AGF Investments Trust N-CSRS Certified semi-annual shareholder report (management investment company)

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: 811-22540

FQF Trust

(Exact name of registrant as specified in charter)

53 State Street

Suite 1308

Boston, MA 02110

(Address of principal executive offices) (Zip code)

Ronald C. Martin, Trustee

53 State Street

Suite 1308

Boston, MA 02110

(Name and Address of Agent for Service)

Registrant’s telephone number, including area code: (617) 292-9801

Date of fiscal year end: June 30

Date of reporting period: December 31, 2016

Item 1. Reports To Stockholders.

The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).

 

Semiannual Report

December 31, 2016

Before investing you should carefully consider a Fund’s investment objectives, risks, charges and expenses. This and other information is in the prospectus, which can be obtained by visiting www.quant-shares.com. Please read the prospectus carefully before you invest.

Risks:  There is no guarantee that a Fund will achieve its objective. Investing involves risk, including possible loss of principal. There is a risk that during a “bull” market, when most equity securities and long only Exchange Traded Funds (“ETFs”) are increasing in value, a Fund’s short positions will likely cause a Fund to underperform the overall U.S. equity market and such ETFs. These securities may be more volatile than a broad cross-section of securities, and momentum may be an indicator that a security’s price is peaking. The value of an investment in a Fund may fall, sometimes sharply, and you could lose money by investing in a Fund. A Fund may utilize derivatives and, as a result, the Fund could lose more than the amount it invests. When utilizing short selling, the amount a Fund could lose on a short sale is potentially unlimited because there is no limit on the price a shorted security might attain. For further risk information on each Fund, please read the prospectus.

Shares of QuantShares are bought and sold at market price (not NAV, as defined below) and are not individually redeemed from a Fund. Brokerage commissions will reduce returns. Market Price (as defined below) returns are based upon the midpoint of the bid/ask spread at 4:00 PM Eastern time (when NAV is normally determined), and do not represent the returns you would receive if you traded shares at other times. Fund returns assume that dividends and capital gains distributions have been reinvested in a Fund at NAV. Some performance results reflect expense subsidies and waivers in effect during certain periods shown. Absent these waivers, results would have been less favorable.

Beta is a measure of an asset’s sensitivity to an underlying index. Long is purchasing a stock with the expectation that it is going to rise in value. Short is selling stock with the expectation of profiting by buying it back later at a lower price. Spread Return is the return earned between the long and short portfolios within each ETF. One cannot invest directly in an index.

Shares are not individually redeemable and can be redeemed only in Creation Units, and the purchase and sale price of individual Shares trading on an Exchange may be below, at, or above the most recently calculated NAV for such Shares.

Distributor:  Foreside Fund Services, LLC

Table of Contents

i	Allocation of Portfolio Holdings and Sector Weightings
	Schedule of Investments
1	QuantShares U.S. Market Neutral Momentum Fund
8	QuantShares U.S. Market Neutral Value Fund
15	QuantShares U.S. Market Neutral Size Fund
23	QuantShares U.S. Market Neutral Anti-Beta Fund
30	QuantShares Hedged Dividend Income Fund
35	Statements of Assets and Liabilities
36	Statements of Operations
37	Statements of Changes in Net Assets
40	Financial Highlights
42	Notes to Financial Statements
54	Expense Examples
56	Additional Information

 

Each Fund invests in certain securities long and certain securities short pursuant to its Target Index, and the performance of a Fund depends on the difference in the rates of return (i.e., the spread return) between the long positions and the short positions. If the long positions appreciate more or decline less than the short positions, then a Fund will generate a positive return. If the long positions appreciate less or decline more than the short positions, however, a Fund will generate a negative return.

The “U.S. Market Neutral Indices^SM” are a product of Dow Jones Indexes, the marketing name and a licensed trademark of CME Group Index Services LLC (“CME”), and have been licensed for use. “Dow Jones®”, “U.S. Market Neutral Indices^SM” and “Dow Jones Indexes” are service marks of Dow Jones Trademark Holdings, LLC (“Dow Jones”) and have been licensed for use for certain purposes by FFCM LLC (“Licensee”). The Funds based on the U.S. Market Neutral Indices^SM are not sponsored, endorsed, sold or promoted by Dow Jones, CME or their respective affiliates. Dow Jones, CME and their respective affiliates make no representation or warranty, express or implied, to the owners of the Funds or any member of the public regarding the advisability of trading in the Funds. Dow Jones', CME’s and their respective affiliates’ only relationship to the Licensee is the licensing of certain trademarks and trade names of Dow Jones and of the “U.S. Market Neutral Indices^SM” which is determined, composed and calculated by CME without regard to the Licensee or the Funds. Dow Jones and CME have no obligation to take the needs of the Licensee or the owners of the Funds into consideration in determining, composing or calculating “U.S. Market Neutral Indices^SM”. Dow Jones, CME and their respective affiliates are not responsible for and have not participated in the determination of the timing of, prices at, or quantities of the Funds to be sold or in the determination or calculation of the equation by which the Funds are to be converted into cash. Dow Jones, CME and their respective affiliates have no obligation or liability in connection with the administration, marketing or trading of the Funds. Notwithstanding the foregoing, CME Group Inc. and its affiliates may independently issue and/or sponsor financial products unrelated to the Funds currently being issued by the Licensee, but which may be similar to and competitive with the Funds. In addition, CME Group Inc. and its affiliates may trade financial products which are linked to the performance of the “U.S. Market Neutral Indices^SM”. It is possible that this trading activity will affect the value of the “U.S. Market Neutral Indices^SM” and the Funds.

DOW JONES, CME AND THEIR RESPECTIVE AFFILIATES DO NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE U.S. MARKET NEUTRAL INDICES^SM OR ANY DATA INCLUDED THEREIN AND DOW JONES, CME AND THEIR RESPECTIVE AFFILIATES SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. DOW JONES, CME AND THEIR RESPECTIVE AFFILIATES MAKE NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE LICENSEE, OWNERS OF THE FUNDS, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE U.S. MARKET NEUTRAL INDICES^SM OR ANY DATA INCLUDED THEREIN. DOW JONES, CME AND THEIR RESPECTIVE AFFILIATES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY, NON-INFRINGEMENT OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE U.S. MARKET NEUTRAL INDICES^SM OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL DOW JONES, CME OR THEIR RESPECTIVE AFFILIATES HAVE ANY LIABILITY FOR ANY LOST PROFITS OR INDIRECT, PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES OR LOSSES, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN CME AND THE LICENSEE, OTHER THAN THE LICENSORS OF CME.

FQF Trust
Allocation of Portfolio Holdings and Industries
December 31, 2016 (Unaudited)

QuantShares U.S. Market Neutral Momentum Fund (MOM)

The Fund seeks performance results that correspond to the price and yield performance, before fees and expenses, of the Dow Jones U.S. Thematic Market Neutral Momentum Index (the “Target Momentum Index”) by investing at least 80% of its net assets (plus any borrowings for investment purposes) in common stock of the long positions in the Target Momentum Index and sells short at least 80% of the short positions in the Target Momentum Index. The Target Momentum Index is a market neutral index that is dollar-neutral. As such, it identifies long and short securities positions of approximately equal dollar amounts. In choosing to track a market neutral index, the Fund seeks to limit the effects of general market movements on the Fund and to limit the correlation of the performance of the Fund with the market’s overall movements.

Market Exposure

Investment Type	% of Net Assets
Equity Securities Long Positions		88%
Equity Securities Short Positions		-86%
Swap Agreements Long Positions		13%
Swap Agreements Short Positions		-16%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings — Long

Company	% of Net Assets
Digital Realty Trust, Inc.		0.5	%
NuVasive, Inc.		0.5	%
Comerica, Inc.		0.5	%
Jack in the Box, Inc.		0.5	%
Pinnacle Foods, Inc.		0.5	%
B&G Foods, Inc.		0.5	%
Prologis, Inc.		0.5	%
Vail Resorts, Inc.		0.5	%
Bank of Hawaii Corp.		0.5	%
Regions Financial Corp.		0.5	%

Largest Equity Holdings — Short

Company	% of Net Assets
Lennar Corp.		-0.5	%
Autoliv, Inc.		-0.5	%
Robert Half International, Inc.		-0.5	%
Columbia Property Trust, Inc.		-0.5	%
H&R Block, Inc.		-0.5	%
LifePoint Health, Inc.		-0.5	%
Ionis Pharmaceuticals, Inc.		-0.5	%
Bank of the Ozarks, Inc.		-0.5	%
CBRE Group, Inc.		-0.5	%
athenahealth, Inc.		-0.5	%

Sector Weightings	% of Long Weight			% of Short Weight
Consumer Discretionary		13.79	%		-15.90	%
Consumer Staples		5.09	%		-3.96	%
Energy		6.43	%		-5.52	%
Financials		19.17	%		-12.13	%
Health Care		10.18	%		-12.54	%
Industrials		13.39	%		-8.00	%
Information Technology		13.99	%		-16.78	%
Materials		5.89	%		-7.06	%
Real Estate		6.04	%		-12.70	%
Telecommunication Services		1.03	%		-0.95	%
Utilities		5.00	%		-4.47	%

i

FQF Trust
Allocation of Portfolio Holdings and Industries
December 31, 2016 (Unaudited)

QuantShares U.S. Market Neutral Value Fund (CHEP)

The Fund seeks performance results that correspond to the price and yield performance, before fees and expenses, of the Dow Jones U.S. Thematic Market Neutral Value Index (the “Target Value Index”) by investing at least 80% of its net assets (plus any borrowings for investment purposes) in common stock of the long positions in the Target Value Index and sells short at least 80% of the short positions in the Target Value Index. The Target Value Index is a market neutral index that is dollar-neutral. As such, it identifies long and short securities positions of approximately equal dollar amounts. In choosing to track a market neutral index, the Fund seeks to limit the effects of general market movements on the Fund and to limit the correlation of the performance of the Fund with the market’s overall movements.

Market Exposure

Investment Type	% of Net Assets
Equity Securities Long Positions		86%
Equity Securities Short Positions		-87%
Swap Agreements Long Positions		14%
Swap Agreements Short Positions		-13%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings — Long

Company	% of Net Assets
MGIC Investment Corp.		0.5	%
ManpowerGroup, Inc.		0.5	%
Norfolk Southern Corp.		0.5	%
AutoNation, Inc.		0.5	%
Unum Group		0.5	%
Capital One Financial Corp.		0.5	%
PBF Energy, Inc.		0.5	%
Autoliv, Inc.		0.5	%
Signet Jewelers Ltd.		0.5	%
International Paper Co.		0.5	%

Largest Equity Holdings — Short

Company	% of Net Assets
athenahealth, Inc.		-0.5	%
Choice Hotels International, Inc.		-0.5	%
Extra Space Storage, Inc.		-0.5	%
Ionis Pharmaceuticals, Inc.		-0.5	%
Yelp, Inc.		-0.5	%
CubeSmart		-0.5	%
Jack in the Box, Inc.		-0.5	%
Core Laboratories NV		-0.5	%
Pandora Media, Inc.		-0.5	%
Apartment Investment & Management Co.		-0.5	%

Sector Weightings	% of Long Weight			% of Short Weight
Consumer Discretionary		14.83	%		-13.34	%
Consumer Staples		3.56	%		-6.52	%
Energy		5.62	%		-6.01	%
Financials		24.30	%		-4.94	%
Health Care		9.38	%		-10.51	%
Industrials		15.53	%		-12.84	%
Information Technology		13.85	%		-16.95	%
Materials		6.32	%		-4.91	%
Real Estate		0.51	%		-18.40	%
Telecommunication Services		0.99	%		-1.01	%
Utilities		5.12	%		-4.57	%

ii

FQF Trust
Allocation of Portfolio Holdings and Industries
December 31, 2016 (Unaudited)

QuantShares U.S. Market Neutral Size Fund (SIZ)

The Fund seeks performance results that correspond to the price and yield performance, before fees and expenses, of the Dow Jones U.S. Thematic Market Neutral Size Index (the “Target Size Index”) by investing at least 80% of its net assets (plus any borrowings for investment purposes) in common stock of the long positions in the Target Size Index and sells short at least 80% of the short positions in the Target Size Index. The Target Size Index is a market neutral index that is dollar-neutral. As such, it identifies long and short securities positions of approximately equal dollar amounts. In choosing to track a market neutral index, the Fund seeks to limit the effects of general market movements on the Fund and to limit the correlation of the performance of the Fund with the market’s overall movements.

Market Exposure

Investment Type	% of Net Assets
Equity Securities Long Positions		85%
Equity Securities Short Positions		-83%
Swap Agreements Long Positions		16%
Swap Agreements Short Positions		-17%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings — Long

	��
Company		% of Net Assets
Cypress Semiconductor Corp.			0.5	%
PAREXEL International Corp.			0.5	%
ProAssurance Corp.			0.5	%
Sensient Technologies Corp.			0.5	%
MB Financial, Inc.			0.5	%
Generac Holdings, Inc.			0.5	%
Lancaster Colony Corp.			0.5	%
Deluxe Corp.			0.5	%
Outfront Media, Inc.			0.5	%
Cree, Inc.			0.5	%

Largest Equity Holdings — Short

Company	% of Net Assets
Republic Services, Inc.		-0.5	%
ConocoPhillips		-0.5	%
Automatic Data Processing, Inc.		-0.5	%
U.S. Bancorp		-0.5	%
Equinix, Inc.		-0.5	%
Eli Lilly & Co.		-0.5	%
PACCAR, Inc.		-0.5	%
International Business Machines Corp.		-0.5	%
Anadarko Petroleum Corp.		-0.4	%
Broadcom Ltd.		-0.4	%

Sector Weightings	% of Long Weight			% of Short Weight
Consumer Discretionary		16.75	%		-10.36	%
Consumer Staples		3.96	%		-9.82	%
Energy		5.95	%		-6.55	%
Financials		13.64	%		-16.39	%
Health Care		9.51	%		-10.35	%
Industrials		14.07	%		-12.66	%
Information Technology		15.91	%		-16.96	%
Materials		5.01	%		-5.43	%
Real Estate		9.71	%		-6.05	%
Telecommunication Services		0.99	%		-1.01	%
Utilities		4.49	%		-4.43	%

iii

FQF Trust
Allocation of Portfolio Holdings and Industries
December 31, 2016 (Unaudited)

QuantShares U.S. Market Neutral Anti-Beta Fund (BTAL)

The Fund seeks performance results that correspond to the price and yield performance, before fees and expenses, of the Dow Jones U.S. Thematic Market Neutral Anti-Beta Index (the “Target Anti-Beta Index”) by investing at least 80% of its net assets (plus any borrowings for investment purposes) in common stock of the long positions in the Target Anti-Beta Index and sells short at least 80% of the short positions in the Target Anti-Beta Index. The Target Anti-Beta Index is a market neutral index that is dollar-neutral. As such, it identifies long and short securities positions of approximately equal dollar amounts. In choosing to track a market neutral index, the Fund seeks to limit the effects of general market movements on the Fund and to limit the correlation of the performance of the Fund with the market’s overall movements.

Market Exposure

Investment Type	% of Net Assets
Equity Securities Long Positions		90%
Equity Securities Short Positions		-89%
Swap Agreements Long Positions		10%
Swap Agreements Short Positions		-11%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings — Long

Company	% of Net Assets
AutoZone, Inc.		0.5	%
Chipotle Mexican Grill, Inc.		0.5	%
Teleflex, Inc.		0.5	%
Panera Bread Co.		0.5	%
Cracker Barrel Old Country Store, Inc.		0.5	%
Mid-America Apartment Communities, Inc.		0.5	%
Pioneer Natural Resources Co.		0.5	%
Lockheed Martin Corp.		0.5	%
Spirit Realty Capital, Inc.		0.5	%
RenaissanceRe Holdings Ltd.		0.5	%

Largest Equity Holdings — Short

Company	% of Net Assets
BioMarin Pharmaceutical, Inc.		-0.5	%
WABCO Holdings, Inc.		-0.5	%
Neurocrine Biosciences, Inc.		-0.5	%
Jones Lang LaSalle, Inc.		-0.5	%
TESARO, Inc.		-0.5	%
Ameriprise Financial, Inc.	��	-0.5	%
Alaska Air Group, Inc.		-0.5	%
United Rentals, Inc.		-0.5	%
Mallinckrodt plc		-0.5	%
Moody's Corp.		-0.5	%

Sector Weightings	% of Long Weight			% of Short Weight
Consumer Discretionary		9.55	%		-17.00	%
Consumer Staples		12.49	%		-1.00	%
Energy		5.51	%		-6.49	%
Financials		6.95	%		-22.48	%
Health Care		9.52	%		-9.04	%
Industrials		11.00	%		-15.01	%
Information Technology		14.52	%		-16.49	%
Materials		6.49	%		-4.50	%
Real Estate		17.51	%		-2.51	%
Telecommunication Services		1.50	%		-1.00	%
Utilities		4.97	%		-4.48	%

iv

FQF Trust
Allocation of Portfolio Holdings and Industries
December 31, 2016 (Unaudited)

QuantShares Hedged Dividend Income Fund (DIVA)

The Fund seeks performance results that correspond to the price and yield performance, before fees and expenses, of the Indxx Hedged Dividend Income Index (the “Target High Dividend Index”) by investing at least 80% of its net assets (plus borrowings for investment purposes) in common stock of the long positions in the Target High Dividend Index and sells short at least 80% of the short positions in the Target High Dividend Index. The Target High Dividend Index is a long/short index in which the long positions, in the aggregate, outweigh the short positions, in the aggregate. In choosing to track a long/short index, the Fund seeks to limit the drawdown of the Fund when equity markets fall and give up some of the gains when the markets rise.

Market Exposure

Investment Type	% of Net Assets
Equity Securities Long Positions		84	%
Equity Securities Short Positions		-49	%
Master Limited Partnership Long Positions		14	%
Master Limited Partnership Short Positions		—	%#

^# Amount represents less than -0.5%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings — Long

Company	% of Net Assets
Energy Transfer Partners LP		1.0	%
Great Plains Energy, Inc.		1.0	%
Helmerich & Payne, Inc.		1.0	%
Buckeye Partners LP		1.0	%
B&G Foods, Inc.		1.0	%
Reynolds American, Inc.		1.0	%
Enbridge Energy Partners LP		1.0	%
Cypress Semiconductor Corp.		1.0	%
W.P. Carey, Inc.		1.0	%
Sunoco Logistics Partners LP		1.0	%

Largest Equity Holdings — Short

Company	% of Net Assets
Level 3 Communications, Inc.		-0.5	%
SBA Communications Corp.		-0.5	%
Telephone & Data Systems, Inc.		-0.5	%
Zayo Group Holdings, Inc.		-0.5	%
NextEra Energy, Inc.		-0.4	%
Edison International		-0.4	%
DTE Energy Co.		-0.4	%
Sempra Energy		-0.4	%
Southwest Gas Corp.		-0.4	%
IDACORP, Inc.		-0.4	%

Sector Weightings	% of Long Weight			% of Short Weight
Consumer Discretionary		11.01	%		-10.95	%
Consumer Staples		6.02	%		-6.04	%
Energy		23.06	%		-23.06	%
Financials		9.98	%		-21.91	%
Health Care		2.01	%		-2.02	%
Industrials		3.97	%		-4.02	%
Information Technology		2.01	%		-2.02	%
Materials		3.01	%		-2.99	%
Real Estate		14.98	%		-3.02	%
Telecommunication Services		4.00	%		-4.00	%
Utilities		19.94	%		-19.97	%

v

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FQF Trust
QuantShares U.S. Market Neutral Momentum Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares		Value
Long Positions – 87.5%
Common Stocks – 87.5%
Aerospace & Defense – 0.9%
Curtiss-Wright Corp.(a)		100	$	9,836
Huntington Ingalls Industries, Inc.(a)		56		10,315
				20,151
Air Freight & Logistics – 0.4%
XPO Logistics, Inc.*		220		9,495
Airlines – 0.5%
Spirit Airlines, Inc.*(a)		178		10,299
Auto Components – 0.9%
Gentex Corp.		500		9,845
Tenneco, Inc.*		158		9,870
				19,715
Automobiles – 0.9%
Harley-Davidson, Inc.(a)		164		9,568
Thor Industries, Inc.		98		9,805
				19,373
Banks – 10.2%
Bank of Hawaii Corp.(a)		120		10,643
BOK Financial Corp.		118		9,799
Comerica, Inc.(a)		158		10,761
Commerce Bancshares, Inc.(a)		182		10,521
Cullen/Frost Bankers, Inc.		112		9,882
Fifth Third Bancorp(a)		384		10,356
First Horizon National Corp.		492		9,845
First Republic Bank		108		9,951
Fulton Financial Corp.(a)		560		10,528
Hancock Holding Co.(a)		242		10,430
IBERIABANK Corp.(a)		120		10,050
KeyCorp(a)		578		10,560
MB Financial, Inc.(a)		208		9,824
Popular, Inc.(a)		224		9,816
Prosperity Bancshares, Inc.		138		9,906
Regions Financial Corp.(a)		738		10,598
SVB Financial Group*		58		9,956
TCF Financial Corp.		502		9,834
Texas Capital Bancshares, Inc.*		126		9,878
UMB Financial Corp.		132		10,180
Webster Financial Corp.		180		9,770
Wintrust Financial Corp.		136		9,870
Zions Bancorp		228		9,813
				232,771
Biotechnology – 0.9%
Seattle Genetics, Inc.*(a)		188		9,921
TESARO, Inc.*		74		9,951
				19,872

Investments	Number of Shares		Value
Capital Markets – 0.8%
MarketAxess Holdings, Inc.(a)		60	$	8,815
Morgan Stanley		234		9,887
				18,702
Chemicals – 0.8%
Albemarle Corp.(a)		114		9,813
Chemours Co. (The)(a)		404		8,924
				18,737
Commercial Services & Supplies – 0.4%
Copart, Inc.*(a)		182		10,085
Communications Equipment – 1.3%
F5 Networks, Inc.*		68		9,841
Finisar Corp.*(a)		304		9,202
InterDigital, Inc.(a)		108		9,866
				28,909
Construction & Engineering – 1.3%
EMCOR Group, Inc.(a)		142		10,048
Jacobs Engineering Group, Inc.*(a)		158		9,006
Quanta Services, Inc.*(a)		292		10,176
				29,230
Construction Materials – 0.9%
Eagle Materials, Inc.		100		9,853
Martin Marietta Materials, Inc.(a)		46		10,190
				20,043
Consumer Finance – 1.3%
Discover Financial Services		136		9,804
Navient Corp.(a)		576		9,464
SLM Corp.*		892		9,830
				29,098
Containers & Packaging – 1.3%
Berry Plastics Group, Inc.*(a)		200		9,746
Packaging Corp. of America(a)		118		10,009
Sonoco Products Co.		184		9,697
				29,452
Distributors – 0.4%
Pool Corp.(a)		94		9,808
Diversified Consumer Services – 0.4%
Grand Canyon Education, Inc.*		170		9,937
Diversified Financial Services – 0.4%
Leucadia National Corp.		424		9,858
Diversified Telecommunication Services – 0.4%
AT&T, Inc.		232		9,867
Electric Utilities – 0.9%
ALLETE, Inc.(a)		160		10,271
Exelon Corp.		278		9,866
				20,137

See accompanying notes to the financial statements.

1

FQF Trust
QuantShares U.S. Market Neutral Momentum Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares		Value
Electronic Equipment, Instruments & Components – 2.7%
Belden, Inc.		132	$	9,870
Cognex Corp.(a)		166		10,561
Corning, Inc.(a)		414		10,048
Dolby Laboratories, Inc., Class A(a)		222		10,032
Littelfuse, Inc.(a)		68		10,320
Trimble, Inc.*		328		9,889
				60,720
Energy Equipment & Services – 1.3%
Nabors Industries Ltd.(a)		612		10,037
Patterson-UTI Energy, Inc.(a)		368		9,907
US Silica Holdings, Inc.		174		9,862
				29,806
Equity Real Estate Investment Trusts (REITs) – 5.3%
Communications Sales & Leasing, Inc.(a)		358		9,097
Corporate Office Properties Trust(a)		316		9,865
DCT Industrial Trust, Inc.(a)		220		10,534
Digital Realty Trust, Inc.(a)		110		10,809
DuPont Fabros Technology, Inc.(a)		226		9,928
EPR Properties(a)		132		9,474
First Industrial Realty Trust, Inc.(a)		352		9,873
Lexington Realty Trust(a)		916		9,893
Liberty Property Trust(a)		258		10,191
National Health Investors, Inc.(a)		140		10,384
Prologis, Inc.(a)		202		10,663
Senior Housing Properties Trust		496		9,389
				120,100
Food & Staples Retailing – 0.5%
Sysco Corp.		186		10,299
Food Products – 2.3%
Archer-Daniels-Midland Co.(a)		230		10,499
B&G Foods, Inc.(a)		244		10,687
Ingredion, Inc.(a)		82		10,247
Lancaster Colony Corp.(a)		72		10,180
Pinnacle Foods, Inc.(a)		200		10,690
				52,303
Gas Utilities – 1.7%
National Fuel Gas Co.		172		9,742
ONE Gas, Inc.(a)		154		9,850
Southwest Gas Corp.		134		10,267
UGI Corp.		212		9,769
				39,628
Health Care Equipment & Supplies – 5.4%
ABIOMED, Inc.*(a)		88		9,916
Align Technology, Inc.*(a)		108		10,382
Baxter International, Inc.(a)		230		10,198
Boston Scientific Corp.*(a)		452		9,777
Edwards Lifesciences Corp.*(a)		112		10,494
IDEXX Laboratories, Inc.*(a)		84		9,851

Investments	Number of Shares		Value
Intuitive Surgical, Inc.*(a)		16	$	10,147
NuVasive, Inc.*(a)		160		10,778
Stryker Corp.		82		9,824
Teleflex, Inc.		62		9,991
Varian Medical Systems, Inc.*		116		10,415
West Pharmaceutical Services, Inc.		122		10,349
				122,122
Health Care Providers & Services – 1.3%
Quest Diagnostics, Inc.(a)		108		9,925
UnitedHealth Group, Inc.		62		9,922
WellCare Health Plans, Inc.*		72		9,870
				29,717
Health Care Technology – 0.4%
Veeva Systems, Inc., Class A*		242		9,849
Hotels, Restaurants & Leisure – 4.4%
Cheesecake Factory, Inc. (The)(a)		168		10,060
Darden Restaurants, Inc.(a)		136		9,890
Domino's Pizza, Inc.(a)		62		9,873
Dunkin' Brands Group, Inc.(a)		184		9,649
Jack in the Box, Inc.(a)		96		10,717
Las Vegas Sands Corp.(a)		186		9,934
MGM Resorts International*(a)		346		9,975
Texas Roadhouse, Inc.		212		10,227
Vail Resorts, Inc.(a)		66		10,647
Wynn Resorts Ltd.		108		9,343
				100,315
Household Durables – 0.4%
Garmin Ltd.(a)		190		9,213
Household Products – 0.4%
Spectrum Brands Holdings, Inc.		80		9,786
Insurance – 2.7%
Assured Guaranty Ltd.(a)		278		10,500
Brown & Brown, Inc.(a)		230		10,318
Cincinnati Financial Corp.(a)		130		9,847
Lincoln National Corp.		150		9,941
Primerica, Inc.(a)		140		9,681
Reinsurance Group of America, Inc.(a)		82		10,318
				60,605
Internet Software & Services – 0.9%
GrubHub, Inc.*(a)		274		10,308
Yelp, Inc.*		268		10,219
				20,527
IT Services – 0.9%
Computer Sciences Corp.(a)		164		9,745
Science Applications International Corp.(a)		120		10,176
				19,921
Life Sciences Tools & Services – 0.5%
Bio-Rad Laboratories, Inc., Class A*(a)		58		10,572

See accompanying notes to the financial statements.

