As filed with the Securities and Exchange Commission on March 8, 2021
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-23227
SYNTAX ETF TRUST
(Exact Name of Registrant as Specified in Charter)
One Liberty Plaza, 46th Floor
New York, NY 10006
(Address of Principal Executive Offices) (Zip Code)
Registrant’s Telephone Number, including Area Code: (212) 880-0200
Carly Arison, One Liberty Plaza, 46th Floor New York, NY 10006
(Name and Address of Agent for Service)
Copies to:
Kathleen H. Moriarty
Counsel to the Trust
Chapman & Cutler LLP
1270 Avenue of the Americas, 30th Floor
New York, New York 10020
Date of fiscal year end: December 31
Date of reporting period: December 31, 2020
Item 1: | Report(s) to Shareholders. |
The Annual Report is attached.
1 | |
12 | |
30 | |
31 | |
32 | |
33 | |
36 | |
44 | |
45 | |
49 |
1 |
2 |
Top 10 Holdings and Portfolio Weights | |
Kroger Co. | 0.77% |
Costco Wholesale Corp. | 0.77% |
Walmart, Inc. | 0.75% |
Sysco Corp. | 0.75% |
Autodesk, Inc. | 0.74% |
ANSYS, Inc. | 0.74% |
Exxon Mobil Corp. | 0.72% |
Adobe, Inc. | 0.71% |
Microsoft Corp. | 0.71% |
Chevron Corp. | 0.70% |
As of December 31, 2020. Holdings subject to change |
Sector Breakdown | |
Information Tools | 12.82% |
Financials | 12.75% |
Consumer Products Services | 12.55% |
Healthcare | 12.50% |
Information | 12.49% |
Food | 12.35% |
Industrials | 12.27% |
Energy | 12.03% |
Other Assets in Excess of Liabilities | 0.24% |
As of December 31, 2020. (% of the Fund’s Net Assets) |
3 |
Cumulative | Annualized | Calendar Year | ||||||||||
YTD | 4Q20 | 1Y | 3Y | 5Y | Since Fund Inception | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | |
SSPY NAV (%) | 12.18 | 17.77 | 12.18 | 10.56 | 13.04 | 10.49 | -1.44 | 14.11 | 19.73 | -6.57 | 28.93 | 12.18 |
SSPY Market Price (%) | 12.22 | 17.60 | 12.22 | -- | -- | -- | -- | -- | -- | -- | 28.90 | 12.22 |
Syntax Stratified LargeCap Index (TR) | 12.38 | 17.91 | 12.38 | 10.79 | -- | -- | -- | -- | 20.12 | -6.43 | 29.33 | 12.38 |
S&P 500 Index (TR) | 18.40 | 12.15 | 18.40 | 14.18 | 15.22 | 12.79 | 1.38 | 11.96 | 21.83 | -4.38 | 31.49 | 18.40 |
S&P 500 Equal Weight Index (TR) | 12.83 | 18.46 | 12.83 | 10.44 | 12.95 | 10.27 | -2.20 | 14.80 | 18.90 | -7.64 | 29.24 | 12.83 |
4 |
5 |
Top 10 Holdings and Portfolio Weights | |
Ciena Corp. | 1.28% |
Lumentum Holdings, Inc. | 1.27% |
Coherent, Inc. | 0.86% |
Yelp, Inc. | 0.86% |
National Instruments Corp. | 0.85% |
Sabre Corp. | 0.84% |
Grubhub, Inc. | 0.82% |
PTC, Inc. | 0.81% |
CMC Materials, Inc. | 0.81% |
MKS Instruments, Inc. | 0.79% |
As of December 31, 2020. Holdings subject to change |
Sector Breakdown | |
Industrials | 15.95% |
Healthcare | 14.56% |
Financials | 14.07% |
Information Tools | 14.01% |
Information | 13.83% |
Consumer Products Services | 13.75% |
Food | 6.95% |
Energy | 6.62% |
Other Assets in Excess of Liabilities | 0.26% |
As of December 31, 2020. (% of the Fund’s Net Assets) |
6 |
Cumulative | Annualized | Calendar Year | ||||||||||
YTD | 4Q20 | 1Y | 3Y | 5Y | Since Fund Inception | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | |
SMDY NAV (%) | 17.22 | 26.00 | 17.22 | 10.15 | 12.85 | 9.82 | -4.12 | 19.25 | 14.82 | -7.58 | 23.35 | 17.22 |
SMDY Market Price (%) | -- | 26.16 | -- | -- | -- | -- | -- | -- | -- | -- | -- | -- |
Syntax Stratified MidCap ETF (TR) | 17.79 | 26.20 | 17.79 | 10.56 | -- | -- | -- | -- | 15.13 | -7.33 | 23.81 | 17.79 |
S&P 400 Index (TR) | 13.66 | 24.37 | 13.66 | 8.45 | 12.35 | 9.79 | -2.18 | 20.74 | 16.24 | -11.08 | 26.20 | 13.66 |
S&P 400 Equal Weight Index (TR) | 15.77 | 28.34 | 15.77 | 7.92 | 12.15 | 9.04 | -5.24 | 23.95 | 13.87 | -11.94 | 23.29 | 15.77 |
7 |
8 |
Top 10 Holdings and Portfolio Weights | |
Liquidity Services, Inc. | 0.63% |
Covetrus, Inc. | 0.62% |
Inter Parfums, Inc. | 0.62% |
PetMed Express, Inc. | 0.62% |
Shutterstock, Inc. | 0.61% |
California Water Service Group | 0.60% |
American States Water Co. | 0.59% |
Avista Corp. | 0.59% |
Chesapeake Utilities Corp. | 0.59% |
Cogent Communications Holdings, Inc. | 0.59% |
As of December 31, 2020. Holdings subject to change |
Sector Breakdown | |
Information Tools | 14.77% |
Healthcare | 14.55% |
Financials | 14.40% |
Industrials | 14.28% |
Consumer Products Services | 14.13% |
Information | 13.91% |
Food | 7.11% |
Energy | 6.66% |
Other Assets in Excess of Liabilities | 0.19% |
As of December 31, 2020. (% of the Fund’s Net Assets) |
9 |
YTD | 4Q20 | 1Y | 3Y | 5Y | Since Fund Inception | |
SSLY NAV (%) | 44.82 | 31.78 | -- | -- | -- | 44.82 |
SSLY Market Price (%) | 45.10 | 32.03 | -- | -- | -- | 45.10 |
Syntax Stratified SmallCap ETF (TR) | 45.77 | 31.96 | -- | -- | -- | 45.77 |
S&P 600 Index (TR) | 39.11 | 31.31 | -- | -- | -- | 39.11 |
S&P 600 Equal Weight Index (TR) | 45.85 | 35.11 | -- | -- | -- | 45.85 |
10 |
11 |
Security Description | Shares | Value |
COMMON STOCK—99.8% | ||
3M Co. | 350 | $61,177 |
A O Smith Corp. | 950 | 52,079 |
Abbott Laboratories | 1,333 | 145,950 |
AbbVie, Inc. | 618 | 66,219 |
ABIOMED, Inc.(a) | 84 | 27,233 |
Accenture PLC, Class A | 193 | 50,414 |
Activision Blizzard, Inc. | 1,705 | 158,309 |
Adobe, Inc.(a) | 599 | 299,572 |
Advance Auto Parts, Inc. | 406 | 63,949 |
Advanced Micro Devices, Inc.(a) | 519 | 47,597 |
AES Corp. | 10,116 | 237,726 |
Aflac, Inc. | 1,589 | 70,663 |
Agilent Technologies, Inc. | 601 | 71,212 |
Air Products and Chemicals, Inc. | 75 | 20,492 |
Akamai Technologies, Inc.(a) | 1,378 | 144,676 |
Alaska Air Group, Inc. | 1,285 | 66,820 |
Albemarle Corp. | 147 | 21,685 |
Alexandria Real Estate Equities, Inc., REIT | 205 | 36,535 |
Alexion Pharmaceuticals, Inc.(a) | 545 | 85,151 |
Align Technology, Inc.(a) | 103 | 55,041 |
Allegion PLC | 327 | 38,056 |
Alliant Energy Corp. | 691 | 35,607 |
Allstate Corp. | 685 | 75,302 |
Alphabet, Inc., Class A(a) | 53 | 92,890 |
Alphabet, Inc., Class C(a) | 53 | 92,850 |
Altria Group, Inc. | 3,732 | 153,012 |
Amazon.com, Inc.(a) | 22 | 71,652 |
Amcor PLC | 3,116 | 36,675 |
Ameren Corp. | 461 | 35,986 |
American Airlines Group, Inc. | 3,768 | 59,421 |
American Electric Power Co., Inc. | 1,293 | 107,668 |
American Express Co. | 158 | 19,104 |
American International Group, Inc. | 2,757 | 104,380 |
American Tower Corp., REIT | 110 | 24,691 |
American Water Works Co., Inc. | 963 | 147,792 |
Ameriprise Financial, Inc. | 211 | 41,004 |
AmerisourceBergen Corp. | 1,091 | 106,656 |
AMETEK, Inc. | 302 | 36,524 |
Amgen, Inc. | 288 | 66,217 |
Amphenol Corp., Class A | 611 | 79,900 |
Analog Devices, Inc. | 1,009 | 149,060 |
ANSYS, Inc.(a) | 852 | 309,958 |
Anthem, Inc. | 364 | 116,877 |
Aon PLC, Class A | 94 | 19,859 |
Apache Corp. | 1,480 | 21,001 |
Apple, Inc. | 1,163 | 154,318 |
Applied Materials, Inc. | 807 | 69,644 |
Aptiv PLC | 1,313 | 171,071 |
Archer-Daniels-Midland Co. | 4,293 | 216,410 |
Arista Networks, Inc.(a) | 388 | 112,741 |
Arthur J Gallagher & Co. | 159 | 19,670 |
Security Description | Shares | Value |
Assurant, Inc. | 537 | $73,150 |
AT&T, Inc. | 3,453 | 99,308 |
Atmos Energy Corp. | 1,441 | 137,515 |
Autodesk, Inc.(a) | 1,022 | 312,057 |
Automatic Data Processing, Inc. | 364 | 64,137 |
AutoZone, Inc.(a) | 54 | 64,014 |
AvalonBay Communities, Inc., REIT | 377 | 60,482 |
Avery Dennison Corp. | 180 | 27,920 |
Baker Hughes Co. | 4,720 | 98,412 |
Ball Corp. | 385 | 35,874 |
Bank of America Corp. | 1,872 | 56,740 |
Bank of New York Mellon Corp. | 1,180 | 50,079 |
Baxter International, Inc. | 269 | 21,585 |
Becton Dickinson and Co. | 87 | 21,769 |
Berkshire Hathaway, Inc., Class B(a) | 947 | 219,581 |
Best Buy Co., Inc. | 1,065 | 106,276 |
Biogen, Inc.(a) | 274 | 67,092 |
Bio-Rad Laboratories, Inc., Class A(a) | 93 | 54,213 |
BlackRock, Inc. | 61 | 44,014 |
Boeing Co. | 312 | 66,787 |
Booking Holdings, Inc.(a) | 48 | 106,909 |
BorgWarner, Inc. | 4,391 | 169,668 |
Boston Properties, Inc., REIT | 359 | 33,936 |
Boston Scientific Corp.(a) | 1,593 | 57,268 |
Bristol-Myers Squibb Co. | 1,085 | 67,303 |
Broadcom, Inc. | 234 | 102,457 |
Broadridge Financial Solutions, Inc. | 320 | 49,024 |
Brown-Forman Corp., Class B | 1,402 | 111,361 |
Cabot Oil & Gas Corp. | 6,291 | 102,417 |
Cadence Design Systems, Inc.(a) | 1,205 | 164,398 |
Campbell Soup Co. | 1,941 | 93,847 |
Capital One Financial Corp. | 1,546 | 152,822 |
Cardinal Health, Inc. | 1,972 | 105,620 |
CarMax, Inc.(a) | 684 | 64,611 |
Carnival Corp. | 1,674 | 36,259 |
Carrier Global Corp. | 960 | 36,211 |
Catalent, Inc.(a) | 1,499 | 156,001 |
Caterpillar, Inc. | 396 | 72,080 |
Cboe Global Markets, Inc. | 221 | 20,580 |
CBRE Group, Inc., Class A(a) | 288 | 18,063 |
CDW Corp. | 349 | 45,995 |
Celanese Corp. | 216 | 28,067 |
Centene Corp.(a) | 1,881 | 112,916 |
CenterPoint Energy, Inc. | 4,922 | 106,512 |
CenturyLink, Inc. | 13,986 | 136,363 |
Cerner Corp. | 638 | 50,070 |
CF Industries Holdings, Inc. | 906 | 35,071 |
CH Robinson Worldwide, Inc. | 381 | 35,764 |
Charles Schwab Corp. | 2,166 | 114,885 |
Charter Communications, Inc., Class A(a) | 219 | 144,879 |
Chevron Corp. | 3,474 | 293,379 |
Chipotle Mexican Grill, Inc.(a) | 166 | 230,194 |
12 |
Security Description | Shares | Value |
Chubb Ltd. | 556 | $85,580 |
Church & Dwight Co., Inc. | 2,493 | 217,464 |
Cigna Corp. | 545 | 113,458 |
Cincinnati Financial Corp. | 1,065 | 93,049 |
Cintas Corp. | 229 | 80,942 |
Cisco Systems, Inc. | 2,414 | 108,026 |
Citigroup, Inc. | 907 | 55,926 |
Citizens Financial Group, Inc. | 671 | 23,995 |
Citrix Systems, Inc. | 487 | 63,359 |
Clorox Co. | 1,062 | 214,439 |
CME Group, Inc. | 108 | 19,661 |
CMS Energy Corp. | 601 | 36,667 |
Coca-Cola Co. | 3,007 | 164,904 |
Cognizant Technology Solutions Corp., Class A | 605 | 49,580 |
Colgate-Palmolive Co. | 2,528 | 216,169 |
Comcast Corp., Class A | 2,801 | 146,772 |
Comerica, Inc. | 1,624 | 90,717 |
Conagra Brands, Inc. | 2,594 | 94,058 |
Concho Resources, Inc. | 374 | 21,823 |
ConocoPhillips | 546 | 21,835 |
Consolidated Edison, Inc. | 1,462 | 105,659 |
Constellation Brands, Inc., Class A | 522 | 114,344 |
Cooper Companies, Inc. | 160 | 58,131 |
Copart, Inc.(a) | 810 | 103,073 |
Corning, Inc. | 2,250 | 81,000 |
Corteva, Inc. | 928 | 35,932 |
Costco Wholesale Corp. | 854 | 321,770 |
Crown Castle International Corp., REIT | 151 | 24,038 |
CSX Corp. | 295 | 26,771 |
Cummins, Inc. | 161 | 36,563 |
CVS Health Corp. | 3,987 | 272,312 |
Danaher Corp. | 237 | 52,647 |
Darden Restaurants, Inc. | 1,899 | 226,209 |
DaVita, Inc.(a) | 437 | 51,304 |
Deere & Co. | 278 | 74,796 |
Delta Air Lines, Inc. | 1,537 | 61,803 |
DENTSPLY SIRONA, Inc. | 406 | 21,258 |
Devon Energy Corp. | 6,621 | 104,678 |
DexCom, Inc.(a) | 153 | 56,567 |
Diamondback Energy, Inc. | 474 | 22,942 |
Digital Realty Trust, Inc., REIT | 1,093 | 152,484 |
Discover Financial Services | 1,710 | 154,806 |
Discovery, Inc., Class A(a) | 1,477 | 44,443 |
Discovery, Inc., Class C(a) | 1,679 | 43,973 |
DISH Network Corp., Class A(a) | 2,972 | 96,114 |
Dollar General Corp. | 343 | 72,133 |
Dollar Tree, Inc.(a) | 667 | 72,063 |
Dominion Energy, Inc. | 1,430 | 107,536 |
Domino's Pizza, Inc. | 559 | 214,354 |
Dover Corp. | 503 | 63,504 |
Dow, Inc. | 530 | 29,415 |
Security Description | Shares | Value |
DR Horton, Inc. | 1,530 | $105,448 |
DTE Energy Co. | 853 | 103,563 |
Duke Energy Corp. | 390 | 35,708 |
Duke Realty Corp., REIT | 620 | 24,781 |
DuPont de Nemours, Inc. | 305 | 21,689 |
DXC Technology Co. | 1,986 | 51,140 |
Eastman Chemical Co. | 201 | 20,156 |
Eaton Corp. PLC | 694 | 83,377 |
eBay, Inc. | 1,291 | 64,873 |
Ecolab, Inc. | 93 | 20,121 |
Edison International | 1,703 | 106,982 |
Edwards Lifesciences Corp.(a) | 636 | 58,022 |
Electronic Arts, Inc. | 1,053 | 151,211 |
Eli Lilly and Co. | 413 | 69,731 |
Emerson Electric Co. | 160 | 12,859 |
Entergy Corp. | 1,040 | 103,834 |
EOG Resources, Inc. | 446 | 22,242 |
Equifax, Inc. | 154 | 29,697 |
Equinix, Inc., REIT | 205 | 146,407 |
Equity Residential, REIT | 1,038 | 61,533 |
Essex Property Trust, Inc., REIT | 250 | 59,355 |
Estee Lauder Companies, Inc., Class A | 873 | 232,384 |
Etsy, Inc.(a) | 372 | 66,183 |
Everest Re Group Ltd. | 370 | 86,613 |
Evergy, Inc. | 647 | 35,915 |
Eversource Energy | 414 | 35,815 |
Exelon Corp. | 5,196 | 219,375 |
Expedia Group, Inc. | 772 | 102,213 |
Expeditors International of Washington, Inc. | 395 | 37,568 |
Extra Space Storage, Inc., REIT | 553 | 64,071 |
Exxon Mobil Corp. | 7,331 | 302,184 |
F5 Networks, Inc.(a) | 621 | 109,259 |
