
Investments |
$ |
11,816,185 |
$ |
35,251,365 |
$ |
— |
$ |
— |
$ |
47,067,550 |
||||||||||
Donoghue Forlines Risk
Managed Innovation ETF |
||||||||||||||||||||
Description^ |
Non-Categorized |
Level
1 |
Level
2 |
Level
3 |
Total |
|||||||||||||||
Common Stocks |
$ |
— |
$ |
23,871,818 |
$ |
— |
$ |
— |
$ |
23,871,818 |
||||||||||
Exchange-Traded |
||||||||||||||||||||
Funds |
— |
22,578,413 |
— |
— |
22,578,413 |
|||||||||||||||
Money Market Fund |
— |
81,863 |
— |
— |
81,863 |
|||||||||||||||
Investment Purchased |
||||||||||||||||||||
with the Cash |
||||||||||||||||||||
Proceeds from |
||||||||||||||||||||
Securities Lending* |
4,873,821 |
— |
— |
— |
4,873,821 |
|||||||||||||||
Total
Investments |
$ |
4,873,821 |
$ |
46,532,094 |
$ |
— |
$ |
— |
$ |
51,405,915 |
||||||||||
Donoghue Forlines
Yield Enhanced Real Asset ETF |
||||||||||||||||||||
Description^ |
Non-Categorized |
Level
1 |
Level
2 |
Level
3 |
Total |
|||||||||||||||
Common Stocks |
$ |
— |
$ |
36,554,781 |
$ |
— |
$ |
— |
$ |
36,554,781 |
||||||||||
REITs |
— |
10,105,467 |
— |
— |
10,105,467 |
|||||||||||||||
Master Limited |
||||||||||||||||||||
Partnerships |
— |
6,958,777 |
— |
— |
6,958,777 |
|||||||||||||||
Preferred Stocks |
— |
1,419,923 |
— |
— |
1,419,923 |
|||||||||||||||
Money Market Fund |
— |
265,730 |
— |
— |
265,730 |
|||||||||||||||
Investment Purchased |
||||||||||||||||||||
with the Cash |
||||||||||||||||||||
Proceeds from |
||||||||||||||||||||
Securities Lending* |
9,046,749 |
— |
— |
— |
9,046,749 |
|||||||||||||||
Total
Investments |
$ |
9,046,749 |
$ |
55,304,678 |
$ |
— |
$ |
— |
$ |
64,351,427 |
^ |
See Schedule of Investments for sector
breakouts. |
* |
Certain investments that are measured at
fair value using the NAV per share (or its equivalent) as a practical
expedient have not been characterized in the fair value hierarchy. The
fair value amounts presented in the table are intended to permit
reconciliation of the fair value hierarchy to the amount presented in the
Statements of Assets and Liabilities. See Note 8 for additional
information regarding securities lending. |
FCF International
Quality ETF |
||||
Level 3 Reconciliation
Disclosure |
||||
Equities |
||||
Balance as of July 31, 2022 |
$ |
151,676 |
||
Transfers
in |
324,312 |
|||
Realized
loss |
— |
|||
Change
in unrealized appreciation |
(102,286 |
) | ||
Balance as of January 31, 2023 |
$ |
373,702 |
||
Change in unrealized appreciation during
the period for |
||||
Level 3 investments held at
January 31, 2023 |
$ |
(102,286 |
) |
Purchases |
Sales |
|||||||
FCF US Quality ETF |
$ |
32,370,108 |
$ |
33,124,715 |
||||
FCF International Quality ETF |
$ |
9,978,985 |
$ |
15,022,073 |
||||
Donoghue Forlines Tactical High Yield
ETF |
$ |
124,522,623 |
$ |
124,493,753 |
||||
Donoghue Forlines Risk Managed Innovation
ETF |
$ |
54,315,410 |
$ |
54,521,664 |
||||
Donoghue Forlines Yield Enhanced Real
Asset ETF |
$ |
13,728,354 |
$ |
15,226,269 |
Purchases |
Sales |
|||||||
FCF US Quality ETF |
$ |
45,240,936 |
$ |
37,966,831 |
||||
FCF International Quality ETF |
$ |
— |
$ |
19,139,670 |
||||
Donoghue Forlines Tactical High Yield
ETF |
$ |
521,132 |
$ |
10,531,067 |
||||