2

FQF Trust
QuantShares U.S. Market Neutral Momentum Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares		Value
Machinery – 6.5%
Caterpillar, Inc.(a)		104	$	9,645
Colfax Corp.*(a)		264		9,485
Crane Co.(a)		134		9,664
Cummins, Inc.(a)		70		9,567
Donaldson Co., Inc.		234		9,847
Illinois Tool Works, Inc.(a)		80		9,797
Lincoln Electric Holdings, Inc.(a)		126		9,660
Middleby Corp. (The)*(a)		72		9,274
Nordson Corp.(a)		92		10,309
Oshkosh Corp.(a)		142		9,175
Parker-Hannifin Corp.		70		9,800
Terex Corp.		324		10,216
Toro Co. (The)		188		10,519
Woodward, Inc.		146		10,081
Xylem, Inc.		208		10,300
				147,339
Media – 1.3%
Cable One, Inc.(a)		16		9,948
Charter Communications, Inc.*(a)		34		9,789
Liberty Broadband Corp.*(a)		140		10,370
				30,107
Metals & Mining – 2.1%
Newmont Mining Corp.(a)		286		9,744
Royal Gold, Inc.(a)		144		9,122
Steel Dynamics, Inc.		280		9,962
United States Steel Corp.		306		10,101
Worthington Industries, Inc.		208		9,868
				48,797
Mortgage Real Estate Investment Trusts (REITs) – 0.9%
Chimera Investment Corp.(a)		592		10,076
New Residential Investment Corp.(a)		646		10,155
				20,231
Multi-Utilities – 1.7%
Black Hills Corp.(a)		160		9,814
CenterPoint Energy, Inc.(a)		398		9,807
MDU Resources Group, Inc.(a)		356		10,242
SCANA Corp.(a)		134		9,820
				39,683
Oil, Gas & Consumable Fuels – 4.3%
CONSOL Energy, Inc.		538		9,808
Continental Resources, Inc.*(a)		192		9,896
Oasis Petroleum, Inc.*		652		9,871
ONEOK, Inc.(a)		180		10,334
Parsley Energy, Inc., Class A*(a)		262		9,233
Rice Energy, Inc.*(a)		460		9,821
Southwestern Energy Co.*		912		9,868
Spectra Energy Corp.(a)		242		9,944

Investments	Number of Shares		Value
Targa Resources Corp.		176	$	9,868
WPX Energy, Inc.*		648		9,441
				98,084
Personal Products – 0.8%
Avon Products, Inc.*(a)		1,876		9,455
Nu Skin Enterprises, Inc., Class A(a)		190		9,078
				18,533
Pharmaceuticals – 0.5%
Johnson & Johnson(a)		90		10,369
Road & Rail – 0.4%
Landstar System, Inc.		114		9,724
Semiconductors & Semiconductor Equipment – 4.3%
Advanced Micro Devices, Inc.*(a)		872		9,888
Applied Materials, Inc.(a)		310		10,004
Cirrus Logic, Inc.*(a)		178		10,064
Lam Research Corp.(a)		94		9,939
Marvell Technology Group Ltd.(a)		694		9,626
Microchip Technology, Inc.(a)		150		9,622
Microsemi Corp.*(a)		180		9,715
NVIDIA Corp.(a)		92		9,820
QUALCOMM, Inc.(a)		146		9,519
Texas Instruments, Inc.		134		9,778
				97,975
Software – 1.3%
Ellie Mae, Inc.*(a)		120		10,042
Symantec Corp.		442		10,559
Take-Two Interactive Software, Inc.*		202		9,957
				30,558
Specialty Retail – 2.5%
Best Buy Co., Inc.(a)		218		9,302
Burlington Stores, Inc.*(a)		112		9,492
Dick's Sporting Goods, Inc.(a)		168		8,921
Ross Stores, Inc.(a)		146		9,577
Ulta Salon Cosmetics & Fragrance, Inc.*		38		9,688
Urban Outfitters, Inc.*		316		9,000
				55,980
Technology Hardware, Storage & Peripherals – 0.9%
Hewlett Packard Enterprise Co.(a)		420		9,719
NCR Corp.*		242		9,815
				19,534
Textiles, Apparel & Luxury Goods – 0.9%
Lululemon Athletica, Inc.*(a)		152		9,879
PVH Corp.(a)		110		9,926
				19,805
Thrifts & Mortgage Finance – 0.4%
Washington Federal, Inc.		286		9,824
Tobacco – 0.5%
Reynolds American, Inc.(a)		184		10,311

See accompanying notes to the financial statements.

3

FQF Trust
QuantShares U.S. Market Neutral Momentum Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares			Value
Trading Companies & Distributors – 1.3%
MSC Industrial Direct Co., Inc., Class A(a)		112		$	10,348
United Rentals, Inc.*		94			9,924
WESCO International, Inc.*		146			9,716
					29,988
Wireless Telecommunication Services – 0.5%
Sprint Corp.*(a)		1,254			10,559
Total Common Stocks (Cost $1,839,378)					1,988,423
Total Long Positions (Cost $1,839,378)					1,988,423
Short Positions – (86.1)%
Common Stocks – (86.1)%
Aerospace & Defense – (0.9)%
Esterline Technologies Corp.*		(110	)		(9,812	)
Orbital ATK, Inc.		(110	)		(9,650	)
					(19,462	)
Airlines – (0.4)%
JetBlue Airways Corp.*		(430	)		(9,641	)
Auto Components – (1.3)%
Autoliv, Inc.		(94	)		(10,636	)
BorgWarner, Inc.		(244	)		(9,623	)
Delphi Automotive plc		(144	)		(9,699	)
					(29,958	)
Automobiles – (0.4)%
Ford Motor Co.		(792	)		(9,607	)
Banks – (2.2)%
Bank of the Ozarks, Inc.		(200	)		(10,518	)
BankUnited, Inc.		(274	)		(10,327	)
CIT Group, Inc.		(238	)		(10,158	)
Signature Bank*		(64	)		(9,613	)
Wells Fargo & Co.		(184	)		(10,140	)
					(50,756	)
Beverages – (0.4)%
Monster Beverage Corp.*		(216	)		(9,577	)
Biotechnology – (4.2)%
ACADIA Pharmaceuticals, Inc.*		(360	)		(10,382	)
Alexion Pharmaceuticals, Inc.*		(80	)		(9,788	)
Alkermes plc*		(170	)		(9,449	)
Alnylam Pharmaceuticals, Inc.*		(258	)		(9,660	)
Intercept Pharmaceuticals, Inc.*		(96	)		(10,430	)
Ionis Pharmaceuticals, Inc.*		(220	)		(10,523	)
Juno Therapeutics, Inc.*		(484	)		(9,123	)
Regeneron Pharmaceuticals, Inc.*		(26	)		(9,544	)
Ultragenyx Pharmaceutical, Inc.*		(124	)		(8,719	)
Vertex Pharmaceuticals, Inc.*		(118	)		(8,693	)
					(96,311	)

Investments	Number of Shares			Value
Building Products – (1.3)%
Allegion plc		(150	)	$	(9,600	)
Armstrong World Industries, Inc.*		(228	)		(9,530	)
Fortune Brands Home & Security, Inc.		(180	)		(9,623	)
					(28,753	)
Capital Markets – (4.7)%
Affiliated Managers Group, Inc.*		(66	)		(9,590	)
Ameriprise Financial, Inc.		(86	)		(9,541	)
FactSet Research Systems, Inc.		(58	)		(9,479	)
Federated Investors, Inc., Class B		(354	)		(10,011	)
Invesco Ltd.		(336	)		(10,194	)
Janus Capital Group, Inc.		(726	)		(9,634	)
Lazard Ltd., Class A		(250	)		(10,273	)
Legg Mason, Inc.		(306	)		(9,152	)
LPL Financial Holdings, Inc.		(272	)		(9,577	)
Moody's Corp.		(102	)		(9,616	)
SEI Investments Co.		(204	)		(10,069	)
					(107,136	)
Chemicals – (3.9)%
CF Industries Holdings, Inc.		(334	)		(10,514	)
International Flavors & Fragrances, Inc.		(82	)		(9,662	)
LyondellBasell Industries NV, Class A		(108	)		(9,264	)
Mosaic Co. (The)		(342	)		(10,031	)
Platform Specialty Products Corp.*		(1,042	)		(10,222	)
PPG Industries, Inc.		(102	)		(9,666	)
Sherwin-Williams Co. (The)		(36	)		(9,675	)
Westlake Chemical Corp.		(166	)		(9,294	)
WR Grace & Co.		(150	)		(10,146	)
					(88,474	)
Commercial Services & Supplies – (0.9)%
Pitney Bowes, Inc.		(672	)		(10,208	)
Stericycle, Inc.*		(124	)		(9,553	)
					(19,761	)
Communications Equipment – (0.8)%
Juniper Networks, Inc.		(340	)		(9,608	)
Palo Alto Networks, Inc.*		(76	)		(9,504	)
					(19,112	)
Construction & Engineering – (0.4)%
Chicago Bridge & Iron Co. NV		(290	)		(9,207	)
Consumer Finance – (0.9)%
Ally Financial, Inc.		(526	)		(10,004	)
American Express Co.		(134	)		(9,927	)
					(19,931	)
Containers & Packaging – (2.2)%
AptarGroup, Inc.		(130	)		(9,549	)
Graphic Packaging Holding Co.		(824	)		(10,284	)
Owens-Illinois, Inc.*		(586	)		(10,202	)
Sealed Air Corp.		(222	)		(10,065	)

See accompanying notes to the financial statements.

4

FQF Trust
QuantShares U.S. Market Neutral Momentum Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares			Value
Silgan Holdings, Inc.		(188	)	$	(9,622	)
					(49,722	)
Diversified Consumer Services – (0.5)%
H&R Block, Inc.		(460	)		(10,575	)
Diversified Financial Services – (0.4)%
Voya Financial, Inc.		(250	)		(9,805	)
Diversified Telecommunication Services – (0.8)%
Frontier Communications Corp.		(2,570	)		(8,687	)
SBA Communications Corp., Class A*		(96	)		(9,913	)
					(18,600	)
Electric Utilities – (2.2)%
Eversource Energy		(174	)		(9,610	)
FirstEnergy Corp.		(314	)		(9,725	)
Great Plains Energy, Inc.		(384	)		(10,502	)
PPL Corp.		(290	)		(9,874	)
Southern Co. (The)		(194	)		(9,543	)
					(49,254	)
Electrical Equipment – (1.3)%
Acuity Brands, Inc.		(42	)		(9,696	)
AMETEK, Inc.		(214	)		(10,400	)
Sensata Technologies Holding NV*		(248	)		(9,660	)
					(29,756	)
Electronic Equipment, Instruments & Components – (0.9)%
Avnet, Inc.		(212	)		(10,093	)
Jabil Circuit, Inc.		(404	)		(9,563	)
					(19,656	)
Energy Equipment & Services – (1.3)%
Ensco plc, Class A		(1,008	)		(9,798	)
Oceaneering International, Inc.		(340	)		(9,591	)
Weatherford International plc*		(1,926	)		(9,611	)
					(29,000	)
Equity Real Estate Investment Trusts (REITs) – (9.1)%
Apple Hospitality REIT, Inc.		(482	)		(9,630	)
AvalonBay Communities, Inc.		(58	)		(10,275	)
CBL & Associates Properties, Inc.		(820	)		(9,430	)
Columbia Property Trust, Inc.		(490	)		(10,584	)
CoreCivic, Inc.		(394	)		(9,637	)
CubeSmart		(392	)		(10,494	)
DDR Corp.		(638	)		(9,742	)
Equity Residential		(150	)		(9,654	)
Essex Property Trust, Inc.		(42	)		(9,765	)
Extra Space Storage, Inc.		(124	)		(9,578	)
Federal Realty Investment Trust		(68	)		(9,664	)
Forest City Realty Trust, Inc., Class A		(462	)		(9,628	)
HCP, Inc.		(324	)		(9,629	)
Life Storage, Inc.		(114	)		(9,720	)
Macerich Co. (The)		(142	)		(10,059	)
Omega Healthcare Investors, Inc.		(330	)		(10,316	)
Paramount Group, Inc.		(602	)		(9,626	)

Investments	Number of Shares			Value
Public Storage		(46	)	$	(10,281	)
Simon Property Group, Inc.		(54	)		(9,594	)
SL Green Realty Corp.		(92	)		(9,895	)
UDR, Inc.		(284	)		(10,360	)
					(207,561	)
Food & Staples Retailing – (0.9)%
CVS Health Corp.		(126	)		(9,943	)
Sprouts Farmers Market, Inc.*		(508	)		(9,611	)
					(19,554	)
Food Products – (1.3)%
Flowers Foods, Inc.		(478	)		(9,546	)
Hain Celestial Group, Inc. (The)*		(246	)		(9,601	)
TreeHouse Foods, Inc.*		(140	)		(10,107	)
					(29,254	)
Health Care Providers & Services – (2.6)%
Acadia Healthcare Co., Inc.*	��	(290	)		(9,599	)
AmerisourceBergen Corp.		(124	)		(9,695	)
Brookdale Senior Living, Inc.*		(834	)		(10,358	)
Cardinal Health, Inc.		(136	)		(9,788	)
LifePoint Health, Inc.*		(186	)		(10,565	)
McKesson Corp.		(68	)		(9,551	)
					(59,556	)
Health Care Technology – (0.9)%
athenahealth, Inc.*		(100	)		(10,517	)
Cerner Corp.*		(194	)		(9,190	)
					(19,707	)
Hotels, Restaurants & Leisure – (1.3)%
Chipotle Mexican Grill, Inc.*		(26	)		(9,810	)
Norwegian Cruise Line Holdings Ltd.*		(244	)		(10,377	)
Royal Caribbean Cruises Ltd.		(120	)		(9,845	)
					(30,032	)
Household Durables – (1.8)%
CalAtlantic Group, Inc.		(282	)		(9,591	)
Lennar Corp., Class A		(248	)		(10,647	)
Tempur Sealy International, Inc.*		(154	)		(10,515	)
Toll Brothers, Inc.*		(324	)		(10,044	)
					(40,797	)
Independent Power and Renewable Electricity Producers – (0.4)%
Calpine Corp.*		(808	)		(9,235	)
Industrial Conglomerates – (0.4)%
Roper Technologies, Inc.		(54	)		(9,886	)
Insurance – (2.2)%
AmTrust Financial Services, Inc.		(352	)		(9,638	)
CNO Financial Group, Inc.		(544	)		(10,417	)
FNF Group		(302	)		(10,256	)
Willis Towers Watson plc*		(78	)		(9,538	)
XL Group Ltd.		(268	)		(9,986	)
					(49,835	)

See accompanying notes to the financial statements.

5

FQF Trust
QuantShares U.S. Market Neutral Momentum Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares			Value
Internet & Direct Marketing Retail – (0.8)%
Liberty Interactive Corp. QVC Group, Class A*		(464	)	$	(9,271	)
TripAdvisor, Inc.*		(200	)		(9,274	)
					(18,545	)
Internet Software & Services – (1.7)%
CoStar Group, Inc.*		(52	)		(9,802	)
Pandora Media, Inc.*		(736	)		(9,597	)
Twitter, Inc.*		(580	)		(9,454	)
VeriSign, Inc.*		(124	)		(9,433	)
					(38,286	)
IT Services – (5.2)%
Alliance Data Systems Corp.		(42	)		(9,597	)
Cognizant Technology Solutions Corp., Class A*		(176	)		(9,861	)
CoreLogic, Inc.*		(244	)		(8,987	)
DST Systems, Inc.		(94	)		(10,072	)
EPAM Systems, Inc.*		(160	)		(10,290	)
Euronet Worldwide, Inc.*		(136	)		(9,850	)
First Data Corp., Class A*		(738	)		(10,472	)
FleetCor Technologies, Inc.*		(68	)		(9,623	)
Genpact Ltd.*		(406	)		(9,882	)
MAXIMUS, Inc.		(186	)		(10,377	)
Sabre Corp.		(402	)		(10,030	)
Total System Services, Inc.		(196	)		(9,610	)
					(118,651	)
Life Sciences Tools & Services – (0.9)%
Illumina, Inc.*		(76	)		(9,731	)
PerkinElmer, Inc.		(192	)		(10,013	)
					(19,744	)
Media – (2.6)%
AMC Networks, Inc., Class A*		(176	)		(9,212	)
Liberty Global plc, Series C*		(344	)		(10,217	)
Liberty Global plc LiLAC, Class C*		(458	)		(9,696	)
Lions Gate Entertainment Corp., Class B*		(392	)		(9,620	)
TEGNA, Inc.		(450	)		(9,625	)
Viacom, Inc., Class B		(276	)		(9,687	)
					(58,057	)
Multi-Utilities – (0.9)%
NorthWestern Corp.		(168	)		(9,554	)
Sempra Energy		(98	)		(9,863	)
					(19,417	)
Oil, Gas & Consumable Fuels – (3.5)%
Cheniere Energy, Inc.*		(232	)		(9,612	)
ConocoPhillips		(200	)		(10,028	)
Gulfport Energy Corp.*		(446	)		(9,651	)
HollyFrontier Corp.		(292	)		(9,566	)
Marathon Petroleum Corp.		(206	)		(10,372	)
Phillips 66		(112	)		(9,678	)
Tesoro Corp.		(120	)		(10,494	)

Investments	Number of Shares			Value
Valero Energy Corp.		(140	)	$	(9,565	)
					(78,966	)
Personal Products – (0.8)%
Coty, Inc., Class A		(518	)		(9,484	)
Estee Lauder Cos., Inc. (The), Class A		(126	)		(9,638	)
					(19,122	)
Pharmaceuticals – (2.2)%
Akorn, Inc.*		(458	)		(9,998	)
Allergan plc*		(50	)		(10,500	)
Endo International plc*		(612	)		(10,080	)
Mylan NV*		(252	)		(9,614	)
Perrigo Co. plc		(120	)		(9,988	)
					(50,180	)
Professional Services – (0.9)%
ManpowerGroup, Inc.		(114	)		(10,131	)
Robert Half International, Inc.		(218	)		(10,634	)
					(20,765	)
Real Estate Management & Development – (1.8)%
CBRE Group, Inc., Class A*		(334	)		(10,518	)
Howard Hughes Corp. (The)*		(92	)		(10,497	)
Jones Lang LaSalle, Inc.		(96	)		(9,700	)
Realogy Holdings Corp.		(400	)		(10,292	)
					(41,007	)
Semiconductors & Semiconductor Equipment – (1.3)%
Cavium, Inc.*		(154	)		(9,616	)
First Solar, Inc.*		(320	)		(10,269	)
Integrated Device Technology, Inc.*		(410	)		(9,659	)
					(29,544	)
Software – (4.1)%
FireEye, Inc.*		(764	)		(9,092	)
Fortinet, Inc.*		(322	)		(9,699	)
Guidewire Software, Inc.*		(194	)		(9,570	)
Manhattan Associates, Inc.*		(180	)		(9,545	)
Nuance Communications, Inc.*		(594	)		(8,851	)
SS&C Technologies Holdings, Inc.		(322	)		(9,209	)
Tableau Software, Inc., Class A*		(216	)		(9,104	)
Tyler Technologies, Inc.*		(64	)		(9,137	)
Verint Systems, Inc.*		(278	)		(9,800	)
Workday, Inc., Class A*		(146	)		(9,649	)
					(93,656	)
Specialty Retail – (2.9)%
AutoNation, Inc.*		(198	)		(9,633	)
Bed Bath & Beyond, Inc.		(216	)		(8,778	)
GameStop Corp., Class A		(380	)		(9,599	)
L Brands, Inc.		(138	)		(9,086	)
Signet Jewelers Ltd.		(106	)		(9,992	)
Tractor Supply Co.		(130	)		(9,855	)
Williams-Sonoma, Inc.		(178	)		(8,613	)
					(65,556	)

See accompanying notes to the financial statements.

6

FQF Trust
QuantShares U.S. Market Neutral Momentum Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares			Value
Technology Hardware, Storage & Peripherals – (0.4)%
Xerox Corp.		(1,084	)	$	(9,463	)
Textiles, Apparel & Luxury Goods – (2.1)%
Hanesbrands, Inc.		(416	)		(8,973	)
NIKE, Inc., Class B		(192	)		(9,760	)
Ralph Lauren Corp.		(106	)		(9,574	)
Skechers U.S.A., Inc., Class A*		(390	)		(9,586	)
VF Corp.		(192	)		(10,243	)
					(48,136	)
Trading Companies & Distributors – (0.4)%
Air Lease Corp.		(270	)		(9,269	)
Water Utilities – (0.4)%
Aqua America, Inc.		(318	)		(9,553	)
Total Common Stocks (Proceeds $(2,034,132))					(1,957,388	)
Total Short Positions (Proceeds $(2,034,132))					(1,957,388	)
Total Investments — 1.4% (Cost $(194,754))					31,035
Other Assets Less Liabilities — 98.6%					2,240,703
Net Assets — 100.0%				$	2,271,738

* Non-income producing security.

(a) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $1,306,889.

As of December 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	330,598
Aggregate gross unrealized depreciation		(114,993	)
Net unrealized appreciation	$	215,605
Federal income tax cost of investments	$	(184,570	)

Total Return Swap Agreements

Notional Amount	Expiration Date		Counterparty		Fund Pays		Fund Receives		Net Unrealized Appreciation/ (Depreciation)(1)			Cash Collateral (Received) Pledged		Net Amount(2)
								Dow Jones U.S. Thematic Market Neutral Momentum Index (Fund has long exposure to high momentum companies(3))	$	44,704			—	$	44,704
261,674 USD		10/04/2017		Morgan Stanley		1.11%
(297,166) USD		10/04/2017		Morgan Stanley		Dow Jones U.S. Thematic Market Neutral Momentum Index (Fund has short exposure to low momentum companies(3))		0.09%		(59,934	)		—		(59,934	)
									$	(15,230	)			$	(15,230	)

(1) The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at year end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or “net” these amounts on its Statement of Assets and Liabilities.

(2) Represents the “uncollateralized” amount due from or (to) the counterparty at year end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum “thresholds” that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from the counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.

(3) A stock’s momentum is based on its total return, which is a function of price performance and dividend returns over the first twelve of the last thirteen months. High momentum stocks are those stocks with higher total returns, and low momentum stocks are those stocks with lower total returns. Please refer to “Principal Investment Strategies” in the Fund’s Prospectus for additional information about the Fund’s Target Index.

See accompanying notes to the financial statements.

7

FQF Trust
QuantShares U.S. Market Neutral Value Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares		Value
Long Positions – 85.9%
Common Stocks – 85.9%
Aerospace & Defense – 0.8%
Arconic, Inc.(a)		594	$	11,013
Spirit AeroSystems Holdings, Inc., Class A		198		11,553
				22,566
Air Freight & Logistics – 0.4%
FedEx Corp.(a)		60		11,172
Airlines – 2.6%
Alaska Air Group, Inc.(a)		140		12,422
Delta Air Lines, Inc.(a)		240		11,806
JetBlue Airways Corp.*(a)		524		11,748
Southwest Airlines Co.		248		12,360
Spirit Airlines, Inc.*		208		12,035
United Continental Holdings, Inc.*		166		12,098
				72,469
Auto Components – 2.6%
Autoliv, Inc.(a)		112		12,673
BorgWarner, Inc.(a)		302		11,911
Dana, Inc.(a)		622		11,806
Goodyear Tire & Rubber Co. (The)(a)		374		11,545
Lear Corp.(a)		90		11,913
Tenneco, Inc.*		180		11,245
				71,093
Automobiles – 0.8%
Ford Motor Co.(a)		966		11,717
General Motors Co.(a)		320		11,149
				22,866
Banks – 4.9%
Bank of America Corp.(a)		550		12,155
CIT Group, Inc.(a)		280		11,950
Citigroup, Inc.(a)		206		12,243
Citizens Financial Group, Inc.(a)		346		12,328
Huntington Bancshares, Inc.(a)		926		12,242
JPMorgan Chase & Co.(a)		146		12,598
KeyCorp(a)		672		12,277
Popular, Inc.(a)		262		11,481
Regions Financial Corp.		858		12,321
SunTrust Banks, Inc.		214		11,738
Umpqua Holdings Corp.		654		12,282
				133,615
Biotechnology – 1.3%
Amgen, Inc.(a)		80		11,697
Gilead Sciences, Inc.(a)		156		11,171
United Therapeutics Corp.*		84		12,048
				34,916
Building Products – 0.9%
Owens Corning		226		11,653

Investments	Number of Shares		Value
USG Corp.*		432	$	12,476
				24,129
Capital Markets – 1.3%
Goldman Sachs Group, Inc. (The)(a)		52		12,452
Legg Mason, Inc.(a)		364		10,887
Morgan Stanley		280		11,830
				35,169
Chemicals – 1.6%
Cabot Corp.		232		11,725
Eastman Chemical Co.(a)		144		10,830
Huntsman Corp.(a)		596		11,372
Westlake Chemical Corp.		198		11,086
				45,013
Commercial Services & Supplies – 0.4%
Pitney Bowes, Inc.		800		12,152
Communications Equipment – 1.7%
ARRIS International plc*(a)		404		12,173
Cisco Systems, Inc.(a)		352		10,638
CommScope Holding Co., Inc.*(a)		322		11,978
Juniper Networks, Inc.(a)		444		12,547
				47,336
Construction & Engineering – 2.1%
AECOM*(a)		334		12,144
Chicago Bridge & Iron Co. NV(a)		342		10,859
Fluor Corp.(a)		214		11,239
Jacobs Engineering Group, Inc.*(a)		206		11,742
Quanta Services, Inc.*		340		11,849
				57,833
Consumer Finance – 1.3%
Ally Financial, Inc.(a)		598		11,374
Capital One Financial Corp.(a)		146		12,737
Navient Corp.		714		11,731
				35,842
Containers & Packaging – 1.7%
Graphic Packaging Holding Co.		942		11,756
International Paper Co.(a)		238		12,628
Owens-Illinois, Inc.*		636		11,073
WestRock Co.		214		10,865
				46,322
Diversified Financial Services – 0.9%
Leucadia National Corp.		530		12,323
Voya Financial, Inc.		300		11,766
				24,089
Diversified Telecommunication Services – 0.9%
AT&T, Inc.		276		11,738
CenturyLink, Inc.(a)		484		11,510
				23,248

See accompanying notes to the financial statements.

8

FQF Trust
QuantShares U.S. Market Neutral Value Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares		Value
Electric Utilities – 3.1%
Duke Energy Corp.(a)		156	$	12,109
Entergy Corp.(a)		168		12,343
Exelon Corp.(a)		354		12,563
FirstEnergy Corp.(a)		368		11,397
Great Plains Energy, Inc.(a)		438		11,979
OGE Energy Corp.		364		12,176
PG&E Corp.		196		11,911
				84,478
Electrical Equipment – 1.3%
Eaton Corp. plc(a)		174		11,674
Regal Beloit Corp.		172		11,911
Sensata Technologies Holding NV*		310		12,074
				35,659
Electronic Equipment, Instruments & Components – 2.1%
Arrow Electronics, Inc.*(a)		164		11,693
Belden, Inc.(a)		168		12,562
Corning, Inc.(a)		452		10,970
Jabil Circuit, Inc.(a)		494		11,693
SYNNEX Corp.		92		11,134
				58,052
Energy Equipment & Services – 1.3%
Diamond Offshore Drilling, Inc.*(a)		638		11,293
Ensco plc, Class A(a)		1,202		11,683
Transocean Ltd.*		798		11,763
				34,739
Equity Real Estate Investment Trusts (REITs) – 0.4%
Medical Properties Trust, Inc.		968		11,906
Food & Staples Retailing – 0.9%
CVS Health Corp.(a)		150		11,836
United Natural Foods, Inc.*		258		12,312
				24,148
Food Products – 2.2%
Archer-Daniels-Midland Co.(a)		268		12,234
Darling Ingredients, Inc.*(a)		856		11,051
JM Smucker Co. (The)		92		11,781
TreeHouse Foods, Inc.*		166		11,984
Tyson Foods, Inc., Class A		204		12,583
				59,633
Health Care Providers & Services – 4.7%
Acadia Healthcare Co., Inc.*(a)		354		11,718
Aetna, Inc.(a)		88		10,913
Anthem, Inc.(a)		78		11,214
DaVita, Inc.*(a)		182		11,684
Envision Healthcare Corp.*		186		11,772
Express Scripts Holding Co.*(a)		170		11,694
Laboratory Corp. of America Holdings*(a)		92		11,811

Investments	Number of Shares		Value
LifePoint Health, Inc.*		210	$	11,928
McKesson Corp.		80		11,236
Molina Healthcare, Inc.*		220		11,937
Universal Health Services, Inc., Class B		110		11,702
				127,609
Hotels, Restaurants & Leisure – 1.3%
Carnival Corp.(a)		222		11,557
Norwegian Cruise Line Holdings Ltd.*		286		12,164
Royal Caribbean Cruises Ltd.		146		11,978
				35,699
Household Durables – 0.8%
Lennar Corp., Class A(a)		260		11,162
Whirlpool Corp.		64		11,633
				22,795
Independent Power and Renewable Electricity Producers – 0.4%
AES Corp.(a)		1,002		11,643
Insurance – 8.3%
Aflac, Inc.(a)		162		11,275
American International Group, Inc.(a)		184		12,017
Aspen Insurance Holdings Ltd.(a)		218		11,990
Assured Guaranty Ltd.(a)		322		12,162
Axis Capital Holdings Ltd.(a)		182		11,879
CNO Financial Group, Inc.(a)		634		12,141
Everest Re Group Ltd.		58		12,551
Hanover Insurance Group, Inc. (The)		136		12,377
Hartford Financial Services Group, Inc. (The)(a)		240		11,436
Lincoln National Corp.		180		11,928
MetLife, Inc.		212		11,425
Old Republic International Corp.		646		12,274
Principal Financial Group, Inc.		216		12,498
Prudential Financial, Inc.		116		12,071
Reinsurance Group of America, Inc.		96		12,080
Travelers Cos., Inc. (The)		102		12,487
Unum Group		290		12,740
Validus Holdings Ltd.		208		11,442
XL Group Ltd.		300		11,178
				227,951
Internet & Direct Marketing Retail – 0.4%
Liberty Interactive Corp. QVC Group, Class A*		588		11,748
IT Services – 1.7%
Convergys Corp.(a)		456		11,199
CoreLogic, Inc.*(a)		306		11,270
Leidos Holdings, Inc.(a)		240		12,274
Teradata Corp.*		406		11,031
				45,774

See accompanying notes to the financial statements.

