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: 811-23146
Natixis ETF Trust
(Exact name of Registrant as specified in charter)
888 Boylston Street, Suite 800 Boston, Massachusetts 02199-8197
(Address of principal executive offices) (Zip code)
Susan McWhan Tobin, Esq.
Natixis Distribution, LLC
888 Boylston Street, Suite 800
Boston, Massachusetts 02199-8197
(Name and address of agent for service)
Registrant’s telephone number, including area code: (617) 449-2139
Date of fiscal year end: December 31
Date of reporting period: December 31, 2023
Item 1. Reports to Stockholders.
(a) | The Registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: |
Natixis Gateway Quality Income ETF |
Natixis Loomis Sayles Focused Growth ETF |
Natixis Loomis Sayles Short Duration Income ETF |
Natixis Vaughan Nelson Mid Cap ETF |
Natixis Vaughan Nelson Select ETF |
Managers |
Daniel M. Ashcraft, CFA® |
Michael T. Buckius, CFA® |
Kenneth H. Toft, CFA® |
Mitchell J. Trotta, CFA® |
Gateway Investment Advisers, LLC |
NYSE Arca: GQI |
Investment Goal
Top Ten Holdings as of December 31, 2023 | |
Security Name | % of Net Assets |
1 Apple, Inc. | 7.69% |
2 Microsoft Corp. | 4.59 |
3 Alphabet, Inc., Class A | 4.23 |
4 NVIDIA Corp. | 3.02 |
5 Canadian Imperial Bank of Commerce, (S&P 500 Index) | 2.37 |
6 Morgan Stanley Finance LLC, (S&P 500 Index) | 2.36 |
7 BNP Paribas Issuance BV, (S&P 500 Index) | 2.35 |
8 UBS AG, (S&P 500 Index) | 2.33 |
9 Visa, Inc., Class A | 2.31 |
10 Mastercard, Inc., Class A | 2.18 |
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer. |
Total Returns —December 31, 20231 | |||
Life of Fund (Inception 12/13/23) | Expense Ratios2 | ||
Gross | Net | ||
NAV3 | 1.97 % | 3.08 % | 0.34 % |
Market3 | 1.85 | ||
Comparative Performance | |||
S&P 500® Index4 | 2.79 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/26. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
3 | The NAV return is based on the NAV of the Fund, and the market return is based on the market price per share of the Fund, which is determined by using the midpoint between the highest bid and the lowest offer on the primary stock exchange on which shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. 12/13/23 represents the date trading of Fund shares commenced on the secondary market. 12/12/23 represents commencement of operations for accounting and financial reporting purposes only. NAV is used as a proxy for the opening market price on 12/13/23. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. |
4 | S&P 500® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. It also measures the performance of the large cap segment of the U.S. equities market. |
Managers |
Aziz Hamzaogullari, CFA® |
Loomis, Sayles & Company, L.P. |
NYSE Arca: LSGR |
Investment Goal
Top Ten Holdings as of December 31, 2023 | |
Security Name | % of Net Assets |
1 NVIDIA Corp. | 8.88% |
2 Amazon.com, Inc. | 8.88 |
3 Meta Platforms, Inc., Class A | 8.83 |
4 Microsoft Corp. | 8.04 |
5 Alphabet, Inc., Class A | 7.86 |
6 Tesla, Inc. | 6.46 |
7 Boeing Co. | 4.77 |
8 Vertex Pharmaceuticals, Inc. | 4.49 |
9 Netflix, Inc. | 4.37 |
10 Visa, Inc., Class A | 4.31 |
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer. |
Hypothetical Growth of $10,000 Investment1 |
June 29, 2023 (inception) through December 31, 2023 |
Total Returns —December 31, 20231 | |||
Life of Fund (Inception 6/29/23) | Expense Ratios3 | ||
Gross | Net | ||
NAV4 | 12.31 % | 3.36 % | 0.59 % |
Market4 | 12.31 | ||
Comparative Performance | |||
Russell 1000® Growth Index2 | 12.23 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Russell 1000® Growth Index is an unmanaged index that measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000® Index companies with higher price-to-book ratios and higher forecasted growth values. |
3 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/26. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
4 | The NAV return is based on the NAV of the Fund, and the market return is based on the market price per share of the Fund, which is determined by using the midpoint between the highest bid and the lowest offer on the primary stock exchange on which shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. 6/29/23 represents the date trading of Fund shares commenced on the secondary market. 6/28/23 represents commencement of operations for accounting and financial reporting purposes only. NAV is used as a proxy for the opening market price on 6/29/23. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. |
Managers |
Daniel Conklin, CFA® |
Christopher T. Harms |
Clifton V. Rowe, CFA® |
Loomis, Sayles & Company, L.P. |
NYSE Arca: LSST |
Investment Goal
Hypothetical Growth of $10,000 Investment1 |
December 28, 2017 (inception) through December 31, 2023 |
Average Annual Total Returns —December 31, 20231 | |||||
1 Year | 5 Years | Life of Fund (Inception 12/28/17) | Expense Ratios3 | ||
Gross | Net | ||||
NAV4 | 5.74 % | 2.51 % | 2.26 % | 0.88 % | 0.35 % |
Market4 | 5.51 | 2.50 | 2.25 | ||
Comparative Performance | |||||
Bloomberg U.S. 1-3 Year Government/Credit Bond Index2 | 4.61 | 1.51 | 1.53 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Bloomberg U.S. 1-3 Year Government/Credit Bond Index is an unmanaged index which is a component of the U.S. Government/Credit Bond Index, which includes Treasury and agency securities (U.S. Government Bond Index) and publicly issued US corporate and foreign debentures and secured notes (U.S. Credit Bond Index). The bonds in the index are investment grade with a maturity between one and three years. |
3 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/26. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
4 | The NAV return is based on the NAV of the Fund, and the market return is based on the market price per share of the Fund, which is determined by using the midpoint between the highest bid and the lowest offer on the primary stock exchange on which shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. 12/28/17 represents the date trading of Fund shares commenced on the secondary market. 12/27/17 represents commencement of operations for accounting and financial reporting purposes only. NAV is used as a proxy for the opening market price on 12/28/17. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. |
Managers |
Dennis G. Alff, CFA® |
Chad D. Fargason, PhD |
Chris D. Wallis, CFA®, CPA |
Vaughan Nelson Investment Management, L.P. |
NYSE Arca: VNMC |
Investment Goal
Top Ten Holdings as of December 31, 2023 | |
Security Name | % of Net Assets |
1 Extra Space Storage, Inc. | 4.28% |
2 EastGroup Properties, Inc. | 3.50 |
3 Monolithic Power Systems, Inc. | 3.04 |
4 Constellium SE | 2.74 |
5 IQVIA Holdings, Inc. | 2.70 |
6 Diamondback Energy, Inc. | 2.52 |
7 ON Semiconductor Corp. | 2.51 |
8 Marvell Technology, Inc. | 2.50 |
9 Skechers USA, Inc., Class A | 2.49 |
10 Vulcan Materials Co. | 2.46 |
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer. |
Hypothetical Growth of $10,000 Investment1 |
September 17, 2020 (inception) through December 31, 2023 |
Average Annual Total Returns —December 31, 20231 | ||||
1 Year | Life of Fund (Inception 9/17/20) | Expense Ratios3 | ||
Gross | Net | |||
NAV4 | 16.91 % | 13.32 % | 2.76 % | 0.85 % |
Market4 | 16.99 | 13.32 | ||
Comparative Performance | ||||
Russell Midcap® Value Index2 | 12.71 | 12.75 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Russell Midcap® Value Index is an unmanaged index that measures the performance of the mid-cap value segment of the U.S. equity universe. It includes those Russell Midcap® Index companies with lower price-to-book ratios and lower forecasted growth values. |
3 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/26. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
4 | The NAV return is based on the NAV of the Fund, and the market return is based on the market price per share of the Fund, which is determined by using the midpoint between the highest bid and the lowest offer on the primary stock exchange on which shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. 9/17/20 represents the date trading of Fund shares commenced on the secondary market. 9/16/20 represents commencement of operations for accounting and financial reporting purposes only. NAV is used as a proxy for the opening market price on 9/17/20. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. |
Managers |
Chris D. Wallis, CFA®, CPA |
Scott J. Weber, CFA® |
Vaughan Nelson Investment Management, L.P. |
NYSE Arca: VNSE |
Investment Goal
Top Ten Holdings as of December 31, 2023 | |
Security Name | % of Net Assets |
1 Microsoft Corp. | 6.81% |
2 Amazon.com, Inc. | 5.21 |
3 Intercontinental Exchange, Inc. | 4.92 |
4 Alphabet, Inc., Class A | 4.79 |
5 Sherwin-Williams Co. | 4.58 |
6 Salesforce, Inc. | 4.57 |
7 Monolithic Power Systems, Inc. | 4.45 |
8 Saia, Inc. | 4.43 |
9 O'Reilly Automotive, Inc. | 3.89 |
10 Zoetis, Inc. | 3.75 |
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer. |
Hypothetical Growth of $10,000 Investment1 |
September 17, 2020 (inception) through December 31, 2023 |
Average Annual Total Returns —December 31, 20231 | ||||
1 Year | Life of Fund (Inception 9/17/20) | Expense Ratios3 | ||
Gross | Net | |||
NAV4 | 22.48 % | 14.78 % | 2.57 % | 0.80 % |
Market4 | 22.56 | 14.79 | ||
Comparative Performance | ||||
S&P 500® Index2 | 26.29 | 12.71 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | S&P 500® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. It also measures the performance of the large cap segment of the U.S. equities market. |
3 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/26. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
4 | The NAV return is based on the NAV of the Fund, and the market return is based on the market price per share of the Fund, which is determined by using the midpoint between the highest bid and the lowest offer on the primary stock exchange on which shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. 9/17/20 represents the date trading of Fund shares commenced on the secondary market. 9/16/20 represents commencement of operations for accounting and financial reporting purposes only. NAV is used as a proxy for the opening market price on 9/17/20. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. |
The first line in the table shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from July 1, 2023, 2023 through December 31, 2023. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.
The second line in the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The
hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as brokerage commissions on purchases and sales of Fund shares. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
Natixis Gateway Quality Income ETF | Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period 7/1/2023 – 12/31/20231 |
Actual | $1,000.00 | $1,019.70 | $0.18 1 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,002.43 | $0.18 * |
The chart above represents historical performance of a hypothetical investment of $1,000 in the fund for the most recent six-month period. Past performance does not guarantee future results. This chart does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. |
1 | Fund commenced operations on December 12, 2023. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 0.34%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (19), divided by 365 (to reflect the partial period). |
* | Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement) of 0.34%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half–year (19), divided by 365 (to reflect the half–year period). |
Natixis Loomis Sayles Focused Growth ETF | Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period* 7/1/2023 – 12/31/2023 |
Actual | $1,000.00 | $1,108.50 | $3.14 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.23 | $3.01 |
The chart above represents historical performance of a hypothetical investment of $1,000 in the fund for the most recent six-month period. Past performance does not guarantee future results. This chart does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. |
* | Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement) of 0.59%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half–year (184), divided by 365 (to reflect the half–year period). |
Natixis Loomis Sayles Short Duration Income ETF | Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period* 7/1/2023 – 12/31/2023 |
Actual | $1,000.00 | $1,041.50 | $1.80 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.44 | $1.79 |
The chart above represents historical performance of a hypothetical investment of $1,000 in the fund for the most recent six-month period. Past performance does not guarantee future results. This chart does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. |
* | Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement) of 0.35%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half–year (184), divided by 365 (to reflect the half–year period). |
Natixis Vaughan Nelson Mid Cap ETF | Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period* 7/1/2023 – 12/31/2023 |
Actual | $1,000.00 | $1,108.70 | $4.52 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | $4.33 |
The chart above represents historical performance of a hypothetical investment of $1,000 in the fund for the most recent six-month period. Past performance does not guarantee future results. This chart does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. |
* | Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement) of 0.85%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half–year (184), divided by 365 (to reflect the half–year period). |
Natixis Vaughan Nelson Select ETF | Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period* 7/1/2023 – 12/31/2023 |
Actual | $1,000.00 | $1,054.50 | $4.14 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.17 | $4.08 |
The chart above represents historical performance of a hypothetical investment of $1,000 in the fund for the most recent six-month period. Past performance does not guarantee future results. This chart does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. |
* | Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement) of 0.80%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half–year (184), divided by 365 (to reflect the half–year period). |
Shares | Description | Value (†) |
Common Stocks — 90.2% of Net Assets | ||
Aerospace & Defense — 1.0% | ||
891 | Lockheed Martin Corp. | $403,837 |
Air Freight & Logistics — 0.7% | ||
1,053 | C.H. Robinson Worldwide, Inc. | 90,969 |
1,377 | Expeditors International of Washington, Inc. | 175,154 |
243 | United Parcel Service, Inc., Class B | 38,207 |
304,330 | ||
Automobiles — 1.7% | ||
2,747 | Tesla, Inc.(a) | 682,575 |
Beverages — 0.8% | ||
6,075 | Monster Beverage Corp.(a) | 349,981 |
Biotechnology — 2.7% | ||
1,701 | Incyte Corp.(a) | 106,806 |
324 | Regeneron Pharmaceuticals, Inc.(a) | 284,566 |
1,782 | Vertex Pharmaceuticals, Inc.(a) | 725,078 |
1,116,450 | ||
Broadline Retail — 1.8% | ||
4,860 | Amazon.com, Inc.(a) | 738,428 |
Building Products — 0.2% | ||
1,134 | A.O. Smith Corp. | 93,487 |
Capital Markets — 0.8% | ||
324 | MarketAxess Holdings, Inc. | 94,883 |
2,106 | T. Rowe Price Group, Inc. | 226,795 |
321,678 | ||
Chemicals — 0.3% | ||
1,782 | CF Industries Holdings, Inc. | 141,669 |
Commercial Services & Supplies — 1.8% | ||
405 | Cintas Corp. | 244,077 |
7,776 | Copart, Inc.(a) | 381,024 |
2,592 | Rollins, Inc. | 113,193 |
738,294 | ||
Communications Equipment — 0.9% | ||
7,128 | Cisco Systems, Inc. | 360,107 |
Consumer Staples Distribution & Retail — 6.0% | ||
1,296 | Costco Wholesale Corp. | 855,464 |
6,156 | Kroger Co. | 281,391 |
4,698 | Sysco Corp. | 343,565 |
567 | Target Corp. | 80,752 |
4,617 | Walgreens Boots Alliance, Inc. | 120,550 |
4,941 | Walmart, Inc. | 778,948 |
2,460,670 | ||
Electric Utilities — 0.1% | ||
1,539 | PPL Corp. | 41,707 |
Financial Services — 4.7% | ||
648 | Jack Henry & Associates, Inc. | 105,889 |
2,106 | Mastercard, Inc., Class A | 898,230 |
3,645 | Visa, Inc., Class A | 948,976 |
1,953,095 | ||
Food Products — 1.3% | ||
3,726 | Archer-Daniels-Midland Co. | 269,092 |
1,377 | Hershey Co. | 256,728 |
525,820 |
Shares | Description | Value (†) |
Ground Transportation — 1.1% | ||
729 | J.B. Hunt Transport Services, Inc. | $145,611 |
810 | Old Dominion Freight Line, Inc. | 328,317 |
473,928 | ||
Health Care Equipment & Supplies — 2.2% | ||
162 | Align Technology, Inc.(a) | 44,388 |
5,670 | Edwards Lifesciences Corp.(a) | 432,338 |
790 | IDEXX Laboratories, Inc.(a) | 438,489 |
915,215 | ||
Health Care Providers & Services — 4.7% | ||
2,349 | Cardinal Health, Inc. | 236,779 |
1,539 | Cencora, Inc. | 316,080 |
5,022 | Centene Corp.(a) | 372,682 |
486 | Humana, Inc. | 222,496 |
1,292 | McKesson Corp. | 598,170 |
551 | Molina Healthcare, Inc.(a) | 199,082 |
1,945,289 | ||
Health Care REITs — 0.4% | ||
3,726 | Ventas, Inc. | 185,704 |
Hotels, Restaurants & Leisure — 2.1% | ||
3,969 | Airbnb, Inc., Class A(a) | 540,339 |
31 | Booking Holdings, Inc.(a) | 109,964 |
1,296 | Expedia Group, Inc.(a) | 196,720 |
847,023 | ||
Household Durables — 0.5% | ||
29 | NVR, Inc.(a) | 203,013 |
Insurance — 0.4% | ||
153 | Everest Group Ltd. | 54,098 |
648 | Progressive Corp. | 103,213 |
157,311 | ||
Interactive Media & Services — 5.4% | ||
12,474 | Alphabet, Inc., Class A(a) | 1,742,493 |
1,377 | Meta Platforms, Inc., Class A(a) | 487,403 |
2,229,896 | ||
IT Services — 1.9% | ||
2,187 | Accenture PLC, Class A | 767,440 |
Life Sciences Tools & Services — 0.2% | ||
243 | West Pharmaceutical Services, Inc. | 85,565 |
Metals & Mining — 2.5% | ||
10,773 | Newmont Corp. | 445,894 |
2,349 | Nucor Corp. | 408,820 |
1,458 | Steel Dynamics, Inc. | 172,190 |
1,026,904 | ||
Multi-Utilities — 0.7% | ||
4,698 | Public Service Enterprise Group, Inc. | 287,283 |
Oil, Gas & Consumable Fuels — 5.6% | ||
2,807 | APA Corp. | 100,715 |
5,994 | Devon Energy Corp. | 271,528 |
5,103 | EOG Resources, Inc. | 617,208 |
3,402 | EQT Corp. | 131,521 |
2,349 | Exxon Mobil Corp. | 234,853 |
810 | Marathon Petroleum Corp. | 120,172 |
3,159 | Phillips 66 | 420,589 |
3,321 | Valero Energy Corp. | 431,730 |
2,328,316 |
Shares | Description | Value (†) |
Passenger Airlines — 1.0% | ||
5,994 | Delta Air Lines, Inc. | $241,139 |
5,589 | Southwest Airlines Co. | 161,410 |
402,549 | ||
Pharmaceuticals — 0.3% | ||
11,178 | Viatris, Inc. | 121,058 |
Professional Services — 1.1% | ||
2,997 | Paychex, Inc. | 356,973 |
162 | Paycom Software, Inc. | 33,489 |
972 | Robert Half, Inc. | 85,458 |
475,920 | ||
Semiconductors & Semiconductor Equipment — 6.5% | ||
4,455 | Applied Materials, Inc. | 722,022 |
648 | Enphase Energy, Inc.(a) | 85,627 |
2,511 | NVIDIA Corp. | 1,243,497 |
3,564 | Texas Instruments, Inc. | 607,519 |
2,658,665 | ||
Software — 14.1% | ||
1,053 | Adobe, Inc.(a) | 628,220 |
1,053 | Autodesk, Inc.(a) | 256,384 |
2,349 | Cadence Design Systems, Inc.(a) | 639,797 |
4,617 | Fortinet, Inc.(a) | 270,233 |
5,022 | Microsoft Corp. | 1,888,473 |
2,102 | Palo Alto Networks, Inc.(a) | 619,838 |
3,078 | Salesforce, Inc.(a) | 809,945 |
969 | ServiceNow, Inc.(a) | 684,589 |
5,797,479 | ||
Specialty Retail — 3.7% | ||
1,782 | Best Buy Co., Inc. | 139,495 |
1,620 | Home Depot, Inc. | 561,411 |
6,075 | TJX Cos., Inc. | 569,896 |
480 | Ulta Beauty, Inc.(a) | 235,195 |
1,505,997 | ||
Technology Hardware, Storage & Peripherals — 7.7% | ||
16,443 | Apple, Inc. | 3,165,771 |
Textiles, Apparel & Luxury Goods — 1.6% | ||
1,053 | Lululemon Athletica, Inc.(a) | 538,388 |
972 | NIKE, Inc., Class B | 105,530 |
643,918 | ||
Trading Companies & Distributors — 1.7% | ||
5,346 | Fastenal Co. | 346,260 |
405 | W.W. Grainger, Inc. | 335,620 |
681,880 | ||
Total Common Stocks (Identified Cost $36,349,205) | 37,138,252 |
Principal Amount | ||
Equity-Linked Notes — 9.4% | ||
$997,903 | BNP Paribas Issuance BV, (S&P 500 Index), 106.200%, 1/05/2024(b) | 966,378 |
Principal Amount | Description | Value (†) |
$997,903 | Canadian Imperial Bank of Commerce, (S&P 500 Index), 67.500%, 1/19/2024(b) | $976,046 |
997,903 | Morgan Stanley Finance LLC, (S&P 500 Index), 82.320%, 1/12/2024(b) | 970,712 |
997,903 | UBS AG, (S&P 500 Index), 67.500%, 1/26/2024(b) | 960,401 |
Total Equity-Linked Notes (Identified Cost $3,991,612) | 3,873,537 | |
Short-Term Investments — 0.1% | ||
49,134 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/2023 at 2.500% to be repurchased at $49,147 on 1/02/2024 collateralized by $49,300 U.S. Treasury Note, 4.125% due 9/30/2027 valued at $50,193 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $49,134) | 49,134 |
Total Investments — 99.7% (Identified Cost $40,389,951) | 41,060,923 | |
Other assets less liabilities — 0.3% | 108,138 | |
Net Assets — 100.0% | $41,169,061 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | Non-income producing security. |
(b) | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2023, the value of Rule 144A holdings amounted to $3,873,537 or 9.4% of net assets. |
REITs | Real Estate Investment Trusts |
Software | 14.1 % |
Technology Hardware, Storage & Peripherals | 7.7 |
Semiconductors & Semiconductor Equipment | 6.5 |
Consumer Staples Distribution & Retail | 6.0 |
Oil, Gas & Consumable Fuels | 5.6 |
Interactive Media & Services | 5.4 |
Financial Services | 4.7 |
Health Care Providers & Services | 4.7 |
Specialty Retail | 3.7 |
Biotechnology | 2.7 |
Metals & Mining | 2.5 |
Health Care Equipment & Supplies | 2.2 |
Hotels, Restaurants & Leisure | 2.1 |
Other Investments, less than 2% each | 22.3 |
Equity-Linked Notes | 9.4 |
Short-Term Investments | 0.1 |
Total Investments | 99.7 |
Other assets less liabilities | 0.3 |
Net Assets | 100.0 % |
Shares | Description | Value (†) |
Common Stocks — 98.8% of Net Assets | ||
Aerospace & Defense — 4.8% | ||
1,078 | Boeing Co.(a) | $280,991 |
Automobiles — 6.5% | ||
1,533 | Tesla, Inc.(a) | 380,920 |
Beverages — 3.8% | ||
3,885 | Monster Beverage Corp.(a) | 223,815 |
Biotechnology — 7.0% | ||
172 | Regeneron Pharmaceuticals, Inc.(a) | 151,066 |
651 | Vertex Pharmaceuticals, Inc.(a) | 264,885 |
415,951 | ||
Broadline Retail — 8.9% | ||
3,444 | Amazon.com, Inc.(a) | 523,281 |
Capital Markets — 2.6% | ||
323 | FactSet Research Systems, Inc. | 154,087 |
Entertainment — 6.9% | ||
529 | Netflix, Inc.(a) | 257,560 |
1,659 | Walt Disney Co. | 149,791 |
407,351 | ||
Financial Services — 4.3% | ||
976 | Visa, Inc., Class A | 254,102 |
Health Care Equipment & Supplies — 2.3% | ||
408 | Intuitive Surgical, Inc.(a) | 137,643 |
Hotels, Restaurants & Leisure — 2.1% | ||
1,269 | Starbucks Corp. | 121,837 |
Interactive Media & Services — 16.7% | ||
3,319 | Alphabet, Inc., Class A(a) | 463,631 |
1,470 | Meta Platforms, Inc., Class A(a) | 520,321 |
983,952 | ||
Life Sciences Tools & Services — 1.5% | ||
640 | Illumina, Inc.(a) | 89,114 |
Semiconductors & Semiconductor Equipment — 8.9% | ||
1,057 | NVIDIA Corp. | 523,447 |
Software — 22.5% | ||
1,011 | Autodesk, Inc.(a) | 246,158 |
1,260 | Microsoft Corp. | 473,811 |
1,926 | Oracle Corp. | 203,058 |
930 | Salesforce, Inc.(a) | 244,720 |
578 | Workday, Inc., Class A(a) | 159,563 |
1,327,310 | ||
Total Common Stocks (Identified Cost $5,177,031) | 5,823,801 |
Principal Amount | Description | Value (†) |
Short-Term Investments — 1.8% | ||
$107,808 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/2023 at 2.500% to be repurchased at $107,838 on 1/02/2024 collateralized by $123,000 U.S. Treasury Note, 0.500% due 4/30/2027 valued at $110,007 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $107,808) | $107,808 |
Total Investments — 100.6% (Identified Cost $5,284,839) | 5,931,609 | |
Other assets less liabilities — (0.6)% | (36,436 ) | |
Net Assets — 100.0% | $5,895,173 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | Non-income producing security. |
Software | 22.5 % |
Interactive Media & Services | 16.7 |
Semiconductors & Semiconductor Equipment | 8.9 |
Broadline Retail | 8.9 |
Biotechnology | 7.0 |
Entertainment | 6.9 |
Automobiles | 6.5 |
Aerospace & Defense | 4.8 |
Financial Services | 4.3 |
Beverages | 3.8 |
Capital Markets | 2.6 |
Health Care Equipment & Supplies | 2.3 |
Hotels, Restaurants & Leisure | 2.1 |
Life Sciences Tools & Services | 1.5 |
Short-Term Investments | 1.8 |
Total Investments | 100.6 |