Facebook, Inc., Class A(a) | 697 | 190,393 |
Fastenal Co. | 933 | 45,558 |
Federal Realty Investment Trust, REIT | 317 | 26,983 |
FedEx Corp. | 122 | 31,674 |
Fidelity National Information Services, Inc. | 162 | 22,917 |
Fifth Third Bancorp | 871 | 24,013 |
First Republic Bank | 659 | 96,827 |
FirstEnergy Corp. | 3,521 | 107,778 |
Fiserv, Inc.(a) | 206 | 23,455 |
FleetCor Technologies, Inc.(a) | 70 | 19,098 |
FLIR Systems, Inc. | 3,834 | 168,044 |
Flowserve Corp. | 1,731 | 63,787 |
FMC Corp. | 305 | 35,054 |
Ford Motor Co. | 11,859 | 104,241 |
Fortinet, Inc.(a) | 495 | 73,522 |
Fortive Corp. | 194 | 13,739 |
Fortune Brands Home & Security, Inc. | 641 | 54,947 |
Fox Corp., Class A | 1,462 | 42,573 |
Fox Corp., Class B(a) | 1,491 | 43,060 |
Franklin Resources, Inc. | 1,673 | 41,808 |
13 |
Security Description | Shares | Value |
Freeport-McMoRan, Inc. | 5,795 | $150,786 |
Gap, Inc. | 4,104 | 82,860 |
Garmin Ltd. | 1,197 | 143,233 |
Gartner, Inc.(a) | 309 | 49,499 |
General Dynamics Corp. | 473 | 70,392 |
General Electric Co. | 5,477 | 59,152 |
General Mills, Inc. | 1,545 | 90,846 |
General Motors Co. | 2,550 | 106,182 |
Genuine Parts Co. | 471 | 47,303 |
Gilead Sciences, Inc. | 1,082 | 63,037 |
Global Payments, Inc. | 101 | 21,757 |
Globe Life, Inc. | 761 | 72,265 |
Goldman Sachs Group, Inc. | 447 | 117,878 |
Halliburton Co. | 3,598 | 68,002 |
Hanesbrands, Inc. | 6,137 | 89,477 |
Hartford Financial Services Group, Inc. | 2,317 | 113,487 |
Hasbro, Inc. | 901 | 84,280 |
HCA Healthcare, Inc. | 606 | 99,663 |
Healthpeak Properties, Inc., REIT | 3,243 | 98,036 |
Henry Schein, Inc.(a) | 1,529 | 102,229 |
Hershey Co. | 540 | 82,258 |
Hess Corp. | 420 | 22,172 |
Hewlett Packard Enterprise Co. | 8,923 | 105,738 |
Hilton Worldwide Holdings, Inc. | 455 | 50,623 |
HollyFrontier Corp. | 5,838 | 150,912 |
Hologic, Inc.(a) | 721 | 52,510 |
Home Depot, Inc. | 404 | 107,310 |
Honeywell International, Inc. | 285 | 60,620 |
Hormel Foods Corp. | 4,530 | 211,143 |
Host Hotels & Resorts, Inc., REIT | 3,276 | 47,928 |
Howmet Aerospace, Inc. | 1,348 | 38,472 |
HP, Inc. | 9,258 | 227,654 |
Humana, Inc. | 291 | 119,389 |
Huntington Bancshares, Inc. | 1,838 | 23,214 |
Huntington Ingalls Industries, Inc. | 401 | 68,362 |
IDEX Corp. | 331 | 65,935 |
IDEXX Laboratories, Inc.(a) | 118 | 58,985 |
IHS Markit Ltd. | 531 | 47,700 |
Illinois Tool Works, Inc. | 300 | 61,164 |
Illumina, Inc.(a) | 210 | 77,700 |
Incyte Corp.(a) | 810 | 70,454 |
Ingersoll Rand, Inc.(a) | 1,446 | 65,880 |
Intel Corp. | 956 | 47,628 |
Intercontinental Exchange, Inc. | 173 | 19,945 |
International Business Machines Corp. | 382 | 48,086 |
International Flavors & Fragrances, Inc. | 184 | 20,027 |
International Paper Co. | 550 | 27,346 |
Interpublic Group of Companies, Inc. | 1,986 | 46,711 |
Intuit, Inc. | 173 | 65,714 |
Intuitive Surgical, Inc.(a) | 27 | 22,089 |
Invesco Ltd. | 2,282 | 39,775 |
IPG Photonics Corp.(a) | 66 | 14,770 |
Security Description | Shares | Value |
IQVIA Holdings, Inc.(a) | 424 | $75,968 |
Iron Mountain, Inc., REIT | 785 | 23,142 |
J M Smucker Co. | 795 | 91,902 |
Jack Henry & Associates, Inc. | 153 | 24,784 |
Jacobs Engineering Group, Inc. | 1,477 | 160,934 |
JB Hunt Transport Services, Inc. | 255 | 34,846 |
Johnson & Johnson | 935 | 147,150 |
Johnson Controls International PLC | 1,344 | 62,617 |
JPMorgan Chase & Co. | 449 | 57,054 |
Juniper Networks, Inc. | 4,882 | 109,894 |
Kansas City Southern | 136 | 27,762 |
Kellogg Co. | 1,292 | 80,401 |
KeyCorp | 1,500 | 24,615 |
Keysight Technologies, Inc.(a) | 283 | 37,381 |
Kimberly-Clark Corp. | 1,573 | 212,088 |
Kimco Realty Corp., REIT | 1,933 | 29,014 |
Kinder Morgan, Inc. | 9,675 | 132,257 |
KLA Corp. | 276 | 71,459 |
Kraft Heinz Co. | 2,693 | 93,339 |
Kroger Co. | 10,239 | 325,191 |
L Brands, Inc. | 2,160 | 80,330 |
L3Harris Technologies, Inc. | 846 | 159,911 |
Laboratory Corp. of America Holdings(a) | 234 | 47,631 |
Lam Research Corp. | 144 | 68,007 |
Lamb Weston Holdings, Inc. | 1,188 | 93,543 |
Las Vegas Sands Corp. | 839 | 50,004 |
Leggett & Platt, Inc. | 1,298 | 57,501 |
Leidos Holdings, Inc. | 453 | 47,619 |
Lennar Corp., Class A | 1,472 | 112,211 |
Lincoln National Corp. | 1,388 | 69,830 |
Linde PLC(a) | 80 | 21,081 |
Live Nation Entertainment, Inc.(a) | 504 | 37,034 |
LKQ Corp.(a) | 1,748 | 61,600 |
Lockheed Martin Corp. | 195 | 69,221 |
Loews Corp. | 4,899 | 220,553 |
Lowe's Companies, Inc. | 676 | 108,505 |
LyondellBasell Industries N.V., Class A | 323 | 29,606 |
M&T Bank Corp. | 187 | 23,805 |
Marathon Oil Corp. | 3,369 | 22,471 |
Marathon Petroleum Corp. | 3,740 | 154,686 |
MarketAxess Holdings, Inc. | 36 | 20,540 |
Marriott International, Inc., Class A | 372 | 49,074 |
Marsh & McLennan Companies, Inc. | 166 | 19,422 |
Martin Marietta Materials, Inc. | 265 | 75,252 |
Masco Corp. | 986 | 54,161 |
Mastercard, Inc., Class A | 60 | 21,416 |
Maxim Integrated Products, Inc. | 1,694 | 150,173 |
McCormick & Co., Inc. | 982 | 93,879 |
McDonald's Corp. | 1,031 | 221,232 |
McKesson Corp. | 613 | 106,613 |
Medtronic PLC | 190 | 22,257 |
Merck & Co., Inc. | 792 | 64,786 |
14 |
Security Description | Shares | Value |
MetLife, Inc. | 1,512 | $70,988 |
Mettler-Toledo International, Inc.(a) | 13 | 14,816 |
MGM Resorts International | 1,576 | 49,660 |
Microchip Technology, Inc. | 338 | 46,681 |
Micron Technology, Inc.(a) | 674 | 50,671 |
Microsoft Corp. | 1,338 | 297,598 |
Mid-America Apartment Communities, Inc., REIT | 503 | 63,725 |
Mohawk Industries, Inc.(a) | 395 | 55,675 |
Molson Coors Beverage Co., Class B | 2,261 | 102,175 |
Mondelez International, Inc., Class A | 1,399 | 81,800 |
Monster Beverage Corp.(a) | 1,825 | 168,776 |
Moody's Corp. | 103 | 29,895 |
Morgan Stanley | 1,691 | 115,884 |
Mosaic Co. | 1,606 | 36,954 |
Motorola Solutions, Inc. | 846 | 143,871 |
MSCI, Inc. | 67 | 29,918 |
Nasdaq, Inc. | 151 | 20,044 |
NetApp, Inc. | 1,729 | 114,529 |
Netflix, Inc.(a) | 191 | 103,279 |
Newell Brands, Inc. | 3,915 | 83,115 |
Newmont Corp. | 2,421 | 144,994 |
News Corp., Class A | 2,382 | 42,805 |
News Corp., Class B | 2,396 | 42,577 |
NextEra Energy, Inc. | 1,449 | 111,790 |
Nielsen Holdings PLC | 2,490 | 51,966 |
NIKE, Inc., Class B | 624 | 88,277 |
NiSource, Inc. | 6,230 | 142,916 |
Norfolk Southern Corp. | 115 | 27,325 |
Northern Trust Corp. | 453 | 42,192 |
Northrop Grumman Corp. | 239 | 72,828 |
NortonLifeLock, Inc. | 3,234 | 67,203 |
Norwegian Cruise Line Holdings Ltd.(a) | 1,347 | 34,254 |
NOV, Inc. | 7,467 | 102,522 |
NRG Energy, Inc. | 6,445 | 242,010 |
Nucor Corp. | 2,520 | 134,039 |
NVIDIA Corp. | 92 | 48,042 |
NVR, Inc.(a) | 29 | 118,316 |
Occidental Petroleum Corp. | 1,140 | 19,733 |
Old Dominion Freight Line, Inc. | 179 | 34,937 |
Omnicom Group, Inc. | 737 | 45,967 |
ONEOK, Inc. | 3,434 | 131,797 |
Oracle Corp. | 1,048 | 67,795 |
O'Reilly Automotive, Inc.(a) | 144 | 65,170 |
Otis Worldwide Corp. | 558 | 37,693 |
PACCAR, Inc. | 835 | 72,044 |
Packaging Corp. of America | 195 | 26,892 |
Parker-Hannifin Corp. | 130 | 35,413 |
Paychex, Inc. | 688 | 64,108 |
Paycom Software, Inc.(a) | 150 | 67,838 |
PayPal Holdings, Inc.(a) | 112 | 26,230 |
Pentair PLC | 1,247 | 66,203 |
Security Description | Shares | Value |
People's United Financial, Inc. | 6,566 | $84,898 |
PepsiCo, Inc. | 555 | 82,307 |
PerkinElmer, Inc. | 486 | 69,741 |
Perrigo Co. PLC | 4,477 | 200,211 |
Pfizer, Inc. | 1,600 | 58,896 |
Philip Morris International, Inc. | 1,888 | 156,308 |
Phillips 66 | 2,307 | 161,352 |
Pinnacle West Capital Corp. | 445 | 35,578 |
Pioneer Natural Resources Co. | 205 | 23,347 |
PNC Financial Services Group, Inc. | 164 | 24,436 |
Pool Corp. | 136 | 50,660 |
PPG Industries, Inc. | 199 | 28,700 |
PPL Corp. | 1,270 | 35,814 |
Principal Financial Group, Inc. | 836 | 41,474 |
Procter & Gamble Co. | 1,568 | 218,172 |
Progressive Corp. | 753 | 74,457 |
Prologis, Inc., REIT | 243 | 24,217 |
Prudential Financial, Inc. | 906 | 70,731 |
Public Service Enterprise Group, Inc. | 1,892 | 110,304 |
Public Storage, REIT | 278 | 64,199 |
PulteGroup, Inc. | 2,525 | 108,878 |
PVH Corp. | 906 | 85,064 |
Qorvo, Inc.(a) | 624 | 103,752 |
QUALCOMM, Inc. | 657 | 100,087 |
Quanta Services, Inc. | 2,225 | 160,244 |
Quest Diagnostics, Inc. | 392 | 46,715 |
Ralph Lauren Corp. | 844 | 87,557 |
Raymond James Financial, Inc. | 1,157 | 110,690 |
Raytheon Technologies Corp. | 840 | 60,068 |
Realty Income Corp., REIT | 470 | 29,220 |
Regency Centers Corp., REIT | 608 | 27,719 |
Regeneron Pharmaceuticals, Inc.(a) | 138 | 66,669 |
Regions Financial Corp. | 1,528 | 24,631 |
Republic Services, Inc. | 846 | 81,470 |
ResMed, Inc. | 262 | 55,691 |
Robert Half International, Inc. | 739 | 46,173 |
Rockwell Automation, Inc. | 56 | 14,045 |
Rollins, Inc. | 2,185 | 85,368 |
Roper Technologies, Inc. | 32 | 13,795 |
Ross Stores, Inc. | 1,893 | 232,479 |
Royal Caribbean Cruises Ltd. | 468 | 34,955 |
S&P Global, Inc. | 90 | 29,586 |
salesforce.com, Inc.(a) | 286 | 63,644 |
SBA Communications Corp., REIT | 87 | 24,545 |
Schlumberger N.V. | 3,112 | 67,935 |
Seagate Technology PLC | 1,652 | 102,688 |
Sealed Air Corp. | 797 | 36,495 |
Sempra Energy | 278 | 35,420 |
ServiceNow, Inc.(a) | 119 | 65,501 |
Sherwin-Williams Co. | 38 | 27,927 |
Simon Property Group, Inc., REIT | 327 | 27,887 |
Skyworks Solutions, Inc. | 1,025 | 156,702 |
15 |
Security Description | Shares | Value |
SL Green Realty Corp., REIT | 600 | $35,748 |
Snap-on, Inc. | 444 | 75,986 |
Southern Co. | 588 | 36,121 |
Southwest Airlines Co. | 1,399 | 65,207 |
Stanley Black & Decker, Inc. | 457 | 81,602 |
Starbucks Corp. | 2,076 | 222,090 |
State Street Corp. | 653 | 47,525 |
STERIS PLC | 117 | 22,176 |
Stryker Corp. | 231 | 56,604 |
SVB Financial Group(a) | 243 | 94,243 |
Synchrony Financial | 4,421 | 153,453 |
Synopsys, Inc.(a) | 604 | 156,581 |
Sysco Corp. | 4,230 | 314,120 |
T Rowe Price Group, Inc. | 268 | 40,573 |
Take-Two Interactive Software, Inc.(a) | 749 | 155,635 |
Tapestry, Inc. | 2,919 | 90,723 |
Target Corp. | 415 | 73,260 |
TE Connectivity Ltd. | 678 | 82,085 |
TechnipFMC PLC | 7,375 | 69,325 |
Teledyne Technologies, Inc.(a) | 36 | 14,111 |
Teleflex, Inc. | 57 | 23,459 |
Teradyne, Inc. | 620 | 74,332 |
Tesla, Inc.(a) | 175 | 123,492 |
Texas Instruments, Inc. | 889 | 145,912 |
Textron, Inc. | 1,499 | 72,447 |
Thermo Fisher Scientific, Inc. | 152 | 70,799 |
Tiffany & Co. | 653 | 85,837 |
TJX Companies, Inc. | 3,236 | 220,986 |
T-Mobile US, Inc.(a) | 816 | 110,038 |
Tractor Supply Co. | 331 | 46,532 |
Trane Technologies PLC | 254 | 36,871 |
TransDigm Group, Inc.(a) | 57 | 35,274 |
Travelers Companies, Inc. | 635 | 89,135 |
Truist Financial Corp. | 504 | 24,157 |
Twitter, Inc.(a) | 3,698 | 200,247 |
Tyler Technologies, Inc.(a) | 143 | 62,422 |
Tyson Foods, Inc., Class A | 3,091 | 199,184 |
UDR, Inc., REIT | 1,606 | 61,719 |
Ulta Beauty, Inc.(a) | 403 | 115,725 |
Under Armour, Inc., Class A(a) | 2,493 | 42,805 |
Under Armour, Inc., Class C(a) | 2,835 | 42,185 |
Union Pacific Corp. | 130 | 27,069 |
United Airlines Holdings, Inc.(a) | 1,329 | 57,479 |
United Parcel Service, Inc., Class B | 210 | 35,364 |
United Rentals, Inc.(a) | 190 | 44,063 |
UnitedHealth Group, Inc. | 338 | 118,530 |
Universal Health Services, Inc., Class B | 717 | 98,588 |
Unum Group | 3,065 | 70,311 |
US Bancorp | 517 | 24,087 |
Valero Energy Corp. | 2,719 | 153,814 |
Varian Medical Systems, Inc.(a) | 125 | 21,876 |
Security Description | Shares | Value |
Ventas, Inc., REIT | 1,938 | $95,040 |
VeriSign, Inc.(a) | 678 | 146,719 |
Verisk Analytics, Inc. | 148 | 30,723 |
Verizon Communications, Inc. | 1,772 | 104,105 |
Vertex Pharmaceuticals, Inc.(a) | 292 | 69,011 |
VF Corp. | 987 | 84,300 |
ViacomCBS, Inc., Class B | 2,402 | 89,499 |
Viatris, Inc.(a) | 12,340 | 231,252 |
Visa, Inc., Class A | 93 | 20,342 |
Vontier Corp.(a) | 428 | 14,295 |
Vornado Realty Trust, REIT | 919 | 34,315 |
Vulcan Materials Co. | 515 | 76,380 |
W R Berkley Corp. | 1,320 | 87,674 |
Walgreens Boots Alliance, Inc. | 6,870 | 273,976 |
Walmart, Inc. | 2,184 | 314,824 |
Walt Disney Co.(a) | 487 | 88,235 |
Waste Management, Inc. | 696 | 82,079 |
Waters Corp.(a) | 298 | 73,731 |
WEC Energy Group, Inc. | 386 | 35,524 |
Wells Fargo & Co. | 1,837 | 55,441 |
Welltower, Inc., REIT | 739 | 47,754 |
West Pharmaceutical Services, Inc. | 83 | 23,515 |
Western Digital Corp. | 2,095 | 116,042 |
Western Union Co. | 2,866 | 62,880 |
Westinghouse Air Brake Technologies Corp. | 478 | 34,990 |
