Leatherback Long/Short Alternative Yield ETF

Ticker: LBAY

Annual Report

August 31, 2023

Leatherback Long/Short Alternative Yield ETF

Leatherback Long/Short Alternative Yield ETF

Dear Shareholders,

Leatherback Asset Management, LLC, the investment sub-adviser to the Leatherback Long/Short Alternative Yield ETF (the “Fund”), launched the Fund on November 16, 2020. The Fund’s investment objective is to seek capital appreciation and income.

Since inception through the period ended August 31, 2023, the Fund generated an annualized total return of 13.62% (NAV) and 13.66% (Market). This compares to the 9.82% annualized total return of the Fund’s benchmark, the S&P 500 ^® Total Return Index. The Fund has returned $2.20 per share in distributions. As of August 31, 2023, the Fund had long exposure of 118.2% and short exposure of -32.5%, resulting in a net exposure of 85.7%.

<!--[if IE]><FONT style=" width: 14.399999999999999pt; text-indent: -12.0pt; display: inline-block;"><![endif]--> ^* <!--[if IE]></FONT><![endif]--> Annualized.

The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. Performance current to the most recent month-end can be obtained by calling 833-417-0090.

The beginning of the fiscal year ended August 31, 2023 can be characterized as a narrowly led market that has proven difficult for value-oriented strategies. Broader equity markets have been seeking direction, interest rates have continued to rise at a substantial clip, and we appear to find ourselves in the midst of a new paradigm in equities. It continues to be debated if the U.S. may be stumbling toward a recessionary period, or if the economy will end up landing on two feet.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> • <!--[if IE]></FONT><![endif]--> We ended the third quarter of 2022 observing many pertinent topics carry over from the prior year. We were discussing inflation, employment, and the expectations of Federal Open Market Committee (“FOMC”) actions. The latest interest rate regime appeared to have ended, and the U.S. Federal Reserve Board (the “Fed”) continued to do what it could to make that message clear. At the same time, available jobs in the U.S. continued to outpace the number of workers seeking them. Both fixed income and equity markets reacted, and turbulence was experienced. Shares of what we viewed as lower quality companies saw a rally. We opined that the market setup was different from over the past decade, and that interest rates would be higher, and remain there longer, than markets were discounting. We made a call for higher inflation, a consumer that may be on the ropes, and possible corporate profit margin compression. We thought of this as a potential crossover event, where market pricing mechanisms and a reduction in central bank liquidity could leave many scratching their heads. We wondered how many investors witnessed or remembered a true rising-rate environment, or high interest rates in general. Fear and doubt crept into markets as investors were faced with working through true price discovery.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> • <!--[if IE]></FONT><![endif]--> Over the course of the fourth quarter of 2022, we saw a bear market rally run out of steam. In the lead up to markets settling down, participants were looking for policymakers to pivot (cut interest rates) and were optimistic about a soft landing of the economy. To the chagrin of many, interest rate increases were in full swing. The Fed was staying firm that prices were deemed too high and must come down. Interest rates were still being raised, but the FOMC was slowing the pace. The market became excited about the stepping down in pace, but would it matter? Growth equities experienced decline, and we wondered if we were beginning to see companies that may have been poor allocators of capital during the near zero-interest rate period reap what had been sowed. We continued to be intrigued by the levels of concentration of the largest constituents in broad market indexes.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> • <!--[if IE]></FONT><![endif]--> To kick off the first quarter of 2023, we declared the zero-interest party had ended given the aggressive stance the Federal Reserve had taken with respect to raising their policy interest rate. We noted the woes of U.S. financial assets rounding out 2022 as both broad equity and bond markets struggled. We opined that fundamental investing and financial analysis may be rewarded as valuations may become jeopardized due to the repricing of the interest rate discounting mechanism. We found the decline in the levels of negative-yielding debt to be staggering, and questioned whether the experiment may be ending. As the quarter progressed, we witnessed a resurgence in the share prices of companies deemed to have growth prospects, but that we found fundamentally weak. We speculated this may have been the result of overoptimism that the Fed would revert back to near-zero rates again. We noted management teams seeming less confident during the earnings cycle and began to hear the term “trading down” when referencing consumer spending habits. We also found it curious that the bar for profitability and other performance metric outlooks continued to be lowered during the cycle. We remarked that the cost of profitability was increasing, and workers continued to expect higher wages, but that policymakers were indicating job losses were needed and the public should be prepared for them. We continued to be impressed by the higher levels of all-time highs in household debt. We questioned how

Leatherback Long/Short Alternative Yield ETF

these undercurrents could substantiate the share prices seen in the growth prospect names, and the Fund saw several short positions rally significantly. To wrap up the quarter, we watched as regional bank stability was questioned and two of the largest Federal Deposit Insurance Corporation (“FDIC”) failures in history took place. While this was unfolding the shares of companies that tend to move in the same direction of the market, but at more pronounced levels, continued to outperform. We posited that the price discovery mechanism that we thought was restored during the prior year had become broken once again, as current events caused investors to expect bailouts, interest rate cuts, and the return to near-zero interest rate free money. Growth equities were being embraced while value-oriented securities were being shunned, which caused many of the long positions of the Fund to underperform, while short positions simultaneously outperformed the overall market. We ended the quarter asking what would happen if riskier corners of funding were marked to market, and suggested this could be the beginning of a larger credit crunch.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> • <!--[if IE]></FONT><![endif]--> Quarter two of 2023 saw the regional banking anxiety calm down. Our interest in concentration of the largest cohorts in broad equity indices hadn’t waned, and we wondered if liquidity may be in the process of unintentional removal from markets. We speculated the market itself was becoming defined by a small handful of firms, and asked if broad market yardsticks were being reduced to less than ten constituents within a benchmark, and even reduced further with respect to a sector. We continued to note some common themes: earnings cycle metric hurdles were being lowered, markets were pricing interest rate hikes and cuts against each other, would there be a hot or cold economy in upcoming periods, and again we noted our skepticism around the outlook for consumer spending. In the middle of the quarter, we postulated the V-shape recovery we were seeing in growth stock performance was driven mainly by participants hanging on to the hope that the federal funds interest rate would be reduced. We thought the frenzy was sentiment surrounding a fear of missing out which caused momentum in many names. We thought the tides would turn, given companies were beginning to acknowledge what we had expected: growth forecasts were showing cracks, and stresses were indicated by slowing consumer discretionary spending. The federal funds target rate had risen to 5%. With household debt indicating higher and higher levels, and interest rates at higher levels (and we thought for longer), we hinted the stresses on the consumer may just be in the early stages given the paradigm shift to a true cost of funds. We suggested the near zero-interest rate environment during prior time periods provided the incentive to spend now rather than later and had been conflated as growth, and we wondered if that perceived growth would begin to show unsustainability going forward.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> • <!--[if IE]></FONT><![endif]--> The third quarter through August 2023 began with the artificial intelligence (“AI”) craze. Continuing with our concentration observations, the largest few names in U.S. equity markets grew even larger. If you were not a holder of a few of these names in your portfolio, it is likely you dramatically underperformed, as AI-related names and technology sector stocks seemed to be buoying broad U.S. market indices. Short positions for the Fund continued to rally and outperform relative to overall markets. We ended August wondering if inflation bore the risk of more permanence, and if these higher costs were being funded by greater and greater amounts of credit card debt. The resumption of student loan repayments also loomed on the horizon. We asked if the consumer has had enough pain, and if spending patterns would see the changes we had been forecasting, as we believe credit-fueled purchases of goods and services may not be sustainable.