Other assets less liabilities | (0.6 ) |
Net Assets | 100.0 % |
Principal Amount | Description | Value (†) |
Bonds and Notes — 98.7% of Net Assets | ||
ABS Car Loan — 13.2% | ||
$254 | American Credit Acceptance Receivables Trust, Series 2020-4, Class C, 1.310%, 12/14/2026(a) | $253 |
20,000 | American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029(a) | 20,248 |
60,000 | American Credit Acceptance Receivables Trust, Series 2023-3, Class C, 6.440%, 10/12/2029(a) | 60,754 |
30,000 | American Credit Acceptance Receivables Trust, Series 2023-4, Class B, 6.630%, 2/14/2028(a) | 30,367 |
16,912 | American Credit Acceptance Receivables Trust , Series 2021-3, Class C, 0.980%, 11/15/2027(a) | 16,809 |
55,000 | AmeriCredit Automobile Receivables Trust, Series 2021-3, Class C, 1.410%, 8/18/2027 | 50,645 |
105,000 | AmeriCredit Automobile Receivables Trust, Series 2023-1, Class B, 5.570%, 3/20/2028 | 106,226 |
85,000 | AmeriCredit Automobile Receivables Trust , Series 2022-1, Class B, 2.770%, 4/19/2027 | 81,805 |
52,670 | Avid Automobile Receivables Trust , Series 2023-1, Class A, 6.630%, 7/15/2026(a) | 52,656 |
33,333 | Canada Pacer Auto Receivables Trust, Series 2021-1A, Class A3, 0.500%, 10/20/2025(a) | 32,648 |
60,000 | Capital One Prime Auto Receivables Trust, Series 2023-2, Class A3, 5.820%, 6/15/2028 | 61,669 |
105,000 | Capital One Prime Auto Receivables Trust , Series 2023-1, Class A3, 4.870%, 2/15/2028 | 105,274 |
7,228 | Carvana Auto Receivables Trust, Series 2021-N4, Class C, 1.720%, 9/11/2028 | 6,814 |
45,000 | Carvana Auto Receivables Trust, Series 2023-P1, Class A3, 5.980%, 12/10/2027(a) | 45,219 |
2,505 | Drive Auto Receivables Trust, Series 2021-3, Class B, 1.110%, 5/15/2026 | 2,500 |
606 | DT Auto Owner Trust, Series 2020-2A, Class C, 3.280%, 3/16/2026(a) | 605 |
50,000 | DT Auto Owner Trust, Series 2021-4A, Class C, 1.500%, 9/15/2027(a) | 48,107 |
50,000 | DT Auto Owner Trust, Series 2022-3A, Class B, 6.740%, 7/17/2028(a) | 50,406 |
60,000 | DT Auto Owner Trust, Series 2023-2A, Class B, 5.410%, 2/15/2029(a) | 59,695 |
28,058 | Enterprise Fleet Financing LLC, Series 2021-2, Class A2, 0.480%, 5/20/2027(a) | 27,462 |
1,825 | Exeter Automobile Receivables Trust, Series 2021-4A, Class B, 1.050%, 5/15/2026 | 1,823 |
80,000 | Exeter Automobile Receivables Trust, Series 2022-5A, Class B, 5.970%, 3/15/2027 | 79,841 |
25,000 | Exeter Automobile Receivables Trust, Series 2023-5A, Class A3, 6.320%, 3/15/2027 | 25,219 |
90,000 | First Investors Auto Owner Trust , Series 2022-1A, Class C, 3.130%, 5/15/2028(a) | 85,942 |
160,000 | Flagship Credit Auto Trust, Series 2023-2, Class C, 5.810%, 5/15/2029(a) | 160,271 |
10,808 | Flagship Credit Auto Trust , Series 2020-4, Class C, 1.280%, 2/16/2027(a) | 10,590 |
75,000 | Ford Credit Auto Lease Trust , Series 2023-A, Class A3, 4.940%, 3/15/2026 | 74,812 |
12,742 | Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.300%, 8/15/2025 | 12,562 |
85,000 | Ford Credit Auto Owner Trust, Series 2023-B, Class A3, 5.230%, 5/15/2028 | 85,891 |
6,531 | Foursight Capital Automobile Receivables Trust, Series 2021-2, Class A3, 0.810%, 5/15/2026(a) | 6,516 |
Principal Amount | Description | Value (†) |
ABS Car Loan — continued | ||
$50,000 | GLS Auto Select Receivables Trust, Series 2023-2A, Class A2, 6.370%, 6/15/2028(a) | $50,430 |
45,000 | GM Financial Consumer Automobile Receivables Trust, Series 2023-4, Class A3, 5.780%, 8/16/2028 | 46,119 |
30,000 | Harley-Davidson Motorcycle Trust, Series 2023-B, Class A3, 5.690%, 8/15/2028 | 30,485 |
25,000 | Harley-Davidson Motorcycle Trust, Series 2023-B, Class A4, 5.780%, 4/15/2031 | 25,760 |
4,989 | Honda Auto Receivables Owner Trust, Series 2021-1, Class A3, 0.270%, 4/21/2025 | 4,929 |
20,000 | Honda Auto Receivables Owner Trust, Series 2023-4, Class A3, 5.670%, 6/21/2028 | 20,418 |
25,000 | Hyundai Auto Receivables Trust, Series 2023-C, Class A3, 5.540%, 10/16/2028 | 25,591 |
15,000 | LAD Auto Receivables Trust, Series 2023-4A, Class B, 6.390%, 10/16/2028(a) | 15,255 |
30,000 | Navistar Financial Dealer Note Master Owner Trust II, Series 2023-1, Class A, 6.180%, 8/25/2028(a) | 30,351 |
130,000 | OneMain Direct Auto Receivables Trust, Series 2023-1A, Class A, 5.410%, 11/14/2029(a) | 130,861 |
120,000 | Prestige Auto Receivables Trust, Series 2023-1A, Class C, 5.650%, 2/15/2028(a) | 119,500 |
20,000 | Santander Drive Auto Receivables Trust, Series 2023-3, Class C, 5.770%, 11/15/2030 | 20,329 |
50,000 | Santander Drive Auto Receivables Trust, Series 2023-4, Class B, 5.770%, 12/15/2028 | 50,684 |
75,000 | Santander Drive Auto Receivables Trust, Series 2023-5, Class B, 6.160%, 12/17/2029 | 76,901 |
140,000 | SFS Auto Receivables Securitization Trust, Series 2023-1A, Class A3, 5.470%, 10/20/2028(a) | 141,423 |
55,905 | Toyota Auto Receivables Owner Trust, Series 2021-C, Class A3, 0.430%, 1/15/2026 | 54,417 |
105,000 | Toyota Lease Owner Trust, Series 2023-A, Class A3, 4.930%, 4/20/2026(a) | 104,905 |
105,000 | VStrong Auto Receivables Trust, Series 2023-A, Class A3, 6.870%, 11/15/2027(a) | 106,941 |
473 | Westlake Automobile Receivables Trust, Series 2021-2A, Class B, 0.620%, 7/15/2026(a) | 472 |
115,000 | Westlake Automobile Receivables Trust, Series 2021-3A, Class C, 1.580%, 1/15/2027(a) | 111,543 |
100,000 | Westlake Automobile Receivables Trust, Series 2023-3A, Class C, 6.020%, 9/15/2028(a) | 100,528 |
20,000 | World Omni Auto Receivables Trust, Series 2023-D, Class A3, 5.790%, 2/15/2029 | 20,523 |
2,691,994 | ||
ABS Credit Card — 2.7% | ||
170,000 | Capital One Multi-Asset Execution Trust, Series 2021-A1, Class A1, 0.550%, 7/15/2026 | 165,592 |
125,000 | Mercury Financial Credit Card Master Trust, Series 2022-1A, Class A, 2.500%, 9/21/2026(a) | 121,519 |
85,000 | Synchrony Card Funding LLC, Series 2023-A2, Class A, 5.740%, 10/15/2029 | 87,158 |
175,000 | World Financial Network Credit Card Master Trust, Series 2023-A, Class A, 5.020%, 3/15/2030 | 175,536 |
549,805 | ||
ABS Other — 4.2% | ||
87,551 | Chesapeake Funding II LLC, Series 2023-1A, Class A1, 5.650%, 5/15/2035(a) | 87,781 |
17,007 | Daimler Trucks Retail Trust, Series 2022-1, Class A2, 5.070%, 9/16/2024 | 16,992 |
Principal Amount | Description | Value (†) |
ABS Other — continued | ||
$60,000 | Daimler Trucks Retail Trust, Series 2023-1, Class A4, 5.930%, 12/16/2030 | $61,226 |
100,000 | Dell Equipment Finance Trust, Series 2023-3, Class A3, 5.930%, 4/23/2029(a) | 102,054 |
180,000 | HPEFS Equipment Trust , Series 2023-1A, Class A3, 5.410%, 2/22/2028(a) | 180,677 |
58,183 | Marlette Funding Trust, Series 2023-2A, Class A, 6.040%, 6/15/2033(a) | 58,096 |
107,948 | SCF Equipment Leasing LLC, Series 2022-1A, Class A3, 2.920%, 7/20/2029(a) | 105,234 |
60,000 | Verizon Master Trust, Series 2022-5, Class A1A, 3.720%, 7/20/2027 | 59,953 |
175,000 | Wheels Fleet Lease Funding 1 LLC, Series 2023-1A, Class A, 5.800%, 4/18/2038(a) | 175,491 |
847,504 | ||
ABS Student Loan — 0.5% | ||
110,605 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class A, 0.970%, 12/16/2069(a) | 95,442 |
Aerospace & Defense — 0.7% | ||
20,000 | Boeing Co., 4.875%, 5/01/2025 | 19,900 |
20,000 | Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 | 19,578 |
105,000 | RTX Corp., 5.750%, 11/08/2026 | 107,899 |
147,377 | ||
Agency Commercial Mortgage-Backed Securities — 0.1% | ||
13,388 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF81, Class AL, 30 day USD SOFR Average + 0.474%, 5.805%, 6/25/2027(b) | 13,321 |
9,737 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF81, Class AS, 30 day USD SOFR Average + 0.400%, 5.731%, 6/25/2027(b) | 9,662 |
22,983 | ||
Airlines — 0.3% | ||
55,000 | Southwest Airlines Co., 5.250%, 5/04/2025 | 54,981 |
15,000 | United Airlines, Inc., 4.375%, 4/15/2026(a) | 14,616 |
69,597 | ||
Apartment REITs — 0.2% | ||
35,000 | Camden Property Trust, 5.850%, 11/03/2026 | 36,046 |
Automotive — 1.6% | ||
50,000 | General Motors Financial Co., Inc., 5.800%, 1/07/2029 | 51,168 |
45,000 | General Motors Financial Co., Inc., 6.050%, 10/10/2025 | 45,512 |
20,000 | Harley-Davidson Financial Services, Inc., 3.350%, 6/08/2025(a) | 19,294 |
50,000 | Harley-Davidson Financial Services, Inc., 6.500%, 3/10/2028(a) | 51,902 |
75,000 | Hyundai Capital America, 5.950%, 9/21/2026(a) | 76,275 |
20,000 | Nissan Motor Acceptance Co. LLC, 7.050%, 9/15/2028(a) | 21,101 |
30,000 | Toyota Motor Credit Corp., MTN, 5.000%, 8/14/2026 | 30,359 |
25,000 | Toyota Motor Credit Corp., 5.550%, 11/20/2030 | 26,338 |
321,949 | ||
Banking — 5.7% | ||
15,000 | Ally Financial, Inc., (fixed rate to 1/03/2029, variable rate thereafter), 6.848%, 1/03/2030 | 15,411 |
40,000 | Ally Financial, Inc., 7.100%, 11/15/2027 | 41,574 |
Principal Amount | Description | Value (†) |
Banking — continued | ||
$15,000 | American Express Co., (fixed rate to 10/30/2030, variable rate thereafter), 6.489%, 10/30/2031 | $16,267 |
110,000 | Bank of America Corp., MTN, (fixed rate to 4/02/2025, variable rate thereafter), 3.384%, 4/02/2026 | 106,981 |
85,000 | Bank of Montreal, 5.266%, 12/11/2026 | 86,169 |
80,000 | Bank of New York Mellon Corp., MTN, (fixed rate to 10/25/2028, variable rate thereafter), 6.317%, 10/25/2029 | 84,975 |
20,000 | Capital One Financial Corp., (fixed rate to 6/08/2028, variable rate thereafter), 6.312%, 6/08/2029 | 20,518 |
55,000 | Capital One Financial Corp., (fixed rate to 10/29/2026, variable rate thereafter), 7.149%, 10/29/2027 | 57,097 |
35,000 | Citigroup, Inc., (fixed rate to 5/25/2033, variable rate thereafter), 6.174%, 5/25/2034 | 36,217 |
35,000 | Fifth Third Bancorp, (fixed rate to 7/27/2028, variable rate thereafter), 6.339%, 7/27/2029 | 36,441 |
120,000 | Goldman Sachs Group, Inc., (fixed rate to 8/10/2025, variable rate thereafter), 5.798%, 8/10/2026 | 121,159 |
40,000 | Huntington Bancshares, Inc., (fixed rate to 8/21/2028, variable rate thereafter), 6.208%, 8/21/2029 | 41,245 |
55,000 | JPMorgan Chase & Co., (fixed rate to 10/23/2028, variable rate thereafter), 6.087%, 10/23/2029 | 57,828 |
40,000 | Macquarie Group Ltd., (fixed rate to 12/07/2033, variable rate thereafter), 6.255%, 12/07/2034(a) | 41,768 |
60,000 | Royal Bank of Canada, GMTN, 5.200%, 7/20/2026 | 60,641 |
60,000 | Royal Bank of Canada, GMTN, SOFR Index + 0.300%, 5.674%, 1/19/2024(b) | 60,000 |
50,000 | State Street Corp., (fixed rate to 11/21/2028, variable rate thereafter), 5.684%, 11/21/2029 | 51,700 |
60,000 | Synchrony Financial, 4.875%, 6/13/2025 | 58,975 |
25,000 | Toronto-Dominion Bank, 5.264%, 12/11/2026 | 25,491 |
30,000 | Truist Financial Corp., MTN, (fixed rate to 10/30/2028, variable rate thereafter), 7.161%, 10/30/2029 | 32,401 |
120,000 | Wells Fargo & Co., MTN, (fixed rate to 4/25/2025, variable rate thereafter), 3.908%, 4/25/2026 | 117,619 |
1,170,477 | ||
Brokerage — 0.3% | ||
20,000 | Cantor Fitzgerald LP, 7.200%, 12/12/2028(a) | 20,501 |
40,000 | Jefferies Financial Group, Inc., 5.875%, 7/21/2028 | 41,016 |
61,517 | ||
Cable Satellite — 0.3% | ||
50,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 6.150%, 11/10/2026 | 51,116 |
Chemicals — 1.0% | ||
60,000 | Celanese U.S. Holdings LLC, 6.165%, 7/15/2027 | 61,521 |
65,000 | EIDP, Inc., 4.500%, 5/15/2026 | 64,746 |
75,000 | Nutrien Ltd., 5.900%, 11/07/2024 | 75,203 |
201,470 | ||
Collateralized Mortgage Obligations — 0.6% | ||
922 | Government National Mortgage Association, Series 2011-H23, Class HA, 3.000%, 12/20/2061(c) | 849 |
389 | Government National Mortgage Association, Series 2012-H28, Class FA, 1 mo. USD SOFR + 0.694%, 4.977%, 9/20/2062(b)(c) | 375 |
371 | Government National Mortgage Association, Series 2013-H04, Class BA, 1.650%, 2/20/2063(c) | 327 |
2,845 | Government National Mortgage Association, Series 2013-H11, Class JA, 3.500%, 4/20/2063(c) | 2,721 |
Principal Amount | Description | Value (†) |
Collateralized Mortgage Obligations — continued | ||
$3,553 | Government National Mortgage Association, Series 2016-H13, Class FT, 1 mo. USD SOFR + 0.694%, 6.017%, 5/20/2066(b)(c) | $3,509 |
275 | Government National Mortgage Association, Series 2018-H02, Class FJ, 1 mo. USD SOFR + 0.314%, 5.637%, 10/20/2064(b)(c) | 266 |
7,984 | Government National Mortgage Association, Series 2019-H01, Class FJ, 1 mo. USD SOFR + 0.414%, 5.737%, 9/20/2068(b)(c) | 7,883 |
