UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22110
AdvisorShares Trust
(Exact name of registrant as specified in charter)
4800 Montgomery Lane, Suite 150
Bethesda, Maryland 20814
(Address of principal executive offices) (Zip code)
Dan Ahrens
4800 Montgomery Lane, Suite 150
Bethesda, Maryland 20814
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-877-843-3831
Date of fiscal year end: June 30
Date of reporting period: June 30, 2016
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
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ADVISORSHARES TRUST
4800 Montgomery Lane
Suite 150
Bethesda, Maryland 20814
www.advisorshares.com
1.877.843.3831
Annual Report
June 30, 2016
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Letter from the CEO of AdvisorShares Investments, LLC
June 30, 2016
The year ending June 30, 2016 was an exciting year for growth in the actively managed ETF market place. The number of funds grew by 14% to 147 and while that was fewer new funds than 2015, assets under management for all actively managed ETFs increased by 30%, versus 23% in 2015, to $26.378 billion. In 2016, familiar names like State Street continued to increase market share while some new players have come to the market with a significant impact like Principal Funds.
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Exhibit 1
As of June 30, 2016 | Source: AdvisorShares
As you can see in Exhibit 2, AdvisorShares, along with First Trust, offers investors the largest number of actively managed ETFs in the market, with 21 ETFs trading today on both the NYSE Arca and NASDAQ exchanges. In addition, in Q3 2016 we will be launching two new actively managed ETFs, SCAP, a US equity small cap ETF that will bring an impressive track record, and KOR, a Korean equity strategy managed by Korea Investment Management, the largest independent asset manager in Korea with a great track record. An increasingly complex investing environment has created the need for investors to utilize the potential benefits that active ETFs provide as a part of their overall asset allocation. We actively seek out investment managers who offer interesting active strategies so that we can provide you with a wide variety of ETFs to choose from, to help you meet and exceed your investment goals.
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Letter from the CEO of AdvisorShares Investments, LLC (Continued)
June 30, 2016
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Exhibit 2
As of June 30, 2016 | Source: AdvisorShares
On July 1, 2016, TTFS changed its name to AdvisorShares Wilshire Buyback ETF, with Wilshire Associates taking over portfolio manger responsibilities. In addition the advisory fee and expense limitation for the Fund also decreased from 0.99% to 0.90%.
The last year has been challenging for AdvisorShares with our AUM level decreasing by 10%. Much of the decline is attributable to volatility for some of our largest funds both in terms of fund-flow trends industry-wide as well a price volatility in capital markets.
We look forward to continuing to offer you new, innovative managers and strategies in the market place in the coming year, and will maintain our transparency to you through our regular communications, so you will know what our managers are doing and why with the assets you have entrusted to them. We appreciate the continued trust and confidence that you, our shareholders, have given to us.
Best Regards,
Noah Hamman
CEO, AdvisorShares Investments
An investment in the Funds is subject to risk, including the possible loss of principal amount invested. ADRs are subject to the risk of change in political or economic conditions and exchange rates in foreign countries. Certain funds may participate in leveraged transactions to include selling securities short which creates the risk of magnified capital losses. Under certain market conditions, short sales can increase the volatility and decrease the liquidity of certain securities or positions, and may lower the Fund’s return or result in a loss. There is no guarantee that the individual Funds’ will achieve the stated investment objectives. The risks associated with each Fund include the risks associated with the underlying ETFs, which can result in higher volatility, and are detailed in each Fund’s prospectus and on each Fund’s webpage.
The views in this report were those of the Fund’s CEO as of June 30, 2016 and may not reflect his views on the date that this report is first published or anytime thereafter. These views are intended to assist shareholders in understanding their investments and do not constitute investment advice.
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AdvisorShares Athena High Dividend ETF (DIVI)
The AdvisorShares Athena High Dividend ETF (NYSE Arca: DIVI) is built on three drivers that have been shown to deliver attractive long term equity performance:
| 1. | Higher yielding stocks on average generate higher total returns both in the US and internationally. Dividends represent a strong commitment by company management to its shareholders and the higher the yield the stronger this commitment. |
| 2. | But even with this powerful market discipline, some high dividend yield (DY) companies over promise and see their stock prices drop when they are unable to sustain dividends. In order to reduce this collateral damage, a quality screen based on Athena’s extensive mutual fund holdings database is used to help identify the best stock ideas of the best managers. |
| 3. | In each sector, international stocks often offer higher dividend yields than do similar US stocks. For this reason, we launched DIVI as a global portfolio rather than as US only. |
Over shorter time periods results can be quite different, as was the case during DIVI’s second year:
| • | The biggest negative was a dramatic drop in oil prices during the second half of 2015 as DIVI entered its second year. A strange triangulation among oil prices, stock prices and high yield stocks continued through the last six months of 2015, resulting in significant underperformance during this time period. |
| • | In early 2016, this emotionally driven relationship began to dissolve and high yield stocks surged. Over the first half of 2016 DIVI generated a 14.14% return. |
Dividend Yield is a financial ratio that shows how much a company pays out in dividends each year relative to its share price.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period July 29, 2014* to June 30, 2016
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AdvisorShares EquityPro ETF (EPRO)
The AdvisorShares Equity Pro ETF (NYSE Arca: EPRO) returned -7.67% on a Market Price basis, and -7.61% on an NAV basis, for the twelve months ended June 30, 2016. The MSCI World Index returned -3.73% for that twelve-month period and the S&P 500 index return was 3.99%.
The 12 months ended June 30, 2016, represented a period of modest returns for most equity portfolios. Foreign markets declined while the U.S. stock market posted a small gain. However, this apparently quiet period included significant volatility, as the S&P 500 experienced two corrections between 9% and 13%. In reaction to the two market corrections, the Fund adopted a defensive position, consistent with the Fund’s investment approach, which looks to the 200 day moving average of the S&P 500 as a principal consideration. This resulted in 80% of the value of the Fund’s portfolio being invested in cash and short-term fixed income securities, rather than in equities. The defensive position was maintained from late August thru late October of 2015, and again from early January thru mid-March of 2016. Both market corrections developed quickly and were followed by swift recovery periods. Given the relatively long term nature of the 200 day moving average of the S&P 500, the Fund’s portfolio successfully avoided a portion of the negative market results, yet also missed a portion of the swift recovery periods. In light of these two market corrections, followed by relatively quick recovery periods, the Fund’s defensive positioning had a negative impact on the total return of the Fund over the twelve-month period ending June 30, 2016. At the same time, the defensive positioning resulted in the Fund’s NAV experiencing only 63% of the daily volatility, when compared to the daily volatility of the S&P 500.
Over the one-year period, EPRO’s equity investments performed well, relative to benchmark indices. For example, the Fund’s allocation to foreign equity markets was typically less than 20% during the last six months of 2015, and less than 10% during the first 6 months of 2016. Throughout that twelve-month period, the U.S. markets offered better risk-adjusted return prospects. As of June 30, 2016, the Fund continued to be under-weighted in the Financial sector and over-weighted in the Consumer Staples and Technology sectors, contributing to a positive impact on the relative performance of the Fund’s equity portfolio.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period July 10, 2012* to June 30, 2016
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AdvisorShares Gartman Gold/Euro ETF (GEUR)
For the twelve-month period ending June 30, 2016, the AdvisorShares Gartman Gold/Euro ETF (NYSE Arca: GEUR) returned 13.29% on a NAV basis and 15.11% on a Market Price Return basis, outperforming the spot price of Gold which returned 12.79%. Since the inception of GEUR (February 11, 2014), it has outperformed the spot gold by over 800 basis points, with a NAV return of +9.34% versus 1.11%.
The main driver for gold funded in Euros over the past twelve months was the threat of less accommodative monetary policy by the Federal Reserve Bank in the U.S. versus a potential easing situation in Euroland. In December 2015, the Federal Open Market Committee finally increased the Federal Funds rate by 25 basis points to 0.50% after months of speculation about a rate hike. With respect to EUR/USD, the trend of a stronger dollar continued into late 2015 mainly due to widening interest rate differentials. Mario Draghi promised more quantitative easing which weakened the Euro, and in February 2016, implemented the “kitchen sink” QE policy. As the name implies, the new directive lowered rates further, increased the scope and tenor of the QE program. This caused the Euro to depreciate which helped GEUR outperform the spot price of gold.
Gold gained traction in the first half of 2016 as the possibility of a global recession in the developed market countries loomed, causing gold to spike due to its renewed interest as an uncorrelated haven asset. In Europe, the Euro was in a holding pattern mostly due to the pending “Brexit” vote (The UK voting to leave the European Union) that was to take place in late June 2016. Various studies concluded that a Brexit would be very damaging to a softer UK economy. The Brexit shock would cause exports to fall, consumption, wages and GDP to drop, causing most pundits to assume the vote would be for the UK to “Bremain” in the EU. When the UK referendum to Brexit the EU actually passed, it caused chaos in the capital markets as June 2016 ended. GEUR greatly benefited from the strength in the gold market as the Euro sold off following the vote.
A Gold Future is an agreement to buy and sell quantities of gold on a particular date in the future at a fixed price.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period February 11, 2014* to June 30, 2016
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AdvisorShares Gartman Gold/Yen ETF (GYEN)
For the twelve-month period ending June 30, 2016, the AdvisorShares Gartman Gold/Yen ETF (NYSE Arca: GYEN) returned -5.73% on a NAV basis and -5.36% on a Market Price Return basis, underperforming the spot price of Gold which returned 12.79%.
The main driver for gold funded in Yen over the past twelve months was the threat of less accommodative monetary policy by the Federal Reserve Bank in the U.S. versus the continued economic malaise in Japan. In December 2015, the U.S. Federal Reserve finally increased the Federal Funds rate by 25 basis points to 0.50% after months of speculation about a rate hike. In October of 2015, the Bank of Japan (BOJ) once again cut its CPI forecast and stated its economic targets will take longer to reach. The BOJ Tankan Survey continued to worsen in manufacturing and non-manufacturing sectors reflecting continued weakness of Asian demand.
Gold gained traction in the first half of 2016 as the possibility of a global recession in the developed market countries loomed, causing gold to spike due to its renewed interest as an uncorrelated haven asset. The BOJ reiterated its commitment to an easing monetary policy by moving deposit rates on excess reserves negative for the first time in history. The Yen strengthened significantly due to the currency’s risk off stature. With the BOJ on the sidelines with respect to further stimulus, this added even more strength to the Yen. And then in April 2016, the BOJ surprised the markets with a “no action” decision when participants were looking for further monetary or fiscal stimulus. This caused the Japanese yen to appreciate considerably and Japanese equities to trade off.
As June 2016 came to a close, the UK people voted to exit the European Union (aka “Brexit”) in a surprise move to many, causing chaos in the capital markets. The Yen strengthened as investors rushed to Japan as “safety” trade during the referendum and reduced further potential gain in GYEN in the days after the Referendum passed.
A Gold Future is an agreement to buy and sell quantities of gold on a particular date in the future at a fixed price.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period February 11, 2014* to June 30, 2016
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AdvisorShares Global Echo ETF (GIVE)
The AdvisorShares Global Echo ETF (NYSE Arca: GIVE) is a unique socially and environmentally conscious ETF. A portion of the fees support the Global Echo non-profit.
GIVE returned -3.51% during the past year. While US stocks were volatile, they ended up rising over the period. Foreign markets continued to struggle, both based on China’s structural overhangs and Europe’s governance challenges. International equities are generally inexpensive both from a currency and stock valuation perspective, yet global conditions continue to pressure non-US markets. This was evidenced in index returns, with the MSCI AC World Index ex USA Net (USD) returning -10.2% for the year, while the S&P 500 rose 4.0%. The Brexit vote for the UK to exit the European Union on the 23rd of June added to market uncertainty and reduced GIVE values at the end of the period.
GIVE is a balanced portfolio with two equity managers and one for fixed income. Returns for both the Reynders McVeigh and Baldwin Brothers equity sleeves were around -5%, while the Community Capital fixed income sleeve rose approximately 4%. Asset allocation at the end of the period was a balanced 63% equity, 31% bonds, and 6% cash, with foreign equity exposure at 12%.
GIVE is a fossil-fuel-free strategy emphasizing investments with explicit social and environmental benefits. Each month during the year GIVE commentary emphasized the socially and environmentally positive nature of the strategy, highlighting themes across the portfolio. Highlights in commentary this year included reflections on the global markets, the social and environmental profile of holdings such as Kingfisher (the largest home improvement retailer in Europe), the Swiss health care company Novartis, and American retailer Target as well as lending to small business, municipal, and affordable housing credits. There was also a discussion of climate change and the oil industry.
A derivative is a security whose price is dependent upon or derived from one or more underlying assets. The derivative itself is merely a contract between two or more parties. Its value is determined by fluctuations in the underlying asset.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period May 23, 2012* to June 30, 2016
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AdvisorShares Madrona Domestic ETF (FWDD)
U.S. Equities valuations have remained above long-term historical averages due to a combination of higher prices and lower growth projections. As we move forward we believe that qualitative investing will be necessary to take advantage of opportunities in the market. We feel the AdvisorShares Madrona Domestic ETF (NYSE Arca: FWDD) by nature is positioned to take advantage of opportunities in undervalued securities, while maintaining a material allocation to each sector and a broadly balanced diversified portfolio overall. Because price to earnings ratios do not paint the whole picture to evaluate a stock, the strategy incorporates the forward-looking long-term growth of earnings to rank each security within the basket. Additionally, companies with no or negative growth of earnings are eliminated from the portfolio.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period June 21, 2011* to June 30, 2016
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AdvisorShares Madrona Global Bond ETF (FWDB)
It is our belief that inflation is not directly correlated to the interest rate investors are willing to pay for Government bonds. Inflation generally occurs when there is a shortage of cash type investments available, demand is outpacing supply, and companies are at or near capacity. None of these factors currently contribute to an inflationary environment. Many Advisors and broad based bond funds have shied away from any bonds other than short or ultra-short duration bonds. We believe there is opportunity for yield while not going too far out on the bond maturity timeline.
In addition, investors may decide to taper back the purchase of the type of bonds that are most prevalent in most bond indexes. When the artificial demand for these bonds is removed, there could be a selling environment. It is our belief that any such sell-off by bond holders will require that investors find other investment alternatives. Assuming bond investors won’t stay idle, or flock to equities, we believe an opportunity exists. That opportunity is the transfer of investments from Government bonds to other bond categories such as corporates, high-yields, bank notes, emerging markets, preferred bonds, etc. The AdvisorShares Madrona Global Bond ETF (NYSE Arca: FWDB) is well represented with these alternative categories of bonds.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period June 21, 2011* to June 30, 2016
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AdvisorShares Madrona International ETF (FWDI)
As a result of the rebound in Emerging Markets, our research now points to similarly attractive valuations in Emerging Market positions and their Developed Market counterparts. Based on current average foreign valuations, we believe the AdvisorShares Madrona International ETF (NYSE Arca: FWDI) by nature is positioned to take advantage of opportunities across the International equity space, while maintaining a broad mix of holdings across both developed and emerging markets.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period June 21, 2011* to June 30, 2016
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AdvisorShares Market Adaptive Unconstrained Income ETF (MAUI)
American Wealth Management ("AWM") took over as sub-advisor to the AdvisorShares Sunrise Global Multi-Strategy ETF (NASDAQ: MULT) on the first of November 2015, renaming the ETF the AdvisorShares Market Adaptive Unconstrained Income (NASDAQ: MAUI). In keeping with the funds new name, AWM reduced the portfolio’s volatility by reallocating the fund primarily to the fixed income type ETFs.
Over the past 12 months MAUI’s NAV is down 1.04% while the market price is lower by 0.96% over the same period. Within the first week after taking over the fund we recognized our bond signals were causing greater volatility than we had anticipated, so adjustments were made to allow the portfolio to respond more quickly to changes in the bond market. Since that time, the fund’s performance has been in line with our expectations.
Typically, when high quality bonds are in an uptrend lower quality bonds tend to be in a downtrend and vice versa. One of the challenges we have experienced so far in 2016 is when both lower quality and higher quality bonds are in an uptrend at the same time. With interest rates as low as they are, our bias has been to side with lower quality bonds, with the idea that lower quality bonds have more upside participation. Though the markets behavior heading into the Brexit vote threw the portfolio a curve ball, the fund quickly recovered from the short term decline.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period July 8, 2014* to June 30, 2016
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HISTORICAL PERFORMANCE
Total Return as of June 30, 2016
 | | | | | | | | | | |
| | 1 Month | | 3 Month | | Year
to Date | | 1 Year | | Since
Inception
7/8/2014 |
| AdvisorShares Market Adaptive Unconstrained Income ETF NAV | | | 0.41 | % | | | 0.71 | % | | | 3.46 | % | | | -1.04 | % | | | -1.83 | % |
| AdvisorShares Market Adaptive Unconstrained Income ETF Market Price** | | | 0.40 | % | | | 0.70 | % | | | 5.15 | % | | | -0.96 | % | | | -1.81 | % |
| Barclay Hedge BTOP50 Index | | | 2.01 | % | | | -1.86 | % | | | 0.41 | % | | | 2.83 | % | | | 10.96 | % |
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 5.72% and the net expense ratio is 1.11%. (Actual expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.99%. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1-877-843-3831.
| * | Commencement of operations. |
| ** | The price used to calculate market return (“Market Price”) is determined by using the closing price listed on the NYSE Arca and does not represent returns an investor would receive if shares were traded at other times. Total returns are calculated using the daily 4:00 pm midpoint between the bid and offer. Shares are bought and sold at market price, not NAV and are not individually redeemed from the Fund. |
The BTOP50 Index seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure. The BTOP50 employs a top-down approach in selecting its constituents. The largest investable trading advisor programs, as measured by assets under management, are selected for inclusion in the BTOP50. In each calendar year the selected trading advisors represent, in aggregate, no less than 50% of the investable assets of the Barclay CTA Universe. One cannot invest directly in an index.
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AdvisorShares Meidell Tactical Advantage ETF (MATH)
For the year ending June 30, 2016 the AdvisorShares Meidell Tactical Advantage ETF (NYSE Arca: MATH) declined 13.63% on a Market Price basis and 13.40% on an NAV basis, while the S&P 500 Index rose 3.99% over the same period. Over the past twelve months, the stock market has experienced three sharp drawdowns that initially had the look and feel of the decline during January 2008. However, this time around within roughly 60 days the major market averages had either recovered or were well on their way to making back their losses.
When we launched the MATH ETF five years ago, it was to assist investors in navigating those periods like the year that followed the January 2008 decline, by helping preserve their wealth. The stock market has a way of conditioning investors to a particular behavior just before it changes. For example, some investors are now recognizing that the S&P 500 has been in a large trading range for roughly two years. Their conclusion is simple, merely sell the market when it reaches its recent highs and buy it back when it falls to its latest lows.
That fact that so many are recognizing the latest trading range, means it’s time for the market to change. In other words, the markets behavior later this year and next will be different than what we have become accustomed to over the past year. Though we are frustrated with the fund’s performance over the past 12 months, we believe that there are risks in our future that the MATH strategy is well suited to guide investors through.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period June 23, 2011* to June 30, 2016
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AdvisorShares Morgan Creek Global Tactical ETF (GTAA)
The AdvisorShares Morgan Creek Global Tactical ETF (NYSE Arca: GTAA) returned -3.51% on a Market Price basis and -3.60% on a NAV basis from July 1, 2015 through June 30, 2016 as compared to 3.99% for the S&P 500. During the same period a composite index consisting of 25% MSCI ACWI Index, 25% Barclays Aggregate Bond Index, 25% Bloomberg Commodity Index, and 25% DXY Index returned -2.59%.
GTAA outperformed the S&P 500 Index in first half of 2016, driven by tactical changes to equity, fixed income, and gold allocations. It lagged in the second half of 2015, particularly in the month of October when the S&P rallied 8.44%.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period October 26, 2010* to June 30, 2016
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AdvisorShares Newfleet Multi-Sector Income ETF (MINC)
The AdvisorShares Newfleet Multi-Sector Income Fund (NYSE Arca: MINC) returned 2.39% on a Market Price Basis during the fiscal year ending June 30, 2016 compared to a gain of 6.00% for the Barclays Capital US Aggregate Bond Index. During the fiscal year the Fund’s short duration relative to the benchmark in a declining rate environment detracted from performance. Over the last 12 months, yields decreased along the U.S. Treasury curve. Overall the curve flattened.
The Fund’s allocation to the structured finance sectors (CMBS, non-agency residential mortgage-backed (RMBS), and ABS) continues to play an important role in the Fund. Valuations remain attractive in the areas in which we invest, even as spreads have compressed recently. We continue to find value in sub-prime auto ABS due to valuations and deal structures, non-agency RMBS due to limited supply and strong fundamentals, and legacy CMBS due to offered yields combined with short average lives. Fundamentals are generally strong across structured finance based on overall demand for U.S. assets and stable consumer and commercial fundamental performance. Technicals overall are positive across the asset class, with prudent levels of supply being met by investor need for yield.
After underperforming in the second half of 2015, high yield posted five consecutive months of positive returns. During the period, we upgraded the overall credit quality of the portfolio, reducing below investment grade and generally rotating into higher quality credits. This included staying underweight and reducing our exposure to energy related credits.
We believe it is especially important to stay diversified, have granular positions, and emphasize liquid investments. We continue to look for opportunities in all sectors of the bond market, striving to uncover any out-of-favor or undervalued sectors and securities. We are constructive on spread sectors based on still solid fundamentals, good technicals, and attractive valuations. We continue to generally focus on higher quality credits within our below-investment-grade allocation and are willing to give up some yield in order to avoid potential credit issues as we navigate through the credit cycle. With strong demand by investors and a supportive environment for fixed income, spread sectors continue to offer attractive investment opportunities to investors searching for total return and yield.
Over the fiscal year, we continued to invest cash from inflows and sale proceeds, primarily focusing on the addition of asset backed securities, agency mortgage backed securities, and non-agency mortgage backed securities. We have continued to overweight spread sectors, seeking to take advantage of higher yields.
Option-adjusted Spread (OAS) is the measurement of the spread of a fixed-income security rate and the risk-free rate of return, which is adjusted to take into account an embedded option. Typically, an analyst would use the Treasury securities yield for the risk-free rate. The spread is added to the fixed-income security price to make the risk-free bond price the same as the bond.
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AdvisorShares Pacific Asset Enhanced Floating Rate ETF (FLRT)
The AdvisorShares Pacific Asset Floating Rate ETF (NYSE Arca: FLRT) outperformed the S&P LSTA U.S. Leveraged Loan 100 Index for the twelve months ended 6/30/2016, 1.69% to 0.69%. The bank loan market experienced a volatile year as falling commodity prices drove risk asset prices lower in the second half of 2015, finally reaching their lows in early February 2016. FLRT’s focus on larger, more liquid issues contributed to performance, as did a lower than average allocation to Energy-related issues. The fund’s investments in fixed rate high yield bond positions provide liquidity and yield to the portfolio, but were overall a negative contributor to the portfolio over the last year.
FLRT remains focused on the larger, more liquid issues in the bank loan market. We believe larger, more liquid issues provide adequate exposure to the bank loan market as well as the benefit of reasonable liquidity. While higher interest rates tend to drive investor interest in the asset class overall, the relatively high yields offered by bank loans compared to lower credit risk investments could maintain reasonable demand for bank loans. Expectations are also for a relatively lower supply of new loan issues, which could also act to support prices into the second half of 2016.
FLRT utilizes derivative securities to gain levered exposure to the bank loan market and provide improved liquidity. Notional derivate exposure averaged about 3% of the total assets of the fund during the year.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period February 18, 2015* to June 30, 2016
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HISTORICAL PERFORMANCE
Total Return as of June 30, 2016
| | | | | | | | | | |
| | 1 Month | | 3 Month | | Year
to Date | | 1 Year | | Since
Inception
2/18/2015 |
| AdvisorShares Pacific Asset Enhanced Floating Rate ETF NAV | | | -0.32 | % | | | 2.01 | % | | | 4.36 | % | | | 1.69 | % | | | 1.58 | % |
| AdvisorShares Pacific Asset Enhanced Floating Rate ETF Market Price** | | | -1.05 | % | | | 1.24 | % | | | 3.64 | % | | | 0.46 | % | | | 0.87 | % |
| S&P/LSTA U.S. Leveraged Loan 100 Index | | | -0.15 | % | | | 2.80 | % | | | 5.36 | % | | | 0.69 | % | | | 0.79 | % |
| S&P 500 Index | | | 0.26 | % | | | 2.46 | % | | | 3.84 | % | | | 3.99 | % | | | 2.15 | % |
| U.S. OE Bank Loan Index | | | -0.05 | % | | | 2.69 | % | | | 4.03 | % | | | 0.21 | % | | | 1.10 | % |
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 1.43% and the net expense ratio is 1.12%. (Actual expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 1.10%. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1-877-843-3831.
| * | Commencement of operations. |
| ** | The price used to calculate market return (“Market Price”) is determined by using the closing price listed on the NYSE Arca and does not represent returns an investor would receive if shares were traded at other times. Total returns are calculated using the daily 4:00 pm midpoint between the bid and offer. Shares are bought and sold at market price, not NAV and are not individually redeemed from the Fund. |
The S&P/LSTA U.S. Leveraged Loan 100 Index is designed to track the market-weighted performance of the largest institutional leveraged loans based on market weightings, spreads and interest payments. One cannot invest directly in an index.
The S&P 500 Index is a broad-based, unmanaged measurement of changes in stock market conditions based on the average of 500 widely held common stocks. One cannot invest directly in an index.
Bank Loan: funds that invest primarily in floating-rate bank loans instead of bonds. In exchange for their credit risk, they offer high interest payments that typically float above a common short-term benchmark.
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ADVISORSHARES TRUST
AdvisorShares Peritus High Yield ETF (HYLD)
The latter half of calendar 2015 was an undeniably negative period for the broad high yield market, and the AdvisorShares Peritus High Yield ETF (NYSE Arca: HYLD) included. The market sentiment toward high yield started to shift in the latter part of 2014 as energy began its steady decline, as at the time many of the high yield indexes were 15 – 18% allocated to energy. Then as 2015 proceeded, investors became concerned about the Fed and increasing rates. We did not share this view as the economic data, demographics and other global factors did not support the expectation that a significant rise in rates was on the horizon. Beginning in June 2015 and lasting through the first part of calendar 2016, we saw large and steady outflows from the high yield market as investors were exiting the asset class on rate and energy concerns. At the same time, we saw the full implementation of the Dodd Frank legislation, and the Volcker Rule provision within it, which resulted in investment banks dramatically curtailing their market making efforts. This removed a significant market participant and liquidity within the market was reduced. Thus we were faced with a period of portfolio managers selling securities across the board to meet investor redemptions in the face of lessened market liquidity, causing prices to gap down 5, 10, 15 or more points in a single trade.
We also faced these large price declines in HYLD, in many cases for no reason other than someone was selling the security to meet liquidity/redemption needs. We saw this largely as a pricing problem, not a credit or fundamental problem in the high yield market, as outside of energy, we were seeing stable fundamentals in much of the market, including in the majority of our own portfolio. As oil stabilized and general market sentiment improved in early calendar 2016, we are now seeing a rebound in bond prices and strong returns, as the solid fundamentals remain intact.
We have not been complacent as we face this shifting market. As a manager, when rules, markets or the economy changes, you too must change; we just did that at the end of 2015, which we see now benefiting shareholders in 2016 and going forward. Beginning in December 2015, we started implementing a strategic new or newly issued allocation within our portfolio. With the banking regulation changes that went into effect in 2015, our research and experience has shown bonds tend to be the most liquid in the first several months after issuance as the institutions bringing the new debt to market are using their capital to support those deals in the secondary market and then in the months following you often see indexers and insurance companies adding exposure, providing another bid to these securities. In the first six months of the implementation of the new issue allocation, we are seeing the intended benefits in terms of improved portfolio liquidity and lessened volatility, and we believe this helps to better position our portfolio as we move forward. Additionally, as we have proceeded through the first six months of 2016, many of the bonds and loans that we call our “alpha” bucket have done very well as good company fundamentals are now being rewarded by the market. As we move forward, we see value in both bonds and loans, as many bonds with reasonable financials are offered at notable discounts providing both yield and capital gains potential and many first lien loans have been sold off as investors have realized the floating rate aspect to those are not needed as rates are not going up any time soon; yet these are often very low leverage companies that are more liquid and trading at nice discounts. See our pieces, “Zero Sum Game” and “Liquidity Management” as well as our monthly commentaries on the HYLD website (hyld.advisorshares.com) for more detail on our portfolio position and market dynamics.
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HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period December 1, 2010* to June 30, 2016
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HISTORICAL PERFORMANCE
Total Return as of June 30, 2016
| | | | | | | | | | | | | | |
| | 1 Month | | 3 Month | | Year
to Date | | 1 Year | | 3 Year | | 5 Year | | Since Inception 12/1/2010 |
| AdvisorShares Peritus High Yield ETF NAV | | | 0.81 | % | | | 7.06 | % | | | 5.67 | % | | | -9.34 | % | | | -4.91 | % | | | 0.00 | % | | | 1.25 | % |
| AdvisorShares Peritus High Yield ETF Market Price** | | | 1.45 | % | | | 8.62 | % | | | 7.38 | % | | | -9.20 | % | | | -4.56 | % | | | -0.11 | % | | | 1.24 | % |
| Barclays U.S. Corporate High Yield Index | | | 0.92 | % | | | 5.52 | % | | | 9.06 | % | | | 1.62 | % | | | 4.18 | % | | | 5.84 | % | | | 6.48 | % |
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) and net expense ratio is 1.23%. (Actual expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 1.35%. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1-877-843-3831.
| * | Commencement of operations. |
| ** | The price used to calculate market return (“Market Price”) is determined by using the closing price listed on the NYSE Arca and does not represent returns an investor would receive if shares were traded at other times. Total returns are calculated using the daily 4:00 pm midpoint between the bid and offer. Shares are bought and sold at market price, not NAV and are not individually redeemed from the Fund. |
The Barclays U.S. Corporate High Yield Index is an unmanaged index considered representative of the universe of U.S. fixed rate, non investment grade debt. One cannot invest directly in an index.
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ADVISORSHARES TRUST
AdvisorShares QAM Equity Hedge ETF (QEH)
The AdvisorShares QAM Equity Hedge ETF (NYSE: Arca: QEH) incepted on August 7, 2012. For the period ending June 30, 2016 QEH has returned +2.85% on a Net Asset Value basis and +2.87% on a Market Price basis since inception. For the one year period ending June 30, 2016 QEH returned -5.72% on an NAV basis and -5.72% on a Market Price basis. Performance in the fund was slightly behind our benchmark, the HFRI Equity Hedge (Total) Index, but was still within the range of expectations for the strategy.
QEH utilizes a fundamental and quantitative investment process to estimate the aggregate net market exposures of a large universe of long/short equity hedge funds defined by the HFRI Equity Hedge (Total) Index. The Fund’s portfolio manager has fundamentally identified over 25 groups of long/short equity hedge fund managers within the Index and utilizes a factor based system to attempt to identify the net exposures for each group. The portfolio manager believes that by replicating the net exposures of each group, over time QEH’s return will closely track that of the index. Options may be utilized in certain circumstances to hedge or reduce risks that exist in the portfolio.
In the year ended June 2016, the dominance of the U.S. equity markets, after retreating slightly in late 2015, returned as fears of slowing global growth and the eventual Brexit vote took its toll on foreign markets. Evidence of the dominance was seen in the performance of the S&P 500 (+3.99%) versus that of the MSCI AC World Index ex USA (-10.24%). The globally exposed portfolio for QEH was negatively affected by the weakness in international markets, however, the moderate net exposure helped to cushion the losses. As the equity markets became more volatile, our models indicated that the universe of long/short equity hedge fund managers, in aggregate, were reducing net exposures and by June 30th, were approximately 50% net long in aggregate. Within economic sectors, the Financial sector was the largest allocation followed by Healthcare, Technology, and Consumer Discretionary. Net exposure to North America, although lower year over year, remained the largest geographic exposure while exposures to developed Non-U.S., emerging, and frontier markets were stable to rising.
QEH is a diversified and moderately net exposed portfolio that seeks to provide a lower volatility approach to global equity markets that we believe can produce competitive risk adjusted returns over time.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period August 7, 2012* to June 30, 2016
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AdvisorShares Ranger Equity Bear ETF (HDGE)
For the one year period ending June 30, 2016, the AdvisorShares Ranger Equity Bear ETF (NYSE Arca: HDGE) returned -2.53% on a NAV basis and -2.48% on a Market Price basis. For the same period, the S&P 500 Index returned 3.99%. Performance benefitted from the significant decline of several of the fund’s core positions. Fund performance was negatively impacted by increased acquisition activity. Low interest rates, slowing growth, and large cash positions held overseas have caused companies to increase debt loads to fund growth through acquisitions, the speculative activity of which, hurts short only strategies that focus on low quality stocks. Longer-term this increase risk to equities as inflated acquisitions are written down and earnings suffer as a result.
HDGE remains aggressively short equities and the beta of the portfolio is substantially higher than the market. The focus remains on low quality shares with increased financial engineering. U.S. equities trade at all-time highs on a price/sales basis. Increased volatility and declining earnings expectations along with the mature nature of the current bull market dramatically increase the risk of owning equities. Therefore, an aggressive short strategy is in place.
A short position is the sale of a borrowed investment with the expectation that it will decline in value.
Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole. Beta is used in the capital asset pricing model (CAPM), a model that calculates the expected return of an asset based on its beta and expected market returns.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period January 27, 2011* to June 30, 2016
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AdvisorShares Sage Core Reserves ETF (HOLD)
The AdvisorShares Sage Core Reserves ETF (NYSE Arca: HOLD) returned 0.86% for the year ending June 30, 2016 on a NAV basis. The Barclays 1–3 Month U.S. Treasury Bill Index, a common short-term benchmark, returned 0.12% over the same period.
During the 12 months ending June 2016, the fixed income market saw substantial volatility as the market reacted to changes in the global economic landscape. Globally, the markets were volatile in response to economic uncertainties from Asia to Europe. Domestically, the markets expectation on future Fed rate hikes changed course from the expectations of rising rates, to the now prevalent idea of “lower-for-longer.”
Despite the easy monetary policy seen across the globe, the US economy saw tepid growth. While the US unemployment rate fell from 5.40% to 4.87%, GDP (YoY) fell to 2.10%, and the 5-year TIPS breakeven inflation rate decreased 27 basis-points to 1.40%. The 10-year Treasury rate began the period at 2.35% and fell to 1.47%, while the Barclays Aggregate credit average OAS began at 1.37%, and widened out to nearly 2.00% before rallying back to 1.47%.
During the past 12 months the portfolio maintained high-quality allocations to corporate, securitized, municipal, and government debt. Along with the diversified allocation, the portfolio held a defensive duration of just over half a year, including short futures positions.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period January 14, 2014* to June 30, 2016
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AdvisorShares STAR Global Buy-Write ETF (VEGA)
The AdvisorShares STAR Global Buy-Write ETF (NYSE Arca: VEGA) gained 0.56% for the year ending June 30, 2016 on a Market Price basis and 0.64% on an NAV basis. By comparison, VEGA’s Policy Benchmark* gained 1.99% over the same period.
In addition, for the year VEGA achieved a beta of 0.60 versus the S&P 500. The model is adjusted monthly via adjustments to the underlying holdings, as well as adjustments to the options holdings, including both Covered Calls and Protective Puts.
VEGA still defines itself as a global “go anywhere” portfolio. During this period, VEGA focused on two critical components of our “go anywhere” philosophy: Fixed Income and Equity.
Adjustments to Fixed Income: During the month of November 2015, VEGA moved away from synthetic bond holdings or hedged bond holdings via the use of Cash-Secured Puts and Covered Calls (respectively) against iShares 20+ Year Treasury Bond (TLT), iShares JPMorgan USD Emerg Markets Bond (EMB) or iShares iBoxx $High Yield Corporate Bd (HYG). In place of the TLT, EMB and HYG VEGA moved into Vanguard Intermediate-Term Bond ETF (BIV), SPDR DoubleLine Total Return Tact ETF (TOTL) and PowerShares Fundamental HiYld CorpBd ETF (PHB). The move was made in order to eliminate excess duration and credit risk brought on by TLT, HYG and EMB; especially ahead of the Fed’s announcement in December. This change came in conjunction with adding two Fixed Income specialists to the Management Team, with their additional insight into Fixed Income markets we feel confident in our changes to Fixed Income. We continue to focus on long only holdings to represent Fixed Income at this time.
Adjustments to Equity: Beginning late in 2015, VEGA has been moving toward a more streamlined portfolio via the changes to the Fixed Income component stated above. VEGA’s still continues with its primary objective is having global exposure with an options overlay or buy-write against. Consistent with this objective, we stripped the model of excess positions and have concentrated on broad exposure positions with robust options markets. During the month of March 2016, we eliminated all of VEGA’s Sector SPDR positions. We felt that any additional Alpha gained from the Sector SPDRs was minute and that moving to a more concentrated model would allow us to focus on the options aspect. We continue to sell Covered Calls again the SPDR S&P 500 ETF Trust (SPY), iShares MSCI Emerging Markets ETF (EEM) and iShares MSCI EAFE ETF (EFA), as well as purchase Protective Puts against the SPDR S&P 500 ETF Trust (SPY).
As mentioned previously options are no longer utilized as part of the Fixed Income component of VEGA. However, we continue to actively use options on our Equity holdings via Covered Calls and Protective Puts. The Protective Puts proved their value during the Brexit turmoil and we continue to have partial coverage on the portfolio. The Covered Calls use the CBOE Volatility Index (VIX) to adjust coverage depending on the current Volatility Regime.
The VIX is also used for tactical reinvestment of cash built up in portfolio from premium collected selling Covered Calls, we refer to this tactical deployment of cash as Volatility-Based Reinvest. We had at least one Volatility-Based Reinvestment during this period, August 2015, and continue to look for opportunity to put our cash from option premiums to work in the portfolio.
Looking forward, we feel more now than ever, given the global uncertainty brought on by Brexit and other geopolitical factors, it is crucial to look for opportunities to have volatility of the markets work in our favor.
A covered call is an options strategy whereby an investor holds a long position in an asset and writes (sells) call options on that same asset in an attempt to generate increased income from the asset. This is often employed when an investor has a short-term neutral view on the asset and for this reason hold the asset long and simultaneously have a short position via the option to generate income from the option premium.
A protective put strategy is usually employed when the options trader is still bullish on a stock he already owns but wary of uncertainties in the near term. It is used as a means to protect unrealized gains on shares from a previous purchase.
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VIX is the ticker symbol for the Chicago Board Options Exchange (CBOE) Volatility Index, which shows the market's expectation of 30-day volatility. It is constructed using the implied volatilities of a wide range of S&P 500 index options.
| * | The VEGA Policy Benchmark comprises the following allocation: VEGA Policy Benchmark is a blended benchmark of 37.5% MSCI World Index, 37.5% CBOE S&P 500 Buy/Write Index and 25% to the Barclays Intermediate Government Corporate Index. |
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period September 17, 2012* to June 30, 2016
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HISTORICAL PERFORMANCE
Total Return as of June 30, 2016
| | | | | | | | | | | | |
| | 1 Month | | 3 Month | | Year
to Date | | 1 Year | | 3 Year | | Since
Inception
9/17/2012 |
| AdvisorShares STAR Global Buy-Write ETF NAV | | | 1.39 | % | | | 2.33 | % | | | 3.16 | % | | | 0.64 | % | | | 4.27 | % | | | 2.04 | % |
| AdvisorShares STAR Global Buy-Write ETF Market Price** | | | 1.44 | % | | | 2.29 | % | | | 3.56 | % | | | 0.56 | % | | | 4.25 | % | | | 2.03 | % |
| MSCI World Index (Net) | | | -1.12 | % | | | 1.01 | % | | | 0.66 | % | | | -2.78 | % | | | 6.95 | % | | | 7.83 | % |
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 2.17% and the net expense ratio is 2.15%. (Actual expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 1.85%. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1-877-843-3831.
| * | Commencement of operations. |
| ** | The price used to calculate market return (“Market Price”) is determined by using the closing price listed on the NYSE Arca and does not represent returns an investor would receive if shares were traded at other times. Total returns are calculated using the daily 4:00 pm midpoint between the bid and offer. Shares are bought and sold at market price, not NAV and are not individually redeemed from the Fund. |
The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. One cannot invest directly in an index.
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AdvisorShares TrimTabs Float Shrink ETF (TTFS)
In the past fiscal year ending June 30, 2016, the AdvisorShares TrimTabs Float Shrink ETF (NYSE Arca: TTFS) returned -1.87% net of all fees, outperforming the Morningstar US OE Mid Cap Blend category by 240 basis points, which returned -4.29% over the same period. If we look back further, TTFS has also established an 11.04% lead in cumulative performance versus the S&P 500 Index and an 12.34% advantage over the Russell 3000 Index since its inception on October 4, 2011.
TTFS maintained its five-star Morningstar RatingTM throughout the fiscal year.*
For the last three months of 2015 and into early 2016 when the market was extremely volatile, and mostly down, US stock market performance was marked by a fairly large swing toward favoring the biggest companies over middle sized and smaller ones. This strong performance of the very large capitalization stocks was an important factor in the fund’s small relative under performance in the latter months of 2015.
The first half of 2016 has seen the state of the US economy as a central factor in investor sentiment. The stock market had a very rough summer on through the first month of 2016, anticipating a serious setback in both the economy and in corporate profits. While growth has indeed been slowing, it has not shifted into reverse, so there is the likelihood that the market might have overreacted. As a result, stock prices have firmed nicely since the end of January. The companies in our portfolio that have more exposure to the economy have outperformed the more defensive companies. An interesting aspect was that the price of oil has sharply snapped back, rising from its lowest price of about $30 per barrel to almost $45.
If the current slow growth, low interest rate environment persists, we believe it would continue to favor our kind of companies which have the fundamental strength to continue buying back their shares. If the environment deteriorates from its current state however, the financial soundness of those same companies could provide a degree of defense.
| * | Overall Morningstar rating is derived from a weighted average of the fund’s 3-, 5-, and 10-year (if applicable) risk-adjusted returns as of 06/30/2016. The Mid-Cap Blend category consists of 400 funds in 3 year, 342 in 5 year, and 238 in 10 year. |
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period October 4, 2011* to June 30, 2016
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AdvisorShares WCM/BNY Mellon Focused Growth ADR ETF (AADR)
Global markets finished the trailing twelve months in mixed fashion, a surprise given the high drama at quarter-end. We are, of course, referencing Britain’s referendum vote. While the full ramifications of Brexit are unknowable, what we do know is the AdvisorShares WCM/BNY Mellon Focused Growth ADR ETF (NYSE Arca: AADR) portfolio weathered this latest episode of volatility in hallmark fashion. AADR outperformed over the last fiscal year, once again posting a positive return of 1.05% while the benchmark was down — in this case the MSCI EAFE Index was down -10.16% over the same period. The portfolio’s performance in the last year is consistent with what it’s done since inception in 2004 — hold up better in down markets. Our downside capture improved to 64%, a remarkable feat for a more focused strategy.
From a sector standpoint, we remain overweight in Tech, Health Care, and Consumer, while we are underweight in Financials and Energy. We believe this allocation best positions the portfolio to take advantage of many of the long-lasting tailwinds we’re seeing around the world, such as the emergence of the global middle class. We continue to look for attractive opportunities — companies benefiting from a secular tailwind, growing their competitive advantage, possessing a strong culture, and trading at a reasonable valuation.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period July 21, 2010* to June 30, 2016
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AdvisorShares YieldPro ETF (YPRO)
The AdvisorShares YieldPro ETF (NASDAQ: YPRO) returned 3.59% on a Market Price basis, and 3.37% on an NAV basis, for the twelve months ended June 30, 2016. The Barclays Aggregate Bond Index return was 6.00%. The volatility of the Fund, however, as measured by the standard deviation of daily price NAV changes over the twelve-month period, was 23% less than the Barclay’s Aggregate Bond Index.
The twelve-months ended June 30, 2016, represented a period of positive returns across all segments of the yield curve. Long term Treasury bonds contributed the most to the performance of broad market indices. YPRO’s Portfolio Managers elected to maintain an average duration and average maturity that was less than the Barclays Aggregate Bond index, throughout the year. Their rationale was that, historically, bond prices tend to be more volatile during low interest rate environments and, as a result, risk-adjusted returns on long term bonds tend to be not very attractive.
In July of 2015, YPRO eliminated its exposure to low quality bonds. This proved to be a positive for Fund performance, over the twelve months ending June 30, 2016, as the high-yield sector underperformed the broad market and also experienced higher volatility than investment grade issues. Throughout the twelve-month period, the Fund maintained a minimum of 50% allocation to short term investment grade bonds, approximately 30% to intermediate municipal bonds and the balance to either short term or intermediate term investment grade corporate bonds.
Duration is a measure of the sensitivity of the price (the value of principal) of a fixed-income investment to a change in interest rates. Duration is expressed as a number of years.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period March 4, 2014* to June 30, 2016
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Shareholder Expense Examples
As a shareholder of the Fund, you incur transaction cost and ongoing costs, including management fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the Fund and to compare these costs with the ongoing costs of investing in other funds. The examples are based on an initial investment of $1,000 invested at July 1, 2015 and held for the period ended December 31, 2015.
Actual Expenses
The first line under each Fund in the table below provides information about actual account values and actual expenses. You may use the information, together with the amount you invested, to estimate the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid” to estimate the expenses attributable to your account during this period.
Hypothetical Example for Comparison Purposes
The second line under each Fund in the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses for the period. You may use this information to compare the ongoing costs of investing in the Funds and other ETF 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. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | |
| Fund Name | | Beginning
Account
Value
1/1/2016 | | Ending
Account
Value
6/30/2016 | | Annualized
Expense
Ratio for
the Period(1) | | Expenses
Paid |
AdvisorShares Athena High Dividend ETF
| | | | | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 1,140.70 | | | | 0.99 | % | | $ | 5.27 | |
| Hypothetical (assuming a 5% return before expenses) | | $ | 1,000.00 | | | $ | 1,019.94 | | | | 0.99 | % | | $ | 4.97 | |
AdvisorShares EquityPro ETF
| | | | | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 992.90 | | | | 1.25 | % | | $ | 6.19 | |
| Hypothetical (assuming a 5% return before expenses) | | $ | 1,000.00 | | | $ | 1,018.65 | | | | 1.25 | % | | $ | 6.27 | |
AdvisorShares Gartman Gold/Euro ETF
| | | | | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 1,220.60 | | | | 0.65 | % | | $ | 3.59 | |
| Hypothetical (assuming a 5% return before expenses) | | $ | 1,000.00 | | | $ | 1,021.63 | | | | 0.65 | % | | $ | 3.27 | |
AdvisorShares Gartman Gold/Yen ETF
| | | | | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 1,067.30 | | | | 0.65 | % | | $ | 3.34 | |
| Hypothetical (assuming a 5% return before expenses) | | $ | 1,000.00 | | | $ | 1,021.63 | | | | 0.65 | % | | $ | 3.27 | |
TABLE OF CONTENTS
ADVISORSHARES TRUST
Shareholder Expense Examples (continued)
| | | | | | | | |
| Fund Name | | Beginning
Account
Value
1/1/2016 | | Ending
Account
Value
6/30/2016 | | Annualized
Expense
Ratio for
the Period(1) | | Expenses
Paid |
AdvisorShares Global Echo ETF
| | | | | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 1,000.10 | | | | 1.50 | % | | $ | 7.46 | |
| Hypothetical (assuming a 5% return before expenses) | | $ | 1,000.00 | | | $ | 1,017.40 | | | | 1.50 | % | | $ | 7.52 | |
AdvisorShares Madrona Domestic ETF
| | | | | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 991.70 | | | | 1.25 | % | | $ | 6.19 | |
| Hypothetical (assuming a 5% return before expenses) | | $ | 1,000.00 | | | $ | 1,018.65 | | | | 1.25 | % | | $ | 6.27 | |
AdvisorShares Madrona Global Bond ETF
| | | | | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 1,063.20 | | | | 0.95 | % | | $ | 4.87 | |
| Hypothetical (assuming a 5% return before expenses) | | $ | 1,000.00 | | | $ | 1,020.14 | | | | 0.95 | % | | $ | 4.77 | |
AdvisorShares Madrona International ETF
| | | | | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 953.80 | | | | 1.25 | % | | $ | 6.07 | |
| Hypothetical (assuming a 5% return before expenses) | | $ | 1,000.00 | | | $ | 1,018.65 | | | | 1.25 | % | | $ | 6.27 | |
AdvisorShares Meidell Tactical Advantage ETF
| | | | | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 958.20 | | | | 1.35 | % | | $ | 6.57 | |
| Hypothetical (assuming a 5% return before expenses) | | $ | 1,000.00 | | | $ | 1,018.15 | | | | 1.35 | % | | $ | 6.77 | |
AdvisorShares Morgan Creek Global Tactical ETF
| | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 1,041.40 | | | | 1.25 | % | | $ | 6.34 | |
| Hypothetical (assuming a 5% return before expenses) | | $ | 1,000.00 | | | $ | 1,018.65 | | | | 1.25 | % | | $ | 6.27 | |
AdvisorShares Newfleet Multi-Sector Income ETF
| | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 1,024.00 | | | | 0.75 | % | | $ | 3.77 | |
| Hypothetical (assuming a 5% return before expenses) | | $ | 1,000.00 | | | $ | 1,021.13 | | | | 0.75 | % | | $ | 3.77 | |
AdvisorShares Pacific Asset Enhanced Floating Rate ETF
| | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 1,043.60 | | | | 1.10 | % | | $ | 5.59 | |
| Hypothetical (assuming a 5% return before expenses) | | $ | 1,000.00 | | | $ | 1,019.39 | | | | 1.10 | % | | $ | 5.52 | |
AdvisorShares Peritus High Yield ETF
| | | | | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 1,056.70 | | | | 1.22 | % | | $ | 6.24 | |
| Hypothetical (assuming a 5% return before expenses) | | $ | 1,000.00 | | | $ | 1,018.80 | | | | 1.22 | % | | $ | 6.12 | |
AdvisorShares QAM Equity Hedge ETF
| | | | | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 997.40 | | | | 1.50 | % | | $ | 7.45 | |
| Hypothetical (assuming a 5% return before expenses) | | $ | 1,000.00 | | | $ | 1,017.40 | | | | 1.50 | % | | $ | 7.52 | |
TABLE OF CONTENTS
ADVISORSHARES TRUST
Shareholder Expense Examples (continued)
| | | | | | | | |
| Fund Name | | Beginning
Account
Value
1/1/2016 | | Ending
Account
Value
6/30/2016 | | Annualized
Expense
Ratio for
the Period(1) | | Expenses
Paid |
AdvisorShares Ranger Equity Bear ETF
| | | | | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 986.50 | | | | 1.63 | % | | $ | 8.05 | |
| Hypothetical (assuming a 5% return before expenses) | | $ | 1,000.00 | | | $ | 1,016.76 | | | | 1.63 | % | | $ | 8.17 | |
AdvisorShares Sage Core Reserves ETF
| | | | | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 1,008.60 | | | | 0.35 | % | | $ | 1.75 | |
| Hypothetical (assuming a 5% return before expenses) | | $ | 1,000.00 | | | $ | 1,023.12 | | | | 0.35 | % | | $ | 1.76 | |
AdvisorShares STAR Global Buy-Write ETF
| | | | | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 1,031.60 | | | | 1.85 | % | | $ | 9.34 | |
| Hypothetical (assuming a 5% return before expenses) | | $ | 1,000.00 | | | $ | 1,015.66 | | | | 1.85 | % | | $ | 9.27 | |
AdvisorShares Market Adaptive Unconstrained Income ETF
| | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 1,034.60 | | | | 1.35 | % | | $ | 6.83 | |
| Hypothetical (assuming a 5% return before expenses) | | $ | 1,000.00 | | | $ | 1,018.15 | | | | 1.35 | % | | $ | 6.77 | |
AdvisorShares TrimTabs Float Shrink ETF
| | | | | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 1,027.20 | | | | 0.99 | % | | $ | 4.99 | |
| Hypothetical (assuming a 5% return before expenses) | | $ | 1,000.00 | | | $ | 1,019.94 | | | | 0.99 | % | | $ | 4.97 | |
AdvisorShares WCM/BNY Mellon Focused Growth ADR ETF
| | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 1,019.30 | | | | 1.25 | % | | $ | 6.28 | |
| Hypothetical (assuming a 5% return before expenses) | | $ | 1,000.00 | | | $ | 1,018.65 | | | | 1.25 | % | | $ | 6.27 | |
AdvisorShares YieldPro ETF
| | | | | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 1,031.10 | | | | 1.22 | % | | $ | 6.16 | |
| Hypothetical (assuming a 5% return before expenses) | | $ | 1,000.00 | | | $ | 1,018.80 | | | | 1.22 | % | | $ | 6.12 | |
| (1) | Expense ratios reflect expense caps through the period ended June 30, 2016. |
TABLE OF CONTENTS
ADVISORSHARES ATHENA HIGH DIVIDEND ETF
Schedule of Investments
June 30, 2016
| | | | |
| Investments | |
Shares | | Value |
| COMMON STOCKS — 99.4% | |
| Auto Manufacturers — 1.9% | |
| General Motors Co. | | | 4,998 | | | $ | 141,443 | |
| Banks — 12.1% | |
| Banco de Chile (Chile)(a) | | | 3,161 | | | | 202,747 | |
| Grupo Aval Acciones y Valores SA (Colombia)(a) | | | 26,469 | | | | 213,075 | |
| PacWest Bancorp | | | 7,500 | | | | 298,350 | |
| Woori Bank (South Korea)(a)(b) | | | 7,860 | | | | 195,242 | |
| Total Banks | | | | | | | 909,414 | |
| Commercial Services — 2.8% | |
| Macquarie Infrastructure Corp. | | | 2,849 | | | | 210,968 | |
| Diversified Financial Services — 3.6% | |
| Navient Corp. | | | 11,852 | | | | 141,631 | |
| Waddell & Reed Financial, Inc., Class A | | | 7,540 | | | | 129,839 | |
| Total Diversified Financial Services | | | | | | | 271,470 | |
| Electric — 9.1% | |
| Endesa Americas SA (Chile)(a) | | | 17,300 | | | | 238,048 | |
| Entergy Corp. | | | 1,797 | | | | 146,186 | |
| Exelon Corp. | | | 3,269 | | | | 118,861 | |
| Huaneng Power International, Inc. (China)(a)(b) | | | 7,164 | | | | 178,885 | |
| Total Electric | | | | | | | 681,980 | |
| Electronics — 2.0% | |
| Garmin Ltd. | | | 3,494 | | | | 148,216 | |
| Engineering & Construction — 2.9% | |
| Grupo Aeroportuario del Centro Norte SAB de CV (Mexico)(a) | | | 4,623 | | | | 219,315 | |
| Gas — 2.6% | |
| CenterPoint Energy, Inc. | | | 8,133 | | | | 195,192 | |
| Mining — 4.1% | |
| Vedanta Ltd. (India)(a) | | | 39,108 | | | | 307,780 | |
| Oil & Gas — 12.6% | |
| CNOOC Ltd. (China)(a) | | | 1,929 | | | | 240,469 | |
| CVR Energy, Inc.(b) | | | 12,744 | | | | 197,532 | |
| Ecopetrol SA (Colombia)*(a) | | | 23,075 | | | | 220,597 | |
| Helmerich & Payne, Inc.(b) | | | 1,958 | | | | 131,441 | |
| PBF Energy, Inc., Class A | | | 6,569 | | | | 156,211 | |
| Total Oil & Gas | | | | | | | 946,250 | |
| Oil & Gas Services — 2.0% | |
| National Oilwell Varco, Inc.(b) | | | 4,517 | | | | 151,997 | |
| Pipelines — 2.9% | |
| ONEOK, Inc. | | | 4,614 | | | | 218,934 | |
| | | | |
| Investments | | Shares/
Principal | | Value |
| COMMON STOCKS (continued) | |
| Private Equity — 2.7% | |
| Apollo Global Management LLC, Class A | | | 13,364 | | | $ | 202,465 | |
| Real Estate Investment Trusts — 16.3% | |
| Annaly Capital Management, Inc. | | | 16,815 | | | | 186,142 | |
| Corrections Corp. of America | | | 3,759 | | | | 131,640 | |
| HCP, Inc.(b) | | | 6,045 | | | | 213,872 | |
| Hospitality Properties Trust | | | 9,065 | | | | 261,072 | |
| OMEGA Healthcare Investors, Inc.(b) | | | 4,310 | | | | 146,325 | |
| Senior Housing Properties Trust | | | 6,428 | | | | 133,895 | |
| Starwood Property Trust, Inc. | | | 7,456 | | | | 154,488 | |
| Total Real Estate Investment Trusts | | | | | | | 1,227,434 | |
| Retail — 3.6% | |
| Gamestop Corp., Class A(b) | | | 5,320 | | | | 141,406 | |
| Staples, Inc. | | | 15,350 | | | | 132,317 | |
| Total Retail | | | | | | | 273,723 | |
| Telecommunications — 16.2% | |
| AT&T, Inc. | | | 3,773 | | | | 163,031 | |
| CenturyLink, Inc.(b) | | | 5,386 | | | | 156,248 | |
| Chunghwa Telecom Co. Ltd. (Taiwan)(a) | | | 6,458 | | | | 234,425 | |
| Frontier Communications Corp.(b) | | | 45,549 | | | | 225,012 | |
| Philippine Long Distance Telephone Co. (Philippines)(a) | | | 6,652 | | | | 296,480 | |
| Verizon Communications, Inc. | | | 2,572 | | | | 143,621 | |
| Total Telecommunications | | | | | | | 1,218,817 | |
| Toys/Games/Hobbies — 2.0% | |
| Mattel, Inc. | | | 4,684 | | | | 146,562 | |
Total Common Stocks
(Cost $7,115,273) | | | | | | | 7,471,960 | |
MONEY MARKET FUND — 0.5%
| |
Goldman Sachs Financial Square Fund, 0.43%(c)
(Cost $34,919) | | | 34,919 | | | | 34,919 | |
REPURCHASE AGREEMENTS — 11.7%(d)
| |
| Citigroup Global Markets, Inc., dated 06/30/16, due 07/01/16, 0.44%, total to be received $131,780, (collateralized by various U.S. Government Agency Obligations, 0.50% – 7.50%, 04/30/17 – 03/15/57, totaling $134,090) | | $ | 131,778 | | | | 131,778 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES ATHENA HIGH DIVIDEND ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
| REPURCHASE AGREEMENTS (continued) | | | | |
| Daiwa Capital Markets America, dated 06/30/16, due 07/01/16, 0.50%, total to be received $250,003, (collateralized by various U.S. Government Agency Obligations, 0.00% – 9.00%, 07/07/16 – 02/01/49, totaling $254,205) | | $ | 250,000 | | | $ | 250,000 | |
| HSBC Securities USA, Inc., dated 06/30/16, due 07/01/16, 0.40%, total to be received $246,739, (collateralized by various U.S. Government Agency Obligations, 3.00% – 8.00%, 08/01/22 – 06/01/46, totaling $250,972) | | | 246,736 | | | | 246,736 | |
| Nomura Securities International, Inc., dated 06/30/16, due 07/01/16, 0.42%, total to be received $250,003, (collateralized by various U.S. Government Agency Obligations, 0.00% – 8.00%, 12/01/16 – 02/20/66, totaling $254,261) | | | 250,000 | | | | 250,000 | |
| Total Repurchase Agreements (Cost $878,514) | | | | | | | 878,514 | |
| Total Investments — 111.6% (Cost $8,028,706) | | | | | | | 8,385,393 | |
| Liabilities in Excess of Other Assets – (11.6)% | | | | | | | (872,541 | ) |
| Net Assets — 100.0% | | | | | | $ | 7,512,852 | |
| * | Non-income producing security. |
| (a) | American Depositary Receipt. |
| (b) | All or a portion of security is on loan. The aggregate market value of the securities on loan is $1,196,668; the aggregate market value of the collateral held by the fund is $1,225,491. The aggregate market value of the collateral includes non-cash U.S. Treasury securities collateral having a value of $346,977. |
| (c) | Rate shown reflects the 7-day yield as of June 30, 2016. |
| (d) | Collateral received from brokers for securities lending was invested in these short-term investments. |
SUMMARY OF SCHEDULE OF INVESTMENTS
| | |
| | % of
Net Assets |
| Auto Manufacturers | | | 1.9 | % |
| Banks | | | 12.1 | |
| Commercial Services | | | 2.8 | |
| Diversified Financial Services | | | 3.6 | |
| Electric | | | 9.1 | |
| Electronics | | | 2.0 | |
| Engineering & Construction | | | 2.9 | |
| Gas | | | 2.6 | |
| Mining | | | 4.1 | |
| Oil & Gas | | | 12.6 | |
| Oil & Gas Services | | | 2.0 | |
| Pipelines | | | 2.9 | |
| Private Equity | | | 2.7 | |
| Real Estate Investment Trusts | | | 16.3 | |
| Retail | | | 3.6 | |
| Telecommunications | | | 16.2 | |
| Toys/Games/Hobbies | | | 2.0 | |
| Money Market Fund | | | 0.5 | |
| Repurchase Agreements | | | 11.7 | |
| Total Investments | | | 111.6 | |
| Liabilities in Excess of Other Assets | | | (11.6 | ) |
| Net Assets | | | 100.0 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES EQUITYPRO ETF
Schedule of Investments
June 30, 2016
| | | | |
| Investments | | Shares/
Principal | | Value |
EXCHANGE TRADED FUNDS — 85.2%
| |
Equity Fund — 85.2%
| |
| Energy Select Sector SPDR Fund | | | 17,320 | | | $ | 1,181,917 | |
| First Trust Dow Jones Internet Index Fund*(a) | | | 18,604 | | | | 1,341,720 | |
| Guggenheim S&P 500 Equal Weight Consumer Staples ETF(a) | | | 28,692 | | | | 3,701,268 | |
| iShares MSCI EAFE ETF | | | 37,076 | | | | 2,069,211 | |
| PowerShares Dynamic Pharmaceuticals Portfolio(a) | | | 12,024 | | | | 761,841 | |
| SPDR Dow Jones Industrial Average ETF Trust | | | 18,630 | | | | 3,336,260 | |
| SPDR S&P 500 ETF Trust(a) | | | 22,898 | | | | 4,797,818 | |
| Technology Select Sector SPDR Fund | | | 64,994 | | | | 2,818,140 | |
| VanEck Vectors Oil Services ETF | | | 8,443 | | | | 246,958 | |
| Total Exchange Traded Funds (Cost $19,825,734) | | | | | | | 20,255,133 | |
MONEY MARKET FUND — 14.9%
| |
Wells Fargo Advantage Government Money Market Fund – Institutional Class, 0.25%(b)
(Cost $3,543,436) | | | 3,543,436 | | | | 3,543,436 | |
| REPURCHASE AGREEMENTS — 27.1%(c) | |
| Citibank NA, dated 06/30/16, due 07/01/16, 0.44%, total to be received $644,624, (collateralized by various U.S. Government Agency Obligations, 1.38% – 9.00%, 10/20/18 – 01/20/46, totaling $654,407) | | $ | 644,616 | | | | 644,616 | |
| Citigroup Global Markets, Inc., dated 06/30/16, due 07/01/16, 0.44%, total to be received $966,936, (collateralized by various U.S. Government Agency Obligations, 0.50% – 7.50%, 04/30/17 — 03/15/57, totaling $983,889) | | | 966,924 | | | | 966,924 | |
| Daiwa Capital Markets America, dated 06/30/16, due 07/01/16, 0.50%, total to be received $1,500,365, (collateralized by various U.S. Government Agency Obligations, 0.00% – 9.00%, 07/07/16 – 02/01/49, totaling $1,525,578) | | | 1,500,344 | | | | 1,500,344 | |
| Merrill Lynch Pierce Fenner & Smith, Inc., dated 06/30/16, due 07/01/16, 0.44%, total to be received $1,500,362, (collateralized by various U.S. Government Agency Obligations, 4.00%, 03/20/46 – 05/20/46, totaling $1,525,769) | | | 1,500,344 | | | | 1,500,344 | |
| | | | |
| Investments | |
Principal | | Value |
| REPURCHASE AGREEMENTS (continued) | | | | |
| Mizuho Securities USA, Inc., dated 06/30/16, due 07/01/16, 0.45%, total to be received $333,519, (collateralized by various U.S. Government Agency Obligations, 1.00% – 8.00%, 06/01/22 – 11/20/45, totaling $339,287) | | $ | 333,515 | | | $ | 333,515 | |
| Nomura Securities International, Inc., dated 06/30/16, due 07/01/16, 0.42%, total to be received $1,500,362, (collateralized by various U.S. Government Agency Obligations, 0.00% – 8.00%, 12/01/16 – 02/20/66, totaling $1,525,916) | | | 1,500,344 | | | | 1,500,344 | |
| Total Repurchase Agreements (Cost $6,446,087) | | | | | | | 6,446,087 | |
Total Investments — 127.2%
(Cost $29,815,257) | | | | | | | 30,244,656 | |
| Liabilities in Excess of Other Assets — (27.2)% | | | | | | | (6,466,590 | ) |
| Net Assets – 100.0% | | | | | | $ | 23,778,066 | |
ETF — Exchange Traded Fund
| * | Non-income producing security. |
| (a) | All or a portion of security is on loan. The aggregate market value of the securities on loan is $6,311,838; the aggregate market value of the collateral held by the fund is $6,446,087. |
| (b) | Rate shown reflects the 7-day yield as of June 30, 2016. |
| (c) | Collateral received from brokers for securities lending was invested in these short-term investments. |
SUMMARY OF SCHEDULE OF INVESTMENTS
| | |
| | % of
Net Assets |
| Equity Fund | | | 85.2 | % |
| Money Market Fund | | | 14.9 | |
| Repurchase Agreements | | | 27.1 | |
| Total Investments | | | 127.2 | |
| Liabilities in Excess of Other Assets | | | (27.2 | ) |
| Net Assets | | | 100.0 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES GARTMAN GOLD/EURO ETF
Schedule of Investments (Consolidated)†
June 30, 2016
| | | | |
| Investments | | Shares | | Value |
MONEY MARKET FUND — 58.2%
| |
BNY Mellon Cash Reserve, 0.01%(a)
(Cost $13,052,990) | | | 13,052,990 | | | $ | 13,052,990 | |
Total Investments — 58.2%
(Cost $13,052,990) | | | | | | | 13,052,990 | |
| Other Assets in Excess of Liabilities — 41.8% | | | | | | | 9,379,839 | |
| Net Assets — 100.0% | | | | | | $ | 22,432,829 | |
| † | The Consolidated Schedule of Investments included the accounts of the wholly owned subsidiary. All inter-company accounts and transactions have been eliminated in consolidation. See the Notes to Financial Statements. |
| (a) | Rate shown reflects the 7-day yield as of June 30, 2016. |
Futures contracts outstanding as of June 30, 2016:
| | | | | | | | | | | | |
| Type | | Broker | | Expiration Date | | Number of
Contracts | | Value at
Trade Date | | Value at
June 30,
2016 | | Unrealized
Appreciation
(Depreciation) |
| EURO Currency | | | Interactive
Brokers LLC | | | | September 2016 | | | | (162 | ) | | $ | (23,010,213 | ) | | $ | (22,492,688 | ) | | $ | 517,525 | |
| Gold 100 Oz. | | | Interactive
Brokers LLC | | | | August 2016 | | | | 169 | | | | 20,989,980 | | | | 22,318,140 | | | | 1,328,160 | |
| | | | | | | | | | | | | | | | | | | | | | | $ | 1,845,685 | |
Cash posted as collateral to broker for futures contracts was $7,690,442 at June 30, 2016.
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES GARTMAN GOLD/YEN ETF
Schedule of Investments (Consolidated)†
June 30, 2016
| | | | |
| Investments | | Shares | | Value |
MONEY MARKET FUND — 68.0%
| |
BNY Mellon Cash Reserve, 0.01%(a)
(Cost $16,490,603) | | | 16,490,603 | | | $ | 16,490,603 | |
Total Investments — 68.0%
(Cost $16,490,603) | | | | | | | 16,490,603 | |
| Other Assets in Excess of Liabilities — 32.0% | | | | | | | 7,758,278 | |
Net Assets — 100.0%
| | | | | | $ | 24,248,881 | |
| † | The Consolidated Schedule of Investments included the accounts of the wholly owned subsidiary. All inter-company accounts and transactions have been eliminated in consolidation. See the Notes to Financial Statements. |
| (a) | Rate shown reflects the 7-day yield as of June 30, 2016. |
Futures contracts outstanding as of June 30, 2016:
| | | | | | | | | | | | |
| Type | | Broker | | Expiration Date | | Number of
Contracts | | Value at
Trade Date | | Value at
June 30,
2016 | | Unrealized
Appreciation
(Depreciation) |
| Gold 100 Oz. | | | Interactive
Brokers LLC | | | | August 2016 | | | | 194 | | | $ | 23,730,528 | | | $ | 25,619,640 | | | $ | 1,889,112 | |
| Japanese Yen Currency | | | Interactive
Brokers LLC | | | | September 2016 | | | | (207 | ) | | | (24,403,047 | ) | | | (25,116,863 | ) | | | (713,816 | ) |
| | | | | | | | | | | | | | | | | | | | | | | $ | 1,175,296 | |
Cash posted as collateral to broker for futures contracts was $7,801,541 at June 30, 2016.