Westrock Co. | 616 | 26,814 |
Weyerhaeuser Co., REIT | 2,229 | 74,738 |
Whirlpool Corp. | 292 | 52,703 |
Williams Companies, Inc. | 6,507 | 130,465 |
Willis Towers Watson PLC | 92 | 19,383 |
WW Grainger, Inc. | 111 | 45,326 |
Wynn Resorts Ltd. | 430 | 48,517 |
Xcel Energy, Inc. | 551 | 36,735 |
Xerox Holdings Corp. | 9,400 | 217,986 |
Xilinx, Inc. | 330 | 46,784 |
Xylem, Inc. | 654 | 66,571 |
Yum! Brands, Inc. | 2,017 | 218,966 |
Zebra Technologies Corp., Class A(a) | 95 | 36,511 |
Zimmer Biomet Holdings, Inc. | 377 | 58,092 |
Zions Bancorp NA | 2,055 | 89,269 |
Zoetis, Inc. | 410 | 67,855 |
INVESTMENTS IN COMMON STOCK—99.8% (Cost $33,789,937) | 41,890,187 | |
OTHER ASSETS IN EXCESS OF LIABILITIES—0.2% | 98,878 | |
NET ASSETS—100.0% | $41,989,065 |
(a) | Non-income producing security. |
PLC=Public Limited Company |
REIT=Real Estate Investment Trust |
16 |
INDUSTRY | PERCENTAGE OF NET ASSETS |
Business Software for Specific Uses | 3.5% |
Electric Competitive | 3.2 |
Restaurants | 3.2 |
Branded Pharmaceuticals | 3.1 |
Processed Foods | 3.1 |
Food Distributors | 3.0 |
Downstream | 2.9 |
Consumer Insurance | 2.2 |
Content Providers | 2.2 |
End User Hardware | 2.1 |
Operators and Developers | 2.1 |
Commercial Insurance | 2.1 |
Commercial Hardware | 2.1 |
Rental | 2.1 |
Electric Regulated | 2.0 |
Telecommunication Networks | 2.0 |
Upstream Energy | 1.9 |
Non Real Estate Banking | 1.8 |
Home Office and Consumer Equipment Manufacture | 1.6 |
Mechanical Components | 1.6 |
Capital Markets | 1.6 |
Auto Products | 1.6 |
Home Office and Consumer Equipment Retail | 1.6 |
Information and Electrical Components | 1.6 |
Specialty Services | 1.6 |
Diversified Household and Personal Products | 1.6 |
Distribution Services | 1.5 |
Alcohol and Tobacco | 1.5 |
Transportation Services | 1.5 |
Primary Foods | 1.5 |
Online Distribution Networks | 1.5 |
Semiconductor Services and Equipment | 1.4 |
Analog and Mixed Signal Integrated Circuits | 1.4 |
Digital Integrated Circuits | 1.4 |
Internet Services | 1.4 |
Transaction Services | 1.4 |
Management and IT Services | 1.4 |
Healthcare Providers and Facilities | 1.4 |
Healthcare Insurance | 1.4 |
Search and Social Networks | 1.4 |
Drugstores | 1.3 |
Investment Services | 1.3 |
INDUSTRY | PERCENTAGE OF NET ASSETS |
Transport Aerospace and Defense Equipment | 1.2% |
Medical Devices | 1.1 |
Medical Research Services and Equipment | 1.1 |
Apparel Retailers | 1.1 |
Diversified Drugs and Devices | 1.1 |
Personal Products | 1.1 |
Other Natural Resources | 1.1 |
Accessories and Footwear | 1.0 |
Chemicals | 1.0 |
Metals | 1.0 |
Midstream and Gas | 1.0 |
Branded Apparel | 1.0 |
Hospital Equipment | 1.0 |
Healthcare Products Distribution | 1.0 |
Midstream | 0.9 |
Industrial Conglomerates | 0.9 |
Production Equipment | 0.8 |
Operating Systems and Middleware | 0.7 |
Brokers and Dealers | 0.5 |
Consumer Paper Products | 0.5 |
Real Estate Banking | 0.4 |
Business Software for Specific Industries | 0.2 |
Other Assets in Excess of Liabilities | 0.2 |
Total | 100.0% |
17 |
Security Description | Shares | Value |
COMMON STOCK—99.7% | ||
Acadia Healthcare Co., Inc.(a) | 282 | $14,173 |
ACI Worldwide, Inc.(a) | 448 | 17,217 |
Acuity Brands, Inc. | 52 | 6,297 |
Adient PLC(a) | 83 | 2,886 |
Adtalem Global Education, Inc.(a) | 155 | 5,262 |
AECOM(a) | 101 | 5,028 |
Affiliated Managers Group, Inc. | 75 | 7,627 |
AGCO Corp. | 108 | 11,134 |
Alleghany Corp. | 15 | 9,055 |
ALLETE, Inc. | 143 | 8,857 |
Alliance Data Systems Corp. | 90 | 6,669 |
Amedisys, Inc.(a) | 50 | 14,666 |
American Campus Communities, Inc. | 229 | 9,794 |
American Eagle Outfitters, Inc. | 675 | 13,547 |
American Financial Group, Inc. | 75 | 6,572 |
Antero Midstream Corp. | 1,172 | 9,036 |
Apartment Income REIT Corp.(a) | 240 | 9,218 |
AptarGroup, Inc. | 25 | 3,422 |
Arrow Electronics, Inc.(a) | 34 | 3,308 |
Arrowhead Pharmaceuticals, Inc.(a) | 238 | 18,262 |
ASGN, Inc.(a) | 81 | 6,766 |
Ashland Global Holdings, Inc. | 42 | 3,326 |
Associated Banc-Corp | 109 | 1,858 |
AutoNation, Inc.(a) | 149 | 10,399 |
Avanos Medical, Inc.(a) | 54 | 2,478 |
Avient Corp. | 86 | 3,464 |
Avis Budget Group, Inc.(a) | 253 | 9,437 |
Avnet, Inc. | 104 | 3,651 |
Axon Enterprise, Inc.(a) | 82 | 10,047 |
BancorpSouth Bank | 66 | 1,811 |
Bank of Hawaii Corp. | 99 | 7,585 |
Bank OZK | 60 | 1,876 |
Belden, Inc. | 87 | 3,645 |
Bio-Techne Corp. | 30 | 9,526 |
BJ's Wholesale Club Holdings, Inc.(a) | 351 | 13,085 |
Black Hills Corp. | 127 | 7,804 |
Blackbaud, Inc. | 105 | 6,044 |
Boston Beer Co., Inc., Class A(a) | 14 | 13,920 |
Boyd Gaming Corp. | 82 | 3,519 |
Brighthouse Financial, Inc.(a) | 393 | 14,229 |
Brink's Co. | 105 | 7,560 |
Brixmor Property Group, Inc. | 81 | 1,341 |
Brown & Brown, Inc. | 193 | 9,150 |
Brunswick Corp. | 100 | 7,624 |
Builders FirstSource, Inc.(a) | 168 | 6,856 |
Cable One, Inc. | 12 | 26,733 |
Cabot Corp. | 67 | 3,007 |
CACI International, Inc., Class A(a) | 29 | 7,231 |
Caesars Entertainment, Inc.(a) | 49 | 3,639 |
Camden Property Trust | 101 | 10,092 |
Cantel Medical Corp. | 59 | 4,653 |
Security Description | Shares | Value |
Carlisle Companies, Inc. | 21 | $3,280 |
Carter's, Inc. | 146 | 13,734 |
Casey's General Stores, Inc. | 55 | 9,824 |
Cathay General Bancorp | 57 | 1,835 |
CDK Global, Inc. | 345 | 17,881 |
Ceridian HCM Holding, Inc.(a) | 59 | 6,287 |
ChampionX Corp.(a) | 1,071 | 16,386 |
Charles River Laboratories International, Inc.(a) | 38 | 9,495 |
Chemed Corp. | 27 | 14,380 |
Chemours Co. | 108 | 2,677 |
Choice Hotels International, Inc. | 23 | 2,455 |
Churchill Downs, Inc. | 17 | 3,311 |
Ciena Corp.(a) | 829 | 43,813 |
Cimarex Energy Co. | 149 | 5,589 |
Cinemark Holdings, Inc. | 808 | 14,067 |
Cirrus Logic, Inc.(a) | 167 | 13,727 |
CIT Group, Inc. | 67 | 2,405 |
Clean Harbors, Inc.(a) | 104 | 7,914 |
CMC Materials, Inc. | 182 | 27,537 |
CNO Financial Group, Inc. | 574 | 12,760 |
CNX Resources Corp.(a) | 551 | 5,951 |
Cognex Corp. | 131 | 10,517 |
Coherent, Inc.(a) | 196 | 29,404 |
Colfax Corp.(a) | 214 | 8,183 |
Columbia Sportswear Co. | 160 | 13,981 |
Commerce Bancshares, Inc. | 103 | 6,767 |
Commercial Metals Co. | 330 | 6,778 |
CommVault Systems, Inc.(a) | 114 | 6,312 |
Compass Minerals International, Inc. | 108 | 6,666 |
Concentrix Corp.(a) | 65 | 6,416 |
CoreLogic, Inc. | 57 | 4,407 |
CoreSite Realty Corp. | 149 | 18,667 |
Corporate Office Properties Trust | 63 | 1,643 |
Coty, Inc., Class A | 2,867 | 20,126 |
Cousins Properties, Inc. | 48 | 1,608 |
Cracker Barrel Old Country Store, Inc. | 99 | 13,060 |
Crane Co. | 85 | 6,601 |
Cree, Inc.(a) | 41 | 4,342 |
Cullen/Frost Bankers, Inc. | 32 | 2,791 |
Curtiss-Wright Corp. | 35 | 4,072 |
CyrusOne, Inc. | 264 | 19,312 |
Dana, Inc. | 157 | 3,065 |
Darling Ingredients, Inc.(a) | 137 | 7,902 |
Deckers Outdoor Corp.(a) | 43 | 12,332 |
Dick's Sporting Goods, Inc. | 185 | 10,399 |
Domtar Corp. | 107 | 3,387 |
Donaldson Co., Inc. | 119 | 6,650 |
Douglas Emmett, Inc. | 51 | 1,488 |
Dycom Industries, Inc.(a) | 63 | 4,758 |
Eagle Materials, Inc. | 65 | 6,588 |
East West Bancorp, Inc. | 40 | 2,028 |
18 |
Security Description | Shares | Value |
EastGroup Properties, Inc. | 27 | $3,728 |
Eaton Vance Corp. | 118 | 8,016 |
Edgewell Personal Care Co. | 543 | 18,777 |
EMCOR Group, Inc. | 54 | 4,939 |
Emergent BioSolutions, Inc.(a) | 211 | 18,906 |
Encompass Health Corp. | 156 | 12,900 |
Energizer Holdings, Inc. | 464 | 19,572 |
EnerSys | 72 | 5,980 |
Enphase Energy, Inc.(a) | 40 | 7,019 |
EPR Properties | 39 | 1,268 |
EQT Corp. | 426 | 5,414 |
Equitrans Midstream Corp. | 1,128 | 9,069 |
Essent Group Ltd. | 183 | 7,906 |
Essential Utilities, Inc. | 154 | 7,283 |
Evercore, Inc., Class A | 67 | 7,346 |
Exelixis, Inc.(a) | 886 | 17,782 |
FactSet Research Systems, Inc. | 21 | 6,982 |
Fair Isaac Corp.(a) | 34 | 17,375 |
Federated Hermes, Inc. | 254 | 7,338 |
First American Financial Corp. | 83 | 4,285 |
First Financial Bankshares, Inc. | 53 | 1,917 |
First Horizon Corp. | 513 | 6,546 |
First Industrial Realty Trust, Inc. | 79 | 3,328 |
First Solar, Inc.(a) | 44 | 4,352 |
FirstCash, Inc. | 92 | 6,444 |
Five Below, Inc.(a) | 58 | 10,149 |
Flowers Foods, Inc. | 657 | 14,868 |
Fluor Corp. | 294 | 4,695 |
FNB Corp. | 191 | 1,815 |
Foot Locker, Inc. | 311 | 12,577 |
Fox Factory Holding Corp.(a) | 31 | 3,277 |
FTI Consulting, Inc.(a) | 58 | 6,480 |
Fulton Financial Corp. | 134 | 1,704 |
GATX Corp. | 60 | 4,991 |
Generac Holdings, Inc.(a) | 18 | 4,093 |
Gentex Corp. | 223 | 7,566 |
Genworth Financial, Inc., Class A(a) | 3,047 | 11,518 |
Glacier Bancorp, Inc. | 41 | 1,886 |
Globus Medical, Inc., Class A(a) | 293 | 19,109 |
Goodyear Tire & Rubber Co. | 285 | 3,109 |
Graco, Inc. | 95 | 6,873 |
Graham Holdings Co., Class B | 11 | 5,867 |
Grand Canyon Education, Inc.(a) | 53 | 4,935 |
Greif, Inc., Class A | 44 | 2,063 |
Grocery Outlet Holding Corp.(a) | 345 | 13,541 |
Grubhub, Inc.(a) | 378 | 28,074 |
H&R Block, Inc. | 474 | 7,518 |
Haemonetics Corp.(a) | 39 | 4,631 |
Hain Celestial Group, Inc.(a) | 261 | 10,479 |
Halozyme Therapeutics, Inc.(a) | 429 | 18,323 |
Hancock Whitney Corp. | 86 | 2,926 |
Hanover Insurance Group, Inc. | 57 | 6,664 |
Security Description | Shares | Value |
Harley-Davidson, Inc. | 193 | $7,083 |
Hawaiian Electric Industries, Inc. | 227 | 8,034 |
Healthcare Realty Trust, Inc. | 667 | 19,743 |
Healthcare Services Group, Inc. | 304 | 8,542 |
HealthEquity, Inc.(a) | 70 | 4,880 |
Helen of Troy Ltd.(a) | 93 | 20,664 |
Herman Miller, Inc. | 156 | 5,273 |
Hexcel Corp. | 65 | 3,152 |
Highwoods Properties, Inc. | 44 | 1,744 |
Hill-Rom Holdings, Inc. | 46 | 4,507 |
HNI Corp. | 159 | 5,479 |
Home BancShares, Inc. | 94 | 1,831 |
Hubbell, Inc. | 23 | 3,606 |
Hudson Pacific Properties, Inc. | 63 | 1,513 |
IAA, Inc.(a) | 161 | 10,462 |
ICU Medical, Inc.(a) | 16 | 3,432 |
IDACORP, Inc. | 89 | 8,547 |
II-VI, Inc.(a) | 54 | 4,102 |
Ingevity Corp.(a) | 38 | 2,878 |
Ingredion, Inc. | 92 | 7,238 |
Insperity, Inc. | 51 | 4,152 |
Integra LifeSciences Holdings Corp.(a) | 45 | 2,921 |
Interactive Brokers Group, Inc., Class A | 239 | 14,560 |
InterDigital, Inc. | 215 | 13,046 |
International Bancshares Corp. | 48 | 1,797 |
ITT, Inc. | 52 | 4,005 |
J2 Global, Inc.(a) | 175 | 17,096 |
Jabil, Inc. | 501 | 21,308 |
Jack in the Box, Inc. | 149 | 13,827 |
Janus Henderson Group PLC | 229 | 7,445 |
Jazz Pharmaceuticals PLC(a) | 119 | 19,641 |
JBG SMITH Properties | 51 | 1,595 |
Jefferies Financial Group, Inc. | 280 | 6,888 |
JetBlue Airways Corp.(a) | 665 | 9,669 |
John Wiley & Sons, Inc., Class A | 225 | 10,273 |
Jones Lang LaSalle, Inc. | 58 | 8,605 |
KAR Auction Services, Inc. | 526 | 9,789 |
KB Home | 292 | 9,788 |
KBR, Inc. | 176 | 5,444 |
Kemper Corp. | 170 | 13,061 |
Kennametal, Inc. | 206 | 7,465 |
Kilroy Realty Corp. | 25 | 1,435 |
Kinsale Capital Group, Inc. | 7 | 1,401 |
Kirby Corp.(a) | 179 | 9,278 |
Knight-Swift Transportation Holdings, Inc. | 180 | 7,528 |
Kohl's Corp. | 343 | 13,957 |
Lamar Advertising Co., Class A | 17 | 1,415 |
Lancaster Colony Corp. | 85 | 15,617 |
Landstar System, Inc. | 51 | 6,868 |
Lear Corp. | 17 | 2,704 |
LendingTree, Inc.(a) | 30 | 8,214 |
Lennox International, Inc. | 23 | 6,301 |
19 |
Security Description | Shares | Value |
LHC Group, Inc.(a) | 66 | $14,079 |
Life Storage, Inc. | 85 | 10,148 |
Ligand Pharmaceuticals, Inc.(a) | 190 | 18,895 |
Lincoln Electric Holdings, Inc. | 65 | 7,556 |
Lithia Motors, Inc., Class A | 34 | 9,951 |
Littelfuse, Inc. | 23 | 5,857 |
LivaNova PLC(a) | 291 | 19,267 |
LiveRamp Holdings, Inc.(a) | 82 | 6,002 |
Louisiana-Pacific Corp. | 85 | 3,159 |
Lumentum Holdings, Inc.(a) | 457 | 43,324 |
Macerich Co. | 113 | 1,206 |
Manhattan Associates, Inc.(a) | 58 | 6,100 |
ManpowerGroup, Inc. | 75 | 6,763 |
Marriott Vacations Worldwide Corp. | 33 | 4,528 |
Masimo Corp.(a) | 51 | 13,687 |
MasTec, Inc.(a) | 75 | 5,114 |
Mattel, Inc.(a) | 372 | 6,491 |
MAXIMUS, Inc. | 61 | 4,465 |
MDU Resources Group, Inc. | 268 | 7,059 |
Medical Properties Trust, Inc. | 953 | 20,766 |
Medpace Holdings, Inc.(a) | 62 | 8,630 |
Mercury General Corp. | 282 | 14,723 |
Mercury Systems, Inc.(a) | 46 | 4,051 |
MGIC Investment Corp. | 655 | 8,220 |
Middleby Corp.(a) | 58 | 7,477 |
Minerals Technologies, Inc. | 46 | 2,858 |
MKS Instruments, Inc. | 180 | 27,081 |
Molina Healthcare, Inc.(a) | 64 | 13,612 |
Monolithic Power Systems, Inc. | 41 | 15,015 |
MSA Safety, Inc. | 63 | 9,412 |