10,367 | Government National Mortgage Association, Series 2019-H01, Class FT, 1 mo. USD SOFR + 0.514%, 5.837%, 10/20/2068(b) | 10,335 |
13,934 | Government National Mortgage Association, Series 2019-H05, Class FT, 1 yr. CMT + 0.430%, 5.840%, 4/20/2069(b) | 13,929 |
24,317 | Government National Mortgage Association, Series 2019-H13, Class FT, 1 yr. CMT + 0.450%, 5.860%, 8/20/2069(b) | 24,287 |
53,773 | Government National Mortgage Association, Series 2020-H01, Class FT, 1 yr. CMT + 0.500%, 5.910%, 1/20/2070(b) | 53,525 |
118,006 | ||
Construction Machinery — 0.5% | ||
70,000 | Caterpillar Financial Services Corp., 5.150%, 8/11/2025 | 70,494 |
35,000 | CNH Industrial Capital LLC, 5.450%, 10/14/2025 | 35,153 |
105,647 | ||
Consumer Cyclical Services — 0.3% | ||
66,000 | Expedia Group, Inc., 6.250%, 5/01/2025(a) | 66,632 |
Electric — 5.4% | ||
45,000 | AES Corp., 3.300%, 7/15/2025(a) | 43,340 |
25,000 | Ameren Corp., 5.000%, 1/15/2029 | 25,112 |
105,000 | Ameren Corp., 5.700%, 12/01/2026 | 107,372 |
60,000 | American Electric Power Co., Inc., 5.200%, 1/15/2029 | 60,808 |
45,000 | American Electric Power Co., Inc., 5.699%, 8/15/2025 | 45,295 |
85,000 | CenterPoint Energy, Inc., 5.250%, 8/10/2026 | 85,730 |
30,000 | Dominion Energy, Inc., 3.071%, 8/15/2024 | 29,503 |
90,000 | DTE Energy Co., 4.220%, 11/01/2024 | 88,951 |
75,000 | Edison International, 4.700%, 8/15/2025 | 74,071 |
85,000 | ITC Holdings Corp., 4.950%, 9/22/2027(a) | 85,461 |
45,000 | National Rural Utilities Cooperative Finance Corp., MTN, 5.600%, 11/13/2026 | 46,177 |
50,000 | NextEra Energy Capital Holdings, Inc., 5.749%, 9/01/2025 | 50,473 |
45,000 | NextEra Energy Capital Holdings, Inc., 6.051%, 3/01/2025 | 45,401 |
25,000 | Pennsylvania Electric Co., 5.150%, 3/30/2026(a) | 24,960 |
85,000 | Southern Co., Series 21-A, 0.600%, 2/26/2024 | 84,320 |
85,000 | Vistra Operations Co. LLC, 5.125%, 5/13/2025(a) | 84,317 |
65,000 | WEC Energy Group, Inc., 0.800%, 3/15/2024 | 64,337 |
60,000 | WEC Energy Group, Inc., 5.600%, 9/12/2026 | 61,065 |
1,106,693 | ||
Environmental — 0.1% | ||
25,000 | GFL Environmental, Inc., 6.750%, 1/15/2031(a) | 25,757 |
Finance Companies — 3.3% | ||
40,000 | Air Lease Corp., MTN, 0.700%, 2/15/2024 | 39,751 |
80,000 | Air Lease Corp., 0.800%, 8/18/2024 | 77,540 |
40,000 | Aircastle Ltd., 2.850%, 1/26/2028(a) | 35,681 |
5,000 | Aircastle Ltd., 6.500%, 7/18/2028(a) | 5,098 |
30,000 | Ares Capital Corp., 3.250%, 7/15/2025 | 28,741 |
Principal Amount | Description | Value (†) |
Finance Companies — continued | ||
$20,000 | Ares Capital Corp., 7.000%, 1/15/2027 | $20,572 |
35,000 | Avolon Holdings Funding Ltd., 5.500%, 1/15/2026(a) | 34,773 |
60,000 | Bain Capital Specialty Finance, Inc., 2.550%, 10/13/2026 | 54,160 |
20,000 | Barings BDC, Inc., 3.300%, 11/23/2026 | 18,236 |
25,000 | Blackstone Private Credit Fund, 2.625%, 12/15/2026 | 22,647 |
15,000 | Blackstone Private Credit Fund, 7.300%, 11/27/2028(a) | 15,593 |
35,000 | Blackstone Secured Lending Fund, 2.850%, 9/30/2028 | 30,303 |
30,000 | Blue Owl Capital Corp., 3.750%, 7/22/2025 | 28,735 |
15,000 | Blue Owl Capital Corp. II, 8.450%, 11/15/2026(a) | 15,454 |
30,000 | Blue Owl Credit Income Corp., 7.950%, 6/13/2028(a) | 31,096 |
45,000 | FS KKR Capital Corp., 3.250%, 7/15/2027 | 40,933 |
40,000 | Golub Capital BDC, Inc., 2.500%, 8/24/2026 | 36,252 |
60,000 | Hercules Capital, Inc., 3.375%, 1/20/2027 | 54,595 |
25,000 | Main Street Capital Corp., 3.000%, 7/14/2026 | 22,893 |
25,000 | Morgan Stanley Direct Lending Fund, 4.500%, 2/11/2027 | 24,090 |
25,000 | Navient Corp., 11.500%, 3/15/2031 | 27,385 |
664,528 | ||
Food & Beverage — 1.0% | ||
20,000 | Cargill, Inc., 4.500%, 6/24/2026(a) | 19,959 |
85,000 | Conagra Brands, Inc., 5.300%, 10/01/2026 | 86,047 |
60,000 | Keurig Dr Pepper, Inc., 0.750%, 3/15/2024 | 59,404 |
35,000 | PepsiCo, Inc., 5.125%, 11/10/2026 | 35,740 |
201,150 | ||
Gaming — 0.3% | ||
65,000 | GLP Capital LP/GLP Financing II, Inc., 5.250%, 6/01/2025 | 64,772 |
Government Owned - No Guarantee — 0.9% | ||
200,000 | NBN Co. Ltd., 0.875%, 10/08/2024(a) | 193,310 |
Health Insurance — 0.5% | ||
95,000 | UnitedHealth Group, Inc., 5.150%, 10/15/2025 | 96,036 |
Healthcare — 0.4% | ||
25,000 | IQVIA, Inc., 6.250%, 2/01/2029(a) | 26,099 |
50,000 | Thermo Fisher Scientific, Inc., 5.000%, 1/31/2029 | 51,322 |
77,421 | ||
Home Construction — 0.1% | ||
20,000 | Forestar Group, Inc., 3.850%, 5/15/2026(a) | 19,052 |
Independent Energy — 1.0% | ||
35,000 | Civitas Resources, Inc., 8.625%, 11/01/2030(a) | 37,125 |
30,000 | Crescent Energy Finance LLC, 9.250%, 2/15/2028(a) | 31,127 |
31,000 | EQT Corp., 6.125%, 2/01/2025 | 31,138 |
65,000 | Pioneer Natural Resources Co., 5.100%, 3/29/2026 | 65,474 |
45,000 | Sitio Royalties Operating Partnership LP/Sitio Finance Corp., 7.875%, 11/01/2028(a) | 46,630 |
211,494 | ||
Life Insurance — 2.3% | ||
35,000 | Athene Holding Ltd., 5.875%, 1/15/2034 | 35,320 |
120,000 | Brighthouse Financial Global Funding, 1.750%, 1/13/2025(a) | 115,250 |
95,000 | Corebridge Global Funding, 5.750%, 7/02/2026(a) | 96,207 |
35,000 | New York Life Global Funding, 5.450%, 9/18/2026(a) | 35,771 |
85,000 | Northwestern Mutual Global Funding, 0.600%, 3/25/2024(a) | 83,960 |
105,000 | Principal Life Global Funding II, 0.500%, 1/08/2024(a) | 104,918 |
471,426 | ||
Lodging — 0.3% | ||
65,000 | Hyatt Hotels Corp., 5.750%, 1/30/2027 | 66,425 |
Principal Amount | Description | Value (†) |
Media Entertainment — 0.4% | ||
$5,000 | Take-Two Interactive Software, Inc., 3.300%, 3/28/2024 | $4,969 |
70,000 | Warnermedia Holdings, Inc., 3.755%, 3/15/2027 | 67,072 |
72,041 | ||
Metals & Mining — 0.4% | ||
30,000 | Mineral Resources Ltd., 9.250%, 10/01/2028(a) | 31,913 |
45,000 | Nucor Corp., 3.950%, 5/23/2025 | 44,276 |
76,189 | ||
Midstream — 1.5% | ||
70,000 | Kinetik Holdings LP, 6.625%, 12/15/2028(a) | 71,317 |
30,000 | Targa Resources Corp., 6.150%, 3/01/2029 | 31,371 |
125,000 | TransCanada PipeLines Ltd., Series FRN, SOFR Index + 1.520%, 6.938%, 3/09/2026(b) | 125,172 |
75,000 | Williams Cos., Inc., 5.400%, 3/02/2026 | 75,749 |
303,609 | ||
Natural Gas — 0.3% | ||
65,000 | Sempra, 5.400%, 8/01/2026 | 65,851 |
Non-Agency Commercial Mortgage-Backed Securities — 1.5% | ||
30,000 | BANK, Series 2023-5YR3, Class A3, 6.724%, 9/15/2056(b) | 31,969 |
10,000 | BANK, Series 2023-5YR4, Class A3, 6.500%, 12/15/2056 | 10,564 |
75,000 | Benchmark Mortgage Trust, Series 2023-V2, Class A3, 5.812%, 5/15/2055(b) | 76,842 |
100,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 3.953%, 9/15/2037(a) | 86,714 |
109,865 | MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030(a) | 94,531 |
300,620 | ||
Office REITs — 0.4% | ||
15,000 | Highwoods Realty LP, 7.650%, 2/01/2034 | 16,182 |
30,000 | Hudson Pacific Properties LP, 5.950%, 2/15/2028 | 26,515 |
30,000 | Piedmont Operating Partnership LP, 9.250%, 7/20/2028 | 31,671 |
74,368 | ||
Other REITs — 0.5% | ||
95,000 | Starwood Property Trust, Inc., 3.750%, 12/31/2024(a) | 93,212 |
Packaging — 0.7% | ||
40,000 | Amcor Flexibles North America, Inc., 4.000%, 5/17/2025 | 39,288 |
100,000 | Sonoco Products Co., 1.800%, 2/01/2025 | 96,183 |
135,471 | ||
Retail REITs — 0.2% | ||
40,000 | Federal Realty OP LP, 3.950%, 1/15/2024 | 39,958 |
Retailers — 1.5% | ||
30,000 | Advance Auto Parts, Inc., 5.900%, 3/09/2026 | 29,899 |
50,000 | AutoZone, Inc., 5.050%, 7/15/2026 | 50,306 |
85,000 | Lowe's Cos., Inc., 4.400%, 9/08/2025 | 84,352 |
50,000 | O'Reilly Automotive, Inc., 5.750%, 11/20/2026 | 51,198 |
85,000 | Tapestry, Inc., 7.350%, 11/27/2028 | 89,164 |
304,919 | ||
Technology — 1.7% | ||
60,000 | Broadcom, Inc., 4.000%, 4/15/2029(a) | 57,916 |
80,000 | Dell International LLC/EMC Corp., 5.850%, 7/15/2025 | 80,783 |
45,000 | Fidelity National Information Services, Inc., 4.500%, 7/15/2025 | 44,544 |
45,000 | Flex Ltd., 6.000%, 1/15/2028 | 46,464 |
Principal Amount | Description | Value (†) |
Technology — continued | ||
$60,000 | Global Payments, Inc., 1.500%, 11/15/2024 | $57,853 |
35,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.150%, 5/01/2027 | 33,229 |
25,000 | Qorvo, Inc., 1.750%, 12/15/2024 | 23,986 |
344,775 | ||
Tobacco — 0.3% | ||
60,000 | Altria Group, Inc., 6.200%, 11/01/2028 | 62,925 |
Transportation Services — 0.7% | ||
45,000 | Element Fleet Management Corp., 6.319%, 12/04/2028(a) | 46,475 |
55,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 5.550%, 5/01/2028(a) | 55,844 |
45,000 | Ryder System, Inc., 6.300%, 12/01/2028 | 47,712 |
150,031 | ||
Treasuries — 40.1% | ||
1,095,000 | U.S. Treasury Notes, 2.500%, 5/31/2024(d) | 1,082,767 |
595,000 | U.S. Treasury Notes, 3.875%, 4/30/2025 | 589,654 |
2,180,000 | U.S. Treasury Notes, 4.625%, 6/30/2025 | 2,185,194 |
195,000 | U.S. Treasury Notes, 4.750%, 7/31/2025 | 195,884 |
1,060,000 | U.S. Treasury Notes, 5.000%, 8/31/2025 | 1,069,772 |
25,000 | U.S. Treasury Notes, 5.000%, 9/30/2025 | 25,255 |
2,980,000 | U.S. Treasury Notes, 5.000%, 10/31/2025 | 3,013,991 |
8,162,517 | ||
Wireless — 0.1% | ||
15,000 | Crown Castle, Inc., 5.800%, 3/01/2034 | 15,525 |
Wirelines — 0.6% | ||
85,000 | Bell Telephone Co. of Canada or Bell Canada, Series US-3, 0.750%, 3/17/2024 | 84,126 |
50,000 | Verizon Communications, Inc., 3.000%, 3/22/2027 | 47,536 |
131,662 | ||
Total Bonds and Notes (Identified Cost $20,095,477) | 20,089,299 | |
Short-Term Investments — 0.9% | ||
185,250 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/2023 at 2.500% to be repurchased at $185,301 on 1/02/2024 collateralized by $211,300 U.S. Treasury Note, 0.500% due 4/30/2027 valued at $188,979 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $185,250) | 185,250 |
Total Investments — 99.6% (Identified Cost $20,280,727) | 20,274,549 | |
Other assets less liabilities — 0.4% | 79,150 | |
Net Assets — 100.0% | $20,353,699 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2023, the value of Rule 144A holdings amounted to $4,608,000 or 22.6% of net assets. |
(b) | Variable rate security. Rate as of December 31, 2023 is disclosed. Issuers comprised of various lots with differing coupon rates have been aggregated for the purpose of presentation in the Portfolio of Investments and show a weighted average rate. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. These securities may not indicate a reference rate and/or spread in their description. |
(c) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
(d) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
ABS | Asset-Backed Securities |
CMT | Constant Maturity Treasury |
GMTN | Global Medium Term Note |
MTN | Medium Term Note |
REITs | Real Estate Investment Trusts |
SOFR | Secured Overnight Financing Rate |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT 2 Year U.S. Treasury Notes Futures | 3/28/2024 | 16 | $3,265,720 | $3,294,625 | $28,905 |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT 10 Year U.S. Treasury Notes Futures | 3/19/2024 | 8 | $876,855 | $903,125 | $(26,270 ) |
Treasuries | 40.1 % |
ABS Car Loan | 13.2 |
Banking | 5.7 |
Electric | 5.4 |
ABS Other | 4.2 |
Finance Companies | 3.3 |
ABS Credit Card | 2.7 |
Life Insurance | 2.3 |
Other Investments, less than 2% each | 21.8 |
Short-Term Investments | 0.9 |
Total Investments | 99.6 |
Other assets less liabilities (including futures contracts) | 0.4 |
Net Assets | 100.0 % |
Shares | Description | Value (†) |
Common Stocks — 100.4% of Net Assets | ||
Aerospace & Defense — 1.4% | ||
199 | Axon Enterprise, Inc.(a) | $51,408 |
Banks — 7.8% | ||
1,303 | Bank of NT Butterfield & Son Ltd. | 41,709 |
1,450 | Comerica, Inc. | 80,924 |
1,228 | Western Alliance Bancorp | 80,790 |
1,801 | Zions Bancorp NA | 79,010 |
282,433 | ||
Building Products — 2.1% | ||
462 | Allegion PLC | 58,531 |
496 | AZEK Co., Inc.(a) | 18,972 |
77,503 | ||
Capital Markets — 6.2% | ||
300 | Ares Management Corp., Class A | 35,676 |
142 | MSCI, Inc. | 80,322 |
650 | Nasdaq, Inc. | 37,791 |
638 | Raymond James Financial, Inc. | 71,137 |
224,926 | ||
Chemicals — 1.5% | ||
1,596 | Axalta Coating Systems Ltd.(a) | 54,216 |
Commercial Services & Supplies — 0.5% | ||
110 | Republic Services, Inc. | 18,140 |
Communications Equipment — 0.9% | ||