Donoghue Forlines Risk Managed Innovation
ETF |
$ |
— |
$ |
41,846,245 |
||||
Donoghue Forlines Yield Enhanced Real
Asset ETF |
$ |
27,156,736 |
$ |
8,706,724 |
FCF
US |
FCF
International |
|||||||||||
Quality
ETF |
Quality
ETF |
|||||||||||
Tax cost of investments |
$ |
179,581,284 |
$ |
66,519,771 |
||||||||
Gross tax unrealized appreciation |
25,597,930 |
1,868,391 |
||||||||||
Gross tax unrealized depreciation |
(9,971,425 |
) |
(11,393,895 |
) | ||||||||
Net tax unrealized appreciation (depreciation) |
15,626,505 |
(9,525,504 |
) | |||||||||
Undistributed ordinary income |
204,093 |
1,708,083 |
||||||||||
Undistributed long-term capital gains |
1,415,476 |
— |
||||||||||
Total accumulated gain |
1,619,569 |
1,708,083 |
||||||||||
Other accumulated gain (loss) |
— |
(625,959 |
) | |||||||||
Distributable earnings |
$ |
17,246,074 |
$ |
(8,443,380 |
) | |||||||
Donoghue |
Donoghue |
Donoghue |
||||||||||
Forlines |
Forlines |
Forlines |
||||||||||
Tactical
High |
Risk
Managed |
Yield
Enhanced |
||||||||||
Yield
ETF |
Innovation
ETF |
Real
Asset ETF |
||||||||||
Tax cost of investments |
$ |
61,750,227 |
$ |
110,908,475 |
$ |
44,280,339 |
||||||
Gross tax unrealized appreciation |
982,457 |
7,106,316 |
1,932,211 |
|||||||||
Gross tax unrealized depreciation |
(1,138,454 |
) |
(11,524,256 |
) |
(3,038,701 |
) | ||||||
Net tax unrealized |
||||||||||||
appreciation (depreciation) |
(155,997 |
) |
(4,417,940 |
) |
(1,106,490 |
) | ||||||
Undistributed ordinary income |
10,501 |
358,209 |
1,922,637 |
|||||||||
Undistributed long-term capital gains |
— |
— |
26,759 |
|||||||||
Total accumulated gain |
10,501 |
358,209 |
1,949,396 |
|||||||||
Other accumulated gain (loss) |
(5,022,651 |
) |
(3,590,975 |
) |
— |
|||||||
Distributable earnings |
$ |
(5,168,147 |
) |
$ |
(7,650,706 |
) |
$ |
842,906 |
Short-Term |
Long-Term |
Expires | |||||||
FCF US Quality ETF |
$ |
— |
$ |
— |
Indefinite | ||||
FCF International Quality ETF |
$ |
616,829 |
$ |
— |
Indefinite | ||||
Donoghue Forlines Tactical High Yield
ETF |
$ |
5,006,897 |
$ |
15,754 |
Indefinite | ||||
Donoghue Forlines Risk Managed Innovation
ETF |
$ |
— |
$ |
— |
Indefinite | ||||
Donoghue Forlines Yield Enhanced Real
Asset ETF |
$ |
— |
$ |
— |
Indefinite |
Ordinary
Income |
Capital
Gains |
|||||||||||||||
July
31, 2022 |
July
31, 2021 |
July
31, 2022 |
July
31, 2021 |
|||||||||||||
FCF US Quality ETF |
$ |
5,304,037 |
$ |
757,531 |
$ |
14,377,867 |
$ |
— |
||||||||
FCF International Quality ETF |
$ |
778,251 |
$ |
86,243 |
$ |
927,184 |
$ |
— |
||||||||
Donoghue Forlines Tactical |
||||||||||||||||
High Yield ETF |
$ |
1,832,922 |
$ |
1,599,003 |
$ |
— |
$ |
— |
||||||||
Donoghue Forlines Risk |
||||||||||||||||
Managed Innovation
ETF |
$ |
3,938,297 |
$ |
18,013 |
$ |
126,720 |
$ |
— |
||||||||
Donoghue Forlines Yield |
||||||||||||||||
Enhanced Real Asset
ETF |
$ |
1,150,709 |
n/a |
$ |
— |
n/a |
Amount
Held at |
||||
January
31, 2023 |
||||
FCF US Quality ETF |
$ |
14,982,931 |
||
FCF International Quality ETF |
$ |
684,129 |
||
Donoghue Forlines Tactical High Yield ETF |
$ |
11,816,185 |
||
Donoghue Forlines Risk Managed Innovation ETF |
$ |
4,873,821 |
||
Donoghue Forlines Yield Enhanced Real Asset ETF |