We believe the remainder of the year and into 2024 may be beneficial for long/short investment strategies. Presently, we maintain several long positions that we view as attractively valued on both an absolute and relative basis. These names also generate income via dividends, many of which we believe have the potential to grow these payouts. We anticipate the coming months and year could produce an opportunity to upgrade our portfolio with high shareholder yielding equities. On the short side of the book, we maintain shorts in high valuation companies with, in our opinion, limited prospects for near-term profitability. While short book performance has been a challenge during the last several months, we believe the set up going forward is constructive and could prove profitable over the next year. As we wrap up the month of August 2023, we want to thank our corporate and investor partners. We look forward to future dialogue and working together to continue changing the game.

For any questions about the Fund please reach out to us at (833) 417-0090. You may also visit our website at www.leatherbackam.com or reach us via email at [email protected].

Leatherback Asset Management

Leatherback Long/Short Alternative Yield ETF

Before investing you should carefully consider the Fund’s investment objectives, risks, charges and expenses. This and other information is contained in the Fund’s prospectus. The Fund’s prospectus may be obtained by visiting www.leatherbackam.com. Please read the prospectus carefully before you invest.

Investing involves risk, including the loss of principal.

Past performance does not guarantee future results.

A fund’s net asset value (“NAV”) per share is the sum of all its assets less any liabilities, divided by the number of shares outstanding. The market price is the most recent price at which the fund was traded.

As with all exchange-traded funds, Fund shares may be bought and sold in the secondary market at market prices. The market price normally should approximate the Fund’s NAV per share, but the market price sometimes may be higher or lower than the NAV. The Fund is newer with a limited operating history. There are a limited number of financial institutions authorized to buy and sell shares directly with the Fund; and there may be a limited number of other liquidity providers in the marketplace. There is no assurance that Fund shares will trade at any volume, or at all, on any stock exchange. Low trading activity may result in shares trading at a material discount to NAV.

“Long” and “short” are investment terms used to describe ownership of securities. To buy securities is to “go long.” The opposite of going long is “selling short.” Short selling is an advanced trading strategy that involves selling a borrowed security. Short sellers make a profit if the price of the security goes down and they are able to buy the security at a lower amount than the price at which they sold the security short.

The S&P 500 ^® Total Return Index is an index of 500 large-capitalization companies selected by Standard & Poor’s Financial Services LLC.

Since the Fund is actively-managed it does not seek to replicate the performance of a specified index. The Fund therefore may have higher portfolio turnover and trading costs than index-based funds. The Fund may invest in other funds, and in so doing will incur the expenses and risks of those funds.

The Fund uses short sales and may invest in other derivatives (forwards, futures, swaps, and options), both of which may involve substantial risk. The loss on a short sale is in principle unlimited since there is no upward limit on the price of a shorted asset. The potential loss from a derivative may be greater than the amount invested due to counter-party default; illiquidity; or other factors. The Fund may hold illiquid assets (e.g., certain business development companies), to the extent permitted under the Investment Company Act of 1940, as amended, which may cause a loss if the Fund is unable to sell an asset at a beneficial time or price.

Through its investments in real estate investment trusts (REITs), the Fund is subject to the risks of investing in the real estate market, including decreases in property revenues, increases in interest rates, increases in property taxes and operating expenses, legal and regulatory changes, a lack of credit or capital, defaults by borrowers or tenants, environmental problems and natural disasters.

The Fund may invest in master limited partnerships (MLPs) that may subject the Fund to greater volatility than investments in traditional securities. The value of MLPs and MLP based exchange traded funds and notes may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or sectors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs, and international economic, political and regulatory developments.

The Fund may invest in Business development companies (BDCs) that generally invest in debt securities that are not rated by a credit rating agency and are considered below investment grade quality (“junk bonds”). Little public information generally exists for the type of companies in which a BDC may invest and, therefore, there is a risk that the Fund may not be able to make a fully informed evaluation of the BDC and its portfolio of investments.

The Fund is classified as “non-diversified” and may invest a relatively high percentage of its assets in a limited number of issuers. As a result, the fund may be more susceptible to a single adverse economic or regulatory occurrence affecting one or more of these issuers, experience increased volatility and be highly concentrated in certain issuers.

The Fund is distributed by Foreside Fund Services, LLC.

Leatherback Asset Management, Foreside Fund Services, and Tidal ETF Services are not affiliated. 

Leatherback Long/Short Alternative Yield ETF

This chart illustrates the performance of a hypothetical $10,000 investment made on November 16, 2020 (commencement of operations), and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The chart assumes reinvestment of capital gains, dividends, and return of capital, if applicable, for a fund and dividends for an index.

Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling (833) 417-0090. The Fund’s expense ratio is 1.32% (as of the Fund’s most recently filed Prospectus.)

Leatherback Long/Short Alternative Yield ETF

<!--[if IE]><FONT style=" width: 14.399999999999999pt; text-indent: -12.0pt; display: inline-block;"><![endif]--> ⁽¹⁾ <!--[if IE]></FONT><![endif]--> Represents short-term investments and investments purchased with collateral from securities lending.

Leatherback Long/Short Alternative Yield ETF

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

Leatherback Long/Short Alternative Yield ETF

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

Leatherback Long/Short Alternative Yield ETF

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

Leatherback Long/Short Alternative Yield ETF

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

<!--[if IE]><FONT style=" width: 14.399999999999999pt; text-indent: -12.0pt; display: inline-block;"><![endif]--> ⁽¹⁾ <!--[if IE]></FONT><![endif]--> Includes loaned securities with a value of $4,962,220.

Leatherback Long/Short Alternative Yield ETF

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

Leatherback Long/Short Alternative Yield ETF

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

<!--[if IE]><FONT style=" width: 14.399999999999999pt; text-indent: -12.0pt; display: inline-block;"><![endif]--> ⁽¹⁾ <!--[if IE]></FONT><![endif]--> Summary of share transactions is as follows:

Leatherback Long/Short Alternative Yield ETF

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

<!--[if IE]><FONT style=" width: 14.399999999999999pt; text-indent: -12.0pt; display: inline-block;"><![endif]--> ⁽¹⁾ <!--[if IE]></FONT><![endif]--> The Fund commenced operations on November 16, 2020. The information presented is from November 16, 2020 to August 31, 2021.

<!--[if IE]><FONT style=" width: 14.399999999999999pt; text-indent: -12.0pt; display: inline-block;"><![endif]--> ⁽²⁾ <!--[if IE]></FONT><![endif]--> Calculated using average shares outstanding method.

<!--[if IE]><FONT style=" width: 14.399999999999999pt; text-indent: -12.0pt; display: inline-block;"><![endif]--> ⁽³⁾ <!--[if IE]></FONT><![endif]--> Not annualized.

<!--[if IE]><FONT style=" width: 14.399999999999999pt; text-indent: -12.0pt; display: inline-block;"><![endif]--> ⁽⁴⁾ <!--[if IE]></FONT><![endif]--> The total return is based on the Fund’s net asset value. Additional performance information is presented in the Performance Summary.