9

FQF Trust
QuantShares U.S. Market Neutral Value Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares		Value
Machinery – 0.9%
Timken Co. (The)		298	$	11,831
Trinity Industries, Inc.		436		12,103
				23,934
Marine – 0.4%
Kirby Corp.*(a)		182		12,103
Media – 1.2%
Liberty Global plc LiLAC, Class C*(a)		546		11,559
TEGNA, Inc.		508		10,866
Viacom, Inc., Class B		310		10,881
				33,306
Metals & Mining – 1.3%
Freeport-McMoRan, Inc.*(a)		888		11,713
Newmont Mining Corp.		356		12,129
Reliance Steel & Aluminum Co.		142		11,294
				35,136
Mortgage Real Estate Investment Trusts (REITs) – 3.3%
AGNC Investment Corp.(a)		624		11,313
Annaly Capital Management, Inc.		1,134		11,306
Blackstone Mortgage Trust, Inc., Class A(a)		378		11,366
Chimera Investment Corp.(a)		644		10,961
MFA Financial, Inc.		1,386		10,575
New Residential Investment Corp.		784		12,325
Starwood Property Trust, Inc.		518		11,370
Two Harbors Investment Corp.		1,254		10,935
				90,151
Multiline Retail – 0.8%
Kohl's Corp.(a)		230		11,357
Macy's, Inc.		328		11,746
				23,103
Multi-Utilities – 0.9%
Consolidated Edison, Inc.(a)		164		12,083
Public Service Enterprise Group, Inc.		278		12,199
				24,282
Oil, Gas & Consumable Fuels – 3.6%
HollyFrontier Corp.(a)		356		11,663
Marathon Petroleum Corp.		244		12,285
PBF Energy, Inc., Class A		456		12,713
Phillips 66		138		11,925
Southwestern Energy Co.*		1,086		11,751
Tesoro Corp.		142		12,418
Valero Energy Corp.		184		12,571
World Fuel Services Corp.(a)		262		12,028
				97,354
Paper & Forest Products – 0.8%
Domtar Corp.		276		10,772
Louisiana-Pacific Corp.*		598		11,320
				22,092

Investments	Number of Shares		Value
Pharmaceuticals – 2.1%
Endo International plc*(a)		730	$	12,023
Horizon Pharma plc*(a)		726		11,746
Mallinckrodt plc*		222		11,060
Mylan NV*		318		12,132
Perrigo Co. plc		134		11,153
				58,114
Professional Services – 0.5%
ManpowerGroup, Inc.		144		12,797
Road & Rail – 1.7%
Genesee & Wyoming, Inc., Class A*(a)		152		10,551
Kansas City Southern		138		11,709
Norfolk Southern Corp.		118		12,752
Ryder System, Inc.		152		11,315
				46,327
Semiconductors & Semiconductor Equipment – 2.6%
Intel Corp.(a)		308		11,171
Lam Research Corp.		108		11,419
Micron Technology, Inc.*		532		11,661
ON Semiconductor Corp.*		948		12,097
Qorvo, Inc.*		218		11,495
Teradyne, Inc.		490		12,446
				70,289
Software – 0.9%
Nuance Communications, Inc.*		794		11,830
Oracle Corp.		306		11,766
				23,596
Specialty Retail – 3.4%
American Eagle Outfitters, Inc.(a)		700		10,619
AutoNation, Inc.*(a)		262		12,746
Bed Bath & Beyond, Inc.(a)		290		11,786
Best Buy Co., Inc.(a)		266		11,350
GameStop Corp., Class A(a)		456		11,519
Gap, Inc. (The)		526		11,803
Signet Jewelers Ltd.		134		12,631
Staples, Inc.		1,196		10,824
				93,278
Technology Hardware, Storage & Peripherals – 2.9%
Apple, Inc.(a)		104		12,045
Hewlett Packard Enterprise Co.(a)		470		10,876
HP, Inc.(a)		750		11,130
NetApp, Inc.		332		11,710
Seagate Technology plc		316		12,062
Western Digital Corp.		176		11,959
Xerox Corp.		1,244		10,860
				80,642
Textiles, Apparel & Luxury Goods – 1.3%
Michael Kors Holdings Ltd.*(a)		248		10,659
PVH Corp.		130		11,731

See accompanying notes to the financial statements.

10

FQF Trust
QuantShares U.S. Market Neutral Value Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares			Value
Skechers U.S.A., Inc., Class A*		512		$	12,585
					34,975
Thrifts & Mortgage Finance – 0.9%
MGIC Investment Corp.*		1,264			12,880
Radian Group, Inc.		650			11,687
					24,567
Trading Companies & Distributors – 1.3%
Air Lease Corp.(a)		322			11,054
United Rentals, Inc.*		114			12,036
WESCO International, Inc.*		166			11,048
					34,138
Total Common Stocks (Cost $2,257,100)					2,351,848
Total Long Positions (Cost $2,257,100)					2,351,848
Short Positions – (87.0)%
Common Stocks – (87.0)%
Aerospace & Defense – (0.9)%
BWX Technologies, Inc.		(300	)		(11,910	)
TransDigm Group, Inc.		(46	)		(11,452	)
					(23,362	)
Beverages – (1.3)%
Brown-Forman Corp., Class B		(258	)		(11,589	)
Coca-Cola Co. (The)		(290	)		(12,023	)
Monster Beverage Corp.*		(264	)		(11,706	)
					(35,318	)
Biotechnology – (5.7)%
ACADIA Pharmaceuticals, Inc.*		(436	)		(12,574	)
Alkermes plc*		(220	)		(12,228	)
BioMarin Pharmaceutical, Inc.*		(138	)		(11,432	)
Incyte Corp.*		(110	)		(11,030	)
Intercept Pharmaceuticals, Inc.*		(116	)		(12,603	)
Intrexon Corp.*		(494	)		(12,004	)
Ionis Pharmaceuticals, Inc.*		(268	)		(12,819	)
Neurocrine Biosciences, Inc.*		(312	)		(12,074	)
Portola Pharmaceuticals, Inc.*		(532	)		(11,938	)
Seattle Genetics, Inc.*		(228	)		(12,032	)
TESARO, Inc.*		(86	)		(11,565	)
Ultragenyx Pharmaceutical, Inc.*		(172	)		(12,093	)
Vertex Pharmaceuticals, Inc.*		(162	)		(11,935	)
					(156,327	)
Building Products – (1.7)%
Allegion plc		(176	)		(11,264	)
AO Smith Corp.		(242	)		(11,459	)
Armstrong World Industries, Inc.*		(286	)		(11,955	)
Lennox International, Inc.		(80	)		(12,253	)
					(46,931	)

Investments	Number of Shares			Value
Capital Markets – (3.8)%
CBOE Holdings, Inc.		(158	)	$	(11,675	)
Charles Schwab Corp. (The)		(306	)		(12,078	)
FactSet Research Systems, Inc.		(74	)		(12,094	)
MarketAxess Holdings, Inc.		(82	)		(12,047	)
Moody's Corp.		(118	)		(11,124	)
MSCI, Inc.		(148	)		(11,659	)
S&P Global, Inc.		(100	)		(10,754	)
SEI Investments Co.		(226	)		(11,155	)
TD Ameritrade Holding Corp.		(286	)		(12,470	)
					(105,056	)
Chemicals – (3.5)%
Albemarle Corp.		(138	)		(11,879	)
Ecolab, Inc.		(102	)		(11,956	)
International Flavors & Fragrances, Inc.		(98	)		(11,547	)
NewMarket Corp.		(28	)		(11,868	)
Scotts Miracle-Gro Co. (The), Class A		(124	)		(11,848	)
Sensient Technologies Corp.		(150	)		(11,787	)
Sherwin-Williams Co. (The)		(44	)		(11,825	)
WR Grace & Co.		(178	)		(12,040	)
					(94,750	)
Commercial Services & Supplies – (1.7)%
Cintas Corp.		(102	)		(11,787	)
Copart, Inc.*		(216	)		(11,969	)
Healthcare Services Group, Inc.		(302	)		(11,829	)
Rollins, Inc.		(356	)		(12,026	)
					(47,611	)
Communications Equipment – (0.4)%
Palo Alto Networks, Inc.*		(88	)		(11,004	)
Construction Materials – (0.4)%
Vulcan Materials Co.		(90	)		(11,263	)
Distributors – (0.4)%
Pool Corp.		(110	)		(11,477	)
Diversified Consumer Services – (0.4)%
Bright Horizons Family Solutions, Inc.*		(170	)		(11,903	)
Diversified Telecommunication Services – (0.4)%
SBA Communications Corp., Class A*		(118	)		(12,185	)
Electrical Equipment – (0.9)%
Acuity Brands, Inc.		(52	)		(12,005	)
Rockwell Automation, Inc.		(88	)		(11,827	)
					(23,832	)
Electronic Equipment, Instruments & Components – (1.3)%
Amphenol Corp., Class A		(178	)		(11,962	)
Cognex Corp.		(194	)		(12,342	)
Universal Display Corp.*		(216	)		(12,161	)
					(36,465	)

See accompanying notes to the financial statements.

11

FQF Trust
QuantShares U.S. Market Neutral Value Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares			Value
Energy Equipment & Services – (1.8)%
Core Laboratories NV		(106	)	$	(12,724	)
Halliburton Co.		(230	)		(12,441	)
US Silica Holdings, Inc.		(222	)		(12,583	)
Weatherford International plc*		(2,338	)		(11,666	)
					(49,414	)
Equity Real Estate Investment Trusts (REITs) – (16.0)%
American Tower Corp.		(114	)		(12,048	)
Apartment Investment & Management Co., Class A		(278	)		(12,635	)
Boston Properties, Inc.		(94	)		(11,823	)
Communications Sales & Leasing, Inc.		(468	)		(11,892	)
Crown Castle International Corp.		(140	)		(12,148	)
CubeSmart		(476	)		(12,743	)
CyrusOne, Inc.		(278	)		(12,435	)
DCT Industrial Trust, Inc.		(256	)		(12,257	)
Digital Realty Trust, Inc.		(128	)		(12,577	)
Douglas Emmett, Inc.		(320	)		(11,699	)
Duke Realty Corp.		(462	)		(12,271	)
DuPont Fabros Technology, Inc.		(274	)		(12,037	)
Equinix, Inc.		(34	)		(12,152	)
Equity LifeStyle Properties, Inc.		(170	)		(12,257	)
Extra Space Storage, Inc.		(166	)		(12,822	)
Federal Realty Investment Trust		(84	)		(11,937	)
First Industrial Realty Trust, Inc.		(426	)		(11,949	)
General Growth Properties, Inc.		(464	)		(11,591	)
Healthcare Trust of America, Inc., Class A		(416	)		(12,110	)
Iron Mountain, Inc.		(356	)		(11,563	)
Lamar Advertising Co., Class A		(178	)		(11,969	)
Macerich Co. (The)		(174	)		(12,326	)
Public Storage		(56	)		(12,516	)
Rayonier, Inc.		(442	)		(11,757	)
Realty Income Corp.		(212	)		(12,186	)
Regency Centers Corp.		(176	)		(12,135	)
Ryman Hospitality Properties, Inc.		(200	)		(12,602	)
Simon Property Group, Inc.		(66	)		(11,726	)
Sun Communities, Inc.		(164	)		(12,564	)
Tanger Factory Outlet Centers, Inc.		(340	)		(12,165	)
Taubman Centers, Inc.		(162	)		(11,977	)
UDR, Inc.		(344	)		(12,549	)
Urban Edge Properties		(434	)		(11,939	)
Vornado Realty Trust		(120	)		(12,524	)
Washington REIT		(380	)		(12,422	)
Weingarten Realty Investors		(330	)		(11,811	)
					(438,114	)
Food Products – (1.8)%
Hershey Co. (The)		(120	)		(12,412	)
Lancaster Colony Corp.		(86	)		(12,159	)
McCormick & Co., Inc. (Non-Voting)		(128	)		(11,946	)

Investments	Number of Shares			Value
Mead Johnson Nutrition Co.		(164	)	$	(11,605	)
					(48,122	)
Gas Utilities – (1.8)%
Atmos Energy Corp.		(164	)		(12,161	)
New Jersey Resources Corp.		(334	)		(11,857	)
ONE Gas, Inc.		(194	)		(12,408	)
WGL Holdings, Inc.		(164	)		(12,510	)
					(48,936	)
Health Care Equipment & Supplies – (1.3)%
ABIOMED, Inc.*		(104	)		(11,719	)
DexCom, Inc.*		(182	)		(10,865	)
IDEXX Laboratories, Inc.*		(102	)		(11,962	)
					(34,546	)
Health Care Technology – (1.3)%
athenahealth, Inc.*		(124	)		(13,041	)
Medidata Solutions, Inc.*		(230	)		(11,424	)
Veeva Systems, Inc., Class A*		(294	)		(11,966	)
					(36,431	)
Hotels, Restaurants & Leisure – (3.9)%
Chipotle Mexican Grill, Inc.*		(30	)		(11,320	)
Choice Hotels International, Inc.		(230	)		(12,892	)
Domino's Pizza, Inc.		(68	)		(10,828	)
Dunkin' Brands Group, Inc.		(228	)		(11,956	)
Jack in the Box, Inc.		(114	)		(12,727	)
McDonald's Corp.		(90	)		(10,955	)
Panera Bread Co., Class A*		(54	)		(11,075	)
Starbucks Corp.		(216	)		(11,992	)
Yum Brands, Inc.		(188	)		(11,906	)
					(105,651	)
Household Products – (1.3)%
Clorox Co. (The)		(102	)		(12,242	)
Colgate-Palmolive Co.		(180	)		(11,779	)
Energizer Holdings, Inc.		(264	)		(11,777	)
					(35,798	)
Industrial Conglomerates – (0.4)%
3M Co.		(68	)		(12,143	)
Insurance – (0.5)%
RLI Corp.		(198	)		(12,500	)
Internet & Direct Marketing Retail – (2.6)%
Amazon.com, Inc.*		(16	)		(11,998	)
Groupon, Inc.*		(3,576	)		(11,872	)
Liberty Ventures, Series A*		(304	)		(11,208	)
Netflix, Inc.*		(100	)		(12,380	)
Priceline Group, Inc. (The)*		(8	)		(11,729	)
TripAdvisor, Inc.*		(242	)		(11,222	)
					(70,409	)
Internet Software & Services – (1.4)%
CoStar Group, Inc.*		(62	)		(11,686	)
Pandora Media, Inc.*		(974	)		(12,701	)

See accompanying notes to the financial statements.

12

FQF Trust
QuantShares U.S. Market Neutral Value Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares			Value
Yelp, Inc.*		(336	)	$	(12,812	)
					(37,199	)
IT Services – (3.9)%
Accenture plc, Class A		(98	)		(11,479	)
Automatic Data Processing, Inc.		(118	)		(12,128	)
Broadridge Financial Solutions, Inc.		(182	)		(12,067	)
Fiserv, Inc.*		(104	)		(11,053	)
Gartner, Inc.*		(116	)		(11,724	)
Jack Henry & Associates, Inc.		(136	)		(12,074	)
Mastercard, Inc., Class A		(116	)		(11,977	)
Paychex, Inc.		(200	)		(12,176	)
Visa, Inc., Class A		(152	)		(11,859	)
					(106,537	)
Life Sciences Tools & Services – (0.8)%
Illumina, Inc.*		(88	)		(11,267	)
Mettler-Toledo International, Inc.*		(28	)		(11,720	)
					(22,987	)
Machinery – (3.8)%
Donaldson Co., Inc.		(276	)		(11,614	)
Fortive Corp.		(214	)		(11,477	)
Graco, Inc.		(140	)		(11,633	)
Illinois Tool Works, Inc.		(96	)		(11,756	)
Lincoln Electric Holdings, Inc.		(148	)		(11,347	)
Manitowoc Foodservice, Inc.*		(636	)		(12,294	)
Middleby Corp. (The)*		(84	)		(10,820	)
Nordson Corp.		(104	)		(11,653	)
Toro Co. (The)		(220	)		(12,309	)
					(104,903	)
Media – (0.9)%
Cable One, Inc.		(20	)		(12,435	)
Sirius XM Holdings, Inc.		(2,472	)		(11,000	)
					(23,435	)
Metals & Mining – (0.4)%
Compass Minerals International, Inc.		(140	)		(10,969	)
Multi-Utilities – (1.3)%
Black Hills Corp.		(200	)		(12,268	)
CMS Energy Corp.		(286	)		(11,903	)
Dominion Resources, Inc.		(160	)		(12,255	)
					(36,426	)
Oil, Gas & Consumable Fuels – (3.4)%
Cabot Oil & Gas Corp.		(528	)		(12,334	)
Cheniere Energy, Inc.*		(288	)		(11,932	)
Cimarex Energy Co.		(86	)		(11,688	)
Concho Resources, Inc.*		(84	)		(11,138	)
Diamondback Energy, Inc.*		(118	)		(11,925	)
EOG Resources, Inc.		(118	)		(11,930	)
Parsley Energy, Inc., Class A*		(330	)		(11,629	)
Pioneer Natural Resources Co.		(62	)		(11,164	)
					(93,740	)

Investments	Number of Shares			Value
Personal Products – (0.4)%
Estee Lauder Cos., Inc. (The), Class A		(152	)	$	(11,626	)
Professional Services – (0.4)%
Verisk Analytics, Inc.*		(142	)		(11,526	)
Road & Rail – (0.4)%
Landstar System, Inc.		(140	)		(11,942	)
Semiconductors & Semiconductor Equipment – (0.9)%
Advanced Micro Devices, Inc.*		(1,058	)		(11,998	)
NVIDIA Corp.		(110	)		(11,741	)
					(23,739	)
Software – (6.9)%
Aspen Technology, Inc.*		(222	)		(12,139	)
Autodesk, Inc.*		(162	)		(11,990	)
Blackbaud, Inc.		(188	)		(12,032	)
CDK Global, Inc.		(204	)		(12,177	)
Guidewire Software, Inc.*		(242	)		(11,938	)
Intuit, Inc.		(104	)		(11,919	)
Manhattan Associates, Inc.*		(222	)		(11,773	)
Proofpoint, Inc.*		(170	)		(12,010	)
salesforce.com, Inc.*		(162	)		(11,090	)
ServiceNow, Inc.*		(162	)		(12,043	)
Splunk, Inc.*		(234	)		(11,969	)
Tableau Software, Inc., Class A*		(264	)		(11,128	)
Take-Two Interactive Software, Inc.*		(230	)		(11,337	)
Tyler Technologies, Inc.*		(78	)		(11,136	)
Ultimate Software Group, Inc. (The)*		(66	)		(12,035	)
Workday, Inc., Class A*		(182	)		(12,028	)
					(188,744	)
Specialty Retail – (2.2)%
Home Depot, Inc. (The)		(90	)		(12,067	)
O'Reilly Automotive, Inc.*		(42	)		(11,693	)
Ross Stores, Inc.		(182	)		(11,939	)
TJX Cos., Inc. (The)		(160	)		(12,021	)
Ulta Salon Cosmetics & Fragrance, Inc.*		(44	)		(11,218	)
					(58,938	)
Textiles, Apparel & Luxury Goods – (1.3)%
Carter's, Inc.		(140	)		(12,095	)
Lululemon Athletica, Inc.*		(184	)		(11,958	)
NIKE, Inc., Class B		(234	)		(11,894	)
					(35,947	)
Tobacco – (0.9)%
Altria Group, Inc.		(184	)		(12,442	)
Philip Morris International, Inc.		(132	)		(12,077	)
					(24,519	)
Trading Companies & Distributors – (0.9)%
Fastenal Co.		(248	)		(11,651	)
Watsco, Inc.		(80	)		(11,850	)
					(23,501	)

See accompanying notes to the financial statements.

13

FQF Trust
QuantShares U.S. Market Neutral Value Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares			Value
Water Utilities – (0.9)%
American Water Works Co., Inc.		(162	)	$	(11,722	)
Aqua America, Inc.		(394	)		(11,836	)
					(23,558	)
Wireless Telecommunication Services – (0.4)%
Sprint Corp.*		(1,412	)		(11,889	)
Total Common Stocks (Proceeds $(2,337,606))					(2,381,673)
Total Short Positions (Proceeds $(2,337,606))					(2,381,673)
Total Investments — (1.1)% (Cost $(80,506))					(29,825)
Other Assets Less Liabilities — 101.1%					2,768,437
Net Assets — 100.0%				$	2,738,612

* Non-income producing security.

(a) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $1,119,415.

As of December 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	183,627
Aggregate gross unrealized depreciation		(227,021	)
Net unrealized depreciation	$	(43,394	)
Federal income tax cost of investments	$	13,569

Total Return Swap Agreements

Notional Amount	Expiration Date		Counterparty		Fund Pays		Fund Receives		Net Unrealized Appreciation/ (Depreciation)(2)			Cash Collateral (Received) Pledged		Net Amount(1)
347,248 USD		10/04/2017		Morgan Stanley		1.11%		Dow Jones U.S. Thematic Market Neutral Value Index (Fund has long exposure to companies with high “value” rankings(3))	$	48,912			—	$	48,912
(326,418) USD		10/04/2017		Morgan Stanley		Dow Jones U.S. Thematic Market Neutral Value Index (Fund has short exposure to companies with low “value” rankings(3))		0.44%		(22,539	)		—		(22,539	)
									$	26,373				$	26,373

(1) The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at year end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or “net” these amounts on its Statement of Assets and Liabilities.

(2) Represents the “uncollateralized” amount due from or (to) the counterparty at year end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum “thresholds” that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from the counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.

(3) A stock’s value ranking within its sector is determined by an equally weighted combination of the following ratios: expected earnings over the next twelve months to price; cash flow over the last twelve months to price; and most recent book value to price. Please refer to “Principal Investment Strategies” in the Fund’s Prospectus for additional information about the Fund’s Target Index.

See accompanying notes to the financial statements.

14

FQF Trust
QuantShares U.S. Market Neutral Size Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares		Value
Long Positions – 85.2%
Common Stocks – 85.2%
Aerospace & Defense – 0.8%
Esterline Technologies Corp.*(a)		106	$	9,455
Teledyne Technologies, Inc.*		74		9,102
				18,557
Airlines – 0.9%
Allegiant Travel Co.(a)		56		9,318
Spirit Airlines, Inc.*		168		9,721
				19,039
Auto Components – 1.3%
Dana, Inc.(a)		496		9,414
Tenneco, Inc.*		158		9,870
Visteon Corp.		118		9,480
				28,764
Banks – 4.8%
Associated Banc-Corp.(a)		410		10,127
Bank of Hawaii Corp.(a)		106		9,401
BankUnited, Inc.(a)		264		9,950
FNB Corp.(a)		612		9,810
IBERIABANK Corp.(a)		112		9,380
MB Financial, Inc.		216		10,202
TCF Financial Corp.		476		9,325
Texas Capital Bancshares, Inc.*		128		10,035
UMB Financial Corp.		122		9,409
United Bankshares, Inc.		202		9,342
Wintrust Financial Corp.		128		9,289
				106,270
Biotechnology – 2.6%
ACADIA Pharmaceuticals, Inc.*(a)		344		9,921
Intercept Pharmaceuticals, Inc.*		92		9,996
Intrexon Corp.*		386		9,380
Juno Therapeutics, Inc.*		464		8,746
Kite Pharma, Inc.*		208		9,327
Ultragenyx Pharmaceutical, Inc.*		134		9,421
				56,791
Building Products – 0.4%
Armstrong World Industries, Inc.*(a)		232		9,698
Capital Markets – 1.6%
Federated Investors, Inc., Class B(a)		336		9,502
Janus Capital Group, Inc.(a)		636		8,440
Legg Mason, Inc.		294		8,793
Stifel Financial Corp.*		188		9,391
				36,126

Investments		Number of Shares		Value
Chemicals – 1.8%
Cabot Corp.(a)			176	$	8,895
Platform Specialty Products Corp.*			1,002		9,830
PolyOne Corp.			310		9,932
Sensient Technologies Corp.			130		10,215
					38,872
Commercial Services & Supplies – 1.8%
Clean Harbors, Inc.*(a)			180		10,017
Deluxe Corp.(a)			142		10,169
Healthcare Services Group, Inc.(a)			224		8,774
Pitney Bowes, Inc.			644		9,782
					38,742
Communications Equipment – 1.2%
Ciena Corp.*(a)			384		9,373
Finisar Corp.*(a)			284		8,597
NetScout Systems, Inc.*			300		9,450
					27,420
Construction & Engineering – 1.2%
Chicago Bridge & Iron Co. NV(a)			278		8,827
EMCOR Group, Inc.(a)			132		9,340
Valmont Industries, Inc.			66		9,299
					27,466
Containers & Packaging – 0.8%
Owens-Illinois, Inc.*			508		8,844
Silgan Holdings, Inc.			184		9,417
					18,261
Distributors – 0.4%
Pool Corp.			90		9,391
Diversified Consumer Services – 0.4%
Graham Holdings Co., Class B(a)			18		9,215
Diversified Telecommunication Services – 0.4%
Frontier Communications Corp.(a)			2,546		8,605
Electric Utilities – 1.3%
ALLETE, Inc.(a)			142		9,115
PNM Resources, Inc.	��		292		10,015
Portland General Electric Co.			208		9,013
					28,143
Electrical Equipment – 1.3%
EnerSys(a)			116		9,060
Generac Holdings, Inc.*(a)			250		10,185
Regal Beloit Corp.			128		8,864
					28,109

See accompanying notes to the financial statements.