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES GLOBAL ECHO ETF
Schedule of Investments
June 30, 2016
| | | | |
| Investments | | Shares | | Value |
COMMON STOCKS — 63.4%
| |
Apparel — 1.3%
| |
| NIKE, Inc., Class B | | | 1,060 | | | $ | 58,512 | |
| VF Corp. | | | 320 | | | | 19,677 | |
| Total Apparel | | | | | | | 78,189 | |
Auto Parts & Equipment — 1.0%
| |
| Johnson Controls, Inc. | | | 1,159 | | | | 51,297 | |
| Tenneco, Inc.* | | | 182 | | | | 8,483 | |
| Total Auto Parts & Equipment | | | | | | | 59,780 | |
Banks — 3.4%
| |
| Boston Private Financial Holdings, Inc. | | | 1,570 | | | | 18,495 | |
| Northern Trust Corp. | | | 979 | | | | 64,868 | |
| Royal Bank of Canada (Canada) | | | 320 | | | | 18,909 | |
| TCF Financial Corp. | | | 2,595 | | | | 32,827 | |
| Tompkins Financial Corp.(a) | | | 1,056 | | | | 68,640 | |
| Total Banks | | | | | | | 203,739 | |
Beverages — 0.2%
| |
| Reed's, Inc.*(a) | | | 3,966 | | | | 9,796 | |
Biotechnology — 1.7%
| |
| Amgen, Inc. | | | 265 | | | | 40,320 | |
| Gilead Sciences, Inc. | | | 240 | | | | 20,021 | |
| Illumina, Inc.* | | | 184 | | | | 25,830 | |
| Ionis Pharmaceuticals, Inc.*(a) | | | 664 | | | | 15,464 | |
| Total Biotechnology | | | | | | | 101,635 | |
Building Materials — 1.1%
| |
| Geberit AG (Switzerland)(b) | | | 437 | | | | 16,658 | |
| Masco Corp. | | | 1,590 | | | | 49,195 | |
| Total Building Materials | | | | | | | 65,853 | |
Chemicals — 1.7%
| |
| Novozymes A/S (Denmark)(b) | | | 2,101 | | | | 100,963 | |
Commercial Services — 2.8%
| |
| Automatic Data Processing, Inc. | | | 696 | | | | 63,941 | |
| Bright Horizons Family Solutions, Inc.* | | | 709 | | | | 47,014 | |
| ManpowerGroup, Inc. | | | 319 | | | | 20,524 | |
| MarketAxess Holdings, Inc. | | | 249 | | | | 36,205 | |
| Total Commercial Services | | | | | | | 167,684 | |
Computers — 2.0%
| |
| Apple, Inc. | | | 600 | | | | 57,360 | |
| EMC Corp. | | | 2,233 | | | | 60,671 | |
| Total Computers | | | | | | | 118,031 | |
Cosmetics/Personal Care — 3.4%
| |
| Estee Lauder Cos., Inc. (The), Class A | | | 384 | | | | 34,952 | |
| Procter & Gamble Co. (The) | | | 696 | | | | 58,930 | |
| Unilever NV (United Kingdom)(c) | | | 1,567 | | | | 73,555 | |
| Unilever PLC (United Kingdom)(b) | | | 760 | | | | 36,412 | |
| Total Cosmetics/Personal Care | | | | | | | 203,849 | |
| | | | |
| Investments | | Shares | | Value |
COMMON STOCKS (continued)
| |
Diversified Financial Services — 1.0%
| |
| MasterCard, Inc., Class A | | | 712 | | | $ | 62,699 | |
Electronics — 1.0%
| |
| Agilent Technologies, Inc. | | | 528 | | | | 23,422 | |
| Waters Corp.* | | | 261 | | | | 36,710 | |
| Total Electronics | | | | | | | 60,132 | |
Energy – Alternate Sources — 1.0%
| |
| First Solar, Inc.*(a) | | | 772 | | | | 37,427 | |
| Vestas Wind Systems A/S (Denmark)(b) | | | 886 | | | | 20,134 | |
| Total Energy — Alternate Sources | | | | | | | 57,561 | |
Environmental Control — 2.2%
| |
| TETRA Tech, Inc. | | | 1,061 | | | | 32,620 | |
| Tomra Systems ASA (Norway)(b) | | | 9,305 | | | | 98,688 | |
| Total Environmental Control | | | | | | | 131,308 | |
Food — 3.1%
| |
| JM Smucker Co. (The) | | | 230 | | | | 35,054 | |
| Kroger Co. (The) | | | 1,660 | | | | 61,072 | |
| Nestle SA (Switzerland)(b) | | | 461 | | | | 35,640 | |
| Sprouts Farmers Market, Inc.*(a) | | | 1,600 | | | | 36,640 | |
| SunOpta, Inc. (Canada)* | | | 4,732 | | | | 19,827 | |
| Total Food | | | | | | | 188,233 | |
Healthcare – Products — 3.7%
| |
| Becton, Dickinson and Co. | | | 143 | | | | 24,251 | |
| Boston Scientific Corp.* | | | 3,249 | | | | 75,929 | |
| Danaher Corp. | | | 240 | | | | 24,240 | |
| Henry Schein, Inc.* | | | 100 | | | | 17,680 | |
| Hologic, Inc.* | | | 1,777 | | | | 61,484 | |
| Thermo Fisher Scientific, Inc. | | | 130 | | | | 19,209 | |
| Total Healthcare — Products | | | | | | | 222,793 | |
Healthcare – Services — 0.3%
| |
| Amedisys, Inc.* | | | 403 | | | | 20,343 | |
Home Furnishings — 1.1%
| |
| Dorel Industries, Inc., Class B (Canada) | | | 2,369 | | | | 62,776 | |
Household Products/Wares — 0.7%
| |
| Church & Dwight Co., Inc. | | | 416 | | | | 42,802 | |
Insurance — 2.6%
| |
| Aflac, Inc. | | | 1,131 | | | | 81,613 | |
| Storebrand ASA (Norway)*(b) | | | 5,405 | | | | 40,727 | |
| Voya Financial, Inc. | | | 1,454 | | | | 36,001 | |
| Total Insurance | | | | | | | 158,341 | |
Internet — 3.0%
| |
| Alphabet, Inc., Class A* | | | 113 | | | | 79,498 | |
| eBay, Inc.* | | | 1,143 | | | | 26,758 | |
| F5 Networks, Inc.* | | | 357 | | | | 40,641 | |
| Facebook, Inc., Class A* | | | 188 | | | | 21,485 | |
| FireEye, Inc.*(a) | | | 720 | | | | 11,858 | |
| Total Internet | | | | | | | 180,240 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES GLOBAL ECHO ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | |
Shares | | Value |
| COMMON STOCKS (continued) | |
Iron/Steel — 0.7%
| |
| Nucor Corp. | | | 810 | | | $ | 40,022 | |
Machinery – Diversified — 2.4%
| |
| Rockwell Automation, Inc. | | | 459 | | | | 52,702 | |
| Xylem, Inc. | | | 2,064 | | | | 92,158 | |
| Total Machinery — Diversified | | | | | | | 144,860 | |
Media — 0.2%
| |
| Discovery Communications, Inc., Class A* | | | 365 | | | | 9,209 | |
Miscellaneous Manufacturing — 2.5%
| |
| 3M Co. | | | 60 | | | | 10,507 | |
| AptarGroup, Inc. | | | 798 | | | | 63,146 | |
| CLARCOR, Inc. | | | 320 | | | | 19,466 | |
| Illinois Tool Works, Inc. | | | 235 | | | | 24,477 | |
| Raven Industries, Inc. | | | 1,654 | | | | 31,327 | |
| Total Miscellaneous Manufacturing | | | | | | | 148,923 | |
Office/Business Equipment — 0.2%
| |
| Xerox Corp. | | | 1,020 | | | | 9,680 | |
Packaging & Containers — 0.5%
| |
| Sealed Air Corp. | | | 691 | | | | 31,765 | |
Pharmaceuticals — 3.9%
| |
| Cardinal Health, Inc. | | | 388 | | | | 30,268 | |
| Johnson & Johnson | | | 452 | | | | 54,828 | |
| Novartis AG (Switzerland)(b) | | | 744 | | | | 61,387 | |
| Perrigo Co. PLC | | | 383 | | | | 34,727 | |
| Teva Pharmaceutical Industries Ltd. (Israel)(b) | | | 1,062 | | | | 53,344 | |
| Total Pharmaceuticals | | | | | | | 234,554 | |
Real Estate Investment Trusts — 0.9%
| |
| Prologis, Inc. | | | 663 | | | | 32,514 | |
| Urban Edge Properties | | | 735 | | | | 21,947 | |
| Total Real Estate Investment Trusts | | | | | | | 54,461 | |
Retail — 4.5%
| |
| Costco Wholesale Corp. | | | 239 | | | | 37,532 | |
| CVS Health Corp. | | | 831 | | | | 79,560 | |
Kingfisher PLC
(United Kingdom)(a)(b) | | | 2,998 | | | | 25,873 | |
| Panera Bread Co., Class A* | | | 46 | | | | 9,749 | |
| Starbucks Corp. | | | 1,049 | | | | 59,919 | |
| Target Corp. | | | 852 | | | | 59,487 | |
| Total Retail | | | | | | | 272,120 | |
| | | | |
| Investments | | Shares/
Principal | | Value |
| COMMON STOCKS (continued) | |
Semiconductors — 3.9%
| |
| Analog Devices, Inc. | | | 360 | | | $ | 20,390 | |
| Intel Corp. | | | 850 | | | | 27,880 | |
| IPG Photonics Corp.* | | | 441 | | | | 35,280 | |
| NXP Semiconductors NV (Netherlands)* | | | 580 | | | | 45,437 | |
| QUALCOMM, Inc. | | | 888 | | | | 47,570 | |
| Xilinx, Inc. | | | 1,235 | | | | 56,971 | |
| Total Semiconductors | | | | | | | 233,528 | |
Software — 3.9%
| |
| Adobe Systems, Inc.* | | | 794 | | | | 76,057 | |
| Allscripts Healthcare Solutions, Inc.*(a) | | | 1,019 | | | | 12,941 | |
| Citrix Systems, Inc.* | | | 136 | | | | 10,892 | |
| Fiserv, Inc.* | | | 958 | | | | 104,164 | |
| Microsoft Corp. | | | 427 | | | | 21,850 | |
| Oracle Corp. | | | 245 | | | | 10,028 | |
| Total Software | | | | | | | 235,932 | |
Telecommunications — 0.7%
| |
| AT&T, Inc. | | | 760 | | | | 32,839 | |
| Cisco Systems, Inc. | | | 340 | | | | 9,755 | |
| Total Telecommunications | | | | | | | 42,594 | |
Transportation — 0.5%
| |
| Canadian National Railway Co. (Canada) | | | 547 | | | | 32,306 | |
Water — 0.3%
| |
Severn Trent PLC
(United Kingdom)(a)(b) | | | 631 | | | | 20,540 | |
Total Common Stocks
(Cost $3,575,678) | | | | | | | 3,807,241 | |
ASSET BACKED SECURITIES — 15.9%
| |
| SBA, 4.34%, 07/25/38@ | | $ | 111,824 | | | | 126,743 | |
| SBA, 4.39%, 02/25/39@ | | | 142,083 | | | | 162,564 | |
| SBAP, Class 1, Series 2009-20H, 4.45%, 08/01/29 | | | 150,378 | | | | 165,169 | |
| SBAP, Class 1, Series 2010-20A, 4.38%, 01/01/30 | | | 116,076 | | | | 127,847 | |
| SBAP, Class 1, Series 2010-20B, 4.14%, 02/01/30 | | | 231,914 | | | | 254,703 | |
| Toyota Auto Receivables 2016 – B Owner Trust, Class A2A, Series 2016-B, 1.02%, 10/15/18 | | | 25,000 | | | | 25,040 | |
U.S. SBA, Class 1,
Series 2010-10A, 4.11%, 03/10/20 | | | 87,413 | | | | 92,338 | |
| Total Asset Backed Securities (Cost $947,758) | | | | | | | 954,404 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES GLOBAL ECHO ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Shares/
Principal | | Value |
U.S. GOVERNMENT AGENCY SECURITIES — 14.5%
| |
| Federal National Mortgage Association, 3.76%, 05/01/43 | | $ | 334,296 | | | $ | 380,857 | |
| Government National Mortgage Association, Class AC, Series 2011-109, 3.25%, 04/16/43 | | | 140,108 | | | | 143,020 | |
| Government National Mortgage Association, Class AC, Series 2015-160, 2.60%, 01/16/56@ | | | 148,785 | | | | 151,267 | |
| Government National Mortgage Association, Class AE, Series 2015-41, 2.90%, 09/16/56@ | | | 187,608 | | | | 195,802 | |
Total U.S. Government Agency Securities
(Cost $841,787) | | | | | | | 870,946 | |
MUNICIPAL BOND — 0.5%
| |
| Health & Educational Facilities Authority of The State of Missouri, 3.69%, 02/15/47 (Cost $25,474) | | | 25,000 | | | | 27,378 | |
MONEY MARKET FUND — 2.0%
| |
| Fidelity Institutional Money Market Government Portfolio – Class I, 0.26%(d) (Cost $119,633) | | | 119,633 | | | | 119,633 | |
REPURCHASE AGREEMENT — 1.0%(e)
| |
Nomura Securities International, Inc., dated 06/30/16, due 07/01/16, 0.42%, total to
be received $60,502, (collateralized by various
U.S. Government Agency Obligations, 0.00% – 8.00%, 12/01/16 – 02/20/66, totaling $61,532)
(Cost $60,501) | | | 60,501 | | | | 60,501 | |
Total Investments — 97.3%
(Cost $5,570,831) | | | | | | | 5,840,103 | |
| Other Assets in Excess of Liabilities — 2.7% | | | | | | | 162,176 | |
| Net Assets — 100.0% | | | | | | $ | 6,002,279 | |
PLC — Public Limited Company
| @ | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2016. |
| * | Non-income producing security. |
| (a) | All or a portion of security is on loan. The aggregate market value of the securities on loan is $126,223; the aggregate market value of the collateral held by the fund is $129,258. The aggregate market value of the collateral includes non-cash U.S. Treasury securities collateral having a value of $68,757. |
| (b) | American Depositary Receipt. |
| (d) | Rate shown reflects the 7-day yield as of June 30, 2016. |
| (e) | Collateral received from brokers for securities lending was invested in these short-term investments. |
SUMMARY OF SCHEDULE OF INVESTMENTS
| | |
| | % of
Net Assets |
| Apparel | | | 1.3 | % |
| Asset Backed Securities | | | 15.9 | |
| Auto Parts & Equipment | | | 1.0 | |
| Banks | | | 3.4 | |
| Beverages | | | 0.2 | |
| Biotechnology | | | 1.7 | |
| Building Materials | | | 1.1 | |
| Chemicals | | | 1.7 | |
| Commercial Services | | | 2.8 | |
| Computers | | | 2.0 | |
| Cosmetics/Personal Care | | | 3.4 | |
| Diversified Financial Services | | | 1.0 | |
| Electronics | | | 1.0 | |
| Energy – Alternate Sources | | | 1.0 | |
| Environmental Control | | | 2.2 | |
| Food | | | 3.1 | |
| Healthcare – Products | | | 3.7 | |
| Healthcare – Services | | | 0.3 | |
| Home Furnishings | | | 1.1 | |
| Household Products/Wares | | | 0.7 | |
| Insurance | | | 2.6 | |
| Internet | | | 3.0 | |
| Iron/Steel | | | 0.7 | |
| Machinery – Diversified | | | 2.4 | |
| Media | | | 0.2 | |
| Miscellaneous Manufacturing | | | 2.5 | |
| Municipal Bond | | | 0.5 | |
| Office/Business Equipment | | | 0.2 | |
| Packaging & Containers | | | 0.5 | |
| Pharmaceuticals | | | 3.9 | |
| Real Estate Investment Trusts | | | 0.9 | |
| Retail | | | 4.5 | |
| Semiconductors | | | 3.9 | |
| Software | | | 3.9 | |
| Telecommunications | | | 0.7 | |
| Transportation | | | 0.5 | |
| U.S. Government Agency Securities | | | 14.5 | |
| Water | | | 0.3 | |
| Money Market Fund | | | 2.0 | |
| Repurchase Agreements | | | 1.0 | |
| Total Investments | | | 97.3 | |
| Other Assets in Excess of Liabilities | | | 2.7 | % |
| Net Assets | | | 100.0 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES MADRONA DOMESTIC ETF
Schedule of Investments
June 30, 2016
| | | | |
| Investments | | Shares | | Value |
COMMON STOCKS — 97.5%
| |
Advertising — 0.4%
| |
| Interpublic Group of Cos., Inc. (The) | | | 3,422 | | | $ | 79,048 | |
| Omnicom Group, Inc. | | | 272 | | | | 22,166 | |
| Total Advertising | | | | | | | 101,214 | |
Aerospace/Defense — 1.2%
| |
| Boeing Co. (The) | | | 588 | | | | 76,364 | |
| General Dynamics Corp. | | | 264 | | | | 36,759 | |
| L-3 Communications Holdings, Inc. | | | 193 | | | | 28,311 | |
| Lockheed Martin Corp. | | | 107 | | | | 26,554 | |
| Northrop Grumman Corp. | | | 89 | | | | 19,783 | |
| Raytheon Co. | | | 247 | | | | 33,580 | |
| Rockwell Collins, Inc. | | | 673 | | | | 57,299 | |
| United Technologies Corp. | | | 554 | | | | 56,813 | |
| Total Aerospace/Defense | | | | | | | 335,463 | |
Agriculture — 0.6%
| |
| Altria Group, Inc. | | | 340 | | | | 23,446 | |
| Archer-Daniels-Midland Co. | | | 1,837 | | | | 78,789 | |
| Philip Morris International, Inc. | | | 251 | | | | 25,532 | |
| Reynolds American, Inc. | | | 727 | | | | 39,207 | |
| Total Agriculture | | | | | | | 166,974 | |
Airlines — 1.0%
| |
| Delta Air Lines, Inc. | | | 3,857 | | | | 140,510 | |
| Southwest Airlines Co. | | | 3,490 | | | | 136,843 | |
| Total Airlines | | | | | | | 277,353 | |
Apparel — 1.6%
| |
| Hanesbrands, Inc. | | | 3,382 | | | | 84,990 | |
| Michael Kors Holdings Ltd.* | | | 2,097 | | | | 103,759 | |
| NIKE, Inc., Class B | | | 784 | | | | 43,277 | |
| Ralph Lauren Corp. | | | 1,333 | | | | 119,463 | |
| Under Armour, Inc., Class A*(a) | | | 582 | | | | 23,356 | |
| VF Corp. | | | 889 | | | | 54,665 | |
| Total Apparel | | | | | | | 429,510 | |
Auto Manufacturers — 1.4%
| |
| Ford Motor Co. | | | 12,199 | | | | 153,341 | |
| General Motors Co. | | | 5,362 | | | | 151,745 | |
| PACCAR, Inc. | | | 1,539 | | | | 79,828 | |
| Total Auto Manufacturers | | | | | | | 384,914 | |
Auto Parts & Equipment — 1.5%
| |
| BorgWarner, Inc. | | | 4,042 | | | | 119,320 | |
Delphi Automotive PLC
(United Kingdom) | | | 2,151 | | | | 134,653 | |
| Johnson Controls, Inc. | | | 3,504 | | | | 155,087 | |
| Total Auto Parts & Equipment | | | | | | | 409,060 | |
| | | | |
| Investments | | Shares | | Value |
COMMON STOCKS (continued)
| |
Banks — 3.6%
| |
| Bank of America Corp. | | | 4,128 | | | $ | 54,779 | |
| Bank of New York Mellon Corp. (The) | | | 1,180 | | | | 45,843 | |
| BB&T Corp. | | | 917 | | | | 32,654 | |
| Capital One Financial Corp. | | | 1,195 | | | | 75,894 | |
| Citigroup, Inc. | | | 612 | | | | 25,943 | |
| Citizens Financial Group, Inc. | | | 3,612 | | | | 72,168 | |
| Comerica, Inc. | | | 351 | | | | 14,437 | |
| Fifth Third Bancorp | | | 1,257 | | | | 22,111 | |
| Goldman Sachs Group, Inc. (The) | | | 272 | | | | 40,414 | |
| Huntington Bancshares, Inc. | | | 3,824 | | | | 34,187 | |
| JPMorgan Chase & Co. | | | 553 | | | | 34,363 | |
| KeyCorp | | | 2,848 | | | | 31,470 | |
| M&T Bank Corp. | | | 226 | | | | 26,720 | |
| Morgan Stanley | | | 2,363 | | | | 61,391 | |
| Northern Trust Corp. | | | 1,030 | | | | 68,248 | |
| PNC Financial Services Group, Inc. (The) | | | 339 | | | | 27,591 | |
| Regions Financial Corp. | | | 6,649 | | | | 56,583 | |
| State Street Corp. | | | 1,945 | | | | 104,874 | |
| SunTrust Banks, Inc. | | | 979 | | | | 40,217 | |
| US Bancorp | | | 624 | | | | 25,166 | |
| Wells Fargo & Co. | | | 1,151 | | | | 54,477 | |
| Zions Bancorporation | | | 1,372 | | | | 34,478 | |
| Total Banks | | | | | | | 984,008 | |
Beverages — 0.7%
| |
| Brown-Forman Corp., Class B | | | 148 | | | | 14,765 | |
| Coca-Cola Co. (The) | | | 258 | | | | 11,695 | |
| Coca-Cola European Partners PLC (United Kingdom) | | | 458 | | | | 16,346 | |
| Constellation Brands, Inc., Class A | | | 228 | | | | 37,711 | |
| Dr Pepper Snapple Group, Inc. | | | 256 | | | | 24,737 | |
| Molson Coors Brewing Co., Class B | | | 195 | | | | 19,720 | |
| Monster Beverage Corp.* | | | 255 | | | | 40,981 | |
| PepsiCo, Inc. | | | 154 | | | | 16,315 | |
| Total Beverages | | | | | | | 182,270 | |
Biotechnology — 2.0%
| |
| Alexion Pharmaceuticals, Inc.* | | | 667 | | | | 77,879 | |
| Amgen, Inc. | | | 255 | | | | 38,798 | |
| Biogen, Inc.* | | | 253 | | | | 61,181 | |
| Celgene Corp.* | | | 1,437 | | | | 141,731 | |
| Gilead Sciences, Inc. | | | 329 | | | | 27,445 | |
| Illumina, Inc.* | | | 129 | | | | 18,109 | |
| Regeneron Pharmaceuticals, Inc.* | | | 126 | | | | 44,003 | |
| Vertex Pharmaceuticals, Inc.* | | | 1,764 | | | | 151,739 | |
| Total Biotechnology | | | | | | | 560,885 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES MADRONA DOMESTIC ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Shares | | Value |
COMMON STOCKS (continued)
| |
Building Materials — 1.1%
| |
| Martin Marietta Materials, Inc. | | | 416 | | | $ | 79,872 | |
| Masco Corp. | | | 2,836 | | | | 87,746 | |
| Vulcan Materials Co. | | | 1,049 | | | | 126,258 | |
| Total Building Materials | | | | | | | 293,876 | |
Chemicals — 2.4%
| |
| Air Products & Chemicals, Inc. | | | 451 | | | | 64,060 | |
| CF Industries Holdings, Inc. | | | 3,435 | | | | 82,784 | |
| Dow Chemical Co. (The) | | | 583 | | | | 28,981 | |
| E.I. du Pont de Nemours & Co. | | | 328 | | | | 21,254 | |
| Eastman Chemical Co. | | | 1,512 | | | | 102,665 | |
| Ecolab, Inc. | | | 276 | | | | 32,734 | |
| FMC Corp. | | | 800 | | | | 37,048 | |
| Ingevity Corp.* | | | 210 | | | | 7,148 | |
| International Flavors & Fragrances, Inc. | | | 176 | | | | 22,188 | |
| LyondellBasell Industries NV, Class A | | | 913 | | | | 67,945 | |
| Monsanto Co. | | | 709 | | | | 73,318 | |
| PPG Industries, Inc. | | | 316 | | | | 32,911 | |
| Praxair, Inc. | | | 344 | | | | 38,662 | |
| Sherwin-Williams Co. (The) | | | 153 | | | | 44,932 | |
| Total Chemicals | | | | | | | 656,630 | |
Commercial Services — 3.3%
| |
| Automatic Data Processing, Inc. | | | 286 | | | | 26,275 | |
| Cintas Corp. | | | 441 | | | | 43,275 | |
| Equifax, Inc. | | | 288 | | | | 36,979 | |
| Global Payments, Inc. | | | 502 | | | | 35,833 | |
| H&R Block, Inc. | | | 5,571 | | | | 128,133 | |
| Moody’s Corp. | | | 321 | | | | 30,081 | |
| Nielsen Holdings PLC | | | 973 | | | | 50,567 | |
| PayPal Holdings, Inc.* | | | 1,274 | | | | 46,514 | |
| Quanta Services, Inc.* | | | 1,930 | | | | 44,622 | |
| Robert Half International, Inc. | | | 3,247 | | | | 123,905 | |
| S&P Global, Inc. | | | 368 | | | | 39,472 | |
| Total System Services, Inc. | | | 661 | | | | 35,106 | |
| United Rentals, Inc.* | | | 2,644 | | | | 177,412 | |
| Verisk Analytics, Inc.* | | | 374 | | | | 30,324 | |
| Western Union Co. (The) | | | 3,685 | | | | 70,678 | |
| Total Commercial Services | | | | | | | 919,176 | |
Computers — 3.3%
| |
| Accenture PLC, Class A | | | 259 | | | | 29,342 | |
| Apple, Inc. | | | 1,336 | | | | 127,722 | |
| Cognizant Technology Solutions Corp., Class A* | | | 1,763 | | | | 100,914 | |
| CSRA, Inc. | | | 3,005 | | | | 70,407 | |
| EMC Corp. | | | 1,450 | | | | 39,397 | |
| Hewlett Packard Enterprise Co. | | | 5,770 | | | | 105,418 | |
| HP, Inc. | | | 876 | | | | 10,994 | |
| | | | |
| Investments | | Shares | | Value |
COMMON STOCKS (continued)
| |
Computers (continued)
| |
| International Business Machines Corp. | | | 89 | | | $ | 13,508 | |
| NetApp, Inc. | | | 4,517 | | | | 111,073 | |
| Teradata Corp.* | | | 3,271 | | | | 82,004 | |
| Western Digital Corp. | | | 4,289 | | | | 202,698 | |
| Total Computers | | | | | | | 893,477 | |
Cosmetics/Personal Care — 0.2%
| |
| Colgate-Palmolive Co. | | | 229 | | | | 16,763 | |
| Estee Lauder Cos., Inc. (The), Class A | | | 229 | | | | 20,843 | |
| Procter & Gamble Co. (The) | | | 200 | | | | 16,934 | |
| Total Cosmetics/Personal Care | | | | | | | 54,540 | |
Distribution/Wholesale — 0.2%
| |
| Fastenal Co.(a) | | | 593 | | | | 26,323 | |
| W.W. Grainger, Inc.(a) | | | 110 | | | | 24,998 | |
| Total Distribution/Wholesale | | | | | | | 51,321 | |
Diversified Financial Services — 5.6%
| |
| Affiliated Managers Group, Inc.* | | | 863 | | | | 121,484 | |
| Alliance Data Systems Corp.* | | | 698 | | | | 136,752 | |
| American Express Co. | | | 1,201 | | | | 72,973 | |
| Ameriprise Financial, Inc. | | | 1,618 | | | | 145,377 | |
| BlackRock, Inc. | | | 234 | | | | 80,152 | |
| Charles Schwab Corp. (The) | | | 3,684 | | | | 93,242 | |
| CME Group, Inc. | | | 375 | | | | 36,525 | |
| Discover Financial Services | | | 1,015 | | | | 54,394 | |
| E*TRADE Financial Corp.* | | | 5,387 | | | | 126,541 | |
| Franklin Resources, Inc. | | | 3,690 | | | | 123,135 | |
| Intercontinental Exchange, Inc. | | | 271 | | | | 69,365 | |
| Invesco Ltd. | | | 4,346 | | | | 110,997 | |
| Legg Mason, Inc. | | | 4,632 | | | | 136,598 | |
| MasterCard, Inc., Class A | | | 430 | | | | 37,866 | |
| Nasdaq, Inc. | | | 594 | | | | 38,414 | |
| Synchrony Financial* | | | 1,014 | | | | 25,634 | |
| T. Rowe Price Group, Inc. | | | 999 | | | | 72,897 | |
| Visa, Inc., Class A | | | 766 | | | | 56,814 | |
| Total Diversified Financial Services | | | | | | | 1,539,160 | |
Electric — 1.7%
| |
| AES Corp. (The) | | | 2,059 | | | | 25,696 | |
| Ameren Corp. | | | 325 | | | | 17,414 | |
| American Electric Power Co., Inc. | | | 218 | | | | 15,280 | |
| CMS Energy Corp. | | | 497 | | | | 22,792 | |
| Consolidated Edison, Inc.(a) | | | 131 | | | | 10,538 | |
| Dominion Resources, Inc. | | | 272 | | | | 21,197 | |
| DTE Energy Co. | | | 186 | | | | 18,436 | |
| Duke Energy Corp. | | | 198 | | | | 16,986 | |
| Edison International | | | 212 | | | | 16,466 | |
| Eversource Energy | | | 296 | | | | 17,730 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES MADRONA DOMESTIC ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Shares | | Value |
COMMON STOCKS (continued)
| |
Electric (continued)
| |
| Exelon Corp. | | | 392 | | | $ | 14,253 | |
| FirstEnergy Corp. | | | 379 | | | | 13,231 | |
| NextEra Energy, Inc. | | | 141 | | | | 18,386 | |
| NRG Energy, Inc. | | | 5,661 | | | | 84,858 | |
| PG&E Corp. | | | 342 | | | | 21,861 | |
| Pinnacle West Capital Corp. | | | 175 | | | | 14,186 | |
| PPL Corp. | | | 440 | | | | 16,610 | |
| Public Service Enterprise Group, Inc. | | | 374 | | | | 17,432 | |
| SCANA Corp. | | | 253 | | | | 19,142 | |
| Southern Co. (The) | | | 266 | | | | 14,266 | |
| TECO Energy, Inc. | | | 487 | | | | 13,461 | |
| WEC Energy Group, Inc. | | | 250 | | | | 16,325 | |
| Xcel Energy, Inc. | | | 389 | | | | 17,419 | |
| Total Electric | | | | | | | 463,965 | |
Electrical Components & Equipment — 0.5%
| |
| Acuity Brands, Inc.(a) | | | 238 | | | | 59,015 | |
| AMETEK, Inc. | | | 774 | | | | 35,782 | |
| Emerson Electric Co. | | | 800 | | | | 41,728 | |
| Total Electrical Components & Equipment | | | | | | | 136,525 | |
Electronics — 2.0%
| |
| Agilent Technologies, Inc. | | | 792 | | | | 35,133 | |
| Allegion PLC | | | 1,003 | | | | 69,638 | |
| Amphenol Corp., Class A | | | 396 | | | | 22,703 | |
| Corning, Inc. | | | 1,027 | | | | 21,033 | |
| FLIR Systems, Inc. | | | 3,107 | | | | 96,162 | |
| Garmin Ltd. | | | 384 | | | | 16,289 | |
| Honeywell International, Inc. | | | 353 | | | | 41,061 | |
| PerkinElmer, Inc. | | | 450 | | | | 23,589 | |
| TE Connectivity Ltd. (Switzerland) | | | 1,944 | | | | 111,022 | |
| Tyco International PLC | | | 2,021 | | | | 86,095 | |
| Waters Corp.* | | | 173 | | | | 24,332 | |
| Total Electronics | | | | | | | 547,057 | |
Engineering & Construction — 0.8%
| |
| Fluor Corp. | | | 1,964 | | | | 96,786 | |
| Jacobs Engineering Group, Inc.* | | | 2,231 | | | | 111,126 | |
| Total Engineering & Construction | | | | | | | 207,912 | |
Environmental Control — 0.5%
| |
| Republic Services, Inc. | | | 384 | | | | 19,703 | |
| Stericycle, Inc.* | | | 888 | | | | 92,458 | |
| Waste Management, Inc. | | | 329 | | | | 21,803 | |
| Total Environmental Control | | | | | | | 133,964 | |
Food — 1.7%
| |
| Campbell Soup Co. | | | 270 | | | | 17,963 | |
| ConAgra Foods, Inc. | | | 443 | | | | 21,180 | |
| | | | |
| Investments | | Shares | | Value |
COMMON STOCKS (continued)
| |
Food (continued)
| |
| General Mills, Inc. | | | 258 | | | $ | 18,401 | |
| Hershey Co. (The) | | | 205 | | | | 23,265 | |
| Hormel Foods Corp. | | | 1,022 | | | | 37,405 | |
| JM Smucker Co. (The) | | | 354 | | | | 53,953 | |
| Kellogg Co. | | | 250 | | | | 20,413 | |
| Kraft Heinz Co. (The) | | | 925 | | | | 81,844 | |
| Kroger Co. (The) | | | 1,456 | | | | 53,566 | |
| McCormick & Co., Inc. | | | 185 | | | | 19,734 | |
| Mondelez International, Inc., Class A | | | 666 | | | | 30,310 | |
| Safeway, Inc PDC, LLC CVR.*(b)(c) | | | 447 | | | | 22 | |
| Safeway, Inc SCRP. CVR*(b)(c) | | | 447 | | | | 454 | |
| Sysco Corp. | | | 469 | | | | 23,797 | |
| Tyson Foods, Inc., Class A | | | 770 | | | | 51,428 | |
| Whole Foods Market, Inc. | | | 705 | | | | 22,574 | |
| Total Food | | | | | | | 476,309 | |
Forest Products & Paper — 0.2%
| |
| International Paper Co. | | | 1,282 | | | | 54,331 | |
Gas — 0.2%
| |
| CenterPoint Energy, Inc. | | | 576 | | | | 13,824 | |
| NiSource, Inc. | | | 570 | | | | 15,117 | |
| Sempra Energy | | | 269 | | | | 30,671 | |
| Total Gas | | | | | | | 59,612 | |
Hand/Machine Tools — 0.4%
| |
| Snap-on, Inc. | | | 460 | | | | 72,597 | |
| Stanley Black & Decker, Inc. | | | 258 | | | | 28,695 | |
| Total Hand/Machine Tools | | | | | | | 101,292 | |
Healthcare – Products — 2.6%
| |
| Abbott Laboratories | | | 1,140 | | | | 44,813 | |
| Baxter International, Inc. | | | 520 | | | | 23,514 | |
| Becton Dickinson and Co. | | | 283 | | | | 47,994 | |
| Boston Scientific Corp.* | | | 1,389 | | | | 32,461 | |
| C.R. Bard, Inc. | | | 126 | | | | 29,630 | |
| Danaher Corp. | | | 659 | | | | 66,559 | |
| DENTSPLY SIRONA, Inc. | | | 434 | | | | 26,925 | |
| Edwards Lifesciences Corp.* | | | 245 | | | | 24,434 | |
| Henry Schein, Inc.* | | | 145 | | | | 25,636 | |
| Hologic, Inc.* | | | 1,061 | | | | 36,711 | |
| Intuitive Surgical, Inc.* | | | 35 | | | | 23,149 | |
| Medtronic PLC | | | 317 | | | | 27,506 | |
| Patterson Cos., Inc. | | | 687 | | | | 32,901 | |
| St. Jude Medical, Inc. | | | 418 | | | | 32,604 | |
| Stryker Corp. | | | 213 | | | | 25,524 | |
| Thermo Fisher Scientific, Inc. | | | 373 | | | | 55,115 | |
| Varian Medical Systems, Inc.*(a) | | | 757 | | | | 62,248 | |
| Zimmer Biomet Holdings, Inc. | | | 701 | | | | 84,386 | |
| Total Healthcare – Products | | | | | | | 702,110 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES MADRONA DOMESTIC ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Shares | | Value |
COMMON STOCKS (continued)
| |
Healthcare – Services — 3.2%
| |
| Aetna, Inc. | | | 597 | | | $ | 72,912 | |
| Anthem, Inc. | | | 631 | | | | 82,876 | |
| Centene Corp.* | | | 2,273 | | | | 162,224 | |
| Cigna Corp. | | | 549 | | | | 70,267 | |
| DaVita HealthCare Partners, Inc.* | | | 531 | | | | 41,057 | |
| HCA Holdings, Inc.* | | | 1,224 | | | | 94,260 | |
| Humana, Inc. | | | 488 | | | | 87,781 | |
| Laboratory Corp. of America Holdings* | | | 655 | | | | 85,327 | |
| Quest Diagnostics, Inc. | | | 692 | | | | 56,336 | |
| UnitedHealth Group, Inc. | | | 612 | | | | 86,414 | |
| Universal Health Services, Inc., Class B | | | 224 | | | | 30,038 | |
| Total Healthcare — Services | | | | | | | 869,492 | |
Home Builders — 1.4%
| |
| D.R. Horton, Inc. | | | 4,693 | | | | 147,736 | |
| Lennar Corp., Class A | | | 1,973 | | | | 90,955 | |
| PulteGroup, Inc. | | | 7,974 | | | | 155,413 | |
| Total Home Builders | | | | | | | 394,104 | |
Home Furnishings — 1.2%
| |
| Harman International Industries, Inc. | | | 2,118 | | | | 152,115 | |
| Leggett & Platt, Inc. | | | 699 | | | | 35,726 | |
| Whirlpool Corp. | | | 879 | | | | 146,476 | |
| Total Home Furnishings | | | | | | | 334,317 | |
Household Products/Wares — 0.3%
| |
| Avery Dennison Corp. | | | 418 | | | | 31,246 | |
| Church & Dwight Co., Inc. | | | 203 | | | | 20,887 | |
| Clorox Co. (The) | | | 110 | | | | 15,223 | |
| Kimberly-Clark Corp. | | | 153 | | | | 21,034 | |
| Total Household Products/Wares | | | | | | | 88,390 | |
Housewares — 0.3%
| |
| Newell Brands, Inc. | | | 1,464 | | | | 71,106 | |
Insurance — 5.8%
| |
| Aflac, Inc. | | | 1,538 | | | | 110,982 | |
| Allstate Corp. (The) | | | 1,077 | | | | 75,336 | |
| American International Group, Inc. | | | 2,040 | | | | 107,896 | |
| Aon PLC | | | 543 | | | | 59,312 | |
| Assurant, Inc. | | | 449 | | | | 38,753 | |
| Chubb Ltd. | | | 712 | | | | 93,066 | |
| Hartford Financial Services Group, Inc. (The) | | | 2,443 | | | | 108,420 | |
| Lincoln National Corp. | | | 3,784 | | | | 146,706 | |
| Marsh & McLennan Cos., Inc. | | | 772 | | | | 52,851 | |
| MetLife, Inc. | | | 3,475 | | | | 138,409 | |
| Principal Financial Group, Inc. | | | 2,779 | | | | 114,245 | |
| Progressive Corp. (The) | | | 1,242 | | | | 41,607 | |
| | | | |
| Investments | | Shares | | Value |
COMMON STOCKS (continued)
| |
Insurance (continued)
| |
| Prudential Financial, Inc. | | | 2,065 | | | $ | 147,317 | |
| Torchmark Corp. | | | 690 | | | | 42,656 | |
| Travelers Cos., Inc. (The) | | | 609 | | | | 72,495 | |
| Unum Group | | | 3,319 | | | | 105,511 | |
| Willis Towers Watson PLC | | | 418 | | | | 51,962 | |
| XL Group PLC (Ireland) | | | 2,240 | | | | 74,614 | |
| Total Insurance | | | | | | | 1,582,138 | |
Internet — 3.2%
| |
| Alphabet, Inc., Class A* | | | 116 | | | | 81,609 | |
| Alphabet, Inc., Class C* | | | 234 | | | | 161,951 | |
| Amazon.com, Inc.* | | | 48 | | | | 34,350 | |
| eBay, Inc.* | | | 1,722 | | | | 40,312 | |
| Expedia, Inc. | | | 1,189 | | | | 126,391 | |
| F5 Networks, Inc.* | | | 1,002 | | | | 114,068 | |
| Facebook, Inc., Class A* | | | 1,051 | | | | 120,108 | |
| Netflix, Inc.* | | | 154 | | | | 14,088 | |
| Priceline Group, Inc. (The)* | | | 88 | | | | 109,860 | |
| Symantec Corp. | | | 1,625 | | | | 33,378 | |
| TripAdvisor, Inc.*(a) | | | 327 | | | | 21,026 | |
| VeriSign, Inc.*(a) | | | 211 | | | | 18,243 | |
| Total Internet | | | | | | | 875,384 | |
Iron/Steel — 0.1%
| |
| Nucor Corp. | | | 425 | | | | 20,999 | |
Leisure Time — 1.3%
| |
| Carnival Corp. | | | 2,887 | | | | 127,606 | |
| Harley-Davidson, Inc.(a) | | | 2,231 | | | | 101,064 | |
| Royal Caribbean Cruises Ltd. | | | 2,120 | | | | 142,358 | |
| Total Leisure Time | | | | | | | 371,028 | |
Lodging — 0.6%
| |
| Interval Leisure Group, Inc. | | | 56 | | | | 890 | |
| Marriott International, Inc., Class A(a) | | | 1,145 | | | | 76,097 | |
| Starwood Hotels & Resorts Worldwide, Inc. | | | 130 | | | | 9,614 | |
| Wyndham Worldwide Corp.(a) | | | 863 | | | | 61,471 | |
| Wynn Resorts Ltd.(a) | | | 126 | | | | 11,421 | |
| Total Lodging | | | | | | | 159,493 | |
Machinery – Construction & Mining — 0.1%
| |
| Caterpillar, Inc. | | | 472 | | | | 35,782 | |
Machinery – Diversified — 1.1%
| |
| Cummins, Inc. | | | 912 | | | | 102,545 | |
| Deere & Co. | | | 389 | | | | 31,525 | |
| Flowserve Corp. | | | 1,212 | | | | 54,746 | |
| Rockwell Automation, Inc. | | | 249 | | | | 28,590 | |
| Roper Technologies, Inc. | | | 201 | | | | 34,283 | |
| Xylem, Inc. | | | 957 | | | | 42,730 | |
| Total Machinery — Diversified | | | | | | | 294,419 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES MADRONA DOMESTIC ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Shares | | Value |
COMMON STOCKS (continued)
| |
Media — 4.5%
| |
| CBS Corp., Class B | | | 2,416 | | | $ | 131,527 | |
| Charter Communications, Inc., Class A* | | | 32 | | | | 7,316 | |
| Comcast Corp., Class A | | | 1,017 | | | | 66,298 | |
| Discovery Communications, Inc., Class A* | | | 3,875 | | | | 97,766 | |
| Discovery Communications, Inc., Class C* | | | 6,034 | | | | 143,911 | |
| News Corp., Class A | | | 1,245 | | | | 14,131 | |
| News Corp., Class B(a) | | | 13,138 | | | | 153,320 | |
| Scripps Networks Interactive, Inc., Class A | | | 1,484 | | | | 92,409 | |
| TEGNA, Inc. | | | 1,860 | | | | 43,096 | |
| Time Warner, Inc. | | | 1,535 | | | | 112,884 | |
| Twenty-First Century Fox, Inc., Class A | | | 4,151 | | | | 112,285 | |
| Twenty-First Century Fox, Inc., Class B | | | 5,689 | | | | 155,025 | |
| Viacom, Inc., Class B | | | 1,165 | | | | 48,313 | |
| Walt Disney Co. (The) | | | 462 | | | | 45,193 | |
| Total Media | | | | | | | 1,223,474 | |
| Mining — 0.0%** | |
| Alcoa, Inc. | | | 1,198 | | | | 11,105 | |
Miscellaneous Manufacturing — 1.6%
| |
| 3M Co. | | | 158 | | | | 27,669 | |
| Dover Corp. | | | 1,064 | | | | 73,757 | |
| Eaton Corp. PLC | | | 1,327 | | | | 79,262 | |
| General Electric Co. | | | 1,378 | | | | 43,379 | |
| Illinois Tool Works, Inc. | | | 221 | | | | 23,019 | |
| Ingersoll-Rand PLC | | | 909 | | | | 57,885 | |
| Parker-Hannifin Corp. | | | 337 | | | | 36,413 | |
| Pentair PLC (United Kingdom) | | | 1,193 | | | | 69,540 | |
| Textron, Inc. | | | 970 | | | | 35,463 | |
| Total Miscellaneous Manufacturing | | | | | | | 446,387 | |
Office/Business Equipment — 1.0%
| |
| Pitney Bowes, Inc. | | | 8,335 | | | | 148,363 | |
| Xerox Corp. | | | 14,461 | | | | 137,235 | |
| Total Office/Business Equipment | | | | | | | 285,598 | |
Oil & Gas — 2.0%
| |
| Chevron Corp. | | | 1,281 | | | | 134,287 | |
| Exxon Mobil Corp. | | | 128 | | | | 11,999 | |
| Newfield Exploration Co.* | | | 337 | | | | 14,889 | |
| Phillips 66(a) | | | 1,086 | | | | 86,163 | |
| Tesoro Corp. | | | 2,157 | | | | 161,602 | |
| Valero Energy Corp. | | | 2,813 | | | | 143,463 | |
| Total Oil & Gas | | | | | | | 552,403 | |
| Oil & Gas Services — 0.0%** | | | | |
| Schlumberger Ltd. | | | 160 | | | | 12,653 | |
| | | | |
| Investments | | Shares | | Value |
COMMON STOCKS (continued)
| |
Packaging & Containers — 1.0%
| |
| Ball Corp.(a) | | | 811 | | | $ | 58,627 | |
| Owens-Illinois, Inc.* | | | 7,997 | | | | 144,026 | |
| Sealed Air Corp. | | | 801 | | | | 36,822 | |
| WestRock Co. | | | 1,266 | | | | 49,210 | |
| Total Packaging & Containers | | | | | | | 288,685 | |
Pharmaceuticals — 5.7%
| |
| AbbVie, Inc. | | | 2,070 | | | | 128,154 | |
| Allergan PLC* | | | 568 | | | | 131,259 | |
| AmerisourceBergen Corp. | | | 1,514 | | | | 120,090 | |
| Bristol-Myers Squibb Co. | | | 1,031 | | | | 75,830 | |
| Cardinal Health, Inc. | | | 985 | | | | 76,840 | |
| Eli Lilly & Co. | | | 860 | | | | 67,725 | |
| Endo International PLC* | | | 9,886 | | | | 154,123 | |
| Express Scripts Holding Co.* | | | 1,715 | | | | 129,997 | |
| Johnson & Johnson | | | 160 | | | | 19,408 | |
| Mallinckrodt PLC* | | | 2,479 | | | | 150,674 | |
| McKesson Corp. | | | 472 | | | | 88,099 | |
| Mead Johnson Nutrition Co. | | | 263 | | | | 23,867 | |
| Merck & Co., Inc. | | | 600 | | | | 34,566 | |
| Mylan NV* | | | 3,958 | | | | 171,144 | |
| Perrigo Co. PLC | | | 1,308 | | | | 118,596 | |
| Pfizer, Inc. | | | 914 | | | | 32,182 | |
| Shire PLC(d) | | | 80 | | | | 14,726 | |
| Zoetis, Inc. | | | 706 | | | | 33,507 | |
| Total Pharmaceuticals | | | | | | | 1,570,787 | |
Pipelines — 0.1%
| |
| ONEOK, Inc. | | | 283 | | | | 13,428 | |
| Spectra Energy Corp. | | | 424 | | | | 15,531 | |
| Total Pipelines | | | | | | | 28,959 | |
Real Estate — 0.3%
| |
| CBRE Group, Inc., Class A* | | | 3,395 | | | | 89,900 | |
Real Estate Investment Trust — 0.8%
| |
| American Tower Corp. | | | 169 | | | | 19,200 | |
| Apartment Investment & Management Co., Class A | | | 212 | | | | 9,362 | |
| AvalonBay Communities, Inc. | | | 57 | | | | 10,282 | |
| Boston Properties, Inc. | | | 77 | | | | 10,156 | |
| Crown Castle International Corp. | | | 133 | | | | 13,490 | |
| Equinix, Inc.(a) | | | 37 | | | | 14,346 | |
| Equity Residential | | | 146 | | | | 10,056 | |
| Essex Property Trust, Inc. | | | 41 | | | | 9,352 | |
| Extra Space Storage, Inc. | | | 129 | | | | 11,938 | |
| Federal Realty Investment Trust | | | 58 | | | | 9,602 | |
| General Growth Properties, Inc. | | | 335 | | | | 9,990 | |
| HCP, Inc.(a) | | | 283 | | | | 10,012 | |
| Host Hotels & Resorts, Inc. | | | 842 | | | | 13,649 | |
| Iron Mountain, Inc. | | | 385 | | | | 15,334 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES MADRONA DOMESTIC ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Shares | | Value |
COMMON STOCKS (continued)
| |
Real Estate Investment Trust (continued)
| |
| Public Storage | | | 40 | | | $ | 10,224 | |
| Simon Property Group, Inc. | | | 60 | | | | 13,014 | |
| Welltower, Inc.(a) | | | 127 | | | | 9,674 | |
| Weyerhaeuser Co. | | | 357 | | | | 10,628 | |
| Total Real Estate Investment Trust | | | | | | | 210,309 | |
Retail — 8.8%
| |
| Advance Auto Parts, Inc. | | | 461 | | | | 74,511 | |
| AutoNation, Inc.*(a) | | | 2,903 | | | | 136,383 | |
| AutoZone, Inc.* | | | 94 | | | | 74,621 | |
| Bed Bath & Beyond, Inc. | | | 1,903 | | | | 82,248 | |
| Best Buy Co., Inc. | | | 4,126 | | | | 126,256 | |
| CarMax, Inc.*(a) | | | 2,333 | | | | 114,387 | |
| Chipotle Mexican Grill, Inc.*(a) | | | 35 | | | | 14,097 | |
| Coach, Inc. | | | 819 | | | | 33,366 | |
| Costco Wholesale Corp. | | | 140 | | | | 21,986 | |
| CVS Health Corp. | | | 692 | | | | 66,252 | |
| Darden Restaurants, Inc. | | | 1,385 | | | | 87,726 | |
| Dollar General Corp. | | | 942 | | | | 88,548 | |
| Dollar Tree, Inc.* | | | 1,039 | | | | 97,915 | |
| Foot Locker, Inc. | | | 1,411 | | | | 77,407 | |
| Gap, Inc. (The) | | | 4,460 | | | | 94,641 | |
| Genuine Parts Co. | | | 141 | | | | 14,276 | |
| Home Depot, Inc. (The) | | | 376 | | | | 48,011 | |
| Kohl’s Corp. | | | 2,187 | | | | 82,931 | |
| L Brands, Inc. | | | 556 | | | | 37,324 | |
| Lowe’s Cos., Inc. | | | 1,222 | | | | 96,746 | |
| Macy’s, Inc. | | | 2,640 | | | | 88,730 | |
| McDonald’s Corp. | | | 184 | | | | 22,143 | |
| Nordstrom, Inc.(a) | | | 1,327 | | | | 50,492 | |
| O’Reilly Automotive, Inc.* | | | 218 | | | | 59,100 | |
| PVH Corp. | | | 901 | | | | 84,901 | |
| Ross Stores, Inc. | | | 784 | | | | 44,445 | |
| Signet Jewelers Ltd. | | | 1,264 | | | | 104,166 | |
| Staples, Inc. | | | 913 | | | | 7,870 | |
| Starbucks Corp. | | | 1,174 | | | | 67,059 | |
| Target Corp. | | | 787 | | | | 54,948 | |
| Tiffany & Co.(a) | | | 493 | | | | 29,896 | |
| TJX Cos., Inc. (The) | | | 347 | | | | 26,799 | |
| Tractor Supply Co. | | | 470 | | | | 42,855 | |
| Ulta Salon, Cosmetics & Fragrance, Inc.* | | | 184 | | | | 44,830 | |
| Urban Outfitters, Inc.* | | | 4,087 | | | | 112,392 | |
| Walgreens Boots Alliance, Inc. | | | 886 | | | | 73,777 | |
| Wal-Mart Stores, Inc. | | | 176 | | | | 12,852 | |
| Yum! Brands, Inc. | | | 388 | | | | 32,173 | |
| Total Retail | | | | | | | 2,429,060 | |
| | | | |
| Investments | | Shares | | Value |
COMMON STOCKS (continued)
| |
Semiconductors — 5.1%
| |
| Analog Devices, Inc. | | | 621 | | | $ | 35,173 | |
| Applied Materials, Inc. | | | 6,629 | | | | 158,897 | |
| Broadcom Ltd. (Singapore) | | | 1,010 | | | | 156,954 | |
| Intel Corp. | | | 1,462 | | | | 47,954 | |
| KLA-Tencor Corp.(a) | | | 2,171 | | | | 159,026 | |
| Lam Research Corp.(a) | | | 2,052 | | | | 172,491 | |
| Linear Technology Corp. | | | 834 | | | | 38,806 | |
| Microchip Technology, Inc.(a) | | | 863 | | | | 43,806 | |
| NVIDIA Corp. | | | 1,035 | | | | 48,655 | |
| Qorvo, Inc.* | | | 3,457 | | | | 191,034 | |
| QUALCOMM, Inc. | | | 2,531 | | | | 135,586 | |
| Skyworks Solutions, Inc. | | | 2,464 | | | | 155,922 | |
| Texas Instruments, Inc. | | | 630 | | | | 39,469 | |
| Xilinx, Inc. | | | 645 | | | | 29,754 | |
| Total Semiconductors | | | | | | | 1,413,527 | |
Software — 3.4%
| |
| Activision Blizzard, Inc. | | | 2,958 | | | | 117,225 | |
| Adobe Systems, Inc.* | | | 696 | | | | 66,670 | |
| Akamai Technologies, Inc.* | | | 1,934 | | | | 108,169 | |
| CA, Inc. | | | 3,141 | | | | 103,119 | |
| Cerner Corp.* | | | 1,163 | | | | 68,152 | |
| Citrix Systems, Inc.* | | | 1,473 | | | | 117,973 | |
| Dun & Bradstreet Corp. (The) | | | 191 | | | | 23,271 | |
| Electronic Arts, Inc.* | | | 634 | | | | 48,032 | |
| Fidelity National Information Services, Inc. | | | 684 | | | | 50,397 | |
| Fiserv, Inc.* | | | 308 | | | | 33,489 | |
| Intuit, Inc. | | | 529 | | | | 59,042 | |
| Microsoft Corp. | | | 644 | | | | 32,953 | |
| Oracle Corp. | | | 840 | | | | 34,381 | |
| Paychex, Inc. | | | 434 | | | | 25,823 | |
| Red Hat, Inc.* | | | 402 | | | | 29,185 | |
| salesforce.com, Inc.* | | | 260 | | | | 20,647 | |
| Total Software | | | | | | | 938,528 | |
Telecommunications — 1.0%
| |
| AT&T, Inc. | | | 544 | | | | 23,506 | |
| Cisco Systems, Inc. | | | 1,879 | | | | 53,908 | |
| Juniper Networks, Inc. | | | 5,743 | | | | 129,160 | |
| Level 3 Communications, Inc.* | | | 334 | | | | 17,198 | |
| Motorola Solutions, Inc. | | | 416 | | | | 27,444 | |
| Verizon Communications, Inc. | | | 364 | | | | 20,326 | |
| Total Telecommunications | | | | | | | 271,542 | |
Textiles — 0.5%
| |
| Mohawk Industries, Inc.* | | | 657 | | | | 124,672 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES MADRONA DOMESTIC ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Shares/
Principal | | Value |
COMMON STOCKS (continued)
| |
Toys/Games/Hobbies — 0.3%
| |
| Hasbro, Inc. | | | 412 | | | $ | 34,604 | |
| Mattel, Inc.(a) | | | 1,982 | | | | 62,017 | |
| Total Toys/Games/Hobbies | | | | | | | 96,621 | |
Transportation — 2.0%
| |
| C.H. Robinson Worldwide, Inc. | | | 390 | | | | 28,958 | |
| CSX Corp. | | | 926 | | | | 24,150 | |
| Expeditors International of Washington, Inc. | | | 470 | | | | 23,049 | |
| FedEx Corp. | | | 762 | | | | 115,656 | |
| JB Hunt Transport Services, Inc. | | | 915 | | | | 74,051 | |
| Kansas City Southern | | | 302 | | | | 27,207 | |
| Norfolk Southern Corp. | | | 547 | | | | 46,566 | |
| Ryder System, Inc. | | | 1,685 | | | | 103,021 | |
| Union Pacific Corp. | | | 633 | | | | 55,229 | |
| United Parcel Service, Inc., Class B | | | 406 | | | | 43,734 | |
| Total Transportation | | | | | | | 541,621 | |
Water — 0.1%
| |
| American Water Works Co., Inc. | | | 234 | | | | 19,775 | |
Total Common Stocks
(Cost $26,254,105) | | | | | | | 26,775,166 | |
MONEY MARKET FUND — 2.6%
| |
Fidelity Institutional Prime Money Market Portfolio – Class I, 0.44%(e)
(Cost $702,577) | | | 702,577 | | | | 702,577 | |
REPURCHASE AGREEMENTS — 4.2%(f)
| |
| Citibank NA, dated 06/30/16, due 07/01/16, 0.44%, total to be received $113,450, (collateralized by various U.S. Government Agency Obligations, 1.38% – 9.00%, 10/20/18 – 01/20/46, totaling $115,172) | | $ | 113,449 | | | | 113,449 | |
| Citigroup Global Markets, Inc., dated 06/30/16, due 07/01/16, 0.44%, total to be received $170,176, (collateralized by various U.S. Government Agency Obligations, 0.50% – 7.50%, 04/30/17 – 03/15/57, totaling $173,160) | | | 170,174 | | | | 170,174 | |
| Daiwa Capital Markets America, dated 06/30/16, due 07/01/16, 0.50%, total to be received $264,058, (collateralized by various U.S. Government Agency Obligations, 0.00% – 9.00%, 07/07/16 – 02/01/49, totaling $268,495) | | | 264,054 | | | | 264,054 | |
| | | | |
| Investments | |
Principal | | Value |
REPURCHASE AGREEMENTS (continued)
| | | | |
| Merrill Lynch Pierce Fenner & Smith, Inc., dated 06/30/16, due 07/01/16, 0.44%, total to be received $264,057, (collateralized by various U.S. Government Agency Obligations, 4.00%, 03/20/46 – 05/20/46, totaling $268,529) | | $ | 264,054 | | | $ | 264,054 | |
| Mizuho Securities USA, Inc., dated 06/30/16, due 07/01/16, 0.45%, total to be received $58,704, (collateralized by various U.S. Government Agency Obligations, 1.00% – 8.00%, 06/01/22 – 11/20/45, totaling $59,719) | | | 58,703 | | | | 58,703 | |
| Nomura Securities International, Inc., dated 06/30/16, due 07/01/16, 0.42%, total to be received $264,057, (collateralized by various U.S. Government Agency Obligations, 0.00% – 8.00%, 12/01/16 – 02/20/66, totaling $268,554) | | | 264,054 | | | | 264,054 | |
| Total Repurchase Agreements (Cost $1,134,488) | | | | | | | 1,134,488 | |
| Total Investments – 104.3% (Cost $28,091,170) | | | | | | | 28,612,231 | |
| Liabilities in Excess of Other Assets – (4.3)% | | | | | | | (1,166,931 | ) |
Net Assets — 100.0%
| | | | | | $ | 27,445,300 | |
CVR — Contingent Value Rights
PLC — Public Limited Company
| * | Non-income producing security. |
| (a) | All or a portion of security is on loan. The aggregate market value of the securities on loan is $1,532,371; the aggregate market value of the collateral held by the fund is $1,568,939. The aggregate market value of the collateral includes non-cash U.S. Treasury securities collateral having a value of $434,451. |
| (b) | Security has been deemed illiquid. At June 30, 2016, the value of these securities was $476, or less than 0.05% of Net Assets. |
| (c) | Security fair valued as determined in good faith in accordance with the procedures established by the Board of Trustees. |
| (d) | American Depositary Receipt. |
| (e) | Rate shown reflects the 7-day yield as of June 30, 2016. |
| (f) | Collateral received from brokers for securities lending was invested in these short-term investments. |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES MADRONA DOMESTIC ETF
Schedule of Investments (continued)
June 30, 2016
SUMMARY OF SCHEDULE OF INVESTMENTS
| | |
| | % of
Net Assets |
| Advertising | | | 0.4 | % |
| Aerospace/Defense | | | 1.2 | |
| Agriculture | | | 0.6 | |
| Airlines | | | 1.0 | |
| Apparel | | | 1.6 | |
| Auto Manufacturers | | | 1.4 | |
| Auto Parts & Equipment | | | 1.5 | |
| Banks | | | 3.6 | |
| Beverages | | | 0.7 | |
| Biotechnology | | | 2.0 | |
| Building Materials | | | 1.1 | |
| Chemicals | | | 2.4 | |
| Commercial Services | | | 3.3 | |
| Computers | | | 3.3 | |
| Cosmetics/Personal Care | | | 0.2 | |
| Distribution/Wholesale | | | 0.2 | |
| Diversified Financial Services | | | 5.6 | |
| Electric | | | 1.7 | |
| Electrical Components & Equipment | | | 0.5 | |
| Electronics | | | 2.0 | |
| Engineering & Construction | | | 0.8 | |
| Environmental Control | | | 0.5 | |
| Food | | | 1.7 | |
| Forest Products & Paper | | | 0.2 | |
| Gas | | | 0.2 | |
| Hand/Machine Tools | | | 0.4 | |
| Healthcare – Products | | | 2.6 | |
| Healthcare – Services | | | 3.2 | |
| Home Builders | | | 1.4 | |
| Home Furnishings | | | 1.2 | |
| Household Products/Wares | | | 0.3 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES MADRONA GLOBAL BOND ETF
Schedule of Investments
June 30, 2016
| | | | |
| Investments | | Shares
| | Value |
EXCHANGE TRADED FUNDS — 99.3%
| |
Asset Allocation Fund — 7.0%
| |
| SPDR Barclays Convertible Securities ETF | | | 32,382 | | | $ | 1,419,627 | |
Debt Fund — 92.3%
| |
| AdvisorShares Peritus High Yield ETF† | | | 48,200 | | | | 1,631,570 | |
| iShares iBoxx $ Investment Grade Corporate Bond ETF | | | 20,143 | | | | 2,472,150 | |
| iShares International Treasury Bond ETF | | | 4,126 | | | | 410,826 | |
| PIMCO 1 – 5 Year U.S. TIPS Index ETF | | | 15,298 | | | | 808,346 | |
| PowerShares Emerging Markets Sovereign Debt Portfolio | | | 42,305 | | | | 1,251,382 | |
| PowerShares Financial Preferred Portfolio(a) | | | 100,280 | | | | 1,924,373 | |
| PowerShares Fundamental Investment Grade Corporate Bond Portfolio | | | 31,043 | | | | 807,429 | |
| PowerShares International Corporate Bond Portfolio | | | 38,122 | | | | 985,831 | |
| PowerShares National AMT-Free Municipal Bond Portfolio(a) | | | 23,005 | | | | 610,553 | |
| PowerShares Senior Loan Portfolio | | | 69,520 | | | | 1,596,874 | |
| SPDR Barclays High Yield Bond ETF(a) | | | 17,110 | | | | 610,827 | |
| SPDR Citi International Government Inflation-Protected Bond ETF | | | 14,982 | | | | 822,662 | |
| SPDR Nuveen S&P High Yield Municipal Bond ETF | | | 15,341 | | | | 917,392 | |
| Vanguard Intermediate-Term Government Bond ETF | | | 9,100 | | | | 611,338 | |
| Vanguard Long-Term Government Bond ETF | | | 7,472 | | | | 636,091 | |
| Vanguard Mortgage-Backed Securities ETF | | | 37,345 | | | | 2,011,028 | |
| WisdomTree Emerging Markets Corporate Bond Fund(a) | | | 11,684 | | | | 806,313 | |
| Total Debt Fund | | | | | | | 18,914,985 | |
| Total Exchange Traded Funds (Cost $20,151,220) | | | | | | | 20,334,612 | |
MONEY MARKET FUND — 0.9%
| |
| Fidelity Institutional Prime Money Market Portfolio – Class I, 0.44%(b) (Cost $188,169) | | | 188,169 | | | | 188,169 | |
| | | | |
| Investments | | Principal | | Value |
REPURCHASE AGREEMENTS — 6.0%(c)
| |
BNP Paribas Securities Corp., dated 06/30/16, due
07/01/16, 0.40%, total to be received $285,580, (collateralized by various U.S. Government Agency Obligations, 0.00% – 8.75%, 11/01/16 – 06/01/46, totaling $290,839) | | $ | 285,577 | | | $ | 285,577 | |
Citigroup Global Markets, Inc., dated 06/30/16, due
07/01/16, 0.44%, total to be received $184,047, (collateralized by various U.S. Government Agency Obligations, 0.50% – 7.50%, 04/30/17 – 03/15/57, totaling $187,274) | | | 184,045 | | | | 184,045 | |
| HSBC Securities USA, Inc., dated 06/30/16, due 07/01/16, 0.40%, total to be received $186,184, (collateralized by various U.S. Government Agency Obligations, 3.00% – 8.00%, 08/01/22 – 06/01/46, totaling $189,378) | | | 186,182 | | | | 186,182 | |
| Merrill Lynch Pierce Fenner & Smith, Inc., dated 06/30/16, due 07/01/16, 0.44%, total to be received $285,580, (collateralized by various U.S. Government Agency Obligations, 4.00%, 03/20/46 – 05/20/46, totaling $290,416) | | | 285,577 | | | | 285,577 | |
Nomura Securities International, Inc., dated 06/30/16, due
07/01/16, 0.42%, total to be received $285,580, (collateralized by various U.S. Government Agency Obligations, 0.00% – 8.00%, 12/01/16 – 02/20/66, totaling $290,444) | | | 285,577 | | | | 285,577 | |
| Total Repurchase Agreements (Cost $1,226,958) | | | | | | | 1,226,958 | |
Total Investments — 106.2%
(Cost $21,566,347) | | | | | | | 21,749,739 | |
| Liabilities in Excess of Other Assets — (6.2)% | | | | | | | (1,262,107 | ) |
| Net Assets — 100.0% | | | | | | $ | 20,487,632 | |
ETF — Exchange Traded Fund
TIPS — Treasury Inflation Protected Securities
| (a) | All or a portion of security is on loan. The aggregate market value of the securities on loan is $1,179,476; the aggregate market value of the collateral held by the fund is $1,226,958. |
| (b) | Rate shown reflects the 7-day yield as of June 30, 2016. |
| (c) | Collateral received from brokers for securities lending was invested in these short-term investments. |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES MADRONA GLOBAL BOND ETF
Schedule of Investments (continued)
June 30, 2016
SUMMARY OF SCHEDULE OF INVESTMENTS
| | |
| | % of
Net Assets |
| Asset Allocation Fund | | | 7.0 | % |
| Debt Fund | | | 92.3 | |
| Money Market Fund | | | 0.9 | |
| Repurchase Agreements | | | 6.0 | |
| Total Investments | | | 106.2 | |
| Liabilities in Excess of Other Assets | | | (6.2 | ) |
| Net Assets | | | 100.0 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES MADRONA INTERNATIONAL ETF
Schedule of Investments
June 30, 2016
| | | | |
| Investments | | Shares | | Value |
| COMMON STOCKS — 94.1% | |
| ARGENTINA — 4.1% | |
| BBVA Banco Frances SA(a)(b) | | | 12,083 | | | $ | 249,272 | |
| Telecom Argentina SA(a)(b) | | | 9,378 | | | | 171,899 | |
| YPF SA(b) | | | 9,587 | | | | 184,070 | |
| Total Argentina | | | | | | | 605,241 | |
| BRAZIL — 6.0% | |
| Banco Bradesco SA(b) | | | 8,296 | | | | 64,792 | |
| Banco do Brasil SA(a)(b) | | | 37,840 | | | | 200,173 | |
| BRF SA(b) | | | 7,030 | | | | 97,928 | |
| Cia Brasileira de Distribuicao Grupo Pao de Acucar(a)(b) | | | 15,338 | | | | 223,168 | |
| Cia Paranaense de Energia(a)(b) | | | 22,764 | | | | 204,421 | |
| CPFL Energia SA(a)(b) | | | 7,008 | | | | 90,123 | |
| Total Brazil | | | | | | | 880,605 | |
| CANADA — 5.2% | |
| Agrium, Inc.(a) | | | 1,773 | | | | 160,315 | |
| Bank of Nova Scotia(a) | | | 878 | | | | 43,031 | |
| Canadian Pacific Railway Ltd. | | | 736 | | | | 94,789 | |
| CGI Group, Inc., Class A* | | | 1,254 | | | | 53,558 | |
| Gildan Activewear, Inc. | | | 2,968 | | | | 87,051 | |
| Magna International, Inc. | | | 3,207 | | | | 112,470 | |
| Manulife Financial Corp.(a) | | | 5,105 | | | | 69,785 | |
| Silver Wheaton Corp. | | | 5,881 | | | | 138,380 | |
| Total Canada | | | | | | | 759,379 | |
| CHILE — 0.5% | |
| Banco Santander Chile(b) | | | 1,801 | | | | 34,885 | |
| Cencosud SA(a)(b) | | | 3,667 | | | | 32,820 | |
| Total Chile | | | | | | | 67,705 | |
| CHINA — 9.7% | |
| Alibaba Group Holding Ltd.*(a)(b) | | | 1,154 | | | | 91,778 | |
| Baidu, Inc.*(b) | | | 523 | | | | 86,373 | |
| BYD Co. Ltd.*(a)(b) | | | 10,139 | | | | 121,465 | |
| China Construction Bank Corp.(a)(b) | | | 3,317 | | | | 43,685 | |
| China Life Insurance Co., Ltd.(a)(b) | | | 11,218 | | | | 120,706 | |
| China Mengniu Dairy Co. Ltd.(b) | | | 7,668 | | | | 133,538 | |
| China Southern Airlines Co. Ltd.(a)(b) | | | 3,960 | | | | 112,820 | |
| NetEase, Inc.(b) | | | 1,176 | | | | 227,227 | |
| Qihoo 360 Technology Co., Ltd.*(a)(b) | | | 3,112 | | | | 227,332 | |
| Tencent Holdings Ltd.(b) | | | 3,373 | | | | 77,478 | |
| Vipshop Holdings Ltd.*(a)(b) | | | 16,415 | | | | 183,355 | |
| Total China | | | | | | | 1,425,757 | |
| | | | |
| Investments | | Shares | | Value |
| COMMON STOCKS (continued) | |
| FRANCE — 7.5% | |
| Airbus Group SE(b) | | | 24,755 | | | $ | 356,967 | |
| BNP Paribas SA(b) | | | 11,019 | | | | 248,809 | |
| Cie de Saint-Gobain(b) | | | 39,637 | | | | 302,034 | |
| Orange SA(b) | | | 11,643 | | | | 191,178 | |
| Total France | | | | | | | 1,098,988 | |
| GERMANY — 6.0% | |
| Commerzbank AG(b) | | | 75,997 | | | | 500,060 | |
| Continental AG(b) | | | 2,300 | | | | 87,400 | |
| Deutsche Telekom AG(b) | | | 17,595 | | | | 298,763 | |
| Total Germany | | | | | | | 886,223 | |
| HONG KONG — 3.6% | |
| BOC Hong Kong Holdings Ltd.(a)(b) | | | 8,737 | | | | 524,919 | |
| INDIA — 2.5% | |
| HDFC Bank Ltd.(b) | | | 1,673 | | | | 111,004 | |
| ICICI Bank Ltd.(b) | | | 23,124 | | | | 166,030 | |
| Infosys Ltd.(a)(b) | | | 2,701 | | | | 48,213 | |
| Wipro Ltd.(b) | | | 3,758 | | | | 46,449 | |
| Total India | | | | | | | 371,696 | |
| INDONESIA — 1.2% | |
| PT Bank Mandiri Persero Tbk(b) | | | 23,777 | | | | 169,292 | |
| IRELAND — 6.6% | |
| CRH PLC(b) | | | 15,467 | | | | 457,514 | |
| Ryanair Holdings PLC(b) | | | 7,305 | | | | 507,990 | |
| Total Ireland | | | | | | | 965,504 | |
| ITALY — 3.1% | |
| Intesa Sanpaolo SpA(a)(b) | | | 38,926 | | | | 456,602 | |
| JAPAN — 2.0% | |
| Nippon Telegraph & Telephone Corp.(b) | | | 3,358 | | | | 158,095 | |
| Toyota Motor Corp.(b) | | | 1,377 | | | | 137,686 | |
| Total Japan | | | | | | | 295,781 | |
| LUXEMBOURG — 0.8% | |
| Oriflame Cosmetics SA*(b) | | | 11,792 | | | | 119,335 | |
| MEXICO — 1.9% | |
| America Movil SAB de CV, Class L(b) | | | 16,720 | | | | 204,987 | |
| Grupo Televisa SAB(b) | | | 2,748 | | | | 71,558 | |
| Total Mexico | | | | | | | 276,545 | |
| NETHERLANDS — 6.2% | |
| Aegon NV(c) | | | 86,850 | | | | 348,269 | |
| Koninklijke Philips NV(a)(c) | | | 22,296 | | | | 556,062 | |
| Total Netherlands | | | | | | | 904,331 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES MADRONA INTERNATIONAL ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Shares | | Value |
| COMMON STOCKS (continued) | |
| RUSSIA — 3.0% | |
| Gazprom PAO(b) | | | 46,385 | | | $ | 200,847 | |
| Sberbank of Russia PJSC(b) | | | 27,434 | | | | 239,499 | |
| Total Russia | | | | | | | 440,346 | |
| SINGAPORE — 1.6% | |
| Keppel Corp. Ltd.(a)(b) | | | 29,377 | | | | 239,716 | |
| SOUTH AFRICA — 3.1% | |
| Bidvest Group Ltd.(b) | | | 1,210 | | | | 64,239 | |
| Gold Fields Ltd.(b) | | | 39,894 | | | | 195,481 | |
| Sibanye Gold Ltd.(b) | | | 14,520 | | | | 197,762 | |
| Total South Africa | | | | | | | 457,482 | |
| SOUTH KOREA — 1.5% | |
| Korea Electric Power Corp.(b) | | | 8,346 | | | | 216,412 | |
| SPAIN — 3.0% | |
| Banco Bilbao Vizcaya Argentaria SA(b) | | | 76,478 | | | | 438,984 | |
| SWITZERLAND — 5.8% | |
| Credit Suisse Group AG(a)(b) | | | 31,387 | | | | 335,841 | |
| STMicroelectronics NV(c) | | | 87,874 | | | | 517,578 | |
| Total Switzerland | | | | | | | 853,419 | |
| TAIWAN — 1.9% | |
| Advanced Semiconductor Engineering, Inc.(b) | | | 29,030 | | | | 161,987 | |
| Taiwan Semiconductor Manufacturing Co., Ltd.(b) | | | 4,391 | | | | 115,176 | |
| Total Taiwan | | | | | | | 277,163 | |
| UNITED KINGDOM — 3.3% | |
| Barclays PLC(a)(b) | | | 41,809 | | | | 317,748 | |
| Prudential PLC(a)(b) | | | 4,845 | | | | 164,779 | |
| Total United Kingdom | | | | | | | 482,527 | |
| UNITED STATES — 4.0% | |
| Carnival PLC(b) | | | 4,957 | | | | 222,024 | |
| Shire PLC(a)(b) | | | 1,341 | | | | 246,851 | |
| Valeant Pharmaceuticals International, Inc.*(a) | | | 5,644 | | | | 113,670 | |
| Total United States | | | | | | | 582,545 | |
Total Common Stocks
(Cost $14,717,371) | | | | | | | 13,796,497 | |
| MONEY MARKET FUND — 5.8% | |
Fidelity Institutional Prime Money Market Portfolio – Class I, 0.44%(d)
(Cost $850,254) | | | 850,254 | | | | 850,254 | |
| | | | |
| Investments | | Principal | | Value |
REPURCHASE AGREEMENTS — 18.4%(e)
| |
| Citibank NA, dated 06/30/16, due 07/01/16, 0.44%, total to be received $270,377, (collateralized by various U.S. Government Agency Obligations, 1.38% – 9.00%, 10/20/18 – 01/20/46, totaling $274,481) | | $ | 270,374 | | | $ | 270,374 | |
Citigroup Global Markets, Inc., dated 06/30/16, due
07/01/16, 0.44%, total to be received $405,567, (collateralized by various U.S. Government Agency Obligations, 0.50% – 7.50%, 04/30/17 – 03/15/57, totaling $412,678) | | | 405,562 | | | | 405,562 | |
Daiwa Capital Markets America, dated 06/30/16, due
07/01/16, 0.50%, total to be received $629,306, (collateralized by various U.S. Government Agency Obligations, 0.00% – 9.00%, 07/07/16 – 02/01/49, totaling $639,881) | | | 629,297 | | | | 629,297 | |
Merrill Lynch Pierce Fenner & Smith, Inc., dated 06/30/16, due 07/01/16, 0.44%, total to be received $629,305, (collateralized by various U.S. Government Agency Obligations, 4.00%,
03/20/46 – 05/20/46, totaling $639,961) | | | 629,297 | | | | 629,297 | |
Mizuho Securities USA, Inc., dated 06/30/16, due
07/01/16, 0.45%, total to be received $139,889, (collateralized by various U.S. Government Agency Obligations, 1.00% – 8.00%, 06/01/22 – 11/20/45, totaling $142,308) | | | 139,887 | | | | 139,887 | |
Nomura Securities International, Inc., dated 06/30/16, due
07/01/16, 0.42%, total to be received $629,304, (collateralized by various U.S. Government Agency Obligations, 0.00% – 8.00%, 12/01/16 – 02/20/66, totaling $640,023) | | | 629,297 | | | | 629,297 | |
Total Repurchase Agreements
(Cost $2,703,714) | | | | | | | 2,703,714 | |
Total Investments — 118.3%
(Cost $18,271,339) | | | | | | | 17,350,465 | |
| Liabilities in Excess of Other Assets — (18.3)% | | | | | | | (2,688,098 | ) |
| Net Assets — 100.0% | | | | | | $ | 14,662,367 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES MADRONA INTERNATIONAL ETF
Schedule of Investments (continued)
June 30, 2016
PLC — Public Limited Company
| * | Non-income producing security. |
| (a) | All or a portion of security is on loan. The aggregate market value of the securities on loan is $2,637,176; the aggregate market value of the collateral held by the fund is $2,737,248. The aggregate market value of the collateral includes non-cash U.S. Treasury securities collateral having a value of $33,534. |
| (b) | American Depositary Receipt. |
| (d) | Rate shown reflects the 7-day yield as of June 30, 2016. |
| (e) | Collateral received from brokers for securities lending was invested in these short-term investments. |
SUMMARY OF SCHEDULE OF INVESTMENTS
| | |
| | % of
Net Assets |
| Aerospace/Defense | | | 2.4 | % |
| Airlines | | | 4.2 | |
| Apparel | | | 0.6 | |
| Auto Manufacturers | | | 1.8 | |
| Auto Parts & Equipment | | | 1.4 | |
| Banks | | | 28.3 | |
| Building Materials | | | 5.2 | |
| Chemicals | | | 1.1 | |
| Computers | | | 1.0 | |
| Cosmetics/Personal Care | | | 0.8 | |
| Electric | | | 3.5 | |
| Electronics | | | 3.8 | |
| Food | | | 3.8 | |
| Holding Companies – Diversified | | | 1.6 | |
| Insurance | | | 4.8 | |
| Internet | | | 4.5 | |
| Leisure Time | | | 1.5 | |
| Media | | | 0.5 | |
| Mining | | | 3.6 | |
| Oil & Gas | | | 2.6 | |
| Pharmaceuticals | | | 2.5 | |
| Semiconductors | | | 5.4 | |
| Software | | | 1.6 | |
| Telecommunications | | | 7.0 | |
| Transportation | | | 0.6 | |
| Money Market Fund | | | 5.8 | |
| Repurchase Agreements | | | 18.4 | |
| Total Investments | | | 118.3 | |
| Liabilities in Excess of Other Assets | | | (18.3 | ) |
| Net Assets | | | 100.0 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES MARKET ADAPTIVE UNCONSTRAINED INCOME ETF
(formerly AdvisorShares Sunrise Global Multi-Strategy ETF)
Schedule of Investments
June 30, 2016
| | | | |
| Investments | | Shares | | Value |
| EXCHANGE TRADED FUNDS — 96.2% | |
| Asset Allocation Fund — 30.5% | |
| SPDR Barclays Convertible Securities ETF | | | 8,115 | | | $ | 355,762 | |
| Debt Fund — 50.6% | |
| First Trust Senior Loan ETF | | | 2,428 | | | | 116,107 | |
| iShares JPMorgan USD Emerging Markets Bond ETF | | | 1,044 | | | | 120,216 | |
| SPDR Barclays High Yield Bond ETF | | | 9,957 | | | | 355,465 | |
| Total Debt Fund | | | | | | | 591,788 | |
| Equity Fund — 15.1% | |
| iShares Mortgage Real Estate Capped ETF | | | 17,183 | | | | 176,298 | |
| Total Exchange Traded Funds (Cost $1,103,075) | | | | | | | 1,123,848 | |
| MONEY MARKET FUND — 73.3% | |
Goldman Sachs Financial Square Funds – Treasury Instruments Fund, 0.19%(a)
(Cost $856,547) | | | 856,547 | | | | 856,547 | |
Total Investments — 169.5%
(Cost $1,959,622) | | | | | | | 1,980,395 | |
| Liabilities in Excess of Other Assets — (69.5)% | | | | | | | (811,834 | ) |
| Net Assets — 100.0% | | | | | | $ | 1,168,561 | |
ETF — Exchange Traded Fund
| (a) | Rate shown reflects the 7-day yield as of June 30, 2016. |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES MEIDELL TACTICAL ADVANTAGE ETF
Schedule of Investments
June 30, 2016
| | | | |
| Investments | | Shares/
Principal | | Value |
| EXCHANGE TRADED FUNDS — 96.9% | |
| Commodity Fund — 4.6% | |
| PowerShares DB Agriculture Fund* | | | 39,532 | | | $ | 872,471 | |
| Equity Fund — 92.3% | |
| iShares Core S&P Mid-Cap ETF | | | 24,135 | | | | 3,605,528 | |
| iShares MSCI Emerging Markets ETF | | | 52,056 | | | | 1,788,644 | |
| iShares NASDAQ Biotechnology ETF | | | 1,464 | | | | 376,746 | |
| iShares S&P Mid-Cap 400 Value ETF(a) | | | 14,120 | | | | 1,808,066 | |
| iShares S&P Small-Cap 600 Value ETF(a) | | | 15,478 | | | | 1,808,295 | |
| PowerShares QQQ Trust, Series 1 | | | 16,523 | | | | 1,776,884 | |
| SPDR S&P 500 ETF Trust | | | 6,291 | | | | 1,318,153 | |
| Vaneck Vectors Coal ETF | | | 40,955 | | | | 377,196 | |
| Vaneck Vectors Gold Miners ETF | | | 13,112 | | | | 363,202 | |
| Vaneck Vectors Steel ETF | | | 13,558 | | | | 374,336 | |
| Vanguard Small-Cap ETF | | | 31,196 | | | | 3,608,753 | |
| Total Equity Fund | | | | | | | 17,205,803 | |
Total Exchange Traded Funds
(Cost $17,645,805) | | | | | | | 18,078,274 | |
| MONEY MARKET FUND — 74.4% | |
Dreyfus Institutional Treasury and Agency Cash Advantage Fund, 0.30%(b)
(Cost $13,858,306) | | | 13,858,306 | | | | 13,858,306 | |
REPURCHASE AGREEMENTS — 2.2%(c)
| |
Daiwa Capital Markets America, dated 06/30/16, due
07/01/16, 0.50%, total to be received $250,003, (collateralized by various U.S. Government Agency Obligations, 0.00% – 9.00%, 07/07/16 – 02/01/49, totaling $254,205) | | $ | 250,000 | | | | 250,000 | |
Nomura Securities International, Inc., dated 06/30/16, due
07/01/16, 0.42%, total to be received $158,425, (collateralized by various U.S. Government Agency Obligations, 0.00% – 8.00%, 12/01/16 – 02/20/66, totaling $161,123) | | | 158,423 | | | | 158,423 | |
Total Repurchase Agreements
(Cost $408,423) | | | | | | | 408,423 | |
Total Investments — 173.5%
(Cost $31,912,534) | | | | | | | 32,345,003 | |
| Liabilities in Excess of Other Assets — (73.5)% | | | | | | | (13,705,750 | ) |
| Net Assets — 100.0% | | | | | | $ | 18,639,253 | |
ETF — Exchange Traded Fund
| * | Non-income producing security. |
| (a) | All or a portion of security is on loan. The aggregate market value of the securities on loan is $399,394; the aggregate market value of the collateral held by the fund is $408,423. |
| (b) | Rate shown reflects the 7-day yield as of June 30, 2016. |
| (c) | Collateral received from brokers for securities lending was invested in these short-term investments. |
SUMMARY OF SCHEDULE OF INVESTMENTS
| | |
| | % of
Net Assets |
| Commodity Fund | | | 4.6 | % |
| Equity Fund | | | 92.3 | |
| Money Market Fund | | | 74.4 | |
| Repurchase Agreements | | | 2.2 | |
| Total Investments | | | 173.5 | |
| Liabilities in Excess of Other Assets | | | (73.5 | ) |
| Net Assets | | | 100.0 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES MORGAN CREEK GLOBAL TACTICAL ETF
Schedule of Investments
June 30, 2016
| | | | |
| Investments | | Shares/
Principal | | Value |
| EXCHANGE TRADED FUNDS — 49.7% | |
| Commodity Fund — 3.0% | |
| SPDR Gold Shares* | | | 1,801 | | | $ | 227,863 | |
| Currency Fund — 4.3% | |
| PowerShares DB US Dollar Index Bullish Fund*(a) | | | 7,124 | | | | 176,960 | |
| ProShares UltraShort Euro*(a) | | | 6,150 | | | | 149,568 | |
| Total Currency Fund | | | | | | | 326,528 | |
| Debt Fund — 12.5% | |
| Direxion Daily 20 Year Plus Treasury Bull 3x Shares*(a) | | | 8,396 | | | | 955,213 | |
| Equity Fund — 29.9% | |
| Direxion Daily S&P 500 Bull 3X* | | | 5,596 | | | | 493,343 | |
| iShares Residential Real Estate Capped ETF | | | 3,050 | | | | 205,875 | |
| ProShares UltraPro QQQ* | | | 4,340 | | | | 418,029 | |
| ProShares UltraShort Financials* | | | 1,140 | | | | 50,924 | |
| Technology Select Sector SPDR Fund | | | 10,776 | | | | 467,247 | |
| Vanguard Global ex-U.S. Real Estate ETF(a) | | | 5,766 | | | | 311,710 | |
| WisdomTree India Earnings Fund | | | 1,869 | | | | 37,735 | |
| WisdomTree Japan Hedged Equity Fund(a) | | | 7,392 | | | | 286,662 | |
| Total Equity Fund | | | | | | | 2,271,525 | |
Total Exchange Traded Funds
(Cost $3,400,487) | | | | | | | 3,781,129 | |
| CLOSED-END FUND — 2.6% | |
| Country Fund — 2.6% | |
Morgan Stanley China A Share Fund, Inc.