<!--[if IE]><FONT style=" width: 14.399999999999999pt; text-indent: -12.0pt; display: inline-block;"><![endif]--> ⁽⁵⁾ <!--[if IE]></FONT><![endif]--> Annualized.

<!--[if IE]><FONT style=" width: 14.399999999999999pt; text-indent: -12.0pt; display: inline-block;"><![endif]--> ⁽⁶⁾ <!--[if IE]></FONT><![endif]--> The ratio of expenses to average net assets includes dividends and interest on securities sold short and tax expenses. The expense ratio excluding dividends and interest on securities sold short and tax expenses is 0.95% for the year ended August 31, 2023, 0.95% for the year ended August 31, 2022 and 0.95% for the period ended August 31, 2021.

<!--[if IE]><FONT style=" width: 14.399999999999999pt; text-indent: -12.0pt; display: inline-block;"><![endif]--> ⁽⁷⁾ <!--[if IE]></FONT><![endif]--> The net investment income (loss) ratios include dividends and interest on securities sold short.

<!--[if IE]><FONT style=" width: 14.399999999999999pt; text-indent: -12.0pt; display: inline-block;"><![endif]--> ⁽⁸⁾ <!--[if IE]></FONT><![endif]--> Net realized and unrealized gain (loss) per share in the caption are balancing amounts necessary to reconcile the change in the net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statement of Operations due to share transactions for the period.

<!--[if IE]><FONT style=" width: 14.399999999999999pt; text-indent: -12.0pt; display: inline-block;"><![endif]--> ⁽⁹⁾ <!--[if IE]></FONT><![endif]--> Excludes the impact of in-kind transactions, if applicable.

Leatherback Long/Short Alternative Yield ETF

The Leatherback Long/Short Alternative Yield ETF (the “Fund”) is a non-diversified series of shares of beneficial interest of Tidal ETF Trust (the “Trust”). The Trust was organized as a Delaware statutory trust on June 4, 2018 and is registered with the Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and the offering of the Fund’s shares is registered under the Securities Act of 1933, as amended. The Trust is governed by the Board of Trustees (the “Board”). Toroso Investments, LLC (“Toroso” or the “Adviser”), a Tidal Financial Group Company, serves as investment adviser to the Fund and Leatherback Asset Management, LLC (the “Sub-Adviser”) serves as investment sub-adviser to the Fund. The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 “Financial Services—Investment Companies.” The Fund commenced operations on November 16, 2020.

The investment objective of the Fund is to seek capital appreciation and income.

The following is a summary of significant accounting policies consistently followed by the Fund. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”).

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> A. <!--[if IE]></FONT><![endif]--> Security Valuation. Equity securities, which may include Real Estate Investment Trusts (“REITs”), Business Development Companies (“BDCs”), and Master Limited Partnerships (“MLPs”), listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on the NASDAQ Stock Market, LLC (“NASDAQ”), including securities traded over the counter, are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded on the valuation date (or at approximately 4:00 p.m. EST if a security’s primary exchange is normally open at that time), or, if there is no such reported sale on the valuation date, at the most recent quoted bid price or mean between the most recent quoted bid and ask prices for long and short positions. For a security that trades on multiple exchanges, the primary exchange will generally be considered the exchange on which the security is generally most actively traded. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. Prices of securities traded on the securities exchange will be obtained from recognized independent pricing agents (“Independent Pricing Agents”) each day that the Fund is open for business.

Options are valued at the last quoted sales price. If there is no such reported sale on the valuation date, both long and short positions are valued at the mean between the most recent quoted bid and ask prices.

Effective September 8, 2022, for securities for which quotations are not readily available, under Rule 2a-5 of the 1940 Act. a fair value will be determined by the Valuation Committee (as defined in Rule 2a-5) in accordance with the Pricing and Valuation Policy and Fair Value Procedures, as applicable, of the Adviser, subject to oversight by the Board. When a security is “fair valued,” consideration is given to the facts and circumstances relevant to the particular situation, including a review of various factors set forth in the Adviser’s Pricing and Valuation Policy and Fair Value Procedures, as applicable. Fair value pricing is an inherently subjective process, and no single standard exists for determining fair value. Different funds could reasonably arrive at different values for the same security. The use of fair value pricing by a fund may cause the net asset value (“NAV”) of its shares to differ significantly from the NAV that would be calculated without regard to such considerations.

As described above, the Fund utilizes various methods to measure the fair value of its investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are:

Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

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 instruments, 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.

Leatherback Long/Short Alternative Yield ETF

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

The following is a summary of the inputs used to value the Fund’s investments as of August 31, 2023:

<!--[if IE]><FONT style=" width: 14.399999999999999pt; text-indent: -12.0pt; display: inline-block;"><![endif]--> ⁽¹⁾ <!--[if IE]></FONT><![endif]--> See Schedule of Investments for the industry breakout.

<!--[if IE]><FONT style=" width: 14.399999999999999pt; text-indent: -12.0pt; display: inline-block;"><![endif]--> ⁽²⁾ <!--[if IE]></FONT><![endif]--> Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized 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 amounts presented in the Schedule of Investments.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> B. <!--[if IE]></FONT><![endif]--> Federal Income Taxes. The Fund has elected to be taxed as a “regulated investment company” and intends to distribute substantially all taxable income to its shareholders and otherwise comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. Therefore, no provision for federal income taxes or excise taxes has been made.

In order to avoid imposition of the excise tax applicable to regulated investment companies, the Fund intends to declare as dividends in each calendar year at least 98.0% of its net investment income (earned during the calendar year) and at least 98.2% of its net realized capital gains (earned during the twelve months ended October 31) plus undistributed amounts, if any, from prior years.

As of August 31, 2023, the Fund did not have any tax positions that did not meet the threshold of being sustained by the applicable tax authority. Generally, tax authorities can examine all the tax returns filed for the last three years. The Fund identifies its major tax jurisdiction as U.S. Federal and the Commonwealth of Delaware; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> C. <!--[if IE]></FONT><![endif]--> Securities Transactions and Investment Income. Investment securities transactions are accounted for on the trade date. Gains and losses realized on sales of securities are determined on a specific identification basis. Discounts/premiums on debt securities purchased are accreted/amortized over the life of the respective securities using the effective interest method. Dividend income is recorded on the ex-dividend date. Dividends received from REITs generally are comprised of ordinary income, capital gains, and may include return of capital. Debt income is recorded on an accrual basis. Other non-cash dividends are recognized as investment income at the fair value of the property received. Withholding taxes on foreign dividends have been provided for in accordance with the Trust’s understanding of the applicable country’s tax rules and rates.