15

FQF Trust
QuantShares U.S. Market Neutral Size Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares		Value
Electronic Equipment, Instruments & Components – 2.6%
Belden, Inc.(a)		126	$	9,421
Jabil Circuit, Inc.(a)		394		9,326
Littelfuse, Inc.(a)		64		9,713
National Instruments Corp.		324		9,986
Tech Data Corp.*		108		9,145
Zebra Technologies Corp., Class A*		118		10,120
				57,711
Energy Equipment & Services – 3.0%
Diamond Offshore Drilling, Inc.*(a)		502		8,885
Dril-Quip, Inc.*(a)		164		9,848
Ensco plc, Class A(a)		968		9,409
Nabors Industries Ltd.		574		9,414
Oceaneering International, Inc.		350		9,874
Patterson-UTI Energy, Inc.		346		9,314
Superior Energy Services, Inc.		544		9,183
				65,927
Equity Real Estate Investment Trusts (REITs) – 7.8%
Brandywine Realty Trust(a)		592		9,774
Columbia Property Trust, Inc.(a)		428		9,245
Cousins Properties, Inc.(a)		1,164		9,906
CyrusOne, Inc.(a)		220		9,841
DuPont Fabros Technology, Inc.(a)		216		9,489
First Industrial Realty Trust, Inc.(a)		326		9,144
Gramercy Property Trust(a)		1,054		9,676
Healthcare Realty Trust, Inc.(a)		316		9,581
LaSalle Hotel Properties(a)		330		10,055
Outfront Media, Inc.		408		10,147
Paramount Group, Inc.		594		9,498
Piedmont Office Realty Trust, Inc., Class A		426		8,908
Rayonier, Inc.		360		9,576
RLJ Lodging Trust		382		9,355
Ryman Hospitality Properties, Inc.		158		9,955
Sunstone Hotel Investors, Inc.		640		9,760
Tanger Factory Outlet Centers, Inc.		260		9,303
Urban Edge Properties		350		9,628
				172,841
Food Products – 2.2%
B&G Foods, Inc.(a)		218		9,549
Flowers Foods, Inc.(a)		466		9,306
Hain Celestial Group, Inc. (The)*		240		9,367
Lancaster Colony Corp.(a)		72		10,180
Snyder’s-Lance, Inc.		248		9,508
				47,910
Gas Utilities – 1.7%
New Jersey Resources Corp.		274		9,727
ONE Gas, Inc.		146		9,338

Investments	Number of Shares		Value
Southwest Gas Corp.		132	$	10,114
WGL Holdings, Inc.		122		9,306
				38,485
Health Care Equipment & Supplies – 0.4%
NuVasive, Inc.*		138		9,296
Health Care Providers & Services – 2.5%
Acadia Healthcare Co., Inc.*(a)		282		9,334
Brookdale Senior Living, Inc.*(a)		800		9,936
HealthSouth Corp.(a)		226		9,320
LifePoint Health, Inc.*		160		9,088
Molina Healthcare, Inc.*		172		9,333
Owens & Minor, Inc.		260		9,176
				56,187
Health Care Technology – 0.4%
Medidata Solutions, Inc.*		174		8,643
Hotels, Restaurants & Leisure – 3.4%
Brinker International, Inc.(a)		172		8,519
Buffalo Wild Wings, Inc.*(a)		56		8,646
Cheesecake Factory, Inc. (The)(a)		158		9,461
Choice Hotels International, Inc.(a)		166		9,304
Cracker Barrel Old Country Store, Inc.		58		9,685
Jack in the Box, Inc.(a)		84		9,378
Texas Roadhouse, Inc.		194		9,359
Wendy’s Co. (The)		738		9,978
				74,330
Household Durables – 1.3%
CalAtlantic Group, Inc.		276		9,387
Tempur Sealy International, Inc.*		148		10,105
Tupperware Brands Corp.		166		8,735
				28,227
Household Products – 0.4%
Energizer Holdings, Inc.(a)		210		9,368
Insurance – 2.2%
Aspen Insurance Holdings Ltd.(a)		170		9,350
CNO Financial Group, Inc.(a)		522		9,996
Primerica, Inc.		132		9,128
ProAssurance Corp.		182		10,229
RLI Corp.		148		9,343
				48,046
Internet & Direct Marketing Retail – 0.4%
Groupon, Inc.*(a)		2,800		9,296
Internet Software & Services – 0.8%
j2 Global, Inc.(a)		114		9,325
Pandora Media, Inc.*		716		9,337
				18,662

See accompanying notes to the financial statements.

16

FQF Trust
QuantShares U.S. Market Neutral Size Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares		Value
IT Services – 2.9%
Convergys Corp.(a)		368	$	9,038
CoreLogic, Inc.*(a)		246		9,060
DST Systems, Inc.(a)		90		9,644
EPAM Systems, Inc.*(a)		132		8,489
Euronet Worldwide, Inc.*(a)		130		9,416
MAXIMUS, Inc.		174		9,707
Teradata Corp.*		344		9,347
				64,701
Leisure Products – 0.8%
Brunswick Corp.(a)		172		9,381
Vista Outdoor, Inc.*		232		8,561
				17,942
Life Sciences Tools & Services – 0.9%
Bruker Corp.(a)		442		9,362
PAREXEL International Corp.*		156		10,252
				19,614
Machinery – 2.6%
Crane Co.(a)		126		9,087
ITT, Inc.(a)		254		9,797
Terex Corp.		304		9,585
Timken Co. (The)		236		9,369
Trinity Industries, Inc.		336		9,328
Woodward, Inc.		146		10,081
				57,247
Marine – 0.5%
Kirby Corp.*(a)		150		9,975
Media – 3.3%
AMC Networks, Inc., Class A*(a)		170		8,898
Cable One, Inc.(a)		14		8,704
John Wiley & Sons, Inc., Class A(a)		162		8,829
Liberty Global plc LiLAC, Class C*		440		9,315
Lions Gate Entertainment Corp., Class B*(a)		382		9,374
Madison Square Garden Co. (The), Class A*		54		9,262
Regal Entertainment Group, Class A		454		9,352
Tribune Media Co., Class A		276		9,654
				73,388
Metals & Mining – 1.3%
Compass Minerals International, Inc.(a)		120		9,402
Royal Gold, Inc.		146		9,249
Worthington Industries, Inc.		198		9,393
				28,044
Mortgage Real Estate Investment Trusts (REITs) – 2.2%
Blackstone Mortgage Trust, Inc., Class A(a)		312		9,382

Investments	Number of Shares		Value
Chimera Investment Corp.(a)		586	$	9,973
MFA Financial, Inc.		1,238		9,446
New Residential Investment Corp.		604		9,495
Two Harbors Investment Corp.		1,068		9,313
				47,609
Multiline Retail – 0.4%
JC Penney Co., Inc.*(a)		1,030		8,559
Multi-Utilities – 0.8%
Black Hills Corp.(a)		154		9,446
NorthWestern Corp.		150		8,531
				17,977
Oil, Gas & Consumable Fuels – 2.1%
Gulfport Energy Corp.*(a)		436		9,435
PBF Energy, Inc., Class A		336		9,368
SM Energy Co.		246		8,482
Whiting Petroleum Corp.*		780		9,375
World Fuel Services Corp.(a)		204		9,366
				46,026
Paper & Forest Products – 0.4%
Domtar Corp.		236		9,211
Personal Products – 0.8%
Edgewell Personal Care Co.*(a)		120		8,759
Nu Skin Enterprises, Inc., Class A		178		8,505
				17,264
Pharmaceuticals – 1.3%
Akorn, Inc.*(a)		438		9,562
Catalent, Inc.*(a)		356		9,598
Horizon Pharma plc*(a)		580		9,384
				28,544
Real Estate Management & Development – 0.5%
Realogy Holdings Corp.		384		9,880
Road & Rail – 1.3%
Avis Budget Group, Inc.*(a)		266		9,757
Landstar System, Inc.		114		9,724
Ryder System, Inc.		118		8,784
				28,265
Semiconductors & Semiconductor Equipment – 2.2%
Cirrus Logic, Inc.*(a)		172		9,725
Cree, Inc.*(a)		384		10,134
Cypress Semiconductor Corp.(a)		898		10,273
First Solar, Inc.*		292		9,370
Integrated Device Technology, Inc.*(a)		400		9,424
				48,926

See accompanying notes to the financial statements.

17

FQF Trust
QuantShares U.S. Market Neutral Size Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares			Value
Software – 3.7%
ACI Worldwide, Inc.*(a)		512		$	9,293
Blackbaud, Inc.(a)		138			8,832
Ellie Mae, Inc.*(a)		114			9,540
FireEye, Inc.*(a)		776			9,235
Manhattan Associates, Inc.*		176			9,333
Proofpoint, Inc.*		122			8,619
Tableau Software, Inc., Class A*(a)		222			9,357
Take-Two Interactive Software, Inc.*		190			9,365
Verint Systems, Inc.*		244			8,601
					82,175
Specialty Retail – 1.7%
American Eagle Outfitters, Inc.(a)		618			9,375
GameStop Corp., Class A(a)		378			9,548
Murphy USA, Inc.*		152			9,344
Urban Outfitters, Inc.*		330			9,398
					37,665
Textiles, Apparel & Luxury Goods – 0.8%
Carter’s, Inc.(a)		106			9,157
Skechers U.S.A., Inc., Class A*		380			9,341
					18,498
Thrifts & Mortgage Finance – 0.8%
MGIC Investment Corp.*		918			9,354
Radian Group, Inc.		520			9,350
					18,704
Trading Companies & Distributors – 1.3%
Air Lease Corp.(a)		260			8,926
MSC Industrial Direct Co., Inc., Class A		104			9,608
WESCO International, Inc.*		140			9,317
					27,851
Wireless Telecommunication Services – 0.5%
Telephone & Data Systems, Inc.		348			10,047
Total Common Stocks (Cost $1,768,174)					1,882,510
Total Long Positions (Cost $1,768,174)					1,882,510
Short Positions – (83.5)%
Common Stocks – (83.5)%
Aerospace & Defense – (2.5)%
Boeing Co. (The)		(62	)		(9,652	)
General Dynamics Corp.		(52	)		(8,978	)
Lockheed Martin Corp.		(34	)		(8,498	)
Northrop Grumman Corp.		(38	)		(8,838	)
Raytheon Co.		(66	)		(9,372	)
United Technologies Corp.		(88	)		(9,647	)
					(54,985	)

Investments	Number of Shares			Value
Air Freight & Logistics – (0.9)%
FedEx Corp.		(50	)	$	(9,310	)
United Parcel Service, Inc., Class B		(82	)		(9,400	)
					(18,710	)
Airlines – (0.4)%
Delta Air Lines, Inc.		(190	)		(9,346	)
Automobiles – (0.8)%
Ford Motor Co.		(764	)		(9,267	)
General Motors Co.		(264	)		(9,198	)
					(18,465	)
Banks – (3.5)%
Bank of America Corp.		(436	)		(9,635	)
BB&T Corp.		(204	)		(9,592	)
Citigroup, Inc.		(162	)		(9,628	)
JPMorgan Chase & Co.		(114	)		(9,837	)
PNC Financial Services Group, Inc. (The)		(82	)		(9,591	)
SunTrust Banks, Inc.		(176	)		(9,654	)
US Bancorp		(196	)		(10,068	)
Wells Fargo & Co.		(174	)��		(9,589	)
					(77,594	)
Beverages – (1.6)%
Coca-Cola Co. (The)		(226	)		(9,370	)
Constellation Brands, Inc., Class A		(54	)		(8,279	)
Monster Beverage Corp.*		(204	)		(9,045	)
PepsiCo, Inc.		(84	)		(8,789	)
					(35,483	)
Biotechnology – (2.4)%
AbbVie, Inc.		(146	)		(9,143	)
Amgen, Inc.		(58	)		(8,480	)
Biogen, Inc.*		(32	)		(9,075	)
Celgene Corp.*		(78	)		(9,028	)
Gilead Sciences, Inc.		(120	)		(8,593	)
Regeneron Pharmaceuticals, Inc.*		(26	)		(9,544	)
					(53,863	)
Building Products – (0.4)%
Johnson Controls International plc		(224	)		(9,227	)
Capital Markets – (4.2)%
Bank of New York Mellon Corp. (The)		(194	)		(9,192	)
BlackRock, Inc.		(26	)		(9,894	)
Charles Schwab Corp. (The)		(238	)		(9,394	)
CME Group, Inc.		(84	)		(9,689	)
Franklin Resources, Inc.		(232	)		(9,183	)
Goldman Sachs Group, Inc. (The)		(38	)		(9,099	)
Intercontinental Exchange, Inc.		(160	)		(9,027	)
Morgan Stanley		(222	)		(9,380	)
S&P Global, Inc.		(86	)		(9,248	)

See accompanying notes to the financial statements.

18

FQF Trust
QuantShares U.S. Market Neutral Size Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares			Value
State Street Corp.		(124	)	$	(9,637	)
					(93,743	)
Chemicals – (3.3)%
Air Products & Chemicals, Inc.		(66	)		(9,492	)
Dow Chemical Co. (The)		(164	)		(9,384	)
Ecolab, Inc.		(80	)		(9,378	)
LyondellBasell Industries NV, Class A		(102	)		(8,750	)
Monsanto Co.		(82	)		(8,627	)
PPG Industries, Inc.		(90	)		(8,528	)
Praxair, Inc.		(74	)		(8,672	)
Sherwin-Williams Co. (The)		(36	)		(9,675	)
					(72,506	)
Commercial Services & Supplies – (0.9)%
Republic Services, Inc.		(178	)		(10,155	)
Waste Management, Inc.		(136	)		(9,644	)
					(19,799	)
Communications Equipment – (0.4)%
Cisco Systems, Inc.		(312	)		(9,429	)
Consumer Finance – (1.8)%
American Express Co.		(132	)		(9,779	)
Capital One Financial Corp.		(106	)		(9,248	)
Discover Financial Services		(136	)		(9,804	)
Synchrony Financial		(268	)		(9,720	)
					(38,551	)
Containers & Packaging – (0.4)%
International Paper Co.		(174	)		(9,232	)
Diversified Financial Services – (0.4)%
Berkshire Hathaway, Inc., Class B*		(56	)		(9,127	)
Diversified Telecommunication Services – (0.8)%
AT&T, Inc.		(216	)		(9,186	)
Verizon Communications, Inc.		(176	)		(9,395	)
					(18,581	)
Electric Utilities – (2.9)%
American Electric Power Co., Inc.		(154	)		(9,696	)
Duke Energy Corp.		(114	)		(8,849	)
Exelon Corp.		(254	)		(9,014	)
NextEra Energy, Inc.		(80	)		(9,557	)
PG&E Corp.		(140	)		(8,508	)
PPL Corp.		(272	)		(9,261	)
Southern Co. (The)		(180	)		(8,854	)
					(63,739	)
Electrical Equipment – (0.9)%
Eaton Corp. plc		(146	)		(9,795	)
Emerson Electric Co.		(168	)		(9,366	)
					(19,161	)

Investments	Number of Shares			Value
Electronic Equipment, Instruments & Components – (1.3)%
Amphenol Corp., Class A		(140	)	$	(9,408	)
Corning, Inc.		(380	)		(9,222	)
TE Connectivity Ltd.		(142	)		(9,838	)
					(28,468	)
Energy Equipment & Services – (0.8)%
Halliburton Co.		(170	)		(9,195	)
Schlumberger Ltd.		(110	)		(9,235	)
					(18,430	)
Equity Real Estate Investment Trusts (REITs) – (5.1)%
American Tower Corp.		(88	)		(9,300	)
AvalonBay Communities, Inc.		(52	)		(9,212	)
Crown Castle International Corp.		(110	)		(9,545	)
Equinix, Inc.		(28	)		(10,007	)
Equity Residential		(152	)		(9,783	)
General Growth Properties, Inc.		(354	)		(8,843	)
Prologis, Inc.		(168	)		(8,869	)
Public Storage		(42	)		(9,387	)
Simon Property Group, Inc.		(50	)		(8,883	)
Ventas, Inc.		(152	)		(9,503	)
Welltower, Inc.		(144	)		(9,638	)
Weyerhaeuser Co.		(288	)		(8,666	)
					(111,636	)
Food & Staples Retailing – (2.5)%
Costco Wholesale Corp.		(58	)		(9,286	)
CVS Health Corp.		(118	)		(9,311	)
Kroger Co. (The)		(266	)		(9,180	)
Sysco Corp.		(172	)		(9,524	)
Walgreens Boots Alliance, Inc.		(112	)		(9,269	)
Wal-Mart Stores, Inc.		(134	)		(9,262	)
					(55,832	)
Food Products – (1.7)%
General Mills, Inc.		(142	)		(8,771	)
Kellogg Co.		(126	)		(9,287	)
Kraft Heinz Co. (The)		(102	)		(8,907	)
Mondelez International, Inc., Class A		(220	)		(9,753	)
					(36,718	)
Health Care Equipment & Supplies – (1.6)%
Abbott Laboratories		(240	)		(9,218	)
Danaher Corp.		(116	)		(9,030	)
Medtronic plc		(126	)		(8,975	)
Stryker Corp.		(74	)		(8,866	)
					(36,089	)
Health Care Providers & Services – (2.1)%
Aetna, Inc.		(74	)		(9,177	)
Cardinal Health, Inc.		(128	)		(9,212	)
Express Scripts Holding Co.*		(128	)		(8,805	)

See accompanying notes to the financial statements.

19

FQF Trust
QuantShares U.S. Market Neutral Size Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares			Value
McKesson Corp.		(70	)	$	(9,832	)
UnitedHealth Group, Inc.		(58	)		(9,282	)
					(46,308	)
Hotels, Restaurants & Leisure ��� (2.0)%
Carnival Corp.		(184	)		(9,579	)
Las Vegas Sands Corp.		(158	)		(8,439	)
Marriott International, Inc., Class A		(116	)		(9,591	)
McDonald’s Corp.		(72	)		(8,764	)
Starbucks Corp.		(154	)		(8,550	)
					(44,923	)
Household Products – (1.2)%
Colgate-Palmolive Co.		(130	)		(8,507	)
Kimberly-Clark Corp.		(78	)		(8,902	)
Procter & Gamble Co. (The)		(100	)		(8,408	)
					(25,817	)
Industrial Conglomerates – (1.3)%
3M Co.		(54	)		(9,643	)
General Electric Co.		(284	)		(8,974	)
Honeywell International, Inc.		(80	)		(9,268	)
					(27,885	)
Insurance – (3.8)%
Aflac, Inc.		(124	)		(8,630	)
Allstate Corp. (The)		(128	)		(9,487	)
American International Group, Inc.		(142	)		(9,274	)
Aon plc		(88	)		(9,815	)
Chubb Ltd.		(72	)		(9,513	)
Marsh & McLennan Cos., Inc.		(130	)		(8,787	)
MetLife, Inc.		(168	)		(9,053	)
Prudential Financial, Inc.		(92	)		(9,574	)
Travelers Cos., Inc. (The)		(74	)		(9,059	)
					(83,192	)
Internet & Direct Marketing Retail – (1.3)%
Amazon.com, Inc.*		(12	)		(8,999	)
Netflix, Inc.*		(78	)		(9,656	)
Priceline Group, Inc. (The)*		(6	)		(8,796	)
					(27,451	)
Internet Software & Services – (1.7)%
Alphabet, Inc., Class C*		(12	)		(9,262	)
eBay, Inc.*		(328	)		(9,738	)
Facebook, Inc., Class A*		(78	)		(8,974	)
Yahoo!, Inc.*		(238	)		(9,203	)
					(37,177	)
IT Services – (4.2)%
Accenture plc, Class A		(76	)		(8,902	)
Automatic Data Processing, Inc.		(98	)		(10,073	)
Cognizant Technology Solutions Corp., Class A*		(172	)		(9,637	)

Investments	Number of Shares			Value
Fidelity National Information Services, Inc.		(124	)	$	(9,379	)
Fiserv, Inc.*		(86	)		(9,140	)
International Business Machines Corp.		(60	)		(9,959	)
Mastercard, Inc., Class A		(82	)		(8,467	)
Paychex, Inc.		(150	)		(9,132	)
PayPal Holdings, Inc.*		(212	)		(8,368	)
Visa, Inc., Class A		(118	)		(9,206	)
					(92,263	)
Life Sciences Tools & Services – (0.4)%
Thermo Fisher Scientific, Inc.		(60	)		(8,466	)
Machinery – (2.1)%
Caterpillar, Inc.		(96	)		(8,903	)
Cummins, Inc.		(64	)		(8,747	)
Deere & Co.		(90	)		(9,274	)
Illinois Tool Works, Inc.		(80	)		(9,797	)
PACCAR, Inc.		(156	)		(9,968	)
					(46,689	)
Media – (1.7)%
Charter Communications, Inc.*		(34	)		(9,789	)
Comcast Corp., Class A		(136	)		(9,391	)
Twenty-First Century Fox, Inc., Class A		(324	)		(9,085	)
Walt Disney Co. (The)		(94	)		(9,797	)
					(38,062	)
Metals & Mining – (0.8)%
Newmont Mining Corp.		(282	)		(9,608	)
Nucor Corp.		(146	)		(8,690	)
					(18,298	)
Multiline Retail – (0.4)%
Target Corp.		(118	)		(8,523	)
Multi-Utilities – (0.8)%
Dominion Resources, Inc.		(122	)		(9,344	)
Sempra Energy		(86	)		(8,655	)
					(17,999	)
Oil, Gas & Consumable Fuels – (4.6)%
Anadarko Petroleum Corp.		(142	)		(9,902	)
Chevron Corp.		(78	)		(9,181	)
ConocoPhillips		(202	)		(10,128	)
EOG Resources, Inc.		(94	)		(9,503	)
Exxon Mobil Corp.		(104	)		(9,387	)
Kinder Morgan, Inc.		(418	)		(8,657	)
Occidental Petroleum Corp.		(124	)		(8,833	)
Phillips 66		(108	)		(9,332	)
Pioneer Natural Resources Co.		(50	)		(9,003	)
Spectra Energy Corp.		(224	)		(9,204	)
Valero Energy Corp.		(134	)		(9,155	)
					(102,285	)

See accompanying notes to the financial statements.

20

FQF Trust
QuantShares U.S. Market Neutral Size Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares			Value
Pharmaceuticals – (2.1)%
Bristol-Myers Squibb Co.		(158	)	$	(9,233	)
Eli Lilly & Co.		(136	)		(10,003	)
Johnson & Johnson		(74	)		(8,526	)
Merck & Co., Inc.		(154	)		(9,066	)
Pfizer, Inc.		(284	)		(9,224	)
					(46,052	)
Road & Rail – (1.3)%
CSX Corp.		(256	)		(9,198	)
Norfolk Southern Corp.		(86	)		(9,294	)
Union Pacific Corp.		(88	)		(9,124	)
					(27,616	)
Semiconductors & Semiconductor Equipment – (3.0)%
Analog Devices, Inc.		(124	)		(9,005	)
Applied Materials, Inc.		(304	)		(9,810	)
Broadcom Ltd.		(56	)		(9,899	)
Intel Corp.		(262	)		(9,503	)
NVIDIA Corp.		(86	)		(9,180	)
QUALCOMM, Inc.		(130	)		(8,476	)
Texas Instruments, Inc.		(128	)		(9,340	)
					(65,213	)
Software – (2.4)%
Activision Blizzard, Inc.		(250	)		(9,027	)
Adobe Systems, Inc.*		(82	)		(8,442	)
Intuit, Inc.		(80	)		(9,169	)
Microsoft Corp.		(156	)		(9,694	)
Oracle Corp.		(218	)		(8,382	)
salesforce.com, Inc.*		(126	)		(8,626	)
					(53,340	)
Specialty Retail – (1.6)%
Home Depot, Inc. (The)		(70	)		(9,386	)
Lowe’s Cos., Inc.		(126	)		(8,961	)
O’Reilly Automotive, Inc.*		(32	)		(8,909	)
TJX Cos., Inc. (The)		(120	)		(9,015	)
					(36,271	)

Investments	Number of Shares			Value
Technology Hardware, Storage & Peripherals – (1.2)%
Apple, Inc.		(80	)	$	(9,265	)
Hewlett Packard Enterprise Co.		(386	)		(8,932	)
HP, Inc.		(576	)		(8,548	)
					(26,745	)
Textiles, Apparel & Luxury Goods – (0.8)%
NIKE, Inc., Class B		(164	)		(8,336	)
VF Corp.		(168	)		(8,963	)
					(17,299	)
Tobacco – (1.2)%
Altria Group, Inc.		(130	)		(8,791	)
Philip Morris International, Inc.		(104	)		(9,515	)
Reynolds American, Inc.		(160	)		(8,966	)
					(27,272	)
Total Common Stocks (Proceeds $(1,754,411))					(1,843,860	)
Total Short Positions (Proceeds $(1,754,411))					(1,843,860	)
Total Investments — 1.7% (Cost $13,763)					38,650
Other Assets Less Liabilities — 98.3%					2,171,373
Net Assets — 100.0%				$	2,210,023

* Non-income producing security.

(a) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $897,637.

As of December 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	108,677
Aggregate gross unrealized depreciation		(336,748	)
Net unrealized depreciation	$	(228,071	)
Federal income tax cost of investments	$	266,721

See accompanying notes to the financial statements.

21

FQF Trust
QuantShares U.S. Market Neutral Size Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Total Return Swap Agreements

Notional Amount	Expiration Date		Counterparty		Fund Pays		Fund Receives		Net Unrealized Appreciation/ (Depreciation)(1)			Cash Collateral (Received) Pledged			Net Amount(2)
287,290 USD		10/04/2017		Morgan Stanley		1.11%		Dow Jones U.S. Thematic Market Neutral Size Index (Fund has long exposure to small-cap companies(3))	$	55,966			—		$	55,966
(318,632) USD		10/04/2017		Morgan Stanley		Dow Jones U.S. Thematic Market Neutral Size Index (Fund has short exposure to large-cap companies(3))		0.44%		(56,626	)	$	10,000	(4)		(46,626	)
									$	(660	)				$	9,340

(1) The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at year end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or “net” these amounts on its Statement of Assets and Liabilities.

(2) Represents the “uncollateralized” amount due from or (to) the counterparty at year end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum “thresholds” that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from the counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.

(3) Stocks are ranked within the Target Index based on each company’s market capitalization. Please refer to “Principal Investment Strategies” in the Fund’s Prospectus for additional information about the Fund’s Target Index.

(4) Reflects all or a portion of the amount disclosed on the Statement of Assets and Liabilities as “Segregated cash balance with custodian for swap agreements”. Under U.S. Generally Accepted Accounting Principles (“GAAP”), the amount disclosed under this caption may not exceed the amount of the liability being collateralized for the benefit of the counterparty.

See accompanying notes to the financial statements.

22

FQF Trust
QuantShares U.S. Market Neutral Anti-Beta Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares		Value
Long Positions – 90.1%
Common Stocks – 90.1%
Aerospace & Defense – 3.6%
Huntington Ingalls Industries, Inc.(a)		240	$	44,206
L-3 Communications Holdings, Inc.(a)		290		44,112
Lockheed Martin Corp.(a)		180		44,989
Northrop Grumman Corp.(a)		190		44,190
Orbital ATK, Inc.(a)		510		44,742
Raytheon Co.(a)		310		44,020
Spirit AeroSystems Holdings, Inc., Class A(a)		760		44,346
TransDigm Group, Inc.		180		44,813
				355,418
Air Freight & Logistics – 1.4%
CH Robinson Worldwide, Inc.(a)		610		44,689
Expeditors International of Washington, Inc.(a)		840		44,486
United Parcel Service, Inc., Class B		390		44,710
				133,885
Beverages – 0.9%
Constellation Brands, Inc., Class A(a)		290		44,460
Dr Pepper Snapple Group, Inc.(a)		490		44,428
				88,888
Chemicals – 2.3%
Ashland Global Holdings, Inc.		410		44,809
Dow Chemical Co. (The)(a)		780		44,632
International Flavors & Fragrances, Inc.(a)		380		44,775
Praxair, Inc.(a)		380		44,532
Scotts Miracle-Gro Co. (The), Class A(a)		470		44,909
				223,657
Commercial Services & Supplies – 0.9%
Republic Services, Inc.(a)		780		44,499
Waste Management, Inc.		630		44,673
				89,172
Communications Equipment – 0.9%
F5 Networks, Inc.*(a)		310		44,863
Juniper Networks, Inc.(a)		1,580		44,651
				89,514
Containers & Packaging – 2.2%
AptarGroup, Inc.(a)		600		44,070
Avery Dennison Corp.(a)		630		44,238
Ball Corp.(a)		590		44,291
Graphic Packaging Holding Co.(a)		3,570		44,554
Silgan Holdings, Inc.(a)		870		44,527
				221,680

Investments	Number of Shares		Value
Diversified Consumer Services – 0.4%
H&R Block, Inc.(a)		1,930	$	44,371
Diversified Telecommunication Services – 1.4%
AT&T, Inc.		1,050		44,657
Verizon Communications, Inc.		830		44,305
Zayo Group Holdings, Inc.*		1,350		44,361
				133,323
Electric Utilities – 2.7%
Alliant Energy Corp.(a)		1,170		44,331
Duke Energy Corp.(a)		570		44,243
NextEra Energy, Inc.(a)		370		44,200
OGE Energy Corp.(a)		1,320		44,154
Portland General Electric Co.(a)		1,020		44,197
Xcel Energy, Inc.		1,090		44,363
				265,488
Electronic Equipment, Instruments & Components – 0.5%
FLIR Systems, Inc.(a)		1,230		44,514
Energy Equipment & Services – 0.4%
Schlumberger Ltd.		530		44,493
Equity Real Estate Investment Trusts (REITs) – 15.8%
American Campus Communities, Inc.(a)		890		44,295
Apartment Investment & Management Co., Class A		980		44,541
Apple Hospitality REIT, Inc.(a)		2,230		44,556
AvalonBay Communities, Inc.(a)		250		44,288
Brixmor Property Group, Inc.(a)		1,830		44,689
Columbia Property Trust, Inc.(a)		2,060		44,496
CoreSite Realty Corp.(a)		560		44,447
Crown Castle International Corp.(a)		510		44,253
CubeSmart(a)		1,670		44,706
Digital Realty Trust, Inc.(a)		450		44,217
Education Realty Trust, Inc.(a)		1,050		44,415
EPR Properties(a)		620		44,497
Equinix, Inc.(a)		120		42,889
Equity Commonwealth*		1,470		44,453
Equity LifeStyle Properties, Inc.(a)		620		44,702
Equity Residential(a)		690		44,408
Essex Property Trust, Inc.(a)		190		44,175
Extra Space Storage, Inc.(a)		580		44,799
Federal Realty Investment Trust(a)		310		44,054
Gaming and Leisure Properties, Inc.(a)		1,460		44,705
Healthcare Realty Trust, Inc.(a)		1,470		44,570
Healthcare Trust of America, Inc., Class A(a)		1,530		44,538
Life Storage, Inc.(a)		520		44,335
Mid-America Apartment Communities, Inc.(a)		460		45,043
National Retail Properties, Inc.(a)		1,000		44,200

See accompanying notes to the financial statements.

