AlphaMark Fund | |||
Schedule of Investments | |||
November 30, 2020 (Unaudited) | |||
Common Stocks - 42.9% | Shares | Value | |
Communications - 4.1% | |||
Internet Media & Services - 1.2% | |||
Alphabet, Inc. - Class C * | 140 | $ 246,504 | |
Telecommunications - 2.9% | |||
Verizon Communications, Inc. | 9,912 | 598,784 | |
Consumer Discretionary - 6.1% | |||
E-Commerce Discretionary - 4.9% | |||
Amazon.com, Inc. * | 323 | 1,023,277 | |
Home Construction - 0.6% | |||
Toll Brothers, Inc. | 2,401 | 113,687 | |
Retail - Discretionary - 0.6% | |||
Dollar Tree, Inc. * | 1,206 | 131,744 | |
Consumer Staples - 2.1% | |||
Food - 0.7% | |||
Tyson Foods, Inc. - Class A | 2,268 | 147,874 | |
Household Products - 0.7% | |||
Estée Lauder Companies, Inc. (The) - Class A | 586 | 143,757 | |
Retail - Consumer Staples - 0.7% | |||
Kroger Company (The) | 4,325 | 142,725 | |
Energy - 0.7% | |||
Oil & Gas Producers - 0.7% | |||
Marathon Petroleum Corporation | 3,904 | 151,787 | |
Financials - 9.6% | |||
Banking - 4.4% | |||
Fifth Third Bancorp | 36,259 | 918,803 | |
Institutional Financial Services - 4.4% | |||
Goldman Sachs Group, Inc. (The) | 699 | 161,176 | |
Intercontinental Exchange, Inc. | 7,086 | 747,644 | |
908,820 |
AlphaMark Fund | |||
Schedule of Investments (Continued) | |||
Common Stocks - 42.9% (Continued) | Shares | Value | |
Financials - 9.6% (Continued) | |||
Insurance - 0.8% | |||
Arthur J. Gallagher & Company | 1,347 | $ 155,457 | |
Health Care - 7.6% | |||
Biotech & Pharma - 3.2% | |||
Alexion Pharmaceuticals, Inc. * | 1,571 | 191,835 | |
Bristol-Myers Squibb Company | 3,007 | 187,637 | |
Regeneron Pharmaceuticals, Inc. * | 543 | 280,204 | |
659,676 | |||
Health Care Facilities & Services - 3.5% | |||
Centene Corporation * | 11,605 | 715,448 | |
Medical Equipment & Devices - 0.9% | |||
Thermo Fisher Scientific, Inc. | 406 | 188,782 | |
Industrials - 2.3% | |||
Commercial Support Services - 1.4% | |||
Waste Management, Inc. | 2,430 | 289,486 | |
Electrical Equipment - 0.9% | |||
AMETEK, Inc. | 809 | 95,891 | |
Hubbell, Inc. | 608 | 98,246 | |
194,137 | |||
Materials - 1.4% | |||
Chemicals - 1.0% | |||
Celanese Corporation | 789 | 102,041 | |
Eastman Chemical Company | 1,035 | 100,809 | |
202,850 | |||
Containers & Packaging - 0.4% | |||
International Paper Company | 802 | 39,683 | |
Packaging Corporation of America | 304 | 39,520 | |
79,203 | |||
Technology - 9.0% | |||
Software - 0.8% | |||
SS&C Technologies Holdings, Inc. | 2,436 | 167,816 | |
Technology Hardware - 2.5% | |||
Amphenol Corporation - Class A | 1,313 | 171,754 | |
SYNNEX Corporation | 2,220 | 355,888 | |
527,642 |
AlphaMark Fund | |||
Schedule of Investments (Continued) | |||
Common Stocks - 42.9% (Continued) | Shares | Value | |
Technology - 9.0% (Continued) | |||
Technology Services - 5.7% | |||
Global Payments, Inc. | 1,185 | $ 231,300 | |
International Business Machines Corporation | 2,266 | 279,896 | |
Leidos Holdings, Inc. | 6,568 | 661,398 | |
1,172,594 | |||
Total Common Stocks (Cost $6,753,024) | $ 8,880,853 | ||
Exchange-Traded Funds - 44.5% | Shares | Value | |
Communication Services Select Sector SPDR® Fund (The) | 16,146 | $ 1,055,948 | |
Consumer Discretionary Select Sector SPDR® Fund (The) | 4,312 | 678,105 | |
Consumer Staples Select Sector SPDR® Fund (The) | 14,815 | 991,272 | |
Energy Select Sector SPDR® Fund (The) | 9,837 | 361,608 | |
Financial Select Sector SPDR® Fund (The) | 39,677 | 1,106,195 | |
Health Care Select Sector SPDR® Fund (The) | 17,816 | 1,955,128 | |
Industrial Select Sector SPDR® Fund (The) | 12,805 | 1,127,224 | |
Materials Select Sector SPDR® Fund (The) | 5,276 | 374,543 | |
Real Estate Select Sector SPDR® Fund (The) | 3,000 | 109,500 | |
Technology Select Sector SPDR® Fund (The) | 11,299 | 1,395,201 | |
Utilities Select Sector SPDR® Fund (The) | 875 | 54,985 | |
Total Exchange-Traded Funds (Cost $8,345,495) | $ 9,209,709 | ||