107 | Motorola Solutions, Inc. | 33,501 |
Construction & Engineering — 2.4% | ||
1,914 | WillScot Mobile Mini Holdings Corp.(a) | 85,173 |
Construction Materials — 2.5% | ||
391 | Vulcan Materials Co. | 88,761 |
Consumer Staples Distribution & Retail — 1.1% | ||
551 | Performance Food Group Co.(a) | 38,102 |
Containers & Packaging — 2.2% | ||
309 | Avery Dennison Corp. | 62,468 |
191 | Crown Holdings, Inc. | 17,589 |
80,057 | ||
Electrical Equipment — 5.2% | ||
269 | AMETEK, Inc. | 44,355 |
57 | Hubbell, Inc. | 18,749 |
700 | nVent Electric PLC | 41,363 |
1,705 | Vertiv Holdings Co. | 81,891 |
186,358 | ||
Electronic Equipment, Instruments & Components — 2.4% | ||
273 | CDW Corp. | 62,059 |
134 | Fabrinet(a) | 25,504 |
87,563 | ||
Energy Equipment & Services — 2.0% | ||
3,603 | TechnipFMC PLC | 72,564 |
Financial Services — 0.9% | ||
352 | Apollo Global Management, Inc. | 32,803 |
Ground Transportation — 1.1% | ||
87 | Saia, Inc.(a) | 38,125 |
Health Care Providers & Services — 1.5% | ||
90 | Cencora, Inc. | 18,484 |
154 | Laboratory Corp. of America Holdings | 35,003 |
53,487 |
Shares | Description | Value (†) |
Independent Power & Renewable Electricity Producers — 2.0% | ||
1,836 | Vistra Corp. | $70,723 |
Industrial REITs — 3.5% | ||
688 | EastGroup Properties, Inc. | 126,275 |
Insurance — 4.0% | ||
244 | Allstate Corp. | 34,155 |
70 | Arthur J Gallagher & Co. | 15,742 |
293 | First American Financial Corp. | 18,881 |
477 | Reinsurance Group of America, Inc. | 77,169 |
145,947 | ||
IT Services — 2.4% | ||
210 | MongoDB, Inc.(a) | 85,858 |
Life Sciences Tools & Services — 6.6% | ||
322 | Agilent Technologies, Inc. | 44,768 |
2,236 | Avantor, Inc.(a) | 51,048 |
600 | Bruker Corp. | 44,088 |
422 | IQVIA Holdings, Inc.(a) | 97,642 |
237,546 | ||
Machinery — 2.4% | ||
311 | Crane Co. | 36,742 |
573 | Otis Worldwide Corp. | 51,266 |
88,008 | ||
Media — 0.4% | ||
103 | Nexstar Media Group, Inc. | 16,145 |
Metals & Mining — 2.7% | ||
4,957 | Constellium SE(a) | 98,942 |
Mortgage Real Estate Investment Trusts (REITs) — 1.7% | ||
5,895 | Rithm Capital Corp. | 62,959 |
Oil, Gas & Consumable Fuels — 4.0% | ||
587 | Diamondback Energy, Inc. | 91,032 |
1,776 | Range Resources Corp. | 54,061 |
145,093 | ||
Professional Services — 5.4% | ||
227 | CACI International, Inc., Class A(a) | 73,516 |
149 | Equifax, Inc. | 36,846 |
1,023 | Maximus, Inc. | 85,789 |
196,151 | ||
Semiconductors & Semiconductor Equipment — 8.1% | ||
1,497 | Marvell Technology, Inc. | 90,284 |
174 | Monolithic Power Systems, Inc. | 109,756 |
1,087 | ON Semiconductor Corp.(a) | 90,797 |
290,837 | ||
Software — 1.8% | ||
155 | Tyler Technologies, Inc.(a) | 64,809 |
Specialized REITs — 4.3% | ||
963 | Extra Space Storage, Inc. | 154,398 |
Specialty Retail — 4.7% | ||
15 | AutoZone, Inc.(a) | 38,784 |
721 | Floor & Decor Holdings, Inc., Class A(a) | 80,435 |
102 | Ulta Beauty, Inc.(a) | 49,979 |
169,198 | ||
Textiles, Apparel & Luxury Goods — 2.5% | ||
1,444 | Skechers USA, Inc., Class A(a) | 90,019 |
Shares | Description | Value (†) |
Trading Companies & Distributors — 2.2% | ||
487 | SiteOne Landscape Supply, Inc.(a) | $79,137 |
Total Common Stocks (Identified Cost $3,092,206) | 3,627,165 |
Principal Amount | ||
Short-Term Investments — 0.5% | ||
$17,232 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/2023 at 2.500% to be repurchased at $17,237 on 1/02/2024 collateralized by $19,700 U.S. Treasury Note, 0.500% due 4/30/2027 valued at $17,619 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $17,232) | 17,232 |
Total Investments — 100.9% (Identified Cost $3,109,438) | 3,644,397 | |
Other assets less liabilities — (0.9)% | (34,266 ) | |
Net Assets — 100.0% | $3,610,131 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | Non-income producing security. |
REITs | Real Estate Investment Trusts |
Semiconductors & Semiconductor Equipment | 8.1 % |
Banks | 7.8 |
Life Sciences Tools & Services | 6.6 |
Capital Markets | 6.2 |
Professional Services | 5.4 |
Electrical Equipment | 5.2 |
Specialty Retail | 4.7 |
Specialized REITs | 4.3 |
Insurance | 4.0 |
Oil, Gas & Consumable Fuels | 4.0 |
Industrial REITs | 3.5 |
Metals & Mining | 2.7 |
Textiles, Apparel & Luxury Goods | 2.5 |
Construction Materials | 2.5 |
Machinery | 2.4 |
Electronic Equipment, Instruments & Components | 2.4 |
IT Services | 2.4 |
Construction & Engineering | 2.4 |
Containers & Packaging | 2.2 |
Trading Companies & Distributors | 2.2 |
Building Products | 2.1 |
Energy Equipment & Services | 2.0 |
Independent Power & Renewable Electricity Producers | 2.0 |
Other Investments, less than 2% each | 12.8 |
Short-Term Investments | 0.5 |
Total Investments | 100.9 |
Other assets less liabilities | (0.9 ) |
Net Assets | 100.0 % |
Shares | Description | Value (†) |
Common Stocks — 98.3% of Net Assets | ||
Banks — 2.7% | ||
4,980 | JPMorgan Chase & Co. | $847,098 |
Broadline Retail — 5.2% | ||
10,969 | Amazon.com, Inc.(a) | 1,666,630 |
Capital Markets — 4.9% | ||
12,248 | Intercontinental Exchange, Inc. | 1,573,011 |
Chemicals — 4.6% | ||
4,694 | Sherwin-Williams Co. | 1,464,058 |
Electric Utilities — 2.1% | ||
11,225 | NextEra Energy, Inc. | 681,806 |
Entertainment — 1.9% | ||
6,745 | Walt Disney Co. | 609,006 |
Financial Services — 3.5% | ||
3,160 | Berkshire Hathaway, Inc., Class B(a) | 1,127,046 |
Ground Transportation — 7.5% | ||
3,235 | Saia, Inc.(a) | 1,417,642 |
3,942 | Union Pacific Corp. | 968,234 |
2,385,876 | ||
Health Care Equipment & Supplies — 2.8% | ||
7,207 | Dexcom, Inc.(a) | 894,317 |
Health Care Providers & Services — 1.9% | ||
1,023 | Chemed Corp. | 598,199 |
Industrial REITs — 2.1% | ||
4,935 | Prologis, Inc. | 657,835 |
Insurance — 2.7% | ||
2,979 | Aon PLC, Class A | 866,948 |
Interactive Media & Services — 4.8% | ||
10,969 | Alphabet, Inc., Class A(a) | 1,532,260 |
IT Services — 6.6% | ||
3,235 | Accenture PLC, Class A | 1,135,194 |
4,785 | VeriSign, Inc.(a) | 985,518 |
2,120,712 | ||
Life Sciences Tools & Services — 2.8% | ||
3,882 | Danaher Corp. | 898,062 |
Metals & Mining — 3.4% | ||
22,103 | Wheaton Precious Metals Corp. | 1,090,562 |
Oil, Gas & Consumable Fuels — 5.1% | ||
5,687 | Hess Corp. | 819,838 |
123,018 | Kosmos Energy Ltd.(a) | 825,451 |
1,645,289 | ||
Personal Care Products — 1.9% | ||
4,108 | Estee Lauder Cos., Inc., Class A | 600,795 |
Pharmaceuticals — 5.8% | ||
4,213 | Johnson & Johnson | 660,346 |
6,079 | Zoetis, Inc. | 1,199,812 |
1,860,158 | ||
Professional Services — 2.8% | ||
3,792 | Verisk Analytics, Inc. | 905,757 |
Semiconductors & Semiconductor Equipment — 7.9% | ||
2,257 | Monolithic Power Systems, Inc. | 1,423,671 |
2,242 | NVIDIA Corp. | 1,110,283 |
2,533,954 |
Shares | Description | Value (†) |
Software — 11.4% | ||
5,793 | Microsoft Corp. | $2,178,400 |
5,552 | Salesforce, Inc.(a) | 1,460,953 |
3,639,353 | ||
Specialty Retail — 3.9% | ||
1,309 | O'Reilly Automotive, Inc.(a) | 1,243,655 |
Total Common Stocks (Identified Cost $27,412,067) | 31,442,387 |
Principal Amount | ||
Short-Term Investments — 2.0% | ||
$632,986 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/2023 at 2.500% to be repurchased at $633,162 on 1/02/2024 collateralized by $634,200 U.S. Treasury Note, 4.125% due 9/30/2027 valued at $645,687 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $632,986) | 632,986 |
Total Investments — 100.3% (Identified Cost $28,045,053) | 32,075,373 | |
Other assets less liabilities — (0.3)% | (91,837 ) | |
Net Assets — 100.0% | $31,983,536 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | Non-income producing security. |
REITs | Real Estate Investment Trusts |
Software | 11.4 % |
Semiconductors & Semiconductor Equipment | 7.9 |
Ground Transportation | 7.5 |
IT Services | 6.6 |
Pharmaceuticals | 5.8 |
Broadline Retail | 5.2 |
Oil, Gas & Consumable Fuels | 5.1 |
Capital Markets | 4.9 |
Interactive Media & Services | 4.8 |
Chemicals | 4.6 |
Specialty Retail | 3.9 |
Financial Services | 3.5 |
Metals & Mining | 3.4 |
Professional Services | 2.8 |
Life Sciences Tools & Services | 2.8 |
Health Care Equipment & Supplies | 2.8 |
Insurance | 2.7 |
Banks | 2.7 |
Electric Utilities | 2.1 |
Industrial REITs | 2.1 |
Other Investments, less than 2% each | 5.7 |
Short-Term Investments | 2.0 |
Total Investments | 100.3 |
Other assets less liabilities | (0.3 ) |
Net Assets | 100.0 % |
Natixis Gateway Quality Income ETF | Natixis Loomis Sayles Focused Growth ETF | Natixis Loomis Sayles Short Duration Income ETF | Natixis Vaughan Nelson Mid Cap ETF | Natixis Vaughan Nelson Select ETF | |
ASSETS | |||||
Investments at cost | $40,389,951 | $5,284,839 | $20,280,727 | $3,109,438 | $28,045,053 |
Net unrealized appreciation (depreciation) | 670,972 | 646,770 | (6,178 ) | 534,959 | 4,030,320 |
Investments at value | 41,060,923 | 5,931,609 | 20,274,549 | 3,644,397 | 32,075,373 |
Cash | — | — | 49 | — | — |
Receivable from investment adviser (Note 6) | 32,352 | 7,617 | 19,422 | 7,570 | — |
Receivable for securities sold | — | — | — | 34,181 | — |
Dividends and interest receivable | 115,305 | 520 | 198,028 | 4,339 | 5,344 |
Receivable for variation margin on futures contracts (Note 2) | — | — | 2,015 | — | — |
Prepaid expenses (Note 8) | — | 588 | 597 | 590 | 594 |
TOTAL ASSETS | 41,208,580 | 5,940,334 | 20,494,660 | 3,691,077 | 32,081,311 |
LIABILITIES | |||||
Management fees payable (Note 6) | — | — | — | — | 5,362 |
Deferred Trustees’ fees (Note 6) | 163 | 1,424 | 44,189 | 14,536 | 14,725 |
Administrative fees payable (Note 6) | 985 | 227 | 805 | 141 | 1,231 |
Audit and tax services fees payable | 31,000 | 42,029 | 46,236 | 45,769 | 45,743 |
Other accounts payable and accrued expenses | 7,371 | 1,481 | 49,731 | 20,500 | 30,714 |
TOTAL LIABILITIES | 39,519 | 45,161 | 140,961 | 80,946 | 97,775 |
COMMITMENTS AND CONTINGENCIES(a) | — | — | — | — | — |
NET ASSETS | $41,169,061 | $5,895,173 | $20,353,699 | $3,610,131 | $31,983,536 |
NET ASSETS CONSIST OF: | |||||
Paid-in capital | $40,498,710 | $5,249,827 | $22,607,362 | $3,920,317 | $29,725,631 |
Accumulated earnings (loss) | 670,351 | 645,346 | (2,253,663 ) | (310,186 ) | 2,257,905 |
NET ASSETS | $41,169,061 | $5,895,173 | $20,353,699 | $3,610,131 | $31,983,536 |
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | |||||
Net assets | $41,169,061 | $5,895,173 | $20,353,699 | $3,610,131 | $31,983,536 |
Shares of beneficial interest | 810,000 | 210,000 | 850,000 | 110,400 | 1,040,400 |
Net asset value, offering and redemption price per share | $50.83 | $28.07 | $23.95 | $32.70 | $30.74 |
(a) | As disclosed in the Notes to Financial Statements, if applicable. |
Natixis Gateway Quality Income ETF(a) | Natixis Loomis Sayles Focused Growth ETF(b) | Natixis Loomis Sayles Short Duration Income ETF | Natixis Vaughan Nelson Mid Cap ETF | Natixis Vaughan Nelson Select ETF | |
INVESTMENT INCOME | |||||
Interest | $91,495 | $858 | $1,179,067 | $7,856 | $18,183 |
Dividends | 40,456(c ) | 6,905 | — | 75,649 | 251,242 |
Less net foreign taxes withheld | — | — | — | — | (2,349 ) |
131,951 | 7,763 | 1,179,067 | 83,505 | 267,076 | |
Expenses | |||||
Management fees (Note 6) | 5,134 | 13,819 | 87,869 | 45,711 | 178,547 |
Administrative fees (Note 6) | 985 | 1,281 | 13,568 | 2,826 | 11,812 |
Trustees' fees and expenses (Note 6) | 425 | 6,074 | 21,357 | 17,477 | 18,259 |
Transfer agent fees and expenses (Notes 6 and 7) | 1,300 | 9,100 | 15,600 | 15,600 | 15,600 |
Audit and tax services fees | 31,000 | 42,028 | 46,247 | 45,772 | 45,750 |
Custodian fees and expenses (Note 7) | 1,721 | 9,865 | 36,512 | 16,606 | 15,799 |
Legal fees | 592 | 1,409 | 22,151 | 5,653 | 21,060 |
Registration fees | 3,701 | 442 | — | — | 1,366 |
Regulatory filing fees (Note 7) | 1,083 | 6,500 | 13,000 | 13,000 | 13,000 |
Shareholder reporting expenses (Note 7) | 1,957 | 3,724 | 25,475 | 7,413 | 14,381 |
Miscellaneous expenses | 1,240 | 15,543 | 29,175 | 30,846 | 31,188 |
Total expenses | 49,138 | 109,785 | 310,954 | 200,904 | 366,762 |
Less waiver and/or expense reimbursement (Note 6) | (41,865 ) | (93,479 ) | (203,004 ) | (149,099 ) | (162,709 ) |
Net expenses | 7,273 | 16,306 | 107,950 | 51,805 | 204,053 |
Net investment income (loss) | 124,678 | (8,543 ) | 1,071,117 | 31,700 | 63,023 |