$ |
9,046,749 |
Futures
Contracts Risk. Exchange-traded futures contracts are a type of
derivative, which call for the future delivery of an asset, or cash
settlement, at a certain stated price on a specified future date. Futures
contracts involve the risk of imperfect correlation between movements in
the price of the instruments and the price of the underlying assets. In
addition, there is the risk that the Fund may not be able to enter into a
closing transaction because of an illiquid market. Exchanges can limit the
number of positions that can be held or controlled by the Fund or the
Sub-Adviser, thus limiting the ability to implement the Fund’s strategies.
Futures markets are highly volatile, and the use of futures may increase
the volatility of the Fund’s NAV. |
Authorized Participants Concentration
Risk. The Fund may have a limited number of financial institutions
that may act as Authorized Participants (“APs”). To the extent that those
APs exit the business or are unable to process creation and/or redemption
orders, shares may trade at a discount to net asset value (or “NAV”) and
possibly face delisting. | |
Flash
Crash Risk. Sharp price declines in securities owned by the Fund
may trigger trading halts, which may result in the Fund’s shares trading
in the market at an increasingly large discount to NAV during part (or
all) of a trading day. Shareholders could suffer significant losses to the
extent that they sell shares at these temporarily low market
prices. | |
International Closed Markets Trading
Risk. Because certain of the Fund’s investments trade in markets
that are closed when the Fund and Exchange are open, there are likely to
be deviations between the current prices of such investments and the
prices at which such investments are valued by the Fund. As a result,
shares may appear to trade at a significant discount or premium to
NAV. | |
Large
Shareholder Risk. Certain shareholders, including the Adviser, the
Sub-Adviser or their respective affiliates, or groups of related
shareholders, such as those investing through one or more model
portfolios, may own a substantial amount of the Fund’s shares. The
disposition of Fund shares by large shareholders resulting in redemptions
through or by APs could have a significant negative impact on the Fund. In
addition, transactions by large shareholders may account for a large
percentage of the trading volume on the Exchange and may, therefore, have
a material upward or downward effect on the market price of the
Shares. | |
Premium-Discount Risk. Shares may trade
above or below their NAV. Accordingly, investors may pay more than NAV
when purchasing Shares or receive less than NAV |
when selling Shares. The market prices of
Shares will generally fluctuate in accordance with changes in NAV, changes
in the relative supply of, and demand for Shares, and changes in the
liquidity, or the perceived liquidity, of the Fund’s holdings. | |
Secondary Market Trading Risk. Investors
buying or selling Shares in the secondary market may pay brokerage
commissions or other charges, which may be a significant proportional cost
for investors seeking to buy or sell relatively small amounts of Shares.