Leatherback Long/Short Alternative Yield ETF

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> D. <!--[if IE]></FONT><![endif]--> Options Contracts. The Fund may invest in options contracts that may be used to modify or hedge the Fund’s exposure to a particular investment market related risk, as well as to manage the volatility of the Fund. When the Fund purchases an option, an amount equal to the premium paid by the Fund is recorded as an investment and is subsequently adjusted to the current value of the option purchased. If an option expires on the stipulated expiration date or if the Fund enters into a closing sale transaction, a gain or loss is realized. If a call option is exercised, the cost of the security acquired is increased by the premium paid for the call. If a put option is exercised, a gain or loss is realized from the sale of the underlying security, and the proceeds from such sale are decreased by the premium originally paid. Options are non-income producing securities. During the year ended August 31 , 2023, the Fund did not invest in options contracts.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> E. <!--[if IE]></FONT><![endif]--> Distributions to Shareholders. Distributions to shareholders from net investment income, if any, for the Fund are declared and paid at least monthly. Distributions to shareholders from net realized gains on securities, if any, for the Fund normally are declared and paid on an annual basis. Distributions are recorded on the ex-dividend date.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> F. <!--[if IE]></FONT><![endif]--> Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amount of revenue and expenses during the reporting period. Actual results could differ from those estimates.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> G. <!--[if IE]></FONT><![endif]--> Share Valuation. The NAV per share of the Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash or other assets, minus all liabilities by the total number of shares outstanding for the Fund, rounded to the nearest cent. The Fund’s shares will not be priced on the days on which the New York Stock Exchange (“NYSE”) is closed for trading.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> H. <!--[if IE]></FONT><![endif]--> Guarantees and Indemnifications. In the normal course of business, the Fund enters into contracts with service providers that contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> I. <!--[if IE]></FONT><![endif]--> Illiquid Investments. Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a Board-approved Liquidity Risk Management Program (the “Program”) that requires, among other things, that the Fund limit its illiquid investments that are assets to no more than 15% of the value of the Fund’s net assets. An illiquid investment is any investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. If the Fund should be in a position where the value of illiquid investments held by the Fund exceeds 15% of the Fund’s net assets, the Fund will take such steps as set forth in the Program.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> J. <!--[if IE]></FONT><![endif]--> Derivatives Transactions. On October 28, 2020, the SEC adopted new regulations governing the use of derivatives by registered investment companies as Rule 18f-4 under the 1940 Act (“Rule 18f-4”). Rule 18f-4 imposes limits on the amount of derivatives a fund can enter into, eliminates the asset segregation and cover framework arising from prior SEC guidance for covering derivatives and certain financial instruments currently used by funds to comply with Section 18 of the 1940 Act and treats derivatives as senior securities. Under Rule 18f-4 a fund’s derivatives exposure is limited through a value-at-risk test. Funds whose use of derivatives is more than a limited specified exposure amount are required to establish and maintain a comprehensive derivatives risk management program, subject to oversight by a fund’s board of trustees, and appoint a derivatives risk manager. Management has implemented a Rule 18f-4 Derivative Risk Management Program that complies with Rule 18f-4.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> K. <!--[if IE]></FONT><![endif]--> Short Sales. The Fund may make short sales as part of its overall portfolio management strategies or to offset a potential decline in value of a security. A short sale involves the sale of a security that is borrowed from a broker or other institution to complete the sale. The Fund may engage in short sales with respect to securities it owns, as well as securities that it does not own. Short sales expose the Fund to the risk that it will be required to acquire, convert or exchange securities to replace the borrowed security (also known as “covering” the short position) at a time when the security sold short has appreciated in value, thus resulting in a loss to the Fund. The Fund’s investment performance may also suffer if the Fund is required to close out a short position earlier than it had intended. The Fund must segregate assets determined to be liquid in accordance with procedures established by the Board, or otherwise cover its positions in a permissible manner. The Fund will be required to pledge its liquid assets to the broker to secure its performance on short sales. As a result, the assets pledged may not be available to meet the Fund’s needs for immediate cash or other liquidity. In addition, the Fund may be subject to expenses related to short sales that are not typically

Leatherback Long/Short Alternative Yield ETF

associated with investing in securities directly, such as costs of borrowing and margin account maintenance costs associated with the Fund’s open short positions. These types of short sales expenses are sometimes referred to as the “negative cost of carry,” and will tend to cause the Fund to lose money on a short sale even in instances where the price of the security sold short does not change over the duration of the short sale. Dividend expenses on securities sold short will be borne by the shareholders of the Fund.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> L. <!--[if IE]></FONT><![endif]--> Reclassification of Capital Accounts. U.S. GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or NAV per share. For the year ended August 31, 2023, the following adjustments were made:

During the year ended August 31, 2023, the Leatherback Long/Short Alternative ETF realized $3,683,983, in net capital gains resulting from in-kind redemptions, in which Authorized Participants exchanged Fund shares for securities held by the Fund rather than for cash. Because such gains are not taxable to the Fund, and are not distributed to shareholders, they have been reclassified from accumulated losses to paid-in capital. These differences are primarily due to adjustments for redemptions in-kind activity, wash sale and REIT adjustments related to redemptions in-kind activity, and a prior year true-up for tax equalization .

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> M. <!--[if IE]></FONT><![endif]--> Other Regulatory Matters. In October 2022, the Securities and Exchange Commission (the “SEC”) adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee Information in Investment Company Advertisements. The rule and form amendments will, among other things, require funds to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month transition period after the effective date of the amendment.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> N. <!--[if IE]></FONT><![endif]--> Recently Issued Accounting Pronouncements.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> • <!--[if IE]></FONT><![endif]--> In June 2022, the FASB issued Accounting Standards Update 2022-03, which amends Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (“ASU 2022-03”). ASU 2022-03 clarifies guidance for fair value measurement of an equity security subject to a contractual sale restriction and establishes new disclosure requirements for such equity securities. ASU 2022-03 is effective for fiscal years beginning after December 15, 2023 and for interim periods within those fiscal years, with early adoption permitted. The Fund is currently evaluating the impact of these amendments on the financial statements.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> • <!--[if IE]></FONT><![endif]--> In December 2022, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2022-06, Reference Rate Reform (Topic 848) – Deferral of the Sunset Date of Topic 848 (“ASU 2022-06). ASU 2022-06 is an amendment to ASU 2020-04, which provided optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates and which was effective as of March 12, 2020 through December 31, 2022. ASU 2022-06 extends the effective period through December 31, 2024. The Fund is currently evaluating the impact, if any, of applying ASU 2022-06.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> A. <!--[if IE]></FONT><![endif]--> Associated Risks of Short Selling. The Fund may make short sales of securities, which involves selling a security it does not own in anticipation that the price of the security will decline. Short sales may involve substantial risk and leverage. Short sales expose the Fund to the risk that it will be required to buy (“cover”) the security sold short when the security has appreciated in value or is unavailable, thus resulting in a loss to the Fund. Short sales also involve the risk that losses may exceed the amount invested and may be unlimited.