MSC Industrial Direct Co., Inc., Class A | 37 | 3,122 |
Murphy Oil Corp. | 439 | 5,312 |
Murphy USA, Inc. | 78 | 10,208 |
National Fuel Gas Co. | 170 | 6,992 |
National Instruments Corp. | 660 | 29,000 |
National Retail Properties, Inc. | 34 | 1,391 |
Navient Corp. | 694 | 6,815 |
NCR Corp.(a) | 587 | 22,054 |
Nektar Therapeutics(a) | 1,049 | 17,833 |
Neogen Corp.(a) | 34 | 2,696 |
NetScout Systems, Inc.(a) | 762 | 20,894 |
New Jersey Resources Corp. | 223 | 7,928 |
New York Community Bancorp, Inc. | 178 | 1,878 |
New York Times Co., Class A | 195 | 10,095 |
NewMarket Corp. | 6 | 2,390 |
Nordson Corp. | 39 | 7,837 |
Nordstrom, Inc. | 429 | 13,389 |
NorthWestern Corp. | 153 | 8,921 |
Nu Skin Enterprises, Inc., Class A | 382 | 20,869 |
NuVasive, Inc.(a) | 386 | 21,743 |
nVent Electric PLC | 252 | 5,869 |
OGE Energy Corp. | 262 | 8,347 |
Security Description | Shares | Value |
O-I Glass, Inc. | 187 | $2,225 |
Old Republic International Corp. | 351 | 6,918 |
Olin Corp. | 139 | 3,414 |
Ollie's Bargain Outlet Holdings, Inc.(a) | 127 | 10,385 |
Omega Healthcare Investors, Inc. | 352 | 12,785 |
ONE Gas, Inc. | 95 | 7,293 |
Oshkosh Corp. | 77 | 6,627 |
Owens Corning | 42 | 3,182 |
PacWest Bancorp | 74 | 1,880 |
Papa John's International, Inc. | 154 | 13,067 |
Park Hotels & Resorts, Inc. | 150 | 2,573 |
Patterson Companies, Inc. | 86 | 2,548 |
Paylocity Holding Corp.(a) | 30 | 6,177 |
Pebblebrook Hotel Trust | 144 | 2,707 |
Penn National Gaming, Inc.(a) | 46 | 3,973 |
Penumbra, Inc.(a) | 13 | 2,275 |
Perspecta, Inc. | 281 | 6,766 |
Physicians Realty Trust | 90 | 1,602 |
Pilgrim's Pride Corp.(a) | 359 | 7,040 |
Pinnacle Financial Partners, Inc. | 30 | 1,932 |
PNM Resources, Inc. | 171 | 8,299 |
Polaris, Inc. | 81 | 7,718 |
Post Holdings, Inc.(a) | 103 | 10,404 |
PotlatchDeltic Corp. | 70 | 3,501 |
PRA Health Sciences, Inc.(a) | 75 | 9,408 |
Prestige Consumer Healthcare, Inc.(a) | 476 | 16,598 |
Primerica, Inc. | 96 | 12,857 |
PROG Holdings, Inc. | 192 | 10,343 |
Prosperity Bancshares, Inc. | 25 | 1,734 |
PS Business Parks, Inc. | 24 | 3,189 |
PTC, Inc.(a) | 233 | 27,869 |
Qualys, Inc.(a) | 61 | 7,434 |
Quidel Corp.(a) | 67 | 12,037 |
Rayonier, Inc. | 107 | 3,144 |
Regal Beloit Corp. | 33 | 4,053 |
Reinsurance Group of America, Inc. | 65 | 7,533 |
Reliance Steel & Aluminum Co. | 52 | 6,227 |
RenaissanceRe Holdings Ltd. | 47 | 7,794 |
Repligen Corp.(a) | 50 | 9,581 |
Rexford Industrial Realty, Inc. | 72 | 3,536 |
RH(a) | 13 | 5,818 |
RLI Corp. | 64 | 6,666 |
Royal Gold, Inc. | 62 | 6,594 |
RPM International, Inc. | 40 | 3,631 |
Ryder System, Inc. | 81 | 5,003 |
Sabra Health Care REIT, Inc. | 754 | 13,097 |
Sabre Corp. | 2,400 | 28,848 |
Sailpoint Technologies Holdings, Inc.(a) | 120 | 6,389 |
Sanderson Farms, Inc. | 50 | 6,610 |
Science Applications International Corp. | 66 | 6,246 |
Scientific Games Corp., Class A(a) | 489 | 20,289 |
Scotts Miracle-Gro Co. | 102 | 20,312 |
20 |
Security Description | Shares | Value |
SEI Investments Co. | 136 | $7,816 |
Selective Insurance Group, Inc. | 99 | 6,631 |
Semtech Corp.(a) | 189 | 13,625 |
Sensient Technologies Corp. | 38 | 2,803 |
Service Corp. International/US | 135 | 6,629 |
Service Properties Trust | 221 | 2,539 |
Signature Bank | 12 | 1,623 |
Silgan Holdings, Inc. | 64 | 2,373 |
Silicon Laboratories, Inc.(a) | 109 | 13,880 |
Simpson Manufacturing Co., Inc. | 38 | 3,551 |
Six Flags Entertainment Corp. | 140 | 4,774 |
Skechers USA, Inc., Class A(a) | 374 | 13,442 |
SLM Corp. | 547 | 6,777 |
SolarEdge Technologies, Inc.(a) | 22 | 7,021 |
Sonoco Products Co. | 52 | 3,081 |
Southwest Gas Holdings, Inc. | 118 | 7,168 |
Spire, Inc. | 111 | 7,108 |
Spirit Realty Capital, Inc. | 34 | 1,366 |
Sprouts Farmers Market, Inc.(a) | 671 | 13,487 |
Steel Dynamics, Inc. | 170 | 6,268 |
Stericycle, Inc.(a) | 105 | 7,280 |
Sterling Bancorp | 106 | 1,906 |
Stifel Financial Corp. | 264 | 13,321 |
STORE Capital Corp. | 39 | 1,325 |
Strategic Education, Inc. | 51 | 4,862 |
Sunrun, Inc.(a) | 145 | 10,060 |
Synaptics, Inc.(a) | 165 | 15,906 |
Syneos Health, Inc.(a) | 136 | 9,266 |
SYNNEX Corp. | 42 | 3,420 |
Synovus Financial Corp. | 56 | 1,813 |
Taylor Morrison Home Corp.(a) | 384 | 9,850 |
TCF Financial Corp. | 227 | 8,404 |
TEGNA, Inc. | 915 | 12,764 |
Telephone and Data Systems, Inc. | 1,413 | 26,239 |
Tempur Sealy International, Inc.(a) | 223 | 6,021 |
Tenet Healthcare Corp.(a) | 322 | 12,857 |
Teradata Corp.(a) | 251 | 5,640 |
Terex Corp. | 184 | 6,420 |
Tetra Tech, Inc. | 126 | 14,588 |
Texas Capital Bancshares, Inc.(a) | 137 | 8,151 |
Texas Roadhouse, Inc. | 169 | 13,209 |
Thor Industries, Inc. | 76 | 7,067 |
Timken Co. | 43 | 3,326 |
Toll Brothers, Inc. | 223 | 9,694 |
Tootsie Roll Industries, Inc. | 477 | 14,167 |
TopBuild Corp.(a) | 36 | 6,627 |
Toro Co. | 109 | 10,338 |
TreeHouse Foods, Inc.(a) | 226 | 9,603 |
Trex Co., Inc.(a) | 77 | 6,446 |
TRI Pointe Group, Inc.(a) | 587 | 10,126 |
Security Description | Shares | Value |
Trimble, Inc.(a) | 157 | $10,483 |
Trinity Industries, Inc. | 253 | 6,677 |
TripAdvisor, Inc.(a) | 927 | 26,679 |
Trustmark Corp. | 64 | 1,748 |
UGI Corp. | 211 | 7,377 |
UMB Financial Corp. | 38 | 2,622 |
Umpqua Holdings Corp. | 123 | 1,862 |
United Bankshares, Inc. | 58 | 1,879 |
United States Steel Corp. | 361 | 6,054 |
United Therapeutics Corp.(a) | 129 | 19,581 |
Univar Solutions, Inc.(a) | 183 | 3,479 |
Universal Display Corp. | 18 | 4,136 |
Urban Edge Properties | 93 | 1,203 |
Urban Outfitters, Inc.(a) | 492 | 12,595 |
Valley National Bancorp | 183 | 1,784 |
Valmont Industries, Inc. | 19 | 3,324 |
Valvoline, Inc. | 141 | 3,263 |
ViaSat, Inc.(a) | 755 | 24,651 |
Vishay Intertechnology, Inc. | 190 | 3,935 |
Visteon Corp.(a) | 59 | 7,406 |
Washington Federal, Inc. | 311 | 8,005 |
Watsco, Inc. | 16 | 3,625 |
Webster Financial Corp. | 191 | 8,051 |
Weingarten Realty Investors | 59 | 1,279 |
Wendy's Co. | 599 | 13,130 |
Werner Enterprises, Inc. | 184 | 7,216 |
WEX, Inc.(a) | 22 | 4,478 |
Williams-Sonoma, Inc. | 64 | 6,518 |
Wingstop, Inc. | 101 | 13,388 |
Wintrust Financial Corp. | 42 | 2,566 |
Woodward, Inc. | 35 | 4,254 |
World Fuel Services Corp. | 322 | 10,034 |
World Wrestling Entertainment, Inc., Class A | 296 | 14,223 |
Worthington Industries, Inc. | 65 | 3,337 |
WPX Energy, Inc.(a) | 711 | 5,795 |
WW International, Inc.(a) | 227 | 5,539 |
Wyndham Destinations, Inc. | 100 | 4,486 |
Wyndham Hotels & Resorts, Inc. | 46 | 2,734 |
XPO Logistics, Inc.(a) | 60 | 7,152 |
Yelp, Inc.(a) | 898 | 29,338 |
INVESTMENTS IN COMMON STOCK—99.7% (Cost $2,550,025) | 3,411,704 | |
OTHER ASSETS IN EXCESS OF LIABILITIES—0.3% | 8,962 | |
NET ASSETS—100.0% | $3,420,666 |
(a) | Non-income producing security. |
PLC=Public Limited Company |
REIT=Real Estate Investment Trust |
21 |
INDUSTRY | PERCENTAGE OF NET ASSETS |
Commercial Hardware | 4.4% |
Healthcare Providers and Facilities | 4.4 |
Branded Pharmaceuticals | 3.7 |
Business Software for Specific Uses | 3.5 |
Production Equipment | 3.0 |
Information and Electrical Components | 2.6 |
Content Providers | 2.4 |
Commercial Insurance | 2.4 |
Operators and Developers | 2.4 |
Real Estate Banking | 2.4 |
Restaurants | 2.3 |
Consumer Insurance | 2.3 |
Rental | 2.3 |
Home Office and Consumer Equipment Manufacture | 2.2 |
Processed Foods | 2.2 |
Specialty Services | 2.1 |
Online Distribution Networks | 2.0 |
Chemicals | 2.0 |
Medical Devices | 1.8 |
Personal Products | 1.7 |
Transportation Services | 1.7 |
Auto Products | 1.7 |
Distribution Services | 1.7 |
Midstream and Gas | 1.7 |
Semiconductor Services and Equipment | 1.7 |
Analog and Mixed Signal Integrated Circuits | 1.6 |
Search and Social Networks | 1.6 |
Medical Research Services and Equipment | 1.6 |
Internet Services | 1.6 |
Management and IT Services | 1.6 |
Mechanical Components | 1.6 |
Non Real Estate Banking | 1.6 |
Telecommunication Networks | 1.5 |
Investment Services | 1.5 |
Transaction Services | 1.5 |
Apparel Retailers | 1.5 |
Hospital Equipment | 1.5 |
Upstream Energy | 1.4 |
Business Software for Specific Industries | 1.4 |
Home Office and Consumer Equipment Retail | 1.3 |
Electric Regulated | 1.2 |
Branded Apparel | 1.2 |
Other Natural Resources | 1.2 |
INDUSTRY | PERCENTAGE OF NET ASSETS |
Food Distributors | 1.2% |
Household Products | 1.2 |
Metals | 1.1 |
Diversified Drugs and Devices | 1.1 |
Downstream | 0.9 |
Digital Integrated Circuits | 0.8 |
Primary Foods | 0.8 |
Brokers and Dealers | 0.8 |
Midstream | 0.8 |
Accessories and Footwear | 0.8 |
Contract Electronics Services | 0.6 |
Electric Competitive | 0.6 |
Transport Aerospace and Defense Equipment | 0.5 |
Alcohol and Tobacco | 0.4 |
Healthcare Insurance | 0.4 |
Consumer Services | 0.4 |
Industrial Conglomerates | 0.2 |
Healthcare Products Distribution | 0.1 |
Other Assets in Excess of Liabilities | 0.3 |
Total | 100.0% |
22 |
Security Description | Shares | Value |
COMMON STOCK—99.8% | ||
3D Systems Corp.(a) | 2,399 | $25,142 |
8x8, Inc.(a) | 1,401 | 48,292 |
AAON, Inc. | 226 | 15,058 |
AAR Corp. | 365 | 13,220 |
Aaron's Co., Inc.(a) | 1,492 | 28,288 |
Abercrombie & Fitch Co., Class A | 801 | 16,308 |
ABM Industries, Inc. | 922 | 34,888 |
Acadia Realty Trust, REIT | 651 | 9,238 |
Addus HomeCare Corp.(a) | 160 | 18,734 |
ADTRAN, Inc. | 3,521 | 52,005 |
Advanced Energy Industries, Inc.(a) | 505 | 48,970 |
AdvanSix, Inc.(a) | 372 | 7,436 |
Aegion Corp.(a) | 471 | 8,944 |
Aerojet Rocketdyne Holdings, Inc.(a) | 325 | 17,176 |
AeroVironment, Inc.(a) | 355 | 30,849 |
Agilysys, Inc.(a) | 1,112 | 42,679 |
Agree Realty Corp., REIT | 145 | 9,654 |
Alamo Group, Inc. | 176 | 24,279 |
Alarm.com Holdings, Inc.(a) | 566 | 58,553 |
Albany International Corp., Class A | 184 | 13,509 |
Alexander & Baldwin, Inc. | 584 | 10,033 |
Allegheny Technologies, Inc.(a) | 921 | 15,445 |
Allegiance Bancshares, Inc. | 102 | 3,481 |
Allegiant Travel Co. | 380 | 71,911 |
Allscripts Healthcare Solutions, Inc.(a) | 3,073 | 44,374 |
Ambac Financial Group, Inc.(a) | 2,214 | 34,051 |
AMC Networks, Inc., Class A(a) | 1,025 | 36,664 |
American Assets Trust, Inc., REIT | 349 | 10,079 |
American Axle & Manufacturing Holdings, Inc.(a) | 6,283 | 52,400 |
American Equity Investment Life Holding Co. | 1,825 | 50,479 |
American Public Education, Inc.(a) | 1,528 | 46,573 |
American States Water Co. | 1,285 | 102,170 |
American Vanguard Corp. | 405 | 6,286 |
American Woodmark Corp.(a) | 177 | 16,611 |
America's Car-Mart, Inc.(a) | 291 | 31,963 |
Ameris Bancorp | 94 | 3,579 |
AMERISAFE, Inc. | 694 | 39,856 |
AMN Healthcare Services, Inc.(a) | 123 | 8,395 |
Amphastar Pharmaceuticals, Inc.(a) | 3,532 | 71,029 |
Andersons, Inc. | 1,228 | 30,098 |
AngioDynamics, Inc.(a) | 853 | 13,076 |
ANI Pharmaceuticals, Inc.(a) | 2,208 | 64,120 |
Anika Therapeutics, Inc.(a) | 590 | 26,703 |
Apogee Enterprises, Inc. | 573 | 18,153 |
Apollo Commercial Real Estate Finance, Inc., REIT | 305 | 3,407 |
Applied Industrial Technologies, Inc. | 162 | 12,634 |
Applied Optoelectronics, Inc.(a) | 4,259 | 36,244 |
ArcBest Corp. | 415 | 17,708 |
Archrock, Inc. | 956 | 8,279 |
Security Description | Shares | Value |
Arconic Corp.(a) | 506 | $15,079 |
Arcosa, Inc. | 258 | 14,172 |
Arlo Technologies, Inc.(a) | 2,131 | 16,600 |
Armada Hoffler Properties, Inc., REIT | 943 | 10,580 |
ARMOUR Residential REIT, Inc. | 1,500 | 16,185 |
Asbury Automotive Group, Inc.(a) | 231 | 33,666 |
Assured Guaranty Ltd. | 1,256 | 39,551 |
Astec Industries, Inc. | 389 | 22,515 |
Atlas Air Worldwide Holdings, Inc.(a) | 268 | 14,617 |
ATN International, Inc. | 853 | 35,621 |
Avista Corp. | 2,542 | 102,036 |
Axcelis Technologies, Inc.(a) | 387 | 11,269 |
Axos Financial, Inc.(a) | 247 | 9,270 |
AZZ, Inc. | 323 | 15,323 |
B&G Foods, Inc. | 966 | 26,787 |
Badger Meter, Inc. | 190 | 17,871 |
Balchem Corp. | 98 | 11,292 |
Banc of California, Inc. | 239 | 3,516 |
BancFirst Corp. | 60 | 3,522 |
BankUnited, Inc. | 108 | 3,756 |
Banner Corp. | 80 | 3,727 |
Barnes & Noble Education, Inc.(a) | 8,979 | 41,752 |
Barnes Group, Inc. | 201 | 10,189 |
Bed Bath & Beyond, Inc. | 1,383 | 24,562 |
Bel Fuse, Inc., Class B | 3,553 | 53,402 |
Benchmark Electronics, Inc. | 1,155 | 31,197 |
Berkshire Hills Bancorp, Inc. | 187 | 3,201 |
Big Lots, Inc. | 585 | 25,114 |
BioTelemetry, Inc.(a) | 333 | 24,003 |
BJ's Restaurants, Inc. | 567 | 21,824 |
Bloomin' Brands, Inc. | 1,042 | 20,236 |
Blucora, Inc.(a) | 4,289 | 68,238 |
Boise Cascade Co. | 724 | 34,607 |