U.S. Treasury Obligations - 9.7% | Coupon | Par Value | Value |
U.S. Treasury Bill, due 02/02/2021 (Cost $1,999,662) | 0.097% (a) | $ 2,000,000 | $ 1,999,755 |
AlphaMark Fund | |||
Schedule of Investments (Continued) | |||
Money Market Funds - 2.9% | Shares | Value | |
Fidelity Institutional Money Market Government Portfolio - Class I, 0.01% (b) (Cost $610,585) | 610,585 | $ 610,585 | |
Total Investments at Value - 100.0% (Cost $17,708,766) | $ 20,700,902 | ||
Liabilities in Excess of Other Assets - (0.0%) (c) | (8,873 ) | ||
Total Net Assets - 100.0% | $ 20,692,029 | ||
* | Non-income producing security. |
(a) | The rate shown is the annualized yield at time of purchase, not a coupon rate. |
(b) | The rate shown is the 7-day effective yield as of November 30, 2020. |
(c) | Percentage rounds to less than 0.1%. |
See accompanying notes to Schedules of Investments. |
AlphaMark Fund | |||
Schedule of Open Written Option Contracts | |||
November 30, 2020 (Unaudited) | |||
Written Option Contracts | Contracts | Notional Amount | Value |
Call Option Contracts | |||
Amazon.com, Inc., 12/18/2020 at $3,100 | 3 | $ 950,412 | $ 37,284 |
Centene Corporation, 12/18/2020 at $65 | 75 | 462,375 | 6,975 |
Fifth Third Bancorp, 12/18/2020 at $26 | 280 | 709,520 | 18,200 |
Intercontinental Exchange, Inc., 12/18/2020 at $110 | 20 | 211,020 | 840 |
2,333,327 | 63,299 | ||
Put Option Contracts | |||
Utilities Select Sector SPDR® Fund (The), 12/18/2020 at $61 | 100 | 628,400 | 4,500 |
Total Written Option Contracts (Premiums received $70,803) | $ 2,961,727 | $ 67,799 | |
The average monthly notional value of written call option contracts and written put option contracts during the period ended November 30, 2020 was $1,653,278 and $685,281, respectively. | |||
See accompanying notes to Schedules of Investments. |
AlphaMark Fund
Notes to Schedules of Investments
November 30, 2020 (Unaudited)
1. Securities Valuation
The portfolio securities of AlphaMark Fund (the “Fund”) are valued as of the close of business of the regular session of trading on the New York Stock Exchange (normally 4:00 p.m., Eastern time). Securities, including common stocks, exchange-traded funds (“ETFs”), and option contracts, which are traded on exchanges are valued on the basis of their last sales prices on the exchanges on which they are primarily traded, or, if not traded on a particular day, at the closing bid price. Securities quoted by NASDAQ are valued at the NASDAQ Official Closing Price or, if not traded on a particular day, at the last bid price as reported by NASDAQ. Securities traded in the over-the-counter market are valued at the last sale price, if available, otherwise, at the mean of the closing bid and ask prices. Fixed income securities are generally valued on the basis of prices provided by an independent pricing service. To the extent the Fund is invested in money market funds and other open-end investment companies, except for ETFs, that are registered under the Investment Company Act of 1940, as amended, the Fund’s net asset value per share (“NAV”) is calculated based upon the NAVs reported by such registered open-end companies, and the prospectuses for these companies explain the circumstances under which they will use fair value pricing and the effects of using fair value pricing. When using a quoted price and when the market for the security is considered active, the security will be classified as Level 1 within the fair value hierarchy (see below). Securities and other assets for which market quotations are not readily available or are considered to be unreliable due to significant market or other events are valued at their fair value as determined in good faith in accordance with consistently applied procedures established by and under the general supervision of the Board of Trustees and will be classified as Level 2 or 3 within the fair value hierarchy, depending on the inputs used.
