As filed with the Securities and Exchange Commission on March 10, 2022
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, 2021 |
Item 1: | Report(s) to Shareholders. |
The Annual Report is attached.
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66 |
Top 10 Holdings and Portfolio Weights | |
Sysco Corp. | 0.81% |
Walmart, Inc. | 0.78% |
Costco Wholesale Corp. | 0.78% |
Kroger Co. | 0.77% |
Chevron Corp. | 0.76% |
Exxon Mobil Corp. | 0.74% |
Walgreens Boots Alliance, Inc. | 0.71% |
CVS Health Corp. | 0.71% |
Microsoft Corp. | 0.67% |
NRG Energy, Inc. | 0.56% |
As of December 31, 2021. Holdings subject to change |
Sector Breakdown | |
Healthcare | 12.81% |
Food | 12.65% |
Information | 12.57% |
Financials | 12.41% |
Energy | 12.39% |
Information Tools | 12.36% |
Industrials | 12.33% |
Consumer Products Services | 12.28% |
Other Assets in Excess of Liabilities | 0.20% |
As of December 31, 2021. (% of the Fund’s Net Assets) |
Cumulative | Annualized | Calendar Year | |||||||||||
YTD | 4Q21 | 1Y | 3Y | 5Y | Since Fund Inception | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | |
SSPY NAV (%) | 28.76 | 9.40 | 28.76 | 23.03 | 15.81 | 12.93 | -1.44 | 14.11 | 19.73 | -6.57 | 28.93 | 12.18 | 28.76 |
SSPY Market Price (%) | 28.82 | 9.28 | 28.82 | -- | -- | -- | -- | -- | -- | -- | 28.90 | 12.22 | 28.82 |
Syntax Stratified LargeCap Index (TR) | 29.25 | 9.50 | 29.25 | 23.39 | -- | -- | -- | -- | 20.12 | -6.43 | 29.33 | 12.38 | 29.25 |
S&P 500 Index (TR) | 28.71 | 11.03 | 28.71 | 26.07 | 18.47 | 14.93 | 1.38 | 11.96 | 21.83 | -4.38 | 31.49 | 18.40 | 28.71 |
S&P 500 Equal Weight Index (TR) | 29.63 | 9.01 | 29.63 | 23.64 | 15.73 | 12.85 | -2.20 | 14.80 | 18.90 | -7.64 | 29.24 | 12.83 | 29.63 |
Top 10 Holdings and Portfolio Weights | |
MKS Instruments, Inc. | 0.83% |
Cable One, Inc. | 0.83% |
Progyny, Inc. | 0.83% |
Scientific Games Corp. | 0.82% |
Ciena Corp. | 0.81% |
Lumentum Holdings, Inc. | 0.81% |
Molina Healthcare, Inc. | 0.81% |
Ziff Davis, Inc. | 0.81% |
TripAdvisor, Inc. | 0.79% |
Iridium Communications, Inc. | 0.78% |
As of December 31, 2021. Holdings subject to change |
Sector Breakdown | |
Industrials | 15.10% |
Healthcare | 14.78% |
Financials | 14.56% |
Information Tools | 14.37% |
Consumer Products Services | 13.42% |
Information | 13.36% |
Food | 7.28% |
Energy | 6.98% |
Other Assets in Excess of Liabilities | 0.15% |
As of December 31, 2021. (% of the Fund’s Net Assets) |
Cumulative | Annualized | Calendar Year | |||||||||||
YTD | 4Q21 | 1Y | 3Y | 5Y | Since Fund Inception | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | |
SMDY NAV (%) | 21.95 | 6.42 | 21.95 | 20.81 | 13.35 | 11.48 | -4.12 | 19.25 | 14.82 | -7.58 | 23.35 | 17.22 | 21.95 |
SMDY Market Price (%) | 21.66 | 6.29 | 21.66 | -- | -- | -- | -- | -- | -- | -- | -- | -- | 21.66 |
Syntax Stratified MidCap Index (TR) | 22.53 | 6.52 | 22.53 | 21.35 | -- | -- | -- | -- | 15.13 | -7.33 | 23.81 | 17.79 | 22.53 |