Bonanza Creek Energy, Inc.(a) | 581 | 11,231 |
Boot Barn Holdings, Inc.(a) | 495 | 21,463 |
Boston Private Financial Holdings, Inc. | 1,135 | 9,591 |
Bottomline Technologies DE, Inc.(a) | 894 | 47,150 |
Brady Corp., Class A | 353 | 18,645 |
Brandywine Realty Trust, REIT | 1,283 | 15,281 |
Brightsphere Investment Group, Inc. | 2,943 | 56,741 |
Brinker International, Inc. | 349 | 19,743 |
Bristow Group, Inc.(a) | 302 | 7,949 |
Brookline Bancorp, Inc. | 293 | 3,528 |
Brooks Automation, Inc. | 155 | 10,517 |
Buckle, Inc. | 1,021 | 29,813 |
Cadence BanCorp | 1,914 | 31,428 |
CalAmp Corp.(a) | 4,813 | 47,745 |
Calavo Growers, Inc. | 379 | 26,314 |
Caleres, Inc. | 1,561 | 24,430 |
California Water Service Group | 1,896 | 102,441 |
Callaway Golf Co. | 1,743 | 41,849 |
Callon Petroleum Co.(a) | 926 | 12,186 |
23 |
Security Description | Shares | Value |
Cal-Maine Foods, Inc.(a) | 754 | $28,305 |
Capitol Federal Financial, Inc. | 716 | 8,950 |
Capri Holdings Ltd.(a) | 869 | 36,498 |
Capstead Mortgage Corp., REIT | 2,798 | 16,256 |
Cardiovascular Systems, Inc.(a) | 339 | 14,835 |
Cardtronics PLC, Class A(a) | 1,829 | 64,564 |
CareTrust REIT, Inc. | 2,990 | 66,318 |
Carpenter Technology Corp. | 542 | 15,783 |
Cato Corp., Class A | 1,990 | 19,084 |
Cavco Industries, Inc.(a) | 186 | 32,634 |
Centerspace, REIT | 138 | 9,748 |
Central Garden & Pet Co.(a) | 373 | 14,402 |
Central Garden & Pet Co., Class A(a) | 403 | 14,641 |
Central Pacific Financial Corp. | 497 | 9,448 |
Century Aluminum Co.(a) | 1,312 | 14,471 |
Century Communities, Inc.(a) | 769 | 33,667 |
CEVA, Inc.(a) | 1,693 | 77,031 |
Chart Industries, Inc.(a) | 145 | 17,080 |
Chatham Lodging Trust, REIT | 1,690 | 18,252 |
Cheesecake Factory, Inc. | 499 | 18,493 |
Chefs' Warehouse, Inc.(a) | 2,119 | 54,437 |
Chesapeake Utilities Corp. | 939 | 101,609 |
Chico's FAS, Inc. | 11,164 | 17,751 |
Children's Place, Inc. | 381 | 19,088 |
Chuy's Holdings, Inc.(a) | 738 | 19,550 |
Cincinnati Bell, Inc.(a) | 2,602 | 39,759 |
CIRCOR International, Inc.(a) | 452 | 17,375 |
City Holding Co. | 124 | 8,624 |
Clearwater Paper Corp.(a) | 2,681 | 101,208 |
Cleveland-Cliffs, Inc. | 1,120 | 16,307 |
Coca-Cola Consolidated, Inc. | 109 | 29,023 |
Cogent Communications Holdings, Inc. | 1,697 | 101,599 |
Coherus Biosciences, Inc.(a) | 3,712 | 64,515 |
Cohu, Inc. | 593 | 22,641 |
Columbia Banking System, Inc. | 104 | 3,734 |
Comfort Systems USA, Inc. | 730 | 38,442 |
Community Bank System, Inc. | 438 | 27,292 |
Community Health Systems, Inc.(a) | 4,635 | 34,438 |
Community Healthcare Trust, Inc., REIT | 1,401 | 66,001 |
Computer Programs and Systems, Inc. | 1,218 | 32,691 |
Comtech Telecommunications Corp. | 2,357 | 48,766 |
CONMED Corp. | 476 | 53,312 |
Conn's, Inc.(a) | 2,401 | 28,068 |
CONSOL Energy, Inc.(a) | 2,342 | 16,886 |
Consolidated Communications Holdings, Inc.(a) | 18,529 | 90,607 |
Cooper Tire & Rubber Co. | 513 | 20,776 |
Cooper-Standard Holdings, Inc.(a) | 565 | 19,589 |
Corcept Therapeutics, Inc.(a) | 868 | 22,707 |
Core Laboratories N.V. | 301 | 7,980 |
CoreCivic, Inc., REIT | 3,290 | 21,549 |
Core-Mark Holding Co., Inc. | 1,608 | 47,227 |
Security Description | Shares | Value |
CorVel Corp.(a) | 464 | $49,184 |
Covetrus, Inc.(a) | 3,741 | 107,516 |
Crocs, Inc.(a) | 531 | 33,272 |
Cross Country Healthcare, Inc.(a) | 898 | 7,965 |
CryoLife, Inc.(a) | 568 | 13,410 |
CSG Systems International, Inc. | 766 | 34,524 |
CTS Corp. | 754 | 25,885 |
Cubic Corp. | 474 | 29,407 |
Customers Bancorp, Inc.(a) | 191 | 3,472 |
Cutera, Inc.(a) | 2,303 | 55,525 |
CVB Financial Corp. | 177 | 3,452 |
Cytokinetics, Inc.(a) | 3,248 | 67,493 |
Daktronics, Inc. | 8,100 | 37,908 |
Dave & Buster's Entertainment, Inc. | 990 | 29,720 |
Deluxe Corp. | 1,361 | 39,741 |
Designer Brands, Inc., Class A | 2,768 | 21,175 |
DiamondRock Hospitality Co., REIT | 2,411 | 19,891 |
Diebold Nixdorf, Inc.(a) | 9,126 | 97,283 |
Digi International, Inc.(a) | 2,644 | 49,972 |
Dime Community Bancshares, Inc. | 219 | 3,454 |
Dine Brands Global, Inc. | 280 | 16,240 |
Diodes, Inc.(a) | 978 | 68,949 |
Diversified Healthcare Trust, REIT | 15,753 | 64,902 |
DMC Global, Inc. | 212 | 9,169 |
Donnelley Financial Solutions, Inc.(a) | 2,893 | 49,094 |
Dorian LPG Ltd.(a) | 6,157 | 75,054 |
Dorman Products, Inc.(a) | 203 | 17,624 |
Dril-Quip, Inc.(a) | 269 | 7,968 |
DSP Group, Inc.(a) | 4,089 | 67,837 |
DXP Enterprises, Inc.(a) | 547 | 12,160 |
Eagle Bancorp, Inc. | 87 | 3,593 |
Eagle Pharmaceuticals, Inc.(a) | 485 | 22,586 |
Easterly Government Properties, Inc., REIT | 475 | 10,759 |
Ebix, Inc. | 1,215 | 46,134 |
Echo Global Logistics, Inc.(a) | 505 | 13,544 |
eHealth, Inc.(a) | 1,398 | 98,713 |
El Pollo Loco Holdings, Inc.(a) | 2,783 | 50,372 |
Employers Holdings, Inc. | 1,222 | 39,336 |
Enanta Pharmaceuticals, Inc.(a) | 532 | 22,397 |
Encore Capital Group, Inc.(a) | 725 | 28,239 |
Encore Wire Corp. | 587 | 35,555 |
Endo International PLC(a) | 12,447 | 89,369 |
Enerpac Tool Group Corp. | 576 | 13,023 |
Enova International, Inc.(a) | 1,256 | 31,111 |
EnPro Industries, Inc. | 136 | 10,271 |
Ensign Group, Inc. | 231 | 16,845 |
ePlus, Inc.(a) | 395 | 34,740 |
ESCO Technologies, Inc. | 163 | 16,825 |
Essential Properties Realty Trust, Inc., REIT | 503 | 10,664 |
Ethan Allen Interiors, Inc. | 1,051 | 21,241 |
EVERTEC, Inc. | 819 | 32,203 |
EW Scripps Co., Class A | 2,361 | 36,100 |
24 |
Security Description | Shares | Value |
ExlService Holdings, Inc.(a) | 474 | $40,352 |
Exponent, Inc. | 130 | 11,704 |
Exterran Corp.(a) | 1,974 | 8,725 |
Extreme Networks, Inc.(a) | 6,294 | 43,366 |
EZCORP, Inc., Class A(a) | 5,552 | 26,594 |
Fabrinet(a) | 428 | 33,209 |
FARO Technologies, Inc.(a) | 624 | 44,073 |
FB Financial Corp. | 490 | 17,018 |
Federal Signal Corp. | 903 | 29,953 |
Ferro Corp.(a) | 525 | 7,681 |
Fiesta Restaurant Group, Inc.(a) | 3,993 | 45,520 |
First BanCorp | 395 | 3,642 |
First Bancorp/Southern Pines NC | 106 | 3,586 |
First Commonwealth Financial Corp. | 333 | 3,643 |
First Financial Bancorp | 198 | 3,471 |
First Hawaiian, Inc. | 383 | 9,031 |
First Midwest Bancorp, Inc. | 1,887 | 30,041 |
Flagstar Bancorp, Inc. | 241 | 9,823 |
FormFactor, Inc.(a) | 526 | 22,629 |
Forrester Research, Inc.(a) | 378 | 15,838 |
Forward Air Corp. | 200 | 15,368 |
Fossil Group, Inc.(a) | 1,864 | 16,161 |
Foundation Building Materials, Inc.(a) | 646 | 12,410 |
Four Corners Property Trust, Inc., REIT | 325 | 9,675 |
Franklin Electric Co., Inc. | 234 | 16,195 |
Franklin Street Properties Corp., REIT | 3,121 | 13,639 |
Fresh Del Monte Produce, Inc. | 1,092 | 26,284 |
Fulgent Genetics, Inc.(a) | 397 | 20,684 |
FutureFuel Corp. | 3,081 | 39,129 |
GameStop Corp., Class A(a) | 2,482 | 46,761 |
Gannett Co., Inc.(a) | 11,802 | 39,655 |
GCP Applied Technologies, Inc.(a) | 281 | 6,646 |
Genesco, Inc.(a) | 665 | 20,010 |
Gentherm, Inc.(a) | 391 | 25,501 |
GEO Group, Inc., REIT | 2,626 | 23,266 |
Getty Realty Corp., REIT | 328 | 9,033 |
Gibraltar Industries, Inc.(a) | 146 | 10,503 |
G-III Apparel Group Ltd.(a) | 1,091 | 25,900 |
Glatfelter Corp. | 781 | 12,793 |
Glaukos Corp.(a) | 978 | 73,604 |
Global Net Lease, Inc., REIT | 870 | 14,912 |
Glu Mobile, Inc.(a) | 3,610 | 32,526 |
GMS, Inc.(a) | 441 | 13,442 |
Granite Construction, Inc. | 1,377 | 36,780 |
Granite Point Mortgage Trust, Inc., REIT | 1,654 | 16,523 |
Great Western Bancorp, Inc. | 468 | 9,781 |
Green Dot Corp., Class A(a) | 590 | 32,922 |
Green Plains, Inc.(a) | 2,046 | 26,946 |
Greenbrier Companies, Inc. | 680 | 24,738 |
Greenhill & Co., Inc. | 796 | 9,663 |
Griffon Corp. | 2,039 | 41,555 |
Group 1 Automotive, Inc. | 269 | 35,277 |
Security Description | Shares | Value |
Guess?, Inc. | 852 | $19,272 |
Hanger, Inc.(a) | 1,717 | 37,757 |
Hanmi Financial Corp. | 315 | 3,572 |
Harmonic, Inc.(a) | 7,068 | 52,233 |
Harsco Corp.(a) | 567 | 10,195 |
Haverty Furniture Companies, Inc. | 2,535 | 70,143 |
Hawaiian Holdings, Inc. | 3,433 | 60,764 |
Hawkins, Inc. | 321 | 16,792 |
Haynes International, Inc. | 616 | 14,685 |
HB Fuller Co. | 144 | 7,471 |
HCI Group, Inc. | 972 | 50,836 |
HealthStream, Inc.(a) | 2,175 | 47,502 |
Heartland Express, Inc. | 990 | 17,919 |
Heidrick & Struggles International, Inc. | 297 | 8,726 |
Helix Energy Solutions Group, Inc.(a) | 2,088 | 8,770 |
Helmerich & Payne, Inc. | 345 | 7,990 |
Heritage Financial Corp. | 145 | 3,392 |
Hersha Hospitality Trust, REIT | 2,354 | 18,573 |
Heska Corp.(a) | 139 | 20,245 |
Hibbett Sports, Inc.(a) | 573 | 26,461 |
Hillenbrand, Inc. | 618 | 24,596 |
HMS Holdings Corp.(a) | 1,038 | 38,146 |
HomeStreet, Inc. | 494 | 16,672 |
Hope Bancorp, Inc. | 328 | 3,578 |
Horace Mann Educators Corp. | 1,160 | 48,766 |
Hub Group, Inc., Class A(a) | 256 | 14,592 |
Ichor Holdings Ltd.(a) | 345 | 10,400 |
Independence Realty Trust, Inc., REIT | 769 | 10,328 |
Independent Bank Corp. | 45 | 3,287 |
Independent Bank Group, Inc. | 468 | 29,259 |
Industrial Logistics Properties Trust, REIT | 445 | 10,364 |
Innospec, Inc. | 78 | 7,077 |
Innovative Industrial Properties, Inc., REIT | 62 | 11,354 |
Innoviva, Inc.(a) | 2,143 | 26,552 |
Inogen, Inc.(a) | 1,716 | 76,671 |
Insight Enterprises, Inc.(a) | 173 | 13,164 |
Installed Building Products, Inc.(a) | 174 | 17,736 |
Insteel Industries, Inc. | 1,402 | 31,223 |
Integer Holdings Corp.(a) | 158 | 12,828 |
Inter Parfums, Inc. | 1,767 | 106,886 |
Interface, Inc. | 1,123 | 11,791 |
Invacare Corp. | 7,300 | 65,335 |
Invesco Mortgage Capital, Inc., REIT | 2,684 | 9,072 |
Iridium Communications, Inc.(a) | 1,195 | 46,993 |
iRobot Corp.(a) | 265 | 21,277 |
iStar, Inc., REIT | 1,002 | 14,880 |
Itron, Inc.(a) | 201 | 19,276 |
J & J Snack Foods Corp. | 185 | 28,743 |
James River Group Holdings Ltd. | 848 | 41,679 |
John B Sanfilippo & Son, Inc. | 368 | 29,020 |
John Bean Technologies Corp. | 197 | 22,432 |
Kaiser Aluminum Corp. | 103 | 10,187 |
25 |
Security Description | Shares | Value |
Kaman Corp. | 221 | $12,626 |
Kelly Services, Inc., Class A | 374 | 7,693 |
Kite Realty Group Trust, REIT | 625 | 9,350 |
KKR Real Estate Finance Trust, Inc., REIT | 192 | 3,441 |
Knowles Corp.(a) | 2,851 | 52,544 |
Kontoor Brands, Inc.(a) | 565 | 22,916 |
Koppers Holdings, Inc.(a) | 623 | 19,413 |
Korn Ferry | 201 | 8,744 |
Kraton Corp.(a) | 592 | 16,452 |
Kulicke & Soffa Industries, Inc. | 327 | 10,402 |
Lannett Co., Inc.(a) | 10,106 | 65,891 |
Lantheus Holdings, Inc.(a) | 1,354 | 18,265 |
Laredo Petroleum, Inc.(a) | 620 | 12,214 |
La-Z-Boy, Inc. | 510 | 20,318 |
LCI Industries | 153 | 19,841 |
LeMaitre Vascular, Inc. | 359 | 14,539 |
Lexington Realty Trust, REIT | 1,380 | 14,656 |
LGI Homes, Inc.(a) | 308 | 32,602 |
Lindsay Corp. | 200 | 25,692 |
Liquidity Services, Inc.(a) | 6,769 | 107,695 |
Livent Corp.(a) | 402 | 7,574 |
LivePerson, Inc.(a) | 754 | 46,921 |
LTC Properties, Inc., REIT | 426 | 16,576 |
Lumber Liquidators Holdings, Inc.(a) | 2,157 | 66,306 |
Luminex Corp. | 813 | 18,797 |
Lydall, Inc.(a) | 826 | 24,805 |
M/I Homes, Inc.(a) | 759 | 33,616 |
Mack-Cali Realty Corp., REIT | 1,119 | 13,943 |
Macy's, Inc. | 2,983 | 33,559 |
Magellan Health, Inc.(a) | 497 | 41,171 |
ManTech International Corp., Class A | 406 | 36,110 |
Marcus & Millichap, Inc.(a) | 1,219 | 45,383 |
Marcus Corp. | 2,615 | 35,250 |
MarineMax, Inc.(a) | 1,074 | 37,622 |
Marten Transport Ltd. | 1,052 | 18,126 |
Matador Resources Co.(a) | 1,014 | 12,229 |
Materion Corp. | 264 | 16,822 |
Matrix Service Co.(a) | 913 | 10,061 |
Matson, Inc. | 321 | 18,287 |
Matthews International Corp., Class A | 716 | 21,050 |
MaxLinear, Inc.(a) | 2,165 | 82,681 |
MDC Holdings, Inc. | 688 | 33,437 |
Medifast, Inc. | 267 | 52,423 |
MEDNAX, Inc.(a) | 1,736 | 42,601 |
Mercer International, Inc. | 1,317 | 13,499 |
Meredith Corp. | 1,691 | 32,467 |
Meridian Bioscience, Inc.(a) | 1,010 | 18,877 |
Merit Medical Systems, Inc.(a) | 224 | 12,434 |
Meritage Homes Corp.(a) | 384 | 31,803 |
Meritor, Inc.(a) | 515 | 14,374 |
Mesa Laboratories, Inc. | 71 | 20,351 |
Meta Financial Group, Inc. | 1,675 | 61,238 |
Security Description | Shares | Value |
Methode Electronics, Inc. | 663 | $25,380 |
MGP Ingredients, Inc. | 1,445 | 68,002 |
Michaels Companies, Inc.(a) | 2,089 | 27,178 |
MicroStrategy, Inc., Class A(a) | 153 | 59,448 |
Monarch Casino & Resort, Inc.(a) | 472 | 28,896 |
Monro, Inc. | 689 | 36,724 |
Moog, Inc., Class A | 170 | 13,481 |
Motorcar Parts of America, Inc.(a) | 2,066 | 40,535 |
Movado Group, Inc. | 1,456 | 24,199 |