Although the Shares are listed on the Exchange, there can be no assurance
that an active or liquid trading market for them will develop or be
maintained. In addition, trading in Shares on the Exchange may be
halted. |
FCF US Quality ETF |
71.28 |
% |
|||
FCF International Quality ETF |
100.00 |
% |
|||
Donoghue Forlines Tactical High Yield
ETF |
0.00 |
% |
|||
Donoghue Forlines Risk Managed Innovation
ETF |
29.12 |
% |
|||
Donoghue Forlines Yield Enhanced Real
Asset ETF |
51.03 |
% |
FCF US Quality ETF |
71.19 |
% |
|||
FCF International Quality ETF |
0.46 |
% |
|||
Donoghue Forlines Tactical High Yield
ETF |
0.00 |
% |
|||
Donoghue Forlines Risk Managed Innovation
ETF |
17.94 |
% |
|||
Donoghue Forlines Yield Enhanced Real
Asset ETF |
19.03 |
% |
FCF US Quality ETF |
67.08 |
% |
|||
FCF International Quality ETF |
0.00 |
% |
|||
Donoghue Forlines Tactical High Yield
ETF |
0.00 |
% |
|||
Donoghue Forlines Risk Managed Innovation
ETF |
99.15 |
% |
|||
Donoghue Forlines Yield Enhanced Real
Asset ETF |
0.00 |
% |
Term of |
Number of |
||||
Office |
Portfolios |
Other | |||
and |
Principal |
in Fund |
Directorships | ||
Position(s) |
Length |
Occupation |
Complex |
Held by Trustee | |
Name, Year |
Held with |
of Time |
During Past |
Overseen |
During Past |
of Birth |
the Trust |
Served |
Five Years |
by Trustee |
Five Years |
Independent
Trustees |
|||||
Stephen J. Posner |
Trustee |
Since |
Retired Since |
5 |
Director, TrimTabs |
YOB: 1944 |
2014 |
2014. |
Investment Research | ||
(2016-2017)** | |||||
David A. Kelly |
Trustee |
Since |
Founder and |
5 |
None |
YOB: 1938 |
2015 |
President, Three |
|||
Lakes Advisors, Inc. |
|||||
(1996-present) |
|||||
Interested
Trustee* |
|||||
Jacob Pluchenik |
Trustee, |
Trustee |
Managing Member, |
5 |
None |
YOB: 1976 |
President |
since |
GF Investments |
||
and |
2021; |
(2005-present); |
|||
Principal |
President |
Member, FCF |
|||
Executive |
and |
Advisors LLC |
|||
Officer |
Principal |
(2016-present) |
|||
Executive |
|||||
Officer |
|||||
since |
|||||
November |
|||||
2022 |
* |
Mr. Pluchenik is an “interested person,”
as defined by the Investment Company Act of 1940, as amended, because of
his ownership interest in the Adviser. |
** |
TrimTabs Investment Research does not
control and is not controlled by or under common control with the
Adviser. |
Term of |
|||
Position(s) |
Office and |
||
Name, Year |
Held with |
Length of |
|
of Birth |
the Trust |
Time Served |
Principal Occupation During Past Five
Years |
Officers |
|||
Derin Cohen |
Chief |
Chief |
Chief Operating & Compliance Officer, FCF Advisors |
YOB: 1991 |
Compliance |
Compliance |
LLC (2019-present) and Vice President, Marketing and |
Officer and |
Officer and |
Operations (2017-2019); Lead Generation Associate, | |
Anti-Money |
Anti-Money |
SinglePlatform (2017-2017); Internal Control Associate, | |
Laundering |
Laundering |
Maxim Group LLC (2013-2017) | |
Officer |
Officer since |
||
2019; Vice |
|||
President |
|||
(2018-2019) |
|||
Vince (Qijun) Chen |
Vice |
Since 2019 |
Director of Research, FCF Advisors LLC (2022-present), |
YOB: 1994 |
President, |
Portfolio Manager, FCF Advisors LLC (2021-present), | |
Treasurer, |
Quantitative Analyst, FCF Advisors LLC | ||
and |
(2017-present); Application Developer, NYC Human | ||
Principal |
Resources Administration (2017-2017) | ||
Financial |
|||
Officer |