(Cost $267,323) | | | 11,077 | | | | 197,835 | |
| MONEY MARKET FUND — 48.2% | |
Goldman Sachs Financial Square Fund, 0.19%(b)
(Cost $3,664,797) | | | 3,664,797 | | | | 3,664,797 | |
REPURCHASE AGREEMENTS — 19.6%(c)
| |
| Citibank NA, dated 06/30/16, due 07/01/16, 0.44%, total to be received $148,736, (collateralized by various U.S. Government Agency Obligations, 1.38% – 9.00%, 10/20/18 – 01/20/46, totaling $150,993) | | $ | 148,734 | | | | 148,734 | |
Citigroup Global Markets, Inc., dated 06/30/16, due
07/01/16, 0.44%, total to be received $223,104, (collateralized by various U.S. Government Agency Obligations, 0.50% – 7.50%, 04/30/17 – 03/15/57, totaling $227,015) | | | 223,101 | | | | 223,101 | |
| | | | |
| Investments | |
Principal | | Value |
| REPURCHASE AGREEMENTS (continued) | |
Daiwa Capital Markets America, dated 06/30/16, due
07/01/16, 0.50%, total to be received $346,184, (collateralized by various U.S. Government Agency Obligations, 0.00% – 9.00%, 07/07/16 – 02/01/49, totaling $352,001) | | $ | 346,179 | | | $ | 346,179 | |
Merrill Lynch Pierce Fenner & Smith, Inc., dated 06/30/16, due 07/01/16, 0.44%, total to be received $346,183, (collateralized by various U.S. Government Agency Obligations, 4.00%,
03/20/46 – 05/20/46, totaling $352,045) | | | 346,179 | | | | 346,179 | |
Mizuho Securities USA, Inc., dated 06/30/16, due
07/01/16, 0.45%, total to be received $76,953, (collateralized by various U.S. Government Agency Obligations, 1.00% – 8.00%, 06/01/22 – 11/20/45, totaling $78,284) | | | 76,952 | | | | 76,952 | |
Nomura Securities International, Inc., dated 06/30/16, due
07/01/16, 0.42%, total to be received $346,183, (collateralized by various U.S. Government Agency Obligations, 0.00% – 8.00%, 12/01/16 – 02/20/66, totaling $352,079) | | | 346,179 | | | | 346,179 | |
Total Repurchase Agreements
(Cost $1,487,324) | | | | | | | 1,487,324 | |
| Total Investments — 120.1% (Cost $8,819,931) | | | | | | | 9,131,085 | |
| Liabilities in Excess of Other Assets — (20.1)% | | | | | | | (1,529,470 | ) |
| Net Assets — 100.0% | | | | | | $ | 7,601,615 | |
ETF — Exchange Traded Fund
| * | Non-income producing security. |
| (a) | All or a portion of security is on loan. The aggregate market value of the securities on loan is $1,455,258; the aggregate market value of the collateral held by the fund is $1,487,324. |
| (b) | Rate shown reflects the 7-day yield as of June 30, 2016. |
| (c) | Collateral received from brokers for securities lending was invested in these short-term investments. |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES MORGAN CREEK GLOBAL TACTICAL ETF
Schedule of Investments (continued)
June 30, 2016
SUMMARY OF SCHEDULE OF INVESTMENTS
| | |
| | % of
Net Assets |
| Commodity Fund | | | 3.0 | % |
| Country Fund | | | 2.6 | |
| Currency Fund | | | 4.3 | |
| Debt Fund | | | 12.5 | |
| Equity Fund | | | 29.9 | |
| Money Market Fund | | | 48.2 | |
| Repurchase Agreements | | | 19.6 | |
| Total Investments | | | 120.1 | |
| Liabilities in Excess of Other Assets | | | (20.1 | ) |
| Net Assets | | | 100.0 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES NEWFLEET MULTI-SECTOR INCOME ETF
Schedule of Investments
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
| MORTGAGE BACKED SECURITIES — 34.9% | |
Commercial Mortgage Backed Securities — 17.0%
| |
| Access Point Funding I LLC, Class A, Series 2015-A, 2.61%, 04/15/20‡ | | $ | 103,512 | | | $ | 103,609 | |
Aventura Mall Trust, Class A, Series 2013-AVM, 3.87%,
12/05/32@‡ | | | 1,015,000 | | | | 1,098,460 | |
Banc of America Commercial Mortgage Trust, Class A4, Series 2007-2, 5.79%,
04/10/49@ | | | 485,139 | | | | 489,209 | |
Banc of America Commercial Mortgage Trust, Class AM, Series 2007-4, 6.00%,
02/10/51@ | | | 475,000 | | | | 495,078 | |
| Bayview Commercial Asset Trust, Class A3, Series 2008-1, 1.95%, 01/25/38@‡ | | | 232,755 | | | | 226,978 | |
Bcrr Trust, Class 2A1, Series 2009-1, 5.86%,
07/17/40@‡ | | | 120,050 | | | | 120,364 | |
| Bear Stearns Commercial Mortgage Securities Trust, Class AM, Series 2006-PW14, 5.24%, 12/11/38 | | | 285,000 | | | | 287,221 | |
Bear Stearns Commercial Mortgage Securities Trust, Class AMFX, Series 2015-PW15, 5.36%,
02/11/44‡ | | | 225,000 | | | | 211,804 | |
| Bear Stearns Commercial Mortgage Securities Trust, Class A4, Series 2007-PW18, 5.70%, 06/11/50 | | | 943,315 | | | | 974,796 | |
| Bear Stearns Commercial Mortgage Securities Trust, Class AM, Series 2007-PW17, 5.92%, 06/11/50@ | | | 990,000 | | | | 1,016,984 | |
| Bear Stearns Commercial Mortgage Securities Trust, Class A4, Series 2007-PW17, 5.69%, 06/11/50@ | | | 611,622 | | | | 632,177 | |
| CD Commercial Mortgage Trust, Class AMFX, Series 2007-CD4, 5.37%, 12/11/49@ | | | 895,000 | | | | 910,527 | |
| CD Commercial Mortgage Trust, Class A4, Series 2007-CD4, 5.32%, 12/11/49(a) | | | 967,821 | | | | 978,095 | |
Citigroup Commercial Mortgage Trust, Class A1A,
Series 2007-C6, 5.90%,
12/10/49@ | | | 1,369,668 | | | | 1,413,372 | |
Citigroup Commercial Mortgage Trust, Class AM,
Series 2008-C7, 6.34%,
12/10/49@ | | | 530,000 | | | | 550,444 | |
Citigroup Commercial Mortgage Trust, Class A4,
Series 2007-C6, 5.90%,
12/10/49@ | | | 140,000 | | | | 144,135 | |
| | | | |
| Investments | | Principal | | Value |
| MORTGAGE BACKED SECURITIES (continued) | |
Commercial Mortgage Backed Securities (continued)
| |
Citigroup Commercial Mortgage Trust, Class MLSR,
Series 2010-RR3, 5.81%,
06/14/50@‡ | | $ | 1,103,462 | | | $ | 1,121,811 | |
| Colony Multifamily Mortgage Trust, Class A, Series 2014-1, 2.54%, 04/20/50‡ | | | 745,112 | | | | 745,620 | |
Commercial Mortgage Lease-Backed Certificates, Class A3, Series 2001-CMLB, 7.47%,
06/20/31@‡ | | | 460,000 | | | | 549,219 | |
| Commercial Mortgage Trust, Class AM, Series 2007-GG11, 5.87%, 12/10/49@ | | | 1,532,000 | | | | 1,585,282 | |
Credit Suisse Commercial Mortgage Trust, Class A1A, Series 2007-C1, 5.36%,
02/15/40 | | | 474,644 | | | | 480,789 | |
Credit Suisse Commercial Mortgage Trust, Class 1A, Series 2010-RR7, 5.38%,
08/12/48@‡ | | | 387,818 | | | | 389,506 | |
DBUBS Mortgage Trust, Class A2, Series 2011-LC3A, 3.64%,
08/10/44 | | | 721,702 | | | | 721,477 | |
GAHR Commercial Mortgage Trust, Class CFX, Series
2015-NRF, 3.49%, 12/15/34@‡ | | | 200,000 | | | | 202,544 | |
| GS Mortgage Securities Trust, Class A1A, Series 2007-GG10, 5.99%, 08/10/45@ | | | 2,310,494 | | | | 2,378,535 | |
| GS Mortgage Securities Trust, Class A4, Series 2007-GG10, 5.99%, 08/10/45@ | | | 872,251 | | | | 894,765 | |
Hilton USA Trust, Class EFX, Series 2013-HLT, 4.60%,
11/05/30@‡ | | | 535,000 | | | | 539,584 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Class B, Series 2015-SGP, 3.19%, 07/15/36@‡ | | | 535,000 | | | | 536,084 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Class AM, Series 2006-LDP7, 6.18%, 04/17/45@ | | | 888,433 | | | | 887,274 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Class A3, Series 2011-C4, 4.11%, 07/15/46‡ | | | 794,610 | | | | 831,360 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Class AM, Series 2006-LDP9, 5.37%, 05/15/47 | | | 980,000 | | | | 977,552 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Class A3, Series 2006-LDP9, 5.34%, 05/15/47 | | | 2,223,824 | | | | 2,243,764 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES NEWFLEET MULTI-SECTOR INCOME ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
| MORTGAGE BACKED SECURITIES (continued) | |
Commercial Mortgage Backed Securities (continued)
| |
| JPMorgan Chase Commercial Mortgage Securities Trust, Class AM, Series 2007-LDPX, 5.46%, 01/15/49@ | | $ | 465,000 | | | $ | 458,004 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Class A4, Series 2007-CB19, 5.89%, 02/12/49@ | | | 2,299,620 | | | | 2,351,595 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Class A4, Series 2007-LD12, 5.88%, 02/15/51@ | | | 2,255,000 | | | | 2,329,086 | |
| LB Commercial Mortgage Trust, Class A4, Series 2007-C3, 6.12%, 07/15/44@ | | | 2,102,309 | | | | 2,183,014 | |
| LB-UBS Commercial Mortgage Trust, Class A3, Series 2007-C2, 5.43%, 02/15/40 | | | 1,308,189 | | | | 1,327,001 | |
| LB-UBS Commercial Mortgage Trust, Class A4, Series 2007-C6, 5.86%, 07/15/40@ | | | 1,040,292 | | | | 1,065,003 | |
| LB-UBS Commercial Mortgage Trust, Class A3, Series 2007-C7, 5.87%, 09/15/45@ | | | 659,421 | | | | 690,103 | |
| Morgan Stanley Capital I Trust, Class A4, Series 2008-T29, 6.48%, 01/11/43@ | | | 157,429 | | | | 166,410 | |
| Morgan Stanley Capital I Trust, Class AM, Series 2008-T29, 6.48%, 01/11/43@ | | | 860,000 | | | | 909,674 | |
| Morgan Stanley Capital I Trust, Class A4, Series 2006-IQ12, 5.33%, 12/15/43 | | | 235,169 | | | | 235,829 | |
| Morgan Stanley Capital I Trust, Class A4, Series 2007-IQ14, 5.69%, 04/15/49@ | | | 800,000 | | | | 815,207 | |
| Morgan Stanley Capital I Trust, Class AM, Series 2007-IQ14, 5.87%, 04/15/49@ | | | 226,000 | | | | 225,876 | |
| Morgan Stanley Capital I Trust, Class A4, Series 2007-IQ16, 5.81%, 12/12/49 | | | 662,981 | | | | 688,571 | |
Motel 6 Trust, Class D, Series 2015-MTL6, 4.53%,
02/05/30‡ | | | 650,000 | | | | 649,482 | |
Motel 6 Trust, Class B, Series 2015-MTL6, 3.30%,
02/05/30‡ | | | 385,000 | | | | 388,694 | |
Wachovia Bank Commercial Mortgage Trust, Class AM, Series 2007-C30, 5.38%,
12/15/43 | | | 870,000 | | | | 885,188 | |
Wachovia Bank Commercial Mortgage Trust, Class A5, Series 2007-C30, 5.34%,
12/15/43 | | | 921,336 | | | | 936,138 | |
Wachovia Bank Commercial Mortgage Trust, Class A4, Series 2007-C31, 5.51%,
04/15/47 | | | 633,692 | | | | 642,998 | |
| | | | |
| Investments | | Principal | | Value |
| MORTGAGE BACKED SECURITIES (continued) | |
Commercial Mortgage Backed Securities (continued)
| |
Wachovia Bank Commercial Mortgage Trust, Class AM, Series 2007-C31, 5.59%,
04/15/47@ | | $ | 1,380,000 | | | $ | 1,410,433 | |
Wachovia Bank Commercial Mortgage Trust, Class A3, Series 2007-C32, 5.89%,
06/15/49@ | | | 1,265,000 | | | | 1,303,970 | |
| Total Commercial Mortgage Backed Securities | | | | | | | 44,400,695 | |
Residential Mortgage Backed Securities — 17.7%
| |
| Agate Bay Mortgage Trust, Class A3, Series 2016-2, 3.50%, 03/25/46@‡ | | | 351,562 | | | | 362,940 | |
Alternative Loan Trust, Class 1A1, Series 2004-22CB, 6.00%,
10/25/34 | | | 151,360 | | | | 162,740 | |
Asset Backed Funding Certificates Trust, Class A6,
Series 2005-AQ1, 4.78%,
06/25/35 | | | 246,559 | | | | 254,570 | |
Banc of America Alternative Loan Trust, Class 2A1,
Series 2003-10, 6.00%,
12/25/33 | | | 563,109 | | | | 574,880 | |
Banc of America Funding Trust, Class 5A1,
Series 2004-A, 2.87%,
07/20/34@ | | | 174,830 | | | | 173,410 | |
| Banc of America Funding Trust, Class 1A1, Series 2005-1, 5.50%, 02/25/35 | | | 211,605 | | | | 212,368 | |
| Banc of America Mortgage Trust, Class 4A1, Series 2004-5, 4.75%, 06/25/19 | | | 253,917 | | | | 254,167 | |
| Banc of America Mortgage Trust, Class 6A3, Series 2004-7, 4.50%, 08/25/19 | | | 364,725 | | | | 363,881 | |
| Bayview Financial Acquisition Trust, Class 1A2, Series 2007-A, 6.21%, 05/28/37 | | | 447,933 | | | | 468,860 | |
| Bear Stearns ARM Trust, Class 21A1, Series 2004-1, 2.72%, 04/25/34@ | | | 585,291 | | | | 580,860 | |
| Bear Stearns ARM Trust, Class 22A1, Series 2004-9, 3.25%, 11/25/34@ | | | 657,910 | | | | 636,089 | |
| Bear Stearns ARM Trust, Class 12A3, Series 2004-10, 2.91%, 01/25/35@ | | | 359,215 | | | | 329,611 | |
| Bear Stearns ARM Trust, Class 21A1, Series 2004-10, 3.14%, 01/25/35@ | | | 964,458 | | | | 972,544 | |
| Bear Stearns ARM Trust, Class 15A1, Series 2004-10, 2.93%, 01/25/35@ | | | 977,962 | | | | 975,407 | |
| Centex Home Equity Loan Trust, Class AF5, Series 2004-D, 5.35%, 09/25/34 | | | 438,000 | | | | 455,469 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES NEWFLEET MULTI-SECTOR INCOME ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
| MORTGAGE BACKED SECURITIES (continued) | |
Residential Mortgage Backed Securities (continued)
| |
Chase Mortgage Trust, Class M2, Series 2016-1, 3.75%,
04/25/45@‡ | | $ | 355,030 | | | $ | 361,456 | |
| Citicorp Residential Mortgage Trust, Class A4, Series 2006-1, 5.58%, 07/25/36 | | | 313,501 | | | | 321,768 | |
| Citicorp Residential Mortgage Trust, Class A6, Series 2007-2, 5.44%, 06/25/37 | | | 234,669 | | | | 243,047 | |
| Citigroup Mortgage Loan Trust, Class A, Series 2014-A, 4.00%, 01/25/35@‡ | | | 528,931 | | | | 544,904 | |
| Citigroup Mortgage Loan Trust, Class A1, Series 2015-PS1, 3.75%, 09/25/42@‡ | | | 499,207 | | | | 514,472 | |
| Citigroup Mortgage Loan Trust, Class A1, Series 2015-A, 3.50%, 06/25/58@‡ | | | 1,053,188 | | | | 1,088,364 | |
| Citigroup Mortgage Loan Trust, Inc., Class A2, Series 2003-UP3, 7.00%, 09/25/33 | | | 187,773 | | | | 195,328 | |
Citigroup Mortgage Loan Trust, Inc., Class A3, Series 2004-UST1, 2.53%,
08/25/34@ | | | 304,856 | | | | 305,024 | |
| Colony American Finance Ltd., Class A, Series 2015-1, 2.90%, 10/15/47‡ | | | 427,598 | | | | 435,672 | |
| COLT Mortgage Loan Trust, Class A1, Series 2016-1, 3.00%, 05/25/46‡ | | | 780,000 | | | | 785,640 | |
Countrywide Asset-Backed Certificates, Class A3, Series 2004-S1, 5.12%,
02/25/35 | | | 523,013 | | | | 532,730 | |
Credit Suisse Commercial Mortgage Trust, Class A16, Series 2013-HYB1, 3.03%,
04/25/43@‡ | | | 936,503 | | | | 939,811 | |
| Credit Suisse First Boston Mortgage Securities Corp., Class 6A1, Series 2004-8, 4.50%, 12/25/19 | | | 81,050 | | | | 81,811 | |
| Credit Suisse First Boston Mortgage Securities Corp., Class 6A1, Series 2004-AR8, 2.61%, 09/25/34@ | | | 175,178 | | | | 173,370 | |
CSMLT Trust, Class A9, Series 2015-1, 3.50%,
05/25/45@‡ | | | 823,780 | | | | 851,691 | |
Federal Home Loan Mortgage Corporation, Class M2, Series 2016-DNA2, 2.65%,
10/25/28@ | | | 250,000 | | | | 252,189 | |
| GMACM Mortgage Loan Trust, Class 12A, Series 2004-AR1, 3.43%, 06/25/34@ | | | 448,553 | | | | 455,656 | |
GSAA Trust, Class AF4, Series 2005-1, 5.62%,
11/25/34 | | | 151,790 | | | | 157,358 | |
| | | | |
| Investments | | Principal | | Value |
| MORTGAGE BACKED SECURITIES (continued) | |
Residential Mortgage Backed Securities (continued)
| |
| GSR Mortgage Loan Trust, Class 3A1, Series 2004-7, 2.74%, 06/25/34@ | | $ | 640,137 | | | $ | 621,278 | |
| Home Equity Loan Trust, Class AIIB, Series 2003-HS2, 0.70%, 06/25/28@ | | | 226,643 | | | | 219,300 | |
| Irwin Home Equity Loan Trust, Class M1, Series 2003-A, 2.00%, 10/25/27@ | | | 215,089 | | | | 213,610 | |
| Jefferies Resecuritization Trust, Class 1A1, Series 2014-R1, 4.00%, 12/27/37‡ | | | 408,839 | | | | 409,926 | |
| JPMorgan Mortgage Trust, Class 2A2, Series 2014-2, 3.50%, 06/25/29@‡ | | | 207,021 | | | | 215,177 | |
| JPMorgan Mortgage Trust, Class 1A1, Series 2004-A3, 2.89%, 07/25/34@ | | | 299,208 | | | | 296,624 | |
| JPMorgan Mortgage Trust, Class 4A1, Series 2006-A2, 3.02%, 08/25/34@ | | | 282,721 | | | | 284,090 | |
| JPMorgan Mortgage Trust, Class 2A1, Series 2004-A4, 2.75%, 09/25/34@ | | | 148,942 | | | | 150,834 | |
| JPMorgan Mortgage Trust, Class 4A1, Series 2005-A2, 2.42%, 04/25/35@ | | | 669,674 | | | | 657,574 | |
| JPMorgan Mortgage Trust, Class 2A2, Series 2014-1, 3.50%, 01/25/44@‡ | | | 638,307 | | | | 660,311 | |
| JPMorgan Mortgage Trust, Class 1A1, Series 2014-1, 4.00%, 01/25/44@‡ | | | 325,874 | | | | 345,656 | |
| JPMorgan Mortgage Trust, Class 1A4, Series 2015-4, 3.50%, 06/25/45@‡ | | | 1,142,701 | | | | 1,179,682 | |
| JPMorgan Mortgage Trust, Class A3, Series 2016-1, 3.50%, 05/25/46‡ | | | 1,490,000 | | | | 1,545,415 | |
JPMorgan Trust, Class AM1, Series 2015-1, 2.66%,
12/25/44@‡ | | | 719,845 | | | | 718,903 | |
JPMorgan Trust, Class A2, Series 2015-5, 2.90%,
05/25/45@‡ | | | 1,120,864 | | | | 1,139,678 | |
| MASTR Alternative Loan Trust, Class 6A1, Series 2004-4, 5.50%, 04/25/34 | | | 370,018 | | | | 384,293 | |
| MASTR Alternative Loan Trust, Class 2A1, Series 2005-2, 6.00%, 01/25/35 | | | 224,068 | | | | 232,562 | |
| MASTR Asset Securitization Trust, Class 1A1, Series 2005-1, 5.00%, 05/25/20 | | | 206,541 | | | | 208,009 | |
| MASTR Asset Securitization Trust, Class 4A5, Series 2003-5, 5.50%, 06/25/33 | | | 490,561 | | | | 494,163 | |
| Mastr Specialized Loan Trust, Class A2, Series 2005-3, 5.70%, 11/25/35‡ | | | 332,937 | | | | 337,426 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES NEWFLEET MULTI-SECTOR INCOME ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
| MORTGAGE BACKED SECURITIES (continued) | |
Residential Mortgage Backed Securities (continued)
| |
| Merrill Lynch Mortgage Investors Trust, Class A1, Series 2004-A4, 2.76%, 08/25/34@ | | $ | 799,404 | | | $ | 809,360 | |
Morgan Stanley Residential Mortgage Loan Trust, Class A1, Series 2014-1A, 2.99%,
06/25/44@‡ | | | 628,293 | | | | 638,544 | |
| New Residential Mortgage Loan Trust, Class A1, Series 2016-2A, 3.75%, 11/25/35@‡ | | | 232,644 | | | | 242,038 | |
| New Residential Mortgage Loan Trust, Class A, Series 2014-1A, 3.75%, 01/25/54@‡ | | | 659,073 | | | | 687,143 | |
| New Residential Mortgage Loan Trust, Class A3, Series 2014-2A, 3.75%, 05/25/54@‡ | | | 316,324 | | | | 330,345 | |
New Residential Mortgage Loan Trust, Class AFX3,
Series 2014-3A, 3.75%,
11/25/54@‡ | | | 1,752,662 | | | | 1,840,823 | |
| New Residential Mortgage Loan Trust, Class A1, Series 2015-2A, 3.75%, 08/25/55@‡ | | | 1,235,973 | | | | 1,302,615 | |
| New Residential Mortgage Loan Trust, Class A1, Series 2016-1A, 3.75%, 03/25/56@‡ | | | 353,458 | | | | 371,648 | |
| NovaStar Mortgage Funding Trust, Class M5, Series 2004-4, 2.18%, 03/25/35@ | | | 1,205,000 | | | | 1,174,785 | |
RALI Series Trust, Class CB5, Series 2003-QS17, 5.50%,
09/25/33 | | | 307,061 | | | | 312,479 | |
RASC Series Trust, Class AI6, Series 2004-KS2, 4.30%,
03/25/34@ | | | 85,230 | | | | 86,301 | |
| Sequoia Mortgage Trust, Class A9, Series 2014-3, 3.75%, 10/25/44@‡ | | | 643,863 | | | | 670,938 | |
| Sequoia Mortgage Trust, Class A6, Series 2014-4, 3.50%, 11/25/44@‡ | | | 600,745 | | | | 620,187 | |
Structured Adjustable Rate Mortgage Loan Trust, Class 6A, Series 2004-1, 2.96%,
02/25/34@ | | | 436,606 | | | | 425,749 | |
| Structured Adjustable Rate Mortgage Loan Trust, Class 3A2, Series 2004-4, 2.93%, 04/25/34@ | | | 773,534 | | | | 767,601 | |
| Structured Adjustable Rate Mortgage Loan Trust, Class 3A1, Series 2004-4, 2.93%, 04/25/34@ | | | 145,249 | | | | 142,980 | |
| Structured Adjustable Rate Mortgage Loan Trust, Class 3A2, Series 2004-5, 2.93%, 05/25/34@ | | | 317,986 | | | | 321,886 | |
Structured Asset Sec Corp.
Pass-Through Cert., Class A3, Series 2002-AL1, 3.45%,
02/25/32 | | | 907,856 | | | | 900,803 | |
| | | | |
| Investments | | Principal | | Value |
| MORTGAGE BACKED SECURITIES (continued) | |
Residential Mortgage Backed Securities (continued)
| |
| Structured Asset Securities Corp., Class 2A, Series 2003-37A, 2.66%, 12/25/33@ | | $ | 279,178 | | | $ | 277,652 | |
| Structured Asset Securities Corp., Class A3A, Series 2004-4XS, 5.50%, 02/25/34 | | | 573,102 | | | | 590,174 | |
Structured Asset Securities Corp. Assistance Loan Trust, Class A, Series 2003-AL1, 3.36%,
04/25/31‡ | | | 1,090,222 | | | | 1,073,428 | |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Class 1A1, Series 2003-33H, 5.50%, 10/25/33 | | | 402,986 | | | | 412,612 | |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Class 6A, Series 2003-34A, 3.09%, 11/25/33@ | | | 308,511 | | | | 303,725 | |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Class 3A3, Series 2004-15, 5.50%, 09/25/34 | | | 207,869 | | | | 209,720 | |
| Towd Point Mortgage Trust, Class A1B, Series 2015-3, 3.00%, 03/25/54@‡ | | | 554,975 | | | | 567,833 | |
| Towd Point Mortgage Trust, Class A1B, Series 2016-1, 2.75%, 02/25/55@‡ | | | 464,084 | | | | 471,558 | |
| Towd Point Mortgage Trust, Class A1B, Series 2015-5, 2.75%, 05/25/55@‡ | | | 963,853 | | | | 978,519 | |
| Towd Point Mortgage Trust, Class A2, Series 2015-5, 3.50%, 05/25/55@‡ | | | 250,000 | | | | 255,526 | |
| Vericrest Opportunity Loan Trust, Class A1, Series 2014-NPL9, 3.38%, 11/25/54‡ | | | 166,602 | | | | 165,863 | |
| Vericrest Opportunity Loan Trust, Class A1, Series 2015-NPL3, 3.38%, 10/25/58‡ | | | 307,536 | | | | 305,096 | |
VOLT XXII LLC, Class A1, Series 2015-NPL4, 3.50%,
02/25/55‡ | | | 214,628 | | | | 213,961 | |
VOLT XXXI LLC, Class A1, Series 2015-NPL2, 3.38%,
02/25/55‡ | | | 341,064 | | | | 338,555 | |
WaMu Mortgage Pass-Through Certificates, Class A1, Series 2003-AR6, 2.90%,
06/25/33@ | | | 261,562 | | | | 260,778 | |
Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Class 2A1, Series 2003-AR4, 2.33%,
08/25/33@ | | | 169,162 | | | | 166,475 | |
Wells Fargo Mortgage Backed Securities Trust, Class A1, Series 2003-G, 2.72%,
06/25/33@ | | | 29,794 | | | | 29,904 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES NEWFLEET MULTI-SECTOR INCOME ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
| MORTGAGE BACKED SECURITIES (continued) | |
Residential Mortgage Backed Securities (continued)
| |
Wells Fargo Mortgage Backed Securities Trust, Class 5A1, Series 2003-J, 2.62%,
10/25/33@ | | $ | 181,856 | | | $ | 183,214 | |
Wells Fargo Mortgage Backed Securities Trust, Class 2A1, Series 2003-J, 2.64%,
10/25/33@ | | | 179,401 | | | | 180,203 | |
Wells Fargo Mortgage Backed Securities Trust, Class A1, Series 2004-A, 2.84%,
02/25/34@ | | | 225,583 | | | | 227,230 | |
Wells Fargo Mortgage Backed Securities Trust, Class 1A2, Series 2004-K, 3.11%,
07/25/34@ | | | 386,953 | | | | 386,576 | |
Wells Fargo Mortgage Backed Securities Trust, Class 2A12, Series 2004-K, 3.08%,
07/25/34@ | | | 133,682 | | | | 138,655 | |
Wells Fargo Mortgage Backed Securities Trust, Class A1, Series 2004-U, 2.88%,
10/25/34@ | | | 480,098 | | | | 477,315 | |
Wells Fargo Mortgage Backed Securities Trust, Class 2A1, Series 2004-Z, 2.85%,
12/25/34@ | | | 168,762 | | | | 168,096 | |
Wells Fargo Mortgage Backed Securities Trust, Class 2A1, Series 2005-14, 5.50%,
12/25/35 | | | 121,954 | | | | 126,705 | |
| WinWater Mortgage Loan Trust, Class 1A5, Series 2016-1, 3.50%, 01/20/46@‡ | | | 885,018 | | | | 907,330 | |
| Total Residential Mortgage Backed Securities | | | | | | | 46,395,526 | |
U.S. Government Agency Securities — 0.2%
| |
Federal Home Loan Mortgage Corporation, Class J, Series 2012-4011, 4.00%,
12/15/41 | | | 491,158 | | | | 523,600 | |
Total Mortgage Backed Securities
(Cost $93,285,165) | | | | | | | 91,319,821 | |
ASSET BACKED SECURITIES — 25.9%
| |
American Credit Acceptance Receivables Trust, Class B, Series 2016-1A, 4.24%,
06/13/22‡ | | | 665,000 | | | | 686,978 | |
AmeriCredit Automobile Receivables, Class B, Series 2016-1, 2.30%,
03/08/21 | | | 1,720,000 | | | | 1,742,292 | |
AmeriCredit Automobile Receivables, Class C, Series 2015-4, 2.88%,
07/08/21 | | | 715,000 | | | | 731,140 | |
| | | | |
| Investments | | Principal | | Value |
ASSET BACKED SECURITIES (continued)
| |
AmeriCredit Automobile Receivables Trust, Class C, Series 2014-2, 2.18%,
06/08/20 | | $ | 500,000 | | | $ | 502,574 | |
AmeriCredit Automobile Receivables Trust, Class C, Series 2015-3, 2.73%,
03/08/21 | | | 655,000 | | | | 667,020 | |
AmeriCredit Automobile Receivables Trust, Class D, Series 2012-4, 2.68%,
10/09/18 | | | 1,050,000 | | | | 1,054,700 | |
AmeriCredit Automobile Receivables Trust, Class D, Series 2013-2, 2.42%,
05/08/19 | | | 575,000 | | | | 577,011 | |
AmeriCredit Automobile Receivables Trust, Class D, Series 2014-1, 2.54%,
06/08/20 | | | 755,000 | | | | 761,903 | |
Ascentium Equipment Receivables LLC, Class B, Series 2015-1A, 2.26%,
06/10/21‡ | | | 600,000 | | | | 602,211 | |
Associates Manufactured Housing Pass-Through Certificates, Class B1, Series 1996-1, 8.00%,
03/15/27@ | | | 593,216 | | | | 617,928 | |
Avis Budget Rental Car Funding Aesop LLC, Class A, Series 2012-3A, 2.10%,
03/20/19‡ | | | 500,000 | | | | 502,722 | |
Avis Budget Rental Car Funding Aesop LLC, Class A, Series 2013-1A, 1.92%,
09/20/19‡ | | | 1,140,000 | | | | 1,143,420 | |
Avis Budget Rental Car Funding Aesop LLC, Class A, Series 2013-2A, 2.97%,
02/20/20‡ | | | 1,465,000 | | | | 1,503,081 | |
| BankAmerica Manufactured Housing Contract Trust, Class B1, Series 1998-1, 7.81%, 08/10/25@ | | | 143,628 | | | | 147,621 | |
| BXG Receivables Note Trust, Class A, Series 2013-A, 3.01%, 12/04/28‡ | | | 189,196 | | | | 189,798 | |
| BXG Receivables Note Trust, Class A, Series 2015-A, 2.88%, 05/02/30‡ | | | 432,363 | | | | 438,520 | |
California Republic Auto Receivables Trust, Class A4, Series 2014-3, 1.79%,
03/16/20 | | | 645,000 | | | | 649,111 | |
California Republic Auto Receivables Trust, Class B, Series 2014-2, 2.34%,
04/15/20 | | | 500,000 | | | | 503,098 | |
California Republic Auto Receivables Trust, Class B, Series 2015-3, 2.70%,
09/15/21 | | | 645,000 | | | | 654,257 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES NEWFLEET MULTI-SECTOR INCOME ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
ASSET BACKED SECURITIES (continued)
| |
| Capital Auto Receivables Asset Trust, Class C, Series 2013-1, 1.74%, 10/22/18 | | $ | 415,000 | | | $ | 415,681 | |
| Capital Auto Receivables Asset Trust, Class C, Series 2013-4, 2.67%, 02/20/19 | | | 635,000 | | | | 641,732 | |
| Capital Auto Receivables Asset Trust, Class C, Series 2015-2, 2.67%, 08/20/20 | | | 650,000 | | | | 651,220 | |
| CarFinance Capital Auto Trust, Class B, Series 2013-2A, 3.15%, 08/15/19‡ | | | 212,704 | | | | 213,434 | |
| CarFinance Capital Auto Trust, Class B, Series 2014-1A, 2.72%, 04/15/20‡ | | | 200,000 | | | | 200,218 | |
| CarFinance Capital Auto Trust, Class B, Series 2014-2A, 2.64%, 11/16/20‡ | | | 480,000 | | | | 480,271 | |
| CarFinance Capital Auto Trust, Class B, Series 2015-1A, 2.91%, 06/15/21‡ | | | 1,000,000 | | | | 991,664 | |
| CarFinance Capital Auto Trust, Class D, Series 2014-1A, 4.90%, 04/15/20‡ | | | 415,000 | | | | 413,560 | |
| Carmax Auto Owner Trust, Class B, Series 2016-2, 2.16%, 12/15/21 | | | 575,000 | | | | 577,503 | |
| CarMax Auto Owner Trust, Class B, Series 2014-4, 2.20%, 09/15/20 | | | 700,000 | | | | 706,004 | |
| CarMax Auto Owner Trust, Class B, Series 2015-4, 2.16%, 08/16/21 | | | 713,000 | | | | 717,379 | |
| CarMax Auto Owner Trust, Class C, Series 2015-2, 2.39%, 03/15/21 | | | 615,000 | | | | 620,798 | |
| Carnow Auto Receivables Trust, Class D, Series 2014-1A, 4.16%, 11/15/18‡ | | | 400,000 | | | | 400,499 | |
CCG Receivables Trust, Class A3, Series 2015-1, 1.92%,
01/17/23‡ | | | 1,000,000 | | | | 1,004,231 | |
CCG Receivables Trust, Class B, Series 2014-1, 2.15%,
11/15/21‡ | | | 420,000 | | | | 420,798 | |
| Centre Point Funding LLC, Class 1, Series 2012-2A, 2.61%, 08/20/21‡ | | | 647,089 | | | | 640,796 | |
| Chrysler Capital Auto Receivables Trust, Class D, Series 2014-BA, 3.44%, 08/16/21‡ | | | 680,000 | | | | 676,908 | |
| Chrysler Capital Auto Receivables Trust, Class D, Series 2015-BA, 4.17%, 01/16/23‡ | | | 635,000 | | | | 641,230 | |
| Citi Held For Asset Issuance, Class A, Series 2015-PM3, 2.56%, 05/16/22‡ | | | 444,100 | | | | 443,988 | |
| CKE Restaurant Holdings, Inc., Class A2, Series 2013-1A, 4.47%, 03/20/43‡ | | | 589,775 | | | | 591,058 | |
| Conseco Financial Corp., Class B1, Series 1995-5, 7.30%, 09/15/26@ | | | 247,912 | | | | 253,816 | |
| | | | |
| Investments | | Principal | | Value |
ASSET BACKED SECURITIES (continued)
| |
| Diamond Resorts Owner Trust, Class A, Series 2014-1, 2.54%, 05/20/27‡ | | $ | 732,286 | | | $ | 734,667 | |
| DRB Prime Student Loan Trust, Class A3, Series 2015-D, 2.50%, 01/25/36‡ | | | 538,536 | | | | 541,020 | |
| Drive Auto Receivables Trust, Class B, Series 2016-AA, 3.17%, 05/15/20‡ | | | 1,200,000 | | | | 1,219,216 | |
| Drive Auto Receivables Trust, Class C, Series 2015-AA, 3.06%, 05/17/21‡ | | | 1,225,000 | | | | 1,235,996 | |
| Drive Auto Receivables Trust, Class C, Series 2015-DA, 3.38%, 11/15/21‡ | | | 1,000,000 | | | | 1,012,855 | |
Drug Royalty II LP, Class A2, Series 2014-1, 3.48%,
07/15/23‡ | | | 306,246 | | | | 302,428 | |
DT Auto Owner Trust, Class B, Series 2016-1A, 2.79%,
05/15/20‡ | | | 700,000 | | | | 703,114 | |
DT Auto Owner Trust, Class C, Series 2014-1A, 2.64%,
10/15/19‡ | | | 294,740 | | | | 295,443 | |
DT Auto Owner Trust, Class C, Series 2014-2A, 2.46%,
01/15/20‡ | | | 230,085 | | | | 230,185 | |
DT Auto Owner Trust, Class C, Series 2014-3A, 3.04%,
09/15/20‡ | | | 560,000 | | | | 561,391 | |
DT Auto Owner Trust, Class C, Series 2015-3A, 3.25%,
07/15/21‡ | | | 655,000 | | | | 658,265 | |
DT Auto Owner Trust, Class C, Series 2016-2A, 3.67%,
01/18/22‡ | | | 625,000 | | | | 633,599 | |
DT Auto Owner Trust, Class C, Series 2016-3A, 3.15%,
03/15/22‡ | | | 650,000 | | | | 649,902 | |
| Exeter Automobile Receivables Trust, Class A, Series 2016-1A, 2.35%, 07/15/20‡ | | | 1,055,308 | | | | 1,057,568 | |
| Exeter Automobile Receivables Trust, Class B, Series 2013-2A, 3.09%, 07/16/18‡ | | | 49,779 | | | | 49,923 | |
| Exeter Automobile Receivables Trust, Class C, Series 2013-1A, 3.52%, 02/15/19‡ | | | 500,000 | | | | 502,231 | |
| Exeter Automobile Receivables Trust, Class C, Series 2014-1A, 3.57%, 07/15/19‡ | | | 1,110,000 | | | | 1,118,730 | |
| Exeter Automobile Receivables Trust, Class C, Series 2014-2A, 3.26%, 12/16/19‡ | | | 880,000 | | | | 886,123 | |
| Exeter Automobile Receivables Trust, Class C, Series 2015-1A, 4.10%, 12/15/20‡ | | | 500,000 | | | | 495,897 | |
| Exeter Automobile Receivables Trust, Class C, Series 2015-2A, 3.90%, 03/15/21‡ | | | 600,000 | | | | 590,030 | |
| Flagship Credit Auto Trust, Class A, Series 2016-1, 2.77%, 12/15/20‡ | | | 756,441 | | | | 762,738 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES NEWFLEET MULTI-SECTOR INCOME ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
ASSET BACKED SECURITIES (continued)
| |
Foursight Capital Automobile Receivables Trust, Class A2, Series 2016-1, 2.87%,
10/15/21‡ | | $ | 915,000 | | | $ | 912,756 | |
Foursight Capital Automobile Receivables Trust, Class B, Series 2014-1, 3.56%,
11/22/21‡ | | | 500,000 | | | | 505,800 | |
Gold Key Resorts LLC, Class A, Series 2014-A, 3.22%,
03/17/31‡ | | | 395,126 | | | | 392,684 | |
| Hertz Vehicle Financing II LP, Class A, Series 2015-2A, 2.02%, 09/25/19‡ | | | 1,075,000 | | | | 1,078,244 | |
| Hertz Vehicle Financing LLC, Class A, Series 2016-1A, 2.32%, 03/25/20‡ | | | 200,000 | | | | 201,892 | |
| Hertz Vehicle Financing LLC, Class A2, Series 2011-1A, 3.29%, 03/25/18‡ | | | 1,150,000 | | | | 1,160,623 | |
| Hilton Grand Vacations Trust, Class A, Series 2013-A, 2.28%, 01/25/26‡ | | | 727,823 | | | | 729,163 | |
| Hilton Grand Vacations Trust, Class A, Series 2014-AA, 1.77%, 11/25/26‡ | | | 247,629 | | | | 243,938 | |
| Hyundai Auto Receivables Trust, Class B, Series 2015-C, 2.15%, 11/15/21 | | | 1,000,000 | | | | 1,009,309 | |
| Hyundai Auto Receivables Trust, Class D, Series 2014-B, 2.51%, 12/15/20 | | | 425,000 | | | | 425,287 | |
| Hyundai Auto Receivables Trust, Class D, Series 2015-A, 2.73%, 06/15/21 | | | 500,000 | | | | 502,287 | |
| LEAF Receivables Funding 10 LLC, Class D, Series 2015-1, 3.74%, 05/17/21‡ | | | 615,000 | | | | 612,091 | |
| LEAF Receivables Funding 9 LLC, Class D, Series 2013-1, 5.11%, 09/15/21‡ | | | 345,000 | | | | 346,612 | |
| Marriott Vacation Club Owner Trust, Class A, Series 2012-1A, 2.51%, 05/20/30‡ | | | 771,420 | | | | 776,720 | |
Mid-State Trust, Class A4, Series 1997-6, 7.79%,
07/01/35 | | | 323,354 | | | | 343,482 | |
MVW Owner Trust, Class B, Series 2015-1A, 2.96%,
12/20/32‡ | | | 513,101 | | | | 513,447 | |
| National City Mortgage Capital Trust, Class 2A1, Series 2008-1, 6.00%, 03/25/38 | | | 262,178 | | | | 273,663 | |
| Onemain Financial Issuance Trust, Class A, Series 2015-1A, 3.19%, 03/18/26‡ | | | 120,000 | | | | 121,386 | |
| OneMain Financial Issuance Trust, Class A, Series 2014-1A, 2.43%, 06/18/24‡ | | | 590,253 | | | | 590,997 | |
| OneMain Financial Issuance Trust, Class A, Series 2015-2A, 2.57%, 07/18/25‡ | | | 325,000 | | | | 325,310 | |
| | | | |
| Investments | | Principal | | Value |
ASSET BACKED SECURITIES (continued)
| |
| Orange Lake Timeshare Trust, Class A, Series 2015-AA, 2.88%, 09/08/27‡ | | $ | 446,028 | | | $ | 446,950 | |
| Santander Drive Auto Receivables Trust, Class B, Series 2016-2, 2.08%, 02/16/21 | | | 750,000 | | | | 753,785 | |
| Santander Drive Auto Receivables Trust, Class C, Series 2012-4, 2.94%, 12/15/17 | | | 29,615 | | | | 29,628 | |
| Santander Drive Auto Receivables Trust, Class C, Series 2013-3, 1.81%, 04/15/19 | | | 592,040 | | | | 593,635 | |
| Santander Drive Auto Receivables Trust, Class C, Series 2014-3, 2.13%, 08/17/20 | | | 600,000 | | | | 605,623 | |
| Santander Drive Auto Receivables Trust, Class C, Series 2016-1, 3.09%, 04/15/22 | | | 1,070,000 | | | | 1,096,707 | |
| Santander Drive Auto Receivables Trust, Class D, Series 2012-6, 2.52%, 09/17/18 | | | 350,000 | | | | 351,676 | |
| Santander Drive Auto Receivables Trust, Class D, Series 2013-1, 2.27%, 01/15/19 | | | 785,000 | | | | 787,722 | |
| Santander Drive Auto Receivables Trust, Class D, Series 2013-5, 2.73%, 10/15/19 | | | 475,000 | | | | 480,826 | |
Sierra Timeshare Receivables Funding LLC, Class A, Series 2014-1A, 2.07%,
03/20/30‡ | | | 157,356 | | | | 157,055 | |
Sierra Timeshare Receivables Funding LLC, Class A, Series 2014-2A, 2.05%,
06/20/31‡ | | | 104,448 | | | | 104,270 | |
Sierra Timeshare Receivables Funding LLC, Class B, Series 2012-2A, 3.42%,
03/20/29‡ | | | 109,170 | | | | 109,620 | |
| Silverleaf Finance XV LLC, Class A, Series 2012-D, 3.00%, 03/17/25‡ | | | 97,631 | | | | 96,716 | |
| Silverleaf Finance XVIII LLC, Class A, Series 2014-A, 2.81%, 01/15/27‡ | | | 411,289 | | | | 410,439 | |
| SLM Private Education Loan Trust, Class A2A, Series 2013-B, 1.85%, 06/17/30‡ | | | 500,000 | | | | 499,776 | |
SLM Private Education Loan Trust, Class A2A,
Series 2013-C, 2.94%,
10/15/31‡ | | | 270,000 | | | | 276,626 | |
| SLM Private Education Loan Trust, Class A2A, Series 2014-A, 2.59%, 01/15/26‡ | | | 1,275,000 | | | | 1,290,969 | |
| SNAAC Auto Receivables Trust, Class C, Series 2014-1A, 2.21%, 01/15/20‡ | | | 655,000 | | | | 656,129 | |
| Sofi Professional Loan Program LLC, Class A2, Series 2016-A, 2.76%, 12/26/36‡ | | | 468,279 | | | | 474,995 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES NEWFLEET MULTI-SECTOR INCOME ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
ASSET BACKED SECURITIES (continued)
| |
| SoFi Professional Loan Program LLC, Class A2, Series 2014-A, 3.02%, 10/25/27‡ | | $ | 178,434 | | | $ | 181,384 | |
| SoFi Professional Loan Program LLC, Class A2, Series 2014-B, 2.55%, 08/27/29‡ | | | 526,381 | | | | 528,298 | |
| SoFi Professional Loan Program LLC, Class A2, Series 2015-A, 2.42%, 03/25/30‡ | | | 299,911 | | | | 299,861 | |
| TCF Auto Receivables Owner Trust, Class B, Series 2014-1A, 2.33%, 05/15/20‡ | | | 800,000 | | | | 796,040 | |
| Tidewater Auto Receivables Trust, Class C, Series 2014-AA, 2.56%, 08/15/19‡ | | | 500,000 | | | | 497,983 | |
| Trip Rail Master Funding LLC, Class A1, Series 2014-1A, 2.86%, 04/15/44‡ | | | 239,940 | | | | 237,940 | |
| Trip Rail Master Funding LLC, Class A1A, Series 2011-1A, 4.37%, 07/15/41‡ | | | 270,177 | | | | 278,702 | |
U-Haul S Fleet LLC, Class 1, Series 2010-BT1A, 4.90%,
10/25/23‡ | | | 801,984 | | | | 814,508 | |
| United Auto Credit Securitization Trust, Class B, Series 2016-1, 2.73%, 05/15/18‡ | | | 720,000 | | | | 720,766 | |
Welk Resorts LLC, Class A, Series 2015-AA, 2.79%,
06/16/31‡ | | | 504,881 | | | | 501,964 | |
Wendys Funding LLC, Class A2II, Series 2015-1A, 4.08%,
06/15/45‡ | | | 530,988 | | | | 548,848 | |
| Westgate Resorts 2016-1 LLC, Class A, Series 2016-1A, 3.50%, 12/20/28‡ | | | 485,685 | | | | 483,262 | |
| Westlake Automobile Receivables Trust, Class C, Series 2014-1A, 1.70%, 11/15/19‡ | | | 519,206 | | | | 518,756 | |
| Westlake Automobile Receivables Trust, Class C, Series 2015-1A, 2.29%, 11/16/20‡ | | | 500,000 | | | | 499,370 | |
| Westlake Automobile Receivables Trust, Class C, Series 2016-2A, 2.83%, 05/17/21‡ | | | 780,000 | | | | 783,503 | |
| Total Asset Backed Securities (Cost $67,399,056) | | | | | | | 67,599,517 | |
CORPORATE BONDS — 19.3%
| |
Consumer Discretionary — 1.8%
| |
| American Axle & Manufacturing, Inc., 5.13%, 02/15/19 | | | 115,000 | | | | 117,125 | |
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.25%, 09/30/22 | | | 85,000 | | | | 87,444 | |
Hanesbrands, Inc., 4.63%,
05/15/24‡ | | | 205,000 | | | | 206,537 | |
| Lennar Corp., 4.50%, 11/15/19(b) | | | 305,000 | | | | 319,228 | |
| Marriott International, Inc., Series N, 3.13%, 10/15/21 | | | 520,000 | | | | 541,094 | |
| | | | |
| Investments | | Principal | | Value |
CORPORATE BONDS (continued)
| |
Consumer Discretionary (continued)
| |
| MGM Growth Properties Operating Partnership LP/MGP Escrow Co-Issuer, Inc., 5.63%, 05/01/24‡ | | $ | 85,000 | | | $ | 90,100 | |
| Newell Rubbermaid, Inc., 2.60%, 03/29/19 | | | 375,000 | | | | 385,071 | |
| Newell Rubbermaid, Inc., 3.15%, 04/01/21 | | | 65,000 | | | | 67,789 | |
| Newell Rubbermaid, Inc., 3.85%, 04/01/23 | | | 45,000 | | | | 47,799 | |
PulteGroup, Inc., 4.25%,
03/01/21 | | | 620,000 | | | | 642,320 | |
| QVC, Inc., 3.13%, 04/01/19(b) | | | 610,000 | | | | 626,629 | |
| Toll Brothers Finance Corp., 4.00%, 12/31/18 | | | 175,000 | | | | 181,825 | |
| Toll Brothers Finance Corp., 6.75%, 11/01/19(b) | | | 117,000 | | | | 132,210 | |
| Toll Brothers Finance Corp., 5.63%, 01/15/24(b) | | | 35,000 | | | | 36,488 | |
| Toll Brothers Finance Corp., 4.88%, 11/15/25 | | | 140,000 | | | | 138,950 | |
TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 4.38%,
06/15/19 | | | 575,000 | | | | 580,750 | |
| Wyndham Worldwide Corp., 2.50%, 03/01/18 | | | 450,000 | | | | 454,867 | |
| Total Consumer Discretionary | | | | | | | 4,656,226 | |
Consumer Staples — 0.1%
| |
CVS Health Corp., 2.13%,
06/01/21(b) | | | 100,000 | | | | 101,345 | |
| Kraft Heinz Foods Co., 2.80%, 07/02/20‡ | | | 185,000 | | | | 192,289 | |
| Total Consumer Staples | | | | | | | 293,634 | |
Energy — 1.7%
| |
| Antero Resources Corp., 5.63%, 06/01/23 | | | 210,000 | | | | 204,750 | |
| Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.13%, 11/15/22‡ | | | 155,000 | | | | 147,637 | |
| Carrizo Oil & Gas, Inc., 6.25%, 04/15/23(b) | | | 640,000 | | | | 619,200 | |
| Enbridge Energy Partners LP, 4.38%, 10/15/20 | | | 110,000 | | | | 113,000 | |
Kinder Morgan, Inc., 5.63%,
11/15/23‡ | | | 545,000 | | | | 584,621 | |
| MPLX LP, 5.50%, 02/15/23‡ | | | 320,000 | | | | 325,416 | |
| NGL Energy Partners LP/NGL Energy Finance Corp., 5.13%, 07/15/19 | | | 535,000 | | | | 489,525 | |
| Occidental Petroleum Corp., 2.60%, 04/15/22 | | | 50,000 | | | | 51,275 | |
| Range Resources Corp., 5.00%, 08/15/22(b) | | | 260,000 | | | | 246,350 | |
| Regency Energy Partners LP/Regency Energy Finance Corp., 5.00%, 10/01/22 | | | 440,000 | | | | 452,065 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES NEWFLEET MULTI-SECTOR INCOME ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
CORPORATE BONDS (continued)
| |
Energy (continued)
| |
| Sabine Oil & Gas Corp., 7.25%, 06/15/19ˆ | | $ | 92,000 | | | $ | 2,300 | |
| Sunoco LP/Sunoco Finance Corp., 6.38%, 04/01/23‡ | | | 665,000 | | | | 663,338 | |
Transocean, Inc., 6.80%,
12/15/16 | | | 545,000 | | | | 552,494 | |
| Total Energy | | | | | | | 4,451,971 | |
Financials — 8.4%
| |
| Air Lease Corp., 2.63%, 09/04/18 | | | 520,000 | | | | 520,162 | |
Ally Financial, Inc., 3.25%,
11/05/18 | | | 145,000 | | | | 145,181 | |
Ally Financial, Inc., 4.13%,
03/30/20 | | | 270,000 | | | | 271,350 | |
Ally Financial, Inc., 4.25%,
04/15/21 | | | 625,000 | | | | 625,781 | |
| American Campus Communities Operating Partnership LP, 3.35%, 10/01/20 | | | 95,000 | | | | 98,783 | |
Ares Capital Corp., 4.88%,
11/30/18 | | | 76,000 | | | | 79,564 | |
Ares Capital Corp., 3.88%,
01/15/20 | | | 210,000 | | | | 217,385 | |
| Aviation Capital Group Corp., 3.88%, 09/27/16‡ | | | 430,000 | | | | 431,152 | |
| Aviation Capital Group Corp., 2.88%, 09/17/18‡ | | | 195,000 | | | | 193,294 | |
| Bank of America Corp., 2.00%, 01/11/18 | | | 235,000 | | | | 236,590 | |
| Bank of America Corp., Series L, 5.65%, 05/01/18 | | | 200,000 | | | | 214,423 | |
| Bank of America Corp., 5.49%, 03/15/19 | | | 66,000 | | | | 71,449 | |
| Bank of New York Mellon Corp. (The), Series E, 4.95%@,(a) | | | 555,000 | | | | 557,775 | |
| Bank of New York Mellon Corp. (The), 2.05%, 05/03/21 | | | 650,000 | | | | 660,665 | |
| Bear Stearns Cos. LLC (The), 7.25%, 02/01/18 | | | 75,000 | | | | 81,776 | |
| Berkshire Hathaway, Inc., 2.20%, 03/15/21(b) | | | 60,000 | | | | 61,936 | |
| Capital One Financial Corp., 6.15%, 09/01/16 | | | 400,000 | | | | 403,127 | |
| Corporate Office Properties LP, 3.70%, 06/15/21 | | | 460,000 | | | | 465,679 | |
| Corrections Corp. of America, 5.00%, 10/15/22 | | | 450,000 | | | | 469,125 | |
| DDR Corp., 7.88%, 09/01/20 | | | 280,000 | | | | 338,447 | |
| DDR Corp., 3.50%, 01/15/21 | | | 145,000 | | | | 149,545 | |
| Digital Realty Trust LP, 3.40%, 10/01/20 | | | 420,000 | | | | 436,967 | |
| Digital Realty Trust LP, 3.95%, 07/01/22 | | | 270,000 | | | | 283,199 | |
| DuPont Fabros Technology LP, 5.88%, 09/15/21 | | | 475,000 | | | | 499,344 | |
Fifth Third Bancorp, 4.50%,
06/01/18 | | | 321,000 | | | | 338,668 | |
| | | | |
| Investments | | Principal | | Value |
CORPORATE BONDS (continued)
| |
Financials (continued)
| |
| First Horizon National Corp., 3.50%, 12/15/20 | | $ | 550,000 | | | $ | 555,593 | |
| First Tennessee Bank NA, 2.95%, 12/01/19 | | | 250,000 | | | | 251,337 | |
| Ford Motor Credit Co. LLC, 8.13%, 01/15/20 | | | 455,000 | | | | 543,093 | |
| Ford Motor Credit Co. LLC, 3.20%, 01/15/21 | | | 650,000 | | | | 670,259 | |
| General Motors Financial Co., Inc., 2.40%, 04/10/18 | | | 355,000 | | | | 357,943 | |
| General Motors Financial Co., Inc., 3.20%, 07/06/21 | | | 700,000 | | | | 701,906 | |
| General Motors Financial Co., Inc., 3.70%, 05/09/23 | | | 280,000 | | | | 281,868 | |
| Goldman Sachs Group, Inc. (The), 5.63%, 01/15/17 | | | 670,000 | | | | 684,857 | |
| Government Properties Income Trust, 3.75%, 08/15/19 | | | 85,000 | | | | 87,251 | |
| HCP, Inc., 3.75%, 02/01/19 | | | 140,000 | | | | 145,043 | |
| Healthcare Trust of America Holdings LP, 3.38%, 07/15/21 | | | 150,000 | | | | 154,319 | |
| Huntington Bancshares, Inc., 7.00%, 12/15/20(b) | | | 200,000 | | | | 234,909 | |
Jefferies Group LLC, 5.13%,
04/13/18 | | | 275,000 | | | | 287,758 | |
| JPMorgan Chase & Co., Series Z, 5.30%@,(a) | | | 40,000 | | | | 39,950 | |
| JPMorgan Chase & Co., 6.13%, 06/27/17 | | | 280,000 | | | | 292,925 | |
| JPMorgan Chase & Co., 2.25%, 01/23/20 | | | 380,000 | | | | 385,418 | |
Kimco Realty Corp., 3.40%,
11/01/22 | | | 105,000 | | | | 110,213 | |
Lazard Group LLC, 4.25%,
11/14/20 | | | 275,000 | | | | 293,004 | |
| Lincoln National Corp., 8.75%, 07/01/19 | | | 125,000 | | | | 147,964 | |
| Lincoln National Corp., 4.20%, 03/15/22 | | | 475,000 | | | | 510,116 | |
| Lincoln National Corp., 6.05%, 04/20/67@ | | | 100,000 | | | | 67,000 | |
Morgan Stanley, 2.13%,
04/25/18 | | | 180,000 | | | | 181,964 | |
| MPT Operating Partnership LP/MPT Finance Corp., 6.38%, 02/15/22 | | | 45,000 | | | | 46,856 | |
| National Retail Properties, Inc., 5.50%, 07/15/21 | | | 250,000 | | | | 287,111 | |
| New York Life Global Funding, 1.95%, 02/11/20‡ | | | 65,000 | | | | 65,845 | |
| Prudential Financial, Inc., 5.20%, 03/15/44@ | | | 300,000 | | | | 294,525 | |
Sabra Health Care LP/Sabra Capital Corp., 5.50%,
02/01/21 | | | 370,000 | | | | 381,100 | |
| Santander Holdings USA, Inc., 2.70%, 05/24/19 | | | 245,000 | | | | 246,344 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES NEWFLEET MULTI-SECTOR INCOME ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
CORPORATE BONDS (continued)
| |
Financials (continued)
| |
| Santander Holdings USA, Inc., 2.65%, 04/17/20 | | $ | 475,000 | | | $ | 469,469 | |
SBA Tower Trust, 2.93%,
12/15/17‡ | | | 725,000 | | | | 726,613 | |
SBA Tower Trust, 3.16%,
10/15/20‡ | | | 425,000 | | | | 431,375 | |
SBA Tower Trust, 2.88%,
07/15/21‡ | | | 780,000 | | | | 780,000 | |
Select Income REIT, 4.15%,
02/01/22 | | | 515,000 | | | | 518,032 | |
| Senior Housing Properties Trust, 3.25%, 05/01/19 | | | 415,000 | | | | 416,980 | |
| Springleaf Finance Corp., 5.25%, 12/15/19 | | | 190,000 | | | | 177,650 | |
State Street Corp., 4.96%,
03/15/18 | | | 300,000 | | | | 314,546 | |
| TIAA Asset Management Finance Co. LLC, 2.95%, 11/01/19‡ | | | 400,000 | | | | 410,107 | |
| Trinity Acquisition PLC, 3.50%, 09/15/21 | | | 130,000 | | | | 134,914 | |
Ventas Realty LP, 4.00%,
04/30/19 | | | 310,000 | | | | 326,871 | |
Voya Financial, Inc., 2.90%,
02/15/18 | | | 279,000 | | | | 284,333 | |
Wells Fargo & Co., 5.13%,
09/15/16 | | | 75,000 | | | | 75,592 | |
| Willis North America, Inc., 6.20%, 03/28/17 | | | 250,000 | | | | 258,131 | |
| Zions Bancorporation, 4.50%, 03/27/17 | | | 330,000 | | | | 334,456 | |
| Total Financials | | | | | | | 21,816,907 | |
Health Care — 1.5%
| |
| AbbVie, Inc., 2.50%, 05/14/20 | | | 540,000 | | | | 552,551 | |
| AbbVie, Inc., 2.30%, 05/14/21 | | | 375,000 | | | | 379,985 | |
Actavis Funding SCS, 3.00%,
03/12/20 | | | 85,000 | | | | 87,738 | |
Actavis Funding SCS, 3.45%,
03/15/22 | | | 85,000 | | | | 88,388 | |
| Centene Corp., 4.75%, 05/15/22 | | | 405,000 | | | | 415,125 | |
| Centene Escrow Corp., 5.63%, 02/15/21‡ | | | 320,000 | | | | 334,400 | |
| CHS/Community Health Systems, Inc., 5.13%, 08/15/18(b) | | | 35,000 | | | | 35,547 | |
| Express Scripts Holding Co., 3.30%, 02/25/21 | | | 100,000 | | | | 104,972 | |
| Forest Laboratories LLC, 4.38%, 02/01/19‡ | | | 200,000 | | | | 211,077 | |
| HCA, Inc., 6.50%, 02/15/20 | | | 185,000 | | | | 205,119 | |
LifePoint Health, Inc., 5.38%,
05/01/24‡ | | | 115,000 | | | | 115,575 | |
| Mylan NV, 3.15%, 06/15/21‡ | | | 170,000 | | | | 172,633 | |
| Owens & Minor, Inc., 3.88%, 09/15/21(b) | | | 95,000 | | | | 98,435 | |
| Quintiles Transnational Corp., 4.88%, 05/15/23‡ | | | 170,000 | | | | 173,400 | |
| Tenet Healthcare Corp., 6.25%, 11/01/18 | | | 150,000 | | | | 159,000 | |
| | | | |
| Investments | | Principal | | Value |
CORPORATE BONDS (continued)
| |
Health Care (continued)
| |
| Tenet Healthcare Corp., 4.15%, 06/15/20@ | | $ | 260,000 | | | $ | 258,050 | |
| Tenet Healthcare Corp., 6.00%, 10/01/20 | | | 105,000 | | | | 111,300 | |
| Universal Health Services, Inc., 4.75%, 08/01/22‡ | | | 195,000 | | | | 198,826 | |
| Zimmer Biomet Holdings, Inc., 3.15%, 04/01/22 | | | 295,000 | | | | 302,760 | |
| Total Health Care | | | | | | | 4,004,881 | |
Industrials — 3.0%
| |
ADT Corp. (The), 6.25%,
10/15/21 | | | 470,000 | | | | 501,725 | |
| America West Airlines Pass-Through Trust, Series 011G, 7.10%, 04/02/21 | | | 855,708 | | | | 916,677 | |
Continental Airlines Class A
Pass-Through Trust, Series 991A, 6.55%, 02/02/19 | | | 278,002 | | | | 296,767 | |
| Continental Airlines Class A-1 Pass-Through Trust, Series 00A1, 8.05%, 11/01/20 | | | 402,488 | | | | 440,221 | |
| Continental Airlines Class A-1 Pass-Through Trust, Series 01A1, 6.70%, 06/15/21 | | | 387,612 | | | | 407,477 | |
| Continental Airlines Class C-2 Pass-Through Trust, Series AMBC, 6.24%, 03/15/20 | | | 173,134 | | | | 183,522 | |
| Delta Air Lines Class A Pass-Through Trust, Series 2A, 4.95%, 05/23/19 | | | 559,823 | | | | 592,712 | |
| Delta Air Lines Class A Pass-Through Trust, Series A, 4.75%, 05/07/20 | | | 887,445 | | | | 941,801 | |
HD Supply, Inc., 5.25%,
12/15/21‡(b) | | | 360,000 | | | | 377,100 | |
| Masco Corp., 3.50%, 04/01/21 | | | 515,000 | | | | 528,029 | |
| Masco Corp., 5.95%, 03/15/22 | | | 400,000 | | | | 448,252 | |
Penske Truck Leasing Co. LP/PTL Finance Corp., 2.50%,
06/15/19 | | | 195,000 | | | | 197,260 | |
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.38%,
02/01/22‡ | | | 230,000 | | | | 234,841 | |
| Standard Industries, Inc., 5.13%, 02/15/21‡ | | | 35,000 | | | | 36,138 | |
| Textron, Inc., 4.63%, 09/21/16 | | | 400,000 | | | | 402,218 | |
| UAL Pass-Through Trust, Series 071A, 6.64%, 07/02/22 | | | 1,184,816 | | | | 1,257,386 | |
| Total Industrials | | | | | | | 7,762,126 | |
Information Technology — 1.2%
| |
| Apple, Inc., 2.25%, 02/23/21 | | | 325,000 | | | | 334,602 | |
| Apple, Inc., 2.85%, 02/23/23 | | | 140,000 | | | | 147,245 | |
| Diamond 1 Finance Corp./Diamond 2 Finance Corp., 3.48%, 06/01/19‡ | | | 20,000 | | | | 20,502 | |
| Diamond 1 Finance Corp./Diamond 2 Finance Corp., 4.42%, 06/15/21‡ | | | 145,000 | | | | 149,407 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES NEWFLEET MULTI-SECTOR INCOME ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
CORPORATE BONDS (continued)
| |
Information Technology (continued)
| |
| Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.88%, 06/15/21‡ | | $ | 75,000 | | | $ | 76,550 | |
| Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.45%, 06/15/23‡ | | | 85,000 | | | | 88,318 | |
| Dun & Bradstreet Corp. (The), 3.25%, 12/01/17 | | | 150,000 | | | | 151,106 | |
| Dun & Bradstreet Corp. (The), 4.00%, 06/15/20 | | | 150,000 | | | | 155,910 | |
Fidelity National Information Services, Inc., 3.63%,
10/15/20 | | | 305,000 | | | | 322,735 | |
First Data Corp., 5.00%,
01/15/24‡ | | | 260,000 | | | | 261,625 | |
| Hewlett Packard Enterprise Co., 2.45%, 10/05/17‡ | | | 435,000 | | | | 440,773 | |
| Hewlett Packard Enterprise Co., 2.85%, 10/05/18‡ | | | 325,000 | | | | 333,000 | |
| Hewlett Packard Enterprise Co., 3.60%, 10/15/20‡ | | | 65,000 | | | | 67,912 | |
LAM Research Corp., 2.80%,
06/15/21 | | | 30,000 | | | | 30,747 | |
| Oracle Corp., 1.90%, 09/15/21 | | | 260,000 | | | | 261,145 | |
| Oracle Corp., 2.40%, 09/15/23 | | | 155,000 | | | | 155,702 | |
| Western Digital Corp., 7.38%, 04/01/23‡ | | | 105,000 | | | | 112,087 | |
| Total Information Technology | | | | | | | 3,109,366 | |
Materials — 0.1%
| |
| Freeport-McMoRan, Inc., 3.88%, 03/15/23 | | | 335,000 | | | | 294,800 | |
Telecommunication Services — 1.2%
| |
| AT&T, Inc., 2.80%, 02/17/21 | | | 840,000 | | | | 862,788 | |
| AT&T, Inc., 3.88%, 08/15/21 | | | 210,000 | | | | 226,502 | |
| AT&T, Inc., 3.00%, 06/30/22 | | | 205,000 | | | | 210,215 | |
| CenturyLink, Inc., Series Y, 7.50%, 04/01/24(b) | | | 365,000 | | | | 369,106 | |
| Crown Castle International Corp., 4.88%, 04/15/22 | | | 355,000 | | | | 390,748 | |
| Frontier Communications Corp., 6.25%, 09/15/21 | | | 185,000 | | | | 175,336 | |
| Frontier Communications Corp., 10.50%, 09/15/22 | | | 65,000 | | | | 69,022 | |
T-Mobile USA, Inc., 6.46%,
04/28/19 | | | 275,000 | | | | 280,500 | |
| Verizon Communications, Inc., 3.65%, 09/14/18 | | | 50,000 | | | | 52,568 | |
| Verizon Communications, Inc., 4.60%, 04/01/21 | | | 125,000 | | | | 140,287 | |
| West Corp., 4.75%, 07/15/21‡ | | | 380,000 | | | | 376,200 | |
| Total Telecommunication Services | | | | | | | 3,153,272 | |
| | | | |
| Investments | | Principal | | Value |
CORPORATE BONDS (continued)
| |
Utilities — 0.3%
| |
AmeriGas Finance LLC/AmeriGas Finance Corp., 7.00%,
05/20/22 | | $ | 235,000 | | | $ | 249,246 | |
| Dominion Resources, Inc., 2.96%, 07/01/19 | | | 50,000 | | | | 50,938 | |
| Exelon Corp., 2.85%, 06/15/20 | | | 555,000 | | | | 573,042 | |
| Total Utilities | | | | | | | 873,226 | |
Total Corporate Bonds
(Cost $49,800,320) | | | | | | | 50,416,409 | |
TERM LOANS — 8.7%
| |
Consumer Discretionary — 2.1%
| |
| Altice US Finance I Corp., 4.25%, 12/14/22@ | | | 478,763 | | | | 478,064 | |
| Aristocrat International Pty Ltd. (Australia), 4.75%, 10/20/21@ | | | 394,154 | | | | 395,598 | |
Boyd Gaming Corp., 4.00%,
08/14/20@ | | | 259,252 | | | | 259,414 | |
| Caesars Entertainment Corp., 1.50%, 10/31/16@ˆ | | | 136,711 | | | | 139,446 | |
| CDS US Intermediate Holdings, Inc., 5.00%, 07/08/22@ | | | 534,958 | | | | 522,086 | |
Charter Communications Operating LLC, 3.25%,
08/24/21@ | | | 89,775 | | | | 89,655 | |
Charter Communications Operating LLC, 3.50%,
01/24/23@ | | | 76,808 | | | | 76,988 | |
Charter Communications Operating, LLC, 3.00%,
07/01/20@ | | | 609,964 | | | | 606,537 | |
| Hilton Worldwide Finance LLC, 3.50%, 10/26/20@ | | | 794,077 | | | | 795,689 | |
Libbey Glass, Inc., 3.75%,
04/09/21@ | | | 304,413 | | | | 303,463 | |
| MGM Growth Properties Operating Partnership LP, 4.00%, 04/25/23@ | | | 625,433 | | | | 627,584 | |
PetSmart, Inc., 4.25%,
03/11/22@ | | | 527,263 | | | | 525,750 | |
| Six Flags Theme Parks, Inc., 3.25%, 06/30/22@ | | | 131,218 | | | | 131,415 | |
Station Casinos LLC, 3.75%,
06/08/23@ | | | 310,000 | | | | 308,772 | |
| Univision Communications, Inc., 4.00%, 03/01/20@ | | | 247,342 | | | | 246,325 | |
| Total Consumer Discretionary | | | | | | | 5,506,786 | |
Consumer Staples — 1.5%
| |
Albertsons LLC, 4.50%,
08/22/21@ | | | 526,599 | | | | 526,836 | |
| Aramark Services, Inc., 3.25%, 09/07/19@ | | | 361,840 | | | | 362,801 | |
| Aramark Services, Inc., 3.25%, 02/24/21@ | | | 492,443 | | | | 493,290 | |
| Coty, Inc., 3.75%, 10/27/22@ | | | 90,250 | | | | 90,287 | |
| Dell International LLC, 06/02/23@ | | | 450,000 | | | | 449,014 | |
| Galleria Co., 3.75%, 01/26/23@ | | | 180,952 | | | | 181,065 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES NEWFLEET MULTI-SECTOR INCOME ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