Net realized and unrealized gain (loss) on Investments and Futures contracts | |||||
Net realized gain (loss) on: | |||||
Investments | (553 ) | 8,731 | (612,638 ) | 563,990 | 383,763 |
Futures contracts | — | — | (75,058 ) | — | — |
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | 670,972 | 646,770 | 1,096,067 | 158,443 | 4,426,530 |
Futures contracts | — | — | (27,889 ) | — | — |
Net realized and unrealized gain on Investments and Futures contracts | 670,419 | 655,501 | 380,482 | 722,433 | 4,810,293 |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $795,097 | $646,958 | $1,451,599 | $754,133 | $4,873,316 |
(a) | From commencement of operations on December 12, 2023 through December 31, 2023. |
(b) | From commencement of operations on June 28, 2023 through December 31, 2023. |
(c) | Includes a non-recurring dividend of $19,440. |
Natixis Gateway Quality Income ETF | Natixis Loomis Sayles Focused Growth ETF | |
Period Ended December 31,2023(a) | Period Ended December 31,2023(b) | |
FROM OPERATIONS: | ||
Net investment income (loss) | $124,678 | $(8,543 ) |
Net realized gain (loss) on investments | (553 ) | 8,731 |
Net change in unrealized appreciation on investments | 670,972 | 646,770 |
Net increase in net assets resulting from operations | 795,097 | 646,958 |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||
(126,036 ) | (1,785 ) | |
NET INCREASE IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 10) | 40,500,000 | 5,250,000 |
Net increase in net assets | 41,169,061 | 5,895,173 |
NET ASSETS | ||
Beginning of the year | — | — |
End of the year | $41,169,061 | $5,895,173 |
(a) | From commencement of operations on December 12, 2023 through December 31, 2023. |
(b) | From commencement of operations on June 28, 2023 through December 31, 2023. |
Natixis Loomis Sayles Short Duration Income ETF | Natixis Vaughan Nelson Mid Cap ETF | |||
Year Ended December 31,2023 | Year Ended December 31,2022 | Year Ended December 31,2023 | Year Ended December 31,2022 | |
FROM OPERATIONS: | ||||
Net investment income | $1,071,117 | $691,531 | $31,700 | $63,494 |
Net realized gain (loss) on investments and futures contracts | (687,696 ) | (1,410,018 ) | 563,990 | (515,911 ) |
Net change in unrealized appreciation (depreciation) on investments and futures contracts | 1,068,178 | (990,466 ) | 158,443 | (489,895 ) |
Net increase (decrease) in net assets resulting from operations | 1,451,599 | (1,708,953 ) | 754,133 | (942,312 ) |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||
(1,104,265 ) | (723,670 ) | (39,071 ) | (307,566 ) | |
NET DECREASE IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 10) | (16,491,540 ) | (8,377,817 ) | (4,182,980 ) | (576,697 ) |
Net decrease in net assets | (16,144,206 ) | (10,810,440 ) | (3,467,918 ) | (1,826,575 ) |
NET ASSETS | ||||
Beginning of the year | 36,497,905 | 47,308,345 | 7,078,049 | 8,904,624 |
End of the year | $20,353,699 | $36,497,905 | $3,610,131 | $7,078,049 |
Natixis Vaughan Nelson Select ETF | ||
Year Ended December 31,2023 | Year Ended December 31,2022 | |
FROM OPERATIONS: | ||
Net investment income | $63,023 | $28,962 |
Net realized gain (loss) on investments | 383,763 | (199,752 ) |
Net change in unrealized appreciation (depreciation) on investments | 4,426,530 | (967,767 ) |
Net increase (decrease) in net assets resulting from operations | 4,873,316 | (1,138,557 ) |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||
(65,857 ) | (409,261 ) | |
NET INCREASE IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 10) | 15,344,668 | 6,964,016 |
Net increase in net assets | 20,152,127 | 5,416,198 |
NET ASSETS | ||
Beginning of the year | 11,831,409 | 6,415,211 |
End of the year | $31,983,536 | $11,831,409 |
Natixis Gateway Quality Income ETF | |
Period Ended December 31, 2023* | |
Net asset value, beginning of the year | $50.00 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |
Net investment income(a)(b) | 0.15 |
Net realized and unrealized gain | 0.84 |
Total from Investment Operations | 0.99 |
LESS DISTRIBUTIONS FROM: | |
Net investment income | (0.16 ) |
Net asset value, end of the year | $50.83 |
Total return(b)(c)(d) | 1.97 % |
RATIOS TO AVERAGE NET ASSETS: | |
Net assets, end of the period (000's) | $41,169 |
Net expenses(e)(f) | 0.34 % |
Gross expenses(f) | 2.30 % |
Net investment income(b)(f) | 5.83 % |
Portfolio turnover rate(g) | 0 % |
* | From commencement of operations on December 12, 2023 through December 31, 2023. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.13, total return would have been 1.91% and the ratio of net investment income to average net assets would have been 4.92%. |
(c) | Total return is calculated at net asset value assuming reinvestment of dividends and capital gains, if any. Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year. |
(g) | Portfolio turnover rate excludes securities received or delivered from in–kind processing of creations or redemptions. |
Natixis Loomis Sayles Focused Growth ETF | |
Period Ended December 31, 2023* | |
Net asset value, beginning of the year | $25.00 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |
Net investment loss(a) | (0.04 ) |
Net realized and unrealized gain | 3.12 |
Total from Investment Operations | 3.08 |
LESS DISTRIBUTIONS FROM: | |
Net realized capital gains | (0.01 ) |
Net asset value, end of the year | $28.07 |
Total return(b)(c) | 12.31 % |
RATIOS TO AVERAGE NET ASSETS: | |
Net assets, end of the period (000's) | $5,895 |
Net expenses(d)(e) | 0.59 % |
Gross expenses(e) | 3.97 % |
Net investment loss(e) | (0.31 )% |
Portfolio turnover rate(f) | 4 % |
* | From commencement of operations on June 28, 2023 through December 31, 2023. |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | Total return is calculated at net asset value assuming reinvestment of dividends and capital gains, if any. Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | Portfolio turnover rate excludes securities received or delivered from in–kind processing of creations or redemptions. |
Natixis Loomis Sayles Short Duration Income ETF | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the year | $23.55 | $24.90 | $25.58 | $25.28 | $24.62 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.87 | 0.41 | 0.17 | 0.49 | 0.64 |
Net realized and unrealized gain (loss) | 0.45 | (1.31 ) | (0.17 ) | 0.83 | 0.70 |
Total from Investment Operations | 1.32 | (0.90 ) | 0.00 (b) | 1.32 | 1.34 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.92 ) | (0.45 ) | (0.22 ) | (0.51 ) | (0.67 ) |
Net realized capital gains | — | — | (0.46 ) | (0.51 ) | (0.01 ) |
Total Distributions | (0.92 ) | (0.45 ) | (0.68 ) | (1.02 ) | (0.68 ) |
Net asset value, end of the year | $23.95 | $23.55 | $24.90 | $25.58 | $25.28 |
Total return(c) | 5.74 % | (3.60 )% | 0.00 (d) | 5.27 % | 5.51 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $20,354 | $36,498 | $47,308 | $24,304 | $30,331 |
Net expenses(e) | 0.37 %(f) | 0.38 % | 0.38 % | 0.38 % | 0.38 % |
Gross expenses | 1.06 % | 0.88 % | 0.93 % | 1.05 % | 0.95 % |
Net investment income | 3.66 % | 1.71 % | 0.69 % | 1.91 % | 2.56 % |
Portfolio turnover rate(g) | 209 % | 167 % | 140 % | 181 % | 113 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01. |
(c) | Total return is calculated at net asset value assuming reinvestment of dividends and capital gains, if any. Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Amount rounds to less than 0.01%. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Effective July 1, 2023, the expense limit decreased from 0.38% to 0.35%. See Note 6 of Notes to Financial Statements. |
(g) | Portfolio turnover rate excludes securities received or delivered from in–kind processing of creations or redemptions. |
Natixis Vaughan Nelson Mid Cap ETF | ||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Period Ended December 31, 2020* | |
Net asset value, beginning of the year | $28.27 | $32.93 | $29.87 | $25.17 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||
Net investment income(a) | 0.15 | 0.24 | 0.18 | 0.04 |
Net realized and unrealized gain (loss) | 4.63 | (3.68 ) | 6.21 | 4.72 |
Total from Investment Operations | 4.78 | (3.44 ) | 6.39 | 4.76 |
LESS DISTRIBUTIONS FROM: | ||||
Net investment income | (0.35 ) | (0.29 ) | (0.21 ) | (0.04 ) |
Net realized capital gains | — | (0.93 ) | (3.12 ) | (0.02 ) |
Total Distributions | (0.35 ) | (1.22 ) | (3.33 ) | (0.06 ) |
Net asset value, end of the year | $32.70 | $28.27 | $32.93 | $29.87 |
Total return(b) | 16.91 % | (10.64 )% | 21.47 % | 18.91 %(c) |
RATIOS TO AVERAGE NET ASSETS: | ||||
Net assets, end of the period (000's) | $3,610 | $7,078 | $8,905 | $7,779 |
Net expenses(d) | 0.85 % | 0.85 % | 0.87 %(e) | 0.90 %(f) |
Gross expenses | 3.30 % | 2.76 % | 2.39 % | 4.53 %(f) |
Net investment income | 0.52 % | 0.81 % | 0.54 % | 0.53 %(f) |
Portfolio turnover rate(g) | 82 % | 55 % | 72 % | 10 % |
* | From commencement of operations on September 16, 2020 through December 31, 2020. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Total return is calculated at net asset value assuming reinvestment of dividends and capital gains, if any. Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Effective July 1, 2021, the expense limit decreased from 0.90% to 0.85%. |
(f) | Computed on an annualized basis for periods less than one year. |
(g) | Portfolio turnover rate excludes securities received or delivered from in–kind processing of creations or redemptions. |
Natixis Vaughan Nelson Select ETF | ||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Period Ended December 31, 2020* | |
Net asset value, beginning of the year | $25.15 | $32.01 | $27.42 | $24.86 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||
Net investment income(a) | 0.07 | 0.09 | 0.21 (b) | 0.02 |
Net realized and unrealized gain (loss) | 5.58 | (5.19 ) | 10.68 | 2.56 |
Total from Investment Operations | 5.65 | (5.10 ) | 10.89 | 2.58 |
LESS DISTRIBUTIONS FROM: | ||||
Net investment income | (0.06 ) | (0.08 ) | (0.29 ) | (0.02 ) |
Net realized capital gains | — | (1.68 ) | (6.01 ) | — |
Total Distributions | (0.06 ) | (1.76 ) | (6.30 ) | (0.02 ) |
Net asset value, end of the year | $30.74 | $25.15 | $32.01 | $27.42 |
Total return(c) | 22.48 % | (16.59 )% | 39.60 %(b) | 10.37 %(d) |
RATIOS TO AVERAGE NET ASSETS: | ||||
Net assets, end of the period (000's) | $31,984 | $11,831 | $6,415 | $6,043 |
Net expenses(e) | 0.80 % | 0.80 % | 0.83 %(f) | 0.85 %(g) |
Gross expenses | 1.44 % | 2.57 % | 3.08 % | 4.95 %(g) |
Net investment income | 0.25 % | 0.35 % | 0.65 %(b) | 0.24 %(g) |
Portfolio turnover rate(h) | 47 % | 55 % | 88 % | 16 % |
* | From commencement of operations on September 16, 2020 through December 31, 2020. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.02, total return would have been 38.99% and the ratio of net investment income to average net assets would have been 0.07%. |
(c) | Total return is calculated at net asset value assuming reinvestment of dividends and capital gains, if any. Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Effective July 1, 2021, the expense limit decreased from 0.85% to 0.80%. |
(g) | Computed on an annualized basis for periods less than one year. |
(h) | Portfolio turnover rate excludes securities received or delivered from in–kind processing of creations or redemptions. |
Participant of approximately $5,250,000 in exchange for 210,000 shares. Natixis Investment Managers, LLC purchased 199,680 shares from the Authorized Participant in the secondary market on June 29, 2023.
fees are charged. Future payments may be made under the 12b-1 Plan without further shareholder approval.
Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”) and the Trusts.
based upon the World Market or “WM11” foreign exchange rates supplied by an independent pricing service. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.
taxes recorded in the Funds’ books and records and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the
end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net
realized foreign exchange gains or losses are characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.
or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities.