Mr Cooper Group, Inc.(a) | 603 | 18,711 |
MTS Systems Corp. | 294 | 17,099 |
Mueller Industries, Inc. | 494 | 17,344 |
Myers Industries, Inc. | 525 | 10,909 |
MYR Group, Inc.(a) | 149 | 8,955 |
Myriad Genetics, Inc.(a) | 1,258 | 24,877 |
Nabors Industries Ltd. | 117 | 6,813 |
National Bank Holdings Corp., Class A | 860 | 28,174 |
National Beverage Corp. | 334 | 28,357 |
National Presto Industries, Inc. | 330 | 29,182 |
National Storage Affiliates Trust, REIT | 429 | 15,457 |
Natus Medical, Inc.(a) | 954 | 19,118 |
NBT Bancorp, Inc. | 273 | 8,763 |
Neenah, Inc. | 241 | 13,332 |
NeoGenomics, Inc.(a) | 327 | 17,606 |
NETGEAR, Inc.(a) | 1,090 | 44,287 |
New York Mortgage Trust, Inc., REIT | 2,349 | 8,668 |
NexPoint Residential Trust, Inc., REIT | 237 | 10,027 |
NextGen Healthcare, Inc.(a) | 2,508 | 45,746 |
NIC, Inc. | 1,806 | 46,649 |
NMI Holdings, Inc., Class A(a) | 1,687 | 38,211 |
Northfield Bancorp, Inc. | 297 | 3,662 |
Northwest Bancshares, Inc. | 709 | 9,033 |
Northwest Natural Holding Co. | 2,032 | 93,452 |
NOW, Inc.(a) | 1,962 | 14,087 |
Oceaneering International, Inc.(a) | 1,065 | 8,467 |
ODP Corp. | 996 | 29,183 |
Office Properties Income Trust, REIT | 625 | 14,200 |
OFG Bancorp | 1,630 | 30,220 |
Oil States International, Inc.(a) | 1,662 | 8,343 |
Old National Bancorp | 211 | 3,494 |
Olympic Steel, Inc. | 1,006 | 13,410 |
Omnicell, Inc.(a) | 383 | 45,968 |
OneSpan, Inc.(a) | 4,846 | 100,215 |
Onto Innovation, Inc.(a) | 468 | 22,253 |
OraSure Technologies, Inc.(a) | 1,544 | 16,343 |
Orthofix Medical, Inc.(a) | 1,746 | 75,043 |
OSI Systems, Inc.(a) | 184 | 17,152 |
Owens & Minor, Inc. | 453 | 12,254 |
Oxford Industries, Inc. | 301 | 19,719 |
Pacific Premier Bancorp, Inc. | 118 | 3,697 |
Pacira BioSciences, Inc.(a) | 378 | 22,620 |
Palomar Holdings, Inc.(a) | 682 | 60,589 |
26 |
Security Description | Shares | Value |
Par Pacific Holdings, Inc.(a) | 2,845 | $39,773 |
Park Aerospace Corp. | 481 | 6,450 |
Park National Corp. | 32 | 3,360 |
Patrick Industries, Inc. | 287 | 19,616 |
Patterson-UTI Energy, Inc. | 1,572 | 8,269 |
PBF Energy, Inc., Class A | 4,535 | 32,198 |
PC Connection, Inc. | 275 | 13,005 |
PDC Energy, Inc.(a) | 690 | 14,166 |
PDF Solutions, Inc.(a) | 1,344 | 29,030 |
Penn Virginia Corp.(a) | 1,320 | 13,398 |
Pennant Group, Inc.(a) | 294 | 17,070 |
PennyMac Mortgage Investment Trust, REIT | 956 | 16,816 |
Perdoceo Education Corp.(a) | 3,920 | 49,510 |
Perficient, Inc.(a) | 708 | 33,736 |
PetMed Express, Inc. | 3,317 | 106,343 |
PGT Innovations, Inc.(a) | 842 | 17,126 |
Phibro Animal Health Corp., Class A | 3,606 | 70,029 |
Photronics, Inc.(a) | 982 | 10,959 |
Piper Sandler Companies | 105 | 10,594 |
Pitney Bowes, Inc. | 4,118 | 25,367 |
Plantronics, Inc. | 1,548 | 41,842 |
Plexus Corp.(a) | 1,288 | 100,734 |
Powell Industries, Inc. | 502 | 14,804 |
Power Integrations, Inc. | 910 | 74,493 |
PRA Group, Inc.(a) | 655 | 25,977 |
Preferred Bank | 77 | 3,886 |
PriceSmart, Inc. | 566 | 51,557 |
ProAssurance Corp. | 2,207 | 39,263 |
Progress Software Corp. | 1,052 | 47,540 |
ProPetro Holding Corp.(a) | 1,172 | 8,661 |
Proto Labs, Inc.(a) | 252 | 38,657 |
Providence Service Corp.(a) | 171 | 23,706 |
Provident Financial Services, Inc. | 201 | 3,610 |
QEP Resources, Inc. | 5,565 | 13,300 |
Quaker Chemical Corp. | 63 | 15,964 |
Quanex Building Products Corp. | 742 | 16,450 |
QuinStreet, Inc.(a) | 788 | 16,895 |
R1 RCM, Inc.(a) | 507 | 12,178 |
RadNet, Inc.(a) | 1,323 | 25,891 |
Rambus, Inc.(a) | 3,748 | 65,440 |
Range Resources Corp. | 1,868 | 12,516 |
Raven Industries, Inc. | 220 | 7,280 |
Rayonier Advanced Materials, Inc.(a) | 1,661 | 10,830 |
RE/MAX Holdings, Inc., Class A | 1,331 | 48,355 |
Ready Capital Corp., REIT | 300 | 3,735 |
Realogy Holdings Corp.(a) | 3,289 | 43,152 |
Red Robin Gourmet Burgers, Inc.(a) | 948 | 18,230 |
Redwood Trust, Inc., REIT | 1,001 | 8,789 |
REGENXBIO, Inc.(a) | 1,652 | 74,935 |
Regis Corp.(a) | 2,803 | 25,760 |
Renasant Corp. | 263 | 8,858 |
Renewable Energy Group, Inc.(a) | 600 | 42,492 |
Security Description | Shares | Value |
Rent-A-Center, Inc. | 775 | $29,675 |
Resideo Technologies, Inc.(a) | 934 | 19,857 |
Resources Connection, Inc. | 851 | 10,697 |
Retail Opportunity Investments Corp., REIT | 700 | 9,373 |
Retail Properties of America, Inc., REIT, Class A | 1,066 | 9,125 |
REX American Resources Corp.(a) | 323 | 23,731 |
Rogers Corp.(a) | 51 | 7,920 |
RPC, Inc.(a) | 2,275 | 7,166 |
RPT Realty, REIT | 1,146 | 9,913 |
Ruth's Hospitality Group, Inc. | 1,140 | 20,212 |
S&T Bancorp, Inc. | 145 | 3,602 |
Safehold, Inc., REIT | 147 | 10,656 |
Safety Insurance Group, Inc. | 640 | 49,856 |
Saia, Inc.(a) | 80 | 14,464 |
Sally Beauty Holdings, Inc.(a) | 2,263 | 29,510 |
Sanmina Corp.(a) | 3,084 | 98,349 |
Saul Centers, Inc., REIT | 284 | 8,997 |
ScanSource, Inc.(a) | 459 | 12,108 |
Scholastic Corp. | 1,277 | 31,925 |
Schweitzer-Mauduit International, Inc. | 343 | 13,792 |
Seacoast Banking Corp. of Florida(a) | 124 | 3,652 |
SEACOR Holdings, Inc.(a) | 1,779 | 73,740 |
Select Medical Holdings Corp.(a) | 1,560 | 43,150 |
Seneca Foods Corp., Class A(a) | 700 | 27,930 |
ServisFirst Bancshares, Inc. | 88 | 3,546 |
Shake Shack, Inc., Class A(a) | 573 | 48,579 |
Shenandoah Telecommunications Co. | 886 | 38,319 |
Shoe Carnival, Inc. | 548 | 21,471 |
Shutterstock, Inc. | 1,468 | 105,256 |
Signet Jewelers Ltd. | 1,253 | 34,169 |
Simmons First National Corp., Class A | 165 | 3,562 |
Simply Good Foods Co.(a) | 1,146 | 35,939 |
Simulations Plus, Inc. | 743 | 53,437 |
SITE Centers Corp., REIT | 919 | 9,300 |
SkyWest, Inc. | 1,536 | 61,916 |
Sleep Number Corp.(a) | 242 | 19,810 |
SM Energy Co. | 2,027 | 12,405 |
SMART Global Holdings, Inc.(a) | 1,927 | 72,513 |
Sonic Automotive, Inc., Class A | 797 | 30,740 |
South Jersey Industries, Inc. | 4,318 | 93,053 |
Southside Bancshares, Inc. | 111 | 3,444 |
Southwestern Energy Co.(a) | 4,148 | 12,361 |
SpartanNash Co. | 2,812 | 48,957 |
Spectrum Pharmaceuticals, Inc.(a) | 4,666 | 15,911 |
Spok Holdings, Inc. | 3,959 | 44,064 |
SPS Commerce, Inc.(a) | 457 | 49,626 |
SPX Corp.(a) | 606 | 33,051 |
SPX FLOW, Inc.(a) | 284 | 16,461 |
St Joe Co. | 278 | 11,801 |
Stamps.com, Inc.(a) | 62 | 12,164 |
Standard Motor Products, Inc. | 965 | 39,044 |
27 |
Security Description | Shares | Value |
Standex International Corp. | 505 | $39,148 |
Stepan Co. | 92 | 10,977 |
Steven Madden Ltd. | 1,009 | 35,638 |
Stewart Information Services Corp. | 1,368 | 66,156 |
StoneX Group, Inc.(a) | 1,047 | 60,621 |
Sturm Ruger & Co., Inc. | 628 | 40,864 |
Summit Hotel Properties, Inc., REIT | 2,147 | 19,344 |
SunCoke Energy, Inc. | 3,039 | 13,220 |
Supernus Pharmaceuticals, Inc.(a) | 1,014 | 25,512 |
Surmodics, Inc.(a) | 324 | 14,100 |
Sykes Enterprises, Inc.(a) | 210 | 7,911 |
Tabula Rasa HealthCare, Inc.(a) | 1,173 | 50,251 |
Tactile Systems Technology, Inc.(a) | 1,726 | 77,566 |
Talos Energy, Inc.(a) | 1,465 | 12,072 |
Tanger Factory Outlet Centers, Inc., REIT | 857 | 8,536 |
Team, Inc.(a) | 992 | 10,813 |
TechTarget, Inc.(a) | 276 | 16,314 |
Tennant Co. | 340 | 23,858 |
Third Point Reinsurance Ltd.(a) | 4,130 | 39,318 |
TimkenSteel Corp.(a) | 2,771 | 12,941 |
Titan International, Inc. | 1,891 | 9,190 |
Tivity Health, Inc.(a) | 908 | 17,788 |
Tompkins Financial Corp. | 52 | 3,671 |
Tredegar Corp. | 354 | 5,912 |
Trinseo S.A. | 172 | 8,808 |
Triumph Bancorp, Inc.(a) | 589 | 28,596 |
Triumph Group, Inc. | 703 | 8,830 |
TrueBlue, Inc.(a) | 406 | 7,588 |
Trupanion, Inc.(a) | 480 | 57,461 |
TrustCo Bank Corp. NY | 1,391 | 9,278 |
TTEC Holdings, Inc. | 112 | 8,168 |
TTM Technologies, Inc.(a) | 3,741 | 51,607 |
Tupperware Brands Corp.(a) | 1,212 | 39,257 |
UFP Industries, Inc. | 610 | 33,885 |
Ultra Clean Holdings, Inc.(a) | 321 | 9,999 |
Unifi, Inc.(a) | 435 | 7,717 |
UniFirst Corp. | 189 | 40,009 |
Unisys Corp.(a) | 1,895 | 37,294 |
United Community Banks, Inc. | 128 | 3,640 |
United Fire Group, Inc. | 1,650 | 41,415 |
United Insurance Holdings Corp. | 10,727 | 61,358 |
United Natural Foods, Inc.(a) | 3,181 | 50,801 |
Uniti Group, Inc., REIT | 924 | 10,839 |
Universal Corp. | 1,334 | 64,846 |
Universal Electronics, Inc.(a) | 757 | 39,712 |
Universal Health Realty Income Trust, REIT | 147 | 9,448 |
Universal Insurance Holdings, Inc. | 3,433 | 51,873 |
Urstadt Biddle Properties, Inc., REIT, Class A | 654 | 9,241 |
Security Description | Shares | Value |
US Concrete, Inc.(a) | 926 | $37,012 |
US Ecology, Inc. | 1,027 | 37,311 |
US Physical Therapy, Inc. | 221 | 26,575 |
US Silica Holdings, Inc. | 1,325 | 9,301 |
USANA Health Sciences, Inc.(a) | 377 | 29,067 |
Vanda Pharmaceuticals, Inc.(a) | 1,724 | 22,653 |
Varex Imaging Corp.(a) | 1,227 | 20,466 |
Vector Group Ltd. | 5,298 | 61,722 |
Veeco Instruments, Inc.(a) | 630 | 10,937 |
Vera Bradley, Inc.(a) | 4,560 | 36,298 |
Veritex Holdings, Inc. | 147 | 3,772 |
Veritiv Corp.(a) | 658 | 13,680 |
Viad Corp. | 510 | 18,447 |
Viavi Solutions, Inc.(a) | 1,648 | 24,679 |
Vicor Corp.(a) | 792 | 73,038 |
Virtus Investment Partners, Inc. | 269 | 58,373 |
Virtusa Corp.(a) | 657 | 33,592 |
Vista Outdoor, Inc.(a) | 2,038 | 48,423 |
Vonage Holdings Corp.(a) | 7,397 | 95,236 |
Wabash National Corp. | 1,311 | 22,589 |
Waddell & Reed Financial, Inc., Class A | 2,243 | 57,129 |
Walker & Dunlop, Inc. | 193 | 17,760 |
Warrior Met Coal, Inc. | 783 | 16,694 |
Washington Real Estate Investment Trust, REIT | 637 | 13,778 |
Watts Water Technologies, Inc., Class A | 139 | 16,916 |
WD-40 Co. | 28 | 7,439 |
Westamerica BanCorp | 528 | 29,193 |
Whitestone REIT | 1,173 | 9,349 |
Winnebago Industries, Inc. | 844 | 50,589 |
WisdomTree Investments, Inc. | 11,480 | 61,418 |
Wolverine World Wide, Inc. | 1,079 | 33,719 |
World Acceptance Corp.(a) | 247 | 25,248 |
Xencor, Inc.(a) | 1,525 | 66,536 |
Xenia Hotels & Resorts, Inc., REIT | 1,312 | 19,942 |
Xperi Holding Corp. | 565 | 11,808 |
YETI Holdings, Inc.(a) | 580 | 39,713 |
Zumiez, Inc.(a) | 894 | 32,881 |
Zynex, Inc.(a) | 5,068 | 68,215 |
INVESTMENTS IN COMMON STOCK—99.8% (Cost $13,317,365) | 17,193,870 | |
OTHER ASSETS IN EXCESS OF LIABILITIES—0.2% | 32,236 | |
NET ASSETS—100.0% | $17,226,106 |
(a) | Non-income producing security. |
PLC=Public Limited Company |
REIT=Real Estate Investment Trust |
28 |
INDUSTRY | PERCENTAGE OF NET ASSETS |
Branded Pharmaceuticals | 4.9% |
Healthcare Providers and Facilities | 3.5 |
Commercial Hardware | 3.4 |
Business Software for Specific Uses | 2.9 |
Midstream and Gas | 2.9 |
Medical Devices | 2.5 |
Non Real Estate Banking | 2.5 |
Consumer Insurance | 2.5 |
Content Providers | 2.5 |
Home Office and Consumer Equipment Manufacture | 2.4 |
Operators and Developers | 2.4 |
Real Estate Banking | 2.4 |
Management and IT Services | 2.4 |
Transaction Services | 2.4 |
Transportation Services | 2.3 |
Telecommunication Networks | 2.3 |
Rental | 2.2 |
Home Office and Consumer Equipment Retail | 2.2 |
Hospital Equipment | 2.2 |
Auto Products | 2.2 |
Business Software for Specific Industries | 2.2 |
Commercial Insurance | 2.0 |
Investment Services | 2.0 |
Information and Electrical Components | 2.0 |
Production Equipment | 1.8 |
Food Distributors | 1.8 |
Mechanical Components | 1.8 |
Distribution Services | 1.7 |
Analog and Mixed Signal Integrated Circuits | 1.7 |
Restaurants | 1.7 |
Upstream Energy | 1.7 |
Digital Integrated Circuits | 1.6 |
Specialty Services | 1.6 |
Semiconductor Services and Equipment | 1.6 |
Chemicals | 1.4 |
Apparel Retailers | 1.4 |
Online Distribution Networks | 1.2 |
Processed Foods | 1.2 |
Other Natural Resources | 1.2 |
Branded Apparel | 1.2 |
Contract Electronics Services | 1.2 |
Alcohol and Tobacco | 1.1 |
Primary Foods | 1.1 |
INDUSTRY | PERCENTAGE OF NET ASSETS |
Metals | 1.0% |
Accessories and Footwear | 1.0 |
Transport Aerospace and Defense Equipment | 1.0 |
Midstream | 0.9 |
Industrial Conglomerates | 0.7 |
Healthcare Products Distribution | 0.7 |
Downstream | 0.7 |
Personal Products | 0.6 |
Drugstores | 0.6 |
Electric Regulated | 0.6 |
Consumer Paper Products | 0.6 |
Search and Social Networks | 0.6 |
Internet Services | 0.6 |
Brokers and Dealers | 0.4 |
End User Hardware | 0.2 |
Vitamins and Nutritional Supplements | 0.2 |
Consumer Services | 0.1 |
Medical Research Services and Equipment | 0.1 |
Other Assets in Excess of Liabilities | 0.2 |
Total | 100.0% |
29 |
Syntax Stratified LargeCap ETF | Syntax Stratified MidCap ETF | Syntax Stratified SmallCap ETF | |||
ASSETS | |||||