TERM LOANS (continued)
| |
Consumer Staples (continued)
| |
Hostess Brands LLC, 4.50%,
08/03/22@ | | $ | 679,863 | | | $ | 680,372 | |
| Kronos, Inc., 4.50%, 10/30/19@ | | | 423,996 | | | | 423,572 | |
| Pinnacle Foods Finance LLC, 3.75%, 01/13/23@ | | | 63,680 | | | | 64,074 | |
| Spectrum Brands, Inc., 5.25%, 06/23/22@ | | | 530,183 | | | | 530,886 | |
| Total Consumer Staples | | | | | | | 3,802,197 | |
Energy — 0.2%
| |
| MEG Energy Corp. (Canada), 3.75%, 03/31/20@ | | | 568,107 | | | | 501,863 | |
Financials — 0.4%
| |
Delos Finance Sarl, 3.50%,
03/06/21@ | | | 633,000 | | | | 633,317 | |
Realogy Group LLC, 3.75%,
03/05/20@ | | | 489,950 | | | | 490,011 | |
| Total Financials | | | | | | | 1,123,328 | |
Health Care — 1.1%
| |
| CHS/Community Health Systems, Inc., 3.92%, 12/31/18@ | | | 237,625 | | | | 235,992 | |
| CHS/Community Health Systems, Inc., 4.00%, 01/27/21@ | | | 530,977 | | | | 518,513 | |
| Emdeon, Inc., 3.75%, 11/02/18@ | | | 347,041 | | | | 347,041 | |
| Endo Luxembourg Finance I Co. Sarl (Luxembourg), 3.75%, 09/25/22@ | | | 146,265 | | | | 144,217 | |
| HCA, Inc., 3.71%, 03/17/23@ | | | 613,463 | | | | 616,291 | |
| MPH Acquisition Holdings LLC, 5.00%, 06/07/23@ | | | 112,000 | | | | 112,448 | |
| Quintiles Transnational Corp, 3.25%, 05/12/22@ | | | 75,240 | | | | 75,357 | |
RPI Finance Trust, 3.50%,
11/09/20@ | | | 302,165 | | | | 302,298 | |
Team Health, Inc., 3.75%,
11/23/22@ | | | 224,871 | | | | 225,339 | |
Valeant Pharmaceuticals International, Inc., 4.50%,
02/13/19@ | | | 251,891 | | | | 245,516 | |
| Total Health Care | | | | | | | 2,823,012 | |
Industrials — 1.1%
| |
Air Canada (Canada), 4.00%,
09/26/19@ | | | 230,300 | | | | 230,636 | |
| American Airlines, Inc., 3.25%, 06/27/20@ | | | 80,975 | | | | 80,090 | |
| American Airlines, Inc., 3.50%, 10/10/21@ | | | 251,460 | | | | 249,825 | |
| American Airlines, Inc., 3.50%, 04/28/23@ | | | 500,000 | | | | 495,492 | |
| AWAS Finance Luxembourg 2012 SA, 3.50%, 07/16/18@ | | | 423,264 | | | | 423,969 | |
McGraw-Hill Global Education Holdings LLC, 5.00%,
05/04/22@ | | | 226,000 | | | | 226,056 | |
| Nortek, Inc., 3.50%, 10/30/20@ | | | 586,190 | | | | 583,259 | |
| | | | |
| Investments | | Principal | | Value |
TERM LOANS (continued)
| |
Industrials (continued)
| |
TransDigm, Inc., 3.75%,
06/04/21@ | | $ | 542,712 | | | $ | 537,432 | |
United Airlines, Inc., 3.50%,
09/15/21@ | | | 103,710 | | | | 103,684 | |
| Total Industrials | | | | | | | 2,930,443 | |
Information Technology — 0.5%
| |
Abacus Innovations Corp.,
06/09/23@ | | | 191,000 | | | | 191,079 | |
| Blue Coat Systems, Inc., 4.50%, 05/26/22@ | | | 218,900 | | | | 218,900 | |
First Data Corp., 4.45%,
03/24/21@ | | | 590,931 | | | | 589,948 | |
| NXP BV (Netherlands), 3.75%, 12/07/20@ | | | 185,554 | | | | 186,177 | |
| ON Semiconductor Corp., 5.25%, 03/31/23@ | | | 245,000 | | | | 246,404 | |
| Total Information Technology | | | | | | | 1,432,508 | |
Materials — 0.7%
| |
| Anchor Glass Container Corp., 4.75%, 07/01/22@ | | | 594,984 | | | | 594,056 | |
| Huntsman International LLC, 4.25%, 04/01/23@ | | | 231,420 | | | | 231,926 | |
| Ineos U.S. Finance LLC, 3.75%, 12/15/20@ | | | 193,798 | | | | 189,761 | |
Owens-Brockway Glass Container, Inc., 3.50%,
09/01/22@ | | | 603,612 | | | | 603,486 | |
PolyOne Corp., 3.50%,
11/12/22@ | | | 173,131 | | | | 173,131 | |
| Total Materials | | | | | | | 1,792,360 | |
Telecommunication Services — 0.5%
| |
| Level 3 Financing, Inc., 4.00%, 01/15/20@ | | | 225,000 | | | | 225,140 | |
| Level 3 Financing, Inc., 3.50%, 05/31/22@ | | | 290,000 | | | | 289,384 | |
T-Mobile USA, Inc., 3.50%,
11/09/22@ | | | 380,090 | | | | 381,814 | |
| Virgin Media Investment Holdings Ltd. (United Kingdom), 3.65%, 06/30/23@ | | | 336,661 | | | | 328,953 | |
| Total Telecommunication Services | | | | | | | 1,225,291 | |
Utilities — 0.6%
| |
| Calpine Corp., 3.50%, 05/27/22@ | | | 444,510 | | | | 440,527 | |
| Dynegy, Inc., 06/27/23@ | | | 686,000 | | | | 676,784 | |
NRG Energy, Inc., 2.75%,
07/01/18@ | | | 383,203 | | | | 380,425 | |
| NRG Energy, Inc., 06/30/23@ | | | 6,211 | | | | 6,173 | |
| Total Utilities | | | | | | | 1,503,909 | |
Total Term Loans
(Cost $22,730,884) | | | | | | | 22,641,697 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES NEWFLEET MULTI-SECTOR INCOME ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
FOREIGN BONDS — 4.9%
| |
Consumer Discretionary — 0.5%
| |
| Alibaba Group Holding Ltd. (China), 2.50%, 11/28/19 | | $ | 700,000 | | | $ | 709,303 | |
| Delphi Automotive PLC (United Kingdom), 3.15%, 11/19/20 | | | 530,000 | | | | 545,705 | |
| Total Consumer Discretionary | | | | | | | 1,255,008 | |
Energy — 0.5%
| |
| Encana Corp. (Canada), 3.90%, 11/15/21(b) | | | 555,000 | | | | 539,601 | |
| Petroleos Mexicanos (Mexico), 4.88%, 01/24/22 | | | 645,000 | | | | 661,054 | |
| Total Energy | | | | | | | 1,200,655 | |
Financials — 1.7%
| |
Aercap Ireland Capital Ltd./Aercap Global Aviation Trust (Ireland), 3.95%,
02/01/22 | | | 150,000 | | | | 150,375 | |
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Ireland), 4.25%,
07/01/20 | | | 165,000 | | | | 168,300 | |
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Ireland), 4.50%,
05/15/21 | | | 405,000 | | | | 415,935 | |
| Axis Bank Ltd. (India), 3.25%, 05/21/20‡ | | | 450,000 | | | | 460,739 | |
| Corp. Andina de Fomento (Venezuela), 2.00%, 05/10/19 | | | 420,000 | | | | 425,216 | |
| Guanay Finance Ltd. (Chile), 6.00%, 12/15/20‡ | | | 648,762 | | | | 647,140 | |
| HSBC Holdings PLC (United Kingdom), 2.95%, 05/25/21 | | | 640,000 | | | | 647,069 | |
Industrial & Commercial Bank of China Ltd. (China), 3.23%,
11/13/19 | | | 475,000 | | | | 493,923 | |
Korea Development Bank (The) (South Korea), 4.63%,
11/16/21 | | | 375,000 | | | | 425,854 | |
| WEA Finance LLC/Westfield UK & Europe Finance PLC (Australia), 3.25%, 10/05/20‡(b) | | | 535,000 | | | | 557,324 | |
| XLIT Ltd., Series E (Ireland), 6.50%@,(a) | | | 105,000 | | | | 73,238 | |
| Total Financials | | | | | | | 4,465,113 | |
Health Care — 0.1%
| |
| Fresenius US Finance II, Inc. (Germany), 4.50%, 01/15/23‡ | | | 140,000 | | | | 143,850 | |
Industrials — 0.8%
| |
Air Canada Class B Pass-Through Trust (Canada), 5.38%,
05/15/21‡(b) | | | 453,252 | | | | 456,085 | |
BAE Systems Holdings, Inc. (United Kingdom), 2.85%,
12/15/20‡ | | | 145,000 | | | | 148,315 | |
| Bombardier, Inc. (Canada), 4.75%, 04/15/19‡ | | | 240,000 | | | | 230,400 | |
| | | | |
| Investments | | Principal | | Value |
FOREIGN BONDS (continued)
| |
Industrials (continued)
| |
| British Airways Class B Pass-Through Trust (United Kingdom), 5.63%, 06/20/20‡ | | $ | 280,345 | | | $ | 292,260 | |
| Virgin Australia Trust, Series 2013-1A (Australia), 5.00%, 10/23/23‡ | | | 1,029,114 | | | | 1,063,950 | |
| Total Industrials | | | | | | | 2,191,010 | |
Information Technology — 0.1%
| |
NXP BV/NXP Funding LLC (Netherlands), 4.13%,
06/01/21‡ | | | 300,000 | | | | 305,250 | |
Materials — 0.4%
| |
Airgas, Inc. (France), 3.05%,
08/01/20 | | | 43,000 | | | | 44,781 | |
| Methanex Corp. (Canada), 3.25%, 12/15/19 | | | 100,000 | | | | 97,201 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu (New Zealand), 4.13%,
07/15/21@‡ | | | 670,000 | | | | 673,350 | |
| Teck Resources Ltd. (Canada), 8.00%, 06/01/21‡ | | | 55,000 | | | | 56,788 | |
| Vale Overseas Ltd. (Brazil), 5.88%, 06/10/21 | | | 275,000 | | | | 276,031 | |
| Total Materials | | | | | | | 1,148,151 | |
Sovereign Government — 0.5%
| |
| Argentine Republic Government International Bond (Argentina), 6.25%, 04/22/19‡ | | | 365,000 | | | | 381,425 | |
| Argentine Republic Government International Bond (Argentina), 6.88%, 04/22/21‡ | | | 365,000 | | | | 390,185 | |
Oman Government International Bond (Oman), 3.63%,
06/15/21‡ | | | 425,000 | | | | 429,887 | |
| Provincia de Buenos Aires (Argentina), 5.75%, 06/15/19‡ | | | 205,000 | | | | 207,819 | |
| Total Sovereign Government | | | | | | | 1,409,316 | |
Utilities — 0.3%
| |
| Majapahit Holding BV (Indonesia), 7.75%, 01/20/20‡ | | | 245,000 | | | | 280,647 | |
State Grid Overseas Investment 2014 Ltd. (China), 2.75%,
05/07/19‡ | | | 500,000 | | | | 515,435 | |
| Total Utilities | | | | | | | 796,082 | |
Total Foreign Bonds
(Cost $12,710,645) | | | | | | | 12,914,435 | |
U.S. GOVERNMENT AGENCY SECURITIES — 1.7%
| |
| Federal Home Loan Mortgage Corporation, 3.50%, 03/01/45 | | | 524,925 | | | | 558,047 | |
| Federal National Mortgage Association, 2.50%, 02/01/31 | | | 1,683,289 | | | | 1,743,693 | |
| Federal National Mortgage Association, 3.00%, 10/01/30 | | | 947,322 | | | | 993,976 | |
| Federal National Mortgage Association, 3.00%, 10/01/30 | | | 651,163 | | | | 683,231 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES NEWFLEET MULTI-SECTOR INCOME ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
U.S. GOVERNMENT AGENCY SECURITIES (continued)
| |
Federal National Mortgage Association, Class NA, Series 2009-36, 5.00%,
06/25/37 | | $ | 98,223 | | | $ | 104,870 | |
Federal National Mortgage Association, Class PA, Series 2012-10, 4.00%,
11/25/41 | | | 241,730 | | | | 250,518 | |
Total U.S. Government Agency Securities
(Cost $4,285,592) | | | | | | | 4,334,335 | |
U.S. TREASURY NOTE — 0.4%
| |
U.S. Treasury Note,
01/31/21, 1.38%
(Cost $1,007,855) | | | 1,000,000 | | | | 1,017,695 | |
MONEY MARKET FUND — 5.2%
| |
BlackRock Liquidity Funds TempFund Portfolio – Institutional Class 0.43%(c)
(Cost $13,699,091) | | | 13,699,091 | | | | 13,699,091 | |
REPURCHASE AGREEMENTS — 1.4%(d)
| |
| Citibank NA, dated 06/30/16, due 07/01/16, 0.44%, total to be received $364,837, (collateralized by various U.S. Government Agency Obligations, 1.38% – 9.00%, 10/20/18 – 01/20/46, totaling $370,375) | | | 364,833 | | | | 364,833 | |
Citigroup Global Markets, Inc., dated 06/30/16, due
07/01/16, 0.44%, total to be received $547,257, (collateralized by various U.S. Government Agency Obligations, 0.50% – 7.50%, 04/30/17 – 03/15/57, totaling $556,852) | | | 547,250 | | | | 547,250 | |
Daiwa Capital Markets America, dated 06/30/16, due
07/01/16, 0.50%, total to be received $849,163, (collateralized by various U.S. Government Agency Obligations, 0.00% – 9.00%, 07/07/16 – 02/01/49, totaling $863,433) | | | 849,151 | | | | 849,151 | |
| Merrill Lynch Pierce Fenner & Smith, Inc., dated 06/30/16, due 07/01/16, 0.44%, total to be received $849,161, (collateralized by various U.S. Government Agency Obligations, 4.00%, 03/20/46 – 05/20/46, totaling $863,541) | | | 849,151 | | | | 849,151 | |
| | | | |
| Investments | | Principal | | Value |
REPURCHASE AGREEMENTS (continued)
| |
| Mizuho Securities USA, Inc., dated 06/30/16, due 07/01/16, 0.45%, total to be received $188,753, (collateralized by various U.S. Government Agency Obligations, 1.00% – 8.00%, 06/01/22 – 11/20/45, totaling $192,017) | | $ | 188,751 | | | $ | 188,751 | |
Nomura Securities International, Inc., dated 06/30/16, due
07/01/16, 0.42%, total to be received $849,161, (collateralized by various U.S. Government Agency Obligations, 0.00% – 8.00%, 12/01/16 – 02/20/66, totaling $863,624) | | | 849,151 | | | | 849,151 | |
| Total Repurchase Agreements (Cost $3,648,287) | | | | | | | 3,648,287 | |
Total Investments — 102.4%
(Cost $268,566,895) | | | | | | | 267,591,287 | |
| Liabilities in Excess of Other Assets — (2.4)% | | | | | | | (6,327,799 | ) |
Net Assets — 100.0%
| | | | | | $ | 261,263,488 | |
LP — Limited Partnership
PLC — Public Limited Company
| @ | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2016. |
| ‡ | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. |
| (a) | Perpetual security with no stated maturity date. |
| (b) | All or a portion of security is on loan. The aggregate market value of the securities on loan is $4,248,393; the aggregate market value of the collateral held by the fund is $4,340,535. The aggregate market value of the collateral includes non-cash U.S. Treasury securities collateral having a value of $692,248. |
| (c) | Rate shown reflects the 7-day yield as of June 30, 2016. |
| (d) | Collateral received from brokers for securities lending was invested in these short-term investments. |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES NEWFLEET MULTI-SECTOR INCOME ETF
Schedule of Investments (continued)
June 30, 2016
SUMMARY OF SCHEDULE OF INVESTMENTS
| | |
| | % of
Net Assets |
| Asset Backed Securities | | | 25.9 | % |
| Commercial Mortgage Backed Securities | | | 17.0 | |
| Consumer Discretionary | | | 4.4 | |
| Consumer Staples | | | 1.6 | |
| Energy | | | 2.4 | |
| Financials | | | 10.5 | |
| Health Care | | | 2.7 | |
| Industrials | | | 4.9 | |
| Information Technology | | | 1.8 | |
| Materials | | | 1.2 | |
| Residential Mortgage Backed Securities | | | 17.7 | |
| Sovereign Government | | | 0.5 | |
| Telecommunication Services | | | 1.7 | |
| U.S. Government Agency Securities | | | 1.9 | |
| U.S. Treasury Note | | | 0.4 | |
| Utilities | | | 1.2 | |
| Money Market Fund | | | 5.2 | |
| Repurchase Agreements | | | 1.4 | |
| Total Investments | | | 102.4 | |
| Liabilities in Excess of Other Assets | | | (2.4 | ) |
| Net Assets | | | 100.0 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES PACIFIC ASSET ENHANCED FLOATING RATE ETF
Schedule of Investments
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
TERM LOANS — 77.6%
| |
Advertising — 1.8%
| |
| Acosta, Inc., 4.25%, 09/26/21@ | | $ | 493,759 | | | $ | 475,861 | |
Aerospace & Defense — 3.3%
| |
| Hamilton Sundstrand Industrial, 4.00%, 12/13/19 (Luxembourg)@ | | | 488,586 | | | | 439,728 | |
TransDigm, Inc., 3.75%,
06/09/23@ | | | 440,089 | | | | 434,588 | |
| Total Aerospace & Defense | | | | | | | 874,316 | |
Auto Parts & Equipment — 3.6%
| |
| Cooper-Standard Automotive, 4.00%, 04/04/21@ | | | 492,462 | | | | 492,216 | |
| Federal-Mogul Holdings Corp., 4.75%, 04/15/21@ | | | 493,719 | | | | 459,929 | |
| Total Auto Parts & Equipment | | | | | | | 952,145 | |
Building Materials — 1.8%
| |
| GYP Holdings III Corp., 4.75%, 04/01/21@ | | | 493,703 | | | | 486,709 | |
Chemicals — 0.9%
| |
MacDermid, Inc., 5.50%,
06/07/20@ | | | 246,250 | | | | 243,557 | |
Commercial Services — 5.5%
| |
| Allied Security Holdings LLC, 4.25%, 02/12/21@ | | | 492,812 | | | | 491,580 | |
| Brickman Group Ltd. LLC (The), 5.50%, 12/18/20@ | | | 246,843 | | | | 243,217 | |
| Brickman Group Ltd. LLC (The), 7.50%, 12/17/21@ | | | 250,000 | | | | 245,261 | |
| ServiceMaster Co. LLC (The), 4.25%, 07/01/21@ | | | 492,481 | | | | 493,609 | |
| Total Commercial Services | | | | | | | 1,473,667 | |
Computers — 1.9%
| |
| Western Digital Corp., 6.25%, 04/29/23@ | | | 500,000 | | | | 502,735 | |
Distribution/Wholesale — 3.6%
| |
Spin Holdco, Inc., 4.25%,
11/14/19@ | | | 493,117 | | | | 484,692 | |
| Univar, Inc., 4.25%, 07/01/22@ | | | 496,250 | | | | 490,047 | |
| Total Distribution/Wholesale | | | | | | | 974,739 | |
Diversified Financial Services — 0.9%
| |
AlixPartners LLP, 4.50%,
07/28/22@ | | | 248,125 | | | | 248,188 | |
Entertainment — 1.8%
| |
| Scientific Games International, Inc., 6.00%, 10/01/21@ | | | 492,500 | | | | 486,405 | |
Environmental Control — 0.9%
| |
| Waste Industries USA, Inc., 4.25%, 02/27/20@ | | | 246,875 | | | | 247,749 | |
| | | | |
| Investments | | Principal | | Value |
TERM LOANS (continued)
| |
Food — 3.6%
| |
Albertsons LLC, 4.75%,
06/22/23@ | | $ | 458,183 | | | $ | 458,125 | |
U.S. Foods, Inc., 5.75%,
06/15/23@ | | | 493,655 | | | | 492,781 | |
| Total Food | | | | | | | 950,906 | |
Hand/Machine Tools — 1.8%
| |
| Apex Tool Group LLC, 4.50%, 01/31/20@ | | | 492,994 | | | | 483,135 | |
Healthcare – Services — 3.6%
| |
| CHS/Community Health Systems, Inc., 3.75%, 12/31/19@ | | | 173,857 | | | | 169,370 | |
| CHS/Community Health Systems, Inc., 4.00%, 01/27/21@ | | | 319,893 | | | | 312,383 | |
IASIS Healthcare LLC, 4.50%,
05/03/18@ | | | 493,606 | | | | 493,066 | |
| Total Healthcare — Services | | | | | | | 974,819 | |
Household Products/Wares — 1.8%
| |
Reynolds Group Holdings, Inc., 4.50%, 12/01/18
(New Zealand)@ | | | 487,336 | | | | 488,042 | |
Insurance — 1.8%
| |
| HUB International Ltd., 4.00%, 10/02/20@ | | | 246,222 | | | | 242,476 | |
| USI, Inc., 4.25%, 12/27/19@ | | | 246,203 | | | | 243,433 | |
| Total Insurance | | | | | | | 485,909 | |
Internet — 0.8%
| |
Zayo Group LLC, 3.75%,
05/06/21@ | | | 223,071 | | | | 222,214 | |
Leisure Time — 3.2%
| |
| 24 Hour Fitness Worldwide, Inc., 4.75%, 05/28/21@ | | | 246,231 | | | | 237,921 | |
Bombardier Recreational Products, Inc., 3.75%,
01/30/19 (Canada)@ | | | 250,000 | | | | 247,969 | |
| ClubCorp Club Operations, Inc., 4.25%, 12/15/22@ | | | 374,521 | | | | 373,429 | |
| Total Leisure Time | | | | | | | 859,319 | |
Lodging — 2.5%
| |
Caesars Entertainment Resort Properties LLC, 7.00%,
10/09/20@ | | | 246,212 | | | | 236,241 | |
Caesars Growth Properties Holdings LLC, 6.25%,
05/08/21@ | | | 246,231 | | | | 232,176 | |
| Hilton Worldwide Finance LLC, 3.50%, 10/26/20@ | | | 211,250 | | | | 211,679 | |
| Total Lodging | | | | | | | 680,096 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES PACIFIC ASSET ENHANCED FLOATING RATE ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
TERM LOANS (continued)
| |
Machinery-Diversified — 1.7%
| |
| Rexnord, 4.00%, 08/21/20@ | | $ | 467,738 | | | $ | 463,386 | |
Media — 1.6%
| |
| Altice US Finance I Corp., 4.25%, 12/14/22@ | | | 247,437 | | | | 247,075 | |
| iHeartCommunications, Inc., 7.21%, 01/30/19@ | | | 250,000 | | | | 183,473 | |
| Total Media | | | | | | | 430,548 | |
Mining — 1.3%
| |
| FMG Resources Pty. Ltd., 4.25%, 06/30/19 (Australia)@ | | | 376,039 | | | | 360,997 | |
Miscellaneous Manufacturing — 0.9%
| |
Gates Global LLC, 4.25%,
07/06/21@ | | | 242,685 | | | | 230,854 | |
Packaging & Containers — 5.4%
| |
| Ardagh Holdings USA, Inc., 4.00%, 12/17/19 (Ireland)@ | | | 467,287 | | | | 467,287 | |
BWAY Holding Co., 7.00%,
08/14/20@ | | | 479,302 | | | | 478,403 | |
| SIG Combibloc, 4.25%, 03/11/22 (Luxembourg)@ | | | 493,750 | | | | 491,052 | |
| Total Packaging & Containers | | | | | | | 1,436,742 | |
Pharmaceuticals — 1.8%
| |
Valeant Pharmaceuticals International, Inc., 5.00%,
04/01/22@ | | | 486,575 | | | | 474,613 | |
Retail — 16.1%
| |
| BJ's Wholesale Club, Inc., 4.50%, 09/26/19@ | | | 481,873 | | | | 477,830 | |
| Burger King, 3.75%, 12/10/21 (Canada)@ | | | 375,667 | | | | 375,667 | |
| CEC Entertainment, Inc., 4.00%, 02/15/21@ | | | 492,443 | | | | 479,310 | |
Dollar Tree, Inc., 3.50%,
07/06/22@ | | | 144,003 | | | | 144,243 | |
| Doosan Infracore International, Inc., 4.50%, 05/28/21@ | | | 220,779 | | | | 221,331 | |
Jo-Ann Stores LLC, 4.00%,
03/16/18@ | | | 238,314 | | | | 236,527 | |
Leslie's Poolmart, 4.25%,
10/16/19@ | | | 246,164 | | | | 244,933 | |
Michaels Stores, Inc., 4.00%,
01/28/20@ | | | 202,520 | | | | 202,868 | |
| Neiman Marcus Group Ltd. LLC, 4.25%, 10/25/20@ | | | 493,687 | | | | 444,711 | |
| NPC International, Inc., 4.75%, 12/28/18@ | | | 491,427 | | | | 491,221 | |
| PetSmart, Inc., 4.25%, 03/11/22@ | | | 495,000 | | | | 493,579 | |
| Rite Aid Corp., 5.75%, 08/21/20@ | | | 250,000 | | | | 250,469 | |
| Smart & Final Stores LLC, 4.00%, 11/15/19@ | | | 250,000 | | | | 248,359 | |
| Total Retail | | | | | | | 4,311,048 | |
| | | | |
| Investments | | Principal | | Value |
TERM LOANS (continued)
| |
Semiconductors — 1.9%
| |
Microsemi Corp., 5.25%,
01/15/23@ | | $ | 117,923 | | | $ | 117,873 | |
| ON Semiconductor Corp., 5.25%, 03/31/23@ | | | 375,000 | | | | 377,149 | |
| Total Semiconductors | | | | | | | 495,022 | |
Software — 1.8%
| |
Infor U.S., Inc., 3.75%,
06/03/20@ | | | 246,143 | | | | 240,683 | |
| Solera LLC, 5.75%, 03/03/23@ | | | 249,375 | | | | 249,608 | |
| Total Software | | | | | | | 490,291 | |
Total Term Loans
(Cost $21,108,224) | | | | | | | 20,804,012 | |
CORPORATE BONDS — 9.2%
| |
Commercial Services — 0.5%
| |
| United Rentals North America, Inc., 7.38%, 05/15/20(a) | | | 130,000 | | | | 135,200 | |
Diversified Financial Services — 0.9%
| |
Jefferies Finance LLC, 7.38%,
04/01/20‡ | | | 250,000 | | | | 232,813 | |
Electric — 1.6%
| |
| Dynegy, Inc., 6.75%, 11/01/19 | | | 250,000 | | | | 251,562 | |
GenOn Energy, Inc., 9.88%,
10/15/20 | | | 250,000 | | | | 178,750 | |
| Total Electric | | | | | | | 430,312 | |
Entertainment — 0.5%
| |
| Penn National Gaming, Inc., 5.88%, 11/01/21(a) | | | 124,000 | | | | 126,790 | |
Healthcare – Services — 0.9%
| |
| Tenet Healthcare Corp., 8.00%, 08/01/20 | | | 250,000 | | | | 256,563 | |
Home Builders — 1.0%
| |
| Lennar Corp., 4.50%, 06/15/19 | | | 250,000 | | | | 260,725 | |
Lodging — 1.5%
| |
Caesars Entertainment Resort Properties LLC, 8.00%,
10/01/20 | | | 125,000 | | | | 125,937 | |
| MGM Resorts International, 6.75%, 10/01/20 | | | 250,000 | | | | 274,375 | |
| Total Lodging | | | | | | | 400,312 | |
Media — 1.0%
| |
| Neptune Finco Corp., 6.63%, 10/15/25‡ | | | 250,000 | | | | 263,125 | |
Real Estate — 0.6%
| |
| Howard Hughes Corp. (The), 6.88%, 10/01/21‡ | | | 150,000 | | | | 151,875 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES PACIFIC ASSET ENHANCED FLOATING RATE ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Shares/
Principal | | Value |
| CORPORATE BONDS (continued) | |
Telecommunications — 0.7%
| |
| Sprint Communications, Inc., 6.00%, 11/15/22 | | $ | 250,000 | | | $ | 197,975 | |
Total Corporate Bonds
(Cost $2,569,420) | | | | | | | 2,455,690 | |
MONEY MARKET FUND — 12.9%
| |
| JP Morgan US Government Money Market Fund – Institutional Class, 0.27%(b) (Cost $3,467,034) | | | 3,467,034 | | | | 3,467,034 | |
REPURCHASE AGREEMENT — 0.6%(c)
| |
Daiwa Capital Markets America, dated 06/30/16, due 07/01/16, 0.50%, total to be received $148,910, (collateralized by various U.S. Government Agency Obligations, 0.00% – 9.00%, 07/07/16 – 02/01/49, totaling $151,412)
(Cost $148,908) | | | 148,908 | | | | 148,908 | |
Total Investments — 100.3%
(Cost $27,293,586) | | | | | | | 26,875,644 | |
| Liabilities in Excess of Other Assets — (0.3)% | | | | | | | (75,311 | ) |
Net Assets — 100.0%
| | | | | | $ | 26,800,333 | |
| ‡ | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. |
| @ | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2016. |
| (a) | All or a portion of security is on loan. The aggregate market value of the securities on loan is $249,985; the aggregate market value of the collateral held by the fund is $256,077. The aggregate market value of the collateral includes non-cash U.S. Treasury securities collateral having a value of $107,169. |
| (b) | Rate shown reflects the 7-day yield as of June 30, 2016. |
| (c) | Collateral received from brokers for securities lending was invested in these short-term investments. |
Total Return Swaps contracts outstanding as of June 30, 2016:
| | | | | | | | | | | | |
| Reference Entity | | Number of
Contracts | | Annual
Financing
Rate
Received
(Paid) | | Termination
Date | | Notional
Amount | | Fair
Value | | Unrealized
Appreciation/
(Depreciation) |
| iBoxx USD Liquid Leveraged Loans | | | 3,000,000 | | | | (0.65 | )% | | | 3/20/2017 | | | $ | 3,000,000 | | | $ | 2,982,864 | | | $ | (17,136 | ) |
J.P. Morgan Chase Bank acts as the counterparty to the total return swap contracts listed above. The Fund either receives fees from, or pays fees to, the counterparty, depending upon the total return of the benchmark, and the agreed-upon floating financing rate based on Libor.
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES PERITUS HIGH YIELD ETF
Schedule of Investments
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
CORPORATE BONDS — 66.9%
| |
Aerospace/Defense — 1.1%
| |
Triumph Group, Inc., 5.25%,
06/01/22 | | $ | 2,329,000 | | | $ | 2,154,325 | |
Agriculture — 2.0%
| |
| Alliance One International, Inc., 9.88%, 07/15/21(a) | | | 3,475,000 | | | | 2,945,062 | |
Vector Group Ltd., 7.75%,
02/15/21‡ | | | 1,000,000 | | | | 1,046,250 | |
| Total Agriculture | | | | | | | 3,991,312 | |
Auto Parts & Equipment — 2.0%
| |
| Goodyear Tire & Rubber Co. (The), 5.00%, 05/31/26 | | | 1,500,000 | | | | 1,531,875 | |
| Titan International, Inc., 6.88%, 10/01/20(a) | | | 3,056,000 | | | | 2,586,140 | |
| Total Auto Parts & Equipment | | | | | | | 4,118,015 | |
Beverages — 1.0%
| |
Innovation Ventures LLC/Innovation Ventures Finance Corp., 9.50%,
08/15/19‡ | | | 1,871,000 | | | | 1,962,211 | |
Biotechnology — 1.5%
| |
| AMAG Pharmaceuticals, Inc., 7.88%, 09/01/23‡(a) | | | 3,384,000 | | | | 3,045,600 | |
Building Materials — 0.7%
| |
US Concrete, Inc., 6.38%,
06/01/24‡ | | | 1,500,000 | | | | 1,503,750 | |
Chemicals — 2.5%
| |
CVR Partners LP/CVR Nitrogen Finance Corp., 9.25%,
06/15/23‡(a) | | | 3,000,000 | | | | 3,063,750 | |
| Hexion, Inc., 10.00%, 04/15/20 | | | 2,186,000 | | | | 2,049,375 | |
| Total Chemicals | | | | | | | 5,113,125 | |
Coal — 0.2%
| |
Arch Coal, Inc., 8.00%,
01/15/19ˆ‡ | | | 13,037,000 | | | | 358,518 | |
Commercial Services — 5.1%
| |
APX Group, Inc., 7.88%,
12/01/22‡(a) | | | 1,000,000 | | | | 1,011,250 | |
| Constellis Holdings LLC/Constellis Finance Corp., 9.75%, 05/15/20‡ | | | 2,642,000 | | | | 2,535,659 | |
Quad/Graphics, Inc., 7.00%,
05/01/22 | | | 3,657,000 | | | | 3,245,588 | |
| StoneMor Partners LP/Cornerstone Family Services of West Virginia Subsidiary, 7.88%, 06/01/21 | | | 2,261,000 | | | | 2,249,695 | |
| United Rentals North America, Inc., 5.88%, 09/15/26 | | | 1,200,000 | | | | 1,197,000 | |
| Total Commercial Services | | | | | | | 10,239,192 | |
| | | | |
| Investments | | Principal | | Value |
CORPORATE BONDS (continued)
| |
Computers — 3.3%
| |
| Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.88%, 06/15/21‡(a) | | $ | 1,250,000 | | | $ | 1,275,827 | |
| Diamond 1 Finance Corp./Diamond 2 Finance Corp., 7.13%, 06/15/24‡(a) | | | 750,000 | | | | 784,261 | |
| Diebold, Inc., 8.50%, 04/15/24‡ | | | 1,500,000 | | | | 1,492,500 | |
| Harland Clarke Holdings Corp., 9.25%, 03/01/21‡ | | | 3,594,000 | | | | 3,018,601 | |
| Total Computers | | | | | | | 6,571,189 | |
Distribution/Wholesale — 0.8%
| |
| Performance Food Group, Inc., 5.50%, 06/01/24‡ | | | 1,500,000 | | | | 1,530,000 | |
Diversified Financial Services — 3.3%
| |
CNG Holdings, Inc., 9.38%,
05/15/20‡ | | | 5,032,000 | | | | 2,490,840 | |
| Creditcorp, 12.00%, 07/15/18‡ | | | 6,093,000 | | | | 2,376,270 | |
Speedy Cash Intermediate Holdings Corp., 10.75%,
05/15/18‡ | | | 3,099,000 | | | | 1,797,420 | |
| Total Diversified Financial Services | | | | | | | 6,664,530 | |
Electric — 0.4%
| |
NRG Energy, Inc., 7.25%,
05/15/26‡(a) | | | 750,000 | | | | 750,000 | |
Electrical Components & Equipment — 1.5%
| |
| Artesyn Embedded Technologies, Inc., 9.75%, 10/15/20‡ | | | 3,311,000 | | | | 2,930,235 | |
Electronics — 1.1%
| |
Kemet Corp., 10.50%,
05/01/18(a) | | | 2,355,000 | | | | 2,249,025 | |
Entertainment — 1.5%
| |
| EMI Music Publishing Group North America Holdings, Inc., 7.63%, 06/15/24‡ | | | 600,000 | | | | 618,000 | |
| WMG Acquisition Corp., 6.75%, 04/15/22‡ | | | 2,414,000 | | | | 2,444,175 | |
| Total Entertainment | | | | | | | 3,062,175 | |
Food — 4.9%
| |
| Albertsons Cos. LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC, 6.63%, 06/15/24‡ | | | 1,100,000 | | | | 1,138,500 | |
| Bi-Lo LLC/Bi-Lo Finance Corp., 9.25%, 02/15/19‡(a) | | | 3,101,000 | | | | 2,713,375 | |
| Fresh Market, Inc. (The), 9.75%, 05/01/23‡(a) | | | 1,000,000 | | | | 940,000 | |
Simmons Foods, Inc., 7.88%,
10/01/21‡ | | | 3,199,000 | | | | 2,919,087 | |
SUPERVALU, Inc., 6.75%,
06/01/21(a) | | | 2,612,000 | | | | 2,207,088 | |
| Total Food | | | | | | | 9,918,050 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES PERITUS HIGH YIELD ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
CORPORATE BONDS (continued)
| |
Gas — 1.0%
| |
AmeriGas Partners LP/AmeriGas Finance Corp., 5.63%,
05/20/24 | | $ | 1,000,000 | | | $ | 1,008,750 | |
AmeriGas Partners LP/AmeriGas Finance Corp., 5.88%,
08/20/26 | | | 1,000,000 | | | | 1,003,750 | |
| Total Gas | | | | | | | 2,012,500 | |
Healthcare – Products — 2.1%
| |
Greatbatch Ltd., 9.13%,
11/01/23‡ | | | 1,936,000 | | | | 1,933,580 | |
| Mallinckrodt International Finance SA/Mallinckrodt CB LLC, 5.63%, 10/15/23‡ | | | 2,455,000 | | | | 2,298,494 | |
| Total Healthcare – Products | | | | | | | 4,232,074 | |
Healthcare – Services — 1.1%
| |
Select Medical Corp., 6.38%,
06/01/21(a) | | | 2,236,000 | | | | 2,157,740 | |
Home Furnishings — 0.1%
| |
| Tempur Sealy International, Inc., 5.50%, 06/15/26‡ | | | 250,000 | | | | 246,250 | |
Leisure Time — 1.2%
| |
| Icon Health & Fitness, Inc., 11.88%, 10/15/16‡(a) | | | 2,433,000 | | | | 2,433,000 | |
Machinery – Diversified — 1.4%
| |
| Xerium Technologies, Inc., 8.88%, 06/15/18 | | | 2,904,000 | | | | 2,874,960 | |
Media — 2.5%
| |
Gray Television, Inc., 5.88%,
07/15/26‡ | | | 1,250,000 | | | | 1,256,250 | |
Lee Enterprises, Inc., 9.50%,
03/15/22‡(a) | | | 2,845,000 | | | | 2,816,550 | |
Sirius XM Radio, Inc., 5.38%,
07/15/26‡ | | | 1,000,000 | | | | 995,000 | |
| Total Media | | | | | | | 5,067,800 | |
Metal Fabricate/Hardware — 0.6%
| |
| Zekelman Industries, Inc., 9.88%, 06/15/23‡ | | | 1,100,000 | | | | 1,113,750 | |
Miscellaneous Manufacturing — 2.5%
| |
| Koppers, Inc., 7.88%, 12/01/19 | | | 2,208,000 | | | | 2,257,680 | |
Techniplas LLC, 10.00%,
05/01/20‡ | | | 3,738,000 | | | | 2,784,810 | |
| Total Miscellaneous Manufacturing | | | | | | | 5,042,490 | |
Oil & Gas — 4.2%
| |
| Calumet Specialty Products Partners LP/Calumet Finance Corp., 11.50%, 01/15/21‡ | | | 2,000,000 | | | | 2,255,000 | |
Memorial Production Partners
LP/Memorial Production Finance Corp., 7.63%,
05/01/21 | | | 3,900,000 | | | | 2,115,750 | |
| | | | |
| Investments | | Principal | | Value |
CORPORATE BONDS (continued)
| |
Oil & Gas (continued)
| |
| Sanchez Energy Corp., 7.75%, 06/15/21(a) | | $ | 2,600,000 | | | $ | 2,216,500 | |
| Western Refining, Inc., 6.25%, 04/01/21(a) | | | 2,146,000 | | | | 1,963,590 | |
| Total Oil & Gas | | | | | | | 8,550,840 | |
Oil & Gas Services — 1.9%
| |
| Weatherford International Ltd., 7.75%, 06/15/21(a) | | | 2,000,000 | | | | 1,955,000 | |
| Weatherford International Ltd., 8.25%, 06/15/23(a) | | | 2,000,000 | | | | 1,905,000 | |
| Total Oil & Gas Services | | | | | | | 3,860,000 | |
Pharmaceuticals — 2.4%
| |
| BioScrip, Inc., 8.88%, 02/15/21 | | | 3,192,000 | | | | 2,968,560 | |
| Horizon Pharma, Inc., 6.63%, 05/01/23(a) | | | 2,000,000 | | | | 1,870,000 | |
| Total Pharmaceuticals | | | | | | | 4,838,560 | |
Pipelines — 2.7%
| |
| Martin Midstream Partners LP/Martin Midstream Finance Corp., 7.25%, 02/15/21 | | | 2,460,000 | | | | 2,287,800 | |
Summit Midstream Holdings
LLC/Summit Midstream Finance Corp., 7.50%,
07/01/21 | | | 1,960,000 | | | | 1,891,400 | |
| Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.38%, 05/01/24 | | | 1,250,000 | | | | 1,315,625 | |
| Total Pipelines | | | | | | | 5,494,825 | |
Retail — 2.6%
| |
| Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., 8.63%, 06/15/20 | | | 2,193,000 | | | | 2,203,965 | |
Guitar Center, Inc., 6.50%,
04/15/19‡(a) | | | 2,445,000 | | | | 2,114,925 | |
| Penske Automotive Group, Inc., 5.50%, 05/15/26 | | | 1,000,000 | | | | 952,500 | |
| Total Retail | | | | | | | 5,271,390 | |
Semiconductors — 1.1%
| |
| Amkor Technology, Inc., 6.38%, 10/01/22(a) | | | 2,345,000 | | | | 2,265,856 | |
Telecommunications — 6.6%
| |
| EarthLink Holdings Corp., 8.88%, 05/15/19 | | | 2,023,000 | | | | 2,073,575 | |
| Frontier Communications Corp., 11.00%, 09/15/25 | | | 1,936,000 | | | | 2,011,020 | |
Gogo Intermediate Holdings
LLC/Gogo Finance Co., Inc., 12.50%, 07/01/22‡(a) | | | 1,800,000 | | | | 1,786,500 | |
| Sprint Corp., 7.25%, 09/15/21 | | | 2,596,000 | | | | 2,226,070 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES PERITUS HIGH YIELD ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
CORPORATE BONDS (continued)
| |
Telecommunications (continued)
| |
Trilogy International Partners
LLC/Trilogy International Finance, Inc., 13.38%,
05/15/19‡ | | $ | 2,000,000 | | | $ | 2,015,000 | |
| Windstream Services LLC, 7.75%, 10/01/21(a) | | | 3,311,000 | | | | 3,137,173 | |
| Total Telecommunications | | | | | | | 13,249,338 | |
Total Corporate Bonds
(Cost $155,957,866) | | | | | | | 134,872,625 | |
TERM LOANS — 19.4%
| |
Advertising — 1.1%
| |
Affinion Group, Inc., 6.75%,
04/30/18@ | | | 2,473,427 | | | | 2,253,218 | |
Agriculture — 1.0%
| |
| North Atlantic Trading Co., Inc., 7.75%, 01/13/20@ | | | 2,012,020 | | | | 1,994,415 | |
| North Atlantic Trading Co., Inc., 8.75%, 01/13/20@ | | | 43,535 | | | | 43,154 | |
| Total Agriculture | | | | | | | 2,037,569 | |
Commercial Services — 1.0%
| |
| Jackson Hewitt Tax Service, Inc., 8.00%, 07/24/20@ | | | 1,960,000 | | | | 1,928,150 | |
Electronics — 1.9%
| |
Isola USA Corp., 9.25%,
11/29/18@ | | | 57,602 | | | | 51,265 | |
Isola USA Corp., 10.75%,
11/29/18@ | | | 4,232,367 | | | | 3,766,807 | |
| Total Electronics | | | | | | | 3,818,072 | |
Food — 3.2%
| |
| Flavors Holdings, Inc., 6.75%, 04/03/20@ | | | 2,607,127 | | | | 2,333,379 | |
Shearer's Foods LLC, 7.75%,
06/30/22@ | | | 4,431,000 | | | | 4,032,210 | |
| Total Food | | | | | | | 6,365,589 | |
Forest Products & Paper — 1.0%
| |
| Appvion, Inc., 6.25%, 06/28/19@ | | | 2,019,025 | | | | 1,958,454 | |
Healthcare – Products — 0.9%
| |
| Immucor, Inc., 5.00%, 08/19/18@ | | | 1,989,691 | | | | 1,871,971 | |
Healthcare – Services — 2.9%
| |
| 21st Century Oncology, Inc., 6.50%, 04/28/22@ | | | 994,975 | | | | 909,158 | |
| Lantheus Medical Imaging, Inc., 7.00%, 06/30/22@ | | | 2,462,563 | | | | 2,203,994 | |
| Radnet Management, Inc., 8.00%, 03/19/21@ | | | 2,800,000 | | | | 2,681,000 | |
| Total Healthcare – Services | | | | | | | 5,794,152 | |
Oil & Gas — 1.7%
| |
| Osum Production Corp., 6.50%, 07/31/20 (Canada)@ | | | 5,880,188 | | | | 3,498,712 | |
| | | | |
| Investments | | Principal | | Value |
TERM LOANS (continued)
| |
Pharmaceuticals — 0.5%
| |
| Sucampo Pharmaceuticals, Inc., 8.25%, 10/15/21@ | | $ | 950,000 | | | $ | 935,750 | |
Software — 1.4%
| |
| Greenway Health LLC, 9.25%, 11/04/21@ | | | 3,253,846 | | | | 2,879,654 | |
Telecommunications — 1.8%
| |
Global Tel*Link Corp, 9.00%,
11/20/20@ | | | 4,375,000 | | | | 3,642,187 | |
Transportation — 1.0%
| |
YRC Worldwide, Inc., 8.00%,
02/13/19@ | | | 2,315,520 | | | | 2,093,613 | |
Total Term Loans
(Cost $44,101,318) | | | | | | | 39,077,091 | |
FOREIGN BONDS — 11.1%
| |
Healthcare – Products — 1.1%
| |
| ConvaTec Healthcare E SA, 10.50%, 12/15/18 (Luxembourg)‡ | | | 2,100,000 | | | | 2,147,250 | |
Iron/Steel — 0.6%
| |
| BlueScope Steel Finance Ltd./BlueScope Steel Finance USA LLC, 6.50%, 05/15/21 (Australia)‡ | | | 1,250,000 | | | | 1,297,375 | |
Media — 0.6%
| |
Altice Financing SA, 7.50%,
05/15/26 (Luxembourg)‡ | | | 1,200,000 | | | | 1,179,000 | |
Mining — 2.8%
| |
Alamos Gold, Inc., 7.75%,
04/01/20 (Canada)‡ | | | 2,231,000 | | | | 2,186,603 | |
IAMGOLD Corp., 6.75%,
10/01/20 (Canada)‡(a) | | | 3,826,000 | | | | 3,443,400 | |
| Total Mining | | | | | | | 5,630,003 | |
Miscellaneous Manufacturing — 1.1%
| |
Bombardier, Inc., 6.13%,
01/15/23 (Canada)‡ | | | 2,606,000 | | | | 2,234,645 | |
Oil & Gas — 1.6%
| |
| Northern Blizzard Resources, Inc., 7.25%, 02/01/22 (Canada)‡ | | | 2,626,000 | | | | 2,402,790 | |
| Precision Drilling Corp., 6.63%, 11/15/20 (Canada) | | | 980,000 | | | | 894,250 | |
| Total Oil & Gas | | | | | | | 3,297,040 | |
Packaging & Containers — 1.0%
| |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 4.63%, 05/15/23 (Ireland)‡ | | | 1,000,000 | | | | 990,000 | |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 7.25%, 05/15/24 (Ireland)‡ | | | 1,000,000 | | | | 1,025,625 | |
| Total Packaging & Containers | | | | | | | 2,015,625 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES PERITUS HIGH YIELD ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Principal/
Shares | | Value |
FOREIGN BONDS (continued)
| |
Pipelines — 0.7%
| |
Gibson Energy, Inc., 6.75%,
07/15/21 (Canada)‡ | | $ | 1,494,000 | | | $ | 1,494,000 | |
Transportation — 1.6%
| |
| Global Ship Lease, Inc., 10.00%, 04/01/19 (United Kingdom)‡ | | | 3,475,000 | | | | 3,118,813 | |
Total Foreign Bonds
(Cost $22,834,055) | | | | | | | 22,413,751 | |
MONEY MARKET FUND — 0.7%
| |
BlackRock Liquidity Funds TempFund Portfolio – Dollar Class, 0.18%(b)
(Cost $1,502,566) | | | 1,502,566 | | | | 1,502,566 | |
REPURCHASE AGREEMENTS — 14.2%(c)
| |
Citigroup Global Markets, Inc., dated 06/30/16, due
07/01/16, 0.44%, total to be received $4,294,023, (collateralized by various U.S. Government Agency Obligations, 0.50% – 7.50%, 04/30/17 – 03/15/57, totaling $4,369,310) | | | 4,293,971 | | | | 4,293,971 | |
Daiwa Capital Markets America, dated 06/30/16, due
07/01/16, 0.50%, total to be received $6,662,906, (collateralized by various U.S. Government Agency Obligations, 0.00% – 9.00%, 07/07/16 – 02/01/49, totaling $6,774,875) | | | 6,662,813 | | | | 6,662,813 | |
Deutsche Bank Securities, Inc., dated 06/30/16, due
07/01/16, 0.42%, total to be received $4,343,774, (collateralized by various U.S. Government Agency Obligations, 0.00% – 8.75%, 07/31/16 – 09/30/21, totaling $4,403,130) | | | 4,343,723 | | | | 4,343,723 | |
Goldman Sachs & Co., dated
06/30/16, due 07/01/16, 0.42%, total to be received $6,662,891, (collateralized by various U.S. Government Agency Obligations, 2.50% – 6.00%, 11/01/22 – 05/01/46, totaling $6,777,331) | | | 6,662,813 | | | | 6,662,813 | |
| | | | |
| Investments | |
Principal | | Value |
| REPURCHASE AGREEMENTS (continued) | | | | |
Nomura Securities International, Inc., dated 06/30/16, due
07/01/16, 0.42%, total to be received $6,662,891, (collateralized by various U.S. Government Agency Obligations, 0.00% – 8.00%, 12/01/16 – 02/20/66, totaling $6,776,374) | | $ | 6,662,813 | | | $ | 6,662,813 | |
Total Repurchase Agreements
(Cost $28,626,133) | | | | | | | 28,626,133 | |
Total Investments — 112.3%
(Cost $253,021,938) | | | | | | | 226,492,166 | |
| Liabilities in Excess of Other Assets — (12.3%) | | | | | | | (24,891,307 | ) |
| Net Assets — 100.0% | | | | | | $ | 201,600,859 | |
LP — Limited Partnership
PLC — Public Limited Company
| @ | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2016. |
| ‡ | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. |
| (a) | All or a portion of security is on loan. The aggregate market value of the securities on loan is $33,888,805; the aggregate market value of the collateral held by the fund is $34,729,970. The aggregate market value of the collateral includes non-cash U.S. Treasury securities collateral having a value of $6,103,837. |
| (b) | Rate shown reflects the 7-day yield as of June 30, 2016. |
| (c) | Collateral received from brokers for securities lending was invested in these short-term investments. |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES PERITUS HIGH YIELD ETF
Schedule of Investments (continued)
June 30, 2016
SUMMARY OF SCHEDULE OF INVESTMENTS
| | |
| | % of
Net Assets |
| Advertising | | | 1.1 | % |
| Aerospace/Defense | | | 1.1 | |
| Agriculture | | | 3.0 | |
| Auto Parts & Equipment | | | 2.0 | |
| Beverages | | | 1.0 | |
| Biotechnology | | | 1.5 | |
| Building Materials | | | 0.7 | |
| Chemicals | | | 2.5 | |
| Coal | | | 0.2 | |
| Commercial Services | | | 6.1 | |
| Computers | | | 3.3 | |
| Distribution/Wholesale | | | 0.8 | |
| Diversified Financial Services | | | 3.3 | |
| Electric | | | 0.4 | |
| Electrical Components & Equipment | | | 1.5 | |
| Electronics | | | 3.0 | |
| Entertainment | | | 1.5 | |
| Food | | | 8.1 | |
| Forest Products & Paper | | | 1.0 | |
| Gas | | | 1.0 | |
| Healthcare – Products | | | 4.1 | |
| Healthcare – Services | | | 4.0 | |
| Home Furnishings | | | 0.1 | |
| Iron/Steel | | | 0.6 | |
| Leisure Time | | | 1.2 | |
| Machinery – Diversified | | | 1.4 | |
| Media | | | 3.1 | |
| Metal Fabricate/Hardware | | | 0.6 | |
| Mining | | | 2.8 | |
| Miscellaneous Manufacturing | | | 3.6 | |
| Oil & Gas | | | 7.5 | |
| Oil & Gas Services | | | 1.9 | |
| Packaging & Containers | | | 1.0 | |
| Pharmaceuticals | | | 2.9 | |
| Pipelines | | | 3.4 | |
| Retail | | | 2.6 | |
| Semiconductors | | | 1.1 | |
| Software | | | 1.4 | |
| Telecommunications | | | 8.4 | |
| Transportation | | | 2.6 | |
| Money Market Fund | | | 0.7 | |
| Repurchase Agreements | | | 14.2 | |
| Total Investments | | | 112.3 | |
| Liabilities in Excess of Other Assets | | | (12.3 | ) |
| Net Assets | | | 100.0 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES QAM EQUITY HEDGE ETF
Schedule of Investments
June 30, 2016
| | | | |
| Investments | | Shares | | Value |
EXCHANGE TRADED FUNDS — 82.3%
| |
Asset Allocation Fund — 0.2%
| |
| SPDR Barclays Convertible Securities ETF | | | 272 | | | $ | 11,925 | |
Commodity Fund — 0.1%
| |
| SPDR Gold Shares* | | | 35 | | | | 4,428 | |
Debt Fund — 30.0%
| |
| AdvisorShares Sage Core Reserves ETF† | | | 2,800 | | | | 278,950 | |
| Guggenheim Enhanced Short Duration ETF* | | | 5,563 | | | | 278,214 | |
| iShares Short Treasury Bond ETF | | | 3,272 | | | | 361,392 | |
| iShares U.S. Preferred Stock ETF | | | 2,378 | | | | 94,858 | |
| SPDR Barclays 1-3 Month T-Bill ETF* | | | 7,857 | | | | 359,065 | |
| SPDR SSgA Ultra Short Term Bond ETF | | | 5,780 | | | | 231,313 | |
| Total Debt Fund | | | | | | | 1,603,792 | |
Equity Fund — 52.0%
| |
| ALPS Medical Breakthroughs ETF* | | | 2,861 | | | | 64,773 | |
| BioShares Biotechnology Clinical Trials Fund* | | | 1,257 | | | | 22,626 | |
| Deutsche X-trackers MSCI Europe Hedged Equity ETF | | | 2,683 | | | | 65,868 | |
| Deutsche X-trackers MSCI Japan Hedged Equity ETF | | | 2,479 | | | | 76,279 | |
| EGShares India Small Cap ETF | | | 927 | | | | 13,580 | |
| First Trust Dow Jones Internet Index Fund* | | | 916 | | | | 66,062 | |
| First Trust NASDAQ ABA Community Bank Index Fund | | | 227 | | | | 8,603 | |
| Global X MSCI Nigeria ETF | | | 2,724 | | | | 14,682 | |
| Guggenheim China Small Cap ETF | | | 8,985 | | | | 199,287 | |
| Guggenheim China Technology ETF | | | 187 | | | | 6,285 | |
Guggenheim Raymond
James SB-1 Equity ETF | | | 3,814 | | | | 126,395 | |
| Guggenheim S&P 500 Equal Weight Consumer Discretionary ETF | | | 105 | | | | 8,811 | |
| Guggenheim S&P 500 Equal Weight Energy ETF | | | 112 | | | | 6,273 | |
| Guggenheim S&P 500 Equal Weight ETF | | | 2,651 | | | | 213,008 | |
| Guggenheim S&P 500 Equal Weight Healthcare ETF | | | 382 | | | | 57,613 | |
| Guggenheim S&P 500 Equal Weight Technology ETF | | | 651 | | | | 61,077 | |
| Guggenheim S&P Global Water Index ETF | | | 848 | | | | 25,432 | |
| Guggenheim S&P Midcap 400 Pure Growth ETF | | | 624 | | | | 75,853 | |
| iShares Global Consumer Discretionary ETF | | | 457 | | | | 38,562 | |
| iShares Global Healthcare ETF | | | 328 | | | | 33,125 | |
| | | | |
| Investments | | Shares | | Value |
EXCHANGE TRADED FUNDS (continued)
| |
Equity Fund (continued)
| |
| iShares JPX-Nikkei 400 ETF | | | 876 | | | $ | 43,975 | |
| iShares Micro-Cap ETF | | | 1,867 | | | | 132,034 | |
| iShares MSCI Brazil Capped ETF | | | 672 | | | | 20,247 | |
| iShares MSCI EAFE ETF | | | 343 | | | | 19,143 | |
| iShares MSCI Emerging Markets ETF | | | 141 | | | | 4,845 | |
| iShares MSCI Europe Financials ETF | | | 770 | | | | 12,074 | |
| iShares MSCI Frontier 100 ETF | | | 2,399 | | | | 58,752 | |
| iShares MSCI Hong Kong ETF | | | 419 | | | | 8,204 | |
| iShares MSCI India Small-Cap ETF | | | 2,231 | | | | 74,136 | |
| iShares MSCI Ireland Capped ETF | | | 426 | | | | 15,310 | |
| iShares MSCI Pacific ex Japan ETF | | | 313 | | | | 12,270 | |
| iShares MSCI United Kingdom ETF | | | 1,275 | | | | 19,597 | |
| iShares MSCI USA Momentum Factor ETF | | | 1,730 | | | | 132,172 | |
| iShares Nasdaq Biotechnology ETF | | | 142 | | | | 36,542 | |
| iShares North American Natural Resources ETF | | | 422 | | | | 14,019 | |
| iShares Russell 1000 Growth ETF | | | 803 | | | | 80,589 | |
| iShares Russell 1000 Value ETF | | | 722 | | | | 74,554 | |
| iShares Russell 2000 Growth ETF | | | 221 | | | | 30,317 | |
| iShares Russell 2000 Value ETF | | | 56 | | | | 5,449 | |
| iShares U.S. Broker-Dealers & Securities Exchanges ETF | | | 143 | | | | 5,159 | |
| iShares U.S. Healthcare Providers ETF | | | 342 | | | | 43,561 | |
| JPMorgan Alerian MLP Index ETN | | | 962 | | | | 30,620 | |
| KraneShares CSI China Internet ETF | | | 349 | | | | 11,747 | |
| PowerShares DWA Technology Momentum Portfolio* | | | 429 | | | | 16,220 | |
| PowerShares Dynamic Market Portfolio | | | 436 | | | | 31,248 | |
| PowerShares S&P SmallCap Energy Portfolio | | | 344 | | | | 5,525 | |
| PowerShares S&P SmallCap Information Technology Portfolio | | | 173 | | | | 9,603 | |
| QuantShares U.S. Market Neutral Momentum Fund* | | | 535 | | | | 14,258 | |
| QuantShares US Market Neutral Anti-Beta Fund* | | | 4,143 | | | | 96,325 | |
| SPDR Russell/Nomura Small Cap Japan ETF | | | 502 | | | | 27,421 | |
| SPDR S&P Bank ETF | | | 1,290 | | | | 39,319 | |
| SPDR S&P Emerging Asia Pacific ETF | | | 233 | | | | 17,438 | |
| SPDR S&P Emerging Markets SmallCap ETF | | | 1,265 | | | | 49,790 | |
| SPDR S&P Health Care Equipment ETF | | | 48 | | | | 2,264 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES QAM EQUITY HEDGE ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Shares | | Value |
EXCHANGE TRADED FUNDS (continued)
| |
Equity Fund (continued)
| |
| SPDR S&P Insurance ETF | | | 55 | | | $ | 3,911 | |
| VanEck Vectors Brazil Small-Cap ETF | | | 3,328 | | | | 49,920 | |
| VanEck Vectors ChinaAMC CSI 300 ETF | | | 1,008 | | | | 37,346 | |
| VanEck Vectors Egypt Index ETF | | | 91 | | | | 3,217 | |
| VanEck Vectors Gulf States Index ETF | | | 709 | | | | 15,413 | |
| VanEck Vectors High Income Infrastructure MLP ETF | | | 314 | | | | 4,584 | |
| VanEck Vectors Pharmaceutical ETF | | | 314 | | | | 18,394 | |
| VanEck Vectors Russia ETF | | | 2,826 | | | | 49,229 | |
| VanEck Vectors Russia Small-Cap ETF | | | 727 | | | | 19,515 | |
| VanEck Vectors Unconventional Oil & Gas ETF | | | 2,411 | | | | 39,926 | |
| VanEck Vectors Vietnam ETF | | | 570 | | | | 8,328 | |
| Vanguard FTSE All World ex-US Small-Cap ETF | | | 191 | | | | 17,780 | |
| Vanguard Small-Cap ETF | | | 928 | | | | 107,351 | |
| WisdomTree Europe SmallCap Dividend Fund | | | 453 | | | | 23,117 | |
| Total Equity Fund | | | | | | | 2,776,952 | |
| Total Exchange Traded Funds (Cost $4,279,401) | | | | | | | 4,397,097 | |
MONEY MARKET FUND — 17.7%
| |
JP Morgan Prime Money Market Fund – Institutional Class, 0.38%(a)
(Cost $944,233) | | | 944,233 | | | | 944,233 | |
| Total Investments — 100.0% (Cost $5,223,634) | | | | | | | 5,341,330 | |
| Liabilities in Excess of Other Assets — (0.0)%** | | | | | | | (1,160 | ) |
| Net Assets — 100.0% | | | | | | $ | 5,340,170 | |
ETF — Exchange Traded Fund
ETN — Exchange Traded Note
| * | Non-income producing security. |
| (a) | Rate shown reflects the 7-day yield as of June 30, 2016. |
SUMMARY OF SCHEDULE OF INVESTMENTS
| | |
| | % of
Net Assets |
| Asset Allocation Fund | | | 0.2 | % |
| Commodity Fund | | | 0.1 | |
| Debt Fund | | | 30.0 | |
| Equity Fund | | | 52.0 | |
| Money Market Fund | | | 17.7 | |
| Total Investments | | | 100.0 | |
| Liabilities in Excess of Other Assets | | | (0.0 | )** |
| Net Assets | | | 100.0 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES RANGER EQUITY BEAR ETF
Schedule of Investments
June 30, 2016
| | | | |
| Investments | | Shares | | Value |
EXCHANGE TRADED FUND — 47.7%
| |
Debt Fund — 47.7%
| |
AdvisorShares Sage
Core Reserves ETF†
(Cost $102,083,900) | | | 1,025,000 | | | $ | 102,115,625 | |
MONEY MARKET FUNDS — 2.9%
| |
Fidelity Institutional Money Market Government
Portfolio – Class III, 0.02%(a) | | | 3,710,106 | | | | 3,710,106 | |
| Morgan Stanley Institutional Liquidity Funds – Government Portfolio, 0.43%(a) | | | 2,500,000 | | | | 2,500,000 | |
| Total Money Market Funds (Cost $6,210,106) | | | | | | | 6,210,106 | |
Total Investments Before Securities Sold, Not Yet Purchased
(Cost $108,294,006) | | | | | | | 108,325,731 | |
Securities Sold, Not Yet Purchased — (100.3)%
| |
COMMON STOCKS — (100.3)%
| |
Aerospace/Defense — (4.0)%
| |
| Rockwell Collins, Inc. | | | (50,000 | ) | | | (4,257,000 | ) |
| Triumph Group, Inc. | | | (120,000 | ) | | | (4,260,000 | ) |
| Total Aerospace/Defense | | | | | | | (8,517,000 | ) |
Apparel — (7.3)%
| |
| Gildan Activewear, Inc. (Canada) | | | (195,000 | ) | | | (5,719,350 | ) |
| Hanesbrands, Inc. | | | (305,000 | ) | | | (7,664,650 | ) |
| Under Armour, Inc., Class A* | | | (56,000 | ) | | | (2,247,280 | ) |
| Total Apparel | | | | | | | (15,631,280 | ) |
Auto Manufacturers — (1.0)%
| |
| Tesla Motors, Inc.* | | | (10,000 | ) | | | (2,122,800 | ) |
Auto Parts & Equipment — (2.5)%
| |
| Cooper Tire & Rubber Co. | | | (178,500 | ) | | | (5,322,870 | ) |
Banks — (4.8)%
| |
| Credit Suisse Group AG (Switzerland)(b) | | | (150,000 | ) | | | (1,605,000 | ) |
| Deutsche Bank AG (Germany)* | | | (311,200 | ) | | | (4,272,776 | ) |
| UMB Financial Corp. | | | (82,000 | ) | | | (4,363,220 | ) |
| Total Banks | | | | | | | (10,240,996 | ) |
Building Materials — (1.9)%
| |
| Trex Co., Inc.* | | | (89,600 | ) | | | (4,024,832 | ) |
Commercial Services — (3.3)%
| |
| Paylocity Holding Corp.* | | | (162,500 | ) | | | (7,020,000 | ) |
Computers — (7.4)%
| |
| Electronics For Imaging, Inc.* | | | (130,000 | ) | | | (5,595,200 | ) |
| EPAM Systems, Inc.* | | | (75,000 | ) | | | (4,823,250 | ) |
| Fleetmatics Group PLC* | | | (127,000 | ) | | | (5,502,910 | ) |
| Total Computers | | | | | | | (15,921,360 | ) |
| | | | |
| Investments | | Shares | | Value |
COMMON STOCKS (continued)
| |
Cosmetics/Personal Care — (2.8)%
| |
| Coty, Inc., Class A | | | (229,000 | ) | | $ | (5,951,710 | ) |
Diversified Financial Services — (10.6)%
| |
| Ally Financial, Inc.* | | | (385,900 | ) | | | (6,587,313 | ) |
| Credit Acceptance Corp.* | | | (37,000 | ) | | | (6,847,960 | ) |
| OneMain Holdings, Inc.* | | | (223,000 | ) | | | (5,088,860 | ) |
| Santander Consumer USA Holdings, Inc.* | | | (400,000 | ) | | | (4,132,000 | ) |
| Total Diversified Financial Services | | | | | | | (22,656,133 | ) |
Electrical Components & Equipment — (3.0)%
| |
| AMETEK, Inc. | | | (141,000 | ) | | | (6,518,430 | ) |
Energy – Alternate Sources — (2.8)%
| |
| First Solar, Inc.* | | | (125,000 | ) | | | (6,060,000 | ) |
Engineering & Construction — (1.7)%
| |
| AECOM* | | | (118,000 | ) | | | (3,748,860 | ) |
Hand/Machine Tools — (2.8)%
| |
| Snap-on, Inc. | | | (37,500 | ) | | | (5,918,250 | ) |
Healthcare – Products — (4.3)%
| |
| Globus Medical, Inc., Class A* | | | (187,000 | ) | | | (4,456,210 | ) |
| Zeltiq Aesthetics, Inc.* | | | (177,000 | ) | | | (4,837,410 | ) |
| Total Healthcare – Products | | | | | | | (9,293,620 | ) |
Home Furnishings — (2.4)%
| |
| Tempur Sealy International, Inc.* | | | (93,250 | ) | | | (5,158,590 | ) |
Internet — (6.0)%
| |
| Alibaba Group Holding Ltd. (China)*(b) | | | (75,000 | ) | | | (5,964,750 | ) |
| GrubHub, Inc.* | | | (117,500 | ) | | | (3,650,725 | ) |
| JD.Com, Inc. (China)*(b) | | | (150,000 | ) | | | (3,184,500 | ) |
| Total Internet | | | | | | | (12,799,975 | ) |
Leisure Time — (3.9)%
| |
| Harley-Davidson, Inc. | | | (185,000 | ) | | | (8,380,500 | ) |
Media — (5.7)%
| |
| Houghton Mifflin Harcourt Co.* | | | (150,000 | ) | | | (2,344,500 | ) |
| Nexstar Broadcasting Group, Inc., Class A | | | (107,500 | ) | | | (5,114,850 | ) |
| TEGNA, Inc. | | | (200,000 | ) | | | (4,634,000 | ) |
| Total Media | | | | | | | (12,093,350 | ) |
Miscellaneous Manufacturing — (1.4)%
| |
| Donaldson Co., Inc. | | | (85,000 | ) | | | (2,920,600 | ) |
Office/Business Equipment — (3.0)%
| |
| Canon, Inc. (Japan)(b) | | | (227,000 | ) | | | (6,494,470 | ) |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES RANGER EQUITY BEAR ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Shares | | Value |
COMMON STOCKS (continued)
| |
Retail — (6.8)%
| |
| CarMax, Inc.* | | | (182,000 | ) | | $ | (8,923,460 | ) |
| Signet Jewelers Ltd. | | | (68,500 | ) | | | (5,645,085 | ) |
| Total Retail | | | | | | | (14,568,545 | ) |
Semiconductors — (7.7)%
| |
| IPG Photonics Corp.* | | | (37,500 | ) | | | (3,000,000 | ) |
| M/A-COM Technology Solutions Holdings, Inc.* | | | (147,000 | ) | | | (4,848,060 | ) |
| Microsemi Corp.* | | | (111,000 | ) | | | (3,627,480 | ) |
| Teradyne, Inc. | | | (255,000 | ) | | | (5,020,950 | ) |
| Total Semiconductors | | | | | | | (16,496,490 | ) |
Software — (3.2)%
| |
| Cerner Corp.* | | | (116,000 | ) | | | (6,797,600 | ) |
Total Securities Sold, Not Yet
Purchased [Proceeds
Received $(216,519,614)] | | | | | | | (214,658,261 | ) |
Total Investments — (49.7)%
(Cost $(108,225,608)) | | | | | | | (106,332,530 | ) |
| Other Assets in Excess of Liabilities — 149.7% | | | | | | | 320,280,073 | |
| Net Assets — 100.0% | | | | | | $ | 213,947,543 | |
ETF — Exchange Traded Fund
PLC — Public Limited Company
| * | Non-income producing security. |
| (a) | Rate shown reflects the 7-day yield as of June 30, 2016. |
| (b) | American Depositary Receipt. |
Cash of $237,602,919 has been segregated to cover margin requirement for open short sales as of June 30, 2016.