23

FQF Trust
QuantShares U.S. Market Neutral Anti-Beta Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares		Value
Public Storage(a)		200	$	44,700
Realty Income Corp.(a)		770		44,260
Retail Properties of America, Inc., Class A(a)		2,900		44,457
Senior Housing Properties Trust(a)		2,350		44,486
Spirit Realty Capital, Inc.(a)		4,140		44,960
STORE Capital Corp.(a)		1,800		44,478
Sun Communities, Inc.(a)		580		44,434
UDR, Inc.		1,230		44,871
Ventas, Inc.		710		44,389
Welltower, Inc.(a)		670		44,843
				1,556,149
Food & Staples Retailing – 3.1%
Casey's General Stores, Inc.(a)		370		43,986
CVS Health Corp.(a)		560		44,190
Kroger Co. (The)(a)		1,290		44,518
Sysco Corp.		800		44,296
Walgreens Boots Alliance, Inc.		540		44,690
Wal-Mart Stores, Inc.		640		44,237
Whole Foods Market, Inc.		1,440		44,294
				310,211
Food Products – 3.6%
B&G Foods, Inc.(a)		1,010		44,238
Campbell Soup Co.(a)		740		44,748
Conagra Brands, Inc.(a)		1,120		44,296
Hershey Co. (The)(a)		430		44,475
Hormel Foods Corp.(a)		1,280		44,557
Kellogg Co.(a)		600		44,226
Pinnacle Foods, Inc.(a)		830		44,363
Tyson Foods, Inc., Class A		720		44,409
				355,312
Health Care Equipment & Supplies – 4.5%
Baxter International, Inc.(a)		1,000		44,340
Boston Scientific Corp.*(a)		2,060		44,558
CR Bard, Inc.(a)		200		44,932
Edwards Lifesciences Corp.*(a)		470		44,039
Hill-Rom Holdings, Inc.(a)		790		44,350
Intuitive Surgical, Inc.*(a)		70		44,392
Medtronic plc(a)		620		44,163
ResMed, Inc.(a)		710		44,055
Stryker Corp.		370		44,330
Teleflex, Inc.		280		45,122
				444,281
Health Care Providers & Services – 2.3%
Centene Corp.*(a)		790		44,643
HCA Holdings, Inc.*(a)		600		44,412
HealthSouth Corp.(a)		1,080		44,539
LifePoint Health, Inc.*(a)		780		44,304

Investments	Number of Shares		Value
Universal Health Services, Inc., Class B		420	$	44,680
				222,578
Health Care Technology – 0.5%
Cerner Corp.*(a)		940		44,528
Hotels, Restaurants & Leisure – 5.0%
Aramark(a)		1,240		44,293
Brinker International, Inc.(a)		900		44,577
Cheesecake Factory, Inc. (The)(a)		740		44,311
Chipotle Mexican Grill, Inc.*(a)		120		45,278
Cracker Barrel Old Country Store, Inc.		270		45,085
Darden Restaurants, Inc.(a)		610		44,359
Domino's Pizza, Inc.		280		44,587
Dunkin' Brands Group, Inc.(a)		850		44,574
Jack in the Box, Inc.(a)		400		44,656
McDonald's Corp.(a)		360		43,819
Panera Bread Co., Class A*(a)		220		45,120
				490,659
Household Products – 2.2%
Church & Dwight Co., Inc.(a)		1,000		44,190
Clorox Co. (The)(a)		370		44,407
Kimberly-Clark Corp.(a)		390		44,507
Procter & Gamble Co. (The)(a)		530		44,562
Spectrum Brands Holdings, Inc.(a)		360		44,039
				221,705
Insurance – 4.0%
Aon plc(a)		400		44,612
Arch Capital Group Ltd.*(a)		510		44,008
Axis Capital Holdings Ltd.(a)		680		44,384
Everest Re Group Ltd.(a)		200		43,280
Old Republic International Corp.(a)		2,330		44,270
ProAssurance Corp.(a)		790		44,398
RenaissanceRe Holdings Ltd.(a)		330		44,953
Validus Holdings Ltd.		810		44,558
White Mountains Insurance Group Ltd.		50		41,802
				396,265
Internet Software & Services – 1.8%
Akamai Technologies, Inc.*		670		44,676
eBay, Inc.*(a)		1,500		44,535
Facebook, Inc., Class A*(a)		390		44,869
GrubHub, Inc.*(a)		1,180		44,392
				178,472
IT Services – 5.9%
Amdocs Ltd.(a)		760		44,270
Booz Allen Hamilton Holding Corp.(a)		1,230		44,366
Broadridge Financial Solutions, Inc.(a)		670		44,421
Cognizant Technology Solutions Corp., Class A*		790		44,264

See accompanying notes to the financial statements.

24

FQF Trust
QuantShares U.S. Market Neutral Anti-Beta Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares		Value
CoreLogic, Inc.*(a)		1,200	$	44,196
Euronet Worldwide, Inc.*(a)		610		44,182
Fidelity National Information Services, Inc.(a)		590		44,628
Gartner, Inc.*(a)		440		44,471
Genpact Ltd.*(a)		1,830		44,542
International Business Machines Corp.(a)		270		44,817
Jack Henry & Associates, Inc.(a)		500		44,390
Leidos Holdings, Inc.		870		44,492
Vantiv, Inc., Class A*		750		44,715
				577,754
Machinery – 0.4%
Deere & Co.(a)		430		44,307
Media – 1.3%
AMC Networks, Inc., Class A*(a)		850		44,489
Cable One, Inc.(a)		70		43,521
Regal Entertainment Group, Class A(a)		2,160		44,496
				132,506
Metals & Mining – 1.3%
Compass Minerals International, Inc.(a)		560		43,876
Newmont Mining Corp.(a)		1,290		43,950
Royal Gold, Inc.(a)		690		43,712
				131,538
Mortgage Real Estate Investment Trusts (REITs) – 2.2%
AGNC Investment Corp.(a)		2,450		44,419
Annaly Capital Management, Inc.(a)		4,430		44,167
Chimera Investment Corp.(a)		2,610		44,422
MFA Financial, Inc.(a)		5,810		44,330
Two Harbors Investment Corp.		5,080		44,298
				221,636
Multi-Utilities – 1.8%
Black Hills Corp.(a)		720		44,165
CMS Energy Corp.(a)		1,060		44,117
Consolidated Edison, Inc.(a)		600		44,208
WEC Energy Group, Inc.		750		43,987
				176,477
Oil, Gas & Consumable Fuels – 4.5%
Antero Resources Corp.*(a)		1,870		44,225
Chevron Corp.(a)		380		44,726
EOG Resources, Inc.		440		44,484
EQT Corp.(a)		680		44,472
Exxon Mobil Corp.		490		44,227
Occidental Petroleum Corp.(a)		620		44,163

Investments	Number of Shares		Value
Pioneer Natural Resources Co.(a)		250	$	45,018
Spectra Energy Corp.(a)		1,080		44,377
Tesoro Corp.		510		44,599
World Fuel Services Corp.(a)		970		44,533
				444,824
Pharmaceuticals – 1.4%
Johnson & Johnson		390		44,932
Perrigo Co. plc(a)		540		44,944
Pfizer, Inc.(a)		1,370		44,498
				134,374
Professional Services – 0.9%
IHS Markit Ltd.*(a)		1,250		44,263
Verisk Analytics, Inc.*		550		44,643
				88,906
Road & Rail – 1.3%
Kansas City Southern		520		44,122
Landstar System, Inc.(a)		520		44,356
Union Pacific Corp.		430		44,582
				133,060
Semiconductors & Semiconductor Equipment – 0.5%
KLA-Tencor Corp.(a)		570		44,848
Software – 3.6%
Cadence Design Systems, Inc.*(a)		1,760		44,387
CDK Global, Inc.(a)		740		44,171
Ellie Mae, Inc.*(a)		530		44,350
Intuit, Inc.(a)		390		44,698
Oracle Corp.(a)		1,160		44,602
Symantec Corp.		1,860		44,435
Tyler Technologies, Inc.*		310		44,259
VMware, Inc., Class A*		560		44,089
				354,991
Specialty Retail – 1.4%
AutoZone, Inc.*(a)		60		47,387
Murphy USA, Inc.*(a)		720		44,258
Sally Beauty Holdings, Inc.*(a)		1,690		44,650
				136,295
Textiles, Apparel & Luxury Goods – 0.5%
Carter's, Inc.(a)		520		44,923
Tobacco – 1.4%
Altria Group, Inc.(a)		660		44,629
Philip Morris International, Inc.(a)		490		44,830
Reynolds American, Inc.(a)		790		44,272
				133,731

See accompanying notes to the financial statements.

25

FQF Trust
QuantShares U.S. Market Neutral Anti-Beta Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares			Value
Trading Companies & Distributors – 1.3%
MSC Industrial Direct Co., Inc., Class A(a)		480		$	44,347
WW Grainger, Inc.(a)		190			44,128
Watsco, Inc.		300			44,436
					132,911
Total Common Stocks (Cost $8,533,730)					8,887,644
Total Long Positions (Cost $8,533,730)					8,887,644
Short Positions – (89.0)%
Common Stocks – (89.0)%
Aerospace & Defense – (0.4)%
Esterline Technologies Corp.*		(490	)		(43,708	)
Air Freight & Logistics – (0.5)%
XPO Logistics, Inc.*		(1,020	)		(44,023	)
Airlines – (1.8)%
Alaska Air Group, Inc.		(500	)		(44,365	)
American Airlines Group, Inc.		(940	)		(43,889	)
JetBlue Airways Corp.*		(1,960	)		(43,943	)
United Continental Holdings, Inc.*		(600	)		(43,728	)
					(175,925	)
Auto Components – (2.2)%
BorgWarner, Inc.		(1,120	)		(44,173	)
Dana, Inc.		(2,320	)		(44,034	)
Delphi Automotive plc		(650	)		(43,777	)
Goodyear Tire & Rubber Co. (The)		(1,430	)		(44,144	)
Tenneco, Inc.*		(700	)		(43,729	)
					(219,857	)
Automobiles – (1.3)%
Ford Motor Co.		(3,620	)		(43,911	)
General Motors Co.		(1,260	)		(43,898	)
Harley-Davidson, Inc.		(750	)		(43,755	)
					(131,564	)
Banks – (6.2)%
BancorpSouth, Inc.		(1,410	)		(43,780	)
Bank of America Corp.		(1,990	)		(43,979	)
Bank of the Ozarks, Inc.		(840	)		(44,176	)
BOK Financial Corp.		(530	)		(44,011	)
Citigroup, Inc.		(740	)		(43,978	)
Cullen/Frost Bankers, Inc.		(500	)		(44,115	)
East West Bancorp, Inc.		(860	)		(43,714	)
MB Financial, Inc.		(930	)		(43,924	)
PacWest Bancorp		(800	)		(43,552	)
Prosperity Bancshares, Inc.		(610	)		(43,786	)
SVB Financial Group*		(250	)		(42,915	)
Texas Capital Bancshares, Inc.*		(560	)		(43,904	)

Investments	Number of Shares			Value
Western Alliance Bancorp*		(900	)	$	(43,839	)
Zions Bancorp		(1,020	)		(43,901	)
					(613,574	)
Biotechnology – (5.8)%
ACADIA Pharmaceuticals, Inc.*		(1,530	)		(44,125	)
Alnylam Pharmaceuticals, Inc.*		(1,180	)		(44,179	)
BioMarin Pharmaceutical, Inc.*		(540	)		(44,734	)
Celgene Corp.*		(380	)		(43,985	)
Intrexon Corp.*		(1,810	)		(43,983	)
Ionis Pharmaceuticals, Inc.*		(920	)		(44,004	)
Juno Therapeutics, Inc.*		(2,320	)		(43,732	)
Neurocrine Biosciences, Inc.*		(1,150	)		(44,505	)
Regeneron Pharmaceuticals, Inc.*		(120	)		(44,051	)
Seattle Genetics, Inc.*		(830	)		(43,799	)
TESARO, Inc.*		(330	)		(44,378	)
Ultragenyx Pharmaceutical, Inc.*		(630	)		(44,295	)
Vertex Pharmaceuticals, Inc.*		(590	)		(43,465	)
					(573,235	)
Capital Markets – (8.0)%
Affiliated Managers Group, Inc.*		(300	)		(43,590	)
Ameriprise Financial, Inc.		(400	)		(44,376	)
Charles Schwab Corp. (The)		(1,110	)		(43,812	)
E*TRADE Financial Corp.*		(1,270	)		(44,005	)
Eaton Vance Corp.		(1,050	)		(43,974	)
Federated Investors, Inc., Class B		(1,550	)		(43,834	)
Franklin Resources, Inc.		(1,110	)		(43,934	)
Goldman Sachs Group, Inc. (The)		(180	)		(43,101	)
Invesco Ltd.		(1,450	)		(43,993	)
Janus Capital Group, Inc.		(3,300	)		(43,791	)
Lazard Ltd., Class A		(1,070	)		(43,966	)
Legg Mason, Inc.		(1,470	)		(43,968	)
LPL Financial Holdings, Inc.		(1,240	)		(43,660	)
Moody's Corp.		(470	)		(44,307	)
Morgan Stanley		(1,040	)		(43,940	)
NorthStar Asset Management Group, Inc.		(2,950	)		(44,014	)
Stifel Financial Corp.*		(880	)		(43,956	)
TD Ameritrade Holding Corp.		(1,010	)		(44,036	)
					(790,257	)
Chemicals – (2.2)%
CF Industries Holdings, Inc.		(1,400	)		(44,072	)
Chemours Co. (The)		(2,000	)		(44,180	)
Huntsman Corp.		(2,310	)		(44,075	)
Olin Corp.		(1,710	)		(43,793	)
Platform Specialty Products Corp.*		(4,500	)		(44,145	)
					(220,265	)
Commercial Services & Supplies – (0.4)%
Pitney Bowes, Inc.		(2,890	)		(43,899	)
Construction & Engineering – (1.8)%
AECOM*		(1,200	)		(43,632	)

See accompanying notes to the financial statements.

26

FQF Trust
QuantShares U.S. Market Neutral Anti-Beta Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares			Value
Chicago Bridge & Iron Co. NV		(1,380	)	$	(43,815	)
Fluor Corp.		(840	)		(44,117	)
KBR, Inc.		(2,630	)		(43,894	)
					(175,458	)
Construction Materials – (0.4)%
Eagle Materials, Inc.		(440	)		(43,353	)
Consumer Finance – (1.8)%
Capital One Financial Corp.		(500	)		(43,620	)
Navient Corp.		(2,670	)		(43,868	)
SLM Corp.*		(3,970	)		(43,749	)
Synchrony Financial		(1,210	)		(43,887	)
					(175,124	)
Containers & Packaging – (0.5)%
Owens-Illinois, Inc.*		(2,530	)		(44,047	)
Diversified Financial Services – (0.9)%
Leucadia National Corp.		(1,890	)		(43,943	)
Voya Financial, Inc.		(1,120	)		(43,926	)
					(87,869	)
Electric Utilities – (1.3)%
ALLETE, Inc.		(680	)		(43,649	)
FirstEnergy Corp.		(1,410	)		(43,668	)
IDACORP, Inc.		(540	)		(43,497	)
					(130,814	)
Electrical Equipment – (0.9)%
Regal Beloit Corp.		(630	)		(43,627	)
Sensata Technologies Holding NV*		(1,130	)		(44,014	)
					(87,641	)
Electronic Equipment, Instruments & Components – (2.7)%
Belden, Inc.		(580	)		(43,367	)
Cognex Corp.		(690	)		(43,898	)
Jabil Circuit, Inc.		(1,850	)		(43,789	)
Keysight Technologies, Inc.*		(1,200	)		(43,884	)
Universal Display Corp.*		(780	)		(43,914	)
Zebra Technologies Corp., Class A*		(510	)		(43,738	)
					(262,590	)
Energy Equipment & Services – (1.3)%
Ensco plc, Class A		(4,500	)		(43,740	)
Nabors Industries Ltd.		(2,680	)		(43,952	)
Weatherford International plc*		(8,800	)		(43,912	)
					(131,604	)
Equity Real Estate Investment Trusts (REITs) – (1.3)%
RLJ Lodging Trust		(1,790	)		(43,837	)
Sunstone Hotel Investors, Inc.		(2,870	)		(43,768	)
Weyerhaeuser Co.		(1,460	)		(43,931	)
					(131,536	)

Investments	Number of Shares			Value
Food Products – (0.5)%
Darling Ingredients, Inc.*		(3,410	)	$	(44,023	)
Gas Utilities – (0.9)%
National Fuel Gas Co.		(770	)		(43,613	)
WGL Holdings, Inc.		(570	)		(43,479	)
					(87,092	)
Health Care Providers & Services – (0.5)%
Brookdale Senior Living, Inc.*		(3,550	)		(44,091	)
Hotels, Restaurants & Leisure – (1.8)%
Norwegian Cruise Line Holdings Ltd.*		(1,040	)		(44,231	)
Royal Caribbean Cruises Ltd.		(540	)		(44,302	)
Wynn Resorts Ltd.		(510	)		(44,120	)
Yum Brands, Inc.		(690	)		(43,698	)
					(176,351	)
Household Durables – (1.8)%
CalAtlantic Group, Inc.		(1,290	)		(43,873	)
Harman International Industries, Inc.		(390	)		(43,352	)
Tempur Sealy International, Inc.*		(640	)		(43,699	)
Whirlpool Corp.		(240	)		(43,625	)
					(174,549	)
Independent Power and Renewable Electricity Producers – (1.3)%
AES Corp.		(3,750	)		(43,575	)
Calpine Corp.*		(3,820	)		(43,663	)
NRG Energy, Inc.		(3,560	)		(43,645	)
					(130,883	)
Insurance – (3.1)%
CNO Financial Group, Inc.		(2,290	)		(43,853	)
Lincoln National Corp.		(660	)		(43,738	)
MetLife, Inc.		(820	)		(44,190	)
Primerica, Inc.		(630	)		(43,565	)
Principal Financial Group, Inc.		(760	)		(43,974	)
Prudential Financial, Inc.		(420	)		(43,705	)
Unum Group		(1,000	)		(43,930	)
					(306,955	)
Internet & Direct Marketing Retail – (1.3)%
Groupon, Inc.*		(13,120	)		(43,558	)
Liberty Interactive Corp. QVC Group, Class A*		(2,200	)		(43,956	)
Priceline Group, Inc. (The)*		(30	)		(43,982	)
					(131,496	)
Internet Software & Services – (0.9)%
Twitter, Inc.*		(2,690	)		(43,847	)
Yelp, Inc.*		(1,150	)		(43,850	)
					(87,697	)

See accompanying notes to the financial statements.

27

FQF Trust
QuantShares U.S. Market Neutral Anti-Beta Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares			Value
IT Services – (2.7)%
Computer Sciences Corp.		(740	)	$	(43,971	)
EPAM Systems, Inc.*		(680	)		(43,731	)
First Data Corp., Class A*		(3,110	)		(44,131	)
FleetCor Technologies, Inc.*		(310	)		(43,871	)
Teradata Corp.*		(1,620	)		(44,015	)
WEX, Inc.*		(390	)		(43,524	)
					(263,243	)
Leisure Products – (0.4)%
Brunswick Corp.		(800	)		(43,632	)
Machinery – (4.0)%
Colfax Corp.*		(1,220	)		(43,835	)
ITT, Inc.		(1,140	)		(43,970	)
Kennametal, Inc.		(1,400	)		(43,764	)
Middleby Corp. (The)*		(340	)		(43,795	)
Nordson Corp.		(390	)		(43,699	)
Pentair plc		(780	)		(43,735	)
Terex Corp.		(1,390	)		(43,827	)
Timken Co. (The)		(1,110	)		(44,067	)
WABCO Holdings, Inc.*		(420	)		(44,583	)
					(395,275	)
Media – (2.2)%
Lions Gate Entertainment Corp., Class B*		(1,790	)		(43,927	)
News Corp., Class A		(3,820	)		(43,777	)
TEGNA, Inc.		(2,060	)		(44,063	)
Tribune Media Co., Class A		(1,260	)		(44,075	)
Viacom, Inc., Class B		(1,250	)		(43,875	)
					(219,717	)
Metals & Mining – (0.9)%
Freeport-McMoRan, Inc.*		(3,330	)		(43,923	)
United States Steel Corp.		(1,320	)		(43,573	)
					(87,496	)
Multiline Retail – (0.9)%
Kohl's Corp.		(890	)		(43,948	)
Nordstrom, Inc.		(920	)		(44,096	)
					(88,044	)
Multi-Utilities – (0.5)%
Sempra Energy		(440	)		(44,282	)
Oil, Gas & Consumable Fuels – (4.4)%
Anadarko Petroleum Corp.		(630	)		(43,930	)
Chesapeake Energy Corp.*		(6,260	)		(43,945	)
CONSOL Energy, Inc.		(2,390	)		(43,570	)
Energen Corp.*		(760	)		(43,829	)
Marathon Oil Corp.		(2,540	)		(43,967	)
Murphy Oil Corp.		(1,410	)		(43,893	)

Investments	Number of Shares			Value
SM Energy Co.		(1,270	)	$	(43,790	)
Targa Resources Corp.		(780	)		(43,735	)
Whiting Petroleum Corp.*		(3,650	)		(43,873	)
Williams Cos., Inc. (The)		(1,410	)		(43,907	)
					(438,439	)
Personal Products – (0.4)%
Avon Products, Inc.*		(8,730	)		(43,999	)
Pharmaceuticals – (1.8)%
Endo International plc*		(2,680	)		(44,139	)
Horizon Pharma plc*		(2,720	)		(44,010	)
Jazz Pharmaceuticals plc*		(400	)		(43,612	)
Mallinckrodt plc*		(890	)		(44,340	)
					(176,101	)
Professional Services – (0.4)%
Robert Half International, Inc.		(900	)		(43,902	)
Real Estate Management & Development – (0.9)%
CBRE Group, Inc., Class A*		(1,400	)		(44,086	)
Jones Lang LaSalle, Inc.		(440	)		(44,458	)
					(88,544	)
Road & Rail – (1.3)%
Avis Budget Group, Inc.*		(1,200	)		(44,016	)
Genesee & Wyoming, Inc., Class A*		(630	)		(43,728	)
Ryder System, Inc.		(590	)		(43,920	)
					(131,664	)
Semiconductors & Semiconductor Equipment – (4.5)%
Advanced Micro Devices, Inc.*		(3,880	)		(43,999	)
Applied Materials, Inc.		(1,360	)		(43,887	)
Cavium, Inc.*		(700	)		(43,708	)
Cypress Semiconductor Corp.		(3,850	)		(44,044	)
Integrated Device Technology, Inc.*		(1,870	)		(44,057	)
NVIDIA Corp.		(410	)		(43,764	)
ON Semiconductor Corp.*		(3,440	)		(43,895	)
Qorvo, Inc.*		(840	)		(44,293	)
Silicon Laboratories, Inc.*		(680	)		(44,200	)
Skyworks Solutions, Inc.		(590	)		(44,049	)
					(439,896	)
Software – (2.7)%
FireEye, Inc.*		(3,690	)		(43,911	)
Manhattan Associates, Inc.*		(820	)		(43,485	)
Proofpoint, Inc.*		(620	)		(43,803	)
Splunk, Inc.*		(860	)		(43,989	)
Tableau Software, Inc., Class A*		(1,040	)		(43,836	)
Workday, Inc., Class A*		(660	)		(43,619	)
					(262,643	)

See accompanying notes to the financial statements.

28

FQF Trust
QuantShares U.S. Market Neutral Anti-Beta Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares			Value
Specialty Retail – (2.7)%
American Eagle Outfitters, Inc.		(2,890	)	$	(43,841	)
CarMax, Inc.*		(680	)		(43,785	)
GameStop Corp., Class A		(1,730	)		(43,700	)
Gap, Inc. (The)		(1,960	)		(43,982	)
Lithia Motors, Inc., Class A		(450	)		(43,574	)
Staples, Inc.		(4,880	)		(44,164	)
					(263,046	)
Technology Hardware, Storage & Peripherals – (1.3)%
Hewlett Packard Enterprise Co.		(1,900	)		(43,966	)
NCR Corp.*		(1,080	)		(43,805	)
Xerox Corp.		(5,000	)		(43,650	)
					(131,421	)
Textiles, Apparel & Luxury Goods – (0.5)%
Ralph Lauren Corp.		(490	)		(44,257	)
Trading Companies & Distributors – (1.8)%
Air Lease Corp.		(1,280	)		(43,942	)
HD Supply Holdings, Inc.*		(1,040	)		(44,210	)
United Rentals, Inc.*		(420	)		(44,344	)
WESCO International, Inc.*		(660	)		(43,923	)
					(176,419	)

Investments	Number of Shares			Value
Wireless Telecommunication Services – (0.9)%
Sprint Corp.*		(5,190	)	$	(43,700	)
Telephone & Data Systems, Inc.		(1,520	)		(43,882	)
					(87,582	)
Total Common Stocks (Proceeds $(8,792,887))					(8,779,082	)
Total Short Positions (Proceeds $(8,792,887))					(8,779,082	)
Total Investments — 1.1% (Cost $(259,157))					108,562
Other Assets Less Liabilities — 98.9%					9,755,278
Net Assets — 100.0%				$	9,863,840

* Non-income producing security.

(a) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $6,766,870.

As of December 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	869,380
Aggregate gross unrealized depreciation		(1,193,385	)
Net unrealized depreciation	$	(324,005	)
Federal income tax cost of investments	$	432,567

Total Return Swap Agreements

Notional Amount	Expiration Date		Counterparty		Fund Pays		Fund Receives		Net Unrealized Appreciation/ (Depreciation)(1)			Cash Collateral (Received) Pledged			Net Amount(2)
801,946 USD		10/04/2017		Morgan Stanley		1.11%		Dow Jones U.S. Thematic Market Neutral Anti-Beta Index (Fund has long exposure to low beta companies(3))	$	193,758			—		$	193,758
(1,011,363) USD		10/04/2017		Morgan Stanley		Dow Jones U.S. Thematic Market Neutral Anti-Beta Index (Fund has short exposure to high beta companies(3))		0.44%		(102,953	)	$	102,953	(4)		—
									$	90,805					$	193,758

(1) The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at year end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or “net” these amounts on its Statement of Assets and Liabilities.

(2) Represents the “uncollateralized” amount due from or (to) the counterparty at year end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum “thresholds” that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from the counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.