Investments in securities of unaffiliated issuers | $41,890,187 | $3,411,704 | $17,193,870 | ||
Cash | 64,400 | 7,328 | 26,964 | ||
Dividends receivable | 44,950 | 2,476 | 9,600 | ||
Total Assets | 41,999,537 | 3,421,508 | 17,230,434 | ||
LIABILITIES | |||||
Accrued Management fee | 10,468 | 842 | 4,311 | ||
Accrued Other fees | 4 | — | 17 | ||
Total Liabilities | 10,472 | 842 | 4,328 | ||
NET ASSETS | $41,989,065 | $3,420,666 | $17,226,106 | ||
NET ASSETS CONSISTS OF: | |||||
Paid in Capital | 35,173,885 | 2,554,449 | 12,662,933 | ||
Distributable earnings | 6,815,180 | 866,217 | 4,563,173 | ||
NET ASSETS | $41,989,065 | $3,420,666 | $17,226,106 | ||
NET ASSET VALUE PER SHARE | $55.99 | $34.21 | $43.07 | ||
SHARES OUTSTANDING (unlimited number of shares authorized, no par value) | 750,000 | 100,000 | 400,000 | ||
COST OF INVESTMENTS | $33,789,937 | $2,550,025 | $13,317,365 |
30 |
Syntax Stratified LargeCap ETF | Syntax Stratified MidCap ETF | Syntax Stratified SmallCap ETF | |||
Year Ended 12/31/20 | For the Period 1/16/20(a) to 12/31/20 | For the Period 5/28/20(b) to 12/31/20 | |||
INVESTMENT INCOME | |||||
Dividend income (net of foreign taxes withheld of $0, $5 and $55, respectively) | $671,585 | $36,777 | $103,808 | ||
Total Investment Income | 671,585 | 36,777 | 103,808 | ||
EXPENSES | |||||
Management fee | 141,733 | 11,793 | 37,656 | ||
Other fees | 1,376 | 100 | 356 | ||
Total Expenses | 143,109 | 11,893 | 38,012 | ||
Expense Waiver/Reimbursement | (47,244) | (3,931) | (12,552) | ||
Net Expenses | 95,865 | 7,962 | 25,460 | ||
NET INVESTMENT INCOME (LOSS) | 575,720 | 28,815 | 78,348 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) from transactions in investment securities | (1,199,985) | 9,085 | 815,196 | ||
Net realized gain (loss) from in-kind redemptions of investments | 9,352,080 | — | 1,881,789 | ||
Net realized gain (loss) | 8,152,095 | 9,085 | 2,696,985 | ||
Net change in unrealized appreciation/depreciation on Investments | (2,055,792) | 412,868 | 2,574,574 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 6,096,303 | 421,953 | 5,271,559 | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $6,672,023 | $450,768 | $5,349,907 |
(a) | Fund commenced operations on January 16, 2020. |
(b) | Fund commenced operations on May 28, 2020. |
31 |
Syntax Stratified LargeCap ETF | Syntax Stratified MidCap ETF | Syntax Stratified SmallCap ETF | |||||
Year Ended 12/31/20 | For the Period 1/2/19(a) to 12/31/19 | For the Period 1/16/20(b) to 12/31/20 | For the Period 5/28/20(c) to 12/31/20 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $575,720 | $942,339 | $28,815 | $78,348 | |||
Net realized gain (loss) | 8,152,095 | (428,382) | 9,085 | 2,696,985 | |||
Net change in unrealized appreciation/depreciation | (2,055,792) | 12,145,204 | 412,868 | 2,574,574 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 6,672,023 | 12,659,161 | 450,768 | 5,349,907 | |||
DISTRIBUTIONS TO SHAREHOLDERS | |||||||
Distributions to Shareholders | (684,065) | (964,675) | (30,102) | (149,507) | |||
INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS: | |||||||
Proceeds from Shares Sold | 16,583,551 | 56,595,018 | 3,000,000 | 16,028,533 | |||
Cost of Shares Redeemed | (42,731,376) | (6,240,572) | — | (4,002,827) | |||
INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS: | (26,147,825) | 50,354,446 | 3,000,000 | 12,025,706 | |||
NET INCREASE (DECREASE) IN NET ASSETS DURING THE PERIOD | (20,159,867) | 62,048,932 | 3,420,666 | 17,226,106 | |||
NET ASSETS AT BEGINNING OF PERIOD | 62,148,932 | 100,000 | — | — | |||
NET ASSETS AT END OF PERIOD | $41,989,065 | $62,148,932 | $3,420,666 | $17,226,106 | |||
SHARE TRANSACTIONS: | |||||||
Shares sold | 375,000 | 1,372,500 | 100,000 | 525,000 | |||
Shares redeemed | (850,000) | (150,000) | — | (125,000) | |||
NET INCREASE (DECREASE) | (475,000) | 1,222,500 | 100,000 | 400,000 |
(a) | Fund commenced operations on January 2, 2019. |
(b) | Fund commenced operations on January 16, 2020. |
(c) | Fund commenced operations on May 28, 2020. |
32 |
Syntax Stratified LargeCap ETF | |||
Year Ended 12/31/20 | For the Period 1/2/19(a) to 12/31/19 | ||
Net asset value, beginning of period | $50.73 | $40.00 | |
Income (loss) from investment operations: | |||
Net investment income (loss)(b) | 0.88 | 0.84 | |
Net realized and unrealized gain (loss) | 5.29 | 10.68 | |
Total from investment operations | 6.17 | 11.52 | |
Less Distributions from: | |||
Net investment income | (0.82) | (0.79) | |
Net realized gains | (0.09) | — | |
Net asset value, end of period | $55.99 | $50.73 | |
Total return(c) | 12.18% | 28.81%(d) | |
Ratios and Supplemental Data: | |||
Net assets, end of period (000s) | $41,989 | $62,149 | |
Ratios to average net assets: | |||
Total expenses | 0.45% | 0.80%(e) | |
Net expenses(f) | 0.30% | 0.30%(e) | |
Net investment income (loss)(f) | 1.83% | 1.80%(e) | |
Portfolio turnover rate(g) | 36% | 34%(d) |
(a) | Fund commenced operations on January 2, 2019. |
(b) | Per Share numbers have been calculated using the average shares method. |
(c) | Total return is calculated assuming a purchase of Shares at net asset value per Share on the first day and a sale at net asset value per Share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in this calculation. Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Net of expenses waived/reimbursed by the Advisor. |
(g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions of Shares. |
33 |
Syntax Stratified MidCap ETF | |
For the Period 1/16/20(a) to 12/31/20 | |
Net asset value, beginning of period | $30.00 |
Income (loss) from investment operations: | |
Net investment income (loss)(b) | 0.29 |
Net realized and unrealized gain (loss) | 4.22 |
Total from investment operations | 4.51 |
Less Distributions from: | |
Net investment income | (0.30) |
Net asset value, end of period | $34.21 |
Total return(c) | 15.04%(d) |
Ratios and Supplemental Data: | |
Net assets, end of period (000s) | $3,421 |
Ratios to average net assets: | |
Total expenses | 0.45%(e) |
Net expenses(f) | 0.30%(e) |
Net investment income (loss)(f) | 1.10%(e) |
Portfolio turnover rate(g) | 52%(d) |
(a) | Fund commenced operations on January 16, 2020. |
(b) | Per Share numbers have been calculated using the average shares method. |
(c) | Total return is calculated assuming a purchase of Shares at net asset value per Share on the first day and a sale at net asset value per Share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in this calculation. Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Net of expenses waived/reimbursed by the Advisor. |
(g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions of Shares. |
34 |
Syntax Stratified SmallCap ETF | |
For the Period 5/28/20(a) to 12/31/20 | |
Net asset value, beginning of period | $30.00 |
Income (loss) from investment operations: | |
Net investment income (loss)(b) | 0.20 |
Net realized and unrealized gain (loss) | 13.24 |
Total from investment operations | 13.44 |
Less Distributions from: | |
Net investment income | (0.19) |
Net realized gains | (0.18) |
Net asset value, end of period | $43.07 |
Total return(c) | 44.82%(d) |
Ratios and Supplemental Data: | |
Net assets, end of period (000s) | $17,226 |
Ratios to average net assets: | |
Total expenses | 0.45%(e) |
Net expenses(f) | 0.30%(e) |
Net investment income (loss)(f) | 0.93%(e) |
Portfolio turnover rate(g) | 40%(d) |
(a) | Fund commenced operations on May 28, 2020. |
(b) | Per Share numbers have been calculated using the average shares method. |
(c) | Total return is calculated assuming a purchase of Shares at net asset value per Share on the first day and a sale at net asset value per Share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in this calculation. Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Net of expenses waived/reimbursed by the Advisor. |
(g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions of Shares. |
35 |
Fund | Underlying Index | |
Syntax Stratified LargeCap ETF | Syntax Stratified LargeCap Index | |
Syntax Stratified MidCap ETF | Syntax Stratified MidCap Index | |
Syntax Stratified SmallCap ETF | Syntax Stratified SmallCap Index |
36 |
Initial Market Value of Securities acquired by Fund | Cost Basis | Unrealized Gain (Loss) | |||
Syntax Stratified LargeCap ETF | $33,554,457 | $35,543,619 | $(1,989,162) | ||
Syntax Stratified MidCap ETF | 2,785,553 | 2,336,742 | 448,811 | ||
Syntax Stratified SmallCap ETF | 11,391,517 | 10,089,586 | 1,301,931 |
• | Level 1 — Quoted prices in active markets for identical investments |
• | Level 2 — Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
37 |
• | Level 3 — Significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments) |
Description | Level 1 | Level 2 | Level 3 | Total |
Syntax Stratified LargeCap ETF | ||||
INVESTMENTS: | ||||
Common Stock | $41,890,187 | $— | $— | $41,890,187 |
Total | $41,890,187 | $— | $— | $41,890,187 |
Syntax Stratified MidCap ETF | ||||
INVESTMENTS: | ||||
Common Stock | $3,411,704 | $— | $— | $3,411,704 |
Total | $3,411,704 | $— | $— | $3,411,704 |
Syntax Stratified SmallCap ETF | ||||
INVESTMENTS: | ||||
Common Stock | $17,193,870 | $— | $— | $17,193,870 |
Total | $17,193,870 | $— | $— | $17,193,870 |
38 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||||
Distributions Paid from Ordinary Income | Distributions Paid from Long-Term Gain | Distributions Paid from Ordinary Income | Distributions Paid from Long-Term Gain | |||||||
Syntax Stratified LargeCap ETF | $684,065 | $— | $964,675 | $— | ||||||
Syntax Stratified MidCap ETF | 30,102 | — | — | — | ||||||
Syntax Stratified SmallCap ETF | 149,507 | — | — | — |
Paid in Capital | Distributable Earnings | ||
Syntax Stratified LargeCap ETF | $8,490,111 | $(8,490,111) | |
Syntax Stratified MidCap ETF | 3,260 | (3,260) | |
Syntax Stratified SmallCap ETF | 1,939,158 | (1,939,158) |
39 |
Undistrbuted Ordinary Income | Capital Loss Carryforward | Unrealized Appreciation (Depreciation) | |||
Syntax Stratified LargeCap ETF | $— | $(1,197,831) | $8,013,011 | ||
Syntax Stratified MidCap ETF | 6,477 | — | 859,740 | ||
Syntax Stratified SmallCap ETF | 692,908 | — | 3,870,265 |
Long-Term | Short-Term | ||
Syntax Stratified LargeCap ETF | $1,197,831 | $— |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
Syntax Stratified LargeCap ETF | $33,877,176 | $8,630,588 | $(617,577) | $8,013,011 | |||
Syntax Stratified MidCap ETF | 2,551,964 | 912,714 | (52,974) | 859,740 | |||
Syntax Stratified SmallCap ETF | 13,323,605 | 4,106,181 | (235,916) | 3,870,265 |
Purchases | Sales | ||
Syntax Stratified LargeCap ETF | $11,984,244 | $11,986,289 | |
Syntax Stratified MidCap ETF | 1,646,778 | 1,438,023 | |
Syntax Stratified SmallCap ETF | 6,039,245 | 5,514,659 |
In-kind Contributions | In-kind Redemptions | In-kind Net Realized Gains (Losses) | |||
Syntax Stratified LargeCap ETF | $16,512,531 | $42,571,812 | $9,352,080 | ||
Syntax Stratified MidCap ETF | 2,336,742 | — | — | ||
Syntax Stratified SmallCap ETF | 14,116,114 | 4,007,577 | 1,881,789 |
40 |
Annual Rate | |
Syntax Stratified LargeCap ETF | 0.45% |
Syntax Stratified MidCap ETF | 0.45% |
Syntax Stratified SmallCap ETF | 0.45% |
Expense Limit | |
Syntax Stratified LargeCap ETF | 0.30% |
Syntax Stratified MidCap ETF | 0.30% |
Syntax Stratified SmallCap ETF | 0.30% |
Expenses Waived and Reimbursed | |
Syntax Stratified LargeCap ETF | $47,244 |
Syntax Stratified MidCap ETF | 3,931 |
Syntax Stratified SmallCap ETF | 12,552 |
41 |
2022 | 2023 | ||
Syntax Stratified LargeCap ETF | $262,321 | $47,244 | |
Syntax Stratified MidCap ETF | — | 3,931 | |
Syntax Stratified SmallCap ETF | — | 12,552 |
42 |
43 |
Individual Funds constituting Syntax ETF Trust | Statement of operations | Statements of changes in net assets | Financial highlights |
Syntax Stratified LargeCap ETF | For the year ended December 31, 2020 | For the year ended December 31, 2020 and the period from January 2, 2019 (commencement of operations) through December 31, 2019 | |
Syntax Stratified MidCap ETF | For the period from January 16, 2020 (commencement of operations) through December 31, 2020 | ||
Syntax Stratified SmallCap ETF | For the period from May 28, 2020 (commencement of operations) through December 31, 2020 |
We have served as the auditor of one or more Syntax investment companies since 2018.