SUMMARY OF SCHEDULE OF INVESTMENTS
| | |
| | % of
Net Assets |
| Aerospace/Defense | | | (4.0 | )% |
| Apparel | | | (7.3 | ) |
| Auto Manufacturers | | | (1.0 | ) |
| Auto Parts & Equipment | | | (2.5 | ) |
| Banks | | | (4.8 | ) |
| Building Materials | | | (1.9 | ) |
| Commercial Services | | | (3.3 | ) |
| Computers | | | (7.4 | ) |
| Cosmetics/Personal Care | | | (2.8 | ) |
| Debt Fund | | | 47.7 | |
| Diversified Financial Services | | | (10.6 | ) |
| Electrical Components & Equipment | | | (3.0 | ) |
| Energy – Alternate Sources | | | (2.8 | ) |
| Engineering & Construction | | | (1.7 | ) |
| Hand/Machine Tools | | | (2.8 | ) |
| Healthcare – Products | | | (4.3 | ) |
| Home Furnishings | | | (2.4 | ) |
| Internet | | | (6.0 | ) |
| Leisure Time | | | (3.9 | ) |
| Media | | | (5.7 | ) |
| Miscellaneous Manufacturing | | | (1.4 | ) |
| Office/Business Equipment | | | (3.0 | ) |
| Retail | | | (6.8 | ) |
| Semiconductors | | | (7.7 | ) |
| Software | | | (3.2 | ) |
| Money Market Fund | | | 2.9 | |
| Total Investments | | | (49.7 | ) |
| Other Assets in Excess of Liabilities | | | 149.7 | |
| Net Assets | | | 100.0 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES SAGE CORE RESERVES ETF
Schedule of Investments
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
CORPORATE BONDS — 41.0%
| |
Agriculture — 1.0%
| |
| Bunge Ltd. Finance Corp., 3.20%, 06/15/17 | | $ | 1,050,000 | | | $ | 1,066,565 | |
Auto Manufacturers — 2.9%
| |
| Ford Motor Credit Co. LLC, 1.50%, 01/17/17 | | | 1,065,000 | | | | 1,066,195 | |
| General Motors Financial Co., Inc., 2.63%, 07/10/17 | | | 1,065,000 | | | | 1,075,113 | |
| Toyota Motor Credit Corp., Series MTN, 1.25%, 10/05/17 | | | 1,060,000 | | | | 1,064,514 | |
| Total Auto Manufacturers | | | | | | | 3,205,822 | |
Banks — 10.5%
| |
| Bank of America Corp., 5.75%, 08/15/16 | | | 1,040,000 | | | | 1,044,969 | |
| Bank of America Corp., 5.63%, 10/14/16 | | | 575,000 | | | | 582,555 | |
| Bank of New York Mellon Corp. (The), 2.30%, 07/28/16 | | | 340,000 | | | | 340,339 | |
| BB&T Corp., Series MTN, 2.15%, 03/22/17 | | | 1,105,000 | | | | 1,113,718 | |
| Capital One Financial Corp., 3.15%, 07/15/16 | | | 850,000 | | | | 850,490 | |
| Citigroup, Inc., 1.35%, 03/10/17 | | | 1,390,000 | | | | 1,391,728 | |
| Goldman Sachs Group, Inc. (The), Series FRN, 2.43%, 02/25/21@ | | | 1,365,000 | | | | 1,393,698 | |
| JPMorgan Chase & Co., 2.00%, 08/15/17 | | | 530,000 | | | | 535,026 | |
| JPMorgan Chase & Co., 2.15%, 03/01/21@ | | | 1,045,000 | | | | 1,069,176 | |
| PNC Bank NA, Series BKTN, 4.88%, 09/21/17 | | | 298,000 | | | | 309,722 | |
| PNC Funding Corp., 2.70%, 09/19/16 | | | 1,060,000 | | | | 1,062,458 | |
| US Bancorp, Series MTN, 2.20%, 11/15/16 | | | 1,225,000 | | | | 1,229,395 | |
| Wachovia Corp., 5.75%, 06/15/17 | | | 745,000 | | | | 777,159 | |
| Total Banks | | | | | | | 11,700,433 | |
Beverages — 1.0%
| |
| Molson Coors Brewing Co., 2.00%, 05/01/17 | | | 1,090,000 | | | | 1,095,750 | |
Biotechnology — 0.9%
| |
| Amgen, Inc., 2.50%, 11/15/16 | | | 1,045,000 | | | | 1,050,345 | |
Chemicals — 1.4%
| |
| Eastman Chemical Co., 2.40%, 06/01/17 | | | 544,000 | | | | 549,155 | |
| Sherwin-Williams Co. (The), 1.35%, 12/15/17 | | | 1,061,000 | | | | 1,063,206 | |
| Total Chemicals | | | | | | | 1,612,361 | |
| | | | |
| Investments | | Principal | | Value |
CORPORATE BONDS (continued)
| |
Diversified Financial Services — 1.8%
| |
| American Express Credit Corp., 1.15%, 07/29/16@ | | $ | 525,000 | | | $ | 525,236 | |
| American Express Credit Corp., Series F, 1.71%, 09/14/20@ | | | 540,000 | | | | 541,976 | |
| Synchrony Financial, 1.88%, 08/15/17 | | | 930,000 | | | | 931,694 | |
| Total Diversified Financial Services | | | | | | | 1,998,906 | |
Electric — 1.0%
| |
| American Electric Power Co., Inc., 1.65%, 12/15/17 | | | 752,000 | | | | 754,420 | |
| Southern Co. (The), 1.95%, 09/01/16 | | | 365,000 | | | | 365,572 | |
| Total Electric | | | | | | | 1,119,992 | |
Environmental Control — 0.2%
| |
| Waste Management, Inc., 2.60%, 09/01/16 | | | 243,000 | | | | 243,563 | |
Food — 1.2%
| |
| Kroger Co. (The), 2.20%, 01/15/17 | | | 1,055,000 | | | | 1,061,663 | |
| Kroger Co. (The), 6.40%, 08/15/17 | | | 275,000 | | | | 291,039 | |
| Total Food | | | | | | | 1,352,702 | |
Insurance — 0.3%
| |
| Aflac, Inc., 2.65%, 02/15/17 | | | 380,000 | | | | 384,200 | |
Internet — 1.9%
| |
| Amazon.Com, Inc., 1.20%, 11/29/17 | | | 1,090,000 | | | | 1,094,242 | |
| eBay, Inc., 1.35%, 07/15/17 | | | 1,065,000 | | | | 1,067,308 | |
| Total Internet | | | | | | | 2,161,550 | |
Media — 1.4%
| |
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 2.40%, 03/15/17 | | | 495,000 | | | | 499,271 | |
| Time Warner Cable, Inc., 5.85%, 05/01/17 | | | 1,030,000 | | | | 1,066,446 | |
| Total Media | | | | | | | 1,565,717 | |
Oil & Gas — 3.4%
| |
| Chevron Corp., 1.10%, 12/05/17 | | | 1,065,000 | | | | 1,066,970 | |
| ConocoPhillips Co., 1.05%, 12/15/17 | | | 1,075,000 | | | | 1,068,748 | |
| Phillips 66, 2.95%, 05/01/17 | | | 1,050,000 | | | | 1,065,586 | |
| Valero Energy Corp., 6.13%, 06/15/17 | | | 535,000 | | | | 556,399 | |
| Total Oil & Gas | | | | | | | 3,757,703 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES SAGE CORE RESERVES ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
CORPORATE BONDS (continued)
| |
Pharmaceuticals — 2.8%
| |
| AbbVie, Inc., 1.75%, 11/06/17 | | $ | 1,055,000 | | | $ | 1,061,580 | |
| Actavis, Inc., 1.88%, 10/01/17 | | | 1,065,000 | | | | 1,070,645 | |
| Cardinal Health, Inc., 1.90%, 06/15/17 | | | 1,030,000 | | | | 1,037,596 | |
| Total Pharmaceuticals | | | | | | | 3,169,821 | |
Pipelines — 1.7%
| |
| Energy Transfer Partners LP, 6.13%, 02/15/17 | | | 170,000 | | | | 174,419 | |
| Kinder Morgan Energy Partners LP, 6.00%, 02/01/17 | | | 795,000 | | | | 813,588 | |
| ONEOK Partners LP, 6.15%, 10/01/16 | | | 860,000 | | | | 868,491 | |
| Total Pipelines | | | | | | | 1,856,498 | |
Real Estate Investment Trusts — 0.8%
| |
| HCP, Inc., 5.63%, 05/01/17 | | | 861,000 | | | | 889,560 | |
Retail — 2.8%
| |
| CVS Health Corp., 1.20%, 12/05/16 | | | 1,060,000 | | | | 1,061,788 | |
| Macy's Retail Holdings, Inc., 5.90%, 12/01/16 | | | 984,000 | | | | 1,004,364 | |
| Walgreens Boots Alliance, Inc., 1.75%, 11/17/17 | | | 1,055,000 | | | | 1,062,883 | |
| Total Retail | | | | | | | 3,129,035 | |
Semiconductors — 0.9%
| |
| Intel Corp., 1.35%, 12/15/17 | | | 1,055,000 | | | | 1,061,480 | |
Telecommunications — 2.2%
| |
| AT&T, Inc., 2.40%, 03/15/17 | | | 1,000,000 | | | | 1,008,629 | |
| AT&T, Inc., 1.56%, 06/30/20@ | | | 350,000 | | | | 348,832 | |
| Verizon Communications, Inc., 1.10%, 11/01/17 | | | 1,075,000 | | | | 1,075,109 | |
| Total Telecommunications | | | | | | | 2,432,570 | |
Transportation — 0.9%
| |
| Ryder System, Inc., Series MTN, 2.50%, 03/01/17 | | | 1,000,000 | | | | 1,006,841 | |
Total Corporate Bonds
(Cost $45,828,806) | | | | | | | 45,861,414 | |
ASSET BACKED SECURITIES — 23.6%
| |
Diversified Financial Services — 23.6%
| |
| Ally Auto Receivables Trust, Class A3, Series 2014-1, 0.97%, 10/15/18 | | | 889,932 | | | | 889,905 | |
| American Express Credit Account Master Trust, Class A, Series 2013-2, 0.86%, 05/17/21@ | | | 1,520,000 | | | | 1,521,902 | |
| American Express Credit Account Master Trust, Class A, Series 2014-1, 0.81%, 12/15/21@ | | | 400,000 | | | | 400,267 | |
| | | | |
| Investments | | Principal | | Value |
ASSET BACKED SECURITIES
| |
Diversified Financial Services
| |
| American Express Credit Account Secured Note Trust, Class A, Series 2012-4, 0.68%, 05/15/20@ | | $ | 350,000 | | | $ | 350,270 | |
| AmeriCredit Automobile Receivables Trust, Class B, Series 2013-2, 1.19%, 05/08/18 | | | 44,582 | | | | 44,575 | |
| BA Credit Card Trust, Class A, Series 2015-A1, 0.77%, 06/15/20@ | | | 1,610,000 | | | | 1,612,410 | |
| BA Credit Card Trust, Class A11, Series 2007-A11, 0.51%, 12/15/19@ | | | 590,000 | | | | 589,136 | |
| Cabela's Credit Card Master Note Trust, Class A1, Series 2012-1A, 1.63%, 02/18/20‡ | | | 700,000 | | | | 702,484 | |
| Capital One Multi-Asset Execution Trust, Class A1, Series 2014-A1, 0.83%, 11/15/19@ | | | 1,225,000 | | | | 1,225,608 | |
| Capital One Multi-Asset Execution Trust, Class A3, Series 2014-A3, 0.82%, 01/18/22@ | | | 400,000 | | | | 400,036 | |
| Capital One Multi-Asset Execution Trust, Class A5, Series 2007-A5, 0.48%, 07/15/20@ | | | 525,000 | | | | 523,489 | |
| CarMax Auto Owner Trust, Class A2B, Series 2015-4, 1.04%, 04/15/19@ | | | 949,731 | | | | 951,510 | |
| CarMax Auto Owner Trust, Class A3, Series 2014-1, 0.79%, 10/15/18 | | | 171,570 | | | | 171,300 | |
| Chase Issuance Trust, Class A, Series 2013-A9, 0.86%, 11/16/20@ | | | 400,000 | | | | 400,322 | |
| Chase Issuance Trust, Class A1, Series 2014-A1, 1.15%, 01/15/19 | | | 1,075,000 | | | | 1,077,251 | |
| Chase Issuance Trust, Class A3, Series 2013-A3, 0.72%, 04/15/20@ | | | 345,000 | | | | 344,641 | |
| Chase Issuance Trust, Class A8, Series 2013-A8, 1.01%, 10/15/18 | | | 500,000 | | | | 500,361 | |
| Citibank Credit Card Issuance Trust, Class A2, Series 2013-A2, 0.73%, 05/26/20@ | | | 600,000 | | | | 600,616 | |
| Citibank Credit Card Issuance Trust, Class A3, Series 2013-A3, 1.11%, 07/23/18 | | | 1,065,000 | | | | 1,065,312 | |
| Citibank Credit Card Issuance Trust, Class A4, Series 2013-A4, 0.87%, 07/24/20@ | | | 500,000 | | | | 499,434 | |
| Citibank Credit Card Issuance Trust, Class A6, Series 2013-A6, 1.32%, 09/07/18 | | | 1,260,000 | | | | 1,261,217 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES SAGE CORE RESERVES ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
ASSET BACKED SECURITIES (continued)
| |
Diversified Financial Services (continued)
| |
| Discover Card Execution Note Trust, Class A4, Series 2012-A4, 0.81%, 11/15/19@ | | $ | 1,325,000 | | | $ | 1,327,132 | |
| Discover Card Execution Note Trust, Class A5, Series 2013-A5, 1.04%, 04/15/19 | | | 695,000 | | | | 695,582 | |
| Fifth Third Auto Trust, Class A3, Series 2013-A, 0.61%, 09/15/17 | | | 15,442 | | | | 15,437 | |
| Fifth Third Auto Trust, Class A3, Series 2014-2, 0.89%, 11/15/18 | | | 312,225 | | | | 311,933 | |
| First National Master Note Trust, Class A, Series 2013-2, 0.97%, 10/15/19@ | | | 625,000 | | | | 625,141 | |
| Ford Credit Auto Owner Trust, Class A3, Series 2014-B, 0.90%, 10/15/18 | | | 568,336 | | | | 568,381 | |
| Ford Credit Floorplan Master Owner Trust A, Class A1, Series 2014-1, 1.20%, 02/15/19 | | | 850,000 | | | | 852,261 | |
| Honda Auto Receivables Owner Trust, Class A2, Series 2015-3, 0.92%, 11/20/17 | | | 269,923 | | | | 270,021 | |
| Honda Auto Receivables Owner Trust, Class A3, Series 2014-2, 0.77%, 03/19/18 | | | 196,788 | | | | 196,707 | |
| Honda Auto Receivables Owner Trust, Class A3, Series 2014-3, 0.88%, 06/15/18 | | | 1,136,778 | | | | 1,136,635 | |
| Hyundai Auto Receivables Trust, Class A2A, Series 2015-C, 0.99%, 11/15/18 | | | 715,259 | | | | 715,339 | |
| Hyundai Auto Receivables Trust, Class B, Series 2013-A, 1.13%, 09/17/18 | | | 800,000 | | | | 799,272 | |
| Nissan Auto Receivables Owner Trust, Class A2, Series 2015-A, 0.67%, 09/15/17 | | | 133,611 | | | | 133,587 | |
| Nissan Auto Receivables Owner Trust, Class A2A, Series 2015-C, 0.87%, 11/15/18 | | | 674,624 | | | | 674,589 | |
| Nissan Auto Receivables Owner Trust, Class A3, Series 2013-C, 0.67%, 08/15/18 | | | 166,304 | | | | 166,129 | |
| Toyota Auto Receivables Owner Trust, Class A2A, Series 2016-A, 1.03%, 07/16/18 | | | 1,600,000 | | | | 1,602,375 | |
| Toyota Auto Receivables Owner Trust, Class A3, Series 2013-B, 0.89%, 07/17/17 | | | 70,354 | | | | 70,355 | |
| USAA Auto Owner Trust, Class B, Series 2014-1, 1.34%, 08/17/20 | | | 1,145,000 | | | | 1,145,798 | |
| Total Asset Backed Securities (Cost $26,435,908) | | | | | | | 26,438,720 | |
| | | | |
| Investments | | Principal | | Value |
MORTGAGE BACKED SECURITIES — 10.8%
| |
Commercial Mortgage Backed Securities — 10.8%
| |
| Banc of America Commercial Mortgage Trust, Class AM, Series 2007-4, 6.00%, 02/10/51@ | | $ | 425,000 | | | $ | 442,964 | |
| Bear Stearns Commercial Mortgage Securities Trust, Class A1A, Series 2007-PW16, 5.91%, 06/11/40@ | | | 308,170 | | | | 318,229 | |
| Bear Stearns Commercial Mortgage Securities Trust, Class A4, Series 2006-T24, 5.54%, 10/12/41 | | | 170,403 | | | | 170,920 | |
| Bear Stearns Commercial Mortgage Securities Trust, Class A4, Series 2007-T28, 5.74%, 09/11/42@ | | | 935,614 | | | | 974,404 | |
| Bear Stearns Commercial Mortgage Securities Trust, Class A4, Series 2007-PW15, 5.33%, 02/11/44 | | | 714,182 | | | | 727,180 | |
| Bear Stearns Commercial Mortgage Securities Trust, Class A4, Series 2007-PW17, 5.69%, 06/11/50@ | | | 795,109 | | | | 821,830 | |
| CD Commercial Mortgage Trust, Class A4, Series 2007-CD4, 5.32%# | | | 152,413 | | | | 154,031 | |
| CFCRE Commercial Mortgage Trust, Class A2, Series 2011-C2, 3.06%, 12/15/47 | | | 65,847 | | | | 66,101 | |
| COMM 2007-C9 Mortgage Trust, Class A4, Series 2007-C9, 6.01%, 12/10/49@ | | | 1,238,459 | | | | 1,277,141 | |
| DBRR Trust, Class A, Series 2013-EZ3, 1.64%, 12/18/49@‡ | | | 78,603 | | | | 79,057 | |
| DBUBS Mortgage Trust, Class A2, Series 2011-LC3A, 3.64%, 08/10/44 | | | 108,096 | | | | 108,063 | |
| Fannie Mae Connecticut Avenue Securities, Class 1M1, Series 2014-C02, 1.40%, 05/25/24@ | | | 256,970 | | | | 255,283 | |
| Fannie Mae Connecticut Avenue Securities, Class 1M1, Series 2014-C03, 1.65%, 07/25/24@ | | | 774,116 | | | | 776,276 | |
| Fannie Mae Connecticut Avenue Securities, Class 2M1, Series 2015-C02, 1.65%, 05/25/25@ | | | 634,368 | | | | 633,481 | |
| Federal Home Loan Mortgage Corporation, Class ED, Series 2010-3645, 2.50%, 12/15/20 | | | 823,137 | | | | 837,416 | |
| Federal Home Loan Mortgage Corporation, Class M2, Series 2014-DN3, 2.85%, 08/25/24@ | | | 970,204 | | | | 977,908 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES SAGE CORE RESERVES ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
MORTGAGE BACKED SECURITIES (continued)
| |
Commercial Mortgage Backed Securities (continued)
| |
| GS Mortgage Securities Trust, Class A4, Series 2006-GG8, 5.56%, 11/10/39 | | $ | 185,993 | | | $ | 186,492 | |
| GS Mortgage Securities Trust, Class A2, Series 2011-GC5, 3.00%, 08/10/44 | | | 41,659 | | | | 41,663 | |
| GS Mortgage Securities Trust, Class A2, Series 2012-GCJ7, 2.32%, 05/10/45 | | | 293,938 | | | | 295,345 | |
| HILT Mortgage Trust, Class XEXT, Series 2014-ORL, 1.10%, 07/15/29@‡ | | | 6,598,125 | | | | 6,186 | |
| LB-UBS Commercial Mortgage Trust, Class A3, Series 2006-C7, 5.35%, 11/15/38 | | | 211,382 | | | | 211,821 | |
| Morgan Stanley Capital I Trust, Class A1A, Series 2007-T27, 5.82%, 06/11/42@ | | | 572,687 | | | | 592,078 | |
| Morgan Stanley Capital I Trust, Class A4, Series 2007-T27, 5.82%, 06/11/42@ | | | 1,010,933 | | | | 1,044,934 | |
| Morgan Stanley Capital I Trust, Class A4, Series 2006-IQ12, 5.33%, 12/15/43 | | | 87,013 | | | | 87,256 | |
| Morgan Stanley Capital I Trust, Class A3, Series 2007-T25, 5.51%, 11/12/49@ | | | 256,771 | | | | 258,599 | |
| Morgan Stanley Capital I Trust, Class A4, Series 2007-IQ16, 5.81%, 12/12/49 | | | 248,618 | | | | 258,214 | |
| Wachovia Bank Commercial Mortgage Trust, Class A4FL, Series 2006-C28, 0.60%, 10/15/48@‡ | | | 220,209 | | | | 219,652 | |
| Wachovia Bank Commercial Mortgage Trust, Class A4, Series 2006-C29, 5.31%, 11/15/48 | | | 235,700 | | | | 236,749 | |
| WFRBS Commercial Mortgage Trust, Class A2, Series 2011-C4, 3.45%, 06/15/44‡ | | | 9,920 | | | | 9,916 | |
Total Mortgage Backed Securities
(Cost $12,063,452) | | | | | | | 12,069,189 | |
FOREIGN BONDS — 10.4%
| |
Auto Manufacturers — 0.9%
| |
| American Honda Finance Corp., 1.13%, 10/07/16 (Japan) | | | 1,065,000 | | | | 1,066,153 | |
Banks — 1.3%
| |
| Deutsche Bank AG/London, Series 3FXD, 1.40%, 02/13/17 (Germany) | | | 1,070,000 | | | | 1,067,167 | |
| Royal Bank of Canada, Series G, 1.12%, 09/09/16 (Canada)@ | | | 350,000 | | | | 350,295 | |
| Total Banks | | | | | | | 1,417,462 | |
| | | | |
| Investments | | Principal | | Value |
FOREIGN BONDS (continued)
| |
Beverages — 0.4%
| |
| Anheuser-Busch InBev Finance, Inc., 0.82%, 01/27/17 (Belgium)@ | | $ | 450,000 | | | $ | 449,998 | |
Diversified Financial Services — 1.0%
| |
| Nomura Holdings, Inc., Series MTN, 2.00%, 09/13/16 (Japan) | | | 795,000 | | | | 796,410 | |
| Nomura Holdings, Inc., 2.11%, 09/13/16 (Japan)@ | | | 285,000 | | | | 285,647 | |
| Total Diversified Financial Services | | | | | | | 1,082,057 | |
Mining — 1.8%
| |
| BHP Billiton Finance USA Ltd., 1.88%, 11/21/16 (Australia) | | | 1,055,000 | | | | 1,057,897 | |
Rio Tinto Finance USA PLC, 2.00%, 03/22/17
(United Kingdom) | | | 1,000,000 | | | | 1,005,814 | |
| Total Mining | | | | | | | 2,063,711 | |
Oil & Gas — 3.1%
| |
| BP Capital Markets PLC, 1.85%, 05/05/17 (United Kingdom) | | | 1,000,000 | | | | 1,005,779 | |
| Petroleos Mexicanos, 3.50%, 01/30/23 (Mexico) | | | 385,000 | | | | 363,478 | |
| Shell International Finance BV, 1.13%, 08/21/17 (Netherlands) | | | 1,060,000 | | | | 1,063,385 | |
| Total Capital International SA, 1.55%, 06/28/17 (France) | | | 1,000,000 | | | | 1,005,344 | |
| Total Oil & Gas | | | | | | | 3,437,986 | |
Sovereign — 0.9%
| |
| Mexico Government International Bond, 5.63%, 01/15/17 (Mexico) | | | 1,000,000 | | | | 1,025,750 | |
Telecommunications — 1.0%
| |
| Vodafone Group PLC, 1.63%, 03/20/17 (United Kingdom) | | | 1,065,000 | | | | 1,068,244 | |
Total Foreign Bonds
(Cost $11,618,493) | | | | | | | 11,611,361 | |
U.S. TREASURY NOTES — 10.2%
| |
| U.S. Treasury Note, 0.63%, 10/15/16 | | | 6,145,000 | | | | 6,150,070 | |
| U.S. Treasury Note, 0.50%, 03/31/17 | | | 5,340,000 | | | | 5,341,068 | |
Total U.S. Treasury Notes
(Cost $11,488,930) | | | | | | | 11,491,138 | |
MUNICIPAL BONDS — 1.8%
| |
| Bulloch County Development Authority, 3.00%, 08/01/16 | | | 50,000 | | | | 50,099 | |
| City of Houston TX Airport System Revenue, 1.30%, 01/01/17 | | | 50,000 | | | | 50,187 | |
| County of Harris TX, Series D, 1.06%, 08/15/16 | | | 90,000 | | | | 90,074 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES SAGE CORE RESERVES ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | |
Principal | | Value |
MUNICIPAL BONDS (continued)
| |
| County of Orange CA, Series A, 1.25%, 09/01/16(a) | | $ | 200,000 | | | $ | 199,456 | |
| County of Warren OH, 3.00%, 07/01/16 | | | 150,000 | | | | 150,000 | |
| Fairlake Metropolitan District, 4.00%, 12/01/16 | | | 105,000 | | | | 106,390 | |
| Grady County School Finance Authority, 4.82%, 09/01/16 | | | 75,000 | | | | 75,324 | |
| Grossmont Union High School District, Series B, 2.57%, 08/01/16 | | | 75,000 | | | | 75,106 | |
| Hobart Building Corp., 6.50%, 07/15/16 | | | 60,000 | | | | 60,136 | |
| Kentucky State Property & Building Commission, 4.44%, 11/01/16 | | | 50,000 | | | | 50,550 | |
| Laredo Community College District, 4.00%, 08/01/16 | | | 50,000 | | | | 50,147 | |
| Maine Municipal Bond Bank, 4.00%, 09/01/16 | | | 50,000 | | | | 50,274 | |
| Maricopa County Unified School District No 48 Scottsdale, Series B, 4.75%, 07/01/23 | | | 100,000 | | | | 100,000 | |
| Massachusetts Educational Financing Authority, 5.00%, 01/01/17 | | | 50,000 | | | | 50,739 | |
| Michigan Finance Authority, Series A, 5.00%, 05/01/17 | | | 290,000 | | | | 299,730 | |
| New Jersey Health Care Facilities Financing Authority, 4.00%, 07/01/16 | | | 50,000 | | | | 50,000 | |
| San Bernardino County Financing Authority, 1.25%, 08/01/16(a) | | | 65,000 | | | | 64,919 | |
| Sedona-Oak Creek Joint Unified School District No 9, 5.15%, 07/01/16 | | | 160,000 | | | | 160,000 | |
| South Carolina State Public Service Authority, 5.04%, 01/01/17 | | | 50,000 | | | | 51,113 | |
| State Board of Administration Finance Corp., Series A, 1.30%, 07/01/16 | | | 55,000 | | | | 55,000 | |
| Wayne Township School Building Corp./Marion County IN, 2.00%, 07/15/16 | | | 100,000 | | | | 100,062 | |
| Wisconsin Health & Educational Facilities Authority, Series A, 4.25%, 12/01/16 | | | 45,000 | | | | 45,669 | |
| Wisconsin Health & Educational Facilities Authority, Series A, 4.25%, 12/01/16 | | | 5,000 | | | | 5,073 | |
Total Municipal Bonds
(Cost $1,989,164) | | | | | | | 1,990,048 | |
U.S. TREASURY BILL — 0.1%
| |
U.S. Treasury Bill, 0.42%, 09/15/16(a)
(Cost $99,913) | | | 100,000 | | | | 99,958 | |
| | | | |
| Investments | |
Shares | | Value |
MONEY MARKET FUND — 2.5%
| |
JP Morgan US Government Money Market Fund – Institutional Class, 0.27%(b)
(Cost $2,750,460) | | | 2,750,460 | | | $ | 2,750,460 | |
| Total Investments — 100.4% (Cost $112,275,126) | | | | | | | 112,312,288 | |
| Liabilities in Excess of Other Assets — (0.4)% | | | | | | | (449,864 | ) |
| Net Assets — 100.0% | | | | | | $ | 111,862,424 | |
LP — Limited Partnership
PLC — Public Limited Company
| # | Perpetual security with no stated maturity date. |
| @ | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2016. |
| ‡ | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. |
| (a) | Represents a zero coupon bond. Rate shown reflects the effective yield. |
| (b) | Rate shown reflects the 7-day yield as of June 30, 2016. |
SUMMARY OF SCHEDULE OF INVESTMENTS
| | |
| | % of
Net Assets |
| Agriculture | | | 1.0 | % |
| Auto Manufacturers | | | 3.8 | |
| Banks | | | 11.8 | |
| Beverages | | | 1.4 | |
| Biotechnology | | | 0.9 | |
| Chemicals | | | 1.4 | |
| Commercial Mortgage Backed Securities | | | 10.8 | |
| Diversified Financial Services | | | 26.4 | |
| Electric | | | 1.0 | |
| Environmental Control | | | 0.2 | |
| Food | | | 1.2 | |
| Insurance | | | 0.3 | |
| Internet | | | 1.9 | |
| Media | | | 1.4 | |
| Mining | | | 1.8 | |
| Municipal Bonds | | | 1.8 | |
| Oil & Gas | | | 6.5 | |
| Pharmaceuticals | | | 2.8 | |
| Pipelines | | | 1.7 | |
| Real Estate Investment Trusts | | | 0.8 | |
| Retail | | | 2.8 | |
| Semiconductors | | | 0.9 | |
| Sovereign | | | 11.2 | |
| Telecommunications | | | 3.2 | |
| Transportation | | | 0.9 | |
| Money Market Fund | | | 2.5 | |
| Total Investments | | | 100.4 | |
| Liabilities in Excess of Other Assets | | | (0.4 | ) |
| Net Assets | | | 100.0 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES STAR GLOBAL BUY-WRITE ETF
Schedule of Investments
June 30, 2016
| | | | |
| Investments | | Shares/
Contracts | | Value |
EXCHANGE TRADED FUNDS — 94.5%
| |
Asset Allocation Fund — 2.0%
| |
| SPDR Barclays Convertible Securities ETF | | | 8,040 | | | $ | 352,473 | |
Debt Fund — 15.3%
| |
| PowerShares Fundamental High Yield Corporate Bond Portfolio | | | 47,813 | | | | 879,759 | |
| SPDR Doubleline Total Return Tactical ETF(a) | | | 17,469 | | | | 872,053 | |
| Vanguard Intermediate-Term Bond ETF(a) | | | 10,215 | | | | 899,635 | |
| Total Debt Fund | | | | | | | 2,651,447 | |
Equity Fund — 77.2%
| |
| iShares MSCI EAFE ETF | | | 21,746 | | | | 1,213,644 | |
| iShares MSCI Emerging Markets ETF | | | 21,144 | | | | 726,508 | |
| SPDR S&P 500 ETF Trust | | | 52,121 | | | | 10,920,913 | |
| Vanguard REIT ETF | | | 6,510 | | | | 577,242 | |
| Total Equity Fund | | | | | | | 13,438,307 | |
| Total Exchange Traded Funds (Cost $15,846,246) | | | | | | | 16,442,227 | |
MONEY MARKET FUND — 5.0%
| |
BlackRock Liquidity Funds-T-Fund Portfolio – Institutional Class, 0.24%(b)
(Cost $873,979) | | | 873,979 | | | | 873,979 | |
PURCHASED PUT OPTION — 0.5%
| |
SPDR S&P 500 ETF Trust, Option expiring 09/16/16, Strike Price $206.00
(Cost $101,409) | | | 166 | | | | 77,771 | |
Total Investments Before Written Options — 100.0%
(Cost $16,821,634) | | | | | | | 17,393,977 | |
WRITTEN CALL OPTIONS — (0.1)%
| |
| iShares MSCI EAFE ETF, expiring 07/15/16, Strike Price $59.50 | | | (117 | ) | | | (409 | ) |
| iShares MSCI Emerging Markets ETF, expiring 07/15/16, Strike Price $35.50 | | | (114 | ) | | | (1,653 | ) |
| SPDR S&P 500 ETF Trust, expiring 07/15/16, Strike Price $213.00 | | | (281 | ) | | | (13,910 | ) |
| Total Written Call Options [Premiums Received $(37,313)] | | | | | | | (15,972 | ) |
| Total Written Options — (0.1)% [Premiums Received $(37,313)] | | | | | | | (15,972 | ) |
Total Investments — 99.9%
(Cost $16,784,321) | | | | | | | 17,378,005 | |
| Other Assets in Excess of Liabilities — 0.1% | | | | | | | 21,926 | |
| Net Assets — 100.0% | | | | | | $ | 17,399,931 | |
ETF — Exchange Traded Fund
| (a) | All or a portion of this security has been pledged as collateral for option contracts. The aggregate market value of the collateral was $1,112,768 which includes cash in the amount of $313 as of June 30, 2016. |
| (b) | Rate shown reflects the 7-day yield as of June 30, 2016. |
SUMMARY OF SCHEDULE OF INVESTMENTS
| | |
| | % of
Net Assets |
| Asset Allocation Fund | | | 2.0 | % |
| Debt Fund | | | 15.3 | |
| Equity Fund | | | 77.2 | |
| Purchased Put Option | | | 0.5 | |
| Written Call Options | | | (0.1 | ) |
| Money Market Fund | | | 5.0 | |
| Total Investments | | | 99.9 | |
| Other Assets in Excess of Liabilities | | | 0.1 | |
| Net Assets | | | 100.0 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRIMTABS FLOAT SHRINK ETF
Schedule of Investments
June 30, 2016
| | | | |
| Investments | | Shares | | Value |
COMMON STOCKS — 99.6%
| |
Aerospace/Defense — 1.8%
| |
| Curtiss-Wright Corp. | | | 19,090 | | | $ | 1,608,332 | |
| Spirit Aerosystems Holdings, Inc., Class A* | | | 29,395 | | | | 1,263,985 | |
| Total Aerospace/Defense | | | | | | | 2,872,317 | |
Agriculture — 1.2%
| |
| Altria Group, Inc. | | | 26,513 | | | | 1,828,336 | |
Airlines — 2.3%
| |
| Alaska Air Group, Inc.(a) | | | 20,105 | | | | 1,171,920 | |
| Delta Air Lines, Inc. | | | 32,607 | | | | 1,187,873 | |
| United Continental Holdings, Inc.* | | | 30,240 | | | | 1,241,050 | |
| Total Airlines | | | | | | | 3,600,843 | |
Apparel — 3.0%
| |
| Columbia Sportswear Co. | | | 26,967 | | | | 1,551,681 | |
| Michael Kors Holdings Ltd.* | | | 33,349 | | | | 1,650,109 | |
| Steven Madden Ltd.* | | | 40,494 | | | | 1,384,085 | |
| Total Apparel | | | | | | | 4,585,875 | |
Auto Manufacturers — 0.9%
| |
| Wabash National Corp.*(a) | | | 111,104 | | | | 1,411,021 | |
Auto Parts & Equipment — 2.8%
| |
| Cooper Tire & Rubber Co. | | | 46,592 | | | | 1,389,373 | |
| Lear Corp. | | | 14,627 | | | | 1,488,444 | |
| Tenneco, Inc.*(a) | | | 29,929 | | | | 1,394,991 | |
| Total Auto Parts & Equipment | | | | | | | 4,272,808 | |
Biotechnology — 1.9%
| |
| Amgen, Inc. | | | 10,362 | | | | 1,576,578 | |
| United Therapeutics Corp.* | | | 12,376 | | | | 1,310,866 | |
| Total Biotechnology | | | | | | | 2,887,444 | |
Chemicals — 2.7%
| |
| LyondellBasell Industries NV, Class A | | | 17,022 | | | | 1,266,777 | |
| PPG Industries, Inc. | | | 15,737 | | | | 1,639,009 | |
| Westlake Chemical Corp. | | | 30,284 | | | | 1,299,789 | |
| Total Chemicals | | | | | | | 4,205,575 | |
Commercial Services — 5.9%
| |
| Deluxe Corp. | | | 24,105 | | | | 1,599,849 | |
| Gartner, Inc.* | | | 17,550 | | | | 1,709,546 | |
| Moody's Corp. | | | 14,506 | | | | 1,359,357 | |
| Quanta Services, Inc.* | | | 65,135 | | | | 1,505,921 | |
| Robert Half International, Inc. | | | 35,447 | | | | 1,352,658 | |
| Rollins, Inc. | | | 56,175 | | | | 1,644,242 | |
| Total Commercial Services | | | | | | | 9,171,573 | |
Computers — 2.9%
| |
| Amdocs Ltd. | | | 26,549 | | | | 1,532,409 | |
| Apple, Inc. | | | 14,887 | | | | 1,423,197 | |
| | | | |
| Investments | | Shares | | Value |
COMMON STOCKS (continued)
| |
Computers (continued)
| |
| Brocade Communications Systems, Inc. | | | 171,945 | | | $ | 1,578,455 | |
| Total Computers | | | | | | | 4,534,061 | |
Diversified Financial Services — 6.3%
| |
| CBOE Holdings, Inc. | | | 22,121 | | | | 1,473,701 | |
| Eaton Vance Corp.(a) | | | 43,064 | | | | 1,521,882 | |
| Evercore Partners, Inc., Class A | | | 30,734 | | | | 1,358,136 | |
| Franklin Resources, Inc. | | | 38,452 | | | | 1,283,143 | |
| Nationstar Mortgage Holdings, Inc.*(a) | | | 116,655 | | | | 1,313,535 | |
| T. Rowe Price Group, Inc. | | | 20,899 | | | | 1,525,000 | |
| WisdomTree Investments, Inc.(a) | | | 140,491 | | | | 1,375,407 | |
| Total Diversified Financial Services | | | | | | | 9,850,804 | |
Electronics — 2.0%
| |
| Avnet, Inc. | | | 35,404 | | | | 1,434,216 | |
| Waters Corp.* | | | 12,191 | | | | 1,714,664 | |
| Total Electronics | | | | | | | 3,148,880 | |
Engineering & Construction — 1.0%
| |
| EMCOR Group, Inc. | | | 32,343 | | | | 1,593,216 | |
Food — 4.5%
| |
| Hershey Co. (The) | | | 17,646 | | | | 2,002,644 | |
| Pilgrim's Pride Corp.(a) | | | 66,232 | | | | 1,687,591 | |
| Sysco Corp. | | | 34,005 | | | | 1,725,414 | |
| Tyson Foods, Inc., Class A | | | 24,754 | | | | 1,653,320 | |
| Total Food | | | | | | | 7,068,969 | |
Healthcare – Products — 0.7%
| |
| Bruker Corp. | | | 50,761 | | | | 1,154,305 | |
Healthcare – Services — 1.0%
| |
| Universal Health Services, Inc., Class B | | | 11,337 | | | | 1,520,292 | |
Home Builders — 1.1%
| |
| NVR, Inc.* | | | 931 | | | | 1,657,496 | |
Home Furnishings — 0.9%
| |
| iRobot Corp.* | | | 40,320 | | | | 1,414,426 | |
Internet — 1.1%
| |
| VeriSign, Inc.*(a) | | | 19,913 | | | | 1,721,678 | |
Iron/Steel — 2.2%
| |
| Commercial Metals Co. | | | 91,661 | | | | 1,549,071 | |
| Worthington Industries, Inc. | | | 43,543 | | | | 1,841,869 | |
| Total Iron/Steel | | | | | | | 3,390,940 | |
Lodging — 1.8%
| |
| Las Vegas Sands Corp. | | | 33,192 | | | | 1,443,520 | |
Marriott International, Inc.,
Class A(a) | | | 21,100 | | | | 1,402,306 | |
| Total Lodging | | | | | | | 2,845,826 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRIMTABS FLOAT SHRINK ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Shares | | Value |
COMMON STOCKS (continued)
| |
Machinery – Diversified — 3.1%
| |
| AGCO Corp.(a) | | | 26,880 | | | $ | 1,266,855 | |
| BWX Technologies, Inc. | | | 49,820 | | | | 1,782,061 | |
| Cognex Corp. | | | 42,029 | | | | 1,811,450 | |
| Total Machinery — Diversified | | | | | | | 4,860,366 | |
Media — 1.9%
| |
| Sirius XM Holdings, Inc.*(a) | | | 407,304 | | | | 1,608,851 | |
| Twenty-First Century Fox, Inc., Class A | | | 52,082 | | | | 1,408,818 | |
| Total Media | | | | | | | 3,017,669 | |
Metal Fabricate/Hardware — 0.9%
| |
| Timken Co. (The) | | | 46,007 | | | | 1,410,575 | |
Miscellaneous Manufacturing — 3.1%
| |
| Carlisle Cos., Inc. | | | 16,481 | | | | 1,741,712 | |
| Illinois Tool Works, Inc. | | | 14,610 | | | | 1,521,777 | |
| Parker-Hannifin Corp. | | | 14,636 | | | | 1,581,420 | |
| Total Miscellaneous Manufacturing | | | | | | | 4,844,909 | |
Office Furnishings — 0.9%
| |
| Steelcase, Inc., Class A | | | 102,413 | | | | 1,389,744 | |
Oil & Gas — 0.9%
| |
| Tesoro Corp. | | | 18,222 | | | | 1,365,192 | |
Oil & Gas Services — 1.8%
| |
| FMC Technologies, Inc.* | | | 50,107 | | | | 1,336,354 | |
| National Oilwell Varco, Inc.(a) | | | 44,001 | | | | 1,480,633 | |
| Total Oil & Gas Services | | | | | | | 2,816,987 | |
Packaging & Containers — 2.1%
| |
| Packaging Corp. of America | | | 24,137 | | | | 1,615,489 | |
| Silgan Holdings, Inc. | | | 30,638 | | | | 1,576,632 | |
| Total Packaging & Containers | | | | | | | 3,192,121 | |
Pharmaceuticals — 2.0%
| |
| AmerisourceBergen Corp. | | | 20,073 | | | | 1,592,191 | |
| Jazz Pharmaceuticals PLC* | | | 10,391 | | | | 1,468,352 | |
| Total Pharmaceuticals | | | | | | | 3,060,543 | |
Retail — 11.3%
| |
| AutoZone, Inc.* | | | 1,962 | | | | 1,557,514 | |
| Chico's FAS, Inc.(a) | | | 112,378 | | | | 1,203,568 | |
| Children's Place, Inc. (The) | | | 21,820 | | | | 1,749,528 | |
| Copart, Inc.*(a) | | | 39,097 | | | | 1,916,144 | |
| Dollar General Corp. | | | 20,104 | | | | 1,889,776 | |
| Domino's Pizza, Inc. | | | 12,718 | | | | 1,670,891 | |
| Gap, Inc. (The) | | | 63,298 | | | | 1,343,183 | |
| Krispy Kreme Doughnuts, Inc.* | | | 72,975 | | | | 1,529,556 | |
| Ross Stores, Inc. | | | 28,954 | | | | 1,641,402 | |
| Target Corp. | | | 19,702 | | | | 1,375,594 | |
| Wal-Mart Stores, Inc. | | | 22,400 | | | | 1,635,648 | |
| Total Retail | | | | | | | 17,512,804 | |
| | | | |
| Investments | | Shares | | Value |
COMMON STOCKS (continued)
| |
Semiconductors — 7.4%
| |
| Applied Materials, Inc. | | | 69,888 | | | $ | 1,675,215 | |
| Cirrus Logic, Inc.* | | | 46,592 | | | | 1,807,304 | |
| QUALCOMM, Inc. | | | 27,008 | | | | 1,446,819 | |
| Skyworks Solutions, Inc. | | | 23,790 | | | | 1,505,431 | |
| Tessera Technologies, Inc. | | | 47,000 | | | | 1,440,080 | |
| Texas Instruments, Inc. | | | 29,944 | | | | 1,875,992 | |
| Xilinx, Inc. | | | 37,464 | | | | 1,728,214 | |
| Total Semiconductors | | | | | | | 11,479,055 | |
Shipbuilding — 1.2%
| |
| Huntington Ingalls Industries, Inc. | | | 10,920 | | | | 1,834,888 | |
Software — 7.5%
| |
| Aspen Technology, Inc.*(a) | | | 37,828 | | | | 1,522,199 | |
| Broadridge Financial Solutions, Inc. | | | 26,628 | | | | 1,736,146 | |
| CA, Inc. | | | 49,110 | | | | 1,612,281 | |
| CDK Global, Inc. | | | 31,400 | | | | 1,742,386 | |
| Citrix Systems, Inc.* | | | 20,816 | | | | 1,667,153 | |
| Jack Henry & Associates, Inc. | | | 20,050 | | | | 1,749,764 | |
| Oracle Corp. | | | 40,599 | | | | 1,661,717 | |
| Total Software | | | | | | | 11,691,646 | |
Telecommunications — 3.3%
| |
| InterDigital, Inc. | | | 27,950 | | | | 1,556,256 | |
| Ubiquiti Networks, Inc.*(a) | | | 44,230 | | | | 1,709,932 | |
| Verizon Communications, Inc. | | | 32,922 | | | | 1,838,364 | |
| Total Telecommunications | | | | | | | 5,104,552 | |
Transportation — 3.2%
| |
| Expeditors International of Washington, Inc. | | | 31,800 | | | | 1,559,472 | |
| Landstar System, Inc. | | | 25,246 | | | | 1,733,390 | |
| United Parcel Service, Inc., Class B | | | 15,830 | | | | 1,705,208 | |
| Total Transportation | | | | | | | 4,998,070 | |
Trucking & Leasing — 1.0%
| |
| Greenbrier Cos., Inc. (The)(a) | | | 55,415 | | | | 1,614,239 | |
Total Common Stocks
(Cost $157,234,130) | | | | | | | 154,930,045 | |
MONEY MARKET FUND — 0.4%
| |
Wells Fargo Advantage Government Money Market Fund – Institutional Class, 0.25%(b)
(Cost $658,596) | | | 658,596 | | | | 658,596 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRIMTABS FLOAT SHRINK ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | | Principal | | Value |
REPURCHASE AGREEMENTS — 8.6%(c)
| |
| Citibank NA, dated 06/30/16, due 07/01/16, 0.44%, total to be received $1,332,977, (collateralized by various U.S. Government Agency Obligations, 1.38% – 9.00%, 10/20/18 – 01/20/46, totaling $1,353,208) | | $ | 1,332,961 | | | $ | 1,332,961 | |
| Citigroup Global Markets, Inc., dated 06/30/16, due 07/01/16, 0.44%, total to be received $1,999,466, (collateralized by various U.S. Government Agency Obligations, 0.50% – 7.50%, 04/30/17 – 03/15/57, totaling $2,034,523) | | | 1,999,442 | | | | 1,999,442 | |
| Daiwa Capital Markets America, dated 06/30/16, due 07/01/16, 0.50%, total to be received $3,102,511, (collateralized by various U.S. Government Agency Obligations, 0.00% – 9.00%, 07/07/16 – 02/01/49, totaling $3,154,649) | | | 3,102,468 | | | | 3,102,468 | |
| Merrill Lynch Pierce Fenner & Smith, Inc., dated 06/30/16, due 07/01/16, 0.44%, total to be received $3,102,506, (collateralized by various U.S. Government Agency Obligations, 4.00%, 03/20/46 – 05/20/46, totaling $3,155,043) | | | 3,102,468 | | | | 3,102,468 | |
| Mizuho Securities USA, Inc., dated 06/30/16, due 07/01/16, 0.45%, total to be received $689,692, (collateralized by various U.S. Government Agency Obligations, 1.00% – 8.00%, 06/01/22 – 11/20/45, totaling $701,618) | | | 689,683 | | | | 689,683 | |
| Nomura Securities International, Inc., dated 06/30/16, due 07/01/16, 0.42%, total to be received $3,102,504, (collateralized by various U.S. Government Agency Obligations, 0.00% – 8.00%, 12/01/16 – 02/20/66, totaling $3,155,346) | | | 3,102,468 | | | | 3,102,468 | |
| Total Repurchase Agreements (Cost $13,329,490) | | | | | | | 13,329,490 | |
Total Investments — 108.6%
(Cost $171,222,216) | | | | | | | 168,918,131 | |
| Liabilities in Excess of Other Assets — (8.6)% | | | | | | | (13,348,137 | ) |
| Net Assets — 100.0% | | | | | | $ | 155,569,994 | |
PLC — Public Limited Company
| * | Non-income producing security. |
| (a) | All or a portion of security is on loan. The aggregate market value of the securities on loan is $15,089,003; the aggregate market value of the collateral held by the fund is $15,447,936. The aggregate market value of the collateral includes non-cash U.S. Treasury securities collateral having a value of $2,118,446. |
| (b) | Rate shown reflects the 7-day yield as of June 30, 2016. |
| (c) | Collateral received from brokers for securities lending was invested in these short-term investments. |
SUMMARY OF SCHEDULE OF INVESTMENTS
| | |
| | % of
Net Assets |
| Aerospace/Defense | | | 1.8 | % |
| Agriculture | | | 1.2 | |
| Airlines | | | 2.3 | |
| Apparel | | | 3.0 | |
| Auto Manufacturers | | | 0.9 | |
| Auto Parts & Equipment | | | 2.8 | |
| Biotechnology | | | 1.9 | |
| Chemicals | | | 2.7 | |
| Commercial Services | | | 5.9 | |
| Computers | | | 2.9 | |
| Diversified Financial Services | | | 6.3 | |
| Electronics | | | 2.0 | |
| Engineering & Construction | | | 1.0 | |
| Food | | | 4.5 | |
| Healthcare – Products | | | 0.7 | |
| Healthcare – Services | | | 1.0 | |
| Home Builders | | | 1.1 | |
| Home Furnishings | | | 0.9 | |
| Internet | | | 1.1 | |
| Iron/Steel | | | 2.2 | |
| Lodging | | | 1.8 | |
| Machinery – Diversified | | | 3.1 | |
| Media | | | 1.9 | |
| Metal Fabricate/Hardware | | | 0.9 | |
| Miscellaneous Manufacturing | | | 3.1 | |
| Office Furnishings | | | 0.9 | |
| Oil & Gas | | | 0.9 | |
| Oil & Gas Services | | | 1.8 | |
| Packaging & Containers | | | 2.1 | |
| Pharmaceuticals | | | 2.0 | |
| Retail | | | 11.3 | |
| Semiconductors | | | 7.4 | |
| Shipbuilding | | | 1.2 | |
| Software | | | 7.5 | |
| Telecommunications | | | 3.3 | |
| Transportation | | | 3.2 | |
| Trucking & Leasing | | | 1.0 | |
| Money Market Fund | | | 0.4 | |
| Repurchase Agreements | | | 8.6 | |
| Total Investments | | | 108.6 | |
| Liabilities in Excess of Other Assets | | | (8.6 | ) |
| Net Assets | | | 100.0 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES WCM/BNY MELLON FOCUSED GROWTH ADR ETF
Schedule of Investments
June 30, 2016
| | | | |
| Investments | | Shares | | Value |
COMMON STOCKS — 94.5%
| |
Apparel — 4.4%
| |
Hermes International
(France)(a)(b) | | | 8,220 | | | $ | 309,730 | |
| LVMH Moet Hennessy Louis Vuitton SE (France)(b) | | | 10,979 | | | | 333,103 | |
| Total Apparel | | | | | | | 642,833 | |
Banks — 3.1%
| |
| HDFC Bank Ltd. (India)(b) | | | 6,904 | | | | 458,080 | |
Biotechnology — 4.8%
| |
| CSL Ltd. (Australia)(b) | | | 16,810 | | | | 703,751 | |
Chemicals — 3.4%
| |
| Novozymes A/S (Denmark)(b) | | | 10,485 | | | | 503,857 | |
Commercial Services — 7.2%
| |
| Experian PLC (Ireland)(a)(b) | | | 29,738 | | | | 565,022 | |
| SGS SA (Switzerland)(b) | | | 21,281 | | | | 486,909 | |
| Total Commercial Services | | | | | | | 1,051,931 | |
Computers — 1.9%
| |
| Accenture PLC, Class A | | | 2,470 | | | | 279,826 | |
Diversified Financial Services — 1.7%
| |
| Lazard Ltd., Class A | | | 8,372 | | | | 249,318 | |
Food — 8.5%
| |
| Chr. Hansen Holding A/S (Denmark)(b) | | | 12,343 | | | | 407,566 | |
| Nestle SA (Switzerland)(b) | | | 8,461 | | | | 654,120 | |
Shoprite Holdings Ltd.
(South Africa)(a)(b) | | | 16,145 | | | | 181,889 | |
| Total Food | | | | | | | 1,243,575 | |
Food Service — 3.2%
| |
Compass Group PLC
(United Kingdom)(b) | | | 24,671 | | | | 471,216 | |
Healthcare – Products — 8.0%
| |
| Coloplast A/S (Denmark)(b) | | | 61,688 | | | | 462,043 | |
Essilor International SA
(France)(b) | | | 6,632 | | | | 439,271 | |
| Sysmex Corp. (Japan)(b) | | | 8,055 | | | | 273,548 | |
| Total Healthcare — Products | | | | | | | 1,174,862 | |
Healthcare – Services — 3.0%
| |
| ICON PLC* | | | 6,189 | | | | 433,292 | |
Household Products/Wares — 5.4%
| |
| Reckitt Benckiser Group PLC (United Kingdom)(b) | | | 38,688 | | | | 786,140 | |
Insurance — 4.9%
| |
| Chubb Ltd. | | | 5,434 | | | | 710,278 | |
| | | | |
| Investments | | Shares/
Principal | | Value |
COMMON STOCKS (continued)
| |
Internet — 9.4%
| |
| Ctrip.com International Ltd. (China)*(a)(b) | | | 10,273 | | | $ | 423,247 | |
| Tencent Holdings Ltd. (China)(b) | | | 26,346 | | | | 605,168 | |
| Yandex N.V., Class A (Russia)* | | | 16,229 | | | | 354,604 | |
| Total Internet | | | | | | | 1,383,019 | |
Machinery – Diversified — 2.5%
| |
| FANUC Corp. (Japan)(b) | | | 13,836 | | | | 373,295 | |
Oil & Gas Services — 3.7%
| |
| Core Laboratories N.V.(a) | | | 4,362 | | | | 540,408 | |
Pharmaceuticals — 4.1%
| |
| Novo Nordisk A/S (Denmark)(b) | | | 11,083 | | | | 596,044 | |
Retail — 3.2%
| |
| Industria de Diseno Textil SA (Spain)(b) | | | 13,632 | | | | 227,109 | |
| Wal-Mart de Mexico SAB de CV (Mexico)(b) | | | 10,207 | | | | 245,427 | |
| Total Retail | | | | | | | 472,536 | |
Semiconductors — 8.4%
| |
ARM Holdings PLC
(United Kingdom)(a)(b) | | | 9,969 | | | | 453,689 | |
| Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan)(b) | | | 29,420 | | | | 771,687 | |
| Total Semiconductors | | | | | | | 1,225,376 | |
Transportation — 3.7%
| |
| Canadian Pacific Railway Ltd. (Canada) | | | 4,165 | | | | 536,410 | |
Total Common Stocks
(Cost $12,572,151) | | | | | | | 13,836,047 | |
MONEY MARKET FUND — 5.3%
| |
Invesco Government & Agency Portfolio – Private Investment Class, 0.11%(c)
(Cost $780,175) | | | 780,175 | | | | 780,175 | |
REPURCHASE AGREEMENTS — 12.8%(d)
| |
| Citibank NA, dated 06/30/16, due 07/01/16, 0.44%, total to be received $188,382, (collateralized by various U.S. Government Agency Obligations, 1.38% – 9.00%, 10/20/18 – 01/20/46, totaling $191,241) | | $ | 188,380 | | | | 188,380 | |
Citigroup Global Markets, Inc., dated 06/30/16, due
07/01/16, 0.44%, total to be received $282,574, (collateralized by various U.S. Government Agency Obligations, 0.50% – 7.50%, 04/30/17 – 03/15/57, totaling $287,529) | | | 282,571 | | | | 282,571 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES WCM/BNY MELLON FOCUSED GROWTH ADR ETF
Schedule of Investments (continued)
June 30, 2016
| | | | |
| Investments | |
Principal | | Value |
REPURCHASE AGREEMENTS (continued)
| |
| Daiwa Capital Markets America, dated 06/30/16, due 07/01/16, 0.50%, total to be received $438,463, (collateralized by various U.S. Government Agency Obligations, 0.00% – 9.00%, 07/07/16 – 02/01/49, totaling $445,831) | | $ | 438,457 | | | $ | 438,457 | |
| Merrill Lynch Pierce Fenner & Smith, Inc., dated 06/30/16, due 07/01/16, 0.44%, total to be received $438,462, (collateralized by various U.S. Government Agency Obligations, 4.00%, 03/20/46 – 05/20/46, totaling $445,887) | | | 438,457 | | | | 438,457 | |
| Mizuho Securities USA, Inc., dated 06/30/16, due 07/01/16, 0.45%, total to be received $97,466, (collateralized by various U.S. Government Agency Obligations, 1.00% – 8.00%, 06/01/22 – 11/20/45, totaling $99,152) | | | 97,465 | | | | 97,465 | |
| Nomura Securities International, Inc., dated 06/30/16, due 07/01/16, 0.42%, total to be received $438,462, (collateralized by various U.S. Government Agency Obligations, 0.00% – 8.00%, 12/01/16 – 02/20/66, totaling $445,930) | | | 438,457 | | | | 438,457 | |
| Total Repurchase Agreements (Cost $1,883,787) | | | | | | | 1,883,787 | |
| Total Investments — 112.6% (Cost $15,236,113) | | | | | | | 16,500,009 | |
| Liabilities in Excess of Other Assets — (12.6)% | | | | | | | (1,852,026 | ) |
| Net Assets — 100.0% | | | | | | $ | 14,647,983 | |
PLC — Public Limited Company
| * | Non-income producing security. |
| (a) | All or a portion of security is on loan. The aggregate market value of the securities on loan is $1,837,798; the aggregate market value of the collateral held by the fund is $1,883,787. |
| (b) | American Depositary Receipt. |
| (c) | Rate shown reflects the 7-day yield as of June 30, 2016. |
| (d) | Collateral received from brokers for securities lending was invested in these short-term investments. |
SUMMARY OF SCHEDULE OF INVESTMENTS
| | |
| | % of
Net Assets |
| Apparel | | | 4.4 | % |
| Banks | | | 3.1 | |
| Biotechnology | | | 4.8 | |
| Chemicals | | | 3.4 | |
| Commercial Services | | | 7.2 | |
| Computers | | | 1.9 | |
| Diversified Financial Services | | | 1.7 | |
| Food | | | 8.5 | |
| Food Service | | | 3.2 | |
| Healthcare – Products | | | 8.0 | |
| Healthcare – Services | | | 3.0 | |
| Household Products/Wares | | | 5.4 | |
| Insurance | | | 4.9 | |
| Internet | | | 9.4 | |
| Machinery – Diversified | | | 2.5 | |
| Oil & Gas Services | | | 3.7 | |
| Pharmaceuticals | | | 4.1 | |
| Retail | | | 3.2 | |
| Semiconductors | | | 8.4 | |
| Transportation | | | 3.7 | |
| Money Market Fund | | | 5.3 | |
| Repurchase Agreements | | | 12.8 | |
| Total Investments | | | 112.6 | |
| Liabilities in Excess of Other Assets | | | (12.6 | ) |
| Net Assets | | | 100.0 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES YIELDPRO ETF
Schedule of Investments
June 30, 2016
| | | | |
| Investments | | Shares | | Value |
EXCHANGE TRADED FUNDS — 98.9%
| |
Debt Fund — 98.9%
| |
| iShares iBoxx $ Investment Grade Corporate Bond ETF | | | 22,008 | | | $ | 2,701,042 | |
| iShares National Muni Bond ETF | | | 24,484 | | | | 2,789,707 | |
| SPDR Barclays Short Term Corporate Bond ETF | | | 106,240 | | | | 3,270,067 | |
| VanEck Vectors AMT-Free Intermediate Municipal Index ETF | | | 112,729 | | | | 2,800,188 | |
| Vanguard Short-Term Bond ETF | | | 40,653 | | | | 3,295,332 | |
| Vanguard Short-Term Corporate Bond ETF | | | 40,738 | | | | 3,293,260 | |
| Total Exchange Traded Funds (Cost $17,845,955) | | | | | | | 18,149,596 | |
MONEY MARKET FUND — 1.3%
| |
Wells Fargo Advantage Government Money Market Fund – Institutional Class, 0.25%(a)
(Cost $238,136) | | | 238,136 | | | | 238,136 | |
| Total Investments — 100.2% (Cost $18,084,091) | | | | | | | 18,387,732 | |
| Liabilities in Excess of Other Assets — (0.2)% | | | | | | | (42,670 | ) |
| Net Assets — 100.0% | | | | | | $ | 18,345,062 | |
ETF — Exchange Traded Fund
| (a) | Rate shown reflects the 7-day yield as of June 30, 2016. |
SUMMARY OF SCHEDULE OF INVESTMENTS
| | |
| | % of
Net Assets |
| Debt Fund | | | 98.9 | % |
| Money Market Fund | | | 1.3 | |
| Total Investments | | | 100.2 | |
| Liabilities in Excess of Other Assets | | | (0.2 | ) |
| Net Assets | | | 100.0 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Statements of Assets and Liabilities
June 30, 2016
| | | | | | |
| | AdvisorShares
Athena High
Dividend ETF | | AdvisorShares
EquityPro ETF
| | AdvisorShares
Gartman Gold/
Euro ETF
(Consolidated) |
ASSETS
| | | | | | | | | | | | |
| Investments, at Cost | | $ | 7,150,192 | | | $ | 23,369,170 | | | $ | 13,052,990 | |
| Investments in Affiliates, at Cost (Note 9) | | | — | | | | — | | | | — | |
| Repurchase Agreements, at Cost (Note 3) | | | 878,514 | | | | 6,446,087 | | | | — | |
| Total Cost of Investments | | | 8,028,706 | | | | 29,815,257 | | | | 13,052,990 | |
| Investments, at Market Value (including securities on loan) (Note 3)(a) | | | 7,506,879 | | | | 23,798,569 | | | | 13,052,990 | |
| Investments in Affiliates, at Market Value (Note 9) | | | — | | | | — | | | | — | |
| Repurchase Agreements, at Market Value (Note 3) | | | 878,514 | | | | 6,446,087 | | | | — | |
| Total Market Value of Investments | | | 8,385,393 | | | | 30,244,656 | | | | 13,052,990 | |
| Cash | | | — | | | | — | | | | — | |
| Cash collateral held at brokers | | | — | | | | — | | | | 7,690,442 | |
| Dividends and Interest Receivable | | | 37,573 | | | | 38,139 | | | | 89 | |
| Receivable from Securities Sold | | | — | | | | — | | | | — | |
| Capital Shares Receivable | | | — | | | | — | | | | 1,726,575 | |
| Reclaim Receivable | | | 412 | | | | — | | | | — | |
| Prepaid Expenses | | | 6,077 | | | | 11,276 | | | | 9,796 | |
| Total Assets | | | 8,429,455 | | | | 30,294,071 | | | | 22,479,892 | |
LIABILITIES
| | | | | | | | | | | | |
| Cash collateral for securities on loan(b) | | | 878,514 | | | | 6,446,087 | | | | — | |
| Advisory Fees Payable | | | 2,926 | | | | 20,762 | | | | 5,110 | |
| Trustee Fees Payable | | | — | | | | 40 | | | | 161 | |
| CCO Fees Payable | | | 250 | | | | 40 | | | | 256 | |
| Payable to Global Echo Foundation | | | — | | | | — | | | | — | |
| Accrued Expenses | | | 34,913 | | | | 49,076 | | | | 41,536 | |
| Total Liabilities | | | 916,603 | | | | 6,516,005 | | | | 47,063 | |
| NET ASSETS | | $ | 7,512,852 | | | $ | 23,778,066 | | | $ | 22,432,829 | |
COMPONENTS OF NET ASSETS
| | | | | | | | | | | | |
| Capital Stock at Zero Par Value | | $ | 11,794,162 | | | $ | 26,796,875 | | | $ | 20,153,864 | |
| Undistributed (Accumulated) Net Investment Income (Loss) | | | 25,605 | | | | 77,436 | | | | (92,253 | ) |
| Undistributed (Accumulated) Net Loss on investments, swaps, short sales, foreign currency transactions, futures, and options written | | | (4,663,602 | ) | | | (3,525,644 | ) | | | 525,533 | |
| Unrealized Appreciation (Depreciation) on investments, swaps, short sales, options written, futures, and foreign currency translations | | | 356,687 | | | | 429,399 | | | | 1,845,685 | |
| NET ASSETS | | $ | 7,512,852 | | | $ | 23,778,066 | | | $ | 22,432,829 | |
SHARES ISSUED AND OUTSTANDING
| | | | | | | | | | | | |
| Shares Outstanding (Unlimited Shares Authorized) | | | 450,000 | | | | 875,000 | | | | 1,625,000 | |
| Net Asset Value (NAV) Per Share | | $ | 16.70 | | | $ | 27.17 | | | $ | 13.80 | |
| (a) Market value of securities on loan | | $ | 1,196,668 | | | $ | 6,311,838 | | | $ | — | |
| (b) Non-cash collateral for securities on loan | | $ | 346,977 | | | $ | — | | | $ | — | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Statements of Assets and Liabilities
June 30, 2016
| | | | | | | | | | | |
| | |
AdvisorShares
Gartman Gold/Yen ETF
(Consolidated) | | AdvisorShares
Global Echo ETF | | AdvisorShares
Madrona
Domestic ETF
| | AdvisorShares
Madrona Global
Bond ETF
| | AdvisorShares
Madrona
International ETF |
ASSETS
| | | | | | | | | | | | | | | | | | | | | |
| Investments, at Cost | | | $ | 16,490,603 | | | $ | 5,510,330 | | | $ | 26,956,682 | | | $ | 18,794,516 | | | $ | 15,567,625 | |
| Investments in Affiliates, at Cost (Note 9) | | | | — | | | | — | | | | — | | | | 1,544,873 | | | | — | |
| Repurchase Agreements, at Cost (Note 3) | | | | — | | | | 60,501 | | | | 1,134,488 | | | | 1,226,958 | | | | 2,703,714 | |
| Total Cost of Investments | | | | 16,490,603 | | | | 5,570,831 | | | | 28,091,170 | | | | 21,566,347 | | | | 18,271,339 | |
| Investments, at Market Value (including securities on loan) (Note 3)(a) | | | | 16,490,603 | | | | 5,779,602 | | | | 27,477,743 | | | | 18,891,211 | | | | 14,646,751 | |
| Investments in Affiliates, at Market Value (Note 9) | | | | — | | | | — | | | | — | | | | 1,631,570 | | | | — | |
| Repurchase Agreements, at Market Value (Note 3) | | | | — | | | | 60,501 | | | | 1,134,488 | | | | 1,226,958 | | | | 2,703,714 | |
| Total Market Value of Investments | | | | 16,490,603 | | | | 5,840,103 | | | | 28,612,231 | | | | 21,749,739 | | | | 17,350,465 | |
| Cash | | | | — | | | | 198,090 | | | | — | | | | — | | | | 17 | |
| Cash collateral held at brokers | | | | 7,801,541 | | | | — | | | | — | | | | — | | | | — | |
| Dividends and Interest Receivable | | | | 153 | | | | 17,561 | | | | 29,143 | | | | 6,710 | | | | 48,264 | |
| Receivable from Securities Sold | | | | — | | | | 14,436 | | | | — | | | | — | | | | — | |
| Capital Shares Receivable | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Reclaim Receivable | | | | — | | | | — | | | | — | | | | — | | | | 12,215 | |
| Prepaid Expenses | | | | 8,922 | | | | — | | | | 11,869 | | | | 11,616 | | | | 11,393 | |
| Total Assets | | | | 24,301,219 | | | | 6,070,190 | | | | 28,653,243 | | | | 21,768,065 | | | | 17,422,354 | |
LIABILITIES
| | | | | | | | | | | | | | | | | | | | | |
| Cash collateral for securities on loan(b) | | | | — | | | | 60,501 | | | | 1,134,488 | | | | 1,226,958 | | | | 2,703,714 | |
| Advisory Fees Payable | | | | 10,928 | | | | 5,434 | | | | 24,619 | | | | 11,058 | | | | 11,035 | |
| Trustee Fees Payable | | | | — | | | | — | | | | 41 | | | | 41 | | | | — | |
| CCO Fees Payable | | | | 191 | | | | — | | | | 107 | | | | 56 | | | | 77 | |
| Payable to Global Echo Foundation | | | | — | | | | 1,976 | | | | — | | | | — | | | | — | |
| Accrued Expenses | | | | 41,219 | | | | — | | | | 48,688 | | | | 42,320 | | | | 45,161 | |
| Total Liabilities | | | | 52,338 | | | | 67,911 | | | | 1,207,943 | | | | 1,280,433 | | | | 2,759,987 | |
| NET ASSETS | | | $ | 24,248,881 | | | $ | 6,002,279 | | | $ | 27,445,300 | | | $ | 20,487,632 | | | $ | 14,662,367 | |
COMPONENTS OF NET ASSETS
| | | | | | | | | | | | | | | | | | | | | |
| Capital Stock at Zero Par Value | | | $ | 24,193,494 | | | $ | 5,981,964 | | | $ | 30,263,205 | | | $ | 21,156,198 | | | $ | 21,851,388 | |
| Undistributed (Accumulated) Net Investment Income (Loss) | | | | (120,077 | ) | | | 391 | | | | 81,164 | | | | 3,762 | | | | 208,404 | |
| Undistributed (Accumulated) Net Loss on investments, swaps, short sales, foreign currency transactions, futures, and options written | | | | (999,832 | ) | | | (249,348 | ) | | | (3,420,130 | ) | | | (855,720 | ) | | | (6,476,551 | ) |
| Unrealized Appreciation (Depreciation) on investments, swaps, short sales, options written, futures, and foreign currency translations | | | | 1,175,296 | | | | 269,272 | | | | 521,061 | | | | 183,392 | | | | (920,874 | ) |
| NET ASSETS | | | $ | 24,248,881 | | | $ | 6,002,279 | | | $ | 27,445,300 | | | $ | 20,487,632 | | | $ | 14,662,367 | |
SHARES ISSUED AND OUTSTANDING
| | | | | | | | | | | | | | | | | | | | | |
| Shares Outstanding (Unlimited Shares Authorized) | | | | 2,025,000 | | | | 100,000 | | | | 675,000 | | | | 800,000 | | | | 650,000 | |
| Net Asset Value (NAV) Per Share | | | $ | 11.97 | | | $ | 60.02 | | | $ | 40.66 | | | $ | 25.61 | | | $ | 22.56 | |
| (a) Market value of securities on loan | | | $ | — | | | $ | 126,223 | | | $ | 1,532,371 | | | $ | 1,179,476 | | | $ | 2,637,176 | |
| (b) Non-cash collateral for securities on loan | | | $ | — | | | $ | 68,757 | | | $ | 434,451 | | | $ | — | | | $ | 33,534 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Statements of Assets and Liabilities
June 30, 2016
| | | | | | |
| | AdvisorShares
Market Adaptive
Unconstrained
Income ETF(1) | | AdvisorShares
Meidell Tactical
Advantage ETF | | AdvisorShares
Morgan Creek
Global
Tactical ETF |
ASSETS
| | | | | | | | | | | | |
| Investments, at Cost | | $ | 1,959,622 | | | $ | 31,504,111 | | | $ | 7,332,607 | |
| Investments in Affiliates, at Cost (Note 9) | | | — | | | | — | | | | — | |
| Repurchase Agreements, at Cost (Note 3) | | | — | | | | 408,423 | | | | 1,487,324 | |
| Total Cost of Investments | | | 1,959,622 | | | | 31,912,534 | | | | 8,819,931 | |
| Investments, at Market Value (including securities on loan) (Note 3)(a) | | | 1,980,395 | | | | 31,936,580 | | | | 7,643,761 | |
| Investments in Affiliates, at Market Value (Note 9) | | | — | | | | — | | | | — | |
| Repurchase Agreements, at Market Value (Note 3) | | | — | | | | 408,423 | | | | 1,487,324 | |
| Total Market Value of Investments | | | 1,980,395 | | | | 32,345,003 | | | | 9,131,085 | |
| Cash | | | — | | | | 377,503 | | | | — | |
| Cash collateral held at brokers | | | — | | | | — | | | | — | |
| Dividends and Interest Receivable | | | 54 | | | | 2,440 | | | | 2,126 | |
| Receivable from Securities Sold | | | 294,135 | | | | — | | | | — | |
| Capital Shares Receivable | | | — | | | | — | | | | — | |
| Reclaim Receivable | | | — | | | | — | | | | — | |
| Due from Investment Advisor | | | 7,927 | | | | — | | | | — | |
| Prepaid CCO Fees | | | — | | | | — | | | | — | |
| Prepaid Expenses | | | 21,762 | | | | 11,299 | | | | 10,851 | |
| Total Assets | | | 2,304,273 | | | | 32,736,245 | | | | 9,144,062 | |
LIABILITIES
| | | | | | | | | | | | |
| Unrealized Depreciation on Swaps Contracts | | | — | | | | — | | | | — | |
| Interest Payable | | | — | | | | — | | | | — | |
| Cash collateral for securities on loan(b) | | | — | | | | 408,423 | | | | 1,487,324 | |
| Advisory Fees Payable | | | — | | | | 14,881 | | | | 8,456 | |
| Trustee Fees Payable | | | — | | | | 41 | | | | 160 | |
| Securities sold, not yet purchased(c) | | | — | | | | — | | | | — | |
| Payable for Securities Purchased | | | 1,103,075 | | | | 13,635,371 | | | | — | |
| Capital Shares Payable | | | — | | | | — | | | | — | |
| CCO Fees Payable | | | 72 | | | | 61 | | | | 79 | |
| Dividend Payable on Securities Sold, Not Yet Purchased | | | — | | | | — | | | | — | |
| Accrued Expenses | | | 32,565 | | | | 38,215 | | | | 46,428 | |
| Total Liabilities | | | 1,135,712 | | | | 14,096,992 | | | | 1,542,447 | |
| NET ASSETS | | $ | 1,168,561 | | | $ | 18,639,253 | | | $ | 7,601,615 | |
COMPONENTS OF NET ASSETS
| | | | | | | | | | | | |
| Capital Stock at Zero Par Value | | $ | 1,342,697 | | | $ | 21,664,919 | | | $ | 27,502,203 | |
| Undistributed (Accumulated) Net Investment Income (Loss) | | | (45,657 | ) | | | (45,073 | ) | | | (47,654 | ) |
| Undistributed (Accumulated) Net Loss on investments, swaps, short sales, foreign currency transactions, futures, and options written | | | (149,252 | ) | | | (3,413,062 | ) | | | (20,164,088 | ) |
| Unrealized Appreciation (Depreciation) on investments, swaps, short sales, options written, futures, and foreign currency translations | | | 20,773 | | | | 432,469 | | | | 311,154 | |
| NET ASSETS | | $ | 1,168,561 | | | $ | 18,639,253 | | | $ | 7,601,615 | |
SHARES ISSUED AND OUTSTANDING
| | | | | | | | | | | | |
| Shares Outstanding (Unlimited Shares Authorized) | | | 50,000 | | | | 700,000 | | | | 325,000 | |
| Net Asset Value (NAV) Per Share | | $ | 23.37 | | | $ | 26.63 | | | $ | 23.39 | |
| (a) Market value of securities on loan | | $ | — | | | $ | 399,394 | | | $ | 1,455,258 | |
| (b) Non-cash collateral for securities on loan | | $ | — | | | $ | — | | | $ | — | |
| (c) Proceeds Received from Securities Sold, Not Yet Purchased | | $ | — | | | $ | — | | | $ | — | |