Leatherback Long/Short Alternative Yield ETF

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> B. <!--[if IE]></FONT><![endif]--> BDC Risk. BDCs generally invest in debt securities that are not rated by a credit rating agency and are considered below investment grade quality (“junk bonds”). Little public information generally exists for the type of companies in which a BDC may invest and, therefore, there is a risk that the Fund may not be able to make a fully informed evaluation of the BDC and its portfolio of investments. In addition, investments made by BDCs are typically illiquid and are difficult to value for purposes of determining a BDC’s NAV.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> C. <!--[if IE]></FONT><![endif]--> Closed-End Fund Risk. Shares of closed-end funds frequently trade at a price per share that is less than the NAV per share. There can be no assurance that the market discount on shares of any closed-end fund purchased by the Fund will ever decrease or that when the Fund seeks to sell shares of a closed-end fund it can receive the NAV of those shares.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> D. <!--[if IE]></FONT><![endif]--> Convertible Securities Risk. Convertible securities rank senior to the issuer’s common stock, but may be subordinate to senior debt obligations. In part, the total return for a convertible security may depend upon the performance of the underlying stock into which it can be converted. Synthetic convertibles may respond differently to market fluctuations than traditional convertible securities. They are also subject to counterparty risk.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> E. <!--[if IE]></FONT><![endif]--> Depositary Receipt Risk. Depositary receipts involve risks similar to those associated with investments in foreign securities and give rise to certain additional risks. Depositary receipts listed on U.S. or foreign exchanges are issued by banks or trust companies, and entitle the holder to all dividends and capital gains that are paid out on the underlying foreign shares (“Underlying Shares”). When the Fund invests in depositary receipts as a substitute for an investment directly in the Underlying Shares, the Fund is exposed to the risk that the depositary receipts may not provide a return that corresponds precisely with that of the Underlying Shares.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> F. <!--[if IE]></FONT><![endif]--> Equity Market Risk. The equity securities held in the Fund’s portfolio may experience sudden, unpredictable drops in value or long periods of decline in value. This may occur because of factors that affect securities markets generally or factors affecting specific issuers, industries, or sectors in which the Fund invests. Common stocks, such as those held by the Fund, are generally exposed to greater risk than other types of securities, such as preferred stock and debt obligations, because common stockholders generally have inferior rights to receive payment from issuers.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> G. <!--[if IE]></FONT><![endif]--> Exchange Traded Fund (“ETF”) Risks.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> • <!--[if IE]></FONT><![endif]--> Authorized Participants, Market Makers, and Liquidity Providers Concentration Risk. The Fund has a limited number of financial institutions that are authorized to purchase and redeem shares directly from the Fund ( “APs”). In addition, there may be a limited number of market makers and/or liquidity providers in the marketplace. To the extent either of the following events occur, shares of the Fund (“Shares”) may trade at a material discount to NAV and possibly face delisting: (i) APs exit the business or otherwise become unable to process creation and/or redemption orders and no other APs step forward to perform these services; or (ii) market makers and/or liquidity providers exit the business or significantly reduce their business activities and no other entities step forward to perform their functions.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> • <!--[if IE]></FONT><![endif]--> Cash Redemption Risk. The Fund’s investment strategy may require it to redeem Shares for cash or to otherwise include cash as part of its redemption proceeds. For example, the Fund may not be able to redeem in-kind certain securities held by the Fund (e.g., TBA transactions, short positions, derivative instruments, and bonds that cannot be broken up beyond certain minimum sizes needed for transfer and settlement). In such a case, the Fund may be required to sell or unwind portfolio investments to obtain the cash needed to distribute redemption proceeds. This may cause the Fund to recognize a capital gain that it might not have recognized if it had made a redemption in-kind. As a result, the Fund may pay out higher annual capital gain distributions than if the in-kind redemption process was used.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> • <!--[if IE]></FONT><![endif]--> Costs of Buying or Selling Shares. Due to the costs of buying or selling Shares, including brokerage commissions imposed by brokers and bid-ask spreads, frequent trading of Shares may significantly reduce investment results and an investment in Shares may not be advisable for investors who anticipate regularly making small investments.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> • <!--[if IE]></FONT><![endif]--> Shares May Trade at Prices Other Than NAV. As with all ETFs, Shares may be bought and sold in the secondary market at market prices. Although it is expected that the market price of Shares will approximate the Fund’s NAV, there may be times when the market price of Shares is more than the NAV intra-day (premium) or less than the NAV intra-day (discount) due to supply and demand of Shares or during periods of market volatility. This risk is heightened in times of market volatility, periods of steep market declines, and periods when there is limited trading activity for Shares in the secondary market, in which case such premiums or discounts may be significant.

Leatherback Long/Short Alternative Yield ETF

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> • <!--[if IE]></FONT><![endif]--> Trading. Although shares are listed on a national securities exchange, such as NYSE Arca, Inc. (the “Exchange”) and may be traded on U.S. exchanges other than the Exchange, there can be no assurance that shares will trade with any volume, or at all, on any stock exchange. In stressed market conditions, the liquidity of shares may begin to mirror the liquidity of the Fund’s underlying po rtfolio holdings, which can be significantly less liquid than Shares.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> H. <!--[if IE]></FONT><![endif]--> Fixed Income Risk. The value of the Fund’s investments in fixed income securities will fluctuate with changes in interest rates. Typically, a rise in interest rates causes a decline in the value of fixed income securities owned indirectly by the Fund. On the other hand, if rates fall, the value of the fixed income securities generally increases. The Fund may be subject to a greater risk of rising interest rates due to the current period of historically low rates and the effect of potential government fiscal policy initiatives and resulting market reaction to those initiatives. In general, the market price of fixed income securities with longer maturities will increase or decrease more in response to changes in interest rates than shorter-term securities.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> I. <!--[if IE]></FONT><![endif]--> Market Capitalization Risk.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> • <!--[if IE]></FONT><![endif]--> Large-Capitalization Investing. The securities of large-capitalization companies may be relatively mature compared to smaller companies and therefore subject to slower growth during times of economic expansion. Large-capitalization companies may also be unable to respond quickly to new competitive challenges, such as changes in technology and consumer tastes.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> • <!--[if IE]></FONT><![endif]--> Mid-Capitalization Investing. The securities of mid-capitalization companies may be more vulnerable to adverse issuer, market, political, or economic developments than securities of large-capitalization companies. The securities of mid-capitalization companies generally trade in lower volumes and are subject to greater and more unpredictable price changes than large capitalization stocks or the stock market as a whole.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> • <!--[if IE]></FONT><![endif]--> Small-Capitalization Investing. The securities of small-capitalization companies may be more vulnerable to adverse issuer, market, political, or economic developments than securities of large- or mid-capitalization companies. The securities of small-capitalization companies generally trade in lower volumes and are subject to greater and more unpredictable price changes than large- or mid-capitalization stocks or the stock market as a whole. There is typically less publicly available information concerning smaller-capitalization companies than for larger, more established companies.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> J. <!--[if IE]></FONT><![endif]--> MLP Risk. The Fund’s exposure to MLPs may subject the Fund to greater volatility than investments in traditional securities. The value of MLPs and MLP-based ETFs and notes may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or sectors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs, and international economic, political and regulatory developments. To the extent the Fund’s investments in MLPs expose its portfolio to the energy sector, such as the oil and gas industries, the Fund may experience additional risks related to these industries.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> K. <!--[if IE]></FONT><![endif]--> MLP Tax Risk. If an MLP in which the Fund invests is taxed as a partnership for federal income tax purposes, the Fund will include in its taxable income its allocable share of the MLP’s income regardless of whether the Fund receives any distribution from the MLP. Thus, the Fund may be required to sell other securities to satisfy the distribution requirements to qualify as a regulated investment company (“RIC”) under the Internal Revenue Code of 1986, as amended (the “Code”) and to avoid Fund-level federal income and excise taxes. In addition, if a MLP in which the Fund invests does not qualify as a qualified publicly traded partnership (and is otherwise not taxed as a corporation), income derived by the Fund from the MLP may be treated as non-qualifying income and could jeopardize the Fund’s status as a RIC. Distributions to the Fund from an MLP that is taxed as a partnership for federal income tax purposes will constitute a return of capital to the extent of the Fund’s basis in its interest in the MLP. If the Fund retains an investment until its basis is reduced to zero, distributions in excess of basis will generally constitute capital gain for federal income tax purposes.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> L. <!--[if IE]></FONT><![endif]--> Non-Diversification Risk. Because the Fund is non-diversified, it may invest a greater percentage of its assets in the securities of a single issuer or a smaller number of issuers than if it were a diversified fund. As a result, a decline in the value of an investment in a single issuer or a smaller number of issuers could cause the Fund’s overall value to decline to a greater degree than if the Fund held a more diversified portfolio.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> M. <!--[if IE]></FONT><![endif]--> Options Risk. Options enable the Fund to purchase exposure that is significantly greater than the premium paid. Consequently, the value of such options can be volatile, and a small investment in options can have a large impact on the performance of the Fund. The Fund risks losing all or part of the cash paid (premium) for purchasing options. Even a small decline in the value of