2023 Distributions | 2022 Distributions | |||||
Fund | Ordinary Income | Long-Term Capital Gains | Total | Ordinary Income | Long-Term Capital Gains | Total |
Quality Income ETF | $126,036 | $— | $126,036 | $— | $— | $— |
Focused Growth ETF | 1,785 | — | 1,785 | — | — | — |
Short Duration Income ETF | 1,104,265 | — | 1,104,265 | 723,670 | — | 723,670 |
Mid Cap ETF | 39,071 | — | 39,071 | 86,713 | 220,853 | 307,566 |
Select ETF | 65,857 | — | 65,857 | 265,241 | 144,020 | 409,261 |
Quality Income ETF | Focused Growth ETF | Short Duration Income ETF | Mid Cap ETF | Select ETF | |
Undistributed ordinary income | $— | $— | $293 | $638 | $1,572 |
Capital loss carryforward: | |||||
Short-term: | |||||
No expiration date | — | — | (1,473,813 ) | (510,837 ) | (938,479 ) |
Long-term: | |||||
No expiration date | — | — | (688,941 ) | (313,135 ) | (566,191 ) |
Total capital loss carryforward* | — | — | (2,162,754 ) | (823,972 ) | (1,504,670 ) |
Unrealized appreciation (depreciation) | 670,351 | 646,770 | (47,013 ) | 527,684 | 3,775,728 |
Total accumulated earnings (losses) | $670,351 | $646,770 | $(2,209,474 ) | $(295,650 ) | $2,272,630 |
* | Under Section 382 of the Internal Revenue Service Code, a portion of the capital loss carryforward for Short Duration Income ETF and Select ETF is subject to certain limitations upon availability, to offset future capital gains, if any. |
Quality Income ETF | Focused Growth ETF | Short Duration Income ETF | Mid Cap ETF | Select ETF | |
Federal tax cost | $40,390,572 | $5,284,839 | $20,321,562 | $3,116,713 | $28,299,645 |
Gross tax appreciation | $957,166 | $712,810 | $180,588 | $548,065 | $4,111,950 |
Gross tax depreciation | (286,815 ) | (66,040 ) | (227,601 ) | (20,381 ) | (336,222 ) |
Net tax appreciation (depreciation) | $670,351 | $646,770 | $(47,013 ) | $527,684 | $3,775,728 |
Quality Income ETF | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks(a) | $37,138,252 | $— | $— | $37,138,252 |
Equity-Linked Notes | — | 3,873,537 | — | 3,873,537 |
Short-Term Investments | — | 49,134 | — | 49,134 |
Total Investments | $37,138,252 | $3,922,671 | $— | $41,060,923 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Focused Growth ETF | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks(a) | $5,823,801 | $— | $— | $5,823,801 |
Short-Term Investments | — | 107,808 | — | 107,808 |
Total Investments | $5,823,801 | $107,808 | $— | $5,931,609 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Short Duration Income ETF | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Bonds and Notes | ||||
Collateralized Mortgage Obligations | $— | $102,076 | $15,930 | $118,006 |
All Other Bonds and Notes(a) | — | 19,971,293 | — | 19,971,293 |
Total Bonds and Notes | — | 20,073,369 | 15,930 | 20,089,299 |
Short-Term Investments | — | 185,250 | — | 185,250 |
Total Investments | — | 20,258,619 | 15,930 | 20,274,549 |
Futures Contracts (unrealized appreciation) | 28,905 | — | — | 28,905 |
Total | $28,905 | $20,258,619 | $15,930 | $20,303,454 |
Liability Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Futures Contracts (unrealized depreciation) | $(26,270 ) | $— | $— | $(26,270 ) |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Mid Cap ETF | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks(a) | $3,627,165 | $— | $— | $3,627,165 |
Short-Term Investments | — | 17,232 | — | 17,232 |
Total Investments | $3,627,165 | $17,232 | $— | $3,644,397 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Select ETF | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks(a) | $31,442,387 | $— | $— | $31,442,387 |
Short-Term Investments | — | 632,986 | — | 632,986 |
Total Investments | $31,442,387 | $632,986 | $— | $32,075,373 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Short Duration Income ETF | ||||||||||
Asset Valuation Inputs | ||||||||||
Investments in Securities | Balance as of December 31, 2022 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of December 31, 2023 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2023 |
Bonds and Notes | ||||||||||
Collateralized Mortgage Obligations | $42,945 | $— | $(19 ) | $343 | $85 | $(27,424 ) | $— | $— | $15,930 | $(20 ) |
Assets | Unrealized appreciation on futures contracts1 |
Exchange-traded asset derivatives | |
Interest rate contracts | $28,905 |
Liabilities | Unrealized depreciation on futures contracts1 |
Exchange-traded liability derivatives | |
Interest rate contracts | $(26,270 ) |
1 | Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. |
Net Realized Gain (Loss) on: | Futures contracts |
Interest rate contracts | $(75,058 ) |
Net Change in Unrealized Appreciation (Depreciation) on: | Futures contracts |
Interest rate contracts | $(27,889 ) |
Short Duration Income ETF | Futures |
Average Notional Amount Outstanding | 32.92 % |
Highest Notional Amount Outstanding | 41.16 % |
Lowest Notional Amount Outstanding | 20.45 % |
Notional Amount Outstanding as of December 31, 2023 | 20.62 % |
U.S. Government/ Agency Securities | Other Securities | |||
Fund | Purchases | Sales | Purchases | Sales |
Quality Income ETF | $— | $— | $4,287,529 | $30,763 |
Focused Growth ETF | — | — | 232,881 | 319,322 |
Short Duration Income ETF | 26,774,014 | 29,449,826 | 32,852,558 | 46,589,013 |
Mid Cap ETF | — | — | 4,882,964 | 4,823,343 |
Select ETF | — | — | 12,205,655 | 11,570,971 |
Fund | In-Kind Purchases | In-Kind Sales |
Quality Income ETF | $36,084,605 | $— |
Focused Growth ETF | 5,254,740 | — |
Mid Cap ETF | 262,699 | 4,424,320 |
Select ETF | 23,218,745 | 8,569,395 |
Percentage of Average Daily Net Assets | ||
Fund | First $1.5 billion | Over $1.5 billion |
Quality Income ETF | 0.24 % | 0.24 % |
Focused Growth ETF | 0.50 % | 0.50 % |
Short Duration Income ETF | 0.30 % | 0.30 % |
Mid Cap ETF | 0.75 % | 0.70 % |
Select ETF | 0.70 % | 0.70 % |
Quality Income ETF | Gateway Investment Advisers, LLC (“Gateway Advisers”) |
Focused Growth ETF | Loomis, Sayles & Company, L.P. (“Loomis Sayles”) |
Short Duration Income ETF | Loomis Sayles |
Mid Cap ETF | Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”) |
Select ETF | Vaughan Nelson |
Percentage of Average Daily Net Assets | |||
Fund | Subadviser | First $1.5 billion | Over $1.5 billion |
Quality Income ETF | Gateway Advisers | 0.12 % | 0.12 % |
Focused Growth ETF | Loomis Sayles | 0.25 % | 0.25 % |
Short Duration Income ETF | Loomis Sayles | 0.15 % | 0.15 % |
Mid Cap ETF | Vaughan Nelson | 0.47 % | 0.44 % |
Select ETF | Vaughan Nelson | 0.47 % | 0.47 % |
Fund | Expense Limit as a Percentage of Average Daily Net Assets |
Quality Income ETF | 0.34 % |
Focused Growth ETF | 0.59 % |
Short Duration Income ETF | 0.35 % |
Mid Cap ETF | 0.85 % |
Select ETF | 0.80 % |
Fund | Expense Limit as a Percentage of Average Daily Net Assets |
Short Duration Income ETF | 0.38 % |
Gross Management Fees | Contractual Waivers of Management Fees1 | Net Management Fees | Percentage of Average Daily Net Assets | ||
Fund | Gross | Net | |||
Quality Income ETF | $5,134 | $5,134 | $— | 0.24 % | — % |
Focused Growth ETF | 13,819 | 13,819 | — | 0.50 % | — % |
Short Duration Income ETF | 87,869 | 87,869 | — | 0.30 % | — % |
Mid Cap ETF | 45,711 | 45,711 | — | 0.75 % | — % |
Select ETF | 178,547 | 162,709 | 15,838 | 0.70 % | 0.06 % |
1 | Management fee waivers are subject to possible recovery until December 31, 2024. |
Fund | Reimbursements1 |
Quality Income ETF | $36,731 |
Focused Growth ETF | 79,660 |
Short Duration Income ETF | 115,135 |
Mid Cap ETF | 103,388 |
1 | Expense reimbursement is subject to possible recovery until December 31, 2024. |
Fund | Administrative Fees |
Quality Income ETF | $985 |
Focused Growth ETF | 1,281 |
Short Duration Income ETF | 13,568 |
Mid Cap ETF | 2,826 |
Select ETF | 11,812 |
Percentage of Net Assets | |
Quality Income ETF | 98.63 % |
Focused Growth ETF | 95.08 % |
Mid Cap ETF | 23.09 % |
number of issuers, an investment in the Funds may involve a higher degree of risk than would be present in a diversified portfolio.
Period Ended December 31, 2023(a) | ||
Quality Income ETF | Shares | Amount |
Issued from the sale of shares | 810,000 | $40,500,000 |
Increase from capital share transactions | 810,000 | $40,500,000 |
(a) | From commencement of operations on December 12, 2023 through December 31, 2023. |
Period Ended December 31, 2023(a) | ||
Focused Growth ETF | Shares | Amount |
Issued from the sale of shares | 210,000 | $5,250,000 |
Increase from capital share transactions | 210,000 | $5,250,000 |
(a) | From commencement of operations on June 28, 2023 through December 31, 2023. |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | |||
Short Duration Income ETF | Shares | Amount | Shares | Amount |
Issued from the sale of shares | 100,000 | $2,370,421 | 300,000 | $7,253,504 |
Redeemed | (800,000 ) | (18,861,961 ) | (650,000 ) | (15,631,321 ) |
Decrease from capital share transactions | (700,000 ) | $(16,491,540 ) | (350,000 ) | $(8,377,817 ) |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | |||
Mid Cap ETF | Shares | Amount | Shares | Amount |
Issued from the sale of shares | 10,000 | $289,302 | 30,000 | $924,259 |
Redeemed | (150,000 ) | (4,472,282 ) | (50,000 ) | (1,500,956 ) |
Decrease from capital share transactions | (140,000 ) | $(4,182,980 ) | (20,000 ) | $(576,697 ) |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | |||
Select ETF | Shares | Amount | Shares | Amount |
Issued from the sale of shares | 870,000 | $24,109,176 | 340,000 | $8,802,097 |
Redeemed | (300,000 ) | (8,764,508 ) | (70,000 ) | (1,838,081 ) |
Increase from capital share transactions | 570,000 | $15,344,668 | 270,000 | $6,964,016 |
Fund | Statement of operation | Statement of changes in net assets | Financial highlights |
Natixis Gateway Quality Income ETF | For the period from December 12, 2023 (commencement of operations) to December 31, 2023 | For the period from December 12, 2023 (commencement of operations) to December 31, 2023 | For the period from December 12, 2023 (commencement of operations) to December 31, 2023 |
Natixis Loomis Sayles Short Duration Income ETF | For the year ended December 31, 2023 | For each of the two years in the period ended December 31, 2023 | For each of the five years in the period ended December 31, 2023 |
Natixis Loomis Sayles Focused Growth ETF | For the period from June 28, 2023 (commencement of operations) to December 31, 2023 | For the period from June 28, 2023 (commencement of operations) to December 31, 2023 | For the period from June 28, 2023 (commencement of operations) to December 31, 2023 |
Natixis Vaughan Nelson Mid Cap ETF | For the year ended December 31, 2023 | For each of the two years in the period ended December 31, 2023 | For the years ended December 31, 2023, 2022, 2021, and the period from September 16, 2020 (commencement of operations) to December 31, 2020 |
Natixis Vaughan Nelson Select ETF | For the year ended December 31, 2023 | For each of the two years in the period ended December 31, 2023 | For the years ended December 31, 2023, 2022, 2021, and the period from September 16, 2020 (commencement of operations) to December 31, 2020 |
Boston, Massachusetts
February 22, 2024
Fund | Qualifying Percentage |
Quality Income ETF | 30.95 % |
Focused Growth ETF | 79.06 % |
Mid Cap ETF | 100.00 % |
Select ETF | 100.00 % |
Fund | Qualifying Percentage |
Quality Income ETF | 30.77 % |
Focused Growth ETF | 100.00 % |
Mid Cap ETF | 100.00 % |
Select ETF | 100.00 % |
Name and Year of Birth | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership |
Independent Trustees | ||||
Edmond J. English (1953) | Trustee since 2016 for Natixis ETF Trust and 2020 for Natixis ETF Trust II Contract Review Committee Member | Executive Chairman of Bob’s Discount Furniture (retail) | 51 Director, Burlington Stores, Inc. (retail); Director, Rue La La (e-commerce retail) | Significant experience on the Board and on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company) |
Richard A. Goglia (1951) | Trustee since 2016 for Natixis ETF Trust and 2020 for Natixis ETF Trust II Chairperson of the Audit Committee | Retired | 51 Formerly, Director of Triumph Group (aerospace industry) | Significant experience on the Board and executive experience (including his role as Vice President and treasurer of a defense company and experience at a financial services company) |
Martin T. Meehan (1956) | Trustee since 2016 for Natixis ETF Trust and 2020 for Natixis ETF Trust II Chairperson of the Governance Committee and Contract Review Committee Member | President, University of Massachusetts | 51 None | Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience |
Maureen B. Mitchell (1951) | Trustee since 2017 for Natixis ETF Trust and 2020 for Natixis ETF Trust II Chairperson of the Contract Review Committee | Retired | 51 Director, Sterling Bancorp (bank) | Significant experience on the Board; financial services industry and executive experience (including role as President of global sales and marketing at a financial services company) |
Name and Year of Birth | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership |
Independent Trustees − continued | ||||
James P. Palermo (1955) | Trustee since 2016 for Natixis ETF Trust and 2020 for Natixis ETF Trust II Audit Committee Member and Governance Committee Member | Founding Partner, Breton Capital Management, LLC (private equity); formerly, Partner, STEP Partners, LLC (private equity) | 51 Director, Candidly (chemicals and biofuels) | Significant experience on the Board; financial services industry and executive experience (including roles as Chief Executive Officer of client management and asset servicing for a banking and financial services company) |
Erik R. Sirri (1958) | Chairperson of the Board of Trustees since 2021 Trustee since 2016 for Natixis ETF Trust and 2020 for Natixis ETF Trust II Ex Officio Member of the Audit Committee, Contract Review Committee and Governance Committee | Retired; formerly, Professor of Finance at Babson College | 51 None | Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist |
Peter J. Smail (1952) | Trustee since 2016 for Natixis ETF Trust and 2020 for Natixis ETF Trust II Contract Review Committee Member | Retired | 51 None | Significant experience on the Board; mutual fund industry and executive experience (including roles as President and Chief Executive Officer for an investment adviser) |
Name and Year of Birth | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership |
Independent Trustees − continued | ||||
Kirk A. Sykes (1958) | Trustee since 2019 for Natixis ETF Trust and 2020 for Natixis ETF Trust II Audit Committee Member and Governance Committee Member | Managing Director of Accordia Partners, LLC (real estate development); President of Primary Corporation (real estate development); Managing Principal of Merrick Capital Partners (infrastructure finance) | 51 Advisor/Risk Management Committee, Eastern Bank (bank); Director, Apartment Investment and Management Company (real estate investment trust); formerly, Director, Ares Commercial Real Estate Corporation (real estate investment trust) | Experience on the Board and significant experience on the boards of other business organizations (including real estate companies and banks) |
Cynthia L. Walker (1956) | Trustee since 2016 for Natixis ETF Trust and 2020 for Natixis ETF Trust II Audit Committee Member and Governance Committee Member | Retired; formerly, Deputy Dean for Finance and Administration, Yale University School of Medicine | 51 None | Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration) |
Interested Trustees | ||||
Kevin P. Charleston3 (1965) One Financial Center Boston, MA 02111 | Trustee since 2016 for Natixis ETF Trust and 2020 for Natixis ETF Trust II | President, Chief Executive Officer and Chairman of the Board of Directors, Loomis, Sayles & Company, L.P. | 51 None | Significant experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
Name and Year of Birth | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership |
Interested Trustees − continued | ||||
David L. Giunta4 (1965) | Trustee since 2015 for Natixis ETF Trust and 2017 for Natixis ETF Trust II President and Chief Executive Officer of Natixis ETF Trust since 2011; President and Chief Executive Officer of Natixis ETF Trust II since 2017 | President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC | 51 None | Significant experience on the Board; experience as President and Chief Executive Officer of Natixis Advisors, LLC and Natixis Distribution, LLC |
1 | Each Trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. |
2 | The Trustees of the Trusts serve as Trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust, Loomis Sayles Funds I, Loomis Sayles Funds II, Natixis ETF Trust and Natixis ETF Trust II (collectively, the “Fund Complex”). |
3 | Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
4 | Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC. |
Name and Year of Birth | Position(s) Held with the Trusts | Term of Office1 and Length of Time Served | Principal Occupation(s) During Past 5 Years2 |
Officers of the Trusts | |||
Matthew J. Block (1981) | Treasurer, Principal Financial and Accounting Officer | Since 2022 | Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; Assistant Treasurer of the Fund Complex |
Susan McWhan Tobin (1963) | Secretary and Chief Legal Officer | Since 2022 | Executive Vice President, General Counsel and Secretary, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Executive Vice President and Chief Compliance Officer of Natixis Investment Managers (March 2019 – May 2022) and Senior Vice President and Head of Compliance, U.S. for Natixis Investment Managers (July 2011 – March 2019) |
Natalie R. Wagner (1979) | Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer | Since 2021 | Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Vice President, Head of Corporate Compliance, Global Atlantic Financial Group |
1 | Each officer of the Trusts serves for an indefinite term in accordance with the Trusts' current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified. |
2 | Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, LLC, Natixis Advisors, LLC or Loomis, Sayles & Company, L.P. are omitted, if not materially different from an officer’s current position with such entity. |
Visit:im.natixis.com Call800-225-5478.