| (1) | Formerly known as, AdvisorShares Sunrise Global Multi-Strategy ETF. |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Statements of Assets and Liabilities
June 30, 2016
| | | | | | | | | | | |
| | | AdvisorShares
Newfleet
Multi-Sector
Income ETF | | AdvisorShares
Pacific Asset
Enhanced Floating
Rate ETF | | AdvisorShares
Peritus
High Yield ETF | | AdvisorShares
QAM Equity
Hedge ETF | | AdvisorShares
Ranger Equity
Bear ETF |
ASSETS
| | | | | | | | | | | | | | | | | | | | | |
| Investments, at Cost | | | $ | 264,918,608 | | | $ | 27,144,678 | | | $ | 224,395,805 | | | $ | 4,943,634 | | | $ | 6,210,106 | |
| Investments in Affiliates, at Cost (Note 9) | | | | — | | | | — | | | | — | | | | 280,000 | | | | 102,083,900 | |
| Repurchase Agreements, at Cost (Note 3) | | | | 3,648,287 | | | | 148,908 | | | | 28,626,133 | | | | — | | | | — | |
| Total Cost of Investments | | | | 268,566,895 | | | | 27,293,586 | | | | 253,021,938 | | | | 5,223,634 | | | | 108,294,006 | |
| Investments, at Market Value (including securities on loan) (Note 3)(a) | | | | 263,943,000 | | | | 26,726,736 | | | | 197,866,033 | | | | 5,062,380 | | | | 6,210,106 | |
| Investments in Affiliates, at Market Value (Note 9) | | | | — | | | | — | | | | — | | | | 278,950 | | | | 102,115,625 | |
| Repurchase Agreements, at Market Value (Note 3) | | | | 3,648,287 | | | | 148,908 | | | | 28,626,133 | | | | — | | | | — | |
| Total Market Value of Investments | | | | 267,591,287 | | | | 26,875,644 | | | | 226,492,166 | | | | 5,341,330 | | | | 108,325,731 | |
| Cash | | | | 88,926 | | | | 18,772 | | | | 694,389 | | | | — | | | | 96,109,147 | |
| Cash collateral held at brokers | | | | 9,486 | | | | — | | | | — | | | | 289,014 | | | | 237,602,919 | |
| Dividends and Interest Receivable | | | | 1,087,380 | | | | 111,473 | | | | 3,199,900 | | | | 304 | | | | 1,437 | |
| Receivable from Securities Sold | | | | — | | | | — | | | | — | | | | 133,880 | | | | 1,222,276 | |
| Capital Shares Receivable | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Reclaim Receivable | | | | 3,413 | | | | — | | | | — | | | | — | | | | — | |
| Due from Investment Advisor | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Prepaid CCO Fees | | | | 8 | | | | — | | | | — | | | | — | | | | 45 | |
| Prepaid Expenses | | | | 43,015 | | | | 27,124 | | | | 147,577 | | | | 14,206 | | | | 21,362 | |
| Total Assets | | | | 268,823,515 | | | | 27,033,013 | | | | 230,534,032 | | | | 5,778,734 | | | | 443,282,917 | |
LIABILITIES
| | | | | | | | | | | | | | | | | | | | | |
| Unrealized Depreciation on Swaps Contracts | | | | — | | | | 17,136 | | | | — | | | | — | | | | — | |
| Interest Payable | | | | — | | | | — | | | | — | | | | 182 | | | | 70,796 | |
| Cash collateral for securities on loan(b) | | | | 3,648,287 | | | | 148,908 | | | | 28,626,133 | | | | — | | | | — | |
| Advisory Fees Payable | | | | 136,576 | | | | 21,156 | | | | 188,453 | | | | 2,749 | | | | 277,889 | |
| Trustee Fees Payable | | | | 618 | | | | 93 | | | | 685 | | | | — | | | | 361 | |
| Securities sold, not yet purchased(c) | | | | — | | | | — | | | | — | | | | — | | | | 214,658,261 | |
| Payable for Securities Purchased | | | | 3,667,969 | | | | — | | | | — | | | | 397,043 | | | | 10,660,575 | |
| Capital Shares Payable | | | | — | | | | — | | | | — | | | | — | | | | 3,526,091 | |
| CCO Fees Payable | | | | — | | | | 200 | | | | 115 | | | | 110 | | | | — | |
| Dividend Payable on Securities Sold, Not Yet Purchased | | | | — | | | | — | | | | — | | | | — | | | | 48,090 | |
| Accrued Expenses | | | | 106,577 | | | | 45,187 | | | | 117,787 | | | | 38,480 | | | | 93,311 | |
| Total Liabilities | | | | 7,560,027 | | | | 232,680 | | | | 28,933,173 | | | | 438,564 | | | | 229,335,374 | |
| NET ASSETS | | | $ | 261,263,488 | | | $ | 26,800,333 | | | $ | 201,600,859 | | | $ | 5,340,170 | | | $ | 213,947,543 | |
COMPONENTS OF NET ASSETS
| | | | | | | | | | | | | | | | | | | | | |
| Capital Stock at Zero Par Value | | | $ | 265,292,879 | | | $ | 27,488,348 | | | $ | 395,388,572 | | | $ | 5,532,111 | | | $ | 396,178,515 | |
| Undistributed (Accumulated) Net Investment Income (Loss) | | | | 146,025 | | | | 21,932 | | | | (674,558 | ) | | | (22,177 | ) | | | (2,234,404 | ) |
| Undistributed (Accumulated) Net Loss on investments, swaps, short sales, foreign currency transactions, futures, and options written | | | | (3,199,808 | ) | | | (274,869 | ) | | | (166,583,383 | ) | | | (287,460 | ) | | | (181,889,646 | ) |
| Unrealized Appreciation (Depreciation) on investments, swaps, short sales, options written, futures, and foreign currency translations | | | | (975,608 | ) | | | (435,078 | ) | | | (26,529,772 | ) | | | 117,696 | | | | 1,893,078 | |
| NET ASSETS | | | $ | 261,263,488 | | | $ | 26,800,333 | | | $ | 201,600,859 | | | $ | 5,340,170 | | | $ | 213,947,543 | |
SHARES ISSUED AND OUTSTANDING
| | | | | | | | | | | | | | | | | | | | | |
| Shares Outstanding (Unlimited Shares Authorized) | | | | 5,350,000 | | | | 550,000 | | | | 5,950,000 | | | | 200,000 | | | | 20,175,000 | |
| Net Asset Value (NAV) Per Share | | | $ | 48.83 | | | $ | 48.73 | | | $ | 33.88 | | | $ | 26.70 | | | $ | 10.60 | |
| (a) Market value of securities on loan | | | $ | 4,248,393 | | | $ | 249,985 | | | $ | 33,888,805 | | | $ | — | | | $ | — | |
| (b) Non-cash collateral for securities on loan | | | $ | 692,248 | | | $ | 107,169 | | | $ | 6,103,837 | | | $ | — | | | $ | — | |
| (c) Proceeds Received from Securities Sold, Not Yet Purchased | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 216,519,614 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Statements of Assets and Liabilities
June 30, 2016
| | | | |
| |
AdvisorShares Sage Core
Reserves ETF | | AdvisorShares
STAR Global
Buy-Write ETF |
ASSETS
| | | | | | | | |
| Investments, at Cost | | $ | 112,275,126 | | | $ | 16,821,634 | |
| Repurchase Agreements, at Cost (Note 3) | | | — | | | | — | |
| Total Cost of Investments | | | 112,275,126 | | | | 16,821,634 | |
| Investments, at Market Value (including securities on loan) (Note 3)(a) | | | 112,312,288 | | | | 17,393,977 | |
| Repurchase Agreements, at Market Value (Note 3) | | | — | | | | — | |
| Total Market Value of Investments | | | 112,312,288 | | | | 17,393,977 | |
| Cash | | | — | | | | 111,711 | |
| Cash collateral held at brokers | | | 119,318 | | | | 313 | |
| Dividends and Interest Receivable | | | 412,434 | | | | 60,687 | |
| Capital Shares Receivable | | | 2,485,582 | | | | — | |
| Reclaim Receivable | | | — | | | | — | |
| Prepaid Expenses | | | 37,400 | | | | 11,733 | |
| Total Assets | | | 115,367,022 | | | | 17,578,421 | |
LIABILITIES
| | | | | | | | |
| Cash collateral for securities on loan(b) | | | — | | | | — | |
| Advisory Fees Payable | | | 22,107 | | | | 20,292 | |
| Trustee Fees Payable | | | 41 | | | | 41 | |
| Payable for Securities Purchased | | | 3,429,664 | | | | — | |
| Options written, at Value(c) | | | — | | | | 15,972 | |
| CCO Fees Payable | | | 66 | | | | 93 | |
| Due to Broker | | | — | | | | 101,409 | |
| Accrued Expenses | | | 52,720 | | | | 40,683 | |
| Total Liabilities | | | 3,504,598 | | | | 178,490 | |
| NET ASSETS | | $ | 111,862,424 | | | $ | 17,399,931 | |
COMPONENTS OF NET ASSETS
| | | | | | | | |
| Capital Stock at Zero Par Value | | $ | 112,061,940 | | | $ | 17,449,344 | |
| Undistributed (Accumulated) Net Investment Income (Loss) | | | 17,872 | | | | 79,238 | |
| Undistributed (Accumulated) Net Loss on investments, swaps, short sales, foreign currency transactions, futures, and options written | | | (254,550 | ) | | | (722,335 | ) |
| Unrealized Appreciation (Depreciation) on investments, swaps, short sales, options written, futures, and foreign currency translations | | | 37,162 | | | | 593,684 | |
| NET ASSETS | | $ | 111,862,424 | | | $ | 17,399,931 | |
SHARES ISSUED AND OUTSTANDING
| | | | | | | | |
| Shares Outstanding (Unlimited Shares Authorized) | | | 1,125,000 | | | | 650,000 | |
| Net Asset Value (NAV) Per Share | | $ | 99.43 | | | $ | 26.77 | |
| (a) Market value of securities on loan | | $ | — | | | $ | — | |
| (b) Non-cash collateral for securities on loan | | $ | — | | | $ | — | |
| (c) Premiums Received for Options Written | | $ | — | | | $ | 37,313 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Statements of Assets and Liabilities
June 30, 2016
| | | | | | | | | | |
| | | AdvisorShares
TrimTabs Float
Shrink ETF | | AdvisorShares
WCM/BNY Mellon
Focused Growth
ADR ETF | | AdvisorShares
YieldPro ETF | |
ASSETS
| | | | | | | | | | | | | | |
| Investments, at Cost | | | $ | 157,892,726 | | | $ | 13,352,326 | | | $ | 18,084,091 | | |
| Repurchase Agreements, at Cost (Note 3) | | | | 13,329,490 | | | | 1,883,787 | | | | — | | |
| Total Cost of Investments | | | | 171,222,216 | | | | 15,236,113 | | | | 18,084,091 | | |
| Investments, at Market Value (including securities on loan) (Note 3)(a) | | | | 155,588,641 | | | | 14,616,222 | | | | 18,387,732 | | |
| Repurchase Agreements, at Market Value (Note 3) | | | | 13,329,490 | | | | 1,883,787 | | | | — | | |
| Total Market Value of Investments | | | | 168,918,131 | | | | 16,500,009 | | | | 18,387,732 | | |
| Cash | | | | — | | | | — | | | | — | | |
| Cash collateral held at brokers | | | | — | | | | — | | | | — | | |
| Dividends and Interest Receivable | | | | 103,425 | | | | 43,437 | | | | 42 | | |
| Capital Shares Receivable | | | | — | | | | — | | | | 591,568 | | |
| Reclaim Receivable | | | | — | | | | 28,919 | | | | — | | |
| Prepaid Expenses | | | | 35,420 | | | | 10,641 | | | | 10,753 | | |
| Total Assets | | | | 169,056,976 | | | | 16,583,006 | | | | 18,990,095 | | |
LIABILITIES
| | | | | | | | | | | | | | |
| Cash collateral for securities on loan(b) | | | | 13,329,490 | | | | 1,883,787 | | | | — | | |
| Advisory Fees Payable | | | | 85,488 | | | | 10,870 | | | | 13,875 | | |
| Trustee Fees Payable | | | | 566 | | | | 101 | | | | 41 | | |
| Payable for Securities Purchased | | | | — | | | | — | | | | 585,223 | | |
| Options written, at Value(c) | | | | — | | | | — | | | | — | | |
| CCO Fees Payable | | | | 105 | | | | 178 | | | | 49 | | |
| Due to Broker | | | | — | | | | — | | | | — | | |
| Accrued Expenses | | | | 71,333 | | | | 40,087 | | | | 45,845 | | |
| Total Liabilities | | | | 13,486,982 | | | | 1,935,023 | | | | 645,033 | | |
| NET ASSETS | | | $ | 155,569,994 | | | $ | 14,647,983 | | | $ | 18,345,062 | | |
COMPONENTS OF NET ASSETS
| | | | | | | | | | | | | | |
| Capital Stock at Zero Par Value | | | $ | 174,246,982 | | | $ | 14,069,356 | | | $ | 22,372,121 | | |
| Undistributed (Accumulated) Net Investment Income (Loss) | | | | 951,074 | | | | 57,841 | | | | (4,230 | ) | |
| Undistributed (Accumulated) Net Loss on investments, swaps, short sales, foreign currency transactions, futures, and options written | | | | (17,323,977 | ) | | | (743,110 | ) | | | (4,326,470 | ) | |
| Unrealized Appreciation (Depreciation) on investments, swaps, short sales, options written, futures, and foreign currency translations | | | | (2,304,085 | ) | | | 1,263,896 | | | | 303,641 | | |
| NET ASSETS | | | $ | 155,569,994 | | | $ | 14,647,983 | | | $ | 18,345,062 | | |
SHARES ISSUED AND OUTSTANDING
| | | | | | | | | | | | | | |
| Shares Outstanding (Unlimited Shares Authorized) | | | | 2,800,000 | | | | 375,000 | | | | 775,000 | | |
| Net Asset Value (NAV) Per Share | | | $ | 55.56 | | | $ | 39.06 | | | $ | 23.67 | | |
| (a) Market value of securities on loan | | | $ | 15,089,003 | | | $ | 1,837,798 | | | $ | — | | |
| (b) Non-cash collateral for securities on loan | | | $ | 2,118,446 | | | $ | — | | | $ | — | | |
| (c) Premiums Received for Options Written | | | $ | — | | | $ | — | | | $ | — | | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Statements of Operations
Year Ended June 30, 2016
| | | | | | |
| |
AdvisorShares Athena High Dividend ETF | | AdvisorShares EquityPro ETF | | AdvisorShares Gartman
Gold/Euro ETF (Consolidated) |
INVESTMENT INCOME:
| | | | | | | | | | | | |
| Dividend Income | | $ | 364,051 | | | $ | 469,043 | | | $ | — | |
| Dividend Income from Affiliates | | | — | | | | — | | | | — | |
| Interest Income | | | 125 | | | | 3,456 | | | | 948 | |
| Securities lending income (Note 3) | | | 17,879 | | | | 58,227 | | | | — | |
| Foreign withholding tax | | | (15,518 | ) | | | (182 | ) | | | — | |
| Total Investment Income | | | 366,537 | | | | 530,544 | | | | 948 | |
EXPENSES:
| | | | | | | | | | | | |
| Advisory Fees | | | 71,165 | | | | 211,363 | | | | 78,870 | |
| Accounting & Administration Fees | | | 45,790 | | | | 69,717 | | | | 66,864 | |
| Professional Fees | | | 15,812 | | | | 28,105 | | | | 28,068 | |
| Exchange Listing Fees | | | 9,175 | | | | 7,751 | | | | 8,583 | |
| Custody Fees | | | 3,908 | | | | 3,350 | | | | 1,392 | |
| Report to Shareholders | | | 2,278 | | | | 7,670 | | | | 3,727 | |
| Trustee Fees | | | 3,293 | | | | 3,409 | | | | 3,485 | |
| CCO Fees | | | 3,335 | | | | 4,285 | | | | 3,847 | |
| Pricing Fees | | | 298 | | | | — | | | | 7,467 | |
| Transfer Agent Fees | | | 667 | | | | 1,981 | | | | 1,076 | |
| Insurance Fees | | | 553 | | | | 664 | | | | 743 | |
| Contribution to Global Echo Foundation | | | — | | | | — | | | | — | |
| Miscellaneous Fees | | | 504 | | | | 1,832 | | | | 306 | |
| Total Expenses | | | 156,778 | | | | 340,127 | | | | 204,428 | |
| Advisory Fees Waived/Recoupment | | | (68,711 | ) | | | (9,872 | ) | | | (78,870 | ) |
| Expense Reimbursement | | | — | | | | — | | | | (32,347 | ) |
| Net Expenses | | | 88,067 | | | | 330,255 | | | | 93,211 | |
| Net Investment Income (Loss) | | | 278,470 | | | | 200,289 | | | | (92,263 | ) |
REALIZED AND UNREALIZED GAIN (LOSS) ON:
| | | | | | | | | | | | |
Net Realized Gain (Loss) on:
| | | | | | | | | | | | |
| Investments | | | (3,078,214 | ) | | | (3,637,709 | ) | | | — | |
| In-Kind Redemptions | | | (488,269 | ) | | | (61,889 | ) | | | — | |
| In-Kind Redemptions in Affiliates | | | — | | | | — | | | | — | |
| Futures | | | — | | | | — | | | | (200,543 | ) |
| Distributions by other Investment Companies | | | — | | | | 59,171 | | | | — | |
Net Change in Unrealized Appreciation (Depreciation) on:
| | | | | | | | | | | | |
| Investments | | | 1,364,474 | | | | 1,049,954 | | | | — | |
| Futures | | | — | | | | — | | | | 1,833,062 | |
| Net Realized and Unrealized Gain (Loss) | | | (2,202,009 | ) | | | (2,590,473 | ) | | | 1,632,519 | |
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (1,923,539 | ) | | $ | (2,390,184 | ) | | $ | 1,540,256 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Statements of Operations
Year Ended June 30, 2016
| | | | | | | | | | | | |
| | | | AdvisorShares
Gartman
Gold/Yen ETF (Consolidated) | | AdvisorShares
Global Echo ETF | | AdvisorShares
Madrona
Domestic ETF | | AdvisorShares
Madrona Global
Bond ETF | | AdvisorShares
Madrona
International ETF |
INVESTMENT INCOME:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Dividend Income | | | | | | $ | — | | | $ | 69,664 | | | $ | 549,652 | | | $ | 813,233 | | | $ | 514,476 | |
| Dividend Income from Affiliates | | | | | | | — | | | | — | | | | — | | | | 32,382 | | | | — | |
| Interest Income | | | | | | | 1,391 | | | | 35,752 | | | | 822 | | | | 668 | | | | 828 | |
| Securities lending income (Note 3) | | | | | | | — | | | | 1,980 | | | | 4,894 | | | | 93,537 | | | | 33,049 | |
| Foreign withholding tax | | | | | | | — | | | | (3,022 | ) | | | — | | | | — | | | | (49,806 | ) |
| Total Investment Income | | | | | | | 1,391 | | | | 104,374 | | | | 555,368 | | | | 939,820 | | | | 498,547 | |
EXPENSES:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Advisory Fees | | | | | | | 102,768 | | | | 81,263 | | | | 244,089 | | | | 118,743 | | | | 135,726 | |
| Accounting & Administration Fees | | | | | | | 64,742 | | | | — | | | | 94,309 | | | | 76,182 | | | | 91,549 | |
| Professional Fees | | | | | | | 27,776 | | | | — | | | | 25,179 | | | | 24,133 | | | | 22,800 | |
| Exchange Listing Fees | | | | | | | 8,583 | | | | — | | | | 7,405 | | | | 7,500 | | | | 7,500 | |
| Custody Fees | | | | | | | 1,635 | | | | — | | | | 9,019 | | | | 2,431 | | | | 2,636 | |
| Report to Shareholders | | | | | | | 5,367 | | | | — | | | | 7,468 | | | | 6,259 | | | | 3,424 | |
| Trustee Fees | | | | | | | 3,323 | | | | — | | | | 3,447 | | | | 3,417 | | | | 3,326 | |
| CCO Fees | | | | | | | 3,983 | | | | — | | | | 4,819 | | | | 4,343 | | | | 3,858 | |
| Pricing Fees | | | | | | | 8,419 | | | | — | | | | 2,203 | | | | 2,233 | | | | 2,203 | |
| Transfer Agent Fees | | | | | | | 1,401 | | | | — | | | | 2,288 | | | | 1,781 | | | | 1,272 | |
| Insurance Fees | | | | | | | 833 | | | | — | | | | 749 | | | | 628 | | | | 443 | |
| Contribution to Global Echo Foundation | | | | | | | — | | | | 29,550 | | | | — | | | | — | | | | — | |
| Miscellaneous Fees | | | | | | | 303 | | | | — | | | | 1,775 | | | | 1,180 | | | | 936 | |
| Total Expenses | | | | | | | 229,133 | | | | 110,813 | | | | 402,750 | | | | 248,830 | | | | 275,673 | |
| Advisory Fees Waived/Recoupment | | | | | | | (102,768 | ) | | | — | | | | (21,361 | ) | | | (23,218 | ) | | | (63,601 | ) |
| Expense Reimbursement | | | | | | | (4,913 | ) | | | — | | | | — | | | | — | | | | — | |
| Net Expenses | | | | | | | 121,452 | | | | 110,813 | | | | 381,389 | | | | 225,612 | | | | 212,072 | |
| Net Investment Income (Loss) | | | | | | | (120,061 | ) | | | (6,439 | ) | | | 173,979 | | | | 714,208 | | | | 286,475 | |
REALIZED AND UNREALIZED GAIN (LOSS) ON:
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) on:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Investments | | | | | | | — | | | | (222,003 | ) | | | (1,715,573 | ) | | | (360,715 | ) | | | (3,270,839 | ) |
| In-Kind Redemptions | | | | | | | — | | | | 153,903 | | | | 1,983,939 | | | | 340,803 | | | | 167,490 | |
| In-Kind Redemptions in Affiliates | | | | | | | — | | | | — | | | | — | | | | 2,220 | | | | — | |
| Futures | | | | | | | (3,173,447 | ) | | | — | | | | — | | | | — | | | | — | |
| Distributions by other Investment Companies | | | | | | | — | | | | — | | | | — | | | | 61,614 | | | | — | |
Net Change in Unrealized Appreciation (Depreciation) on:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Investments | | | | | | | — | | | | (197,111 | ) | | | (2,651,897 | ) | | | 419,244 | | | | (592,166 | ) |
| Futures | | | | | | | 1,583,471 | | | | — | | | | — | | | | — | | | | — | |
| Net Realized and Unrealized Gain (Loss) | | | | | | | (1,589,976 | ) | | | (265,211 | ) | | | (2,383,531 | ) | | | 463,166 | | | | (3,695,515 | ) |
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | | | | | $ | (1,710,037 | ) | | $ | (271,650 | ) | | $ | (2,209,552 | ) | | $ | 1,177,374 | | | $ | (3,409,040 | ) |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Statements of Operations
Year Ended June 30, 2016
| | | | | | |
| | AdvisorShares
Market Adaptive
Unconstrained
Income ETF(1) | | AdvisorShares
Meidell Tactical
Advantage ETF | | AdvisorShares
Morgan Creek
Global
Tactical ETF |
INVESTMENT INCOME:
| | | | | | | | | | | | |
| Dividend Income | | $ | 30,760 | | | $ | 174,797 | | | $ | 59,120 | |
| Dividend Income from Affiliates | | | 11 | | | | — | | | | — | |
| Interest Income | | | 272 | | | | 5,926 | | | | 4,030 | |
| Securities lending income (Note 3) | | | — | | | | 20,545 | | | | 20,538 | |
| Foreign withholding tax | | | — | | | | — | | | | — | |
| Total Investment Income | | | 31,043 | | | | 201,268 | | | | 83,688 | |
EXPENSES:
| | | | | | | | | | | | |
| Advisory Fees | | | 14,341 | | | | 221,028 | | | | 81,593 | |
| Accounting & Administration Fees | | | 46,980 | | | | 75,871 | | | | 76,746 | |
| Professional Fees | | | 21,940 | | | | 23,836 | | | | 24,336 | |
| Exchange Listing Fees | | | 140 | | | | 7,441 | | | | 8,020 | |
| Custody Fees | | | 1,428 | | | | 2,129 | | | | 3,650 | |
| Report to Shareholders | | | 2,838 | | | | 5,179 | | | | — | |
| Trustee Fees | | | 3,189 | | | | 3,376 | | | | 3,459 | |
| CCO Fees | | | 2,707 | | | | 3,834 | | | | 3,302 | |
| Pricing Fees | | | — | | | | — | | | | 2,091 | |
| Transfer Agent Fees | | | 91 | | | | 1,382 | | | | 680 | |
| Insurance Fees | | | — | | | | 407 | | | | 540 | |
| Interest on Securities Sold, Not Yet Purchased | | | — | | | | — | | | | — | |
| Dividend Expense | | | — | | | | — | | | | — | |
| Miscellaneous Fees | | | 2,192 | | | | 1,112 | | | | 257 | |
| Total Expenses | | | 95,846 | | | | 345,595 | | | | 204,674 | |
| Advisory Fees Waived/Recoupment | | | (14,341 | ) | | | (96,939 | ) | | | (81,593 | ) |
| Expense Reimbursement | | | (65,153 | ) | | | — | | | | (9,757 | ) |
| Net Expenses | | | 16,352 | | | | 248,656 | | | | 113,324 | |
| Net Investment Income (Loss) | | | 14,691 | | | | (47,388 | ) | | | (29,636 | ) |
REALIZED AND UNREALIZED GAIN (LOSS) ON:
| | | | | | | | | | | | |
Net Realized Gain (Loss) on:
| | | | | | | | | | | | |
| Investments | | | (3,360 | ) | | | (2,740,610 | ) | | | (1,170,814 | ) |
| Investments in Affiliates | | | (347 | ) | | | (19,531 | ) | | | — | |
| In-Kind Redemptions | | | 18,790 | | | | 5,288 | | | | 134,005 | |
| In-Kind Redemptions in Affiliates | | | — | | | | — | | | | — | |
| Swaps | | | — | | | | — | | | | — | |
| Short Sales | | | — | | | | — | | | | — | |
| Options Written | | | — | | | | — | | | | — | |
| Distributions by other Investment Companies | | | 4,047 | | | | 7,287 | | | | 142,557 | |
Net Change in Unrealized Appreciation (Depreciation) on:
| | | | | | | | | | | | |
| Investments | | | (41,784 | ) | | | 138,383 | | | | 363,211 | |
| Short Sales | | | — | | | | — | | | | — | |
| Swaps | | | — | | | | — | | | | — | |
| Net Realized and Unrealized Gain (Loss) | | | (22,654 | ) | | | (2,609,183 | ) | | | (531,041 | ) |
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (7,963 | ) | | $ | (2,656,571 | ) | | $ | (560,677 | ) |
| (1) | Formerly known as, AdvisorShares Sunrise Global Multi-Strategy ETF. |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Statements of Operations
Year Ended June 30, 2016
| | | | | | | | | | | | |
| | | | AdvisorShares
Newfleet
Multi-Sector
Income ETF | | AdvisorShares
Pacific Asset
Enhanced
Floating Rate ETF | | AdvisorShares
Peritus High
Yield ETF | | AdvisorShares
QAM Equity
Hedge ETF | | AdvisorShares
Ranger Equity
Bear ETF |
INVESTMENT INCOME:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Dividend Income | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | 61,649 | | | $ | — | |
| Dividend Income from Affiliates | | | | | | | — | | | | — | | | | — | | | | 2,314 | | | | 302,624 | |
| Interest Income | | | | | | | 7,813,994 | | | | 1,247,091 | | | | 24,031,188 | | | | 1,843 | | | | 6,637 | |
| Securities lending income (Note 3) | | | | | | | 11,302 | | | | 1,026 | | | | 180,460 | | | | — | | | | — | |
| Foreign withholding tax | | | | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Investment Income | | | | | | | 7,825,296 | | | | 1,248,117 | | | | 24,211,648 | | | | 65,806 | | | | 309,261 | |
EXPENSES:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Advisory Fees | | | | | | | 1,532,997 | | | | 253,157 | | | | 2,666,241 | | | | 60,147 | | | | 2,480,778 | |
| Accounting & Administration Fees | | | | | | | 164,036 | | | | 26,106 | | | | 180,809 | | | | 77,449 | | | | 84,049 | |
| Professional Fees | | | | | | | 37,889 | | | | 59,915 | | | | 47,896 | | | | 22,545 | | | | 32,171 | |
| Exchange Listing Fees | | | | | | | 7,502 | | | | 14,680 | | | | 7,501 | | | | 7,500 | | | | 7,500 | |
| Custody Fees | | | | | | | 28,548 | | | | 7,940 | | | | 22,126 | | | | 544 | | | | 12,485 | |
| Report to Shareholders | | | | | | | 53,549 | | | | 13,893 | | | | 80,559 | | | | 1,425 | | | | 36,739 | |
| Trustee Fees | | | | | | | 4,945 | | | | 3,857 | | | | 5,562 | | | | 3,267 | | | | 4,280 | |
| CCO Fees | | | | | | | 17,681 | | | | 4,161 | | | | 22,006 | | | | 3,104 | | | | 11,922 | |
| Pricing Fees | | | | | | | 19,533 | | | | 13,184 | | | | 12,403 | | | | 1,485 | | | | 812 | |
| Transfer Agent Fees | | | | | | | 17,687 | | | | 1,999 | | | | 18,196 | | | | 451 | | | | 12,403 | |
| Insurance Fees | | | | | | | 4,762 | | | | 740 | | | | 21,902 | | | | 287 | | | | 3,787 | |
| Interest on Securities Sold, Not Yet Purchased | | | | | | | — | | | | — | | | | — | | | | 8,205 | | | | 831,631 | |
| Dividend Expense | | | | | | | — | | | | — | | | | — | | | | 2,622 | | | | 907,646 | |
| Miscellaneous Fees | | | | | | | 12,332 | | | | 1,783 | | | | 11,066 | | | | 534 | | | | 2,786 | |
| Total Expenses | | | | | | | 1,901,461 | | | | 401,415 | | | | 3,096,267 | | | | 189,565 | | | | 4,428,989 | |
| Advisory Fees Waived/Recoupment | | | | | | | (132,621 | ) | | | (108,286 | ) | | | (145,483 | ) | | | (60,147 | ) | | | — | |
| Expense Reimbursement | | | | | | | — | | | | — | | | | — | | | | (28,371 | ) | | | — | |
| Net Expenses | | | | | | | 1,768,840 | | | | 293,129 | | | | 2,950,784 | | | | 101,047 | | | | 4,428,989 | |
| Net Investment Income (Loss) | | | | | | | 6,056,456 | | | | 954,988 | | | | 21,260,864 | | | | (35,241 | ) | | | (4,119,728 | ) |
REALIZED AND UNREALIZED GAIN (LOSS) ON:
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) on:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Investments | | | | | | | (1,122,319 | ) | | | (270,721 | ) | | | (49,272,027 | ) | | | (309,504 | ) | | | — | |
| Investments in Affiliates | | | | | | | — | | | | — | | | | — | | | | — | | | | — | |
| In-Kind Redemptions | | | | | | | — | | | | — | | | | (1,309,719 | ) | | | 55,454 | | | | — | |
| In-Kind Redemptions in Affiliates | | | | | | | — | | | | — | | | | — | | | | (707 | ) | | | — | |
| Swaps | | | | | | | — | | | | 7,751 | | | | — | | | | — | | | | — | |
| Short Sales | | | | | | | — | | | | — | | | | — | | | | 50,017 | | | | (10,405,339 | ) |
| Options Written | | | | | | | — | | | | — | | | | — | | | | (1,640 | ) | | | — | |
| Distributions by other Investment Companies | | | | | | | — | | | | — | | | | — | | | | 4,191 | | | | — | |
Net Change in Unrealized Appreciation (Depreciation) on:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Investments | | | | | | | 810,979 | | | | (240,777 | ) | | | (1,853,685 | ) | | | (144,720 | ) | | | 217,875 | |
| Short Sales | | | | | | | — | | | | — | | | | — | | | | (33,600 | ) | | | (2,248,164 | ) |
| Swaps | | | | | | | — | | | | (14,424 | ) | | | — | | | | — | | | | — | |
| Net Realized and Unrealized Gain (Loss) | | | | | | | (311,340 | ) | | | (518,171 | ) | | | (52,435,431 | ) | | | (380,509 | ) | | | (12,435,628 | ) |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS | | | | | | $ | 5,745,116 | | | $ | 436,817 | | | $ | (31,174,567 | ) | | $ | (415,750 | ) | | $ | (16,555,356 | ) |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Statements of Operations
Year Ended June 30, 2016
| | | | |
| |
AdvisorShares
Sage Core
Reserves ETF | | AdvisorShares
STAR Global
Buy-Write ETF |
INVESTMENT INCOME:
| | | | | | | | |
| Dividend Income | | $ | — | | | $ | 481,462 | |
| Dividend Income from Affiliates | | | — | | | | 565 | |
| Interest Income | | | 479,873 | | | | 2,444 | |
| Securities lending income (Note 3) | | | 702 | | | | — | |
| Foreign withholding tax | | | 275 | | | | — | |
| Total Investment Income | | | 480,850 | | | | 484,471 | |
EXPENSES:
| | | | | | | | |
| Advisory Fees | | | 137,685 | | | | 293,378 | |
| Accounting & Administration Fees | | | 43,524 | | | | 75,982 | |
| Professional Fees | | | 22,941 | | | | 25,403 | |
| Exchange Listing Fees | | | 8,306 | | | | 7,500 | |
| Custody Fees | | | 5,925 | | | | 2,012 | |
| Report to Shareholders | | | 3,228 | | | | 5,833 | |
| Trustee Fees | | | 3,460 | | | | 3,411 | |
| CCO Fees | | | 4,958 | | | | 4,272 | |
| Pricing Fees | | | 15,026 | | | | 6,569 | |
| Transfer Agent Fees | | | 3,442 | | | | 1,630 | |
| Insurance Fees | | | 867 | | | | 705 | |
| Licensing Fees | | | — | | | | — | |
| Miscellaneous Fees | | | 1,816 | | | | 1,162 | |
| Total Expenses | | | 251,178 | | | | 427,857 | |
| Advisory Fees Waived/Recoupment | | | (90,545 | ) | | | (25,820 | ) |
| Net Expenses | | | 160,633 | | | | 402,037 | |
| Net Investment Income (Loss) | | | 320,217 | | | | 82,434 | |
REALIZED AND UNREALIZED GAIN (LOSS) ON:
| | | | | | | | |
Net Realized Gain (Loss) on:
| | | | | | | | |
| Investments | | | (95,466 | ) | | | (736,755 | ) |
| Investments in Affiliates | | | — | | | | (1,738 | ) |
| In-Kind Redemptions | | | — | | | | 1,423,305 | |
| In-Kind Redemptions in Affiliates | | | — | | | | (247 | ) |
| Futures | | | 17,854 | | | | — | |
| Options Written | | | — | | | | 248,567 | |
| Distributions by other Investment Companies | | | — | | | | 3,345 | |
Net Change in Unrealized Appreciation (Depreciation) on:
| | | | | | | | |
| Investments | | | 129,890 | | | | (1,005,090 | ) |
| Options Written | | | — | | | | (34,641 | ) |
| Futures | | | (220 | ) | | | — | |
| Net Realized and Unrealized Gain (Loss) | | | 52,058 | | | | (103,254 | ) |
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 372,275 | | | $ | (20,820 | ) |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Statements of Operations
Year Ended June 30, 2016
| | | | | | | |
| | | AdvisorShares
TrimTabs Float
Shrink ETF | | AdvisorShares
WCM/BNY
Mellon Focused
Growth ADR ETF | | AdvisorShares
YieldPro ETF |
INVESTMENT INCOME:
| | | | | | | | | | | | | |
| Dividend Income | | | $ | 3,613,608 | | | $ | 276,102 | | | $ | 519,389 | |
| Dividend Income from Affiliates | | | | — | | | | — | | | | — | |
| Interest Income | | | | 338 | | | | 360 | | | | 260 | |
| Securities lending income (Note 3) | | | | 148,023 | | | | 22,937 | | | | — | |
| Foreign withholding tax | | | | — | | | | (29,427 | ) | | | — | |
| Total Investment Income | | | | 3,761,969 | | | | 269,972 | | | | 519,649 | |
EXPENSES:
| | | | | | | | | | | | | |
| Advisory Fees | | | | 2,013,242 | | | | 119,535 | | | | 210,474 | |
| Accounting & Administration Fees | | | | 83,064 | | | | 76,180 | | | | 65,034 | |
| Professional Fees | | | | 65,007 | | | | 26,120 | | | | 30,757 | |
| Exchange Listing Fees | | | | 7,501 | | | | 7,501 | | | | 6,776 | |
| Custody Fees | | | | 18,297 | | | | 1,554 | | | | 2,882 | |
| Report to Shareholders | | | | 225,213 | | | | 6,279 | | | | 6,891 | |
| Trustee Fees | | | | 4,966 | | | | 3,426 | | | | 3,458 | |
| CCO Fees | | | | 18,102 | | | | 3,837 | | | | 4,593 | |
| Pricing Fees | | | | — | | | | 2,552 | | | | 7,026 | |
| Transfer Agent Fees | | | | 15,251 | | | | 1,195 | | | | 1,973 | |
| Insurance Fees | | | | 5,004 | | | | 619 | | | | 1,127 | |
| Licensing Fees | | | | — | | | | 8,343 | | | | — | |
| Miscellaneous Fees | | | | 12,068 | | | | 1,012 | | | | — | |
| Total Expenses | | | | 2,467,715 | | | | 258,153 | | | | 340,991 | |
| Advisory Fees Waived/Recoupment | | | | (454,474 | ) | | | (58,928 | ) | | | (19,436 | ) |
| Net Expenses | | | | 2,013,241 | | | | 199,225 | | | | 321,555 | |
| Net Investment Income (Loss) | | | | 1,748,728 | | | | 70,747 | | | | 198,094 | |
REALIZED AND UNREALIZED GAIN (LOSS) ON:
| | | | | | | | | | | | | |
Net Realized Gain (Loss) on:
| | | | | | | | | | | | | |
| Investments | | | | (5,580,227 | ) | | | (299,484 | ) | | | 26,542 | |
| Investments in Affiliates | | | | — | | | | — | | | | — | |
| In-Kind Redemptions | | | | (4,629,652 | ) | | | 783,479 | | | | 26,507 | |
| In-Kind Redemptions in Affiliates | | | | — | | | | — | | | | — | |
| Futures | | | | — | | | | — | | | | — | |
| Options Written | | | | — | | | | — | | | | — | |
| Distributions by other Investment Companies | | | | — | | | | — | | | | 14,220 | |
Net Change in Unrealized Appreciation (Depreciation) on:
| | | | | | | | | | | | | |
| Investments | | | | (884,414 | ) | | | (688,575 | ) | | | 498,613 | |
| Options Written | | | | — | | | | — | | | | — | |
| Futures | | | | — | | | | — | | | | — | |
| Net Realized and Unrealized Gain (Loss) | | | | (11,094,293 | ) | | | (204,580 | ) | | | 565,882 | |
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | | $ | (9,345,565 | ) | | $ | (133,833 | ) | | $ | 763,976 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Statements of Changes in Net Assets
| | | | | | | | |
| |
AdvisorShares
Athena High Dividend ETF | | AdvisorShares
EquityPro ETF |
| | | Year ended
June 30, 2016 | | For the period
July 29, 2014* to
June 30, 2015 | | Year ended
June 30, 2016 | | Year ended
June 30, 2015 |
INCREASE (DECREASE) IN NET ASSETS
| | | | | | | | | | | | | | | | |
OPERATIONS
| | | | | | | | | | | | | | | | |
| Net Investment Income (Loss) | | $ | 278,470 | | | $ | 507,832 | | | $ | 200,289 | | | $ | 318,430 | |
| Net Realized Gain (Loss) | | | (3,566,483 | ) | | | (2,202,636 | ) | | | (3,640,427 | ) | | | 1,623,911 | |
| Net Change in Unrealized Appreciation (Depreciation) | | | 1,364,474 | | | | (1,007,787 | ) | | | 1,049,954 | | | | (1,781,112 | ) |
| Net Increase (Decrease) In Net Assets Resulting From Operations | | | (1,923,539 | ) | | | (2,702,591 | ) | | | (2,390,184 | ) | | | 161,229 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM
| | | | | | | | | | | | | | | | |
| Net Investment Income | | | (259,133 | ) | | | (529,121 | ) | | | (410,873 | ) | | | (269,924 | ) |
| Net Realized Gains | | | — | | | | — | | | | (1,219,968 | ) | | | (463,353 | ) |
| Total Distributions | | | (259,133 | ) | | | (529,121 | ) | | | (1,630,841 | ) | | | (733,277 | ) |
CAPITAL STOCK TRANSACTIONS
| | | | | | | | | | | | | | | | |
| Proceeds from Shares Issued | | | — | | | | 18,496,464 | | | | 24,853,838 | | | | 11,378,050 | |
| Value of Shares Redeemed | | | (5,569,228 | ) | | | — | | | | (16,233,682 | ) | | | (11,696,707 | ) |
| Net Increase (Decrease) From Capital Stock Transactions | | | (5,569,228 | ) | | | 18,496,464 | | | | 8,620,156 | | | | (318,657 | ) |
| Net Increase (Decrease) in Net Assets | | | (7,751,900 | ) | | | 15,264,752 | | | | 4,599,131 | | | | (890,705 | ) |
Net Assets:
| | | | | | | | | | | | | | | | |
| Beginning of Year/Period | | | 15,264,752 | | | | — | | | | 19,178,935 | | | | 20,069,640 | |
| End of Year/Period | | $ | 7,512,852 | | | $ | 15,264,752 | | | $ | 23,778,066 | | | $ | 19,178,935 | |
| Undistributed (Accumulated) Net Investment Income (Loss) | | $ | 25,605 | | | $ | 394 | | | $ | 77,436 | | | $ | 254,396 | |
Changes in Shares Outstanding
| | | | | | | | | | | | | | | | |
| Shares Outstanding, Beginning of Year/Period | | | 800,000 | | | | — | | | | 625,000 | | | | 625,000 | |
| Shares Sold | | | — | | | | 800,000 | | | | 850,000 | | | | 375,000 | |
| Shares Repurchased | | | (350,000 | ) | | | — | | | | (600,000 | ) | | | (375,000 | ) |
| Shares Outstanding, End of Year/Period | | | 450,000 | | | | 800,000 | | | | 875,000 | | | | 625,000 | |
| * | Commencement of operations. |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Statements of Changes in Net Assets
| | | | | | | | | | | | | |
| | | AdvisorShares
Gartman Gold/Euro ETF
(Consolidated) | | AdvisorShares
Gartman Gold/Yen ETF
(Consolidated) | | AdvisorShares
Global Echo ETF |
| | | |
Year ended
June 30, 2016 | | Year ended
June 30, 2015 | | Year ended
June 30, 2016 | | Year ended
June 30, 2015 | | Year ended
June 30, 2016 | | Year ended
June 30, 2015 |
INCREASE (DECREASE) IN NET ASSETS
| | | | | | | | | | | | | | | | | | | | | | | | | |
OPERATIONS
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income (Loss) | | | $ | (92,263 | ) | | $ | (47,819 | ) | | $ | (120,061 | ) | | $ | (56,705 | ) | | $ | (6,439 | ) | | $ | (6,498 | ) |
| Net Realized Gain (Loss) | | | | (200,543 | ) | | | (434,589 | ) | | | (3,173,447 | ) | | | 338,995 | | | | (68,100 | ) | | | 553,618 | |
| Net Change in Unrealized Appreciation (Depreciation) | | | | 1,833,062 | | | | (45,609 | ) | | | 1,583,471 | | | | (549,013 | ) | | | (197,111 | ) | | | (393,159 | ) |
| Net Increase (Decrease) In Net Assets Resulting From Operations | | | | 1,540,256 | | | | (528,017 | ) | | | (1,710,037 | ) | | | (266,723 | ) | | | (271,650 | ) | | | 153,961 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | | — | | | | (27,862 | ) | | | — | | | | (24,357 | ) | | | (20,356 | ) | | | (46,077 | ) |
| Net Realized Gains | | | | (893,000 | ) | | | (126,850 | ) | | | (512,262 | ) | | | (296,740 | ) | | | (57,228 | ) | | | — | |
| Total Distributions | | | | (893,000 | ) | | | (154,712 | ) | | | (512,262 | ) | | | (321,097 | ) | | | (77,584 | ) | | | (46,077 | ) |
CAPITAL STOCK TRANSACTIONS
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Proceeds from Shares Issued | | | | 12,811,077 | | | | 17,829,090 | | | | 19,557,212 | | | | 19,728,176 | | | | — | | | | 1,593,777 | |
| Value of Shares Redeemed | | | | (7,783,359 | ) | | | (1,690,732 | ) | | | (16,107,685 | ) | | | — | | | | (1,507,359 | ) | | | (3,058,904 | ) |
| Net Increase (Decrease) From Capital Stock Transactions | | | | 5,027,718 | | | | 16,138,358 | | | | 3,449,527 | | | | 19,728,176 | | | | (1,507,359 | ) | | | (1,465,127 | ) |
| Net Increase (Decrease) in Net Assets | | | | 5,674,974 | | | | 15,455,629 | | | | 1,227,228 | | | | 19,140,356 | | | | (1,856,593 | ) | | | (1,357,243 | ) |
Net Assets:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Beginning of Year/Period | | | | 16,757,855 | | | | 1,302,226 | | | | 23,021,653 | | | | 3,881,297 | | | | 7,858,872 | | | | 9,216,115 | |
| End of Year/Period | | | $ | 22,432,829 | | | $ | 16,757,855 | | | $ | 24,248,881 | | | $ | 23,021,653 | | | $ | 6,002,279 | | | $ | 7,858,872 | |
| Undistributed (Accumulated) Net Investment Income (Loss) | | | $ | (92,253 | ) | | $ | — | | | $ | (120,077 | ) | | $ | — | | | $ | 391 | | | $ | — | |
Changes in Shares Outstanding
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Shares Outstanding, Beginning of Year/Period | | | | 1,275,000 | | | | 100,000 | | | | 1,750,000 | | | | 300,000 | | | | 125,000 | | | | 150,000 | |
| Shares Sold | | | | 975,000 | | | | 1,300,000 | | | | 1,600,000 | | | | 1,450,000 | | | | — | | | | 25,000 | |
| Shares Repurchased | | | | (625,000 | ) | | | (125,000 | ) | | | (1,325,000 | ) | | | — | | | | (25,000 | ) | | | (50,000 | ) |
| Shares Outstanding, End of Year/Period | | | | 1,625,000 | | | | 1,275,000 | | | | 2,025,000 | | | | 1,750,000 | | | | 100,000 | | | | 125,000 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Statements of Changes in Net Assets
| | | | | | | | |
| |
AdvisorShares
Madrona Domestic ETF | | AdvisorShares
Madrona Global Bond ETF |
| | |
Year ended
June 30, 2016 | | Year ended
June 30, 2015 | | Year ended
June 30, 2016 | | Year ended
June 30, 2015 |
INCREASE (DECREASE) IN NET ASSETS
| | | | | | | | | | | | | | | | |
OPERATIONS
| | | | | | | | | | | | | | | | |
| Net Investment Income (Loss) | | $ | 173,979 | | | $ | 88,604 | | | $ | 714,208 | | | $ | 781,661 | |
| Net Realized Gain (Loss) | | | 268,366 | | | | 3,912,009 | | | | 43,922 | | | | (288,084 | ) |
| Net Change in Unrealized Appreciation (Depreciation) | | | (2,651,897 | ) | | | (2,315,861 | ) | | | 419,244 | | | | (1,157,891 | ) |
| Net Increase (Decrease) In Net Assets Resulting From Operations | | | (2,209,552 | ) | | | 1,684,752 | | | | 1,177,374 | | | | (664,314 | ) |
DISTRIBUTIONS TO SHAREHOLDERS FROM
| | | | | | | | | | | | | | | | |
| Net Investment Income | | | (118,397 | ) | | | (96,271 | ) | | | (721,446 | ) | | | (823,886 | ) |
| Total Distributions | | | (118,397 | ) | | | (96,271 | ) | | | (721,446 | ) | | | (823,886 | ) |
CAPITAL STOCK TRANSACTIONS
| | | | | | | | | | | | | | | | |
| Proceeds from Shares Issued | | | 7,647,630 | | | | 23,992,082 | | | | 2,474,466 | | | | 5,201,228 | |
| Value of Shares Redeemed | | | (9,448,872 | ) | | | (18,761,355 | ) | | | (10,538,481 | ) | | | — | |
| Net Increase (Decrease) From Capital Stock Transactions | | | (1,801,242 | ) | | | 5,230,727 | | | | (8,064,015 | ) | | | 5,201,228 | |
| Net Increase (Decrease) in Net Assets | | | (4,129,191 | ) | | | 6,819,208 | | | | (7,608,087 | ) | | | 3,713,028 | |
Net Assets:
| | | | | | | | | | | | | | | | |
| Beginning of Year/Period | | | 31,574,491 | | | | 24,755,283 | | | | 28,095,719 | | | | 24,382,691 | |
| End of Year/Period | | $ | 27,445,300 | | | $ | 31,574,491 | | | $ | 20,487,632 | | | $ | 28,095,719 | |
| Undistributed (Accumulated) Net Investment Income (Loss) | | $ | 81,164 | | | $ | 25,582 | | | $ | 3,762 | | | $ | 44 | |
Changes in Shares Outstanding
| | | | | | | | | | | | | | | | |
| Shares Outstanding, Beginning of Year/Period | | | 725,000 | | | | 600,000 | | | | 1,125,000 | | | | 925,000 | |
| Shares Sold | | | 175,000 | | | | 575,000 | | | | 100,000 | | | | 200,000 | |
| Shares Repurchased | | | (225,000 | ) | | | (450,000 | ) | | | (425,000 | ) | | | — | |
| Shares Outstanding, End of Year/Period | | | 675,000 | | | | 725,000 | | | | 800,000 | | | | 1,125,000 | |
| * | Commencement of operations. |
| (1) | Formerly known as, AdvisorShares Sunrise Global Multi-Strategy ETF. |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Statements of Changes in Net Assets
| | | | | | | | | | | | | |
| | | AdvisorShares
Madrona International ETF | | AdvisorShares
Market Adaptive
Unconstrained Income ETF(1) | | AdvisorShares
Meidell Tactical Advantage ETF |
| | | | Year ended
June 30, 2016 | | Year ended
June 30, 2015 | | Year ended
June 30, 2016 | | For the period July 8, 2014*
to
June 30, 2015 | | Year ended
June 30, 2016 | | Year ended
June 30, 2015 |
INCREASE (DECREASE) IN NET ASSETS
| | | | | | | | | | | | | | | | | | | | | | | | | |
OPERATIONS
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income (Loss) | | | $ | 286,475 | | | $ | 258,341 | | | $ | 14,691 | | | $ | (464 | ) | | $ | (47,388 | ) | | $ | 92,797 | |
| Net Realized Gain (Loss) | | | | (3,103,349 | ) | | | 476,307 | | | | 19,130 | | | | (99,852 | ) | | | (2,747,566 | ) | | | 634,972 | |
| Net Change in Unrealized Appreciation (Depreciation) | | | | (592,166 | ) | | | (1,747,956 | ) | | | (41,784 | ) | | | 62,557 | | | | 138,383 | | | | (189,353 | ) |
| Net Increase (Decrease) In Net Assets Resulting From Operations | | | | (3,409,040 | ) | | | (1,013,308 | ) | | | (7,963 | ) | | | (37,759 | ) | | | (2,656,571 | ) | | | 538,416 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | | (242,962 | ) | | | (304,843 | ) | | | (14,901 | ) | | | (45,346 | ) | | | (64,850 | ) | | | (93,938 | ) |
| Total Distributions | | | | (242,962 | ) | | | (304,843 | ) | | | (14,901 | ) | | | (45,346 | ) | | | (64,850 | ) | | | (93,938 | ) |
CAPITAL STOCK TRANSACTIONS
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Proceeds from Shares Issued | | | | 1,330,179 | | | | 14,565,285 | | | | 567,348 | | | | 3,736,304 | | | | 5,034,610 | | | | 12,076,557 | |
| Value of Shares Redeemed | | | | (2,380,477 | ) | | | (13,161,115 | ) | | | (1,169,735 | ) | | | (1,859,387 | ) | | | (645,687 | ) | | | (11,298,866 | ) |
| Net Increase (Decrease) From Capital Stock Transactions | | | | (1,050,298 | ) | | | 1,404,170 | | | | (602,387 | ) | | | 1,876,917 | | | | 4,388,923 | | | | 777,691 | |
| Net Increase (Decrease) in Net Assets | | | | (4,702,300 | ) | | | 86,019 | | | | (625,251 | ) | | | 1,793,812 | | | | 1,667,502 | | | | 1,222,169 | |
Net Assets:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Beginning of Year/Period | | | | 19,364,667 | | | | 19,278,648 | | | | 1,793,812 | | | | — | | | | 16,971,751 | | | | 15,749,582 | |
| End of Year/Period | | | $ | 14,662,367 | | | $ | 19,364,667 | | | $ | 1,168,561 | | | $ | 1,793,812 | | | $ | 18,639,253 | | | $ | 16,971,751 | |
| Undistributed (Accumulated) Net Investment Income (Loss) | | | $ | 208,404 | | | $ | 162,987 | | | $ | (45,657 | ) | | $ | (45,447 | ) | | $ | (45,073 | ) | | $ | 64,848 | |
Changes in Shares Outstanding
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Shares Outstanding, Beginning of Year/Period | | | | 700,000 | | | | 650,000 | | | | 75,000 | | | | — | | | | 550,000 | | | | 525,000 | |
| Shares Sold | | | | 50,000 | | | | 500,000 | | | | 25,000 | | | | 150,000 | | | | 175,000 | | | | 400,000 | |
| Shares Repurchased | | | | (100,000 | ) | | | (450,000 | ) | | | (50,000 | ) | | | (75,000 | ) | | | (25,000 | ) | | | (375,000 | ) |
| Shares Outstanding, End of Year/Period | | | | 650,000 | | | | 700,000 | | | | 50,000 | | | | 75,000 | | | | 700,000 | | | | 550,000 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Statements of Changes in Net Assets
| | | | | | | | |
| | AdvisorShares
Morgan Creek Global Tactical ETF | | AdvisorShares
Newfleet Multi-Sector Income ETF |
| | |
Year ended
June 30, 2016 | | Year ended
June 30, 2015 | | Year ended
June 30, 2016 | | Year ended
June 30, 2015 |
INCREASE (DECREASE) IN NET ASSETS
| | | | | | | | | | | | | | | | |
OPERATIONS
| | | | | | | | | | | | | | | | |
| Net Investment Income (Loss) | | $ | (29,636 | ) | | $ | 41,083 | | | $ | 6,056,456 | | | $ | 4,866,958 | |
| Net Realized Gain (Loss) | | | (894,252 | ) | | | 1,596,746 | | | | (1,122,319 | ) | | | (628,122 | ) |
| Net Change in Unrealized Appreciation (Depreciation) | | | 363,211 | | | | (2,482,888 | ) | | | 810,979 | | | | (2,187,565 | ) |
| Net Increase (Decrease) In Net Assets Resulting From Operations | | | (560,677 | ) | | | (845,059 | ) | | | 5,745,116 | | | | 2,051,271 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM
| | | | | | | | | | | | | | | | |
| Net Investment Income | | | (132,900 | ) | | | (354,156 | ) | | | (6,656,079 | ) | | | (5,247,098 | ) |
| Net Realized Gains | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (132,900 | ) | | | (354,156 | ) | | | (6,656,079 | ) | | | (5,247,098 | ) |
CAPITAL STOCK TRANSACTIONS
| | | | | | | | | | | | | | | | |
| Proceeds from Shares Issued | | | 2,187,104 | | | | — | | | | 56,042,886 | | | | 69,253,284 | |
| Value of Shares Redeemed | | | (6,200,874 | ) | | | (23,158,545 | ) | | | (9,809,241 | ) | | | (4,927,422 | ) |
| Net Increase (Decrease) From Capital Stock Transactions | | | (4,013,770 | ) | | | (23,158,545 | ) | | | 46,233,645 | | | | 64,325,862 | |
| Net Increase (Decrease) in Net Assets | | | (4,707,347 | ) | | | (24,357,760 | ) | | | 45,322,682 | | | | 61,130,035 | |
Net Assets:
| | | | | | | | | | | | | | | | |
| Beginning of Year/Period | | | 12,308,962 | | | | 36,666,722 | | | | 215,940,806 | | | | 154,810,771 | |
| End of Year/Period | | $ | 7,601,615 | | | $ | 12,308,962 | | | $ | 261,263,488 | | | $ | 215,940,806 | |
| Undistributed (Accumulated) Net Investment Income (Loss) | | $ | (47,654 | ) | | $ | 82,968 | | | $ | 146,025 | | | $ | 46,112 | |
Changes in Shares Outstanding
| | | | | | | | | | | | | | | | |
| Shares Outstanding, Beginning of Year/Period | | | 500,000 | | | | 1,400,000 | | | | 4,400,000 | | | | 3,100,000 | |
| Shares Sold | | | 100,000 | | | | — | | | | 1,150,000 | | | | 1,400,000 | |
| Shares Repurchased | | | (275,000 | ) | | | (900,000 | ) | | | (200,000 | ) | | | (100,000 | ) |
| Shares Outstanding, End of Year/Period | | | 325,000 | | | | 500,000 | | | | 5,350,000 | | | | 4,400,000 | |
| * | Commencement of operations. |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Statements of Changes in Net Assets
| | | | | | | | | | | | | |
| | | AdvisorShares
Pacific Asset Enhanced Floating Rate ETF | | AdvisorShares
Peritus High Yield ETF | | AdvisorShares
QAM Equity Hedge ETF |
| | | | Year ended
June 30, 2016 | | For the period
February 18, 2015*
to
June 30, 2015 | | Year ended
June 30, 2016 | | Year ended
June 30, 2015 | | Year ended
June 30, 2016 | | Year ended
June 30, 2015 |
INCREASE (DECREASE) IN NET ASSETS
| | | | | | | | | | | | | | | | | | | | | | | | | |
OPERATIONS
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income (Loss) | | | $ | 954,988 | | | $ | 329,893 | | | $ | 21,260,864 | | | $ | 45,993,689 | | | $ | (35,241 | ) | | $ | (34,570 | ) |
| Net Realized Gain (Loss) | | | | (262,970 | ) | | | (10,073 | ) | | | (50,581,746 | ) | | | (117,866,961 | ) | | | (202,189 | ) | | | 300,372 | |
| Net Change in Unrealized Appreciation (Depreciation) | | | | (255,201 | ) | | | (179,877 | ) | | | (1,853,685 | ) | | | (52,730,083 | ) | | | (178,320 | ) | | | (191,927 | ) |
| Net Increase (Decrease) In Net Assets Resulting From Operations | | | | 436,817 | | | | 139,943 | | | | (31,174,567 | ) | | | (124,603,355 | ) | | | (415,750 | ) | | | 73,875 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | | (948,096 | ) | | | (316,679 | ) | | | (20,463,098 | ) | | | (48,496,620 | ) | | | — | | | | — | |
| Net Realized Gains | | | | — | | | | — | | | | — | | | | — | | | | (65,720 | ) | | | (64,929 | ) |
| Total Distributions | | | | (948,096 | ) | | | (316,679 | ) | | | (20,463,098 | ) | | | (48,496,620 | ) | | | (65,720 | ) | | | (64,929 | ) |
CAPITAL STOCK TRANSACTIONS
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Proceeds from Shares Issued | | | | — | | | | 27,488,348 | | | | 6,037,172 | | | | 192,942,545 | | | | — | | | | 1,427,899 | |
| Value of Shares Redeemed | | | | — | | | | — | | | | (128,789,551 | ) | | | (719,848,257 | ) | | | (1,349,002 | ) | | | (2,808,730 | ) |
| Net Increase (Decrease) From Capital Stock Transactions | | | | — | | | | 27,488,348 | | | | (122,752,379 | ) | | | (526,905,712 | ) | | | (1,349,002 | ) | | | (1,380,831 | ) |
| Net Increase (Decrease) in Net Assets | | | | (511,279 | ) | | | 27,311,612 | | | | (174,390,044 | ) | | | (700,005,687 | ) | | | (1,830,472 | ) | | | (1,371,885 | ) |
Net Assets:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Beginning of Year/Period | | | | 27,311,612 | | | | — | | | | 375,990,903 | | | | 1,075,996,590 | | | | 7,170,642 | | | | 8,542,527 | |
| End of Year/Period | | | $ | 26,800,333 | | | $ | 27,311,612 | | | $ | 201,600,859 | | | $ | 375,990,903 | | | $ | 5,340,170 | | | $ | 7,170,642 | |
| Undistributed (Accumulated) Net Investment Income (Loss) | | | $ | 21,932 | | | $ | 18,971 | | | $ | (674,558 | ) | | $ | 1,073,647 | | | $ | (22,177 | ) | | $ | (29,206 | ) |
Changes in Shares Outstanding
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Shares Outstanding, Beginning of Year/Period | | | | 550,000 | | | | — | | | | 9,250,000 | | | | 20,200,000 | | | | 250,000 | | | | 300,000 | |
| Shares Sold | | | | — | | | | 550,000 | | | | 150,000 | | | | 4,000,000 | | | | — | | | | 50,000 | |
| Shares Repurchased | | | | — | | | | — | | | | (3,450,000 | ) | | | (14,950,000 | ) | | | (50,000 | ) | | | (100,000 | ) |
| Shares Outstanding, End of Year/Period | | | | 550,000 | | | | 550,000 | | | | 5,950,000 | | | | 9,250,000 | | | | 200,000 | | | | 250,000 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Statements of Changes in Net Assets
| | | | | | | | |
| |
AdvisorShares
Ranger Equity Bear ETF | | AdvisorShares
Sage Core Reserves ETF |
| | | Year ended
June 30, 2016 | | Year ended
June 30, 2015 | | Year ended
June 30, 2016 | | Year ended
June 30, 2015 |
INCREASE (DECREASE) IN NET ASSETS
| | | | | | | | | | | | | | | | |
OPERATIONS
| | | | | | | | | | | | | | | | |
| Net Investment Income (Loss) | | $ | (4,119,728 | ) | | $ | (4,060,161 | ) | | $ | 320,217 | | | $ | 43,627 | |
| Net Realized Gain (Loss) | | | (10,405,339 | ) | | | (19,107,511 | ) | | | (77,612 | ) | | | (34,842 | ) |
| Net Change in Unrealized Appreciation (Depreciation) | | | (2,030,289 | ) | | | 12,334,124 | | | | 129,670 | | | | (13,902 | ) |
| Net Increase (Decrease) In Net Assets Resulting From Operations | | | (16,555,356 | ) | | | (10,833,548 | ) | | | 372,275 | | | | (5,117 | ) |
DISTRIBUTIONS TO SHAREHOLDERS FROM
| | | | | | | | | | | | | | | | |
| Net Investment Income | | | — | | | | — | | | | (342,487 | ) | | | (147,384 | ) |
| Total Distributions | | | — | | | | — | | | | (342,487 | ) | | | (147,384 | ) |
CAPITAL STOCK TRANSACTIONS
| | | | | | | | | | | | | | | | |
| Proceeds from Shares Issued | | | 183,691,687 | | | | 49,008,377 | | | | 77,049,895 | | | | — | |
| Value of Shares Redeemed | | | (81,247,512 | ) | | | (72,068,067 | ) | | | — | | | | (2,483,570 | ) |
| Net Increase (Decrease) From Capital Stock Transactions | | | 102,444,175 | | | | (23,059,690 | ) | | | 77,049,895 | | | | (2,483,570 | ) |
| Net Increase (Decrease) in Net Assets | | | 85,888,819 | | | | (33,893,238 | ) | | | 77,079,683 | | | | (2,636,071 | ) |
Net Assets:
| | | | | | | | | | | | | | | | |
| Beginning of Year/Period | | | 128,058,724 | | | | 161,951,962 | | | | 34,782,741 | | | | 37,418,812 | |
| End of Year/Period | | $ | 213,947,543 | | | $ | 128,058,724 | | | $ | 111,862,424 | | | $ | 34,782,741 | |
| Undistributed (Accumulated) Net Investment Income (Loss) | | $ | (2,234,404 | ) | | $ | (1,549,999 | ) | | $ | 17,872 | | | $ | 3,072 | |
Changes in Shares Outstanding
| | | | | | | | | | | | | | | | |
| Shares Outstanding, Beginning of Year/Period | | | 11,775,000 | | | | 13,750,000 | | | | 350,000 | | | | 375,000 | |
| Shares Sold | | | 15,975,000 | | | | 4,225,000 | | | | 775,000 | | | | — | |
| Shares Repurchased | | | (7,575,000 | ) | | | (6,200,000 | ) | | | — | | | | (25,000 | ) |
| Shares Outstanding, End of Year/Period | | | 20,175,000 | | | | 11,775,000 | | | | 1,125,000 | | | | 350,000 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Statements of Changes in Net Assets
| | | | | | | | | | | | | |
| | |
AdvisorShares
STAR Global Buy-Write ETF | | AdvisorShares
TrimTabs Float Shrink ETF | | AdvisorShares
WCM/BNY Mellon Focused Growth ADR ETF |
| | | | Year ended
June 30, 2016 | | Year ended
June 30, 2015 | | Year ended
June 30, 2016 | | Year ended
June 30, 2015 | | Year ended
June 30, 2016 | | Year ended
June 30, 2015 |
INCREASE (DECREASE) IN NET ASSETS
| | | | | | | | | | | | | | | | | | | | | | | | | |
OPERATIONS
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income (Loss) | | | $ | 82,434 | | | $ | 8,814 | | | $ | 1,748,728 | | | $ | 1,381,231 | | | $ | 70,747 | | | $ | 130,883 | |
| Net Realized Gain (Loss) | | | | 936,477 | | | | 383,334 | | | | (10,209,879 | ) | | | 22,749,625 | | | | 483,995 | | | | 353,345 | |
| Net Change in Unrealized Appreciation (Depreciation) | | | | (1,039,731 | ) | | | 34,935 | | | | (884,414 | ) | | | (7,341,753 | ) | | | (688,575 | ) | | | (262,768 | ) |
| Net Increase (Decrease) In Net Assets Resulting From Operations | | | | (20,820 | ) | | | 427,083 | | | | (9,345,565 | ) | | | 16,789,103 | | | | (133,833 | ) | | | 221,460 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | | — | | | | — | | | | (1,684,986 | ) | | | (1,045,971 | ) | | | (80,669 | ) | | | (94,665 | ) |
| Total Distributions | | | | — | | | | — | | | | (1,684,986 | ) | | | (1,045,971 | ) | | | (80,669 | ) | | | (94,665 | ) |
CAPITAL STOCK TRANSACTIONS
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Proceeds from Shares Issued | | | | 5,254,099 | | | | 1,315,362 | | | | 22,380,556 | | | | 709,868,546 | | | | 3,855,068 | | | | 3,760,440 | |
| Value of Shares Redeemed | | | | (14,430,069 | ) | | | (2,635,459 | ) | | | (98,252,134 | ) | | | (620,154,900 | ) | | | (4,536,081 | ) | | | (1,003,980 | ) |
| Net Increase (Decrease) From Capital Stock Transactions | | | | (9,175,970 | ) | | | (1,320,097 | ) | | | (75,871,578 | ) | | | 89,713,646 | | | | (681,013 | ) | | | 2,756,460 | |
| Net Increase (Decrease) in Net Assets | | | | (9,196,790 | ) | | | (893,014 | ) | | | (86,902,129 | ) | | | 105,456,778 | | | | (895,515 | ) | | | 2,883,255 | |
Net Assets:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Beginning of Year/Period | | | | 26,596,721 | | | | 27,489,735 | | | | 242,472,123 | | | | 137,015,345 | | | | 15,543,498 | | | | 12,660,243 | |
| End of Year/Period | | | $ | 17,399,931 | | | $ | 26,596,721 | | | $ | 155,569,994 | | | $ | 242,472,123 | | | $ | 14,647,983 | | | $ | 15,543,498 | |
| Undistributed (Accumulated) Net Investment Income (Loss) | | | $ | 79,238 | | | $ | (3,196 | ) | | $ | 951,074 | | | $ | 887,332 | | | $ | 57,841 | | | $ | 36,011 | |
Changes in Shares Outstanding
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Shares Outstanding, Beginning of Year/Period | | | | 1,000,000 | | | | 1,050,000 | | | | 4,250,000 | | | | 2,675,000 | | | | 400,000 | | | | 325,000 | |
| Shares Sold | | | | 200,000 | | | | 50,000 | | | | 400,000 | | | | 13,000,000 | | | | 100,000 | | | | 100,000 | |
| Shares Repurchased | | | | (550,000 | ) | | | (100,000 | ) | | | (1,850,000 | ) | | | (11,425,000 | ) | | | (125,000 | ) | | | (25,000 | ) |
| Shares Outstanding, End of Year/Period | | | | 650,000 | | | | 1,000,000 | | | | 2,800,000 | | | | 4,250,000 | | | | 375,000 | | | | 400,000 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Statements of Changes in Net Assets
| | | | |
| | AdvisorShares
YieldPro ETF |
| | | Year ended June 30, 2016 | | Year ended June 30, 2015 |
INCREASE (DECREASE) IN NET ASSETS
| | | | | | | | |
OPERATIONS
| | | | | | | | |
| Net Investment Income (Loss) | | $ | 198,094 | | | $ | 2,014,399 | |
| Net Realized Gain (Loss) | | | 67,269 | | | | (3,511,431 | ) |
| Net Change in Unrealized Appreciation (Depreciation) | | | 498,613 | | | | (1,445,645 | ) |
| Net Increase (Decrease) In Net Assets Resulting From Operations | | | 763,976 | | | | (2,942,677 | ) |
DISTRIBUTIONS TO SHAREHOLDERS FROM
| | | | | | | | |
| Net Investment Income | | | (205,780 | ) | | | (2,337,383 | ) |
| Total Distributions | | | (205,780 | ) | | | (2,337,383 | ) |
CAPITAL STOCK TRANSACTIONS
| | | | | | | | |
| Proceeds from Shares Issued | | | 5,199,983 | | | | 5,215,701 | |
| Value of Shares Redeemed | | | (22,011,099 | ) | | | (37,372,924 | ) |
| Net Increase (Decrease) From Capital Stock Transactions | | | (16,811,116 | ) | | | (32,157,223 | ) |
| Net Increase (Decrease) in Net Assets | | | (16,252,920 | ) | | | (37,437,283 | ) |
Net Assets:
| | | | | | | | |
| Beginning of Year/Period | | | 34,597,982 | | | | 72,035,265 | |
| End of Year/Period | | $ | 18,345,062 | | | $ | 34,597,982 | |
| Undistributed (Accumulated) Net Investment Income (Loss) | | $ | (4,230 | ) | | $ | 3,170 | |
Changes in Shares Outstanding
| | | | | | | | |
| Shares Outstanding, Beginning of Year/Period | | | 1,500,000 | | | | 2,850,000 | |
| Shares Sold | | | 225,000 | | | | 225,000 | |
| Shares Repurchased | | | (950,000 | ) | | | (1,575,000 | ) |
| Shares Outstanding, End of Year/Period | | | 775,000 | | | | 1,500,000 | |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
(This page intentionally left blank.)