Leatherback Long/Short Alternative Yield ETF

a reference asset underlying call options or a small increase in the value of a reference asset underlying put options can result in the entire investment in such options being lost. Additionally, the value of the option may be lost if the Sub-Adviser (as defined herein) fails to exercise such option at or prior to its expiration.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> N. <!--[if IE]></FONT><![endif]--> Other Investment Companies Risk. The Fund will incur higher and duplicative expenses when it invests in other investment companies, such as ETFs, BDCs and closed-end funds. By investing in another investment company, the Fund becomes a shareholder of that investment company and bears its proportionate share of the fees and expenses of the other investment company. There is also the risk that the Fund may suffer losses due to the investment practices of the underlying funds as the Fund will be subject to substantially the same risks as those associated with the direct ownership of securities held by such investment companies. ETFs may be less liquid than other investments, and thus their share values more volatile than the values of the investments they hold. Investments in ETFs are also subject to the “ETF Risks” described above.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> O. <!--[if IE]></FONT><![endif]--> Preferred Securities Risk. Preferred stocks are subject to the risks of equity securities generally and also risks associated with fixed-income securities, such as interest rate risk. A company’s preferred stock, which may pay fixed or variable rates of return, generally pays dividends only after the company makes required payments to creditors, including vendors, depositors, counterparties, holders of its bonds and other fixed-income securities. As a result, the value of a company’s preferred stock will react more strongly than bonds and other debt to actual or perceived changes in the company’s financial condition or prospects. Preferred stock may be less liquid than many other types of securities, such as common stock, and generally has limited or no voting rights. In addition, preferred stock is subject to the risks that a company may defer or not pay dividends, and, in certain situations, may call or redeem its preferred stock or convert it to common stock. To the extent that the Fund invests a substantial portion of its assets in convertible preferred stocks, declining common stock values may also cause the value of the Fund’s investments to decline.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> P. <!--[if IE]></FONT><![endif]--> REIT Risk. A REIT is a company that owns or finances income-producing real estate. Through its investments in REITs, the Fund is subject to the risks of investing in the real estate market, including decreases in property revenues, increases in interest rates, increases in property taxes and operating expenses, legal and regulatory changes, a lack of credit or capital, defaults by borrowers or tenants, environmental problems and natural disasters.

REITs are subject to additional risks, including those related to adverse governmental actions; declines in property value and the real estate market; the potential failure to qualify for tax-free pass through o f income; and exemption from registration as an investment company. REITs are dependent upon specialized management skills and may invest in relatively few properties, a small geographic area, or a small number of property types. As a result, investments in REITs may be volatile. To the extent the Fund invests in REITs concentrated in specific geographic areas or property types, the Fund may be subject to a greater loss as a result of adverse developments affecting such area or property types. REITs are pooled investment vehicles with their own fees and expenses and the Fund will indirectly bear a proportionate share of those fees and expenses.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> Q. <!--[if IE]></FONT><![endif]--> Sector Risk. To the extent the Fund invests more heavily in particular sectors of the economy, its performance will be especially sensitive to developments that significantly affect those sectors.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> • <!--[if IE]></FONT><![endif]--> Consumer Staples Sector Risk. The Fund may invest in companies in the consumer staples sector, and therefore the performance of the Fund could be negatively impacted by events affecting this sector. Companies in the consumer staples sector, including those in the food and beverage industries, may be affected by general economic conditions, commodity production and pricing, consumer confidence and spending, consumer preferences, interest rates, product cycles, marketing campaigns, competition, and government regulations.

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> • <!--[if IE]></FONT><![endif]--> Financial Services Sector Risk. The Fund may invest in companies in the financial services sector, and therefore the performance of the Fund could be negatively impacted by events affecting this sector. This sector can be significantly affected by changes in interest rates, government regulation, the rate of defaults on corporate, consumer and government debt and the availability and cost of capital, among other factors. Insurance companies, in particular, may be significantly affected by changes in interest rates, catastrophic events, price and market competition, the imposition of premium rate caps, or other changes in government regulation or tax law and/or rate regulation, which may have an adverse impact on their profitability. This sector has experienced significant losses in the recent past, and the impact of more stringent capital requirements and of recent or future regulation on any individual financial company or on the sector as a whole cannot be predicted. In recent years, cyber attacks and technology malfunctions and failures have become increasingly frequent in this sector and have caused significant losses.

Leatherback Long/Short Alternative Yield ETF

<!--[if IE]><FONT style=" width: 21.599999999999998pt; text-indent: -18.0pt; display: inline-block;"><![endif]--> R. <!--[if IE]></FONT><![endif]--> YieldCo Risk. Investments in securities of YieldCos involve risks that differ from investments in traditional operating companies, including risks related to the relationship between the YieldCo and the company responsible for the formation of the YieldCo (the “YieldCo Sponsor”). YieldCos typically remain dependent on the management and administration services provided by or under the direction of the YieldCo Sponsor and on the ability of the YieldCo Sponsor to identify and present the YieldCo with acquisition opportunities, which may often be assets of the YieldCo Sponsor itself. YieldCo Sponsors may have interests that conflict with the interests of the YieldCo, and may retain control of the YieldCo via classes of stock held by the YieldCo Sponsor. YieldCo securities can be affected by macro-economic and other factors affecting the stock market in general, expectations of interest rates, investor sentiment towards YieldCos or the energy sector, changes in a particular issuer’s financial condition, or unfavorable or unanticipated poor performance of a particular issuer (in the case of YieldCos, generally measured in terms of distributable cash flow). Any event that limits the YieldCo’s ability to maintain or grow its distributable cash flow would likely have a negative impact on the YieldCo’s share price. YieldCos may finance their growth strategy with debt, which may increase a YieldCo’s leverage and the risks associated with the YieldCo. The ability of a YieldCo to maintain or grow its dividend distributions may depend on the entity’s ability to minimize its tax liabilities through the use of accelerated depreciation schedules, tax loss carryforwards, and tax incentives. Changes to the current tax code could result in greater tax liabilities, which would reduce the YieldCo’s distributable cash flow.