Natixis Advisors, LLC
888 Boylston Street, Suite 800
Boston, MA 02199-8197
Exp. 3/1/20256255503.1.1USIMV58A-1223
NATIXIS ETF TRUST
NATIXIS GATEWAY QUALITY INCOME ETF
Supplement dated March 21, 2024 to the Annual Report of the Natixis Gateway Quality Income ETF, dated December 31, 2023
The information in this supplement is an amendment to the Natixis Gateway Quality Income ETF’s Annual Report dated December 31, 2023.
BOARD APPROVAL OF THE INITIAL ADVISORY AND SUB-ADVISORY AGREEMENTS FOR THE NATIXIS GATEWAY QUALITY INCOME ETF
The Investment Company Act of 1940, as amended (the “1940 Act”), requires that both the full Board of Trustees of the Trust (the “Board”) and a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of the Trust (the “Independent Trustees”), voting separately, initially approve any new investment advisory and sub-advisory agreements for a registered investment company, including a newly formed fund such as the Natixis Gateway Quality Income ETF (the “Fund”). The Trustees, including the Independent Trustees, unanimously approved, for an initial two-year term, the proposed investment advisory and sub-advisory agreements (together, the “Agreements”) for the Fund at a meeting held on December 5-6, 2023.
In connection with this review, Fund management and other representatives of the Fund’s adviser, Natixis Advisors, LLC (the “Adviser”), and the Fund’s sub-adviser, Gateway Investment Advisers, LLC (the “Subadviser”), provided to the Trustees materials including, among other items, information regarding (i) the Fund’s investment objective, strategies and risks, (ii) the proposed advisory and sub-advisory fees and other expenses to be charged to the Fund, including information comparing the Fund’s expenses to those of peer groups and categories of funds and information on fees charged to other funds advised by the Adviser and Subadviser and the proposed expense cap, (iii) the size, education and experience of the Adviser’s and Subadviser’s respective investment staffs and the investment strategies proposed to be used in managing the Fund, (iv) proposed arrangements for the distribution and trading of the Fund’s shares, (v) information about the Adviser’s and Subadviser’s historical related performance, (vi) the Adviser’s experience sponsoring and managing ETFs, and (vii) the general economic outlook with particular emphasis on the asset management industry.
The Trustees also considered the fact that they oversee other funds advised by the Adviser and Subadviser, including other ETFs in the fund complex, as well as information about the Adviser and Subadviser they had received in connection with their oversight of those other funds. Because the Fund is newly formed and had not commenced operations at the time of the Trustees’ review, certain information, including data relating to Fund performance, was not available, and therefore could not be considered by the Trustees. Throughout the process, the Trustees were afforded the opportunity to ask questions of, and request additional materials from, the Adviser and the Subadviser. The Independent Trustees also met separately with independent legal counsel outside the presence of Adviser and Subadviser personnel.
In considering whether to initially approve the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.
The nature, extent and quality of the services to be provided to the Fund under the Agreements. The Trustees considered the nature, extent and quality of the services to be provided by the Adviser, the Subadviser and the Adviser’s affiliates to the Fund, which include advisory and non-advisory services directed to the needs and operations of the Fund as a fully-transparent, actively-managed ETF. The Trustees also considered the resources to be dedicated to the Fund by the Adviser, the Subadviser and the Adviser’s affiliates. The Trustees considered their experience with other funds advised or sub-advised by the Adviser and the Subadviser, including other ETFs in the fund complex, as well as the affiliation between the Adviser and Natixis Investment Managers, LLC (“Natixis Investment Managers”), whose affiliates provide investment advisory services to other funds in the same family of funds. In this regard, the Trustees considered not only the advisory and sub-advisory services proposed to be provided by the Adviser and the Subadviser to the Fund, but also the monitoring and oversight services proposed to be provided by the Adviser. They also considered the administrative and shareholder services proposed to be provided by the Adviser and its affiliates to the Fund.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that the scope of the services to be provided to the Fund under the Agreements seemed consistent with the Fund’s operational requirements, and that the Adviser and the Subadviser had the capabilities, resources and personnel necessary to provide the advisory and sub-advisory services that would be required by the Fund. The Trustees determined that the nature, extent and quality of services proposed to be provided under the Agreements supported approval of the Agreements.
Investment performance of the Fund, the Adviser and the Subadviser. Because the Fund had not yet commenced operations, performance information for the Fund was not considered; however, the Board considered the performance of other funds and accounts managed by the Adviser and the Subadviser.
The Trustees also considered the Adviser’s and the Subadviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Adviser and Subadviser to Trustee concerns about performance and the willingness of the Adviser and Subadviser to take steps intended to improve performance.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that these relevant factors supported approval of the Agreements.
The costs of the services to be provided by the Adviser and the profits to be realized by the Adviser and its affiliates from their respective relationships with the Fund. Although the Fund had not yet commenced operations at the time of the Trustees’ review of the Agreements, the Trustees reviewed information comparing the proposed advisory and sub-advisory fees and estimated total expenses of the Fund with the fees and expenses of comparable funds included in a peer group created by a third-party, including information about how those funds were selected and information about differences in such fees. In evaluating the Fund’s proposed advisory and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management services to be provided to the Fund, including the additional responsibilities of the Adviser and the Subadviser and their affiliates in managing an ETF. The Trustees also noted that the Fund would have an expense cap in place. In addition, the Trustees considered information regarding the administrative fees to be paid by the Fund to the Adviser.
Because the Fund had not yet commenced operations, historical profitability information with respect to the Fund was not considered. However, the Trustees noted the information provided in court cases in which adviser profitability was an issue, the estimated expense level of the Fund, and that the Fund would be subject to an expense cap.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that the advisory and sub-advisory fees and expenses proposed to be charged to the Fund were fair and reasonable and supported the approval of the Agreements.
Economies of scale. The Trustees considered the extent to which the Adviser and the Subadviser may realize economies of scale in the provision of services by the Adviser and the Subadviser, respectively, and whether those economies could be shared with the Fund through breakpoints in its investment advisory and sub-advisory fees or other means, such as an expense cap. The Trustees noted that the Fund will be subject to an expense cap. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that the extent to which economies of scale might be shared with the Fund supported the approval of the Agreements.
The Trustees also considered other factors, which included but were not limited to the following:
• | The compliance-related resources the Adviser, the Subadviser and the Adviser’s affiliates would provide to the Fund. |
• | The nature, quality, cost and extent of administrative and shareholder services to be performed by the Adviser and its affiliates, both under the Agreements and under separate agreements covering administrative services. |
• | So-called “fallout benefits” to the Adviser and its affiliates, such as the engagement of the Adviser to provide administrative services to the Fund, the benefits to Natixis Investment Managers and the Adviser of being able to offer an additional ETF in the Natixis family of funds, and the benefits of research made available to the Subadviser by reason of brokerage commissions generated by the Fund’s securities transactions. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest. |
Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that the Agreements should be approved.
(b) Not Applicable.
Item 2. Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer and persons performing similar functions. There have been no amendments or waivers of the Registrant’s code of ethics during the period.
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the Registrant has established an audit committee. Mr. Richard A. Goglia, Mr. James P. Palermo, Mr. Kirk A. Sykes and Ms. Cynthia L. Walker are members of the audit committee and have been designated as “audit committee financial experts” by the Board of Trustees. Each of these individuals is also an Independent Trustee of the Registrant.
Item 4. Principal Accountant Fees and Services.
Fees billed by the Principal Accountant for services rendered to the Registrant.
The table below sets forth fees billed by the principal accountant, PricewaterhouseCoopers LLP, for the past two fiscal years for professional services rendered in connection with a) the audit of the Registrant’s annual financial statements and services provided in connection with regulatory filings; b) audit-related services (including services that are reasonably related to the performance of the audit of the Registrant’s financial statements but not reported under “Audit Fees”); c) tax compliance, tax advice and tax planning and d) all other fees billed for professional services rendered by the principal accountant to the Registrant, other than the services reported as a part of (a) through (c) of this Item.
Audit fees | Audit-related fees1 | Tax fees2 | All other fees | |||||||||||||||||||||||||||||
1/1/22-12/31/22 | 1/1/23-12/31/23 | 1/1/22-12/31/22 | 1/1/23-12/31/23 | 1/1/22-12/31/22 | 1/1/23-12/31/23 | 1/1/22-12/31/22 | 1/1/23-12/31/23 | |||||||||||||||||||||||||
Natixis ETF Trust | $ | 36,283 | $ | 65,871 | $ | 8 | $ | 9 | $ | 8,613 | $ | 14,871 | $ | — | $ | — |
1. | Audit-related fees consist of: |
2022 & 2023 – performance of agreed-upon procedures related to the Registrant’s deferred compensation plan.
2. | Tax fees consist of: |
2022 & 2023 – review of the Registrant’s tax returns (2022 & 2023) and consulting services related to tax treatments for specific security types (2023).
Aggregate fees billed to the Registrant for non-audit services during 2022 and 2023 were $8,621 and $14,880, respectively.
Fees billed by the Principal Accountant for services rendered to the Adviser and Control Affiliates.
The following table sets forth the fees billed by the Registrant’s principal accountant for non-audit services rendered to Natixis Advisors, LLC (“Natixis Advisors”) and entities controlling, controlled by or under common control with Natixis Advisors (“Control Affiliates”) that provide ongoing services to the Registrant, for engagements that related directly to the operations and financial reporting of the Registrant for the last two fiscal years.
Audit-related fees | Tax fees | All other fees | ||||||||||||||||||||||
1/1/22-12/31/22 | 1/1/2312/31/23 | 1/1/22-12/31/22 | 1/1/23-12/31/23 | 1/1/22-12/31/22 | 1/1/23-12/31/23 | |||||||||||||||||||
Control Affiliates | $ | — | $ | — | $ | — | $ | — | $ | 50,000 | $ | — |
The following table sets forth the aggregate fees billed by the Registrant’s principal accountant for non-audit services rendered to Natixis Advisors, and Control Affiliates that provide ongoing services to the Registrant, for the last two fiscal years, including the fees disclosed in the table above.
Aggregate Non-Audit Fees | ||||||||
1/1/22-12/31/22 | 1/1/23-12/31/23 | |||||||
Control Affiliates | $ | 50,000 | $ | 113,500 |
None of the services described above were approved pursuant to paragraph (c)(7)(i)(C) of Regulation S-X.
Audit Committee Pre Approval Policies.
Annually, the Registrant’s Audit Committee reviews the audit, audit-related, tax and other non-audit services together with the projected fees, for services proposed to be rendered to the Registrant and/or other entities for which pre-approval is required during the upcoming year. Any subsequent revisions to already pre-approved services or fees (including fee increases) and requests for pre-approval of new services would be presented for consideration quarterly as needed.
If, in the opinion of management, a proposed engagement by the Registrant’s independent accountants needs to commence before the next regularly scheduled Audit Committee meeting, any member of the Audit Committee who is an independent Trustee of the Registrant is authorized to pre-approve the engagement, but only for engagements to provide audit, audit related and tax services. This approval is subject to review by the full Audit Committee at its next quarterly meeting. All other engagements require the approval of all the members of the Audit Committee.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Included as part of the Report to Shareholders filed as Item 1 herewith.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Securities Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. Controls and Procedures.
The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the period covered by the report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Recovery of Erroneously Awarded Compensation.
Not applicable.
Item 14. Exhibits.
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.
Natixis ETF Trust | ||
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | March 20, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | March 20, 2024 | |
By: | /s/ Matthew Block | |
Name: | Matthew Block | |
Title: | Treasurer and Principal Financial and | |
Accounting Officer | ||
Date: | March 20, 2024 |