TABLE OF CONTENTS
ADVISORSHARES TRUST
Financial Highlights
| | | | |
| |
AdvisorShares
Athena High Dividend ETF |
| | | Year ended June 30, 2016 | | For the period July 29, 2014*
to
June 30, 2015 |
Selected Data for a Share of Capital Stock Outstanding
| | | | | | | | |
| Net Asset Value, Beginning of Year/Period | | $ | 19.08 | | | $ | 25.00 | |
Investment Operations
| | | | | | | | |
| Net Investment Income (Loss)(2) | | | 0.51 | | | | 0.90 | |
| Net Realized and Unrealized Gain (Loss) | | | (2.41 | ) | | | (6.03 | ) |
| Distributions of Net Realized Gains by other investment companies | | | — | | | | — | |
| Net Increase (Decrease) in Net Assets Resulting from Investment Operations(4) | | | (1.90 | ) | | | (5.13 | ) |
| Distributions from Net Investment Income | | | (0.48 | ) | | | (0.79 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | |
| Total Distributions | | | (0.48 | ) | | | (0.79 | ) |
| Net Asset Value, End of Year/Period | | $ | 16.70 | | | $ | 19.08 | |
| Market Value, End of Year/Period | | $ | 16.70 | | | $ | 19.08 | |
Total Return
| | | | | | | | |
| Total Investment Return Based on Net Asset Value(5) | | | (9.84 | )% | | | (20.71 | )% |
| Total Investment Return Based on Market(5) | | | (9.83 | )% | | | (20.65 | )% |
Ratios/Supplemental Data
| | | | | | | | |
| Net Assets, End of Year/Period (000's omitted) | | $ | 7,513 | | | $ | 15,265 | |
Ratio to Average Net Assets of:
| | | | | | | | |
| Expenses, net of expense waivers and reimbursements(6) | | | 0.99 | % | | | 0.99 | % |
| Expenses, prior to expense waivers and reimbursements(6) | | | 1.76 | % | | | 1.71 | % |
| Net Investment Income (Loss)(6) | | | 3.13 | % | | | 4.60 | % |
| Portfolio Turnover Rate(9) | | | 199 | % | | | 193 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Financial Highlights
| | | | | | | | | | | | | | | |
| | | AdvisorShares
EquityPro ETF | | AdvisorShares
Gartman Gold/Euro ETF
(Consolidated) |
| | | | Year ended June 30, 2016 | | Year ended June 30, 2015 | | Year ended June 30, 2014 | | For the period July 10, 2012*
to
June 30, 2013 | | Year ended June 30, 2016 | | Year ended June 30, 2015 | | For the period February 11, 2014*
to
June 30, 2014 |
Selected Data for a Share of Capital Stock Outstanding
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Asset Value, Beginning of Year/Period | | | $ | 30.69 | | | $ | 32.11 | | | $ | 27.13 | | | $ | 25.00 | | | $ | 13.14 | | | $ | 13.02 | | | $ | 12.80 | |
Investment Operations
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income (Loss)(2) | | | | 0.21 | | | | 0.39 | | | | 1.24 | | | | 0.22 | | | | (0.08 | ) | | | (0.08 | ) | | | (0.03 | ) |
| Net Realized and Unrealized Gain (Loss) | | | | (2.58 | ) | | | (1.04 | ) | | | 4.08 | | | | 2.06 | | | | 1.63 | | | | 0.97 | | | | 0.25 | |
| Distributions of Net Realized Gains by other investment companies | | | | 0.06 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Net Increase (Decrease) in Net Assets Resulting from Investment Operations(4) | | | | (2.31 | ) | | | (0.65 | ) | | | 5.32 | | | | 2.28 | | | | 1.55 | | | | 0.89 | | | | 0.22 | |
| Distributions from Net Investment Income | | | | (0.31 | ) | | | (0.28 | ) | | | (0.34 | ) | | | (0.13 | ) | | | — | | | | (0.14 | ) | | | — | |
| Distributions from Realized Capital Gains | | | | (0.90 | ) | | | (0.49 | ) | | | — | | | | (0.02 | ) | | | (0.89 | ) | | | (0.63 | ) | | | — | |
| Total Distributions | | | | (1.21 | ) | | | (0.77 | ) | | | (0.34 | ) | | | (0.15 | ) | | | (0.89 | ) | | | (0.77 | ) | | | — | |
| Net Asset Value, End of Year/Period | | | $ | 27.17 | | | $ | 30.69 | | | $ | 32.11 | | | $ | 27.13 | | | $ | 13.80 | | | $ | 13.14 | | | $ | 13.02 | |
| Market Value, End of Year/Period | | | $ | 27.13 | | | $ | 30.70 | | | $ | 32.11 | | | $ | 27.12 | | | $ | 13.98 | | | $ | 13.11 | | | $ | 13.07 | |
Total Return
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Investment Return Based on Net Asset Value(5) | | | | (7.61 | )% | | | (2.01 | )% | | | 19.71 | % | | | 9.16 | % | | | 13.29 | % | | | 7.33 | % | | | 1.72 | % |
| Total Investment Return Based on Market(5) | | | | (7.67 | )% | | | (1.89 | )% | | | 19.76 | % | | | 9.11 | % | | | 15.11 | % | | | 6.56 | % | | | 2.11 | % |
Ratios/Supplemental Data
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Year/Period (000's omitted) | | | $ | 23,778 | | | $ | 19,179 | | | $ | 20,070 | | | $ | 1,357 | | | $ | 22,433 | | | $ | 16,758 | | | $ | 1,302 | |
Ratio to Average Net Assets of:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Expenses, net of expense waivers and reimbursements(6) | | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % |
| Expenses, prior to expense waivers and reimbursements(6) | | | | 1.29 | % | | | 1.13 | % | | | 1.92 | % | | | 6.95 | % | | | 1.43 | % | | | 2.21 | % | | | 10.72 | % |
| Net Investment Income (Loss)(6) | | | | 0.76 | % | | | 1.25 | % | | | 4.13 | % | | | 0.88 | % | | | (0.64 | )% | | | (0.63 | )% | | | (0.63 | )% |
| Portfolio Turnover Rate(9) | | | | 459 | % | | | 349 | % | | | 21 | % | | | 43 | % | | | 0 | % | | | 0 | % | | | 0 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Financial Highlights
| | | | | | |
| | AdvisorShares
Gartman Gold/Yen ETF
(Consolidated) |
| | | Year ended
June 30, 2016 | | Year ended
June 30, 2015 | | For the period February 11, 2014*
to
June 30, 2014 |
Selected Data for a Share of Capital Stock Outstanding
| | | | | | | | | | | | |
| Net Asset Value, Beginning of Year/Period | | $ | 13.16 | | | $ | 12.94 | | | $ | 12.80 | |
Investment Operations
| | | | | | | | | | | | |
| Net Investment Income (Loss)(2) | | | (0.08 | ) | | | (0.08 | ) | | | (0.03 | ) |
| Net Realized and Unrealized Gain (Loss) | | | (0.70 | ) | | | 0.86 | | | | 0.17 | |
| Net Increase (Decrease) in Net Assets Resulting from Investment Operations(4) | | | (0.78 | ) | | | 0.78 | | | | 0.14 | |
| Distributions from Net Investment Income | | | — | | | | (0.04 | ) | | | — | |
| Distributions from Realized Capital Gains | | | (0.41 | ) | | | (0.52 | ) | | | — | |
| Total Distributions | | | (0.41 | ) | | | (0.56 | ) | | | — | |
| Net Asset Value, End of Year/Period | | $ | 11.97 | | | $ | 13.16 | | | $ | 12.94 | |
| Market Value, End of Year/Period | | $ | 12.04 | | | $ | 13.19 | | | $ | 13.04 | |
Total Return
| | | | | | | | | | | | |
| Total Investment Return Based on Net Asset Value(5) | | | (5.73 | )% | | | 6.06 | % | | | 1.09 | % |
| Total Investment Return Based on Market(5) | | | (5.36 | )% | | | 5.45 | % | | | 1.88 | % |
Ratios/Supplemental Data
| | | | | | | | | | | | |
| Net Assets, End of Year/Period (000's omitted) | | $ | 24,249 | | | $ | 23,022 | | | $ | 3,881 | |
Ratio to Average Net Assets of:
| | | | | | | | | | | | |
| Expenses, net of expense waivers and reimbursements(6) | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % |
| Expenses, prior to expense waivers and reimbursements(6) | | | 1.23 | % | | | 1.99 | % | | | 4.74 | % |
| Net Investment Income (Loss)(6) | | | (0.64 | )% | | | (0.62 | )% | | | (0.63 | )% |
| Portfolio Turnover Rate(9) | | | 0 | % | | | 0 | % | | | 0 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | |
| | |
AdvisorShares
Global Echo ETF | | AdvisorShares
Madrona Domestic ETF |
| | | | Year ended
June 30, 2016 | | Year ended
June 30, 2015 | | Year ended
June 30, 2014 | | Year ended
June 30, 2013 | | For the period
May 23, 2012*
to
June 30, 2012 | | Year ended
June 30, 2016 | | Year ended
June 30, 2015 | | Year ended
June 30, 2014 | | Year ended
June 30, 2013 | | Year ended
June 30,
2012 |
Selected Data for a Share of Capital Stock Outstanding
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Asset Value, Beginning of Year/Period | | | $ | 62.87 | | | $ | 61.44 | | | $ | 54.38 | | | $ | 50.80 | | | $ | 50.00 | | | $ | 43.55 | | | $ | 41.26 | | | $ | 32.34 | | | $ | 25.31 | | | $ | 26.07 | |
Investment Operations
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income (Loss)(2) | | | | (0.05 | ) | | | (0.06 | ) | | | 0.22 | | | | (0.07 | ) | | | (0.02 | ) | | | 0.23 | | | | 0.13 | | | | 0.11 | | | | 0.15 | | | | 0.10 | |
| Net Realized and Unrealized Gain (Loss) | | | | (2.16 | ) | | | 1.92 | | | | 6.86 | | | | 3.88 | | | | 0.82 | | | | (2.97 | ) | | | 2.30 | | | | 8.91 | | | | 7.01 | | | | (0.79 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Investment Operations(4) | | | | (2.21 | ) | | | 1.86 | | | | 7.08 | | | | 3.81 | | | | 0.80 | | | | (2.74 | ) | | | 2.43 | | | | 9.02 | | | | 7.16 | | | | (0.69 | ) |
| Distributions from Net Investment Income | | | | (0.18 | ) | | | (0.43 | ) | | | (0.02 | ) | | | — | | | | — | | | | (0.15 | ) | | | (0.14 | ) | | | (0.10 | ) | | | (0.13 | ) | | | (0.07 | ) |
| Distributions from Realized Capital Gains | | | | (0.46 | ) | | | — | | | | — | | | | (0.23 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | | (0.64 | ) | | | (0.43 | ) | | | (0.02 | ) | | | (0.23 | ) | | | — | | | | (0.15 | ) | | | (0.14 | ) | | | (0.10 | ) | | | (0.13 | ) | | | (0.07 | ) |
| Net Asset Value, End of Year/Period | | | $ | 60.02 | | | $ | 62.87 | | | $ | 61.44 | | | $ | 54.38 | | | $ | 50.80 | | | $ | 40.66 | | | $ | 43.55 | | | $ | 41.26 | | | $ | 32.34 | | | $ | 25.31 | |
| Market Value, End of Year/Period | | | $ | 60.01 | | | $ | 62.28 | | | $ | 61.46 | | | $ | 54.53 | | | $ | 50.99 | | | $ | 40.67 | | | $ | 43.55 | | | $ | 41.26 | | | $ | 32.34 | | | $ | 25.28 | |
Total Return
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Investment Return Based on Net Asset Value(5) | | | | (3.51 | )% | | | 3.05 | % | | | 13.03 | % | | | 7.54 | % | | | 1.60 | % | | | (6.29 | )% | | | 5.89 | % | | | 27.93 | % | | | 28.37 | % | | | (2.65 | )% |
| Total Investment Return Based on Market(5) | | | | (2.61 | )% | | | 2.06 | % | | | 12.75 | % | | | 7.43 | % | | | 1.98 | % | | | (6.26 | )% | | | 5.89 | % | | | 27.93 | % | | | 28.52 | % | | | (2.76 | )% |
Ratios/Supplemental Data
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Year/Period (000's omitted) | | | $ | 6,002 | | | $ | 7,859 | | | $ | 9,216 | | | $ | 5,438 | | | $ | 5,080 | | | $ | 27,445 | | | $ | 31,574 | | | $ | 24,755 | | | $ | 18,593 | | | $ | 15,188 | |
Ratio to Average Net Assets of:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Expenses, net of expense waivers and reimbursements(6) | | | | 1.50 | % | | | 1.50 | % | | | 1.50 | % | | | 1.50 | % | | | 1.50 | % | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % |
| Expenses, prior to expense waivers and reimbursements(6) | | | | 1.50 | % | | | 1.50 | % | | | 1.50 | % | | | 1.50 | % | | | 1.50 | % | | | 1.32 | % | | | 1.37 | % | | | 1.42 | % | | | 1.61 | % | | | 1.46 | % |
| Net Investment Income (Loss)(6) | | | | (0.09 | )% | | | (0.09 | )% | | | 0.37 | % | | | (0.13 | )% | | | (0.32 | )% | | | 0.57 | % | | | 0.30 | % | | | 0.31 | % | | | 0.51 | % | | | 0.40 | % |
| Portfolio Turnover Rate(9) | | | | 28 | % | | | 68 | % | | | 157 | % | | | 180 | % | | | 70 | % | | | 53 | % | | | 15 | % | | | 14 | % | | | 33 | % | | | 40 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Financial Highlights
| | | | | | | | | | |
| |
AdvisorShares
Madrona Global Bond ETF |
| | | Year ended June 30,
2016 | | Year ended June 30,
2015 | | Year ended June 30,
2014 | | Year ended June 30,
2013 | | Year ended June 30,
2012 |
Selected Data for a Share of Capital Stock Outstanding
| | | | | | | | | | | | | | | | | | | | |
| Net Asset Value, Beginning of Year/Period | | $ | 24.97 | | | $ | 26.36 | | | $ | 25.05 | | | $ | 25.69 | | | $ | 25.01 | |
Investment Operations
| | | | | | | | | | | | | | | | | | | | |
| Net Investment Income (Loss)(2) | | | 0.75 | | | | 0.74 | | | | 0.86 | | | | 0.72 | | | | 0.71 | |
| Net Realized and Unrealized Gain (Loss) | | | 0.59 | | | | (1.39 | ) | | | 1.30 | | | | (0.66 | ) | | | 0.67 | |
| Distributions of Net Realized Gains by other investment companies | | | 0.06 | | | | 0.04 | | | | — | | | | 0.01 | | | | — | |
| Net Increase (Decrease) in Net Assets Resulting from Investment Operations(4) | | | 1.40 | | | | (0.61 | ) | | | 2.16 | | | | 0.07 | | | | 1.38 | |
| Distributions from Net Investment Income | | | (0.76 | ) | | | (0.78 | ) | | | (0.85 | ) | | | (0.71 | ) | | | (0.70 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | (0.00 | )(3) | | | — | |
| Total Distributions | | | (0.76 | ) | | | (0.78 | ) | | | (0.85 | ) | | | (0.71 | ) | | | (0.70 | ) |
| Net Asset Value, End of Year/Period | | $ | 25.61 | | | $ | 24.97 | | | $ | 26.36 | | | $ | 25.05 | | | $ | 25.69 | |
| Market Value, End of Year/Period | | $ | 25.62 | | | $ | 24.96 | | | $ | 26.42 | | | $ | 24.96 | | | $ | 25.68 | |
Total Return
| | | | | | | | | | | | | | | | | | | | |
| Total Investment Return Based on Net Asset Value(5) | | | 5.76 | % | | | (2.37 | )% | | | 8.80 | % | | | 0.20 | % | | | 5.59 | % |
| Total Investment Return Based on Market(5) | | | 5.84 | % | | | (2.63 | )% | | | 9.44 | % | | | (0.13 | )% | | | 5.49 | % |
Ratios/Supplemental Data
| | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Year/Period (000's omitted) | | $ | 20,488 | | | $ | 28,096 | | | $ | 24,383 | | | $ | 22,543 | | | $ | 21,195 | |
Ratio to Average Net Assets of:
| | | | | | | | | | | | | | | | | | | | |
| Expenses, net of expense waivers and reimbursements(6) | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % |
| Expenses, prior to expense waivers and reimbursements(6) | | | 1.05 | % | | | 0.99 | % | | | 1.07 | % | | | 1.02 | % | | | 0.99 | % |
| Net Investment Income (Loss)(6) | | | 3.01 | % | | | 2.88 | % | | | 3.36 | % | | | 2.73 | % | | | 2.81 | % |
| Portfolio Turnover Rate(9) | | | 24 | % | | | 34 | % | | | 20 | % | | | 28 | % | | | 12 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Financial Highlights
| | | | | | | | | | | | | | | |
| | | AdvisorShares
Madrona International ETF | | AdvisorShares
Market Adaptive
Unconstrained Income ETF(1) |
| | | | Year ended June 30,
2016 | | Year ended June 30,
2015 | | Year ended June 30,
2014 | | Year ended June 30,
2013 | | Year ended June 30,
2012 | | Year ended June 30,
2016 | | For the period July 8, 2014* to June 30, 2015 |
Selected Data for a Share of Capital Stock Outstanding
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Asset Value, Beginning of Year/Period | | | $ | 27.66 | | | $ | 29.66 | | | $ | 23.97 | | | $ | 21.06 | | | $ | 26.17 | | | $ | 23.92 | | | $ | 25.00 | |
Investment Operations
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income (Loss)(2) | | | | 0.41 | | | | 0.39 | | | | 0.41 | | | | 0.39 | | | | 0.32 | | | | 0.29 | | | | (0.01 | ) |
| Net Realized and Unrealized Gain (Loss) | | | | (5.17 | ) | | | (1.92 | ) | | | 5.77 | | | | 2.82 | | | | (5.33 | ) | | | (0.62 | ) | | | (0.62 | ) |
| Distributions of Net Realized Gains by other investment companies | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 0.08 | | | | — | |
| Net Increase (Decrease) in Net Assets Resulting from Investment Operations(4) | | | | (4.76 | ) | | | (1.53 | ) | | | 6.18 | | | | 3.21 | | | | (5.01 | ) | | | (0.25 | ) | | | (0.63 | ) |
| Distributions from Net Investment Income | | | | (0.34 | ) | | | (0.47 | ) | | | (0.49 | ) | | | (0.30 | ) | | | (0.08 | ) | | | (0.30 | ) | | | (0.45 | ) |
| Distributions from Realized Capital Gains | | | | — | | | | — | | | | — | | | | — | | | | (0.02 | ) | | | — | | | | — | |
| Total Distributions | | | | (0.34 | ) | | | (0.47 | ) | | | (0.49 | ) | | | (0.30 | ) | | | (0.10 | ) | | | (0.30 | ) | | | (0.45 | ) |
| Net Asset Value, End of Year/Period | | | $ | 22.56 | | | $ | 27.66 | | | $ | 29.66 | | | $ | 23.97 | | | $ | 21.06 | | | $ | 23.37 | | | $ | 23.92 | |
| Market Value, End of Year/Period | | | $ | 22.56 | | | $ | 27.65 | | | $ | 29.58 | | | $ | 23.95 | | | $ | 21.11 | | | $ | 23.37 | | | $ | 23.90 | |
Total Return
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Investment Return Based on Net Asset Value(5) | | | | (17.32 | )% | | | (5.06 | )% | | | 25.91 | % | | | 15.24 | % | | | (19.11 | )% | | | (1.04 | )% | | | (2.58 | )% |
| Total Investment Return Based on Market(5) | | | | (17.25 | )% | | | (4.82 | )% | | | 25.64 | % | | | 14.86 | % | | | (18.95 | )% | | | (0.96 | )% | | | (2.61 | )% |
Ratios/Supplemental Data
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Year/Period (000's omitted) | | | $ | 14,662 | | | $ | 19,365 | | | $ | 19,279 | | | $ | 14,978 | | | $ | 14,219 | | | $ | 1,169 | | | $ | 1,794 | |
Ratio to Average Net Assets of:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Expenses, net of expense waivers and reimbursements(6) | | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | | | 1.35 | %(11) | | | 1.75 | % |
| Expenses, prior to expense waivers and reimbursements(6) | | | | 1.62 | % | | | 1.69 | % | | | 1.55 | % | | | 1.65 | % | | | 1.54 | % | | | 7.97 | %(11) | | | 6.20 | % |
| Net Investment Income (Loss)(6) | | | | 1.69 | % | | | 1.41 | % | | | 1.48 | % | | | 1.65 | % | | | 1.48 | % | | | 1.22 | % | | | (0.02 | )% |
| Portfolio Turnover Rate(9) | | | | 196 | % | | | 85 | % | | | 182 | % | | | 93 | % | | | 110 | % | | | 1,303 | %(10) | | | 203 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Financial Highlights
| | | | | | | | | | |
| | AdvisorShares
Meidell Tactical Advantage ETF |
| | |
Year ended June 30,
2016 | | Year ended June 30,
2015 | | Year ended June 30,
2014 | | Year ended June 30,
2013 | | Year ended June 30,
2012 |
Selected Data for a Share of Capital Stock Outstanding
| | | | | | | | | | | | | | | | | | | | |
| Net Asset Value, Beginning of Year/Period | | $ | 30.86 | | | $ | 30.00 | | | $ | 28.33 | | | $ | 25.12 | | | $ | 25.06 | |
Investment Operations
| | | | | | | | | | | | | | | | | | | | |
| Net Investment Income (Loss)(2) | | | (0.07 | ) | | | 0.17 | | | | 0.14 | | | | 0.14 | | | | 0.00 | (3) |
| Net Realized and Unrealized Gain (Loss) | | | (4.07 | ) | | | 0.87 | | | | 1.53 | | | | 3.30 | | | | 0.08 | |
| Distributions of Net Realized Gains by other investment companies | | | 0.01 | | | | — | | | | — | | | | — | | | | — | |
| Net Increase (Decrease) in Net Assets Resulting from Investment Operations(4) | | | (4.13 | ) | | | 1.04 | | | | 1.67 | | | | 3.44 | | | | 0.08 | |
| Distributions from Net Investment Income | | | (0.10 | ) | | | (0.18 | ) | | | — | | | | (0.23 | ) | | | (0.02 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (0.10 | ) | | | (0.18 | ) | | | — | | | | (0.23 | ) | | | (0.02 | ) |
| Net Asset Value, End of Year/Period | | $ | 26.63 | | | $ | 30.86 | | | $ | 30.00 | | | $ | 28.33 | | | $ | 25.12 | |
| Market Value, End of Year/Period | | $ | 26.56 | | | $ | 30.87 | | | $ | 30.00 | | | $ | 28.37 | | | $ | 25.48 | |
Total Return
| | | | | | | | | | | | | | | | | | | | |
| Total Investment Return Based on Net Asset Value(5) | | | (13.40 | )% | | | 3.47 | % | | | 5.89 | % | | | 13.81 | % | | | 0.31 | % |
| Total Investment Return Based on Market(5) | | | (13.63 | )% | | | 3.52 | % | | | 5.75 | % | | | 12.33 | % | | | 1.71 | % |
Ratios/Supplemental Data
| | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Year/Period (000's omitted) | | $ | 18,639 | | | $ | 16,972 | | | $ | 15,750 | | | $ | 9,209 | | | $ | 5,652 | |
Ratio to Average Net Assets of:
| | | | | | | | | | | | | | | | | | | | |
| Expenses, net of expense waivers and reimbursements(6) | | | 1.35 | % | | | 1.35 | % | | | 1.35 | % | | | 1.35 | % | | | 1.35 | % |
| Expenses, prior to expense waivers and reimbursements(6) | | | 1.88 | % | | | 1.99 | % | | | 2.12 | % | | | 2.99 | % | | | 3.69 | % |
| Net Investment Income (Loss)(6) | | | (0.26 | )% | | | 0.57 | % | | | 0.49 | % | | | 0.51 | % | | | 0.01 | % |
| Portfolio Turnover Rate(9) | | | 1,428 | % | | | 434 | % | | | 687 | % | | | 605 | % | | | 817 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Financial Highlights
| | | | | | | | | | | | | | | | | | | |
| | | AdvisorShares
Morgan Creek Global Tactical ETF | | AdvisorShares
Newfleet Multi-Sector Income ETF |
| | | | Year ended June 30,
2016 | | Year ended June 30,
2015 | | Year ended June 30,
2014 | | Year ended June 30,
2013 | | Year ended June 30,
2012 | | Year ended June 30,
2016 | | Year ended June 30,
2015 | | Year ended June 30,
2014 | | For the period March 19, 2013* to
June 30, 2013 |
Selected Data for a Share of Capital Stock Outstanding
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Asset Value, Beginning of Year/Period | | | $ | 24.62 | | | $ | 26.19 | | | $ | 27.38 | | | $ | 23.69 | | | $ | 25.92 | | | $ | 49.08 | | | $ | 49.94 | | | $ | 49.04 | | | $ | 50.00 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income (Loss)(2) | | | | (0.08 | ) | | | 0.06 | | | | 0.30 | | | | 0.38 | | | | 0.21 | | | | 1.25 | | | | 1.28 | | | | 1.26 | | | | 0.28 | |
| Net Realized and Unrealized Gain (Loss) | | | | (1.18 | ) | | | (1.06 | ) | | | 2.11 | | | | 0.27 | | | | (2.24 | ) | | | (0.13 | ) | | | (0.77 | ) | | | 0.99 | | | | (0.99 | ) |
| Distributions of Net Realized Gains by other investment companies | | | | 0.36 | | | | 0.07 | | | | — | | | | 0.00 | (3) | | | — | | | | — | | | | — | | | | — | | | | — | |
| Net Increase (Decrease) in Net Assets Resulting from Investment Operations(4) | | | | (0.90 | ) | | | (0.93 | ) | | | 2.41 | | | | 0.65 | | | | (2.03 | ) | | | 1.12 | | | | 0.51 | | | | 2.25 | | | | (0.71 | ) |
| Distributions from Net Investment Income | | | | (0.33 | ) | | | (0.64 | ) | | | — | | | | (0.56 | ) | | | — | | | | (1.37 | ) | | | (1.37 | ) | | | (1.35 | ) | | | (0.25 | ) |
| Distributions from Realized Capital Gains | | | | — | | | | — | | | | — | | | | — | | | | (0.20 | ) | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | | (0.33 | ) | | | (0.64 | ) | | | — | | | | (0.56 | ) | | | (0.20 | ) | | | (1.37 | ) | | | (1.37 | ) | | | (1.35 | ) | | | (0.25 | ) |
| Net Asset Value, End of Year/Period | | | $ | 23.39 | | | $ | 24.62 | | | $ | 26.19 | | | $ | 23.78 | | | $ | 23.69 | | | $ | 48.83 | | | $ | 49.08 | | | $ | 49.94 | | | $ | 49.04 | |
| Market Value, End of Year/Period | | | $ | 23.39 | | | $ | 24.60 | | | $ | 26.16 | | | $ | 23.79 | | | $ | 23.64 | | | $ | 48.82 | | | $ | 49.04 | | | $ | 49.94 | | | $ | 49.01 | |
| Total Return | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Investment Return Based on Net Asset Value(5) | | | | (3.60 | )% | | | (3.59 | )% | | | 10.13 | % | | | 2.68 | % | | | (7.84 | )% | | | 2.33 | % | | | 1.04 | % | | | 4.65 | % | | | (1.42 | )% |
| Total Investment Return Based on Market(5) | | | | (3.51 | )% | | | (3.52 | )% | | | 9.96 | % | | | 2.92 | % | | | (8.07 | )% | | | 2.39 | % | | | 0.95 | % | | | 4.70 | % | | | (1.48 | )% |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Year/Period (000's omitted) | | | $ | 7,602 | | | $ | 12,309 | | | $ | 36,667 | | | $ | 49,942 | | | $ | 78,171 | | | $ | 261,263 | | | $ | 215,941 | | | $ | 154,811 | | | $ | 83,362 | |
Ratio to Average Net Assets of:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Expenses, net of expense waivers and reimbursements(6) | | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | | | 1.15 | % | | | 0.99 | % | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % |
| Expenses, prior to expense waivers and reimbursements(6) | | | | 2.26 | % | | | 2.23 | % | | | 1.24 | % | | | 1.15 | % | | | 1.08 | % | | | 0.81 | % | | | 0.82 | % | | | 0.83 | % | | | 1.13 | % |
| Net Investment Income (Loss)(6) | | | | (0.33 | )% | | | 0.23 | % | | | 1.19 | % | | | 1.54 | % | | | 0.87 | % | | | 2.57 | % | | | 2.60 | % | | | 2.55 | % | | | 1.98 | % |
| Portfolio Turnover Rate(9) | | | | 81 | % | | | 244 | % | | | 232 | % | | | 236 | % | | | 475 | % | | | 51 | % | | | 49 | % | | | 85 | % | | | 105 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Financial Highlights
| | | | |
| | AdvisorShares
Pacific Asset Enhanced Floating Rate ETF |
| | | Year ended
June 30,
2016 | | For the period
February 18, 2015*
to
June 30, 2015 |
Selected Data for a Share of Capital Stock Outstanding
| | | | | | | | |
| Net Asset Value, Beginning of Year/Period | | $ | 49.66 | | | $ | 50.00 | |
Investment Operations
| | | | | | | | |
| Net Investment Income (Loss)(2) | | | 1.74 | | | | 0.62 | |
| Net Realized and Unrealized Gain (Loss) | | | (0.95 | ) | | | (0.38 | ) |
| Distributions of Net Realized Gains by other investment companies | | | — | | | | — | |
| Net Increase (Decrease) in Net Assets Resulting from Investment Operations(4) | | | 0.79 | | | | 0.24 | |
| Distributions from Net Investment Income | | | (1.72 | ) | | | (0.58 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | |
| Total Distributions | | | (1.72 | ) | | | (0.58 | ) |
| Net Asset Value, End of Year/Period | | $ | 48.73 | | | $ | 49.66 | |
| Market Value, End of Year/Period | | $ | 48.26 | | | $ | 49.78 | |
Total Return
| | | | | | | | |
| Total Investment Return Based on Net Asset Value(5) | | | 1.69 | % | | | 0.47 | % |
| Total Investment Return Based on Market(5) | | | 0.46 | % | | | 0.71 | % |
Ratios/Supplemental Data
| | | | | | | | |
| Net Assets, End of Year/Period (000's omitted) | | $ | 26,800 | | | $ | 27,312 | |
Ratio to Average Net Assets of:
| | | | | | | | |
| Expenses, net of expense waivers and reimbursements(6) | | | 1.10 | % | | | 1.10 | % |
| Expenses, prior to expense waivers and reimbursements(6) | | | 1.51 | % | | | 1.41 | % |
| Net Investment Income (Loss)(6) | | | 3.58 | % | | | 3.46 | % |
| Portfolio Turnover Rate(9) | | | 27 | % | | | 102 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Financial Highlights
| | | | | | | | | | | | | | | | | | | |
| | | AdvisorShares
Peritus High Yield ETF | | AdvisorShares
QAM Equity Hedge ETF |
| | | | Year ended June 30,
2016 | | Year ended June 30,
2015 | | Year ended June 30,
2014 | | Year ended June 30,
2013 | | Year ended June 30,
2012 | | Year ended June 30,
2016 | | Year ended June 30,
2015 | | Year ended June 30,
2014 | | For the period August 7, 2012*
to
June 30, 2013 |
Selected Data for a Share of Capital Stock Outstanding
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Asset Value, Beginning of Year/Period | | | $ | 40.65 | | | $ | 53.27 | | | $ | 50.43 | | | $ | 48.59 | | | $ | 51.59 | | | $ | 28.68 | | | $ | 28.48 | | | $ | 26.21 | | | $ | 25.00 | |
Investment Operations
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income (Loss)(2) | | | | 3.11 | | | | 3.59 | | | | 4.14 | | | | 4.28 | | | | 4.20 | | | | (0.16 | ) | | | (0.13 | ) | | | (0.20 | ) | | | (0.12 | ) |
| Net Realized and Unrealized Gain (Loss) | | | | (6.93 | ) | | | (12.33 | ) | | | 2.69 | | | | 1.66 | | | | (2.74 | ) | | | (1.51 | ) | | | 0.54 | | | | 2.95 | | | | 1.51 | |
| Distributions of Net Realized Gains by other investment companies | | | | — | | | | — | | | | — | | | | — | | | | 0.00 | (3) | | | 0.02 | | | | 0.01 | | | | — | | | | — | |
| Net Increase (Decrease) in Net Assets Resulting from Investment Operations(4) | | | | (3.82 | ) | | | (8.74 | ) | | | 6.83 | | | | 5.94 | | | | 1.46 | | | | (1.65 | ) | | | 0.42 | | | | 2.75 | | | | 1.39 | |
| Distributions from Net Investment Income | | | | (2.95 | ) | | | (3.88 | ) | | | (3.95 | ) | | | (4.09 | ) | | | (3.99 | ) | | | — | | | | — | | | | — | | | | (0.08 | ) |
| Distributions from Realized Capital Gains | | | | — | | | | — | | | | (0.04 | ) | | | (0.01 | ) | | | (0.47 | ) | | | (0.33 | ) | | | (0.22 | ) | | | (0.48 | ) | | | (0.10 | ) |
| Total Distributions | | | | (2.95 | ) | | | (3.88 | ) | | | (3.99 | ) | | | (4.10 | ) | | | (4.46 | ) | | | (0.33 | ) | | | (0.22 | ) | | | (0.48 | ) | | | (0.18 | ) |
| Net Asset Value, End of Year/Period | | | $ | 33.88 | | | $ | 40.65 | | | $ | 53.27 | | | $ | 50.43 | | | $ | 48.59 | | | $ | 26.70 | | | $ | 28.68 | | | $ | 28.48 | | | $ | 26.21 | |
| Market Value, End of Year/Period | | | $ | 33.84 | | | $ | 40.58 | | | $ | 53.27 | | | $ | 49.91 | | | $ | 48.64 | | | $ | 26.71 | | | $ | 28.68 | | | $ | 28.45 | | | $ | 26.16 | |
Total Return
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Investment Return Based on Net Asset Value(5) | | | | (9.34 | )% | | | (16.82 | )% | | | 14.04 | % | | | 12.58 | % | | | 3.27 | % | | | (5.76 | )% | | | 1.48 | % | | | 10.52 | % | | | 5.57 | % |
| Total Investment Return Based on Market(5) | | | | (9.20 | )% | | | (16.88 | )% | | | 15.20 | % | | | 11.29 | % | | | 2.75 | % | | | (5.72 | )% | | | 1.60 | % | | | 10.62 | % | | | 5.36 | % |
Ratios/Supplemental Data
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Year/Period (000's omitted) | | | $ | 201,601 | | | $ | 375,991 | | | $ | 1,075,997 | | | $ | 259,729 | | | $ | 92,328 | | | $ | 5,340 | | | $ | 7,171 | | | $ | 8,543 | | | $ | 3,932 | |
Ratio to Average Net Assets of:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Expenses, net of expense waivers and reimbursements(6) | | | | 1.22 | % | | | 1.23 | % | | | 1.18 | % | | | 1.25 | % | | | 1.35 | % | | | 1.68 | %(7) | | | 1.65 | %(7) | | | 1.70 | %(7) | | | 1.56 | %(7) |
| Expenses, prior to expense waivers and reimbursements(6) | | | | 1.28 | % | | | 1.23 | % | | | 1.18 | % | | | 1.23 | % | | | 1.35 | % | | | 3.15 | %(7) | | | 2.83 | %(7) | | | 2.66 | %(7) | | | 4.61 | %(7) |
| Net Investment Income (Loss)(6) | | | | 8.77 | % | | | 7.65 | % | | | 7.95 | % | | | 8.44 | % | | | 8.64 | % | | | (0.59 | )% | | | (0.46 | )% | | | (0.71 | )% | | | (0.50 | )% |
| Portfolio Turnover Rate(9) | | | | 79 | % | | | 88 | % | | | 87 | % | | | 37 | % | | | 80 | % | | | 132 | % | | | 131 | % | | | 179 | % | | | 114 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Financial Highlights
| | | | | | | | | | |
| | AdvisorShares
Ranger Equity Bear ETF |
| | |
Year ended June 30, 2016 | | Year ended June 30, 2015 | | Year ended June 30, 2014 | | Year ended June 30, 2013 | | Year ended June 30, 2012 |
Selected Data for a Share of Capital Stock Outstanding
| | | | | | | | | | | | | | | | | | | | |
| Net Asset Value, Beginning of Year/Period | | $ | 10.88 | | | $ | 11.78 | | | $ | 16.17 | | | $ | 23.33 | | | $ | 22.65 | |
Investment Operations
| | | | | | | | | | | | | | | | | | | | |
| Net Investment Income (Loss)(2) | | | (0.27 | ) | | | (0.31 | ) | | | (0.38 | ) | | | (0.60 | ) | | | (0.72 | ) |
| Net Realized and Unrealized Gain (Loss) | | | (0.01 | ) | | | (0.59 | ) | | | (4.01 | ) | | | (6.56 | ) | | | 1.40 | |
| Distributions of Net Realized Gains by other investment companies | | | — | | | | — | | | | — | | | | — | | | | — | |
| Net Increase (Decrease) in Net Assets Resulting from Investment Operations(4) | | | (0.28 | ) | | | (0.90 | ) | | | (4.39 | ) | | | (7.16 | ) | | | 0.68 | |
| Distributions from Net Investment Income | | | — | | | | — | | | | — | | | | — | | | | — | |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | — | | | | — | | | | — | | | | — | | | | — | |
| Net Asset Value, End of Year/Period | | $ | 10.60 | | | $ | 10.88 | | | $ | 11.78 | | | $ | 16.17 | | | $ | 23.33 | |
| Market Value, End of Year/Period | | $ | 10.61 | | | $ | 10.88 | | | $ | 11.79 | | | $ | 16.16 | | | $ | 23.34 | |
Total Return
| | | | | | | | | | | | | | | | | | | | |
| Total Investment Return Based on Net Asset Value(5) | | | (2.53 | )% | | | (7.64 | )% | | | (27.15 | )% | | | (30.69 | )% | | | 3.00 | % |
| Total Investment Return Based on Market(5) | | | (2.48 | )% | | | (7.72 | )% | | | (27.04 | )% | | | (30.76 | )% | | | 3.05 | % |
Ratios/Supplemental Data
| | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Year/Period (000's omitted) | | $ | 213,948 | | | $ | 128,059 | | | $ | 161,952 | | | $ | 218,357 | | | $ | 313,223 | |
Ratio to Average Net Assets of:
| | | | | | | | | | | | | | | | | | | | |
| Expenses, net of expense waivers and reimbursements(6) | | | 2.68 | %(8) | | | 2.80 | %(8) | | | 2.87 | %(8) | | | 3.12 | %(8) | | | 3.07 | %(8) |
| Expenses, prior to expense waivers and reimbursements(6) | | | 2.68 | %(8) | | | 2.80 | %(8) | | | 2.87 | %(8) | | | 3.12 | %(8) | | | 3.06 | %(8) |
| Net Investment Income (Loss)(6) | | | (2.49 | )% | | | (2.72 | )% | | | (2.81 | )% | | | (3.11 | )% | | | (3.06 | )% |
| Portfolio Turnover Rate(9) | | | 402 | % | | | 419 | % | | | 484 | % | | | 697 | % | | | 756 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Financial Highlights
| | | | | | | | | | | | | | | |
| | | AdvisorShares
Sage Core Reserves ETF | | AdvisorShares
STAR Global Buy-Write ETF |
| | | | Year ended June 30, 2016 | | Year ended June 30, 2015 | | For the period January 14, 2014*
to
June 30, 2014 | | Year ended June 30, 2016 | | Year ended June 30, 2015 | | Year ended June 30, 2014 | | For the period September 17, 2012* to
June 30, 2013 |
Selected Data for a Share of Capital Stock
Outstanding
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Asset Value, Beginning of Year/Period | | | $ | 99.38 | | | $ | 99.78 | | | $ | 100.00 | | | $ | 26.60 | | | $ | 26.18 | | | $ | 23.61 | | | $ | 25.00 | |
Investment Operations
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income (Loss)(2) | | | | 0.69 | | | | 0.12 | | | | 0.36 | | | | 0.10 | | | | 0.01 | | | | (0.10 | ) | | | (0.03 | ) |
| Net Realized and Unrealized Gain (Loss) | | | | 0.12 | | | | (0.12 | ) | | | (0.25 | ) | | | 0.07 | | | | 0.41 | | | | 2.67 | | | | (1.16 | ) |
| Distributions of Net Realized Gains by other investment companies | | | | — | | | | — | | | | — | | | | 0.00 | (3) | | | — | | | | — | | | | — | |
| Net Increase (Decrease) in Net Assets Resulting from Investment Operations(4) | | | | 0.81 | | | | — | | | | 0.11 | | | | 0.17 | | | | 0.42 | | | | 2.57 | | | | (1.19 | ) |
| Distributions from Net Investment Income | | | | (0.76 | ) | | | (0.40 | ) | | | (0.33 | ) | | | — | | | | — | | | | — | | | | (0.17 | ) |
| Distributions from Realized Capital Gains | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (0.03 | ) |
| Total Distributions | | | | (0.76 | ) | | | (0.40 | ) | | | (0.33 | ) | | | — | | | | — | | | | — | | | | (0.20 | ) |
| Net Asset Value, End of Year/Period | | | $ | 99.43 | | | $ | 99.38 | | | $ | 99.78 | | | $ | 26.77 | | | $ | 26.60 | | | $ | 26.18 | | | $ | 23.61 | |
| Market Value, End of Year/Period | | | $ | 99.63 | | | $ | 99.40 | | | $ | 99.80 | | | $ | 26.76 | | | $ | 26.61 | | | $ | 26.22 | | | $ | 23.62 | |
Total Return
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Investment Return Based on Net Asset Value(5) | | | | 0.83 | % | | | 0.00 | %(3) | | | 0.11 | % | | | 0.64 | % | | | 1.60 | % | | | 10.89 | % | | | (4.80 | )% |
| Total Investment Return Based on Market(5) | | | | 1.00 | % | | | 0.00 | %(3) | | | 0.13 | % | | | 0.56 | % | | | 1.49 | % | | | 11.01 | % | | | (4.76 | )% |
Ratios/Supplemental Data
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Year/Period (000's omitted) | | | $ | 111,862 | | | $ | 34,783 | | | $ | 37,419 | | | $ | 17,400 | | | $ | 26,597 | | | $ | 27,490 | | | $ | 22,428 | |
Ratio to Average Net Assets of:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, net of expense waivers and
reimbursements(6) | | | | 0.35 | % | | | 0.35 | % | | | 0.35 | % | | | 1.85 | % | | | 1.85 | % | | | 1.85 | % | | | 1.85 | % |
Expenses, prior to expense waivers and
reimbursements(6) | | | | 0.55 | % | | | 0.73 | % | | | 0.73 | % | | | 1.97 | % | | | 1.87 | % | | | 1.79 | % | | | 2.35 | % |
| Net Investment Income (Loss)(6) | | | | 0.70 | % | | | 0.12 | % | | | 0.78 | % | | | 0.38 | % | | | 0.03 | % | | | (0.42 | )% | | | (0.14 | )% |
| Portfolio Turnover Rate(9) | | | | 72 | % | | | 59 | % | | | 12 | % | | | 58 | % | | | 45 | % | | | 166 | % | | | 40 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Financial Highlights
| | | | | | | | | | |
| | AdvisorShares
TrimTabs Float Shrink ETF |
| | | Year ended June 30, 2016 | | Year ended June 30, 2015 | | Year ended June 30, 2014 | | Year ended June 30, 2013 | | For the period October 4, 2011* to June 30, 2012 |
Selected Data for a Share of Capital Stock Outstanding
| | | | | | | | | | | | | | | | | | | | |
| Net Asset Value, Beginning of Year/Period | | $ | 57.05 | | | $ | 51.22 | | | $ | 41.05 | | | $ | 33.16 | | | $ | 26.20 | |
Investment Operations
| | | | | | | | | | | | | | | | | | | | |
| Net Investment Income (Loss)(2) | | | 0.47 | | | | 0.42 | | | | 0.43 | | | | 0.23 | | | | 0.07 | |
| Net Realized and Unrealized Gain (Loss) | | | (1.54 | ) | | | 5.75 | | | | 9.89 | | | | 7.99 | | | | 6.90 | |
| Distributions of Net Realized Gains by other investment companies | | | — | | | | — | | | | — | | | | — | | | | — | |
| Net Increase (Decrease) in Net Assets Resulting from Investment Operations(4) | | | (1.07 | ) | | | 6.17 | | | | 10.32 | | | | 8.22 | | | | 6.97 | |
| Distributions from Net Investment Income | | | (0.42 | ) | | | (0.34 | ) | | | (0.15 | ) | | | (0.21 | ) | | | (0.01 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | (0.12 | ) | | | — | |
| Total Distributions | | | (0.42 | ) | | | (0.34 | ) | | | (0.15 | ) | | | (0.33 | ) | | | (0.01 | ) |
| Net Asset Value, End of Year/Period | | $ | 55.56 | | | $ | 57.05 | | | $ | 51.22 | | | $ | 41.05 | | | $ | 33.16 | |
| Market Value, End of Year/Period | | $ | 55.53 | | | $ | 57.05 | | | $ | 51.25 | | | $ | 41.13 | | | $ | 33.24 | |
Total Return
| | | | | | | | | | | | | | | | | | | | |
| Total Investment Return Based on Net Asset Value(5) | | | (1.87 | )% | | | 12.06 | % | | | 25.18 | % | | | 25.01 | % | | | 26.62 | % |
| Total Investment Return Based on Market(5) | | | (1.91 | )% | | | 11.99 | % | | | 25.00 | % | | | 24.96 | % | | | 26.93 | % |
Ratios/Supplemental Data
| | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Year/Period (000's omitted) | | $ | 155,570 | | | $ | 242,472 | | | $ | 137,015 | | | $ | 25,657 | | | $ | 8,291 | |
Ratio to Average Net Assets of:
| | | | | | | | | | | | | | | | | | | | |
| Expenses, net of expense waivers and reimbursements(6) | | | 0.99 | % | | | 0.99 | % | | | 0.99 | % | | | 0.99 | % | | | 0.99 | % |
| Expenses, prior to expense waivers and reimbursements(6) | | | 1.21 | % | | | 1.11 | % | | | 1.16 | % | | | 1.90 | % | | | 2.34 | % |
| Net Investment Income (Loss)(6) | | | 0.86 | % | | | 0.76 | % | | | 0.90 | % | | | 0.62 | % | | | 0.31 | % |
| Portfolio Turnover Rate(9) | | | 196 | % | | | 52 | % | | | 7 | % | | | 57 | % | | | 201 | % |
| * | Commencement of operations. |
| (1) | Formerly known as, AdvisorShares Sunrise Global Multi-Strategy ETF. |
| (2) | Based on average shares outstanding. |
| (3) | Amount represents less than $0.005 or 0.005%. |
| (4) | The amount shown for a share distribution throughout the period may not correlate with the Statements of Operations for the period due to the timing of sales and repurchases of Fund Shares in relation to income earned and/or fluctuating fair value of the investments of the Fund. |
| (5) | Net asset value total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions on ex-date, if any, at net asset value during the period, and redemption on the last day of the period. Periods less than one year are not annualized. Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at market value during the period on pay date, and sale at the market value on the last day of the period. |
| (6) | Ratios of periods of less than one year have been annualized. |
| (7) | The expense ratio includes interest and dividend expenses on short sales of 0.18%, 0.15%, 0.20%, and 0.06% for the periods ended periods ended June 30, 2016, June 30, 2015, June 30, 2014, and June 30, 2013, respectively. |
| (8) | The expense ratio includes interest and dividend expenses on short sales of 1.05%, 1.15%, 1.22%, 1.51%, and 1.38% for the periods ended June 30, 2016, June 30, 2015, June 30, 2014, June 30, 2013 and June 30, 2012 respectively. |
| (9) | Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as in-kind creations or redemptions of the Fund's capital shares. |
| (10) | Effective November 1, 2015, the Fund underwent a sub-advisor and objective change. As a result, investment transactions were increased during the period, which caused a higher than normal portfolio turnover rate. |
| (11) | Effective November 1, 2015, the Fund’s Expense Limitation Agreement changed from 1.75% to 0.99%. |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Financial Highlights
| | | | | | | | | | | | | | | | | |
| | | AdvisorShares
WCM/BNY Mellon Focused Growth ADR ETF | | AdvisorShares
YieldPro ETF |
| | | | Year ended June 30, 2016 | | Year ended June 30, 2015 | | Year ended June 30, 2014 | | Year ended June 30, 2013 | | Year ended June 30, 2012 | | Year ended June 30, 2016 | | Year ended June 30, 2015 | | For the period March 4, 2014*
to
June 30, 2014 |
Selected Data for a Share of Capital Stock
Outstanding
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Asset Value, Beginning of Year/Period | | | $ | 38.86 | | | $ | 38.95 | | | $ | 32.65 | | | $ | 28.72 | | | $ | 31.46 | | | $ | 23.07 | | | $ | 25.28 | | | $ | 25.00 | |
Investment Operations
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income (Loss)(2) | | | | 0.17 | | | | 0.34 | | | | 0.18 | | | | 0.11 | | | | 0.07 | | | | 0.17 | | | | 0.85 | | | | 0.29 | |
| Net Realized and Unrealized Gain (Loss) | | | | 0.23 | | | | (0.20 | ) | | | 6.29 | | | | 3.99 | | | | (2.58 | ) | | | 0.59 | | | | (2.07 | ) | | | 0.20 | |
| Distributions of Net Realized Gains by other investment companies | | | | — | | | | — | | | | — | | | | 0.00 | (3) | | | — | | | | 0.01 | | | | 0.00 | (3) | | | — | |
| Net Increase (Decrease) in Net Assets Resulting from Investment Operations(4) | | | | 0.40 | | | | 0.14 | | | | 6.47 | | | | 4.10 | | | | (2.51 | ) | | | 0.77 | | | | (1.22 | ) | | | 0.49 | |
| Distributions from Net Investment Income | | | | (0.20 | ) | | | (0.23 | ) | | | (0.17 | ) | | | (0.17 | ) | | | (0.11 | ) | | | (0.17 | ) | | | (0.99 | ) | | | (0.21 | ) |
| Distributions from Realized Capital Gains | | | | — | | | | — | | | | — | | | | — | | | | (0.12 | ) | | | — | | | | — | | | | — | |
| Total Distributions | | | | (0.20 | ) | | | (0.23 | ) | | | (0.17 | ) | | | (0.17 | ) | | | (0.23 | ) | | | (0.17 | ) | | | (0.99 | ) | | | (0.21 | ) |
| Net Asset Value, End of Year/Period | | | $ | 39.06 | | | $ | 38.86 | | | $ | 38.95 | | | $ | 32.65 | | | $ | 28.72 | | | $ | 23.67 | | | $ | 23.07 | | | $ | 25.28 | |
| Market Value, End of Year/Period | | | $ | 39.06 | | | $ | 38.77 | | | $ | 38.93 | | | $ | 32.63 | | | $ | 28.70 | | | $ | 23.68 | | | $ | 23.03 | | | $ | 25.31 | |
Total Return
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Investment Return Based on Net Asset Value(5) | | | | 1.05 | % | | | 0.36 | % | | | 19.85 | % | | | 14.30 | % | | | (7.94 | )% | | | 3.37 | % | | | (4.92 | )% | | | 1.95 | % |
| Total Investment Return Based on Market(5) | | | | 1.27 | % | | | 0.19 | % | | | 19.85 | % | | | 14.29 | % | | | (8.36 | )% | | | 3.59 | % | | | (5.20 | )% | | | 2.07 | % |
Ratios/Supplemental Data
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Year/Period (000's omitted) | | | $ | 14,648 | | | $ | 15,543 | | | $ | 12,660 | | | $ | 7,346 | | | $ | 6,462 | | | $ | 18,345 | | | $ | 34,598 | | | $ | 72,035 | |
Ratio to Average Net Assets of:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, net of expense waivers and
reimbursements(6) | | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | | | 1.22 | % | | | 1.05 | % | | | 1.07 | % |
Expenses, prior to expense waivers and
reimbursements(6) | | | | 1.62 | % | | | 1.63 | % | | | 1.67 | % | | | 2.52 | % | | | 4.17 | % | | | 1.30 | % | | | 1.05 | % | | | 1.07 | % |
| Net Investment Income (Loss)(6) | | | | 0.44 | % | | | 0.88 | % | | | 0.50 | % | | | 0.36 | % | | | 0.24 | % | | | 0.75 | % | | | 3.49 | % | | | 3.64 | % |
| Portfolio Turnover Rate(9) | | | | 25 | % | | | 27 | % | | | 24 | % | | | 38 | % | | | 16 | % | | | 73 | % | | | 128 | % | | | 8 | % |
See accompanying Notes to Financial Statements.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements
June 30, 2016
1. Organization
AdvisorShares Trust (the “Trust”) was organized as a Delaware statutory trust on July 30, 2007 and has authorized capital of unlimited shares. The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 “Financial Services — Investment Companies”. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “Act”). The Trust is comprised of 21 active funds (the “Funds” or “ETFs” and individually, the “Fund” or “ETF”):
| | | | |
| Fund | | Ticker | | Commencement
of Operations |
| AdvisorShares Athena High Dividend ETF | | | DIVI | | | | July 29, 2014 | |
| AdvisorShares EquityPro ETF | | | EPRO | | | | July 10, 2012 | |
| AdvisorShares Gartman Gold/Euro ETF | | | GEUR | | | | February 11, 2014 | |
| AdvisorShares Gartman Gold/Yen ETF | | | GYEN | | | | February 11, 2014 | |
| AdvisorShares Global Echo ETF | | | GIVE | | | | May 23, 2012 | |
| AdvisorShares Madrona Domestic ETF | | | FWDD | | | | June 21, 2011 | |
| AdvisorShares Madrona Global Bond ETF | | | FWDB | | | | June 21, 2011 | |
| AdvisorShares Madrona International ETF | | | FWDI | | | | June 21, 2011 | |
| AdvisorShares Market Adaptive Unconstrained Income ETF* | | | MAUI | | | | July 8, 2014 | |
| AdvisorShares Meidell Tactical Advantage ETF | | | MATH | | | | June 23, 2011 | |
| AdvisorShares Morgan Creek Global Tactical ETF | | | GTAA | | | | October 26, 2010 | |
| AdvisorShares Newfleet Multi-Sector Income ETF | | | MINC | | | | March 19, 2013 | |
| AdvisorShares Pacific Asset Enhanced Floating Rate ETF | | | FLRT | | | | February 18, 2015 | |
| AdvisorShares Peritus High Yield ETF | | | HYLD | | | | December 1, 2010 | |
| AdvisorShares QAM Equity Hedge ETF | | | QEH | | | | August 7, 2012 | |
| AdvisorShares Ranger Equity Bear ETF | | | HDGE | | | | January 27, 2011 | |
| AdvisorShares Sage Core Reserves ETF | | | HOLD | | | | January 14, 2014 | |
| AdvisorShares STAR Global Buy-Write ETF | | | VEGA | | | | September 17, 2012 | |
| AdvisorShares TrimTabs Float Shrink ETF | | | TTFS | | | | October 4, 2011 | |
| AdvisorShares WCM/BNY Mellon Focused Growth ADR ETF | | | AADR | | | | July 21, 2010 | |
| AdvisorShares YieldPro ETF | | | YPRO | | | | March 4, 2014 | |
| * | Effective November 1, 2015, AdvisorShares Sunrise Global Multi-Strategy ETF changed its name to AdvisorShares Market Adaptive Unconstrained Income ETF. |
AdvisorShares Athena High Dividend ETF (“Athena High Dividend ETF”) seeks long-term capital appreciation. The Portfolio Manager uses a behavioral finance approach to identifying securities for DIVI’s portfolio. Stocks are screened and selected using the Portfolio Manager’s patented research.
AdvisorShares EquityPro ETF (“EquityPro ETF”) is a broadly diversified global equity ETF which seeks long-term capital growth. EPRO utilizes a “top-down” thematic approach while employing a proprietary security selection process and from time to time will employ risk management techniques to lower portfolio volatility and risk. The Portfolio Manager seeks to achieve this objective by investing primarily in other ETFs, individual stocks, and American Depositary Receipts (ADRs) that provide investment exposure to global equity markets and that meet certain selection criteria established by the Portfolio Manager.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
1. Organization - (continued)
AdvisorShares Gartman Gold/Euro ETF (“Gartman Gold/Euro ETF”) seeks to provide positive returns by utilizing the European Union’s Euro to invest its assets in the gold market. GEUR offers investors an alternative method to invest in gold by financing gold purchases in liquid currencies other than the U.S. dollar. Euros are obtained through the sale of either exchange-traded currency futures or “over-the-counter” foreign exchange forward contracts.
AdvisorShares Gartman Gold/Yen ETF (“Gartman Gold/Yen ETF”) seeks to provide positive returns by utilizing the Japanese yen to invest its assets in the gold market. GYEN offers investors an alternative method to invest in gold by financing gold purchases in liquid currencies other than the U.S. dollar. The Japanese yen is obtained through the sale of either exchange-traded currency futures or “over-the-counter” foreign exchange forward contracts.
AdvisorShares Global Echo ETF (“Global Echo ETF”) seeks long-term capital appreciation with an emphasis on absolute (positive) returns and low sensitivity to traditional financial market indices, such as the S&P 500 Index, over a full market cycle. The Fund is a multi-manager, multi-strategy, broadly diversified, and actively managed ETF with a focus on sustainable investing.
AdvisorShares Madrona Domestic ETF (“Madrona Domestic ETF”) seeks to provide long-term capital appreciation above the capital appreciation of its benchmark, the S&P 500 Index by selecting a portfolio of up to 500 of the largest U.S. traded equity securities using a weighted allocation system based on consensus analyst estimates of the present value of future expected earnings relative to the share price of each security.
AdvisorShares Madrona Global Bond ETF (“Madrona Global Bond ETF”) seeks investment results that exceed the price and yield performance of its benchmark, the Barclays Capital Aggregate Bond Index. The Portfolio Manager seeks to achieve this objective by selecting a diversified portfolio of fixed income exchange-traded products (ETPs), including but not limited to, exchange-traded notes (ETNs), exchange-traded currency trusts and exchange-traded commodity pools. FWDB invests in at least 12 distinct global bond classes that cover the entire global investable bond universe. The Portfolio Manager constructs FWDB’s portfolio using a weighted allocation system based on historic yield curve analysis and a mean reversion strategy.
AdvisorShares Madrona International ETF (“Madrona International ETF”) seeks to provide long-term capital appreciation above the capital appreciation of its international benchmarks, such as the MSCI EAFE Index, the Fund’s primary benchmark, and the BNY Mellon Classic ADR Index, the Fund’s secondary benchmark. The Fund seeks to achieve this objective by selecting a portfolio primarily composed of at least 250 of the largest American Depositary Receipts (ADRs) from among the largest issuers of Europe, Australasia and the Far East (EAFE) and Canada. Its portfolio may also include ADRs that provide exposure to certain markets deemed to be emerging markets.
The AdvisorShares Market Adaptive Unconstrained Income ETF (“Market Adaptive Unconstrained Income ETF”) seeks to provide long-term total return and income with a secondary emphasis on capital preservation. MAUI is a non-traditional bond strategy and is designed to be different from most fixed income funds. It tactically allocates to various global regions, income categories, credit qualities, and durations, and when the environment calls for it, will get defensive and move to ultra-short-term fixed income.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
1. Organization - (continued)
AdvisorShares Meidell Tactical Advantage ETF (“Meidell Tactical Advantage ETF”) seeks to provide long-term capital appreciation and capital preservation. The Fund is considered a “fund-of-funds” that seeks to achieve this investment objective by managing a tactical strategy that has the ability to dynamically rebalance the Fund’s portfolio from as much as 100% equity assets to 100% fixed income assets or cash and cash equivalents depending on market trends. The Fund employs a long tactical strategy that seeks to minimize portfolio losses by rotating out of higher volatility assets and lower volatility assets depending on the Fund’s current view of risks in different asset classes.
AdvisorShares Morgan Creek Global Tactical ETF (“Morgan Creek Global Tactical ETF”) seeks to preserve and grow capital from investments in the U.S. and foreign equity, fixed income, commodity and currency markets, independent of market direction. The Portfolio Manager seeks to achieve GTAA’s objective by utilizing a combination a qualitative and quantitative approaches with established risk management controls to actively manage the portfolio in an attempt to control the downside losses and protect capital.
AdvisorShares Newfleet Multi-Sector Income ETF (“Newfleet Multi-Sector Income ETF”) seeks to provide current income consistent with preservation of capital, while limiting fluctuations in net asset value (“NAV”) due to changes in interest rates. In seeking to achieve the Fund’s investment objective, the Sub-Advisor applies a time-tested approach and extensive credit research to capitalize on opportunities across undervalued areas of the bond markets. The Fund principally invests in investment-grade securities, which are securities with credit ratings within the four highest rating categories of a nationally recognized statistical rating organization or, if unrated, those securities that the Sub-Advisor determines to be of comparable quality.
AdvisorShares Pacific Asset Enhanced Floating Rate ETF (“Pacific Asset Enhanced Floating Rate ETF”) seeks to provide a high level of current income. The fund seeks to achieve its investment objective by selecting a focused portfolio comprised primarily of income producing floating rate loans and floating rate debt securities. Under normal circumstances, it will invest at least 80% of its net assets (plus any borrowings for investment purposes) in floating rate loans and other floating rate debt securities and in derivatives or other instruments that have economic characteristics similar to such securities (such as swap agreements, including, but not limited to, total return swaps, credit default swaps, and interest rate swaps).
AdvisorShares Peritus High Yield ETF (“Peritus High Yield ETF”) seeks high current income by investing in a focused portfolio of high yield debt securities commonly referred to as “junk bonds”. The Fund does not have any portfolio maturity limitation and may invest in instruments with short-term, medium-term or long-term maturities.
AdvisorShares QAM Equity Hedge ETF (“QAM Equity Hedge ETF”) seeks investment results that exceed the risk adjusted performance of approximately 50% of the long/short equity hedge fund universe as defined by the HFRI Equity Hedge Total Index constituents. The Portfolio Manager seeks to achieve this objective by employing an actively managed long/short equity strategy that attempts to gain global net equity exposures that approximate those of the universe of managers in the HFRI Equity Hedge Total Index. Additionally, the Portfolio Manager utilizes advanced algorithms including Markov Processes International’s (MPI) proprietary and patented style analysis technique and associated algorithms, DSA (Dynamic Style Analysis), patented hedge fund analysis software, combined with the Portfolio Manager’s qualitative knowledge of the hedge fund investor community to develop investment strategies.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
1. Organization - (continued)
AdvisorShares Ranger Equity Bear ETF (“Ranger Equity Bear ETF”) seeks capital appreciation through short sales of domestically traded equity securities. The portfolio management team implements a bottom-up, fundamental, research driven security selection process. In selecting short positions, the Fund seeks to identify securities with low earnings quality or aggressive accounting which may be intended on the part of company management to mask operational deterioration and bolster the reported earnings per share over a short time period. In addition, the portfolio management team seeks to identify earnings driven events that may act as a catalyst to the price decline of a security, such as downwards earnings revisions or reduced forward guidance.
AdvisorShares Sage Core Reserves ETF (“Sage Core Reserves ETF”) seeks to preserve capital while maximizing income. The Sub-Advisor seeks to achieve the fund’s investment objective by investing in a variety of fixed income securities, including bonds, forwards and instruments issued by U.S. and foreign issuers. It will invest in U.S. dollar-denominated investment grade debt securities, including mortgage- or asset-backed securities, rated Baa- or higher by Moody’s Investors Service, Inc. (“Moody’s”), or equivalently rated by Standard & Poor’s Ratings Services (“S&P”) or Fitch, Inc. (“Fitch”), or, if unrated, determined by the Sub-Advisor to be of comparable quality.
AdvisorShares STAR Global Buy-Write ETF (“STAR Global Buy-Write ETF”) seeks consistent repeatable returns across all market cycles. The Portfolio Manager seeks to achieve this investment objective by using a proprietary strategy known as Volatility Enhanced Global Appreciation (VEGA). VEGA employs a “Buy-Write” or “Covered Call” overlay for their global allocation strategy using ETPs. The strategy simultaneously writes (sells) a call option against each position in order to seek cumulative price appreciation from the portfolio’s global exposure, while generating a consistent income stream from the sale of covered call and/or cash-secured put options. When volatility is low the portfolio manager buys protective put options to manage downside risk.
AdvisorShares TrimTabs Float Shrink ETF (“TrimTabs Float Shrink ETF”) seeks to generate long-term returns in excess of the total return of the Russell 3000_ Index, with less volatility than the Russell 3000_ Index. The Fund is an actively managed exchange-traded fund that seeks to achieve its investment objective by primarily investing in the broad U.S. equity market, as represented by the Russell 3000_ Index. The Fund seeks to achieve this goal by investing in stocks with liquidity and fundamental characteristics that are historically associated with superior long-term performance.
AdvisorShares WCM/BNY Mellon Focused Growth ADR ETF (“WCM/BNY Mellon Focused Growth ADR ETF”) seeks long-term capital appreciation by investing primarily in other Underlying ETFs, American Depository Receipts (ADRs) included in the BNY Mellon Classic ADR Index, the Fund’s primary index, and swap contracts.
AdvisorShares YieldPro ETF (“YieldPro ETF”) seeks to provide current income and capital appreciation. The fund is considered a “fund of funds” that seeks to achieve its investment objective by primarily investing in both long and short positions in other affiliated and unaffiliated exchange traded funds (“ETFs”) that offer diversified exposure to fixed income and other income producing securities. It may also invest in equity, inverse or other types of ETFs to supplement its fixed income ETF positions. The fund intends to invest the majority of its assets in investments that provide a competitive yield on a risk-adjusted basis.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
2. Consolidation of Subsidiaries
The Consolidated Schedules of Investments; Consolidated Statements of Assets and Liabilities, of Operations and of Changes in Net Assets; and the Consolidated Financial Highlights of the ETFs listed below include the accounts of wholly owned subsidiaries. All inter-company accounts and transactions have been eliminated in consolidation.
| | |
| Funds | | Wholly Owned Subsidiary |
| Gartman Gold/Euro ETF | | AdvisorShares Gartman Gold/Euro CFC |
| Gartman Gold/Yen ETF | | AdvisorShares Gartman Gold/Yen CFC |
A summary of each ETF’s investment in its corresponding subsidiary is as follows:
| | | | | | |
| Funds | | Inception Date
of Subsidiary | | Subsidiary
Net Assets at
June 30, 2016 | | % of ETF’s Total
Net Assets at
June 30, 2016 |
| Gartman Gold/Euro ETF | | | February 11, 2014 | | | $ | 3,138,227 | | | | 14.0 | % |
| Gartman Gold/Yen ETF | | | February 11, 2014 | | | $ | 3,876,391 | | | | 16.0 | % |
3. Summary of Significant Accounting Policies
These financial statements are prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) which require management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Investment Valuation
In computing each Fund's NAV, the Fund's securities holdings are valued based on their last readily available market price. Price information on listed securities, including Underlying ETFs, is taken from the exchange where the security is primarily traded. Securities regularly traded in an OTC market are valued at the latest quoted sales price on the primary exchange or national securities market on which such securities are traded. Securities not listed on an exchange or national securities market, or securities in which there was no last reported sales price, are valued at the most recent bid price. Debt securities are valued by utilizing a price supplied by an approved independent pricing service. The independent pricing service may use various valuation methodologies including, matrix pricing and other analytical pricing models as well as market transactions and dealer quotations. These models generally consider such factors as yields or prices of bonds of comparable quality, type of issue, coupon, maturity, ratings and general market conditions. Other portfolio securities and assets for which prices are not readily available are valued based on their respective fair value as determined in good faith under procedures approved by the Board of Trustees of the Trust.
Investment Transactions
Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investment securities are calculated using the identified cost method. Dividend income and distributions to shareholders are recognized on the ex-dividend date and interest income and expenses are recognized on the accrual basis. Premiums and discounts are amortized over the life of the bond using the effective interest method.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
3. Summary of Significant Accounting Policies - (continued)
Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, capital gains on investments, certain foreign currency transactions or other corporate events. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and are reflected in their Statements of Operations
Expenses
Expenses of the Trust, which are directly identifiable to a specific Fund, are applied to that Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of each Fund.
Swap Agreements
Certain funds may invest in equity swaps to obtain exposure to the underlying referenced security, obtain leverage or enjoy the returns from ownership without actually owning equity. Equity swaps are two-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, basket of securities, security index or index component during the period of the swap. Equity swap contracts are marked to market daily based on the value of the underlying security and the change, if any, is recorded as an unrealized gain or loss. Equity swaps normally do not involve the delivery of securities or other underlying assets. Accordingly, the risk of loss with respect to equity swaps is normally limited to the net amount of payments that a Fund is contractually obligated to make. If the other party to an equity swap defaults a Fund’s risk of loss consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Equity swaps are derivatives and their value can be very volatile. To the extent that the Adviser or Sub-Adviser, as applicable, do not accurately analyze and predict future market trends, the values of assets or economic factors, the Funds may suffer a loss, which may be substantial. The swap markets in which many types of swap transactions are traded have grown substantially in recent years, with a large number of banks and investment banking firms acting both as principals and as agents. As a result, the markets for certain types of swaps have become relatively liquid. Periodic payments received or paid by the Funds are recorded as realized gains or losses.
Repurchase Agreements
The Funds may enter into repurchase agreements provided that the value of the underlying collateral, including accrued interest, will equal or exceed the value of the repurchase agreement during the term of the agreement. The underlying collateral for all repurchase agreements is held in safekeeping by the Fund’s custodian or at the Federal Reserve Bank. If the seller defaults and the value of the collateral declines, or if bankruptcy proceedings commence with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited.
At June 30, 2016 the market values of repurchase agreements outstanding are included as cash collateral for securities on loan on the Statements of Assets and Liabilities.
Short Sales
Certain Funds may sell securities it does not own as a hedge against some of its long positions and/or in anticipation of a decline in the market value of that security (short sale). When the Funds make a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
3. Summary of Significant Accounting Policies - (continued)
made the short sale. The Funds may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions open are recorded on the ex-date as an expense. A gain, limited to the price at which the Funds sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received. The Funds are also subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price.
The Funds are required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash deposited with broker for collateral for securities sold short is recorded as an asset on the Statements of Assets and Liabilities and securities segregated as collateral are denoted in the Schedule of Investments. The Funds may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities; and (iii) a financing charge for the difference in the market value of the short position and cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security. The net amounts of income or fees paid by QAM Equity Hedge ETF and Ranger Equity Bear ETF for the year ended June 30, 2016 are $8,205 and $831,631, respectively, which are included as Interest on Securities Sold Short, Not Yet Purchased in the Statements of Operations.
Deposits with brokers and segregated cash for securities sold short represent cash balances on deposit with the Funds’ prime brokers and custodian. The Funds are subject to credit risk should the prime brokers be unable to meet its obligations to the Funds.
Futures Contracts
Certain Funds may invest in futures contracts (“futures”), may invest in futures in order to hedge its investments against fluctuations in value caused by changes in prevailing interest rates or market conditions. Such Funds may invest in futures as a primary investment strategy. Investments in futures may increase or leverage exposure to a particular market risk, thereby increasing price volatility of derivative instruments a Fund holds. No monies are paid or received by a Fund upon the purchase or sale of a futures contract. Initially, a Fund will be required to deposit with the broker an amount of cash or cash equivalents, known as initial margin, based on the value of the contract. Subsequent payments, called variation margin, to and from the broker, will be made on a daily basis as the price of the underlying instruments fluctuates, making the long and short positions in the futures contract more or less valuable, a process known as ‘marking-to-the-market.’ Once a final determination of variation margin is made, additional cash is required to be paid by or released to a Fund, and a Fund will realize a loss or gain. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying index. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional value of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures contract; therefore, the Funds’ credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
3. Summary of Significant Accounting Policies - (continued)
Options
Certain Funds are authorized to write and purchase put and call options. When a Fund writes an option, an amount equal to the premium received by the Fund is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked to market to reflect the current market value of the option written. When a security is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the security acquired or deducted from (or added to) the proceeds of the security sold. When an option expires (or the Fund enters into a closing transaction), the Fund realizes a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premium paid or received). The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. Written and purchased options are non-income producing investments.
Short-Term Investments
Each Fund may invest in high-quality short-term debt securities and money market instruments on an ongoing basis to maintain liquidity or pending selection of investments in accordance with its policies. These short-term debt securities and money market instruments include shares of other mutual funds, commercial paper, certificates of deposit, bankers’ acceptances, U.S. Government securities and repurchase agreements.
Securities Lending
The Funds participate in a securities lending program offered by The Bank of New York Mellon (“BNYM”) (the “Program”), providing for the lending of securities to qualified brokers. Securities lending income includes earnings of such temporary cash investments, plus or minus any rebate to a borrower. These earnings (after any rebate) are then divided between BNYM, as a fee for its services under the Program, and the Funds, according to agreed-upon rates. Collateral on all securities loaned is accepted in cash and is maintained at a minimum level of 102% (105% in the case of certain foreign securities) of the market value, plus interest, if applicable, of investments on loan. It is the Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Funds if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Under the terms of the Program, the Funds are indemnified for such losses by BNYM. Cash collateral is held in a separate account managed by BNYM, who is authorized to exclusively enter into overnight repurchase agreements. BNYM bears the risk of any deficiency in the amount of the cash collateral available for return to the borrower due to any loss on the collateral invested.
The repurchase agreement income related to the Program earned by the Funds is disclosed on the Statements of Operations.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
3. Summary of Significant Accounting Policies - (continued)
The value of loaned securities and related collateral outstanding at June 30, 2016 are shown in the Schedules of Investments and Statements of Assets and Liabilities.
| | | | | | | | | | | | |
| | Gross
Amounts of
Recognized
Assets
(Liabilities) | | Gross
Amounts
Offset in the
Statements
of Assets and (Liabilities) | | Net Amounts
Presented
in the
Statements
of Assets
and
(Liabilities) | | Gross Amounts not offset
in the Statements of
Assets and Liabilities | | Net
Amount |
| Description | | Financial
Instruments | | Collateral
Pledged/ Received |
Athena High Dividend ETF
| |
| Securities Lending | | $ | (878,514 | ) | | $ | — | | | $ | (878,514 | ) | | $ | 878,514 | (1) | | $ | — | | | $ | — | |
| Repurchase Agreements | | | 878,514 | | | | — | | | | 878,514 | | | | 878,514 | (2) | | | — | | | | — | |
EquityPro ETF
| |
| Securities Lending | | | (6,446,087 | ) | | | — | | | | (6,446,087 | ) | | | 6,446,087 | (1) | | | — | | | | — | |
| Repurchase Agreements | | | 6,446,087 | | | | — | | | | 6,446,087 | | | | 6,446,087 | (2) | | | — | | | | — | |
Global Echo ETF
| |
| Securities Lending | | | (60,501 | ) | | | — | | | | (60,501 | ) | | | 60,501 | (1) | | | — | | | | — | |
| Repurchase Agreements | | | 60,501 | | | | — | | | | 60,501 | | | | 60,501 | (2) | | | — | | | | — | |
Madrona Domestic ETF
| |
| Securities Lending | | | (1,134,488 | ) | | | — | | | | (1,134,488 | ) | | | 1,134,488 | (1) | | | — | | | | — | |
| Repurchase Agreements | | | 1,134,488 | | | | — | | | | 1,134,488 | | | | 1,134,488 | (2) | | | — | | | | — | |
Madrona Global Bond ETF
| |
| Securities Lending | | | (1,226,958 | ) | | | — | | | | (1,226,958 | ) | | | 1,226,958 | (1) | | | — | | | | — | |
| Repurchase Agreements | | | 1,226,958 | | | | — | | | | 1,226,958 | | | | 1,226,958 | (2) | | | — | | | | — | |
Madrona International ETF
| |
| Securities Lending | | | (2,703,714 | ) | | | — | | | | (2,703,714 | ) | | | 2,703,714 | (1) | | | — | | | | — | |
| Repurchase Agreements | | | 2,703,714 | | | | — | | | | 2,703,714 | | | | 2,703,714 | (2) | | | — | | | | — | |
Meidell Tactical Advantage ETF
| |
| Securities Lending | | | (408,423 | ) | | | — | | | | (408,423 | ) | | | 408,423 | (1) | | | — | | | | — | |
| Repurchase Agreements | | | 408,423 | | | | — | | | | 408,423 | | | | 408,423 | (2) | | | — | | | | — | |
Morgan Creek Global Tactical ETF
| |
| Securities Lending | | | (1,487,324 | ) | | | — | | | | (1,487,324 | ) | | | 1,487,324 | (1) | | | — | | | | — | |
| Repurchase Agreements | | | 1,487,324 | | | | — | | | | 1,487,324 | | | | 1,487,324 | (2) | | | — | | | | — | |
Newfleet Multi-Sector Income ETF
| |
| Securities Lending | | | (3,648,287 | ) | | | — | | | | (3,648,287 | ) | | | 3,648,287 | (1) | | | — | | | | — | |
| Repurchase Agreements | | | 3,648,287 | | | | — | | | | 3,648,287 | | | | 3,648,287 | (2) | | | — | | | | — | |
Pacific Asset Enhanced Floating Rate ETF
| |
| Swaps | | | (17,136 | ) | | | — | | | | (17,136 | ) | | | — | | | | — | | | | (17,136 | ) |
| Securities Lending | | | (148,908 | ) | | | — | | | | (148,908 | ) | | | 148,908 | (1) | | | — | | | | — | |
| Repurchase Agreements | | | 148,908 | | | | — | | | | 148,908 | | | | 148,908 | (2) | | | — | | | | — | |
Peritus High Yield ETF
| |
| Securities Lending | | | (28,626,133 | ) | | | — | | | | (28,626,133 | ) | | | 28,626,133 | (1) | | | — | | | | — | |
| Repurchase Agreements | | | 28,626,133 | | | | — | | | | 28,626,133 | | | | 28,626,133 | (2) | | | — | | | | — | |
TrimTabs Float Shrink ETF
| |
| Securities Lending | | | (13,329,490 | ) | | | — | | | | (13,329,490 | ) | | | 13,329,490 | (1) | | | — | | | | — | |
| Repurchase Agreements | | | 13,329,490 | | | | — | | | | 13,329,490 | | | | 13,329,490 | (2) | | | — | | | | — | |
WCM/BNY Mellon Focused Growth ADR ETF
| |
| Securities Lending | | | (1,883,787 | ) | | | — | | | | (1,883,787 | ) | | | 1,883,787 | (1) | | | — | | | | — | |
| Repurchase Agreements | | | 1,883,787 | | | | — | | | | 1,883,787 | | | | 1,883,787 | (2) | | | — | | | | — | |
| (1) | Collateral for securities on loan is included in the Schedules of Investments and consists of Repurchase Agreements. |
| (2) | Repurchase agreements are collateralized by U.S. Government Agency Obligations in the event the other party to the repurchase agreement defaults on its obligation. |
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
3. Summary of Significant Accounting Policies - (continued)
Dividends and Distributions
Each Fund will generally pay out dividends to shareholders at least annually. Each Fund will distribute its net capital gains, if any, to shareholders annually. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles. Distributions are recorded on ex-dividend date.
Indemnifications
In the normal course of business, each Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of loss to be remote.
4. Investment Advisory Agreement and Other Agreements
Investment Advisory Agreement
Each Fund has entered into an investment advisory agreement with AdvisorShares Investments, LLC (the “Advisor”) pursuant to which the Advisor acts as the Fund’s investment adviser. Pursuant to the agreement, the Advisor has overall supervisory responsibility for the general management and investment of each Fund’s securities portfolio, and has ultimate responsibility (subject to oversight by the Trust’s Board of Trustees) for oversight of the Trust’s sub-advisers. For its services, each Fund pays the Advisor an annual management fee and which is calculated daily and paid monthly based on average daily net assets. From time to time, the Advisor may waive all or a portion of its fee.
The Advisor’s annual management fee for each Fund is as follows:
| | |
| Fund: | | Rate: |
| Athena High Dividend ETF | | | 0.80 | % |
| EquityPro ETF | | | 0.80 | % |
| Gartman Gold/Euro ETF | | | 0.55 | % |
| Gartman Gold/Yen ETF | | | 0.55 | % |
| Global Echo ETF | | | 1.10 | % |
| Madrona Domestic ETF | | | 0.80 | % |
| Madrona Global Bond ETF | | | 0.50 | % |
| Madrona International ETF | | | 0.80 | % |
| Market Adaptive Unconstrained Income ETF | | | 0.90 | %* |
| Meidell Tactical Advantage ETF | | | 1.20 | % |
Morgan Creek Global Tactical ETF
| | | | |
| $0 – $250,000,000 | | | 0.90 | % |
| $250,000,001 – $1,000,000,000 | | | 0.80 | % |
| $1,000,000,001 – $5,000,000,000 | | | 0.70 | % |
| $5,000,000,001 + | | | 0.60 | % |
| Newfleet Multi-Sector Income ETF | | | 0.65 | % |
| Pacific Asset Enhanced Floating Rate ETF | | | 0.95 | % |
| Peritus High Yield ETF | | | 1.10 | % |
| QAM Equity Hedge ETF | | | 1.00 | % |
| Ranger Equity Bear ETF | | | 1.50 | % |
| Sage Core Reserves ETF | | | 0.30 | % |
| STAR Global Buy-Write ETF | | | 1.35 | % |
| TrimTabs Float Shrink ETF | | | 0.99 | % |
| WCM/BNY Mellon Focused Growth ADR ETF | | | 0.75 | % |
| YieldPro ETF | | | 0.80 | % |
| * | Effective November 1, 2015, AdvisorShares Sunrise Global Multi-Strategy ETF changed its name to AdvisorShares Market Adaptive Unconstrained Income ETF and the Fund’s Investment Advisory Agreement changed from 1.50% to 0.90%. |
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
4. Investment Advisory Agreement and Other Agreements - (continued)
For the Global Echo Fund, as part of its agreement with the Trust, the Advisor has contractually agreed to pay all operating expenses of the Fund, including transfer agency, custody, fund administration, legal, audit and other services, except management fees, interest expense, taxes (expected to be de minimis), brokerage commissions and other expenses connected with the execution of portfolio transactions, acquired fund fees and expenses, short dividend expenses, expenses of Independent Trustees (including any Trustees’ counsel fees), and extraordinary expenses.
Sub-Advisory Agreements
Each Fund’s investment sub-advisor provides investment advice and management services to the Fund. AdvisorShares supervises the day-to-day investment and reinvestment of the assets in the Fund and is responsible for monitoring the Fund’s adherence to its investment mandate. Pursuant to an investment sub-advisory agreement between each sub-advisor and the Advisor, the sub-advisor receives an annual fee.
From time to time, each sub-advisor may waive all or a portion of its fee.
Expense Limitation Agreement
The Advisor has contractually agreed to reduce their fees and reimburse expenses in order to keep net expenses (excluding interest, taxes, brokerage commissions, acquired fund fees and expenses, and extraordinary expenses) from exceeding a specified amount for each Fund’s average daily net assets (with the exception of Global Echo ETF). The expense limitation agreement will be terminated upon termination of the investment advisory agreement between the Advisor and the Fund. The investment advisory agreement may only be terminated with the approval of the Fund’s Board. The expense caps in effect for each Fund during the year ended June 30, 2016 were as follows:
| | |
| Fund: | | Rate: |
| Athena High Dividend ETF | | | 0.99 | % |
| EquityPro ETF | | | 1.25 | % |
| Gartman Gold/Euro ETF | | | 0.65 | % |
| Gartman Gold/Yen ETF | | | 0.65 | % |
| Global Echo ETF | | | — | |
| Madrona Domestic ETF | | | 1.25 | % |
| Madrona Global Bond ETF | | | 0.95 | % |
| Madrona International ETF | | | 1.25 | % |
| Market Adaptive Unconstrained Income ETF | | | 0.99 | %* |
| Meidell Tactical Advantage ETF | | | 1.35 | % |
| Morgan Creek Global Tactical ETF | | | 1.25 | % |
| Newfleet Multi-Sector Income ETF | | | 0.75 | % |
| Pacific Asset Enhanced Floating Rate ETF | | | 1.10 | % |
| Peritus High Yield ETF | | | 1.35 | % |
| QAM Equity Hedge ETF | | | 1.50 | % |
| Ranger Equity Bear ETF | | | 1.85 | % |
| Sage Core Reserves ETF | | | 0.35 | % |
| STAR Global Buy-Write ETF | | | 1.85 | % |
| TrimTabs Float Shrink ETF | | | 0.99 | % |
| WCM/BNY Mellon Focused Growth ADR ETF | | | 1.25 | % |
| YieldPro ETF | | | 1.25 | % |
| * | Effective November 1, 2015, AdvisorShares Sunrise Global Multi-Strategy ETF changed its name to AdvisorShares Market Adaptive Unconstrained Income ETF and the Fund’s Expense Limitation Agreement changed from 1.75% to 0.99%. |
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
4. Investment Advisory Agreement and Other Agreements - (continued)
For the year ended June 30, 2016, the Advisor waived fees and reimbursed expenses for each Fund as follows. Each Fund may recoup such waivers until the date indicated.
| | | | | | |
| Fund: | | Expenses
Reimbursed: | | Recoupment
Balance: | | Recoupment
Expiration: |
| Athena High Dividend ETF | | $ | 83,036 | | | $ | 79,776 | | | | 6/30/2018 | |
| | | | 68,711 | | | | 68,711 | | | | 6/30/2019 | |
| Total | | | 151,747 | | | | 148,487 | | | | | |
| EquityPro ETF | | | 67,622 | | | | 67,622 | | | | 6/30/2017 | |
| | | | 802 | | | | 802 | | | | 6/30/2018 | |
| | | | 9,872 | | | | 9,872 | | | | 6/30/2019 | |
| Total | | | 78,296 | | | | 78,296 | | | | | |
| Gartman Gold/Euro ETF | | | 49,169 | | | | 49,169 | | | | 6/30/2017 | |
| | | | 118,897 | | | | 118,897 | | | | 6/30/2018 | |
| | | | 111,217 | | | | 111,217 | | | | 6/30/2019 | |
| Total | | | 279,283 | | | | 279,283 | | | | | |
| Gartman Gold/Yen ETF | | | 48,900 | | | | 48,900 | | | | 6/30/2017 | |
| | | | 122,306 | | | | 122,306 | | | | 6/30/2018 | |
| | | | 107,681 | | | | 107,681 | | | | 6/30/2019 | |
| Total | | | 278,887 | | | | 278,887 | | | | | |
| Madrona Domestic ETF | | | 35,931 | | | | 35,931 | | | | 6/30/2017 | |
| | | | 35,654 | | | | 35,654 | | | | 6/30/2018 | |
| | | | 21,361 | | | | 21,361 | | | | 6/30/2019 | |
| Total | | | 92,946 | | | | 92,946 | | | | | |
| Madrona Global Bond ETF | | | 27,899 | | | | 27,899 | | | | 6/30/2017 | |
| | | | 12,090 | | | | 11,721 | | | | 6/30/2018 | |
| | | | 23,218 | | | | 23,218 | | | | 6/30/2019 | |
| Total | | | 63,207 | | | | 62,838 | | | | | |
| Madrona International ETF | | | 54,221 | | | | 54,221 | | | | 6/30/2017 | |
| | | | 79,853 | | | | 79,853 | | | | 6/30/2018 | |
| | | | 63,601 | | | | 63,601 | | | | 6/30/2019 | |
| Total | | | 197,675 | | | | 197,675 | | | | | |
| Market Adaptive Unconstrained Income ETF | | | 97,168 | | | | 92,537 | | | | 6/30/2018 | |
| | | | 79,494 | | | | 79,494 | | | | 6/30/2019 | |
| Total | | | 176,662 | | | | 172,031 | | | | | |
| Meidell Tactical Advantage ETF | | | 106,095 | | | | 106,095 | | | | 6/30/2017 | |
| | | | 103,519 | | | | 103,519 | | | | 6/30/2018 | |
| | | | 96,939 | | | | 96,939 | | | | 6/30/2019 | |
| Total | | | 306,553 | | | | 306,553 | | | | | |
| Morgan Creek Global Tactical ETF | | | 4,358 | | | | — | | | | 6/30/2017 | |
| | | | 175,707 | | | | 173,246 | | | | 6/30/2018 | |
| | | | 91,350 | | | | 91,350 | | | | 6/30/2019 | |
| Total | | | 271,415 | | | | 264,596 | | | | | |
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
4. Investment Advisory Agreement and Other Agreements - (continued)
| | | | | | |
| Fund: | | Expenses
Reimbursed: | | Recoupment
Balance: | | Recoupment
Expiration: |
| Newfleet Multi-Sector Income ETF | | $ | 88,416 | | | $ | 88,416 | | | | 6/30/2017 | |
| | | | 139,832 | | | | 139,832 | | | | 6/30/2018 | |
| | | | 132,621 | | | | 132,621 | | | | 6/30/2019 | |
| Total | | | 360,869 | | | | 360,869 | | | | | |
| Pacific Asset Enhanced Floating Rate ETF | | | 30,047 | | | | 30,047 | | | | 6/30/2018 | |
| | | | 108,286 | | | | 108,286 | | | | 6/30/2019 | |
| Total | | | 138,333 | | | | 138,333 | | | | | |
| QAM Equity Hedge ETF | | | 65,019 | | | | 65,019 | | | | 6/30/2017 | |
| | | | 88,514 | | | | 88,514 | | | | 6/30/2018 | |
| | | | 88,518 | | | | 88,518 | | | | 6/30/2019 | |
| Total | | | 242,051 | | | | 242,051 | | | | | |
| Sage Core Reserves ETF | | | 58,758 | | | | 58,758 | | | | 6/30/2017 | |
| | | | 141,235 | | | | 141,235 | | | | 6/30/2018 | |
| | | | 90,545 | | | | 90,545 | | | | 6/30/2019 | |
| Total | | | 290,538 | | | | 290,538 | | | | | |
| STAR Global Buy-Write ETF | | | 3,240 | | | | 3,240 | | | | 6/30/2017 | |
| | | | 13,786 | | | | 13,786 | | | | 6/30/2018 | |
| | | | 25,820 | | | | 25,820 | | | | 6/30/2019 | |
| Total | | | 42,846 | | | | 42,846 | | | | | |
| TrimTabs Float Shrink ETF | | | 159,385 | | | | 159,385 | | | | 6/30/2017 | |
| | | | 211,220 | | | | 211,220 | | | | 6/30/2018 | |
| | | | 454,474 | | | | 454,474 | | | | 6/30/2019 | |
| Total | | | 825,079 | | | | 825,079 | | | | | |
| WCM/BNY Mellon Focused Growth ADR ETF | | | 40,767 | | | | 40,767 | | | | 6/30/2017 | |
| | | | 55,807 | | | | 55,807 | | | | 6/30/2018 | |
| | | | 58,928 | | | | 58,928 | | | | 6/30/2019 | |
| Total | | | 155,502 | | | | 155,502 | | | | | |
| Yield Pro ETF | | | 19,436 | | | | 19,436 | | | | 6/30/2019 | |
| Total | | | 19,436 | | | | 19,436 | | | | | |
As part of its agreement with the Trust, the Advisor has contractually agreed to pay all operating expenses of the Global Echo ETF. There are no expenses reimbursed or recouped for that Fund.