The Adviser serves as investment adviser to the Fund pursuant to an investment advisory agreement between the Adviser and the Trust, on behalf of the Fund (the “Advisory Agreement”), and, pursuant to the Advisory Agreement, provides investment advice to the Fund and oversees the day-to-day operation of the Fund, subject to the direction and control of the Board. The Adviser is also responsible for trading portfolio securities on behalf of the Fund, including selecting broker-dealers to execute purchase and sales transactions, subject to the supervision of the Board. The Adviser provides oversight of the Sub-Adviser, monitoring of the Sub-Adviser’s buying and selling of securities for the Fund, and review of the Sub-Adviser’s performance.

Pursuant to the Advisory Agreement, the Fund pays the Adviser a unitary management fee (the “Management Fee”) based on the average daily net assets of the Fund at the annualized rate of 0.95%. Out of the Management Fee, the Adviser is obligated to pay or arrange for the payment of substantially all expenses of the Fund, including the cost of sub-advisory, transfer agency, custody, fund administration, and all other related services necessary for the Fund to operate. Under the Advisory Agreement, the Adviser has agreed to pay all expenses incurred by the Fund except for interest charges on any borrowings, dividends and other expenses on securities sold short, taxes, brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, accrued deferred tax liability, extraordinary expenses, distribution fees and expenses paid by the Fund under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act (collectively, “Excluded Expenses”), and the Management Fee payable to the Adviser. The Management Fees incurred are paid monthly to the Adviser. Management Fees for the year ended August 31, 2023 are disclosed in the Statement of Operations.

The Sub-Adviser serves as sub-adviser to the Fund, pursuant to a sub-advisory agreement between the Adviser and the Sub-Adviser with respect to the Fund (the “Sub-Advisory Agreement”). Pursuant to the Sub-Advisory Agreement, the Sub-Adviser is responsible for the day-to-day management of the Fund’s portfolio, including determining the securities purchased and sold by the Fund, subject to the supervision of the Adviser and the Board. The Sub-Adviser is paid a fee by the Adviser, which is calculated and paid monthly, at an annual rate of 0.75% of the Fund’s average daily net assets. The Sub-Adviser has agreed to assume the Adviser’s obligation to pay all expenses incurred by the Fund, except for Excluded Expenses. For assuming the payment obligation, the Adviser has agreed to pay the Sub-Adviser the profits, if any, generated by the Fund’s Management Fee. Expenses incurred by the Fund and paid by the Sub-Adviser include fees charged by Tidal (defined below).

Tidal ETF Services LLC (“Tidal”), a Tidal Financial Group company and an affiliate of the Adviser, serves as the Fund’s administrator and, in that capacity, performs various administrative and management services for the Fund. Tidal coordinates the payment of Fund-related expenses and manages the Trust’s relationships with its various service providers.

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as the Fund’s sub-administrator, fund accountant and transfer agent. In those capacities Fund Services performs various administrative and accounting servic es for the Fund. Fund Services prepares various federal and state regulatory filings, reports and returns for the Fund, including regulatory compliance monitoring and financial reporting; prepares reports and materials to be supplied to the Board; and monitors the

Leatherback Long/Short Alternative Yield ETF

activities of the Fund’s custodian. U.S. Bank N.A. (the “Custodian”), an affiliate of Fund Services, serves as the Fund’s custodian. The Custodian acts as the securities lending agent (the “Securities Lending Agent”) for the Fund.

Foreside Fund Services, LLC (the “Distributor”) acts as the Fund’s principal underwriter in a continuous public offering of the Fund’s shares.

Certain officers and a trustee of the Trust are affiliated with the Adviser. Neither the affiliated trustee nor the Trust’s officers receive compensation from the Fund.

The Fund may lend up to 33 1/3% of the value of the securities in its portfolio to brokers, dealers and financial institutions (but not individuals) under terms of participation in a securities lending program administered by the Securities Lending Agent. The securities lending agreement requires that loans are collateralized at all times in an amount equal to at least the market value of the securities loaned by the Fund. The Fund receives compensation in the form of fees and earned interest on the cash collateral. Due to timing issues of when a security is recalled from loan, the financial statements may differ in presentation. The amount of fees depends on a number of factors including the type of security and length of the loan. The Fund continues to receive interest payments or dividends on the securities loaned during the borrowing period. Gain or loss in the value of securities loaned that may occur during the term of the loan will be for the account of the Fund. The Fund has the right under the terms of the securities lending agreements to recall the securities from the borrower on demand.

As of August 31, 2023, the market value of the securities on loan and payable on collateral received for securities lending were as follows:

The cash collateral is invested in the Mount Vernon Liquid Assets Portfolio, LLC, of which the investment objective is to seek to maximize income to the extent consistent with the preservation of capital and liquidity and maintain a stable NAV of $1.00. Although risk is mitigated by the collateral, the Fund could experience a delay in recovering its securities and possible loss of income or value if the borrower fails to return the borrowed securities. In addition, the Fund bears the risk of loss associated with the investment of cash collateral received. During the year ended August 31, 2023, the Fund loaned securities that were collateralized by cash. The cash collateral received was invested in the Mount Vernon Liquid Assets Portfolio, LLC as listed in the Fund’s Schedule of Investments. Securities lending income is disclosed in the Fund’s Statement of Operations.

The Fund is not subject to a master netting agreement with respect to the Fund’s participation in securities lending; therefore, no additional disclosures regarding netting arrangements are required.

For the year ended August 31, 2023, the cost of purchases and proceeds from the sales or maturities of securities, excluding short- term investments, U.S. government securities, and in-kind transactions were $38,709,179 and $40,084,576, respectively.

There were no purchases or sales of long-term U.S. government securities for the year ended August 31, 2023.

For the year ended August 31, 2023, in-kind transactions associated with creations and redemptions for the Fund were $59,414,570 and $38,746,106, respectively.

Leatherback Long/Short Alternative Yield ETF

The tax character of distributions paid during the year ended August 31, 2023 and the year ended August 31, 2022 was as follows:

As of the year ended August 31, 2023, the components of accumulated earnings/(losses) on a tax basis were as follows:

<!--[if IE]><FONT style=" width: 14.399999999999999pt; text-indent: -12.0pt; display: inline-block;"><![endif]--> ⁽¹⁾ <!--[if IE]></FONT><![endif]--> The difference between book and tax-basis cost of investments was attributable primarily to the treatment of wash sales.

Net capital losses incurred after October 31 and net investment losses incurred after December 31, and within the taxable year, are deemed to arise on the first business day of the Fund’s next taxable year. As of the most recent fiscal year ended August 31, 2023 the Fund had no late year losses and ($5,981,034) and ($492,487) short-term capital loss carryover and long-term capital loss carryover, respectively.

Shares of the Fund are listed and traded on the Exchange. Market prices for the shares may be different from their NAV. The Fund issues and redeems shares on a continuous basis at NAV generally in large blocks of shares (“Creation Units”). Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, shares generally trade in the secondary market at market prices that change throughout the day. Except when aggregated in Creation Units, shares are not redeemable securities of the Fund. Creation Units may only be purchased or redeemed by Authorized Participants. An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a Depository Trust Company participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem the shares directly from the Fund. Rather, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.