(3) High beta stocks are those stocks that are more volatile than the market index, and low beta stocks are those stocks that are less volatile than the market index. Please refer to “Principal Investment Strategies” in the Fund’s Prospectus for additional information about the Fund’s Target Index.

(4) Reflects all or a portion of the amount disclosed on the Statement of Assets and Liabilities as “Segregated cash balance with custodian for swap agreements”. Under U.S. GAAP, the amount disclosed under this caption may not exceed the amount of the liability being collateralized for the benefit of the counterparty.

See accompanying notes to the financial statements.

29

FQF Trust
QuantShares Hedged Dividend Income Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares		Value
Long Positions – 98.2%
Common Stocks – 84.4%
Automobiles – 1.0%
Ford Motor Co.(a)		4,164	$	50,509
Banks – 2.9%
PacWest Bancorp		924		50,303
People’s United Financial, Inc.		2,604		50,413
Valley National Bancorp		4,324		50,331
				151,047
Beverages – 1.0%
Coca-Cola Co. (The)		1,216		50,415
Biotechnology – 1.0%
AbbVie, Inc.(a)		808		50,597
Chemicals – 2.0%
CF Industries Holdings, Inc.(a)		1,612		50,746
Mosaic Co. (The)		1,728		50,682
				101,428
Commercial Services & Supplies – 1.0%
Pitney Bowes, Inc.		3,324		50,492
Consumer Finance – 1.0%
Navient Corp.		3,076		50,539
Containers & Packaging – 1.0%
International Paper Co.		952		50,513
Diversified Consumer Services – 1.0%
H&R Block, Inc.		2,196		50,486
Diversified Telecommunication Services – 3.9%
AT&T, Inc.		1,188		50,526
CenturyLink, Inc.(a)		2,108		50,128
Frontier Communications Corp.		14,972		50,605
Verizon Communications, Inc.		948		50,604
				201,863
Electric Utilities – 11.7%
American Electric Power Co., Inc.(a)		800		50,368
Duke Energy Corp.(a)		648		50,298
Entergy Corp.(a)		688		50,547
Exelon Corp.(a)		1,416		50,254
FirstEnergy Corp.		1,624		50,295
Great Plains Energy, Inc.		1,884		51,527
Hawaiian Electric Industries, Inc.		1,516		50,134
OGE Energy Corp.		1,500		50,175
Pinnacle West Capital Corp.		644		50,251
PPL Corp.		1,472		50,122
Southern Co. (The)		1,024		50,371
Xcel Energy, Inc.		1,232		50,143
				604,485

Investments	Number of Shares		Value
Electrical Equipment – 0.9%
Emerson Electric Co.(a)		888	$	49,506
Energy Equipment & Services – 1.0%
Helmerich & Payne, Inc.		664		51,394
Equity Real Estate Investment Trusts (REITs) – 14.7%
DDR Corp.		3,308		50,513
EPR Properties		700		50,239
Gaming and Leisure Properties, Inc.		1,652		50,584
Hospitality Properties Trust		1,580		50,149
LaSalle Hotel Properties		1,652		50,337
Liberty Property Trust		1,272		50,244
Medical Properties Trust, Inc.		4,088		50,282
Omega Healthcare Investors, Inc.		1,616		50,516
Outfront Media, Inc.		2,028		50,436
RLJ Lodging Trust		2,060		50,449
Senior Housing Properties Trust		2,664		50,430
Spirit Realty Capital, Inc.		4,644		50,434
Sunstone Hotel Investors, Inc.		3,300		50,325
Welltower, Inc.		756		50,599
WP Carey, Inc.		864		51,054
				756,591
Food Products – 2.0%
B&G Foods, Inc.(a)		1,172		51,334
Kraft Heinz Co. (The)		576		50,296
				101,630
Hotels, Restaurants & Leisure – 2.0%
Las Vegas Sands Corp.		948		50,633
Six Flags Entertainment Corp.		844		50,606
				101,239
Independent Power and Renewable Electricity Producers – 1.0%
AES Corp.(a)		4,360		50,663
Insurance – 1.9%
Mercury General Corp.		832		50,095
Old Republic International Corp.		2,648		50,312
				100,407
IT Services – 1.0%
International Business Machines Corp.		304		50,461
Leisure Products – 1.0%
Mattel, Inc.		1,832		50,472
Media – 1.0%
Regal Entertainment Group, Class A		2,452		50,511
Mortgage Real Estate Investment Trusts (REITs) – 3.9%
Annaly Capital Management, Inc.		5,040		50,249
Chimera Investment Corp.(a)		2,996		50,992

See accompanying notes to the financial statements.

30

FQF Trust
QuantShares Hedged Dividend Income Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares		Value
MFA Financial, Inc.		6,596	$	50,327
Starwood Property Trust, Inc.		2,296		50,397
				201,965
Multiline Retail – 1.9%
Kohl’s Corp.		1,024		50,565
Macy’s, Inc.		1,412		50,564
				101,129
Multi-Utilities – 5.9%
Ameren Corp.(a)		960		50,362
CenterPoint Energy, Inc.(a)		2,040		50,266
Consolidated Edison, Inc.(a)		684		50,397
Dominion Resources, Inc.(a)		656		50,243
Public Service Enterprise Group, Inc.		1,148		50,374
WEC Energy Group, Inc.		856		50,204
				301,846
Oil, Gas & Consumable Fuels – 9.8%
Chevron Corp.(a)		428		50,376
Exxon Mobil Corp.		560		50,546
HollyFrontier Corp.		1,532		50,188
Occidental Petroleum Corp.		708		50,431
ONEOK, Inc.		880		50,521
Plains GP Holdings LP, Class A		1,440		49,939
Spectra Energy Corp.		1,228		50,458
Targa Resources Corp.		900		50,463
Valero Energy Corp.		740		50,557
Western Refining, Inc.		1,332		50,416
				503,895
Pharmaceuticals – 1.0%
Pfizer, Inc.		1,568		50,929
Semiconductors & Semiconductor Equipment – 1.0%
Cypress Semiconductor Corp.(a)		4,480		51,251
Specialty Retail – 2.0%
Gap, Inc. (The)		2,260		50,715
Staples, Inc.		5,608		50,752
				101,467
Textiles, Apparel & Luxury Goods – 1.0%
Coach, Inc.(a)		1,444		50,569
Tobacco – 2.9%
Altria Group, Inc.		744		50,309
Philip Morris International, Inc.		552		50,502
Reynolds American, Inc.		916		51,333
				152,144
Transportation Infrastructure – 1.0%
Macquarie Infrastructure Corp.		620		50,654
Total Common Stocks (Cost $4,081,740)				4,341,097

Investments	Number of Shares			Value
Master Limited Partnerships – 13.8%
Gas Utilities – 1.0%
AmeriGas Partners LP		1,052		$	50,412
Industrial Conglomerates – 0.9%
Icahn Enterprises LP		836			50,093
Oil, Gas & Consumable Fuels – 11.9%
Buckeye Partners LP(a)		776			51,340
DCP Midstream Partners LP(a)		1,320			50,661
Enbridge Energy Partners LP(a)		2,012			51,266
Energy Transfer Partners LP		1,448			51,853
EnLink Midstream Partners LP(a)		2,740			50,471
Genesis Energy LP		1,408			50,716
NuStar Energy LP		1,008			50,198
ONEOK Partners LP		1,168			50,236
Sunoco Logistics Partners LP		2,124			51,018
TC PipeLines LP		864			50,838
Tesoro Logistics LP		996			50,607
Williams Partners LP		1,324			50,352
					609,556
Total Master Limited Partnerships (Cost $642,433)					710,061
Total Long Positions (Cost $4,724,173)					5,051,158
Short Positions – (49.0)%
Common Stocks – (48.8)%
Aerospace & Defense – (0.2)%
Spirit AeroSystems Holdings, Inc., Class A		(216	)		(12,604	)
Airlines – (0.3)%
United Continental Holdings, Inc.*		(180	)		(13,118	)
Banks – (4.2)%
Bank of America Corp.		(572	)		(12,641	)
Bank of the Ozarks, Inc.		(240	)		(12,622	)
Citigroup, Inc.		(212	)		(12,599	)
First Citizens BancShares, Inc., Class A		(36	)		(12,780	)
First Republic Bank		(136	)		(12,531	)
Home BancShares, Inc.		(456	)		(12,663	)
Pinnacle Financial Partners, Inc.		(184	)		(12,751	)
PrivateBancorp, Inc.		(232	)		(12,572	)
Signature Bank*		(84	)		(12,617	)
Sterling Bancorp		(540	)		(12,636	)
SVB Financial Group*		(72	)		(12,359	)
Synovus Financial Corp.		(308	)		(12,653	)
Texas Capital Bancshares, Inc.*		(160	)		(12,544	)
UMB Financial Corp.		(164	)		(12,648	)
Western Alliance Bancorp*		(256	)		(12,470	)
Wintrust Financial Corp.		(172	)		(12,482	)
Zions Bancorp		(292	)		(12,568	)
					(214,136	)

See accompanying notes to the financial statements.

31

FQF Trust
QuantShares Hedged Dividend Income Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares			Value
Beverages – (0.5)%
Constellation Brands, Inc., Class A		(84	)	$	(12,878	)
Monster Beverage Corp.*		(280	)		(12,415	)
					(25,293	)
Capital Markets – (2.7)%
Affiliated Managers Group, Inc.*		(88	)		(12,787	)
Charles Schwab Corp. (The)		(320	)		(12,630	)
E*TRADE Financial Corp.*		(364	)		(12,613	)
FactSet Research Systems, Inc.		(76	)		(12,421	)
Goldman Sachs Group, Inc. (The)		(52	)		(12,451	)
Intercontinental Exchange, Inc.		(224	)		(12,638	)
MarketAxess Holdings, Inc.		(84	)		(12,341	)
Morningstar, Inc.		(172	)		(12,652	)
Raymond James Financial, Inc.		(184	)		(12,746	)
SEI Investments Co.		(256	)		(12,636	)
Stifel Financial Corp.*		(252	)		(12,587	)
					(138,502	)
Construction & Engineering – (0.2)%
Jacobs Engineering Group, Inc.*		(220	)		(12,540	)
Consumer Finance – (1.0)%
Ally Financial, Inc.		(680	)		(12,933	)
OneMain Holdings, Inc.*		(576	)		(12,753	)
SLM Corp.*		(1,140	)		(12,563	)
Synchrony Financial		(348	)		(12,622	)
					(50,871	)
Containers & Packaging – (0.7)%
Berry Plastics Group, Inc.*		(260	)		(12,670	)
Crown Holdings, Inc.*		(240	)		(12,617	)
Owens-Illinois, Inc.*		(728	)		(12,674	)
					(37,961	)
Distributors – (0.3)%
LKQ Corp.*		(412	)		(12,628	)
Diversified Financial Services – (0.7)%
Berkshire Hathaway, Inc., Class B*		(76	)		(12,387	)
Leucadia National Corp.		(544	)		(12,648	)
Voya Financial, Inc.		(320	)		(12,550	)
					(37,585	)
Diversified Telecommunication Services – (1.5)%
Level 3 Communications, Inc.*		(448	)		(25,249	)
SBA Communications Corp., Class A*		(244	)		(25,196	)
Zayo Group Holdings, Inc.*		(764	)		(25,105	)
					(75,550	)
Electric Utilities – (3.2)%
ALLETE, Inc.		(280	)		(17,973	)
Alliant Energy Corp.		(476	)		(18,036	)
Edison International		(252	)		(18,141	)
Eversource Energy		(324	)		(17,895	)
IDACORP, Inc.		(224	)		(18,043	)

Investments	Number of Shares			Value
NextEra Energy, Inc.		(152	)	$	(18,158	)
PG&E Corp.		(296	)		(17,988	)
Portland General Electric Co.		(416	)		(18,025	)
Westar Energy, Inc.		(320	)		(18,032	)
					(162,291	)
Energy Equipment & Services – (1.7)%
Baker Hughes, Inc.		(196	)		(12,734	)
FMC Technologies, Inc.*		(364	)		(12,933	)
Halliburton Co.		(232	)		(12,549	)
National Oilwell Varco, Inc.		(336	)		(12,580	)
Oceaneering International, Inc.		(448	)		(12,638	)
Patterson-UTI Energy, Inc.		(468	)		(12,599	)
US Silica Holdings, Inc.		(224	)		(12,696	)
					(88,729	)
Equity Real Estate Investment Trusts (REITs) – (0.5)%
American Homes 4 Rent, Class A		(612	)		(12,840	)
Equity Commonwealth*		(416	)		(12,580	)
					(25,420	)
Food & Staples Retailing – (0.7)%
Casey’s General Stores, Inc.		(108	)		(12,839	)
Rite Aid Corp.*		(1,536	)		(12,657	)
Sprouts Farmers Market, Inc.*		(668	)		(12,638	)
					(38,134	)
Food Products – (1.2)%
Blue Buffalo Pet Products, Inc.*		(528	)		(12,693	)
Hain Celestial Group, Inc. (The)*		(320	)		(12,490	)
Post Holdings, Inc.*		(156	)		(12,541	)
TreeHouse Foods, Inc.*		(180	)		(12,994	)
WhiteWave Foods Co. (The)*		(232	)		(12,899	)
					(63,617	)
Gas Utilities – (2.4)%
Atmos Energy Corp.		(240	)		(17,796	)
National Fuel Gas Co.		(316	)		(17,898	)
New Jersey Resources Corp.		(504	)		(17,892	)
ONE Gas, Inc.		(280	)		(17,909	)
Southwest Gas Corp.		(236	)		(18,082	)
UGI Corp.		(388	)		(17,879	)
WGL Holdings, Inc.		(236	)		(18,002	)
					(125,458	)
Health Care Equipment & Supplies – (0.5)%
Boston Scientific Corp.*		(584	)		(12,632	)
Intuitive Surgical, Inc.*		(20	)		(12,683	)
					(25,315	)
Health Care Providers & Services – (0.5)%
Express Scripts Holding Co.*		(184	)		(12,657	)
HCA Holdings, Inc.*		(176	)		(13,028	)
					(25,685	)

See accompanying notes to the financial statements.

32

FQF Trust
QuantShares Hedged Dividend Income Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares			Value
Hotels, Restaurants & Leisure – (0.7)%
Chipotle Mexican Grill, Inc.*		(32	)	$	(12,074	)
Hyatt Hotels Corp., Class A*		(228	)		(12,600	)
MGM Resorts International*		(440	)		(12,685	)
					(37,359	)
Household Durables – (0.5)%
Mohawk Industries, Inc.*		(64	)		(12,780	)
NVR, Inc.*		(8	)		(13,352	)
					(26,132	)
Household Products – (0.2)%
HRG Group, Inc.*		(808	)		(12,572	)
Independent Power and Renewable Electricity Producers – (0.7)%
Calpine Corp.*		(1,572	)		(17,968	)
NRG Energy, Inc.		(1,464	)		(17,949	)
					(35,917	)
Insurance – (1.7)%
Alleghany Corp.*		(20	)		(12,162	)
Brown & Brown, Inc.		(280	)		(12,561	)
Loews Corp.		(268	)		(12,550	)
Markel Corp.*		(12	)		(10,854	)
Primerica, Inc.		(184	)		(12,724	)
Reinsurance Group of America, Inc.		(100	)		(12,583	)
Torchmark Corp.		(172	)		(12,687	)
					(86,121	)
Internet & Direct Marketing Retail – (1.0)%
Amazon.com, Inc.*		(16	)		(11,998	)
Netflix, Inc.*		(104	)		(12,875	)
Priceline Group, Inc. (The)*		(8	)		(11,728	)
TripAdvisor, Inc.*		(272	)		(12,613	)
					(49,214	)
Internet Software & Services – (0.5)%
Alphabet, Inc., Class A*		(16	)		(12,679	)
Facebook, Inc., Class A*		(112	)		(12,886	)
					(25,565	)
Machinery – (0.3)%
Middleby Corp. (The)*		(100	)		(12,881	)
Media – (1.2)%
Charter Communications, Inc.*		(44	)		(12,669	)
Discovery Communications, Inc., Class A*		(464	)		(12,718	)
DISH Network Corp., Class A*		(216	)		(12,513	)
Liberty Broadband Corp.*		(176	)		(12,753	)
Liberty Media Corp-Liberty Media, Class A*		(404	)		(12,665	)
					(63,318	)
Metals & Mining – (0.5)%
AK Steel Holding Corp.*		(1,232	)		(12,579	)
Freeport-McMoRan, Inc.*		(956	)		(12,609	)
					(25,188	)

Investments	Number of Shares			Value
Multiline Retail – (0.3)%
Dollar Tree, Inc.*		(164	)	$	(12,658	)
Multi-Utilities – (2.8)%
Black Hills Corp.		(292	)		(17,911	)
CMS Energy Corp.		(432	)		(17,980	)
DTE Energy Co.		(184	)		(18,126	)
MDU Resources Group, Inc.		(624	)		(17,952	)
NiSource, Inc.		(812	)		(17,978	)
SCANA Corp.		(244	)		(17,880	)
Sempra Energy		(180	)		(18,115	)
Vectren Corp.		(344	)		(17,940	)
					(143,882	)
Oil, Gas & Consumable Fuels – (9.3)%
Anadarko Petroleum Corp.		(184	)		(12,830	)
Antero Resources Corp.*		(532	)		(12,582	)
Apache Corp.		(196	)		(12,440	)
Cabot Oil & Gas Corp.		(540	)		(12,614	)
Cheniere Energy, Inc.*		(308	)		(12,760	)
Chesapeake Energy Corp.*		(1,800	)		(12,636	)
Cimarex Energy Co.		(92	)		(12,503	)
Concho Resources, Inc.*		(96	)		(12,730	)
ConocoPhillips		(252	)		(12,635	)
CONSOL Energy, Inc.		(688	)		(12,542	)
Devon Energy Corp.		(276	)		(12,605	)
Diamondback Energy, Inc.*		(124	)		(12,531	)
Energen Corp.*		(216	)		(12,457	)
EOG Resources, Inc.		(124	)		(12,536	)
EQT Corp.		(192	)		(12,557	)
Gulfport Energy Corp.*		(588	)		(12,724	)
Hess Corp.		(204	)		(12,707	)
Kinder Morgan, Inc.		(612	)		(12,675	)
Laredo Petroleum, Inc.*		(896	)		(12,669	)
Marathon Oil Corp.		(732	)		(12,671	)
Marathon Petroleum Corp.		(252	)		(12,688	)
Newfield Exploration Co.*		(312	)		(12,636	)
Noble Energy, Inc.		(328	)		(12,484	)
Oasis Petroleum, Inc.*		(836	)		(12,657	)
Parsley Energy, Inc., Class A*		(360	)		(12,686	)
PDC Energy, Inc.*		(172	)		(12,484	)
Phillips 66		(148	)		(12,789	)
Pioneer Natural Resources Co.		(72	)		(12,965	)
QEP Resources, Inc.*		(684	)		(12,592	)
Range Resources Corp.		(368	)		(12,645	)
Rice Energy, Inc.*		(588	)		(12,554	)
RSP Permian, Inc.*		(280	)		(12,494	)
SM Energy Co.		(364	)		(12,551	)
Southwestern Energy Co.*		(1,168	)		(12,638	)
Tesoro Corp.		(144	)		(12,593	)
Whiting Petroleum Corp.*		(1,052	)		(12,645	)
World Fuel Services Corp.		(276	)		(12,671	)

See accompanying notes to the financial statements.

33

FQF Trust
QuantShares Hedged Dividend Income Fund
Schedule of Investments
December 31, 2016 (Unaudited)

Investments	Number of Shares			Value
WPX Energy, Inc.*		(868	)	$	(12,647	)
					(479,823	)
Paper & Forest Products – (0.2)%
Louisiana-Pacific Corp.*		(652	)		(12,342	)
Personal Products – (0.2)%
Edgewell Personal Care Co.*		(172	)		(12,554	)
Professional Services – (0.2)%
Verisk Analytics, Inc.*		(152	)		(12,338	)
Real Estate Management & Development – (1.0)%
CBRE Group, Inc., Class A*		(404	)		(12,722	)
Howard Hughes Corp. (The)*		(112	)		(12,779	)
Jones Lang LaSalle, Inc.		(124	)		(12,529	)
Realogy Holdings Corp.		(492	)		(12,659	)
					(50,689	)
Road & Rail – (0.3)%
Old Dominion Freight Line, Inc.*		(148	)		(12,697	)
Software – (0.5)%
Adobe Systems, Inc.*		(124	)		(12,766	)
salesforce.com, Inc.*		(184	)		(12,596	)
					(25,362	)
Specialty Retail – (1.2)%
AutoZone, Inc.*		(16	)		(12,637	)
Burlington Stores, Inc.*		(144	)		(12,204	)
CarMax, Inc.*		(196	)		(12,620	)
O’Reilly Automotive, Inc.*		(44	)		(12,250	)
Ulta Salon Cosmetics & Fragrance, Inc.*		(48	)		(12,237	)
					(61,948	)
Textiles, Apparel & Luxury Goods – (0.3)%
Lululemon Athletica, Inc.*		(196	)		(12,738	)
Thrifts & Mortgage Finance – (0.5)%
MGIC Investment Corp.*		(1,236	)		(12,595	)
Radian Group, Inc.		(700	)		(12,586	)
					(25,181	)

Investments	Number of Shares			Value
Trading Companies & Distributors – (0.5)%
HD Supply Holdings, Inc.*		(296	)	$	(12,583	)
United Rentals, Inc.*		(120	)		(12,670	)
					(25,253	)
Water Utilities – (0.7)%
American Water Works Co., Inc.		(248	)		(17,945	)
Aqua America, Inc.		(596	)		(17,904	)
					(35,849	)
Wireless Telecommunication Services – (0.5)%
Telephone & Data Systems, Inc.		(872	)		(25,175	)
Total Common Stocks (Proceeds $(2,387,173))					(2,508,193	)
Master Limited Partnership – (0.2)%
Oil, Gas & Consumable Fuels – (0.2)%
Boardwalk Pipeline Partners LP (Proceeds $(12,491))		(728	)		(12,638	)
Total Short Positions (Proceeds $(2,399,664))					(2,520,831	)
Total Investments — 49.2% (Cost $2,324,509)					2,530,327
Other Assets Less Liabilities — 50.8%					2,611,844
Net Assets — 100.0%					$5,142,171

* Non-income producing security.

(a) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $1,200,403.

As of December 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	420,928
Aggregate gross unrealized depreciation		(288,687	)
Net unrealized appreciation	$	132,241
Federal income tax cost of investments	$	2,398,086

See accompanying notes to the financial statements.

34

FQF Trust

Statements of Assets and Liabilities
December 31, 2016 (Unaudited)

	QuantShares U.S. Market Neutral Momentum Fund			QuantShares U.S. Market Neutral Value Fund			QuantShares U.S. Market Neutral Size Fund			QuantShares U.S. Market Neutral Anti-Beta Fund			QuantShares Hedged Dividend Income Fund
ASSETS
Investments in securities, at value(1)	$	1,988,423		$	2,351,848		$	1,882,510		$	8,887,644		$	5,051,158
Cash		874,693			400,757			426,170			3,747,824			319,353
Segregated cash balance with custodian for swap agreements (Note 2)		—			—			10,000			250,000			—
Segregated cash balance with broker for securities sold short (Note 2)		1,400,527			2,308,766			1,716,763			5,525,618			2,157,692
Unrealized appreciation on swap agreements		44,704			48,912			55,966			193,758			—
Receivables:
Securities sold		671,602			280,952			149,344			1,534,243			1,713,220
Dividends and interest		4,612			5,548			5,409			28,145			17,668
Investment adviser (Note 4)		23,835			23,725			29,771			21,020			13,901
Prepaid expenses		5,866			5,866			5,866			5,866			2,792
Total Assets		5,014,262			5,426,374			4,281,799			20,194,118			9,275,784
LIABILITIES
Securities sold short, at value(2)		1,957,388			2,381,673			1,843,860			8,779,082			2,520,831
Unrealized depreciation on swap agreements		59,934			22,539			56,626			102,953			—
Payables:
Securities purchased		686,688			250,603			137,823			1,395,289			1,595,420
Trustees fees		1,982			1,982			1,982			1,982			1,982
Dividends on securities sold short		3,356			3,857			3,535			9,324			2,476
Accrued expenses and other liabilities		33,176			27,108			27,950			41,648			12,904
Total Liabilities		2,742,524			2,687,762			2,071,776			10,330,278			4,133,613
Net Assets	$	2,271,738		$	2,738,612		$	2,210,023		$	9,863,840		$	5,142,171
NET ASSETS CONSIST OF:
Paid-in capital	$	3,124,128		$	3,893,700		$	3,689,043		$	24,832,072		$	5,005,269
Accumulated undistributed net investment income (loss)		(59,692	)		(12,174	)		(32,546	)		(63,249	)		(24,628	)
Accumulated undistributed net realized gain (loss)		(1,003,257	)		(1,219,968	)		(1,470,701	)		(15,363,507	)		(44,288	)
Net unrealized appreciation (depreciation) on:
Investments		149,045			94,748			114,336			353,914			326,985
Securities sold short		76,744			(44,067	)		(89,449	)		13,805			(121,167	)
Swap agreements		(15,230	)		26,373			(660	)		90,805			—
Net Assets	$	2,271,738		$	2,738,612		$	2,210,023		$	9,863,840		$	5,142,171
The Funds have an unlimited number of shares authorized with no par value. Net asset value is calculated by dividing the net assets by the number of outstanding shares.
Shares Outstanding		100,001			100,000			100,001			500,001			200,004
Net Asset Value	$	22.72		$	27.39		$	22.10		$	19.73		$	25.71
(1) Investments in securities, at cost	$	1,839,378		$	2,257,100		$	1,768,174		$	8,533,730		$	4,724,173
(2) Securities sold short, proceeds		2,034,132			2,337,606			1,754,411			8,792,887			2,399,664

See accompanying notes to the financial statements.

35

FQF Trust

Statements of Operations
For the Year Ended December 31, 2016 (Unaudited)

	QuantShares U.S. Market Neutral Momentum Fund			QuantShares U.S. Market Neutral Value Fund			QuantShares U.S. Market Neutral Size Fund			QuantShares U.S. Market Neutral Anti-Beta Fund			QuantShares Hedged Dividend Income Fund
INVESTMENT INCOME
Dividend income	$	21,443		$	22,752		$	18,768		$	146,634		$	112,284
Special dividends		3,028			—			854			12,146			—
Foreign withholding tax on dividends		(11	)		(7	)		—			(103	)		—
Total Investment Income		24,460			22,745			19,622			158,677			112,284
EXPENSES
Dividends on securities sold short		18,200			14,413			21,466			94,961			10,161
Interest on securities sold short		—			—			—			2,765			217
Investment management fees (Note 4)		6,770			5,466			5,446			38,055			10,448
Professional fees		30,444			30,444			37,685			30,578			30,444
Custody fees		9,937			4,536			3,992			23,241			2,424
Index fees		6,302			6,302			6,302			6,302			7,562
CCO fees		5,294			5,294			5,294			5,294			5,294
Treasurer fees		3,777			3,777			3,777			3,777			3,777
Listing fees		2,521			2,521			2,521			2,521			2,521
Accounting fees		16,402			16,367			16,483			16,451			1,477
Trustees fees		3,932			3,932			3,932			3,932			3,932
Administration fees (Note 5)		32,767			32,767			32,767			32,767			571
Other fees		4,720			4,459			4,466			5,397			4,492
Total Expenses before Adjustments		141,066			130,278			144,131			266,041			83,320
Less: waivers and/or reimbursements by Adviser (Note 4)		(106,429	)		(102,744	)		(109,899	)		(99,538	)		(54,396	)
Less: other fees waived (Note 6)		(375	)		(375	)		(375	)		(375	)		(375	)
Total Expenses after Adjustments		34,262			27,159			33,857			166,128			28,549
Net Investment Income (Loss)		(9,802	)		(4,414	)		(14,235	)		(7,451	)		83,735
NET REALIZED GAIN (LOSS) ON:
Investments in securities		98,718			27,419			40,087			547,324			207,341
In-kind redemptions of investments		105,740			99,306			—			1,446,420			—
Securities sold short		(218,450	)		(113,902	)		(30,622	)		(1,837,548	)		(71,135	)
Swap agreements		2,248			(2,356	)		(351	)		134,380			—
Net Realized Gain (Loss)		(11,744	)		10,467			9,114			290,576			136,206
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments in securities		(111,218	)		193,682			180,874			(1,621,924	)		102,638
Securities sold short		(298,190	)		29,601			(110,495	)		(1,078,534	)		(91,346	)
Swap agreements		(62,708	)		43,930			8,281			(357,247	)		—
Net Change in Unrealized Appreciation (Depreciation)		(472,116	)		267,213			78,660			(3,057,705	)		11,292
Net Realized and Unrealized Gain (Loss)		(483,860	)		277,680			87,774			(2,767,129	)		147,498
Net Increase (Decrease) in Net Assets Resulting from Operations	$	(493,662	)	$	273,266		$	73,539		$	(2,774,580	)	$	231,233

See accompanying notes to the financial statements.