Accounting principles generally accepted in the United States of America (“GAAP”) establish a single authoritative definition of fair value, set out a framework for measuring fair value and require additional disclosures 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 securities |
· | Level 2 – other significant observable inputs other than quoted prices included Level 1 |
· | Level 3 – significant unobservable inputs |
U.S. Treasury obligations held by the Fund are classified as Level 2 since values are based on prices provided by an independent pricing service that utilizes various “other significant observable inputs,” including bid and ask quotations, prices of similar securities and interest rates, among other factors.
The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement.
AlphaMark Fund
Notes to Schedules of Investments (Continued)
The following is a summary of the Fund’s investments in securities and other financial instruments and the inputs used to value the investments as of November 30, 2020:
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||
Common Stocks | $ 8,880,853 | $ - | $ - | $ 8,880,853 | ||||
Exchange-Traded Funds | 9,209,709 | - | - | 9,209,709 | ||||
U.S. Treasury Obligations | - | 1,999,755 | - | 1,999,755 | ||||
Money Market Funds | 610,585 | - | - | 610,585 | ||||
Total | $ 18,701,147 | $ 1,999,755 | $ - | $ 20,700,902 | ||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||
Written Call Option Contracts | $ (63,299) | $ - | $ - | $ (63,299) | ||||
Written Put Option Contracts | (4,500) | - | - | (4,500) | ||||
Total | $ (67,799) | $ - | $ - | $ (67,799) | ||||
See the Fund’s Schedules of Investments for a listing of the common stocks by sector and industry type. The Fund did not hold any assets or liabilities that were measured at fair value on a recurring basis using significant unobservable inputs (Level 3) as of or during the period ended November 30, 2020.
2. Investment Transactions
Investment transactions are accounted for on trade date. Realized gains and losses on investments sold are determined on a specific identification basis.
3. Federal Income Tax
The following information is computed on a tax basis for each item as of November 30, 2020:
Tax cost of portfolio investments and written option contracts | $ 17,682,407 | |
Gross unrealized appreciation | $ 3,054,516 | |
Gross unrealized depreciation | (103,820) | |
Net unrealized appreciation | $ 2,950,696 |
The difference between the federal income tax cost of portfolio investments and the Schedules of Investments cost is due to certain timing differences in the recognition of capital gains or losses under income tax regulations and GAAP. These “book/tax” differences are temporary in nature and are due to the tax deferral of losses on wash sales and tax straddles on option contracts.
AlphaMark Fund
Notes to Schedules of Investments (Continued)
4. Certain Investments and Risks
The securities in which the Fund invests, as well as the risks associated with these securities, are described in the Fund’s prospectus. Among these risks are those associated with investments in shares of ETFs. ETFs issue their shares to authorized participants in return for a specific basket of securities. The authorized participants then sell the ETF’s shares on the secondary market. In other words, ETF shares are traded on a securities exchange based on their market value. Investments in ETFs are subject to the risk that the ETF’s shares may trade at a premium (creating the risk that the Fund pays more than NAV for an ETF when making a purchase) or discount (creating the risk that the Fund receives less than NAV when selling an ETF) to the ETF’s NAV. Investments in ETF’s are also subject to index-tracking risk because the total return generated by the securities will be reduced by transaction costs and expenses not incurred by the indices. Certain securities comprising the index tracked by an ETF may, from time to time, temporarily be unavailable, which may further impede the ETF’s ability to track its applicable index or match the index’s performance. To the extent that the Fund invests in an ETF, the Fund incurs additional expenses because the Fund bears its pro-rata portion of such ETF’s advisory fees and operational expenses. Finally, ETF shares are also subject to the risks applicable to the underlying baskets of securities. As of November 30, 2020, the Fund had 44.5% of the value of its net assets invested in ETFs.