Administrator, Custodian, Fund Accountant and Transfer Agent
The Bank of New York Mellon (“BNYM”) (in each capacity, the “Administrator”, “Custodian”, “Fund Accountant” or “Transfer Agent”), serves as the Fund’s Administrator, Custodian, Fund Accountant and Transfer Agent pursuant to a certain Fund Administration and Accounting Agreement, a Custody Agreement or a Transfer Agency and Service Agreement, as the case may be.
Distribution and Service (12b-1) Plan
Foreside Fund Services, LLC (the “Distributor”) serves as the Fund’s distributor of Creation Units for the Fund pursuant to the distribution agreement. The Distributor does not maintain any secondary market shares. The Funds have adopted a Distribution and Service Plan (“Plan”) pursuant to Rule 12b-1 under the 1940 Act. In accordance with its Plan, each Fund is authorized to pay an amount
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
4. Investment Advisory Agreement and Other Agreements - (continued)
up to 0.25% of its average daily net assets each year for certain distribution-related activities. No fees are currently paid by each Fund under the Plan, and there are no current plans to impose these fees. However, in the event Rule 12b-1 fees were charged, over time they would increase the cost of an investment in each Fund.
5. Creation and Redemption Transactions
The Funds issue and redeem shares on a continuous basis at NAV in groups of 25,000 shares, at minimum, called “Creation Units.” Except when aggregated in Creation Units, shares are not redeemable securities of a Fund. Only “Authorized Participants” may purchase or redeem shares directly from each Fund. 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 DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the shares directly from the Fund. Rather, most retail investors will purchase shares in the secondary market with the assistance of a broker and will be subject to customary brokerage commissions or fees.
6. Summary of Fair Value Disclosure
The Financial Accounting Standard Board’s (“FASB”) Accounting Standards Codification (“ASC”) 820-10, Fair Value Measurements and Disclosures, defines fair value, establishes an authoritative framework for measuring fair value in accordance with generally accepted accounting principles, and expands disclosure about fair value measurements. Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:
| • | Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the company 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 that relevant observable inputs are not available, representing the company’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available. |
Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act of 1933 as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets on which the security is traded but before the time as of which a Fund’s net asset value is computed and that may materially affect the value of the Fund’s investment). Examples of events that may be “significant events” are government actions, natural disasters, armed conflicts and acts of terrorism. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
6. Summary of Fair Value Disclosure - (continued)
The following is a summary of the inputs used as of June 30, 2016 in valuing the Funds’ assets carried at fair value:
| | | | | | | | | | | | |
| Assets | | Athena High
Dividend ETF | | EquityPro ETF | | Gartman
Gold/Euro ETF | | Gartman
Gold/Yen ETF | | Global
Echo ETF | | Madrona
Domestic ETF |
Level 1
| | | | | | | | | | | | | | | | | | | | | | | | |
| Exchange Traded Funds | | $ | — | | | $ | 20,255,133 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| Common Stocks | | | 7,471,960 | | | | — | | | | — | | | | — | | | | 3,807,241 | | | | 26,774,690 | |
| Money Market Funds | | | 34,919 | | | | 3,543,436 | | | | 13,052,990 | | | | 16,490,603 | | | | 119,633 | | | | 702,577 | |
| Futures† | | | — | | | | — | | | | 1,845,685 | | | | 1,889,112 | | | | — | | | | — | |
Level 2
| | | | | | | | | | | | | | | | | | | | | | | | |
| Municipal Bonds | | | — | | | | — | | | | — | | | | — | | | | 27,378 | | | | — | |
| Asset Backed Securities | | | — | | | | — | | | | — | | | | — | | | | 954,404 | | | | — | |
| U.S. Government Agency Securities | | | — | | | | — | | | | — | | | | — | | | | 870,946 | | | | — | |
| Repurchase Agreements for Securities Loaned | | | 878,514 | | | | 6,446,087 | | | | — | | | | — | | | | 60,501 | | | | 1,134,488 | |
Level 3
| | | | | | | | | | | | | | | | | | | | | | | | |
| Common Stocks | | | — | | | | — | | | | — | | | | — | | | | — | | | | 476 | |
Liabilities
| | | | | | | | | | | | | | | | | | | | | | | | |
Level 1
| | | | | | | | | | | | | | | | | | | | | | | | |
| Futures† | | | — | | | | — | | | | — | | | | (713,816 | ) | | | — | | | | — | |
| Total | | $ | 8,385,393 | | | $ | 30,244,656 | | | $ | 14,898,675 | | | $ | 17,665,899 | | | $ | 5,840,103 | | | $ | 28,612,231 | |
| | | | | | | | | | | | |
| Assets | | Madrona
Global Bond
ETF | | Madrona
International
ETF | | Market Adaptive
Unconstrained
Income ETF | | Meidell
Tactical
Advantage ETF | | Morgan Creek
Global Tactical ETF | | Newfleet
Multi-Sector
Income ETF |
Level 1
| | | | | | | | | | | | | | | | | | | | | | | | |
| Exchange Traded Funds | | $ | 20,334,612 | | | $ | — | | | $ | 1,123,848 | | | $ | 18,078,274 | | | $ | 3,781,129 | | | $ | — | |
| Closed End Fund | | | — | | | | — | | | | — | | | | — | | | | 197,835 | | | | — | |
| Common Stocks | | | — | | | | 13,796,497 | | | | — | | | | — | | | | — | | | | — | |
| Money Market Funds | | | 188,169 | | | | 850,254 | | | | 856,547 | | | | 13,858,306 | | | | 3,664,797 | | | | 13,699,091 | |
Level 2
| | | | | | | | | | | | | | | | | | | | | | | | |
| Corporate Bonds | | | — | | | | — | | | | — | | | | — | | | | — | | | | 50,416,409 | |
| Foreign Bonds | | | — | | | | — | | | | — | | | | — | | | | — | | | | 12,914,435 | |
| U.S. Treasury Note | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,017,695 | |
| U.S. Government Agency Securities | | | — | | | | — | | | | — | | | | — | | | | — | | | | 4,334,335 | |
| Asset Backed Securities | | | — | | | | — | | | | — | | | | — | | | | — | | | | 67,599,517 | |
| Mortgage Backed Securities | | | — | | | | — | | | | — | | | | — | | | | — | | | | 91,319,821 | |
| Term Loans | | | — | | | | — | | | | — | | | | — | | | | — | | | | 22,641,697 | |
| Repurchase Agreements for Securities Loaned | | | 1,226,958 | | | | 2,703,714 | | | | — | | | | 408,423 | | | | 1,487,324 | | | | 3,648,287 | |
| Total | | $ | 21,749,739 | | | $ | 17,350,465 | | | $ | 1,980,395 | | | $ | 32,345,003 | | | $ | 9,131,085 | | | $ | 267,591,287 | |
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
6. Summary of Fair Value Disclosure - (continued)
| | | | | | | | | | | | |
| Assets | | Pacific Asset
Enhanced
Floating
Rate ETF | | Peritus High
Yield ETF | | QAM Equity
Hedge ETF | | Ranger Equity
Bear ETF | | Sage Core
Reserves ETF | | STAR Global
Buy-Write ETF |
Level 1
| | | | | | | | | | | | | | | | | | | | | | | | |
| Exchange Traded Funds | | $ | — | | | $ | — | | | $ | 4,397,097 | | | $ | 102,115,625 | | | $ | — | | | $ | 16,442,227 | |
| Purchased Options | | | — | | | | — | | | | — | | | | — | | | | — | | | | 77,771 | |
| Money Market Funds | | | 3,467,034 | | | | 1,502,566 | | | | 944,233 | | | | 6,210,106 | | | | 2,750,460 | | | | 873,979 | |
Level 2
| | | | | | | | | | | | | | | | | | | | | | | | |
| Corporate Bonds | | | 2,455,690 | | | | 134,872,625 | | | | — | | | | — | | | | 45,861,414 | | | | — | |
| Foreign Bonds | | | — | | | | 22,413,751 | | | | — | | | | — | | | | 11,611,361 | | | | — | |
| Municipal Bonds | | | — | | | | — | | | | — | | | | — | | | | 1,990,048 | | | | — | |
| U.S. Treasury Notes | | | — | | | | — | | | | — | | | | — | | | | 11,491,138 | | | | — | |
| U.S. Treasury Bill | | | — | | | | — | | | | — | | | | — | | | | 99,958 | | | | — | |
| Asset Backed Securities | | | — | | | | — | | | | — | | | | — | | | | 26,438,720 | | | | — | |
| Commercial Mortgage Backed Securities | | | — | | | | — | | | | — | | | | — | | | | 12,069,189 | | | | — | |
| Term Loans | | | 20,804,012 | | | | 39,077,091 | | | | — | | | | — | | | | — | | | | — | |
| Repurchase Agreements for Securities Loaned | | | 148,908 | | | | 28,626,133 | | | | — | | | | — | | | | — | | | | — | |
Liabilities
| | | | | | | | | | | | | | | | | | | | | | | | |
Level 1
| | | | | | | | | | | | | | | | | | | | | | | — | |
| Common Stocks | | | — | | | | — | | | | — | | | | (214,658,261 | ) | | | — | | | | — | |
| Written Options | | | — | | | | — | | | | — | | | | — | | | | — | | | | (15,972 | ) |
Level 2
| | | | | | | | | | | | | | | | | | | | | | | | |
| Swaps Contracts† | | | (17,136 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total | | $ | 26,858,508 | | | $ | 226,492,166 | | | $ | 5,341,330 | | | $ | (106,332,530 | ) | | $ | 112,312,288 | | | $ | 17,378,005 | |
| | | | | | |
| Assets | | TrimTabs Float
Shrink ETF | | WCM/BNY
Mellon Focused
Growth
ADR ETF | | YieldPro ETF |
Level 1
| | | | | | | | | | | | |
| Exchange Traded Funds | | $ | — | | | $ | — | | | $ | 18,149,596 | |
| Common Stocks | | | 154,930,045 | | | | 13,836,047 | | | | — | |
| Money Market Funds | | | 658,596 | | | | 780,175 | | | | 238,136 | |
Level 2
| | | | | | | | | | | | |
| Repurchase Agreements for Securities Loaned | | | 13,329,490 | | | | 1,883,787 | | | | — | |
| Total | | $ | 168,918,131 | | | $ | 16,500,009 | | | $ | 18,387,732 | |
| † | Derivative instruments, including swap contracts and futures, are valued at the net unrealized gain (loss) on the instrument. |
There were no recognized transfers between Level 1 and Level 2.
A reconciliation of assets or liabilities in which Level 3 inputs are used in determining fair value is presented when there are significant (individually, greater than 1% of the net assets of a fund, or collectively, greater than 5% of the net assets of a fund) Level 3 assets or liabilities at the end of the year.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
7. Derivative Instruments
The Funds have adopted authoritative standards of accounting for derivative instruments which establish disclosure requirement for derivative instruments. These standards improve financial reporting for derivative instruments by requiring enhanced disclosures that enables investors to understand how and why a fund uses derivatives instruments, how derivatives instruments are accounted for and how derivative instruments affect a fund’s financial position and results of operations. The Funds use derivative instruments as part of their principal investment strategy to achieve their investment objective.
At June 30, 2016, the fair values of derivative instruments were as follows:
Statements of Assets and Liabilities:
| | | | | | | | | | |
| Fund: | | Asset Derivatives: | | Equity
Risk | | Foreign
Exchange Risk | | Commodity
Risk | | Interest
Rate Risk |
| Gartman Gold/Euro ETF | | | Unrealized Appreciation on
Futures Contracts | | | $ | — | | | $ | 517,525 | | | $ | 1,328,160 | | | $ | — | |
| Gartman Gold/Yen ETF | | | Unrealized Appreciation on
Futures Contracts | | | | — | | | | — | | | | 1,889,112 | | | | — | |
| STAR Global Buy-Write ETF | | | Options Purchased, at Value | | | | 77,771 | | | | — | | | | — | | | | — | |
| | | | | | | | | | |
| Fund: | | Liability Derivatives: | | Equity
Risk | | Foreign
Exchange Risk | | Commodity
Risk | | Interest
Rate Risk |
| Gartman Gold/Yen ETF | | | Unrealized Depreciation on
Futures Contracts | | | $ | — | | | $ | (713,816 | ) | | $ | — | | | $ | — | |
| Pacific Asset Enhanced Floating Rate ETF | | | Unrealized Depreciation on
Swaps Contracts | | | | — | | | | — | | | | — | | | | (17,136 | ) |
| STAR Global Buy-Write ETF | | | Options Written, at Value | | | | (15,972 | ) | | | — | | | | — | | | | — | |
Transactions in derivative instruments during the year ended June 30, 2016, were as follows:
Statements of Operations:
| | | | | | | | | | |
| Fund: | | Realized Gain (Loss): | | Equity
Risk | | Foreign Exchange Risk | | Commodity Risk | | Interest Rate Risk |
| Gartman Gold/Euro ETF | | | Futures | | | $ | — | | | $ | 47,064 | | | $ | (247,607 | ) | | $ | — | |
| Gartman Gold/Yen ETF | | | Futures | | | | — | | | | (2,467,066 | ) | | | (706,381 | ) | | | — | |
| Pacific Asset Enhanced Floating Rate ETF | | | Swaps | | | | — | | | | — | | | | — | | | | 7,751 | |
| QAM Equity Hedge ETF | | | Investments – Options
Purchased | | | | (7,178 | ) | | | — | | | | — | | | | — | |
| QAM Equity Hedge ETF | | | Options Written | | | | (1,640 | ) | | | — | | | | — | | | | — | |
| Sage Core Reserves ETF | | | Futures | | | | — | | | | — | | | | — | | | | 17,854 | |
| STAR Global Buy-Write ETF | | | Options Written | | | | 248,567 | | | | — | | | | — | | | | — | |
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
7. Derivative Instruments - (continued)
| | | | | | | | | | |
| Fund: | | Change in
Unrealized Gain (Loss): | | Equity
Risk | | Foreign Exchange Risk | | Commodity Risk | | Interest Rate Risk |
| Gartman Gold/Euro ETF | | | Futures | | | $ | — | | | $ | 249,768 | | | $ | 1,583,294 | | | $ | — | |
| Gartman Gold/Yen ETF | | | Futures | | | | — | | | | (646,577 | ) | | | 2,230,048 | | | | — | |
| Pacific Asset Enhanced Floating Rate ETF | | | Swaps | | | | — | | | | — | | | | — | | | | (14,424 | ) |
| Sage Core Reserves ETF | | | Futures | | | | — | | | | — | | | | — | | | | (220 | ) |
| STAR Global Buy-Write ETF | | | Investments –
Options Purchased | | | | (23,638 | ) | | | — | | | | — | | | | — | |
| STAR Global Buy-Write ETF | | | Options Written | | | | (34,641 | ) | | | — | | | | — | | | | — | |
For the year ended June 30, 2016, the volume of the derivatives opened by the Funds was as follows:
| | | | | | | | | | | | |
| | Gartman
Global/
Euro ETF | | Gartman
Global/
Yen ETF | | Pacific Assets
Enhanced
Floating
Rate ETF | | QAM
Equity
Hedge ETF | | Sage Core
Reserves
ETF | | STAR
Global
Buy-Write
ETF |
| Long Swaps Contracts | | | — | | | | — | | | | 9,000,000 | | | | — | | | | — | | | | — | |
| Purchased Options Contracts | | | — | | | | — | | | | — | | | | 15 | | | | — | | | | 1,150 | |
| Written Options Contracts | | | — | | | | — | | | | — | | | | 30 | | | | — | | | | 10,206 | |
| Short Futures Contracts | | | 930 | | | | 1,234 | | | | — | | | | — | | | | 20 | | | | — | |
| Long Futures Contracts | | | 550 | | | | 947 | | | | — | | | | — | | | | 22 | | | | — | |
8. Federal Income Tax
Each Fund intends to qualify as a “regulated investment company” under Sub-chapter M of the Internal Revenue Code of 1986, as amended. If so qualified, the Funds will not be subject to Federal income tax to the extent it distributes substantially all of its net investment income and net capital gains to its shareholders. Accounting for Uncertainty in Income Taxes provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements, and requires the evaluation of tax positions taken or expected to be taken in the course of preparing a Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Interest and penalty related to income taxes would be recorded as income tax expense. Management of the Funds is required to analyze all open tax years (2013 - 2016), as defined by IRS statute of limitations, for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of June 30, 2016, the Funds did not have a liability for any unrecognized tax benefits. The Funds have no examination in progress and is not aware of any tax positions for which it is reasonably possible that the amounts of unrecognized tax benefits will significantly change in the next twelve months.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
8. Federal Income Tax - (continued)
At June 30, 2016, the approximate cost of investments, including short positions, and net unrealized appreciation (depreciation) for federal income tax purposes was as follows:
| | | | | | | | | | |
| Fund | | Cost* | | Gross
Unrealized
Appreciation | | Gross
Unrealized
Depreciation | | Net Unrealized
Appreciation
(Depreciation) | | Other
Derivatives
Net Unrealized
Appreciation/
(Depreciation) |
| Athena High Dividend ETF | | $ | 8,297,265 | | | $ | 610,450 | | | $ | (522,322 | ) | | $ | 88,128 | | | $ | — | |
| EquityPro ETF | | | 29,937,254 | | | | 607,541 | | | | (300,139 | ) | | | 307,402 | | | | — | |
| Gartman Gold/Euro ETF | | | 13,052,990 | | | | — | | | | — | | | | — | | | | — | |
| Gartman Gold/Yen ETF | | | 16,490,603 | | | | — | | | | — | | | | — | | | | — | |
| Global Echo ETF | | | 5,570,831 | | | | 536,578 | | | | (267,306 | ) | | | 269,272 | | | | — | |
| Madrona Domestic ETF | | | 28,100,611 | | | | 2,679,601 | | | | (2,167,981 | ) | | | 511,620 | | | | — | |
| Madrona Global Bond ETF | | | 21,600,253 | | | | 671,647 | | | | (522,161 | ) | | | 149,486 | | | | — | |
| Madrona International ETF | | | 18,276,015 | | | | 903,774 | | | | (1,829,324 | ) | | | (925,550 | ) | | | — | |
| Market Adaptive Unconstrained Income ETF | | | 1,987,882 | | | | 4,154 | | | | (11,641 | ) | | | (7,487 | ) | | | — | |
| Meidell Tactical Advantage ETF | | | 32,217,909 | | | | 242,507 | | | | (115,413 | ) | | | 127,094 | | | | — | |
| Morgan Creek Global Tactical ETF | | | 8,889,903 | | | | 531,025 | | | | (289,843 | ) | | | 241,182 | | | | — | |
| Newfleet Multi-Sector Income ETF | | | 268,614,527 | | | | 2,127,435 | | | | (3,150,675 | ) | | | (1,023,240 | ) | | | — | |
Pacific Asset Enhanced Floating Rate
ETF | | | 27,293,586 | | | | 64,537 | | | | (482,479 | ) | | | (417,942 | ) | | | (17,136 | ) |
| Peritus High Yield ETF | | | 253,895,768 | | | | 2,336,166 | | | | (29,739,768 | ) | | | (27,403,602 | ) | | | — | |
| QAM Equity Hedge ETF | | | 5,324,310 | | | | 130,719 | | | | (113,699 | ) | | | 17,020 | | | | — | |
| Ranger Equity Bear ETF | | | 108,294,006 | | | | 9,992,563 | | | | (9,960,838 | ) | | | 31,725 | | | | (1,699,286 | ) |
| Sage Core Reserves ETF | | | 112,275,340 | | | | 88,552 | | | | (51,604 | ) | | | 36,948 | | | | — | |
| STAR Global Buy-Write ETF | | | 16,841,825 | | | | 706,057 | | | | (153,905 | ) | | | 552,152 | | | | 21,341 | |
| TrimTabs Float Shrink ETF | | | 171,226,147 | | | | 9,414,626 | | | | (11,722,642 | ) | | | (2,308,016 | ) | | | — | |
| WCM/BNY Mellon Focused Growth ADR ETF | | | 15,296,846 | | | | 1,845,289 | | | | (642,126 | ) | | | 1,203,163 | | | | — | |
| YieldPro ETF | | | 18,084,091 | | | | 303,858 | | | | (217 | ) | | | 303,641 | | | | — | |
| * | Cost of investments on a tax basis, includes the adjustments for financial reporting purposes, as of the most recently completed Federal income tax reporting period end. |
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
8. Federal Income Tax - (continued)
At June 30, 2016, the components of distributable earnings/loss on a tax basis were as follows:
| | | | | | | | | | | | |
| Fund | | Undistributed
Income | | Accumulated
Capital
Gains/(Losses) | | Timing
Differences | | Post-October/
Late-year Ordinary
Deferrals | | Net
Unrealized
Appreciation
(Depreciation) | | Total
Earnings
(Losses) |
| Athena High Dividend ETF | | $ | 25,605 | | | $ | (3,302,182 | ) | | $ | — | | | $ | (1,092,861 | ) | | $ | 88,128 | | | $ | (4,281,310 | ) |
| EquityPro ETF | | | 77,436 | | | | (822,168 | ) | | | — | | | | (2,581,479 | ) | | | 307,402 | | | | (3,018,809 | ) |
| Gartman Gold/Euro ETF | | | 2,310,971 | | | | — | | | | (7,517 | ) | | | (24,489 | ) | | | — | | | | 2,278,965 | |
| Gartman Gold/Yen ETF | | | 1,403,580 | | | | (253,437 | ) | | | 365,454 | | | | (1,460,210 | ) | | | — | | | | 55,387 | |
| Global Echo ETF | | | 391 | | | | (64,440 | ) | | | — | | | | (184,908 | ) | | | 269,272 | | | | 20,315 | |
| Madrona Domestic ETF | | | 81,164 | | | | (1,842,631 | ) | | | — | | | | (1,568,058 | ) | | | 511,620 | | | | (2,817,905 | ) |
| Madrona Global Bond ETF | | | 3,762 | | | | (643,671 | ) | | | — | | | | (178,143 | ) | | | 149,486 | | | | (668,566 | ) |
| Madrona International ETF | | | 208,404 | | | | (3,819,685 | ) | | | — | | | | (2,652,190 | ) | | | (925,550 | ) | | | (7,189,021 | ) |
| Market Adaptive Unconstrained Income ETF | | | — | | | | (120,992 | ) | | | — | | | | (45,657 | ) | | | (7,487 | ) | | | (174,136 | ) |
Meidell Tactical Advantage
ETF | | | 432 | | | | (1,610,726 | ) | | | — | | | | (1,542,466 | ) | | | 127,094 | | | | (3,025,666 | ) |
| Morgan Creek Global Tactical ETF | | | — | | | | (19,722,117 | ) | | | — | | | | (419,653 | ) | | | 241,182 | | | | (19,900,588 | ) |
| Newfleet Multi-Sector Income ETF | | | 146,025 | | | | (1,949,190 | ) | | | — | | | | (1,202,986 | ) | | | (1,023,240 | ) | | | (4,029,391 | ) |
| Pacific Asset Enhanced Floating Rate ETF | | | 21,932 | | | | (258,515 | ) | | | — | | | | (16,354 | ) | | | (435,078 | ) | | | (688,015 | ) |
| Peritus High Yield ETF | | | 199,272 | | | | (125,429,111 | ) | | | — | | | | (41,154,272 | ) | | | (27,403,602 | ) | | | (193,787,713 | ) |
| QAM Equity Hedge ETF | | | — | | | | (36,000 | ) | | | — | | | | (172,961 | ) | | | 17,020 | | | | (191,941 | ) |
| Ranger Equity Bear ETF | | | — | | | | (164,220,841 | ) | | | — | | | | (16,342,570 | ) | | | (1,667,561 | ) | | | (182,230,972 | ) |
| Sage Core Reserves ETF | | | 17,872 | | | | (145,604 | ) | | | — | | | | (108,732 | ) | | | 36,948 | | | | (199,516 | ) |
| STAR Global Buy-Write ETF | | | 79,238 | | | | (319,870 | ) | | | (131,992 | ) | | | (250,282 | ) | | | 573,493 | | | | (49,413 | ) |
| TrimTabs Float Shrink ETF | | | 951,074 | | | | (11,231,384 | ) | | | — | | | | (6,088,662 | ) | | | (2,308,016 | ) | | | (18,676,988 | ) |
| WCM/BNY Mellon Focused Growth ADR ETF | | | 57,841 | | | | (297,820 | ) | | | — | | | | (384,557 | ) | | | 1,203,163 | | | | 578,627 | |
| YieldPro ETF | | | — | | | | (4,326,470 | ) | | | — | | | | (4,230 | ) | | | 303,641 | | | | (4,027,059 | ) |
The differences between book and tax basis components of net assets are primarily attributed to wash sale loss deferrals and other book/tax differences.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
8. Federal Income Tax - (continued)
At June 30, 2016, the effect of permanent book/tax reclassifications resulted in increases/(decreases) to the components of net assets as follows:
| | | | | | |
| Fund | | Undistributed
Net Investment
Income/(Loss) | | Accumulated
Net Realized
Gains/(Losses) | | Paid-in
Capital |
| Athena High Dividend ETF | | $ | 5,874 | | | $ | 1,121,312 | | | $ | (1,127,186 | ) |
| EquityPro ETF | | | 33,624 | | | | 114,795 | | | | (148,419 | ) |
| Gartman Gold/Euro ETF | | | 10 | | | | 1,416,887 | | | | (1,416,897 | ) |
| Gartman Gold/Yen ETF | | | (16 | ) | | | 2,106,402 | | | | (2,106,386 | ) |
| Global Echo ETF | | | 27,186 | | | | (180,519 | ) | | | 153,333 | |
| Madrona Domestic ETF | | | — | | | | (1,970,282 | ) | | | 1,970,282 | |
| Madrona Global Bond ETF | | | 10,956 | | | | (322,309 | ) | | | 311,353 | |
| Madrona International ETF | | | 1,904 | | | | (143,023 | ) | | | 141,119 | |
| Market Adaptive Unconstrained Income ETF | | | — | | | | (15,235 | ) | | | 15,235 | |
| Meidell Tactical Advantage ETF | | | 2,317 | | | | (6,692 | ) | | | 4,375 | |
| Morgan Creek Global Tactical ETF | | | 31,914 | | | | (105,003 | ) | | | 73,089 | |
| Newfleet Multi-Sector Income ETF | | | 699,536 | | | | (699,536 | ) | | | — | |
| Pacific Asset Enhanced Floating Rate ETF | | | (3,931 | ) | | | 3,931 | | | | — | |
| Peritus High Yield ETF | | | (2,545,971 | ) | | | 5,470,913 | | | | (2,924,942 | ) |
| QAM Equity Hedge ETF | | | 42,270 | | | | (49,380 | ) | | | 7,110 | |
| Ranger Equity Bear ETF | | | 3,435,323 | | | | (113,787 | ) | | | (3,321,536 | ) |
| Sage Core Reserves ETF | | | 37,070 | | | | (37,070 | ) | | | — | |
| STAR Global Buy-Write ETF | | | — | | | | (1,360,157 | ) | | | 1,360,157 | |
| TrimTabs Float Shrink ETF | | | — | | | | 4,640,950 | | | | (4,640,950 | ) |
| WCM/BNY Mellon Focused Growth ADR ETF | | | 31,752 | | | | (813,587 | ) | | | 781,835 | |
| YieldPro ETF | | | 286 | | | | (26,793 | ) | | | 26,507 | |
For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Reclassifications are primarily due to the tax treatment of net operating losses and distributions reclassifications.
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
8. Federal Income Tax - (continued)
The tax character of distributions paid during the fiscal years ended June 30, 2016 and 2015 were:
| | | | | | | | |
| Fund | | 2016
Ordinary
Income | | 2016
Long Term
Capital Gains | | 2015
Ordinary
Income | | 2015
Long Term
Capital Gains |
| Athena High Dividend ETF | | $ | 259,133 | | | $ | — | | | $ | 529,121 | | | $ | — | |
| EquityPro ETF | | | 1,509,480 | | | | 121,361 | | | | 528,866 | | | | 204,411 | |
| Gartman Gold/Euro ETF | | | 299,901 | | | | 593,099 | | | | 78,602 | | | | 76,110 | |
| Gartman Gold/Yen ETF | | | 170,895 | | | | 341,367 | | | | 143,054 | | | | 178,043 | |
| Global Echo ETF | | | 20,356 | | | | 57,228 | | | | 43,499 | | | | 2,578 | |
| Madrona Domestic ETF | | | 118,397 | | | | — | | | | 96,271 | | | | — | |
| Madrona Global Bond ETF | | | 721,446 | | | | — | | | | 823,886 | | | | — | |
| Madrona International ETF | | | 242,962 | | | | — | | | | 304,843 | | | | — | |
| Market Adaptive Unconstrained Income ETF | | | 14,901 | | | | — | | | | 45,346 | | | | — | |
| Meidell Tactical Advantage ETF | | | 64,850 | | | | — | | | | 93,938 | | | | — | |
| Morgan Creek Global Tactical ETF | | | 132,900 | | | | — | | | | 354,156 | | | | — | |
| Newfleet Multi-Sector Income ETF | | | 6,656,079 | | | | — | | | | 5,247,098 | | | | — | |
| Pacific Asset Enhanced Floating Rate ETF | | | 948,096 | | | | — | | | | 316,679 | | | | — | |
| Peritus High Yield ETF | | | 20,463,098 | | | | — | | | | 48,496,620 | | | | — | |
| QAM Equity Hedge ETF | | | 51,097 | | | | 14,623 | | | | 28,704 | | | | 36,225 | |
| Ranger Equity Bear ETF | | | — | | | | — | | | | — | | | | — | |
| Sage Core Reserves ETF | | | 342,487 | | | | — | | | | 147,384 | | | | — | |
| STAR Global Buy-Write ETF | | | — | | | | — | | | | — | | | | — | |
| TrimTabs Float Shrink ETF | | | 1,684,986 | | | | — | | | | 1,045,971 | | | | — | |
| WCM/BNY Mellon Focused Growth ADR ETF | | | 80,669 | | | | — | | | | 94,665 | | | | — | |
| YieldPro ETF | | | 205,780 | | | | — | | | | 2,337,383 | | | | — | |
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
8. Federal Income Tax - (continued)
Under current tax regulations, capital losses on securities transactions realized after October 31 (“Post-October Losses”) may be deferred and treated as occurring on the first business day of the following fiscal year. Under the recently enacted Regulated Investment Company Modernization Act of 2010, the Funds will be permitted to defer taxable ordinary income losses incurred after December 31 and treat as occurring on the first business day of the following fiscal year. Post-October losses and ordinary income losses deferred to July 1, 2016 are as follows:
| | | | | | |
| Fund | | Late Year
Ordinary
Deferral | | Short-Term
Post-October
Loss | | Long-Term
Post-October
Loss |
| Athena High Dividend ETF | | $ | — | | | $ | 508,722 | | | $ | 584,139 | |
| EquityPro ETF | | | — | | | | 2,581,479 | | | | — | |
| Gartman Gold/Euro ETF | | | — | | | | — | | | | 24,489 | |
| Gartman Gold/Yen ETF | | | — | | | | 256,513 | | | | 1,203,697 | |
| Global Echo ETF | | | — | | | | 157,095 | | | | 27,813 | |
| Madrona Domestic ETF | | | — | | | | 522,233 | | | | 1,045,825 | |
| Madrona Global Bond ETF | | | — | | | | 8,963 | | | | 169,180 | |
| Madrona International ETF | | | — | | | | 1,836,140 | | | | 816,050 | |
| Market Adaptive Unconstrained Income ETF | | | 45,657 | | | | — | | | | — | |
| Meidell Tactical Advantage ETF | | | 45,505 | | | | 1,496,961 | | | | — | |
| Morgan Creek Global Tactical ETF | | | 47,654 | | | | 371,999 | | | | — | |
| Newfleet Multi-Sector Income ETF | | | — | | | | — | | | | 1,202,986 | |
| Pacific Asset Enhanced Floating Rate ETF | | | — | | | | 16,354 | | | | — | |
| Peritus High Yield ETF | | | — | | | | 16,349,431 | | | | 24,804,841 | |
| QAM Equity Hedge ETF | | | 22,177 | | | | 150,784 | | | | — | |
| Ranger Equity Bear ETF | | | 2,234,404 | | | | 14,108,166 | | | | — | |
| Sage Core Reserves ETF | | | — | | | | 14,634 | | | | 94,098 | |
| STAR Global Buy-Write ETF | | | — | | | | 109,572 | | | | 140,710 | |
| TrimTabs Float Shrink ETF | | | — | | | | 6,045,271 | | | | 43,391 | |
| WCM/BNY Mellon Focused Growth ADR ETF | | | — | | | | 297,911 | | | | 86,646 | |
| YieldPro ETF | | | 4,230 | | | | — | | | | — | |
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
8. Federal Income Tax - (continued)
The following Funds have capital loss carryforwards available to offset future realized gains of:
| | | | | | |
| Fund | | Short-Term
Post-Effective
No Expiration | | Long-Term
Post-Effective
No Expiration | | Total |
| Athena High Dividend ETF | | $ | 3,124,233 | | | $ | 177,949 | | | $ | 3,302,182 | |
| EquityPro ETF | | | 822,168 | | | | — | | | | 822,168 | |
| Gartman Gold/Euro ETF | | | — | | | | — | | | | — | |
| Gartman Gold/Yen ETF | | | 101,375 | | | | 152,062 | | | | 253,437 | |
| Global Echo ETF | | | 64,440 | | | | — | | | | 64,440 | |
| Madrona Domestic ETF | | | 1,384,922 | | | | 457,709 | | | | 1,842,631 | |
| Madrona Global Bond ETF | | | 343,709 | | | | 299,962 | | | | 643,671 | |
| Madrona International ETF | | | 3,763,754 | | | | 55,931 | | | | 3,819,685 | |
| Market Adaptive Unconstrained Income ETF | | | 90,638 | | | | 30,354 | | | | 120,992 | |
| Meidell Tactical Advantage ETF | | | 1,610,726 | | | | — | | | | 1,610,726 | |
| Morgan Creek Global Tactical ETF | | | 19,722,117 | | | | — | | | | 19,722,117 | |
| Newfleet Multi-Sector Income ETF | | | 1,230,440 | | | | 718,750 | | | | 1,949,190 | |
| Pacific Asset Enhanced Floating Rate ETF | | | 258,515 | | | | — | | | | 258,515 | |
| Peritus High Yield ETF | | | 81,537,432 | | | | 43,891,679 | | | | 125,429,111 | |
| QAM Equity Hedge ETF | | | 36,000 | | | | — | | | | 36,000 | |
| Ranger Equity Bear ETF | | | 164,220,841 | | | | — | | | | 164,220,841 | |
| Sage Core Reserves ETF | | | 76,638 | | | | 68,966 | | | | 145,604 | |
| STAR Global Buy-Write ETF | | | — | | | | 319,870 | | | | 319,870 | |
| TrimTabs Float Shrink ETF | | | 11,231,384 | | | | — | | | | 11,231,384 | |
| WCM/BNY Mellon Focused Growth ADR ETF | | | 87,432 | | | | 210,388 | | | | 297,820 | |
| YieldPro ETF | | | 4,304,168 | | | | 22,302 | | | | 4,326,470 | |
On December 22, 2010, the Regulated Investment Company (“RIC”) Modernization Act of 2010 (the “Act”), The Act permits to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carry forwards may have an increased likelihood to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. The carry forward capital losses noted above are all post-enactment capital loss carry forwards.
The following Fund utilized capital loss carryforwards to offset taxable capital gains realized during the year ended June 30, 2016:
| | |
| Fund | | Amount |
| WCM/BNY Mellon Focused Growth ADR ETF | | $ | 93,985 | |
TABLE OF CONTENTS
ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
9. Other Affiliated Parties and Transactions
Affiliated holdings are funds which are managed by the Trust or an affiliate of the Trust. Transactions with affiliated companies during the year ended June 30, 2016 are as follows:
| | | | | | | | | | | | |
| Affiliated Fund Name | | Value at
6/30/2015 | | Purchases/
Additions | | Sales/
Reductions | | Value at
6/30/2016 | | Dividend
Income | | Realized
Gain (Loss) |
Madrona Global Bond ETF
| | | | | | | | | | | | | | �� | | | | | | | | | | |
| Peritus High Yield ETF | | $ | — | | | $ | 1,805,512 | | | $ | (262,859 | ) | | $ | 1,631,570 | | | $ | 32,382 | | | $ | 2,220 | |
Market Adaptive Unconstrained Income ETF
| | | | | | | | | | | | | | | | | | | | | | | | |
| Newfleet Multi-Sector Income ETF | | | — | | | | 113,895 | | | | 113,581 | | | | — | | | | — | | | | (314 | ) |
| Sage Core Reserves ETF | | | — | | | | 19,867 | | | | 19,834 | | | | — | | | | 11 | | | | (33 | ) |
| | | | — | | | | 133,762 | | | | 133,415 | | | | — | | | | 11 | | | | (347 | ) |
Meidell Tactical Advantage ETF
| | | | | | | | | | | | | | | | | | | | | | | | |
| Newfleet Multi-Sector Income ETF | | | — | | | | 3,720,531 | | | | 3,701,000 | | | | — | | | | — | | | | (19,531 | ) |
QAM Equity Hedge ETF
| | | | | | | | | | | | | | | | | | | | | | | | |
| Sage Core Reserves ETF | | | 347,795 | | | | — | | | | (69,293 | ) | | | 278,950 | | | | 2,314 | | | | (707 | ) |
Ranger Equity Bear ETF
| | | | | | | | | | | | | | | | | | | | | | | | |
| Sage Core Reserves ETF | | | 29,811,000 | | | | 72,086,750 | | | | — | | | | 102,115,625 | | | | 302,624 | | | | — | |
STAR Global Buy-Write ETF
| | | | | | | | | | | | | | | | | | | | | | | | |
| Sage Core Reserves ETF | | | 248,425 | | | | 24,815 | | | | (272,778 | ) | | | — | | | | 565 | | | | (1,985 | ) |
10. Investment Transactions
Purchases and sales of investments for the year ended June 30, 2016 are as follows:
| | | | | | | | | | | | |
| | Purchases | | Sales |
| Fund | | Long Term | | U.S. Government | | In-Kind | | Long Term | | U.S. Government | | In-Kind |
| Athena High Dividend ETF | | $ | 17,935,665 | | | $ | — | | | $ | — | | | $ | 17,738,862 | | | $ | — | | | $ | 5,567,957 | |
| EquityPro ETF | | | 104,033,576 | | | | — | | | | 19,908,199 | | | | 106,138,166 | | | | — | | | | 13,613,550 | |
| Gartman Gold/Euro ETF | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Gartman Gold/Yen ETF | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Global Echo ETF | | | 1,950,321 | | | | 11,951 | | | | — | | | | 2,551,478 | | | | 12,036 | | | | 970,680 | |
| Madrona Domestic ETF | | | 20,063,907 | | | | — | | | | 2,158,154 | | | | 15,885,179 | | | | — | | | | 8,420,291 | |
| Madrona Global Bond ETF | | | 5,741,110 | | | | — | | | | 1,992,726 | | | | 5,600,370 | | | | — | | | | 10,013,251 | |
| Madrona International ETF | | | 32,360,122 | | | | — | | | | 1,289,675 | | | | 32,709,399 | | | | — | | | | 2,266,001 | |
| Market Adaptive Unconstrained Income ETF | | | 12,731,819 | | | | — | | | | 492,761 | | | | 13,190,109 | | | | — | | | | 307,450 | |
| Meidell Tactical Advantage ETF | | | 216,564,052 | | | | — | | | | 4,195,934 | | | | 215,862,708 | | | | — | | | | 561,369 | |
| Morgan Creek Global Tactical ETF | | | 4,154,840 | | | | — | | | | 1,011,962 | | | | 6,822,631 | | | | — | | | | 3,347,641 | |
| Newfleet Multi-Sector Income ETF | | | 153,036,014 | | | | 7,019,961 | | | | — | | | | 103,961,755 | | | | 10,222,852 | | | | — | |
| Pacific Asset Enhanced Floating Rate ETF | | | 6,566,562 | | | | — | | | | — | | | | 10,209,092 | | | | — | | | | — | |
| Peritus High Yield ETF | | | 186,648,794 | | | | — | | | | — | | | | 307,190,087 | | | | — | | | | 4,533,288 | |
| QAM Equity Hedge ETF | | | 7,434,073 | | | | — | | | | — | | | | 7,490,730 | | | | — | | | | 1,187,263 | |
| Ranger Equity Bear ETF | | | 814,151,528 | | | | — | | | | — | | | | 818,367,285 | | | | — | | | | — | |
| Sage Core Reserves ETF | | | 69,173,084 | | | | — | | | | — | | | | 20,672,835 | | | | — | | | | — | |
| STAR Global Buy-Write ETF | | | 14,493,403 | | | | — | | | | 2,298,592 | | | | 11,419,091 | | | | — | | | | 13,042,945 | |
| TrimTabs Float Shrink ETF | | | 398,167,162 | | | | — | | | | 22,345,128 | | | | 398,652,345 | | | | — | | | | 98,035,564 | |
| WCM/BNY Mellon Focused Growth ADR ETF | | | 3,856,303 | | | | — | | | | 3,756,524 | | | | 3,992,021 | | | | — | | | | 4,433,055 | |
| YieldPro ETF | | | 19,053,641 | | | | — | | | | 5,132,397 | | | | 19,012,371 | | | | — | | | | 21,743,602 | |
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ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
10. Investment Transactions - (continued)
Options written transactions during the year ended June 30, 2016, were as follows:
| | | | |
| QAM Equity Hedge ETF | | Contracts | | Premiums
Paid/Received |
| Options outstanding at June 30, 2015 | | | — | | | $ | — | |
| Options written | | | 15 | | | | 9,524 | |
| Options terminated in closing purchase transactions | | | (15 | ) | | | (9,524 | ) |
| Options expired | | | — | | | | — | |
| Options exercised | | | — | | | | — | |
| Options outstanding at June 30, 2016 | | | — | | | | — | |
| | | | |
| STAR Global Buy-Write ETF | | Contracts | | Premiums
Paid/Received |
| Options outstanding at June 30, 2015 | | | 592 | | | $ | 69,431 | |
| Options written | | | 9,330 | | | | 756,375 | |
| Options terminated in closing purchase transactions | | | (3,518 | ) | | | (337,465 | ) |
| Options expired | | | (5,165 | ) | | | (400,396 | ) |
| Options exercised | | | (727 | ) | | | (50,632 | ) |
| Options outstanding at June 30, 2016 | | | 512 | | | | 37,313 | |
11. Risks Involved with Investing in the Funds
The Funds are subject to the principal risks described below, some or all of these risks may adversely affect the Funds’ NAV, trading price, yield, total return and ability to meet its investment objective. As with any investment, an investment in each Fund could result in a loss or the performance of each Fund could be inferior to that of other investments.
Credit Risk
Credit risk is the risk that an issuer or guarantor of debt instruments or the counterparty to a financial transaction, including derivatives contracts, repurchase agreements or loans of portfolio securities, is unable or unwilling to make timely interest and/or principal payments or to otherwise honor its obligations. The Fund's, and its affiliates, manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of each Fund's exposure to credit and counterparty risks with respect to those financial assets is approximated by their value recorded in its Statements of Assets and Liabilities. High yield securities may also be subject to greater levels of credit or default risk than higher-rated securities and high yield securities may be less liquid and more difficult to sell at an advantageous time or price or to value than higher-rated securities. In particular, high yield securities are often issued by smaller, less creditworthy companies or by highly leveraged (indebted) companies, which are generally less able than more financially stable companies to make scheduled payments of interest and principal.
Fund of Funds Risk
Some of the Funds’ investment performance, because they are fund of funds, depends on the investment performance of the Underlying ETFs in which they invest. An investment in these Funds is subject to the risk associated with the Underlying ETFs that comprise their Underlying Index. The Funds will indirectly pay a proportional share of the asset-based fees, if any, of the Underlying ETFs in which they invest.
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ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
11. Risks Involved with Investing in the Funds - (continued)
Liquidity Risk
In certain circumstances, it may be difficult for the Fund to purchase and sell particular investments within a reasonable time at a fair price. To the extent that there is not an established retail market for instruments in which the Fund may invest, trading in such instruments may be relatively inactive. Trading in shares may be halted because of market conditions or for reasons that, in the view of the Exchange, make trading in shares inadvisable. In addition, trading in shares is subject to trading halts caused by extraordinary market volatility pursuant to “circuit breaker” rules. There can be no assurance that the requirements necessary to maintain the listing of the shares of the Fund will continue to be met or will remain unchanged.
Market Risk
Investments in securities, in general, are subject to market risks that may cause their prices to fluctuate over time. The Fund’s investments may decline in value due to factors affecting securities markets generally, or particular countries, segments, economic sectors, industries or companies within those markets. The value of a security held in a short position may increase due to general economic and market conditions which are not specifically related to a particular issuer, such as real or perceived positive economic conditions or changes in interest or currency rates. Because the market value of ETF shares may differ from their net asset value, the shares may trade at a premium or discount. An investment in the Fund may lose money.
New Fund Risk
Some of the Funds are new funds. As new funds, there can be no assurance that the Funds will grow to or maintain an economically viable size, in which case the Funds may experience greater tracking error to their Underlying Index than it otherwise would be at higher asset levels or it could ultimately liquidate.
12. Subsequent Events
The Funds have adopted authoritative standards of accounting for disclosure of events that occur after the Statements of Assets and Liabilities date but before financial statements are issued or are available to be issued. These standards require the Fund to recognize in the financial statements the effects of all recognized subsequent events that provide additional evidence about conditions that existed at the date of Statement.
Since June 30, 2016 the following events occurred:
On July 1, 2016, AdvisorShares TrimTabs Float Shrink ETF changed its name to AdvisorShares Wilshire Buyback ETF. The sub-advisor also changed from TrimTabs Asset Management, LLC to Wilshire Associates Incorporated. The advisory fee and expense limitation for the Fund also decreased from 0.99% to 0.90% of the Fund’s average daily net assets.
On July 1, 2016, both AdvisorShares Gartman Gold/Euro ETF and AdvisorShares Gartman Gold/Yen ETF removed Treesdale Partners, LLC, as sub-advisor. AdvisorShares Investments, LLC, continues as advisor and will act as portfolio manager. The Funds’ names, advisory fees, and expense limitations will remain the same.
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ADVISORSHARES TRUST
Notes to Financial Statements (Continued)
June 30, 2016
13. Unaudited Tax Information - (continued)
Dividends Received Deduction — For corporate shareholders, the percentage of ordinary income distributions for the year ended June 30, 2016 that qualifies for the dividends received deduction were:
| | |
| Fund | | Percentage |
| Athena High Dividend ETF | | | 35.02 | % |
| EquityPro ETF | | | 29.99 | % |
| Gartman Gold/Euro ETF | | | 0.00 | % |
| Gartman Gold/Yen ETF | | | 0.00 | % |
| Global Echo ETF | | | 100.00 | % |
| Madrona Domestic ETF | | | 100.00 | % |
| Madrona Global Bond ETF | | | 0.72 | % |
| Madrona International ETF | | | 0.00 | % |
| Market Adaptive Unconstrained Income ETF | | | 0.00 | % |
| Meidell Tactical Advantage ETF | | | 100.00 | % |
| Morgan Creek Global Tactical ETF | | | 55.40 | % |
| Newfleet Multi-Sector Income ETF | | | 0.00 | % |
| Pacific Asset Enhanced Floating Rate ETF | | | 0.00 | % |
| Peritus High Yield ETF | | | 0.00 | % |
| QAM Equity Hedge ETF | | | 68.31 | % |
| Ranger Equity Bear ETF | | | 0.00 | % |
| Sage Core Reserves ETF | | | 0.00 | % |
| STAR Global Buy-Write ETF | | | 0.00 | % |
| TrimTabs Float Shrink ETF | | | 100.00 | % |
| WCM/BNY Mellon Focused Growth ADR ETF | | | 0.00 | % |
| YieldPro ETF | | | 0.95 | % |
Qualified Interest Income — For nonresident alien shareholders, the percentage of ordinary income distributions for the year ended June 30, 2016 that qualified interest income were:
| | |
| Fund | | Percentage |
| Athena High Dividend ETF | | | 0.00 | % |
| EquityPro ETF | | | 0.00 | % |
| Gartman Gold/Euro ETF | | | 0.00 | % |
| Gartman Gold/Yen ETF | | | 0.00 | % |
| Global Echo ETF | | | 0.00 | % |
| Madrona Domestic ETF | | | 0.00 | % |
| Madrona Global Bond ETF | | | 35.48 | % |
| Madrona International ETF | | | 0.00 | % |
| Market Adaptive Unconstrained Income ETF | | | 0.00 | % |
| Meidell Tactical Advantage ETF | | | 0.00 | % |
| Morgan Creek Global Tactical ETF | | | 0.00 | % |
| Newfleet Multi-Sector Income ETF | | | 99.84 | % |
| Pacific Asset Enhanced Floating Rate ETF | | | 100.00 | % |
| Peritus High Yield ETF | | | 89.24 | % |
| QAM Equity Hedge ETF | | | 0.00 | % |
| Ranger Equity Bear ETF | | | 0.00 | % |
| Sage Core Reserves ETF | | | 100.00 | % |
| STAR Global Buy-Write ETF | | | 0.00 | % |
| TrimTabs Float Shrink ETF | | | 0.00 | % |
| WCM/BNY Mellon Focused Growth ADR ETF | | | 0.00 | % |
| YieldPro ETF | | | 34.54 | % |
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders
of AdvisorShares Trust,
We have audited the accompanying statements of assets and liabilities of Athena High Dividend ETF, EquityPro ETF, Global Echo ETF, Madrona Domestic ETF, Madrona Global Bond ETF, Madrona International ETF, Meidell Tactical Advantage ETF, Morgan Creek Global Tactical ETF, Newfleet Multi-Sector Income ETF, Pacific Asset Enhanced Floating Rate ETF, Peritus High Yield ETF, QAM Equity Hedge ETF, Ranger Equity Bear ETF, Sage Core Reserves ETF, STAR Global Buy-Write ETF, Market Adaptive Unconstrained Income ETF (formerly known as Sunrise Global Multi-Strategy ETF), TrimTabs Float Shrink ETF, WCM/BNY Mellon Focused Growth ADR ETF, and YieldPro ETF, each a series of AdvisorShares Trust (the “Trust”), including the schedules of investments as of June 30, 2016, and the related statements of operations, the statements of changes in net assets and the financial highlights for the periods indicated thereon. We have audited the accompanying consolidated statements of assets and liabilities of Gartman Gold/Euro ETF and Gartman Gold/Yen ETF, each a series of AdvisorShares Trust (the “Trust”), including the consolidated schedules of investments as of June 30, 2016, and the related consolidated statements of operations, the consolidated statements of changes in net assets and the consolidated financial highlights for the periods indicated thereon. These financial statements and financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal controls over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2016, by correspondence with the custodian, brokers and agent banks or by other appropriate auditing procedures where replies were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Athena High Dividend ETF, EquityPro ETF, Global Echo ETF, Madrona Domestic ETF, Madrona Global Bond ETF, Madrona International ETF, Meidell Tactical Advantage ETF, Morgan Creek Global Tactical ETF, Newfleet Multi-Sector Income ETF, Pacific Asset Enhanced Floating Rate ETF, Peritus High Yield ETF, QAM Equity Hedge ETF, Ranger Equity Bear ETF, Sage Core Reserves ETF, STAR Global Buy-Write ETF, Market Adaptive Unconstrained Income ETF, TrimTabs Float Shrink ETF, WCM/BNY Mellon Focused Growth ADR ETF, and YieldPro ETF, as of June 30, 2016, and the results of their operations, the changes in their net assets and their financial highlights for the periods indicated thereon, in conformity with accounting principles generally accepted in the United States of America.
In our opinion, the consolidated financial statements and consolidated financial highlights referred to above present fairly, in all material respects, the consolidated financial position of Gartman Gold/Euro ETF and Gartman Gold/Yen ETF as of June 30, 2016, and the results of their consolidated operations, the consolidated changes in their net assets and their consolidated financial highlights for the periods indicated thereon, in conformity with accounting principles generally accepted in the United States of America.
TAIT, WELLER & BAKER LLP
Philadelphia, Pennsylvania
August 25, 2016
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ADVISORSHARES TRUST
Board of Trustees and Officers (Unaudited)
The business of the Trust is managed under the direction of the Trust’s Board of Trustees. The Board elects the officers of the Trust who are responsible for administering the Trust’s day-to-day operations. Each Trustee serves until his or her successor is duly elected or appointed and qualified.
The name, age, address, and principal occupations during the past five years for each Trustee and officer of the Trust is set forth below, along with the other public directorships held by the Trustees. More information about the Trustees is in the Trust’s Statement of Additional Information, which is available without charge by calling 1-877-843-3831.
| | | | | | | | |
Name, Address,
and Year of Birth | | Position(s)
Held with
the Trust,
Term of Office
and Length of
Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios in
Fund
Complex
Overseen by
Trustee | | Other
Directorships
Held by
Trustee During
Past 5 Years |
Interested Trustee
|
Noah Hamman*
4800 Montgomery Lane, Suite 150 Bethesda, MD 20814
(1968) | | Trustee
(no set term);
served since 2009 | | President of AdvisorShares Trust
(2009 – present); Chief Executive
Officer, President, and Founder of
AdvisorShares Investments, LLC
(2006 – present). | | 24 | | None |
Independent Trustees
|
Elizabeth (“Betsy”)
Piper/Bach
4800 Montgomery
Lane, Suite 150
Bethesda, MD
20814
(1952) | | Trustee
(no set term);
served since 2009 | | Vice President/Chief Operating Officer of
NADA Retirement Administrators,
Inc. (2009 – present). | | 24 | | None |
William G. McVay
4800 Montgomery
Lane, Suite 150
Bethesda, MD
20814
(1954) | | Trustee
(no set term);
served since 2011 | | Founder of RDK Strategies, LLC
(2007 – present). | | 24 | | None |
Officers
| | | | | | | | |
Noah Hamman
4800 Montgomery
Lane, Suite 150
Bethesda, MD
20814
(1968) | | President
(no set term);
served since 2009 | | President of AdvisorShares Trust
(2009 – present); Chief Executive
Officer, President, and Founder of
AdvisorShares Investments, LLC
(2006 – present). | | N/A | | N/A |
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ADVISORSHARES TRUST
Board of Trustees and Officers (Unaudited) (Continued)
| | | | | | | | |
Name, Address,
and Year of Birth | | Position(s)
Held with
the Trust,
Term of Office
and Length of
Time Served | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios in
Fund
Complex
Overseen by
Trustee | | Other
Directorships
Held by
Trustee During
Past 5 Years |
Dan Ahrens
4144 N. Central
Expressway, Suite
600 Dallas, TX
75204
(1966) | | Secretary &
Treasurer
(no set terms);
served since 2009 | | Managing Director of AdvisorShares
Investments, LLC (2013 – present);
Chief Compliance Officer of the Trust
(2009 – 2013); Executive Vice President
of AdvisorShares Investments, LLC
(2008 – 2013). | | N/A | | N/A |
Stefanie Little
11 Gina Marie Lane Elkton, MD
21921
(1967) | | Chief Compliance
Officer
(no set term);
served since 2013 | | Chief Compliance Officer of
AdvisorShares Investments, LLC and the
Trust (2013 – present); Managing
Member of SEC Compliance Alliance,
LLC (2012 – present), President of Little
Consulting Group, Inc.
(2011 – present); Director of
Cipperman Compliance Services
(2008 – 2011). | | N/A | | N/A |
| * | Mr. Hamman is an “interested” person of the Trust, as that term is defined in the 1940 Act, by virtue of his ownership and controlling interest in the Advisor. |
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Board Review of Investment Advisory and Sub-Advisory Agreements
Renewal of the Advisory Agreement for Each Fund and the Sub-Advisory Agreement for the AdvisorShares Peritus High Yield ETF, AdvisorShares Meidell Tactical Advantage ETF, AdvisorShares Newfleet Multi-Sector Income ETF, AdvisorShares Pacific Asset Enhanced Floating Rate ETF, and AdvisorShares Sage Core Reserves ETF
At meetings of the Board of Trustees (the “Board”) of AdvisorShares Trust (the “Trust”) held on February 17, 2016 and May 24, 2016, the Board, including those trustees who are not “interested persons” of the Trust, as that term is defined in the Investment Company Act of 1940 (the “1940 Act”) (the “Independent Trustees”), unanimously approved the renewal of (a) separate sub-advisory agreements (collectively, the “Sub-Advisory Agreements”) between AdvisorShares Investments, LLC (the “Advisor”) and (1) Peritus I Asset Management, LLC, on behalf of the AdvisorShares Peritus High Yield ETF, (2) American Wealth Management, on behalf of the AdvisorShares Meidell Tactical Advantage ETF, (3) Newfleet Asset Management, on behalf of the AdvisorShares Newfleet Multi-Sector Income ETF, (4) Pacific Asset Management, on behalf of the AdvisorShares Asset Enhanced Floating Rate ETF, and (5) Sage Advisory Services Ltd. Co., on behalf of the AdvisorShares Sage Core Reserves ETF (collectively, the “Sub-Advisors”), pursuant to which the Sub-Advisors perform portfolio management and related services, and (b) the investment advisory agreement (together with the Sub-Advisory Agreements, the “Advisory Agreements”) between the Advisor and the Trust, on behalf of each series of the Trust (each, a “Fund” and collectively, the “Funds”).
Pursuant to Section 15 of the 1940 Act, to continue after their initial two-year term, the Advisory Agreements must be approved annually: (i) by the vote of the Board or by a vote of the shareholders of the Funds and (ii) by the vote of a majority of the Independent Trustees, cast in person at a meeting called for the purpose of voting on such approval. Each year, the Board calls and holds meetings to decide whether to renew the Advisory Agreements for an additional one-year term. In preparation for the meetings, the Board requests and reviews a wide variety of information from the Advisor and Sub-Advisors. The Board uses this information, as well as other information that the Advisor, Sub-Advisors and other service providers may submit to the Board, to help decide whether to renew the Advisory Agreements for an additional year.
As discussed in further detail below, prior to the meetings, the Board, including the Independent Trustees, reviewed written materials from the Advisor and each Sub-Advisor regarding, among other things: (i) the nature, extent and quality of the services provided by the Advisor and each Sub-Advisor; (ii) the personnel and operations of each Sub-Advisor; (iii) the investment performance of each Fund; (iv) the costs of the services provided and profits and other benefits realized by the Advisor, each Sub-Advisor, and their affiliates from the relationship with each Fund; (v) the extent to which economies of scale would be realized as each Fund grows; and (vi) whether fee levels reflect the sharing of these economies of scale for the benefit of each Fund’s shareholders.
At the meetings, the Board was presented with additional information to help it evaluate the Advisor’s and each Sub-Advisor’s fee and other aspects of the Advisory Agreements. The Board received an overview of the Advisor’s and each Sub-Advisor’s operations and management of the Funds, including comparative fee data and profitability analysis for each Fund, and was also provided with information with respect to compliance oversight. The Board reviewed the management of each Fund, including the Fund’s strategy, the focus in the markets, the Fund’s positioning in the market, and its attractive and unique offering. The Board reviewed the Advisor’s and each Sub-Advisor’s overall business generally, including any noteworthy personnel changes.
The Board deliberated on the renewal of the Advisory Agreements in light of the written materials that it received before the meetings, information it received at the meetings, and information it had received at prior board meetings. In its deliberations, the Board considered the factors and reached the
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Board Review of Investment Advisory and Sub-Advisory Agreements (Continued)
conclusions described below relating to the selection of the Advisor and each Sub-Advisor and the renewal of each Advisory Agreement. The Board did not identify any single piece of information discussed below that was all-important, controlling or determinative of its decision.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services provided by the Advisor and each Sub-Advisor, the Board reviewed the portfolio management services provided to the Funds. The most recent Form ADV for the Advisor and each Sub-Advisor also was provided to the Board, as were responses to a detailed series of questions that, among other things, requested information about their business, services, and compensation. The Board considered the Advisor’s and each Sub-Advisor’s overall quality of personnel, operations, and financial condition, its investment advisory capabilities, and information concerning the Advisor’s and each Sub-Advisor’s compliance function, operational capabilities, and portfolio management team.
The Board also noted the extensive responsibilities that the Advisor has as investment adviser to the Funds, including the selection of the Funds’ sub-advisers and oversight of the sub-advisers’ compliance with Fund policies and objectives, oversight of general Fund compliance with federal and state laws, and the implementation of Board directives as they relate to the Funds.
Based on its review, within the context of its full deliberations, the Board determined that it was satisfied with the nature, extent and quality of the services provided to the Funds by the Advisor and each Sub-Advisor.
Performance of the Funds
The Board was provided with information regarding each Fund’s performance for various periods, as well as comparative performance information. The Advisor and each Sub-Advisor provided information regarding factors impacting the performance of the Funds, outlining current market conditions, and explaining its expectations and strategies for the future. Based on this information, the Board concluded that it was satisfied with the investment results that the Advisor and each Sub-Advisor had been able to achieve for its respective Fund.
Cost of Advisory Services and Profitability
In considering whether the advisory and sub-advisory fees payable with respect to each Fund were reasonable, the Board reviewed the advisory fees paid by each Fund to the Advisor, the sub-advisory fees paid by the Advisor to each Sub-Advisor, the fees waived and/or expenses reimbursed by the Advisor and each Sub-Advisor over the period, the costs and other expenses incurred by the Advisor and each Sub-Advisor in providing advisory services, and the profitability analysis with respect to each Fund. The Board also reviewed information comparing the advisory fees paid by each Fund to those paid by comparable funds. Based on its review, in the context of its full deliberations, the Board concluded for each Fund that the advisory fees appeared reasonable in light of the services rendered.
Economies of Scale
The Board considered for each Fund whether economies of scale were realized during the current contract period, noting the fee waivers and expense reimbursements by the Advisor and Sub-Advisors. The Board determined to reassess at an appropriate time in the future whether the advisory fee appropriately took into account any economies of scale that had been realized as a result of any significant asset growth of the Funds.
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Board Review of Investment Advisory and Sub-Advisory Agreements (Continued)
Conclusion
Based on its deliberations and evaluation of the information described above, the Board, including the Independent Trustees, unanimously: (i) concluded that the terms of each Advisory Agreement are fair and reasonable; (ii) concluded that the Advisor’s fees are reasonable in light of the services that it provides to the Funds; (iii) concluded that each Sub-Advisor’s fees are reasonable in light of the services that it provides to its respective Fund; and (iv) agreed to renew each Advisory Agreement for another year.
Approval of New Sub-Advisory Agreement for AdvisorShares Athena High Dividend ETF
On May 16, 2016, AthenaInvest Inc., the parent company of AthenaInvest Advisors, LLC (“Athena”), the investment sub-adviser to the AdvisorShares Athena High Dividend ETF (the “Fund”), concluded a transaction pursuant to which the parent company of Lazarus Management Company LLC acquired a material ownership interest in AthenaInvest Inc. (the “Transaction”). The Transaction caused a change of control of AthenaInvest Inc. and Athena under the 1940 Act, resulting in the assignment and automatic termination of the investment sub-advisory agreement dated July 1, 2013, between the Advisor and Athena with respect to the Fund (the “Prior Sub-Advisory Agreement”).
At a meeting held on May 24, 2016, the Board, including the Independent Trustees, considered the approval of a new sub-advisory agreement between the Advisor and AthenaInvest (the “New Sub-Advisory Agreement”), on behalf of the Fund, noting that it had considered and approved the annual renewal of the Prior Sub-Advisory Agreement at its November 17, 2015 meeting.
At the meetings, the Board reviewed and discussed information and analysis provided by Athena and the Advisor. At the May 2016 meeting, the Board also discussed information provided by the Advisor about the Transaction. All of this information formed the primary, but not exclusive, basis for the Board’s determination. Below is a summary of the factors considered by the Board and the conclusions that formed the basis for the Board’s approval. The Board did not identify any single piece of information discussed below that was all-important, controlling or determinative of its decision.
Nature, Extent and Quality of the Services to be Provided
In considering the nature, extent and quality of the services provided by Athena, the Board reviewed the portfolio management services provided to the Fund. The most recent Form ADV for Athena had been provided to the Board at the November 2015 meeting, as were Athena’s responses to a detailed series of questions that requested, among other things, information about its business, services, and compensation. The Board considered Athena’s overall quality of personnel, operations, and financial condition, its investment advisory capabilities, and information concerning its compliance function, operational capabilities, and portfolio management team. The Board noted that the Transaction is expected to bring in additional equity capital to Athena. Based on the factors above, as well as those discussed below, the Board concluded that it was satisfied with the nature, extent and quality of the services provided to the Fund by Athena.
Performance
The Board reviewed information regarding the Fund’s performance, including information regarding factors impacting the performance of the Fund, outlining current market conditions, and explaining Athena’s expectations and strategies for the future. Based on this information, the Board concluded that it was satisfied with the investment results that Athena has been able to achieve for the Fund.
Cost of Services and Profitability
In considering whether the sub-advisory fee payable with respect to the Fund was reasonable, the Board had reviewed at the November 2015 meeting the sub-advisory fee paid by the Advisor to Athena, the fees waived and/or expenses reimbursed by Athena over the period, the costs and other
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Board Review of Investment Advisory and Sub-Advisory Agreements (Continued)
expenses incurred by Athena in providing advisory services, and the profitability analysis with respect to the Fund. The Board noted that it had also reviewed information comparing the advisory fees paid by the Fund to those paid by comparable funds. The Board noted that the proposed fee under the New Sub-Advisory Agreement is the same as the fee under the Prior Sub-Advisory Agreement. The Board concluded that the fee appeared reasonable in light of the services rendered.
Economies of Scale
At the November 2015 meeting, the Board considered whether economies of scale were realized for the Fund, noting the fee waivers and expense reimbursements by the Advisor and Athena. The Board determined to reassess at an appropriate time in the future whether the advisory fee appropriately took into account any economies of scale that had been realized as a result of any significant asset growth of the Fund.
Conclusion
Based on its deliberations and evaluation of the information described above, the Board, including the Independent Trustees, concluded that the terms of the New Sub-Advisory Agreement, including the fee, are fair and reasonable in light of the services that Athena provides to the Fund. For these reasons, the Board unanimously approved the New Sub-Advisory Agreement.
Approval of New Sub-Advisory Agreement for AdvisorShares Wilshire Buyback ETF (formerly AdvisorShares TrimTabs Float Shrink ETF)
At a meeting of the Board held on May 24, 2016, the Board considered the approval of a new investment sub-advisory agreement (the “Sub-Advisory Agreement”) between the Advisor and Wilshire Associates Incorporated (“Wilshire”) with respect to the AdvisorShares Wilshire Buyback ETF (the “Fund”). The Sub-Advisory Agreement replaced a sub-advisory agreement between the Advisor and TrimTabs Asset Management, LLC (“TrimTabs”) with respect to the Fund. In considering whether to approve the Sub-Advisory Agreement, the Board considered and discussed information and analysis provided by the Advisor and Wilshire. The Board considered all factors that it deemed to be relevant. In its deliberations, the Board did not identify any single factor that was paramount or controlling and individual Trustees may have attributed different weights to various factors. Certain factors considered by the Board are addressed in more detail below.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services to be provided by Wilshire, the Board reviewed the proposed services and the qualification and background of the portfolio managers proposed to be responsible for managing the Fund. The Board considered Wilshire’s operational capabilities and resources and its experience in managing investment portfolios. The Board reviewed additional information about Wilshire including its organizational structure, senior management and key professional personnel, business activities and affiliations, and compliance program. Based on its review, within the full context of its deliberations, the Board determined that it was satisfied with the nature, extent and quality of services to be provided to the Fund by Wilshire.
Performance
In connection with the assessment of Wilshire’s ability to perform its duties under the Sub-Advisory Agreement, the Board considered the sufficiency of its resources and concluded that Wilshire had the financial resources necessary to perform its obligations under the Sub-Advisory Agreement. The Board heard an overview of Wilshire’s investment philosophy, the proposed portfolio construction of the Fund, and the specific investment techniques to be employed. The Board also reviewed Wilshire’s overall investment performance.
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Board Review of Investment Advisory and Sub-Advisory Agreements (Continued)
Cost of Services and Profitability
The Board considered the cost of the services to be provided by Wilshire, reviewed the fee to be paid pursuant to the Sub-Advisory Agreement, and considered the estimated profitability projected by Wilshire. In addition, the Board discussed the fee arrangement between the Advisor and Wilshire, noting that the Advisor would pay Wilshire out of the advisory fee it receives from the Fund. The Board also noted that the aggregate advisory fee to be paid to the Advisor under the new arrangement would be lower than the current aggregate advisory fee for the Fund, and the proposed sub-advisory fee to be paid to Wilshire by the Advisor would be less than the sub-advisory fee currently paid to TrimTabs. The Board evaluated the proposed fee arrangement in light of the factors that judicial decisions have specified as pertinent generally. The Board also considered the Advisor’s contractual arrangement to waive its advisory fee and/or reimburse expenses in an effort to control the expense ratio of the Fund. Based on its review, within the context of its full deliberations, the Board determined that the fee proposed to be paid to Wilshire is reasonable and fair.
Economies of Scale
The Board considered the potential for economies of scale, noting that the aggregate advisory fee for the Fund and its contractual expense limitation would be lowered as part of the proposed changes to the Fund, and determined that it would reconsider this factor at an appropriate time in the future. In the event there were to be significant asset growth in the Fund, the Board determined to reassess whether the advisory fee appropriately took into account any economies of scale that had been realized as a result of that growth.
Conclusion
Based on its deliberations and evaluation of the information described above, the Board, including the Independent Trustees, unanimously: (i) concluded that the terms of the Sub-Advisory Agreement are fair and reasonable; (ii) concluded that the fee to be paid to Wilshire is fair and reasonable in light of the services that it will provide to the Fund; and (iii) agreed to approve the Sub-Advisory Agreement for an initial term of two years.
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SUPPLEMENTAL INFORMATION
Quarterly Portfolio Holdings Information
The Funds are required to file their complete schedule of portfolio holdings with the SEC for their first and third quarters on Form N-Q. Copies of the filings are available without charge on the SEC’s website at www.sec.gov. You can also obtain copies of Form N-Q by visiting the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Proxy Voting Information
A description of the Funds proxy voting policies and procedures, as well as a record of how the Funds voted proxies during the most recent 12-month period ended June 30, is available without charge upon request by calling 1-877-843-3831. This information is also available on the SEC’s website at www.sec.gov.
Premium/Discount Information
Information about the differences between the daily market price on the secondary market for the shares of a Fund and the Fund’s net asset value may be found on the Fund’s website at www.advisorshares.com.
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ADVISORSHARES TRUST
Investment Advisor
AdvisorShares Investments, LLC
4800 Montgomery Lane, Suite 150
Bethesda, MD 20814
Sub-Advisors
WCM Investment Management
281 Brooks Street
Laguna Beach, CA 92651
Madrona Funds, LLC
2911 Bond Street, Suite 105
Everett, WA 98201
Morgan Creek Capital Management, LLC
301 West Barbee Chapel Road, Suite 200
Chapel Hill, NC 27517
Ranger Alternative Management, L.P.
300 Crescent Court, Suite 1100
Dallas, TX 75201
Peritus I Asset Management, LLC
26 West Anapamu, 3rd Floor
Santa Barbara, CA 93103
American Wealth Management
570 Hammill Lane
Reno, NV 89511
TrimTabs Asset Management, LLC
2018 Stony Oak Court
Santa Rosa, CA 95403
Community Capital Management, Inc.
2500 Weston Road, Suite 101
Weston, FL 33331
Reynders, McVeigh Capital Management, LLC
121 High Street, 5th Floor
Boston, MA 02110
Baldwin Brothers, Inc.
204 Spring Street
Marion, MA 02738
Newfleet Asset Management, LLC
100 Pearl Street
Hartford, CN 06103
Partnervest Advisory Services, LLC
1216 State Street, 3rd Floor
Santa Barbara, CA 93101
Commerce Asset Management, LLC
6075 Poplar Avenue, Suite 700
Memphis, TN 38119
The Elements Financial Group, LLC
19200 Von Karman Avenue, Suite 800
Irvine, CA 92612
AthenaInvest, Inc.
5340 South Quebec Street, Suite 365-N
Greenwood Village, CO 80111
Treesdale Partners, LLC
1325 Avenue of the Americas, Suite 2302
New York, NY 10019
Sage Advisory Services, Ltd. Co.
5900 Southwest Parkway, Building I
Austin, TX 78735
Pacific Life Fund Advisors, LLC
700 Newport Center Drive
Newport Beach, CA 92660
Distributor
Foreside Fund Services, LLC
Three Canal Plaza, Suite 100
Portland, ME 04101
Custodian/Fund Administrator/Transfer Agent
The Bank of New York Mellon
101 Barclay Street
New York, NY 10286
Legal Counsel
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
Independent Registered Public Accounting Firm
Tait, Weller & Baker LLP
1818 Market Street
Philadelphia, PA 19103
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This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus, which includes information regarding the Fund’s risks, objectives, fees and expenses, experience of management and other information.
Item 2. Code of Ethics.
| (a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
| (c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
| (d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
Item 3. Audit Committee Financial Expert.
The Registrant’s Board of Trustees has one audit committee financial expert serving on its audit committee, an “independent” Trustee, Elizabeth Piper/Bach. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification.
Item 4. Principal Accountant Fees and Services.
Audit Fees
| (a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $315,000 for 2016 and $315,900 for 2015. |
Audit-Related Fees
| (b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item are $0 for 2016 and $0 for 2015. |
Tax Fees
| (c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $63,000 for 2016 and $66,700 for 2015. |
All Other Fees
| (d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2016 and $0 for 2015. |
| (e)(1) | Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
Per Rule 2-01(c)(7)(A), the Audit Committee pre-approves all of the Audit, Audit-Related, Tax and Other Fees of the Registrant.
| (e)(2) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows: |
| (f) | The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was less than fifty percent. |
| (g) | The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $0 for 2016 and $0 for 2015. |
Item 5. Audit Committee of Listed Registrants.
| (a) | The Fund has a designated Audit Committee in accordance with Section 3(a)(58)(A) of the Securities and Exchange Act of 1934 (the “Exchange Act”) and the member of such committee is Elizabeth Piper/Bach and William G. McVay. |
(b) Not applicable.
Item 6. Investments.
| (a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
| (a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Exhibits.
| (a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
| (a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
| (b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
| (12.other) | Not applicable. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) AdvisorShares Trust
| By (Signature and Title)* | /s/ Noah Hamman
Noah Hamman, Chief Executive Officer
(principal executive officer) |
Date 8/26/16
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By (Signature and Title)* | /s/ Noah Hamman
Noah Hamman, Chief Executive Officer
(principal executive officer) |
Date 8/26/16
| By (Signature and Title)* | /s/ Dan Ahrens
Dan Ahrens, Treasurer
(principal financial officer) |
Date 8/26/16
* Print the name and title of each signing officer under his or her signature.
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