S&P 400 Index (TR) | 24.76 | 8.00 | 24.76 | 21.41 | 13.09 | 11.81 | -2.18 | 20.74 | 16.24 | -11.08 | 26.20 | 13.66 | 24.76 |
S&P 400 Equal Weight Index (TR) | 27.12 | 7.28 | 27.12 | 21.97 | 12.72 | 11.46 | -5.24 | 23.95 | 13.87 | -11.94 | 23.29 | 15.77 | 27.12 |
Top 10 Holdings and Portfolio Weights | |
Diodes, Inc. | 0.79% |
MaxLinear, Inc. | 0.78% |
Liquidity Services, Inc. | 0.64% |
Sanmina Corp. | 0.62% |
Plexus Corp. | 0.60% |
Consensus Cloud Solutions, Inc. | 0.59% |
Telephone and Data Systems, Inc. | 0.59% |
ATN International, Inc. | 0.59% |
Shutterstock, Inc. | 0.58% |
Cars.com, Inc. | 0.53% |
As of December 31, 2021. Holdings subject to change |
Sector Breakdown | |
Financials | 14.63% |
Healthcare | 14.52% |
Information Tools | 14.46% |
Industrials | 14.38% |
Consumer Products Services | 13.93% |
Information | 13.73% |
Food | 7.24% |
Energy | 6.89% |
Other Assets in Excess of Liabilities | 0.22% |
As of December 31, 2021. (% of the Fund’s Net Assets) |
Cumulative | Annualized | Calendar Year | |||||
YTD | 4Q21 | 1Y | 3Y | 5Y | Since Fund Inception | 2021 | |
SSLY NAV (%) | 25.72 | 4.47 | 25.72 | -- | -- | 45.52 | 25.72 |
SSLY Market Price | 25.47 | 4.28 | 25.47 | -- | -- | 45.52 | 25.47 |
Syntax Stratified SmallCap Index (TR) | 27.34 | 4.51 | 27.34 | -- | -- | 47.30 | 27.34 |
S&P 600 Index (TR) | 26.82 | 5.64 | 26.82 | -- | -- | 42.68 | 26.82 |
S&P 600 Equal Weight Index (TR) | 32.50 | 4.62 | 32.50 | -- | -- | 51.50 | 32.50 |
YTD | 4Q21 | 1Y | 3Y | 5Y | Since Fund Inception* | |
SYUS NAV (%) | -- | 8.63 | -- | -- | -- | 15.20 |
SYUS Market Price (%) | -- | 8.63 | -- | -- | -- | 15.20 |
S&P Composite 1500® Index (TR) | -- | 10.71 | -- | -- | -- | 21.70 |
YTD | 4Q21 | 1Y | 3Y | 5Y | Since Fund Inception* | |
SHUS NAV % | -- | 4.76 | -- | -- | -- | 3.54 |
SHUS Market Price (%) | -- | 4.97 | -- | -- | -- | 3.57 |
S&P Composite 1500® Index (TR) | -- | 10.71 | -- | -- | -- | 12.26 |
Security Description | Shares | Value |
COMMON STOCK—99.8% | ||
3M Co. | 1,040 | $184,735 |
A O Smith Corp. | 1,981 | 170,069 |
Abbott Laboratories | 513 | 72,200 |
AbbVie, Inc. | 2,072 | 280,549 |
ABIOMED, Inc.(a) | 302 | 108,469 |
Accenture PLC, Class A | 322 | 133,485 |
Activision Blizzard, Inc. | 6,281 | 417,875 |
Adobe, Inc.(a) | 282 | 159,911 |
Advance Auto Parts, Inc. | 573 | 137,451 |
Advanced Micro Devices, Inc.(a) | 885 | 127,352 |
AES Corp. | 22,623 | 549,739 |
Aflac, Inc. | 3,180 | 185,680 |
Agilent Technologies, Inc. | 783 | 125,006 |
Air Products and Chemicals, Inc. | 176 | 53,550 |
Akamai Technologies, Inc.(a) | 3,253 | 380,731 |
Alaska Air Group, Inc.(a) | 3,212 | 167,345 |
Albemarle Corp. | 202 | 47,222 |
Alexandria Real Estate Equities, Inc., REIT | 577 | 128,648 |
Align Technology, Inc.(a) | 206 | 135,379 |
Allegion PLC | 577 | 76,418 |
Alliant Energy Corp. | 1,567 | 96,323 |
Allstate Corp. | 1,705 | 200,593 |
Alphabet, Inc., Class A(a) | 62 | 179,616 |