44 |
45 |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period | Ending Account Value | Expenses Paid During Period(a) | |||||
Syntax Stratified LargeCap ETF | 0.30% | $1,246.70 | $1.69 | $1,023.60 | $1.53 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184 for the Fund and the Hypothetical numbers shown, then divided by 366. |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period | Ending Account Value | Expenses Paid During Period(a) | |||||
Syntax Stratified MidCap ETF | 0.30% | $1,307.10 | $1.74 | $1,023.60 | $1.53 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184 for the Fund and the Hypothetical numbers shown, then divided by 366. |
46 |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period | Ending Account Value | Expenses Paid During Period(a) | |||||
Syntax Stratified SmallCap ETF | 0.30% | $1,385.50 | $1.80 | $1,023.60 | $1.53 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184 for the Fund and the Hypothetical numbers shown, then divided by 366. |
47 |
48 |
NAME, ADDRESS AND YEAR OF BIRTH | POSITION(S) WITH TRUST | TERM OF OFFICE AND LENGTH OF TIME SERVED | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS | NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE | OTHER DIRECTORSHIPS HELD BY TRUSTEE DURING THE LAST 5 YEARS |
Independent Trustees | |||||
Deborah Fuhr (1959) | Independent Trustee | Term: Unlimited Trustee since 2018 | Co-Founder and Managing Partner, ETFGI LLP (research and consulting) (2012 to present); | 3 | Co-Founder and Board Member, Women in ETFs (Not for Profit) (2014 to present); Co- founder and Board Member, Women in ETFs Europe Limited (Educational Association) (2015 to present); Director and Board Member, 2 Culford Gardens RTM (Property) (2011 to present); Director and Board Member (2 Culford Gardens Freehold (Property) (2011 to present) |
George Hornig (1954) | Independent Trustee and Chairman of the Audit Committee | Term: Unlimited Trustee since 2018 | Managing Member, George Hornig, LLC (2017 to present) (investments); Senior Managing Director and Chief Operating Officer, Pinebridge Investments (investment adviser) (2010 to 2016). | 3 | Director, Forrester Research, Inc. (technology research company) (1996 to 2018); Director, Daniel J. Edelman Holding (2016 to present) (communications marketing firm); Director, Xometry (advanced manufacturing platform business) (2014 to present); Director, KBL Merger Corp IV (2017 to present) (healthcare). |
49 |
Richard Lyons (1961) | Lead Independent Trustee and Chairman of the Nominating and Governance Committee | Term: Unlimited Trustee since 2018 | Chief Innovation and Entrepreneurship Officer, UC Berkeley (since 2020); Professor and William & Janet Cronk Chair in Innovative Leadership (2019), Dean (2008- 19), Haas School of Business, UC Berkeley; Chief Learning Officer (2006 to 2008), Goldman Sachs (investment banking and investment management); Executive Associate Dean (2005 to 2006), Acting Dean (2004 to 2005), Professor (2000 to 2004), Associate Professor (1996 to 2000), Assistant Professor (1993 to 1996), Haas School of Business, UC Berkeley. | 3 | Director (2013 to 2016), Matthews A Share Selections Fund, LLC (mutual funds). |
Stewart Myers (1940) | Independent Trustee | Term: Unlimited Trustee since 2018 | Professor Emeritus and Professor, MIT Sloan School of Management (since 2015); Principal, The Brattle Group, Inc. (since 1991). | 3 | Director, Entergy Corp. (2009 to 2015). |
Interested Trustees | |||||
Rory Riggs (1953) | Trustee and Chief Executive Officer | Term: Unlimited Trustee since 2017 | Founder and Chief Executive Officer, Locus Analytics, LLC (since 2010); Founder and Chief Executive Officer, Syntax Advisors, LLC (Since 2013); and Chief Executive Officer and Founder of Syntax LLC (Since 2009). | 3 | Managing Member of Balfour, LLC (since 2001); Board Member, Nuredis, Inc. (2016 to present); President, Biomatrix Corporation (1996 to 2000); Director, Biomatrix Corporation (1990 to 2000); Acting President and Chief Exectutive Officer of RF&P Corporation (1991 to 1995); Managing Director PaineWebber Incorporated (1981 to 1990); Co-Founder and Chairman, RP Management, LLC; Chairman/Chairman Emeritus and co- founder, Royalty Pharma (1996 to present) (biopharmaceuticals); Chairman and Co- Founder, Cibus Global, Ltd. (2012 to present) (gene editing in agriculture); Director GeneNews Limited (2000 to present); Director Intra-Cellular Therapies, Inc. (since 2014); Director, FibroGen, Inc. (1993 to present). |
50 |
Kathy Cuocolo (1952) | Trustee and President | Term: Unlimited Trustee since 2018 | President and Senior Vice President, Syntax Advisors, LLC and predecessor companies (2014 to present); Managing Director, Head of Global ETF Services, BNY Mellon (2008 to 2013); Executive Vice President, State Street (1982 to 2003). | 3 | Greenbacker Renewable Energy LLC, Audit Chair (2013 to present); Guardian Life Family of Funds (2005 – 2007); Select Sector Trust, Chairman (2000 to 2007); The China Fund (1999 to 2003). |
NAME, ADDRESS AND YEAR OF BIRTH | POSITION(S) WITH TRUST | TERM OF OFFICE AND LENGTH OF TIME SERVED | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS |
OFFICERS | |||
Rory Riggs (1953) | Chief Executive | Since 2018 | See Trustee table above |
Kathy Cuocolo (1952) | President | Since 2018 | See Trustee table above |
David Jaffin (1954) | Treasurer | Since 2019 | Partner, B2B CFO® (January 2019 to present); Chief Financial Officer, Poliwogg Holdings, Inc. (October 2012 to August 2018). |
Carly Arison (1990) | Secretary | Since 2018 | Senior Vice President, Vice President, and Manager, Syntax Advisors, LLC and predecessor companies (2012 to present). |
Brandon Kipp (1983) | Chief Compliance Officer | Since 2019 | Director, Foreside Financial Group, LLC (since May 2019); Senior Fund Compliance Officer, Ultimus Fund Solutions, LLC (from July 2017 to May 2019); Assistant Vice President and Compliance Manager, UMB Fund Services, Inc. (March 2014 to July 2017). |
51 |
One Liberty Plaza 46th FI.
New York, NY 10006
One Lincoln Street
Boston, MA 02111
Three Canal Plaza, Suite 100
Portland, ME 04101
200 Clarendon Street
Boston, MA 02116
Item 2: | Code of Ethics. |
(a) | The Registrant has adopted a code of ethics that applies to its principal executive officer, principal financial officer, and any other officers who serve a similar function. |
(b) | The Registrant’s code of ethics is reasonably designed as described in this Form N-CSR. |
(c) | During the period covered by the report no amendments were made to the provisions of this code of ethics. |
(d) | During the period covered by the report, the Registrant did not grant any waivers, including implicit waivers, from the provisions of this code of ethics. |
(e) | Not Applicable. |
(f) | The Registrant has filed this code of ethics as an exhibit pursuant to Item 13(a)(1) of Form N-CSR. |
Item 3: | Audit Committee Financial Experts. |
The Registrant’s Board of Trustees has determined that George Hornig, Richard Lyons and Stewart Myers are “audit committee financial experts,” as such term is defined in Item 3 of Form N-CSR. Messrs. Hornig, Lyons and Myers are “independent” under the standards set forth in Item 3 of Form N-CSR. The designation of Messrs. Hornig, Lyons and Myers as “audit committee financial experts” pursuant to Item 3 of Form N-CSR does not (i) impose upon them any duties, obligations, or liabilities that are greater than the duties, obligations and liabilities imposed upon them as a member of the Registrant’s audit committee or Board of Trustees in the absence of such designation; or (ii) affect the duties, obligations or liabilities of any other member of the Registrant’s audit committee or Board of Trustees..
Item 4: | Principal Accountant Fees and Services. |
Fiscal Year Ended 12/31 | Fiscal Year Ended 12/31 | |||||
2019 | 2020 | |||||
(a) | Audit Fees | $28,500 | $87,000 | |||
(b) | Audit Related Fees(1) | $0 | $0 | |||
(c) | Tax Fees(2) | $8,000 | $27,000 | |||
(d) | All Other Fees(3) | $0 | $0 | |||
Total | $36,500 | $114,000 |
(1) | Audit-Related Fees represent assurance and related services provided that are reasonably related to the performance of the audit of the financial statements of the fund comprising the Registrant, specifically data verification and agreed-upon procedures related to asset securitizations and agreed-upon procedures engagements. |
(2) | Tax Fees represent tax compliance, tax planning and tax advice services provided in connection with the review of the distributions for excise tax purposes, fiscal year end taxable income calculations and certain fiscal year end shareholder reporting items on behalf of the fund comprising the Registrant. |
(3) | All Other Fees represent service fees for analysis of potential Passive Foreign Investment Company holdings and N-14 merger related items. |
(e)(1) | Audit Committee Pre-Approval Policies and Procedures. Generally, the Registrant’s Audit Committee must preapprove (i) all audit and non-audit services performed for the Registrant by the independent accountant and (ii) all non-audit services performed by the Registrant’s independent accountant for the Registrant’s investment adviser, and certain of the adviser’s affiliates that provide ongoing services to the Registrant, if the services to be provided by the accountant relate directly to the operations and financial reporting of the Registrant. |
The Audit Committee may delegate preapproval authority to one or more of its members. The member or members to whom such authority is delegated shall report any preapproval decisions to the Audit Committee at its next scheduled meeting.
In accordance with the Procedures, the annual audit services engagement terms and fees for the Registrant will be subject to the preapproval of the Audit Committee. In addition to the annual audit services engagement approved by the Audit Committee, the Audit Committee may grant preapproval for other audit services, which are those services that only the independent accountant reasonably can provide.
Requests or applications to provide services that require separate approval by the Audit Committee will be submitted to the Audit Committee by both the independent accountant and the Registrant’s treasurer, and must include a joint statement as to whether, in their view, the request or application is consistent with the Securities and Exchange Commissions’ rules on auditor independence.
Management will promptly report to the Chair of the Audit Committee any violation of this Procedure of which it becomes aware.
(e)(2) | The percentage of services described in paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X for fiscal year ended 2020was 100%. |
(f) | Not Applicable. |
(g) | Not Applicable. |
(h) | The Registrant’s Audit Committee has considered whether the provision of non-audit services that were rendered to the Registrant’s Adviser, and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintain the principal accountant’s independence. |
Item 5: | Audit Committee of Listed Registrants. |
The following individuals comprise the standing Audit Committee: Deborah Fuhr, George Hornig, Richard Lyons and Stewart Myers.
Item 6: | Schedule of Investments. |
(a) | The schedules of investments are included in the Annual Report to shareholders filed under Item 1 of this Form N-CSR. |
(b) | Not applicable. |
Item 7: | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8: | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
Item 9: | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not Applicable
Item 10: | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees that have been implemented since the Registrant last provided disclosure in response to the requirements of this Item.
Item 11: | Controls and Procedures. |
(a) | The Registrant’s principal executive officer and principal financial officer evaluated the Registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are appropriately designed to ensure that information required to be disclosed by the Registrant in the reports that it files on Form N-CSR (a) is accumulated and communicated to Registrant's management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission. |
(b) | The Registrant’s principal executive officer and principal financial officer are aware of no change in the Registrant’s internal control over financial reporting that occurred during the Registrant’s most recent fiscal half-year that has materially affected, or is 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: | Exhibits. |
(a)(3) | Any written solicitation to purchase securities under Rule 23c 1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable. |
(a)(4) | Change in the registrant’s independent public accountant. Not applicable. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Syntax ETF Trust | ||
(Registrant) | ||
By: | /s/ Rory Riggs | |
Rory Riggs | ||
CEO | ||
(Principal Executive Officer) | ||
Date: | March 8, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ Rory Riggs | ||
Rory Riggs | |||
CEO | |||
(Principal Executive Officer) | |||
Date: | March 8, 2021 | ||
By: | /s/ David Jaffin | ||
David Jaffin | |||
Treasurer | |||
(Principal Financial Officer) | |||
Date: | March 8, 2021 |
EXHIBIT INDEX