36

FQF Trust

Statements of Changes in Net Assets

	QuantShares U.S. Market Neutral Momentum Fund						QuantShares U.S. Market Neutral Value Fund
	Six Months Ended December 31, 2016 (Unaudited)			Year Ended June 30, 2016			Six Months Ended December 31, 2016 (Unaudited)			Year Ended June 30, 2016
OPERATIONS
Net investment income (loss)	$	(9,802	)	$	(100,254	)	$	(4,414	)	$	(23,651	)
Net realized gain (loss)		(11,744	)		(491,951	)		10,467			71,444
Net change in unrealized appreciation (depreciation)		(472,116	)		487,044			267,213			(301,513	)
Net Increase (Decrease) in Net Assets Resulting from Operations		(493,662	)		(105,161	)		273,266			(253,720	)
CAPITAL TRANSACTIONS(1)
Proceeds from shares issued		—			11,003,744			1,335,328			—
Cost of shares redeemed		(1,243,469	)		(8,139,269	)		(1,211,931	)		—
Net Increase (Decrease) from Capital Transactions		(1,243,469	)		2,864,475			123,397			—
Total Increase (Decrease) in Net Assets		(1,737,131)			2,759,314			396,663			(253,720	)
NET ASSETS
Beginning of period	$	4,008,869		$	1,249,555		$	2,341,949		$	2,595,669
End of Period	$	2,271,738		$	4,008,869		$	2,738,612		$	2,341,949
Accumulated undistributed net investment income (loss) included in end of period net assets	$	(59,692	)	$	(49,890	)	$	(12,174	)	$	(7,760	)
SHARE TRANSACTIONS
Beginning of period		150,001			50,001			100,000			100,000
Shares issued in-kind		—			400,000			50,000			—
Shares redeemed in-kind		(50,000	)		(300,000	)		(50,000	)		—
Shares Outstanding, End of Period		100,001			150,001			100,000			100,000

⁽¹⁾ Capital transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 7 to the Financial Statements.

See accompanying notes to the financial statements.

37

FQF Trust

Statements of Changes in Net Assets

	QuantShares U.S. Market Neutral Size Fund						QuantShares U.S. Market Neutral Anti-Beta Fund
	Six Months Ended December 31, 2016 (Unaudited)			Year Ended June 30, 2016			Six Months Ended December 31, 2016 (Unaudited)			Year Ended June 30, 2016
OPERATIONS
Net investment income (loss)	$	(14,235	)	$	(43,992	)	$	(7,451	)	$	(169,961	)
Net realized gain (loss)		9,114			(342,046	)		290,576			(3,437,127	)
Net change in unrealized appreciation (depreciation)		78,660			45,222			(3,057,705	)		3,451,095
Net Increase (Decrease) in Net Assets Resulting from Operations		73,539			(340,816	)		(2,774,580	)		(155,993	)
CAPITAL TRANSACTIONS(1)
Proceeds from shares issued		—			1,118,843			1,079,147			191,641,377
Cost of shares redeemed		—			(1,083,614	)		(15,233,387	)		(168,560,710	)
Net Increase (Decrease) from Capital Transactions		—			35,229			(14,154,240	)		23,080,667
Total Increase (Decrease) in Net Assets		73,539			(305,587	)		(16,928,820	)		22,924,674
NET ASSETS
Beginning of period	$	2,136,484		$	2,442,071		$	26,792,660		$	3,867,986
End of Period	$	2,210,023		$	2,136,484		$	9,863,840		$	26,792,660
Accumulated undistributed net investment income (loss) included in end of period net assets	$	(32,546	)	$	(18,311	)	$	(63,249	)	$	(55,798	)
SHARE TRANSACTIONS
Beginning of period		100,001			100,001			1,150,001			200,001
Shares issued		—			—			—			100,000
Shares issued in-kind		—			50,000			50,000			9,000,000
Shares redeemed in-kind		—			(50,000	)		(700,000	)		(8,150,000	)
Shares Outstanding, End of Period		100,001			100,001			500,001			1,150,001

⁽¹⁾ Capital transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 7 to the Financial Statements.

See accompanying notes to the financial statements.

38

FQF Trust

Statements of Changes in Net Assets

	QuantShares Hedged Dividend Income Fund
	Six Months Ended December 31, 2016 (Unaudited)			Year Ended June 30, 2016
OPERATIONS
Net investment income (loss)	$	83,735		$	128,817
Net realized gain (loss)		136,206			(86,403	)
Net change in unrealized appreciation (depreciation)		11,292			375,550
Net Increase (Decrease) in Net Assets Resulting from Operations		231,233			417,964
DISTRIBUTIONS
Net investment income		(82,704	)		(124,435	)
Net realized gain		(120,954	)		(59,979	)
Total Distributions		(203,658	)		(184,414	)
CAPITAL TRANSACTIONS(1)
Proceeds from shares issued		1,299,796			—
Net Increase (Decrease) from Capital Transactions		1,299,796			—
Total Increase (Decrease) in Net Assets		1,327,371			233,550
NET ASSETS
Beginning of period	$	3,814,800		$	3,581,250
End of Period	$	5,142,171		$	3,814,800
Accumulated undistributed net investment income (loss) included in end of period net assets	$	(24,628	)	$	(25,659	)
SHARE TRANSACTIONS
Beginning of period		150,004			150,004
Shares issued in-kind		50,000			—
Shares Outstanding, End of Period		200,004			150,004

⁽¹⁾ Capital transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 7 to the Financial Statements.

See accompanying notes to the financial statements.

39

FQF Trust

Financial Highlights for a share outstanding throughout the period

			PER SHARE OPERATING PERFORMANCE
			Investment Operations												Distributions
	Net asset value, beginning of period		Net investment income (loss)(1)			Net realized and unrealized gain (loss)			Transaction fees			Total investment operations			Net investment income			Net realized gains			Tax return of capital			Total distributions			Net asset value, end of period
QuantShares U.S. Market Neutral Momentum Fund
For the six months ended 12/31/16 (Unaudited)	$	26.73	$	(0.09	)	$	(3.92	)	$	—		$	(4.01	)	$	—		$	—		$	—		$	—		$	22.72
Year ended June 30, 2016		24.99		(0.63	)		2.37	(8)		—			1.74			—			—			—			—			26.73
Year ended June 30, 2015		24.86		(0.55	)		0.68	(9)		—			0.13			—			—			—			—			24.99
Year ended June 30, 2014		23.93		(0.68	)		1.61			—			0.93			—			—			—			—			24.86
Year ended June 30, 2013		25.35		(0.43	)		(0.99	)		—			(1.42	)		—			—			—			—			23.93
For the period 09/06/11* – 06/30/12		25.00		(0.28	)		1.25			—			0.97			—			(0.61	)		(0.01	)		(0.62	)		25.35
QuantShares U.S. Market Neutral Value Fund
For the six months ended 12/31/16 (Unaudited)		23.42		(0.05	)		4.02			—	(10)		3.97			—			—			—			—			27.39
Year ended June 30, 2016		25.96		(0.24	)		(2.30	)		—			(2.54	)		—			—			—			—			23.42
Year ended June 30, 2015		28.15		(0.39	)		(1.80	)(9)		—			(2.19	)		—			—			—			—			25.96
Year ended June 30, 2014		26.85		(0.31	)		1.61			—			1.30			—			—			—			—			28.15
Year ended June 30, 2013		24.02		(0.14	)		3.68			—			3.54			—			(0.71	)		—			(0.71	)		26.85
For the period 09/12/11* – 06/30/12		25.00		(0.09	)		(0.31	)		—			(0.40	)		—			(0.58	)		—			(0.58	)		24.02
QuantShares U.S. Market Neutral Size Fund
For the six months ended 12/31/16 (Unaudited)		21.36		(0.14	)		0.88			—			0.74			—			—			—			—			22.10
Year ended June 30, 2016		24.42		(0.44	)		(2.62	)		—			(3.06	)		—			—			—			—			21.36
Year ended June 30, 2015		25.67		(0.51	)		(0.74	)(9)		—			(1.25	)		—			—			—			—			24.42
Year ended June 30, 2014		25.44		(0.56	)		0.79			—			0.23			—			—			—			—			25.67
Year ended June 30, 2013		24.88		(0.47	)		1.03			—			0.56			—			—			—			—			25.44
For the period 09/06/11* – 06/30/12		25.00		(0.40	)		0.46			—			0.06			—			(0.18	)		—			(0.18	)		24.88
QuantShares U.S. Market Neutral Anti-Beta Fund
For the six months ended 12/31/16 (Unaudited)		23.30		(0.01	)		(3.56	)		—	(10)		(3.57	)		—			—			—			—			19.73
Year ended June 30, 2016		19.34		(0.13	)		4.09	(8)		—			3.96			—			—			—			—			23.30
Year ended June 30, 2015		19.30		(0.13	)		0.17	(8)(9)		—			0.04			—			—			—			—			19.34
Year ended June 30, 2014		21.08		(0.15	)		(1.63	)		—			(1.78	)		—			—			—			—			19.30
Year ended June 30, 2013		23.77		(0.05	)		(2.64	)		—			(2.69	)		—			—	(10)		—			—	(10)		21.08
For the period 09/12/11* – 06/30/12		25.00		0.02			(0.83	)(8)		—			(0.81	)		(0.02	)		(0.40	)		—			(0.42	)		23.77
QuantShares Hedged Dividend Income Fund
For the six months ended 12/31/16 (Unaudited)		25.43		0.52			0.83			—	(10)		1.35			(0.47	)		(0.60	)		—			(1.07	)		25.71
Year ended June 30, 2016		23.87		0.86			1.93			—			2.79			(0.83	)		(0.40	)		—			(1.23	)		25.43
For the period 01/15/15* – 06/30/15		25.00		0.21			(1.21	)		—			(1.00	)		(0.13	)		—			—			(0.13	)		23.87

* Commencement of investment operations.

⁽¹⁾ Net investment income (loss) per share is based on average shares outstanding.

⁽²⁾ Annualized for periods less than one year.

⁽³⁾ Not annualized for periods less than one year.

⁽⁴⁾ Had certain expenses not been waived/reimbursed during the periods, if applicable, total returns would have been lower.

⁽⁵⁾ Net asset value total 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 at net asset value during the period and redemption on the last day of the period at net asset value.

⁽⁶⁾ Market value total return is calculated assuming an initial investment made at market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at market value. The market value is determined by the mid point of the bid/ask spread at 4:00 p.m. from the NYSE Arca, Inc. Exchange. Market value returns may vary from net asset value returns.

⁽⁷⁾ In-kind transactions are not included in portfolio turnover calculations.

⁽⁸⁾ The amount shown for a share outstanding throughout the period is not in accordance with the aggregate net realized and unrealized gain (loss) for that period because of the timing of sales and repurchases of the Fund shares in relation to fluctuating market value of the investments in the Fund.

⁽⁹⁾ FFCM reimbursed the Funds for losses incurred related to either a failure to rebalance at month-end or a trade error. The impact was an increase of $0.10, $0.05, $0.08, and $0.02 to the net realized and unrealized gains (losses) on investments per share and an increase of 0.39%, 0.17%, 0.21%, and 0.11% to the Funds total returns for QuantShares U.S. Market Neutral Momentum Fund, QuantShares U.S. Market Neutral Value Fund, QuantShares U.S. Market Neutral Size Fund and QuantShares U.S. Market Neutral Anti-Beta Fund, respectively. Had these reimbursements not been made, the total returns would have been lower.

⁽¹⁰⁾ Per share amount is less than $0.01.

See accompanying notes to the financial statements.

40

	RATIOS/SUPPLEMENTAL DATA
	Ratios to Average Net Assets of(2)																					Total Return(3)(4)
	Expenses, after waivers and before securities sold short			Expenses, after waivers and securities sold short			Expenses, before waivers and after securities sold short			Net investment income (loss)			Net investment income (loss), before waivers			Net investment income (loss) net of reimbursement excluding special dividends			Net investment income (loss) per share excluding special dividends			Net asset value(5)			Market value(6)			Portfolio turnover rate (excluding short sales)(3)(7)		Portfolio turnover rate (including short sales)(3)(7)		Ending net assets (thousands)
QuantShares U.S. Market Neutral Momentum Fund
For the six months ended 12/31/16 (Unaudited)		1.18	%		2.53	%		10.40	%		(0.72	)%		(8.60	)%		(0.95	)%	$	(0.12	)		(15.00	)%		(14.93	)%		83 %		188 %	$	2,272
Year ended June 30, 2016		1.49			3.67			7.77			(2.34	)		(6.44	)		(2.37	)		(0.63	)		6.96			7.01			210		647		4,009
Year ended June 30, 2015		1.49			3.43			22.80			(2.24	)		(21.62	)		(2.24	)		(0.55	)		0.52	(9)		0.36			196		398		1,250
Year ended June 30, 2014		1.49			3.66			22.47			(2.71	)		(21.52	)		(2.71	)		(0.68	)		3.89			5.60			168		351		1,243
Year ended June 30, 2013		1.16			3.40			8.74			(1.70	)		(7.04	)		(1.50	)		(0.38	)		(5.60	)		(7.28	)		211		417		1,196
For the period 09/06/11* – 06/30/12		0.99			2.65			5.40			(1.42	)		(4.17	)		(1.42	)		(0.28	)		4.04			4.28			196		372		5,070
QuantShares U.S. Market Neutral Value Fund
For the six months ended 12/31/16 (Unaudited)		1.16			2.48			11.88			(0.40	)		(9.80	)		(0.40	)		(0.05	)		16.95			17.01			46		145		2,739
Year ended June 30, 2016		1.49			3.05			10.14			(0.95	)		(8.03	)		(0.97	)		(0.24	)		(9.78	)		(10.38	)		95		195		2,342
Year ended June 30, 2015		1.49			3.20			11.72			(1.45	)		(9.96	)		(1.45	)		(0.39	)		(7.78	)(9)		(7.41	)		150		351		2,596
Year ended June 30, 2014		1.49			3.02			19.32			(1.13	)		(17.43	)		(1.06	)		(0.29	)		4.84			4.99			85		303		2,815
Year ended June 30, 2013		1.26			2.82			5.55			(0.55	)		(3.28	)		(0.72	)		(0.18	)		15.09			15.13			116		263		1,343
For the period 09/12/11* – 06/30/12		0.99			2.46			4.80			(0.46	)		(2.81	)		(0.46	)		(0.09	)		(1.70	)		(1.70	)		88		184		7,301
QuantShares U.S. Market Neutral Size Fund
For the six months ended 12/31/16 (Unaudited)		1.13			3.10			13.19			(1.30	)		(11.40	)		(1.38	)		(0.15	)		3.46			3.20			38		54		2,210
Year ended June 30, 2016		1.49			3.72			11.78			(1.97	)		(10.03	)		(2.01	)		(0.44	)		(12.53	)		(12.79	)		113		197		2,136
Year ended June 30, 2015		1.49			3.67			18.26			(2.08	)		(16.67	)		(2.15	)		(0.53	)		(4.87	)(9)		(4.58	)		78		108		2,442
Year ended June 30, 2014		1.49			3.51			18.14			(2.19	)		(16.82	)		(2.25	)		(0.58	)		0.90			0.43			53		114		1,284
Year ended June 30, 2013		1.28			3.60			6.13			(1.89	)		(4.42	)		(1.89	)		(0.47	)		2.25			2.25			101		153		3,816
For the period 09/06/11* – 06/30/12		0.99			3.30			5.26			(1.94	)		(3.90	)		(1.94	)		(0.40	)		0.28			0.28			90		312		6,220
QuantShares U.S. Market Neutral Anti-Beta Fund
For the six months ended 12/31/16 (Unaudited)		0.90			2.18			3.49			(0.10	)		(1.41	)		(0.26	)		(0.03	)		(15.32	)		(15.28	)		43		112		9,864
Year ended June 30, 2016		0.99			2.71			3.13			(0.61	)		(1.03	)		(0.84	)		(0.18	)		20.48			20.48			168		974		26,793
Year ended June 30, 2015		0.99			2.39			8.01			(0.65	)		(6.27	)		(0.68	)		(0.14	)		0.21	(9)		0.78			123		577		3,868
Year ended June 30, 2014		0.99			2.28			7.20			(0.74	)		(5.66	)		(0.78	)		(0.15	)		(8.44	)		(9.05	)		92		382		6,756
Year ended June 30, 2013		0.99			2.72			3.23			(0.22	)		(0.74	)		(0.07	)		(0.01	)		(11.31	)		(11.30	)		113		363		14,757
For the period 09/12/11* – 06/30/12		0.99			2.22			4.74			0.11			(2.41	)		0.11			0.02			(3.21	)		(3.13	)		68		207		9,506
QuantShares Hedged Dividend Income Fund
For the six months ended 12/31/16 (Unaudited)		0.87			1.36			3.98			4.00			1.38			4.00			0.52			5.35			5.43			57		87		5,142
Year ended June 30, 2016		0.99			1.75			5.31			3.61			0.06			3.60			0.85			12.21			11.84			130		192		3,815
For the period 01/15/15* – 06/30/15		0.99			1.81			8.14			1.89			(4.43	)		1.89			0.21			(4.02	)		(3.74	)		50		74		3,581

See accompanying notes to the financial statements.

41

FQF Trust
Notes to Financial Statements
December 31, 2016 (Unaudited)

1. Organization

FQF Trust (the “Trust”), a Delaware statutory trust, was formed on November 19, 2009. The Trust currently includes five operational series of the QuantShares Funds (collectively the “Funds” or individually a “Fund”): QuantShares U.S. Market Neutral Momentum Fund, QuantShares U.S. Market Neutral Value Fund, QuantShares U.S. Market Neutral Size Fund, QuantShares U.S. Market Neutral Anti-Beta Fund, and QuantShares Hedged Dividend Income Fund. FFCM, LLC (the “Adviser”) is the investment adviser to each Fund. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940 (the “1940 Act”), as amended.

The investment objective of each Fund is to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of a specified benchmark index (each, a “Target Index”). Each fund is classified as a “diversified” Fund. There can be no assurance that the Funds will achieve their respective investment objectives.

The Funds had no operations from their initial seeding date until each Fund’s respective commencement of operations date other than matters related to their organization and sale and issuance of 4,000 shares of beneficial interest in QuantShares U.S. Market Neutral Value Fund to the Adviser at the net asset value (“NAV”) of $25.00 per share.

2. Significant Accounting Policies

The following is a summary of the significant accounting policies followed by the Funds in preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of the financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements during the reporting period. Management believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the financial statements may differ from the value the Funds ultimately realize upon sale of the securities.

Investment Valuation

The value of each Fund’s securities held long and securities held short is based on such securities’ closing price on local markets when available. Such valuations would typically be categorized as Level 1 in the fair value hierarchy described below. If a security’s market price is not readily available or if the value of a security the Funds hold has been materially affected by events occurring before the Funds’ pricing time but after the close of the primary markets or exchanges on which the security is traded, the security will be valued by another method that the Funds’ Valuation Committee believes will better reflect fair value in accordance with the Trust’s valuation guidelines which were approved by the Board of Trustees (the “Trustees”). Each Fund may use fair value pricing in a variety of circumstances, including but not limited to, situations when the value of a Fund’s security has been materially affected by events occurring after the close of the market on which such security is principally traded (such as a corporate action or other news that may materially affect the price of such security) or trading in such security has been suspended or halted. Such valuations would typically be categorized as Level 2 or Level 3 in the fair value hierarchy described below. Fair value pricing involves subjective judgments and it is possible that a fair value determination for a security is materially different than the value that could be realized upon the sale of such security. In addition, fair value pricing could result in a difference between the prices used to calculate a Fund’s NAV and the prices used by the Fund’s Target Index. This may adversely affect a Fund’s ability to track its Target Index. Securities of non-exchange traded and exchange traded investment companies are valued at their NAV and market value, respectively.

42

FQF Trust
Notes to Financial Statements (continued)
December 31, 2016 (Unaudited)

Generally, the Funds price their swap agreements daily using industry standard models that may incorporate quotations from market makers or pricing vendors (unless the underlying reference security is closed or the official closing time of the underlying index occurs prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, in which case the quotations will be adjusted, to the extent practicable and available, based on inputs from an independent pricing source approved by the Trustees) and records the change in value, if any, as unrealized gain or loss. Such valuations would typically be categorized as Level 2 in the fair value hierarchy described below. Gains or losses are realized upon termination of the swap agreements or reset dates, as appropriate.

The Funds disclose the fair value of their investments in a hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs) and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the hierarchy are as follows:

• Level 1 — Quoted prices in active markets for identical assets.

• Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

• Level 3 — Significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the valuations as of December 31, 2016 for each fund based upon the three levels defined above:

	LEVEL 1 –  Quoted Prices			LEVEL 2 –  Other Significant Observable Inputs			LEVEL 3 –  Other Significant Unobservable Inputs
	Common Stocks			Swap Agreements*					Totals
QuantShares U.S. Market Neutral Momentum Fund
Assets:	$	1,988,423		$	44,704		$	—	$	2,033,127
Liabilities:		(1,957,388	)		(59,934	)		—		(2,017,322	)
Totals:	$	31,035		$	(15,230	)	$	—	$	15,805
QuantShares U.S. Market Neutral Value Fund
Assets:	$	2,351,848		$	48,912		$	—	$	2,400,760
Liabilities:		(2,381,673	)		(22,539	)		—		(2,404,212	)
Totals:	$	(29,825	)	$	26,373		$	—	$	(3,452	)
QuantShares U.S. Market Neutral Size Fund
Assets:	$	1,882,510		$	55,966		$	—	$	1,938,476
Liabilities:		(1,843,860	)		(56,626	)		—		(1,900,486	)
Totals:	$	38,650		$	(660	)	$	—	$	37,990
QuantShares U.S. Market Neutral Anti-Beta Fund
Assets:	$	8,887,644		$	193,758		$	—	$	9,081,402
Liabilities:		(8,779,082	)		(102,953	)		—		(8,882,035	)
Totals:	$	108,562		$	90,805		$	—	$	199,367
QuantShares Hedged Dividend Income Fund
Assets:	$	5,051,158		$	—		$	—	$	5,051,158
Liabilities:		(2,520,831	)		—			—		(2,520,831	)
Totals:	$	2,530,327		$	—		$	—	$	2,530,327

* The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to a Fund’s NAV than the uncertainties surrounding inputs for a non-derivative security with the same market value.

43

FQF Trust
Notes to Financial Statements (continued)
December 31, 2016 (Unaudited)

For the period ended December 31, 2016, there were no Level 3 investments held in a Fund for which significant unobservable inputs were used to determine fair value. Please refer to the Schedules of Investments to view equity securities segregated by industry type.

The Funds disclose transfers between levels based on valuations at the end of the reporting period. There were no transfers between Levels 1, 2, and 3 as of December 31, 2016, based on levels assigned to securities on June 30, 2016.

Real Estate Investment Trusts (“REITs”)

Each Fund may invest in real estate investment trusts (“REITs”). Equity REITs invest primarily in real property while mortgage REITs make construction, development and long term mortgage loans. Their value may be affected by changes in the value of the underlying property of the REIT, the creditworthiness of the issuer, property taxes, interest rates, and tax and regulatory requirements, such as those relating to the environment.

REITs are dependent upon management skill, are not diversified and are subject to heavy cash flow dependency, default by borrowers, self liquidation and the possibility of failing to qualify for tax free income status under the Internal Revenue Code of 1986 and failing to be exempt from registration as a registered investment company under the 1940 Act.

Distributions from REIT investments may be comprised of return of capital, capital gains and income. The actual character of amounts received during the year is not known until after the REIT’s fiscal year end. The Funds record the character of distributions received from REITs during the year based on estimates available. The characterization of distributions received by the Funds may be subsequently revised based on information received from the REITs after their tax reporting periods have concluded.

Short Sales

The Funds enter into short sales. A short sale is a transaction in which a Fund sells a security it does not own. To complete such a transaction, a Fund must borrow the security to make delivery to the buyer. A Fund is then obligated to replace the security borrowed by borrowing the same security from another lender, purchasing it at the market price at the time of replacement or paying the lender an amount equal to the cost of purchasing the security. The price at such time may be more or less than the price at which the security was sold by the Fund. Until the security is replaced, a Fund is required to repay the lender any dividends it receives, or interest which accrues, during the period of the loan. To borrow the security, a Fund also may be required to pay a premium, which would increase the cost of the security sold. The net proceeds of the short sale will be retained by the broker, to the extent necessary to meet margin requirements, until the short position is closed out. A Fund also will incur transaction costs in effecting short sales.

A Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Fund closes out the short sale. A Fund will realize a gain if the price of the security declines in price between those dates. The amount of any gain will be decreased, and the amount of any loss increased, by the amount of the premium, dividends or interest a Fund may be required to pay, if any, in connection with a short sale. Short sales may be subject to unlimited losses as the price of a security can rise infinitely.

Whenever a Fund engages in short sales, it earmarks or segregates liquid securities or cash in an amount that, when combined with the amount of collateral deposited with the broker in connection with the short sale (other than the proceeds of the short sale), equals the current market value of the security sold short. The earmarked or segregated assets are marked-to-market daily and cannot be sold or liquidated unless replaced with liquid assets of equal value.

44

FQF Trust
Notes to Financial Statements (continued)
December 31, 2016 (Unaudited)

Funds may not be able to borrow stocks that are short positions in a Target Index as their supply may be insufficient or the cost to borrow may be prohibitively expensive due to market or stock specific conditions. Under such circumstances, the Funds may not achieve their investment objectives.

Swap Agreements

The Funds may enter into swap agreements. Certain Funds currently enter into equity or equity index swap agreements for purposes of attempting to gain exposure to an index or group of securities without actually purchasing those securities. Although some swap agreements may be exchange-traded, others are two-party contracts entered into primarily by institutional investors for periods ranging from a day to more than one year. Most, if not all, swap agreements entered into by the Funds will be two-party contracts. In connection with the Funds’ positions in a swaps contract, each Fund will segregate liquid assets or will otherwise cover its position in accordance with applicable SEC requirements. In such a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount,” i.e., the return on or increase in value of a particular dollar amount invested in a “basket” of securities representing a particular index or group of securities. The use of swaps is a highly specialized activity which involves investment techniques and risks different from those associated with ordinary portfolio securities transactions.

Each Fund may enter into swap agreements to invest in a market without owning or taking physical custody of securities in circumstances in which direct investment is restricted for legal reasons or is otherwise impracticable. The counterparty to any swap agreement will typically be a bank, investment banking firm or broker/dealer. On a long swap, the counterparty will generally agree to pay the Fund the amount, if any, by which the notional amount of the swap agreement would have increased in value had it been invested in the particular stocks, plus the dividends that would have been received on those stocks.

A Fund agrees to pay to the counterparty a floating rate of interest on the notional amount of the swap agreement plus the amount, if any, by which the notional amount would have decreased in value had it been invested in such stocks. Therefore, the return to a Fund on any swap agreement will generally be the gain or loss on the notional amount plus dividends on the stocks less the interest paid by the Fund on the notional amount. As a trading technique, the Adviser may substitute physical securities with a swap agreement having risk characteristics substantially similar to the underlying securities.