The Fund currently offers one class of shares, which has no front-end sales load, no deferred sales charge, and no redemption fee. A fixed transaction fee is imposed for the transfer and other transaction costs associated with the purchase or sale of Creation Units. The standard fixed transaction fee for the Fund is $300, payable to the Custodian. The fixed transaction fee may be waived on certain orders if the Fund’s Custodian has determined to waive some or all of the costs associated with the order or another party, such as the Adviser, has agreed to pay such fee. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units of up to a maximum of 2% and for Redemption Units of up to a maximum of 2% of the value of the Creation Units and Redemption Units subject to the transaction. Variable fees received by the Fund, if any, are disclosed in the capital shares transactions section of the Statements of Changes in Net Assets. The Fund may issue an unlimited number of shares of beneficial interest, with no par value. All shares of the Fund have equal rights and privileges.

Leatherback Long/Short Alternative Yield ETF

U.S. and international markets have experienced and may continue to experience significant periods of volatility in recent years and months due to a number of economic, political and global macro factors including rising inflation, uncertainty regarding central banks’ interest rate increases, the possibility of a national or global recession, trade tensions, political events, the war between Russia and Ukraine and the impact of the coronavirus (COVID-19) global pandemic. The global recovery from COVID-19 may last for an extended period of time. As a result of continuing political tensions and armed conflicts, including the war between Ukraine and Russia, the U.S. and the European Union imposed sanctions on certain Russian individuals and companies, including certain financial institutions, and have limited certain exports and imports to and from Russia. The war has contributed to recent market volatility and may continue to do so. These developments, as well as other events, could result in further m arket volatility and negatively affect financial asset prices, the liquidity of certain securities and the normal operations of securities exchanges and other markets, despite government efforts to address market disruptions. Continuing market volatility as a result of recent market conditions or other events may have adverse effects on your account.

In preparing these financial statements, the Fund has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued.

The Fund has determined that there are no other subsequent events that would need to be recorded or disclosed in the Fund’s financial statements.

Leatherback Long/Short Alternative Yield ETF

To the Shareholders of
Leatherback Long/Short Alternative Yield ETF and
The Board of Trustees of
Tidal ETF Trust

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Leatherback Long/Short Alternative Yield ETF (the “Fund”), a series of Tidal ETF Trust (the “Trust”), including the schedule of investments, as of August 31, 2023, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years then ended and the financial highlights for each of the two years then ended, and the period November 16, 2020 (commencement of operations) to August 31, 2021, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of August 31, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years then ended and the financial highlights for each of the two years then ended, and the period November 16, 2020 to August 31, 2021, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We have served as the auditor of one or more of the funds in the Trust since 2018.

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2023, by correspondence with the custodian and broker. We believe that our audits provide a reasonable basis for our opinion.

TAIT, WELLER & BAKER LLP

Philadelphia, Pennsylvania
October 30, 2023

Leatherback Long/Short Alternative Yield ETF

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including brokerage commissions paid on purchases and sales of the Fund’s shares, and (2) ongoing costs, including management fees of the Fund. The example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which is from March 1, 2023 to August 31, 2023.

Actual Expenses

The first line of the following table provides information about actual account values and actual expenses. To the extent the Fund invests in shares of other investment companies as part of its investment strategy, you will indirectly bear your proportionate share of any fees and expenses charged by the underlying funds in which the Fund invests, in addition to the expenses of the Fund. Actual expenses of the underlying funds are expected to vary among the various underlying funds. These expenses are not included in the example. The example includes, but is not limited to, unitary fees. However, the example does not include portfolio trading commissions and related expenses, interest expense or dividends on short positions taken by the Fund. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then, multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period’’ to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the following table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of the Fund’s shares. Therefore, the second line of the following table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If these transactional costs were included, your costs would have been higher.

<!--[if IE]><FONT style=" width: 14.399999999999999pt; text-indent: -12.0pt; display: inline-block;"><![endif]--> ⁽¹⁾ <!--[if IE]></FONT><![endif]--> Expenses are equal to the Fund’s annualized expense ratio for the most recent six-month period of 1.41%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the most recent six-month period).

Leatherback Long/Short Alternative Yield ETF

In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (“Rule 22e-4”), Tidal ETF Trust (the “Trust”), on behalf of its series, the Leatherback Long/Short Alternative Yield ETF (the “Fund”), has adopted and implemented a liquidity risk management program (the “Program”). The Program seeks to promote effective liquidity risk management for the Fund and to protect the Fund’s shareholders from dilution of their interests. The Trust’s Board of Trustees (the “Board”) has approved the designation of Toroso Investments, LLC, the Fund’s investment adviser, as the program administrator (the “Program Administrator”). The Program Administrator has further delegated administration of the Program to a member of its compliance team. The Program Administrator has also delegated certain responsibilities under the Program to the investment sub-adviser of the Fund; however, the Program Administrator remains responsible for the overall administration and operation of the Program. The Program Administrator is required to provide a written annual report to the Board regarding the adequacy and effectiveness of the Program, including the operation of the highly liquid investment minimum, if applicable, and any material changes to the Program. 

On August 24, 2023, the Board reviewed the Program Administrator’s written annual report for the period October 1, 2022 through June 30, 2023 (the “Report”). The Program assesses liquidity risk under both normal and reasonably foreseeable stressed market conditions. The risk is managed by monitoring the degree of liquidity of a fund’s investments, limiting the amount of illiquid investments and utilizing various risk management tools and facilities available to a fund, among other means. The Trust has engaged the services of ICE Data Services, Inc., a third-party vendor, to provide daily portfolio investment classification services to assist in the Program Administrator’s assessment. The Report noted that no highly liquid investment minimum is required for the Fund because the Fund qualifies as a primarily highly liquid fund (as defined under Rule 22e-4). The Report noted that there were no breaches of the restrictions on acquiring or holding greater than 15% illiquid investments of the Fund during the review period. The Report confirmed that the Fund’s investment strategy remained appropriate for an open-end fund and that the Fund was able to meet requests for redemptions without significant dilution of remaining investors’ interests in the Fund. The Report noted that no material changes had been made to the Program during the review period. The Program Administrator determined that the Program complies with the requirements of Rule 22e-4 and is reasonably designed and operating effectively. 

Leatherback Long/Short Alternative Yield ETF

Leatherback Long/Short Alternative Yield ETF

<!--[if IE]><FONT style=" width: 14.399999999999999pt; text-indent: -12.0pt; display: inline-block;"><![endif]--> ⁽¹⁾ <!--[if IE]></FONT><![endif]--> All Independent Trustees of the Trust are not “interested persons” of the Trust as defined under the 1940 Act (“Independent Trustees”).

<!--[if IE]><FONT style=" width: 14.399999999999999pt; text-indent: -12.0pt; display: inline-block;"><![endif]--> ⁽²⁾ <!--[if IE]></FONT><![endif]--> Mr. Falkeis is considered an “interested person” of the Trust due to his positions as President, Principal Executive Officer and Chairman of the Trust, and Chief Executive Officer of Tidal ETF Services LLC, a Tidal Financial Group company and an affiliate of the Adviser.

<!--[if IE]><FONT style=" width: 14.399999999999999pt; text-indent: -12.0pt; display: inline-block;"><![endif]--> ⁽³⁾ <!--[if IE]></FONT><![endif]--> The Trust, as of the date of this shareholder report, offered for sale to the public 36 of the 42 funds registered with the SEC.

Leatherback Long/Short Alternative Yield ETF