Swap agreements typically are settled on a net basis, which means that the two payment streams are netted out, with a Fund receiving or paying, as the case may be, only the net amount of the two payments. Payments may be made at the conclusion of a swap agreement or periodically during its term. Swap agreements do not involve the delivery of securities or other underlying assets. Accordingly, the risk of loss with respect to swap agreements is limited to the net amount of payments that a Fund is contractually obligated to make. If the other party to a swap agreement defaults, a Fund’s risk of loss consists of the net amount of payments that such Fund is contractually entitled to receive. The net amount of the excess, if any, of a Fund’s obligations over its entitlements with respect to each equity swap will be accrued on a daily basis and an amount of cash or liquid assets, having an aggregate value at least equal to such accrued excess, will be earmarked or segregated by a Fund’s custodian; this cash and liquid assets cannot be sold unless replaced with cash or liquid assets of equal value. Inasmuch as these transactions are entered into for hedging purposes or are offset by earmarked or segregated cash or liquid assets, as permitted by applicable law, these transactions will not be construed to constitute senior securities within the meaning of the 1940 Act, and will not be subject to a Fund’s borrowing restrictions.

The swap market has grown substantially in recent periods with a large number of banks and investment banking firms acting both as principals and as agents utilizing standardized swap documentation. As a result, the swap market has become relatively liquid in comparison with the markets for other similar instruments which are

45

FQF Trust
Notes to Financial Statements (continued)
December 31, 2016 (Unaudited)

traded in the OTC market. The Adviser, under the oversight of the Trustees, is responsible for determining and monitoring the liquidity of the Funds’ transactions in swap agreements.

In the normal course of business, a Fund enters into International Swaps and Derivatives Association (“ISDA”) agreements with certain counterparties for derivative transactions. These agreements contain among other conditions, events of default and termination events, and various covenants and representations. Certain of the Funds’ ISDA agreements contain provisions that require the Funds to maintain a pre-determined level of net assets, and/or provide limits regarding the decline of the Funds’ NAV over specific periods of time, which may or may not be exclusive of redemptions. If the Funds were to trigger such provisions and have open derivative positions at that time, counterparties to the ISDA agreements could elect to terminate such ISDA agreements and request immediate payment in an amount equal to the net liability positions, if any, under the relevant ISDA agreement. Pursuant to the terms of its ISDA agreements, the Funds will have already collateralized its liability under such agreements, in some cases only in excess of certain threshold amounts.

The Funds noted below used swap contracts to simulate full investment in each respective Fund’s Target Index. The following represents the average outstanding swap contracts for the period ended December 31, 2016:

Fund	Average Contract Long		Average Contract Short
QuantShares U.S. Market Neutral Momentum Fund	$	342,284	$	(373,402	)
QuantShares U.S. Market Neutral Value Fund		309,724		(299,345	)
QuantShares U.S. Market Neutral Size Fund		322,248		(359,129	)
QuantShares U.S. Market Neutral Anti-Beta Fund		1,801,617		(1,470,271	)

The following table indicates the location of derivative-related items on the Statements of Assets and Liabilities as well as the effect of derivative instruments on the Statements of Operations during the reporting period.

Fair Value of Derivative Instruments as of December 31, 2016
Fund	Derivatives not accounted for as hedging instruments under ASC 815		Location		Assets Value		Liabilities Value
		Swap agreements		Statements of Assets and Liabilities
QuantShares U.S. Market Neutral Momentum Fund					$	44,704	$	59,934
QuantShares U.S. Market Neutral Value Fund						48,912		22,539
QuantShares U.S. Market Neutral Size Fund						55,966		56,626
QuantShares U.S. Market Neutral Anti-Beta Fund						193,758		102,953

The Effect of Derivative Instruments on the Statements of Operations as of December 31, 2016
Fund	Derivatives not accounted for as hedging instruments under ASC 815		Realized Gain or (Loss) on Derivatives			Change in Unrealized Appreciation or (Depreciation) on Derivatives
		Swap agreements
QuantShares U.S. Market Neutral Momentum Fund			$	2,248		$	(62,708	)
QuantShares U.S. Market Neutral Value Fund				(2,356	)		43,930
QuantShares U.S. Market Neutral Size Fund				(351	)		8,281
QuantShares U.S. Market Neutral Anti-Beta Fund				134,380			(357,247	)

Expenses

Most of the expenses of the Trust are directly identifiable to an individual Fund. Common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds.

46

FQF Trust
Notes to Financial Statements (continued)
December 31, 2016 (Unaudited)

Taxes and Distributions

Each of the Funds intends to qualify or continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute substantially all of its net investment income and net capital gains to shareholders. Accordingly, no provision for Federal income taxes is required in the financial statements.

As of June 30, 2016 (the Funds’ tax year end), management of the Funds has reviewed the open tax years and major jurisdictions and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months. On an ongoing basis, management will monitor the tax positions taken to determine if adjustment to conclusions are necessary based on factors including but not limited to further implementation on guidance expected from FASB and ongoing analysis of tax law, regulation, and interpretations thereof.

Distributions to shareholders from net investment income, if any, are distributed annually. Dividends may be declared and paid more frequently to improve a Fund’s tracking to its Target Index or to comply with the distribution requirements of the Internal Revenue Code. Net capital gains are distributed at least annually.

3. Investment Transactions — Related Income

Throughout the reporting period, investment transactions are accounted for no later than one business day following the trade date. For financial reporting purposes, investment transactions are accounted for on trade date on the last business day of the reporting period. Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premiums and accretion of discounts. Dividend income, net of any applicable foreign withholding taxes, is recorded on the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the asset received. Large, non-recurring dividends recognized by the Funds are presented separately on the Statement of Operations as “Special Dividends” and the impact of these dividends is presented in the Financial Highlights. Gains or losses realized on sales of securities are determined using the specific identification method by comparing the identified cost of the security lot sold with the net sales proceeds.

4. Investment Management Fees

Under an investment management agreement between the Adviser and the Trust, on behalf of each Fund (“Management Agreement”), the Funds pay the Adviser a fee at an annualized rate, based on each Fund’s average daily net assets, of 0.50%. The Adviser manages the investment and the reinvestment of the assets of each of the Funds, in accordance with the investment objectives, policies, and limitations of the Funds, subject to the general supervision and control of the Trustees. The Trust pays all expenses of its operations and business not specifically assumed or agreed to be paid by the Adviser.

The Adviser has contractually undertaken until November 13, 2017 to forgo current payment of fees and/or reimburse expenses of each Fund so that the total annual operating expenses (excluding interest, taxes, brokerage commissions and other expenses that are capitalized in accordance with generally accepted accounting principles, dividend, interest and brokerage expenses for short positions, acquired fund fees and expenses, and extraordinary expenses, if any) (“Operating Expenses”) are limited to 0.75% of average daily net assets (“Expense Cap”) for each Fund.

47

FQF Trust
Notes to Financial Statements (continued)
December 31, 2016 (Unaudited)

Prior to October 5, 2016, the Operating Expenses limit based on each Fund’s average daily net assets were as follows:

Fund	Expense Limitation
QuantShares U.S. Market Neutral Momentum Fund		1.49	%
QuantShares U.S. Market Neutral Value Fund		1.49	%
QuantShares U.S. Market Neutral Size Fund		1.49	%
QuantShares U.S. Market Neutral Anti-Beta Fund		1.49	%
QuantShares Hedged Dividend Income Fund		0.99	%

For the period ended December 31, 2016, management fee waivers and expense reimbursements were as follows:

Fund	Management Fees Waived		Expense Reimbursements
QuantShares U.S. Market Neutral Momentum Fund	$	6,770	$	99,659
QuantShares U.S. Market Neutral Value Fund		5,466		97,278
QuantShares U.S. Market Neutral Size Fund		5,446		104,453
QuantShares U.S. Market Neutral Anti-Beta Fund		38,055		61,483
QuantShares Hedged Dividend Income Fund		10,448		43,948

Each Fund has agreed that it will repay the Adviser for fees and expenses forgone or reimbursed for the Fund pursuant to the contractual expense limitation described above. Such repayment would increase a Fund’s expenses, and would appear on the Statements of Operations as “Repayment of prior expenses waived and/or reimbursed by the Adviser.” However, repayment would only occur up to the point of each Fund’s contractual Operating Expenses limit of 0.75% of average daily net assets. Any such repayment must be made within three years from the date the expense was borne by the Adviser. For the period ended December 31, 2016, none of the Funds repaid expenses to the Adviser. As of December 31, 2016, the amounts eligible for repayment and the associated period of expiration are as follows:

	Expires June 30,								Total Eligible for Recoupment
Fund	2017		2018		2019		2020
QuantShares U.S. Market Neutral Momentum Fund	$	116,823	$	237,217	$	174,771	$	106,412	$	635,223
QuantShares U.S. Market Neutral Value Fund		116,882		215,496		175,557		102,744		610,679
QuantShares U.S. Market Neutral Size Fund		116,713		237,500		179,271		109,897		643,381
QuantShares U.S. Market Neutral Anti-Beta Fund		107,094		219,584		—		76,166		402,844
QuantShares Hedged Dividend Income Fund		—		94,840		125,826		54,396		275,062

5. Administration and Custodian Fees

JPMorgan Chase Bank, N.A. acts as Administrator and Custodian to the Funds. The Administrator provides the Funds with all required general administrative services. For these services, each Fund shall pay the Administrator monthly, a fee accrued daily and based on average net assets and subject to certain minimum levels. The Administrator pays all fees and expenses that are directly related to the services provided by the Administrator to the Funds; each Fund reimburses the Administrator for all fees and expenses incurred by the Administrator which are not directly related to the services the Administrator provides to the Funds under the service agreement. Each Fund may also reimburse the Administrator for such out-of-pocket expenses as incurred by the Administrator in the performance of its duties. JPMorgan Chase Bank, N.A. acts as Custodian to the Funds. The Custodian holds cash, securities and other assets of the Funds as required by the 1940 Act.

48

FQF Trust
Notes to Financial Statements (continued)
December 31, 2016 (Unaudited)

6. Distribution, Service Plan and Fund Officers

Foreside Fund Services, LLC (the “Distributor”) serves as the Funds’ Distributor. The Trust has adopted a distribution and service plan (“Plan”) pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, each Fund is authorized to pay distribution fees to the Distributor and other firms that provide distribution and shareholder services (“Service Providers”). If a Service Provider provides such services, the Funds may pay fees at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 under the 1940 Act.

No distribution or service fees are currently paid by the Funds and there are no current plans to impose these fees. In the event Rule 12b-1 fees were charged, over time they would increase the cost of an investment in the Funds and may cost you more than other types of sales charges.

Foreside Fund Officer Services, LLC (“FFOS”) (formerly Foreside Compliance Services, LLC), an affiliate of the Distributor, provides a Chief Compliance Officer as well as certain additional compliance support functions to the Funds. Foreside Management Services, LLC (“FMS”), an affiliate of the Distributor, provides a Principal Financial Officer and Treasurer to the Funds. FMS has agreed to temporarily waive a portion of its fees until further notice. Neither FFOS nor FMS have a role in determining the investment policies of the Trust or Funds, or which securities are to be purchased or sold by the Trust or a Fund.

7. Issuance and Redemption of Fund Shares

The Funds are exchange-traded funds or ETFs. Individual Fund shares may only be purchased and sold on a national securities exchange through a broker-dealer and investors may pay a commission to such broker-dealers in connection with their purchase or sale. The price of Fund shares is based on market price, and because ETF shares trade at market prices rather than NAV, shares may trade at a price greater than NAV (a premium) or less than NAV (a discount). The Fund will only issue or redeem shares aggregated into blocks of 50,000 shares or multiples thereof (“Creation Units”) to Authorized Participants who have entered into agreements with the Funds’ Distributor. An Authorized Participant is either (1) a “Participating Party,” (i.e., a broker-dealer or other participant in the clearing process of the Continuous Net Settlement System of the NSCC) (“Clearing Process”), or (2) a participant of DTC (“DTC Participant”), and, in each case, must have executed an agreement (“Participation Agreement”) with the distributor with respect to creations and redemptions of Creation Units. The Funds will issue or redeem Creation Units in return for a basket of assets that the Funds specify each day.

Shares are listed on the NYSE Arca, Inc.^TM and are publicly traded. If you buy or sell Fund shares on the secondary market, you will pay or receive the market price, which may be higher or lower than NAV. Your transaction will be priced at NAV if you purchase or redeem Fund shares in Creation Units.

Authorized Participants may pay transaction fees to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units. Transaction fees related to unsettled Creation Unit transactions are included in the receivable for capital shares issued on the Statements of Assets and Liabilities. Transaction fees assessed during the period, which are included in the proceeds from shares issued on the Statements of Changes in Net Assets, were as follows:

Fund	Six Months Ended December 31, 2016
QuantShares U.S. Market Neutral Value Fund	$	139
QuantShares U.S. Market Neutral Anti-Beta Fund		1,159
QuantShares Hedged Dividend Income Fund		1

49

FQF Trust
Notes to Financial Statements (continued)
December 31, 2016 (Unaudited)

8. Investment Transactions

For the period ended December 31, 2016, the cost of securities purchased and proceeds from sales of securities, excluding short-term securities, derivatives and in-kind transactions, were as follows:

	Purchases				Sales
Fund	Long		Short Covers		Long		Short
QuantShares U.S. Market Neutral Momentum Fund	$	2,121,823	$	4,242,578	$	2,688,364	$	2,109,707
QuantShares U.S. Market Neutral Value Fund		852,698		1,836,935		942,738		2,106,323
QuantShares U.S. Market Neutral Size Fund		714,679		305,415		896,635		200,233
QuantShares U.S. Market Neutral Anti-Beta Fund		6,144,209		26,160,450		8,624,505		7,219,078
QuantShares Hedged Dividend Income Fund		2,389,929		1,240,599		2,684,810		1,762,718

9. In-Kind Transactions

During the period presented in this report, certain Funds of the Trust delivered securities of the Funds in exchange for the redemption of shares (redemption-in-kind). Cash and securities were transferred for redemptions at fair value. For financial reporting purposes, the Funds recorded net realized gains and losses in connection with each transaction.

For the period ended December 31, 2016, the value of the securities transferred for redemptions, and the net realized gains recorded in connection with the transactions were as follows:

Fund	Value		Realized Gain
QuantShares U.S. Market Neutral Momentum Fund	$	1,106,464	$	105,740
QuantShares U.S. Market Neutral Value Fund		1,035,139		99,306
QuantShares U.S. Market Neutral Anti-Beta Fund		13,952,021		1,446,420

During the period, certain Funds of the Trust received cash and securities in exchange for subscriptions of shares (subscriptions-in-kind). For the period ended December 31, 2016, the value of the securities received for subscriptions were as follows:

Fund	Value
QuantShares U.S. Market Neutral Value Fund	$	1,125,101
QuantShares U.S. Market Neutral Anti-Beta Fund		950,530
QuantShares Hedged Dividend Income Fund		1,289,987

10. Principal Risks

The Funds are subject to the principal risks noted below, which may adversely affect a Fund’s NAV, trading price, yield, total return and ability to meet its investment objective. A more complete description of the principal risks to which each Fund is subject is included in the Funds’ prospectus.

Momentum Risk:  For the QuantShares U.S. Market Neutral Momentum Fund, momentum investing emphasizes investing in securities that have had better recent performance compared to other securities. Securities may be more volatile than a broad cross-section of securities, and momentum may be an indicator that a security’s price is peaking. In addition, there may be periods when the momentum style is out of favor, and during which the investment performance of a fund using a momentum strategy may suffer. Momentum can turn quickly and cause significant variation from other types of investments. The Fund may experience significant losses if momentum stops, turns or otherwise behaves differently than predicted.

50

FQF Trust
Notes to Financial Statements (continued)
December 31, 2016 (Unaudited)

Value Risk:  For the QuantShares U.S. Market Neutral Value Fund, value investing entails investing in securities issued by companies that may be perceived as undervalued may fail to appreciate for long periods of time and may never realize their full potential value. The Index Provider may be unsuccessful in creating an index that emphasizes undervalued securities. Value securities have generally performed better than non-value securities during periods of economic recovery. Value securities may go in and out of favor over time.

Size Risk:  For the QuantShares U.S. Market Neutral Size Fund, size investing entails investing in securities within the universe that have smaller market capitalizations and shorting securities within the universe that have larger market capitalizations. The Fund seeks to capture excessive returns of smaller firms (by market capitalization) relative to their larger counterparts. There may be periods when the size style is out of favor, and during which the investment performance of a fund using a size strategy may suffer.

Anti-Beta Risk:  For the QuantShares U.S. Market Neutral Anti-Beta Fund, anti-beta investing entails investing in securities where there is a risk that the present and future volatility of a security, relative to the market index, will not be the same as it has been historically and thus that the Fund will not be invested in the less volatile securities in the universe. In addition, the Fund may be more volatile than the universe since it will have short exposure to the most volatile stocks in the universe and long exposure to the least volatile stocks in the universe. Volatile stocks are subject to sharp swings in value.

High Dividend Risk:  For the QuantShares Hedged Dividend Income Fund, high dividend investing entails a risk that a company may reduce or eliminate its dividend. As a result, the present and future dividend of a security may not be the same as it has historically been and the Fund may not end up invested in high dividend securities. The Fund may be more volatile than the universe since it will have short exposure to low dividend paying stocks in the universe. In addition, there may be periods when the high dividend style is out of favor, and during which the investment performance of a fund using a high dividend strategy may suffer.

Authorized Participants Concentration Risk:  The Funds have a limited number of financial institutions that may act as Authorized Participants. To the extent they cannot or are otherwise unwilling to engage in creation and redemption transactions with the Funds and no other Authorized Participant steps in, shares of the Funds may trade like closed-end fund shares at a significant discount to NAV and may face delisting from the Exchange.

Derivatives Risk:  Derivatives, including swap agreements and futures contracts, may involve risks different from, or greater than, those associated with more traditional investments. As a result of investing in derivatives, a Fund could lose more than the amount it invests. Derivatives may be highly illiquid, and a Fund may not be able to close out or sell a derivative position at a particular time or at an anticipated price.

Derivatives may be subject to counterparty risk, which includes the risk that a loss may be sustained by a Fund as a result of the insolvency or bankruptcy of, or other non-compliance by, the other party to the transaction.

Equity Investing Risk:  An investment in a Fund involves risks similar to those of investing in any fund holding equity securities, such as market fluctuations. In addition, securities may decline in value due to factors affecting a specific issuer, market or securities markets generally.

Industry Concentration Risk:  To the extent that a Fund’s Target Index is concentrated in a particular industry, the Fund also will be expected to be concentrated in that industry, which may subject the Fund to a greater loss as a result of adverse economic, business or other developments affecting that industry.

Large Capitalization Securities Risk:  The securities of large market capitalization companies may underperform other segments of the market because such companies may be less responsive to competitive challenges and opportunities and may be unable to attain high growth rates during periods of economic expansion.

51

FQF Trust
Notes to Financial Statements (continued)
December 31, 2016 (Unaudited)

Leverage Risk:  A Fund’s use of short selling and swap agreements allows the Fund to obtain investment exposures greater than it could otherwise obtain and to increase, or leverage, its total long and short investment exposures more than its NAV by a significant amount. Leverage may magnify the Fund’s gains or losses.

Market Events Risk:  Turbulence in the financial markets and reduced liquidity may negatively affect issuers, which could have an adverse effect on the Fund. In addition, there is a risk that policy changes by the U.S. Government, Federal Reserve and/or other government actors, such as increasing interest rates, could cause increased volatility in financial markets and higher levels of Fund redemptions, which could have a negative impact on the Fund.

Market Neutral Style Risk: There is a risk that the Adviser’s sampling strategy, or the Target Index, will not construct a portfolio that limits a Fund’s exposure to general market movements, in which case the Fund’s performance may reflect general market movements. Further, if the portfolio is constructed to limit a Fund’s exposure to general market movements, during a “bull” market, when most equity securities and long-only equity ETFs are increasing in value, the Funds’ short positions will likely cause a Fund to underperform the overall U.S. equity market and such ETFs. In addition, because each Fund employs a dollar neutral strategy to achieve market neutrality, the beta of the Fund (i.e., the relative volatility of the Fund as compared to the market) will vary over time and may not be equal to zero.

Master Limited Partnership Risk:  The Funds may invest in Master Limited Partnerships (“MLPs”), which are commonly taxed as partnerships and publicly traded on national securities exchanges. Investments in common units of MLPs involve risks that differ from investments in common stock, including risks related to limited control and limited rights to vote on matters that affect the MLP. MLPs are commonly treated as partnerships that are “qualified publicly traded partnerships” for federal income tax purposes, which commonly pertain to the use of natural resources. Changes in U.S. tax laws could revoke the pass-through attributes that provide the tax efficiencies that make MLPs attractive investment structures.

Mid-Capitalization Securities Risk:  The securities of mid-capitalization companies are often more volatile and less liquid than the securities of larger companies and may be more affected than other types of stocks during market downturns. Compared to larger companies, mid-capitalization companies may have a shorter history of operations and may have limited product lines, markets or financial resources.

Passive Investment Risk:  The Adviser does not actively manage the Funds and therefore does not attempt to analyze, quantify or control the risks associated with investing in stocks of companies in the Target Index. As a result, the Funds may hold constituent securities regardless of the current or projected performance of a specific security or a particular industry or market sector. Maintaining investments in securities regardless of market conditions or the performance of individual securities could cause a Fund’s return to be lower than if the Fund employed an active strategy.

Portfolio Turnover Risk:  A Fund’s investment strategy may result in higher portfolio turnover rates. A high portfolio turnover rate (e.g., over 100%) may result in higher transaction costs to a Fund, including brokerage commissions, and negatively impact a Fund’s performance. Such portfolio turnover also may generate net short-term capital gains.

Premium/Discount Risk:  Although it is expected that the market price of a Fund’s shares typically will approximate its NAV, there may be times when the market price and the NAV differ and a Fund’s shares may trade at a premium or discount to NAV.

REIT Risk:  Through its investments in REITs, the Funds will be subject to the risks of investing in the real estate market, including decreases in property revenues, increases in interest rates, increases in property taxes and operating expenses, legal and regulatory changes, a lack of credit or capital, defaults by borrowers or tenants, environmental problems and natural disasters.

52

FQF Trust
Notes to Financial Statements (continued)
December 31, 2016 (Unaudited)

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

Secondary Market Trading Risk:  Investors buying or selling Fund shares in the secondary market may pay brokerage commissions or other charges which may be a significant proportional cost for investors seeking to buy or sell relatively small amounts of Fund shares. Although the Funds’ shares are listed on the Exchange, there can be no assurance that an active trading market for them will develop or be maintained. In addition, trading in Fund shares on the Exchange may be halted.

Short Sale Risk:  If a Fund sells a stock short and subsequently has to buy the security back at a higher price, the Fund will realize a loss on the transaction. The amount a Fund could lose on a short sale is potentially unlimited because there is no limit on the price a shorted security might attain (as compared to a long position, where the maximum loss is the amount invested). The use of short sales increases the exposure of a Fund to the market, and may increase losses and the volatility of returns. If the short portfolio (made up of the lowest ranked securities within each sector) outperforms the long portfolio (made up of the highest ranked securities within each sector), the performance of a Fund would be negatively affected. In addition, when a Fund is selling a stock short, it must maintain a segregated account or cash and/or liquid assets with its custodian to satisfy collateral and regulatory requirements. As a result, a Fund may maintain high levels of cash or liquid assets.

Single Factor Risk:  Each Fund invests in securities based on a single investment factor and is designed to be used as part of broader asset allocation strategies. An investment a Fund is not a complete investment program.

Tracking Error Risk:  The investment performance of a Fund may diverge from that of its Target Index due to, among other things, fees and expenses paid by a Fund that are not reflected in the Target Index. If a Fund is small, it may experience greater tracking error. If the value of short positions exceeds the value of the long positions by a certain percentage, the investment performance of a Fund will likely diverge from that of its Target Index.

11. Guarantees and Indemnifications

In the normal course of business, a Fund enters into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. Additionally, under the Funds’ organizational documents, the officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, the Adviser is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.

12. Subsequent Events

Subsequent events occurring after the date of this report have been evaluated for potential impact to this report through the date the report was issued.

53

FQF Trust
Expense Examples (Unaudited)
December 31, 2016

As a shareholder, you incur two types of costs: (1) transaction costs for purchasing and selling shares and (2) ongoing costs, including management fees, other operational and investment related expenses. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.

Actual Expenses

The actual expense examples are based on an investment of $1,000 invested at the beginning of a six month period and held through the period ended December 31, 2016.

The first line in the following tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The hypothetical expense examples are based on an investment of $1,000 invested at the beginning of a six month period and held through the period ended December 31, 2016.

The second line in the following tables provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as brokerage charges. Therefore, the second line for each Fund in the table 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 transaction costs were included, your costs would have been higher.

54

FQF Trust
Expense Examples (Unaudited)
December 31, 2016

	Beginning Account Value 07/01/16		Ending Account Value 12/31/16		Expenses Paid During the Period*		Annualized Expense Ratio During Period
QuantShares U.S. Market Neutral Momentum Fund
Actual	$	1,000.00	$	850.00	$	11.80		2.53	%
Hypothetical	$	1,000.00	$	1,012.45	$	12.83		2.53	%
QuantShares U.S. Market Neutral Value Fund
Actual	$	1,000.00	$	1,169.50	$	13.56		2.48	%
Hypothetical	$	1,000.00	$	1,012.70	$	12.58		2.48	%
QuantShares U.S. Market Neutral Size Fund
Actual	$	1,000.00	$	1,034.60	$	15.90		3.10	%
Hypothetical	$	1,000.00	$	1,009.58	$	15.70		3.10	%
QuantShares U.S. Market Neutral Anti-Beta Fund
Actual	$	1,000.00	$	846.80	$	10.15		2.18	%
Hypothetical	$	1,000.00	$	1,014.22	$	11.07		2.18	%
QuantShares Hedged Dividend Income Fund
Actual	$	1,000.00	$	1,053.50	$	7.04		1.36	%
Hypothetical	$	1,000.00	$	1,018.35	$	6.92		1.36	%

* Expenses are equal to the average account value over the period multiplied by the Fund’s annualized expense ratio, multiplied by 184 days in the most recent fiscal half-year divided by 365 days in the fiscal year (to reflect the one half year period).

55

FQF Trust
Additional Information (Unaudited)

Proxy Voting Information

A description of FQF Trust’s proxy voting policies and procedures is attached to the Funds’ Statement of Additional Information, which is available without charge by visiting the Funds’ website at www.quant-shares.com or the Securities and Exchange Commission’s (“SEC”) SEC’s website at www.sec.gov or by calling collect 1-617-292-9801.

In addition, a description of how each Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available without charge upon request by calling collect 1-617-292-9801 or on the SEC’s website at www.sec.gov.

Quarterly Portfolio Holdings Information

FQF Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q is available on the SEC’s website at www.sec.gov. You may also review and obtain copies of the Funds’ Forms N-Q at the SEC’s Public Reference Room in Washington, D.C. Information about the Public Reference Room may be obtained by calling 1-800-SEC-0330. In addition, the Funds’ full portfolio holdings are updated daily and available on the QuantShares Funds’ website at www.quant-shares.com.

This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.

56

 

FQF Trust

53 State Street, Suite 1308
Boston, MA 02109
www.quant-shares.com

Distributor:
Foreside Fund Services, LLC

3 Canal Plaza, Suite 100
Portland, ME 04101

Item 2. Code Of Ethics.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 3. Audit Committee Financial Expert.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 4. Principal Accountant Fees and Services.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 5. Audit Committee of Listed Registrants.

Not applicable to the Registrant.

Item 6. Investments

(a) Schedule I – Investments in Securities of Unaffiliated Issuers

Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.

(b) Securities Divested of in accordance with Section 13(c) of the Investment Company Act of 1940.

The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940.

Item 7. Disclosure Of Proxy Voting Policies And Procedures For Closed-End Management Investment Companies.

Not applicable to the Registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to the Registrant.

Item 9. Purchase Of Equity Securities By Closed-End Management Investment Company And Affiliated Purchasers.

Not applicable to the Registrant.

Item 10. Submission Of Matters To A Vote Of Security Holders.

The Registrant did not have in place procedures by which shareholders may recommend nominees to the Registrant’s board of trustees.

Item 11. Controls And Procedures.

(a) The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There were no changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s second fiscal half year covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.

(a)(1) Not required for this filing.

(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.

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not applicable.

(b) Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto.

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.

FQF Trust

By:	/s/ William DeRoche
	William DeRoche
	President
	March 9, 2017

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:	/s/ William DeRoche
	William DeRoche
	President
	March 9, 2017
By:	/s/ Joshua Hunter
	Joshua Hunter
	Principal Financial Officer and Treasurer
	March 9, 2017