Alphabet, Inc., Class C(a) | 62 | 179,403 |
Altria Group, Inc. | 9,190 | 435,514 |
Amazon.com, Inc.(a) | 50 | 166,717 |
Amcor PLC | 7,932 | 95,263 |
Ameren Corp. | 1,058 | 94,173 |
American Airlines Group, Inc.(a) | 9,203 | 165,286 |
American Electric Power Co., Inc. | 3,290 | 292,711 |
American Express Co. | 293 | 47,935 |
American International Group, Inc. | 5,073 | 288,451 |
American Tower Corp., REIT | 223 | 65,228 |
American Water Works Co., Inc. | 2,091 | 394,906 |
Ameriprise Financial, Inc. | 410 | 123,681 |
AmerisourceBergen Corp. | 1,794 | 238,405 |
AMETEK, Inc. | 968 | 142,335 |
Amgen, Inc. | 1,234 | 277,613 |
Amphenol Corp., Class A | 3,281 | 286,956 |
Analog Devices, Inc. | 1,606 | 282,287 |
ANSYS, Inc.(a) | 464 | 186,120 |
Anthem, Inc. | 854 | 395,863 |
Aon PLC, Class A | 140 | 42,078 |
APA Corp. | 2,581 | 69,403 |
Apple, Inc. | 3,075 | 546,028 |
Applied Materials, Inc. | 1,205 | 189,619 |
Aptiv PLC(a) | 2,451 | 404,292 |
Archer-Daniels-Midland Co. | 8,700 | 588,033 |
Arista Networks, Inc.(a) | 1,688 | 242,650 |
Arthur J Gallagher & Co. | 239 | 40,551 |
Assurant, Inc. | 1,188 | 185,162 |
Security Description | Shares | Value |
AT&T, Inc. | 12,081 | $297,193 |
Atmos Energy Corp. | 3,846 | 402,945 |
Autodesk, Inc.(a) | 684 | 192,334 |
Automatic Data Processing, Inc. | 1,039 | 256,197 |
AutoZone, Inc.(a) | 68 | 142,555 |
AvalonBay Communities, Inc., REIT | 647 | 163,426 |
Avery Dennison Corp. | 326 | 70,602 |
Baker Hughes Co. | 14,456 | 347,811 |
Ball Corp. | 986 | 94,922 |
Bank of America Corp. | 3,100 | 137,919 |
Bank of New York Mellon Corp. | 2,161 | 125,511 |
Bath & Body Works, Inc. | 3,612 | 252,081 |
Baxter International, Inc. | 684 | 58,715 |
Becton Dickinson and Co. | 224 | 56,332 |
Berkshire Hathaway, Inc., Class B(a) | 1,914 | 572,286 |
Best Buy Co., Inc. | 2,662 | 270,459 |
Biogen, Inc.(a) | 1,118 | 268,231 |
Bio-Rad Laboratories, Inc., Class A(a) | 185 | 139,780 |
Bio-Techne Corp. | 264 | 136,578 |
BlackRock, Inc. | 135 | 123,601 |
Boeing Co.(a) | 899 | 180,987 |
Booking Holdings, Inc.(a) | 112 | 268,714 |
BorgWarner, Inc. | 8,994 | 405,360 |
Boston Properties, Inc., REIT | 1,077 | 124,049 |
Boston Scientific Corp.(a) | 1,679 | 71,324 |
Bristol-Myers Squibb Co. | 4,616 | 287,808 |
Broadcom, Inc. | 391 | 260,175 |
Broadridge Financial Solutions, Inc. | 686 | 125,415 |
Brown & Brown, Inc. | 610 | 42,871 |
Brown-Forman Corp., Class B | 3,877 | 282,478 |
Cabot Oil & Gas Corp. | 13,174 | 250,306 |
Cadence Design Systems, Inc.(a) | 2,000 | 372,700 |
Caesars Entertainment, Inc.(a) | 828 | 77,443 |
Campbell Soup Co. | 5,484 | 238,335 |
Capital One Financial Corp. | 2,448 | 355,180 |
Cardinal Health, Inc. | 4,558 | 234,691 |
CarMax, Inc.(a) | 924 | 120,333 |
Carnival Corp.(a) | 4,770 | 95,972 |
Carrier Global Corp. | 1,354 | 73,441 |
Catalent, Inc.(a) | 2,124 | 271,936 |
Caterpillar, Inc. | 907 | 187,513 |
Cboe Global Markets, Inc. | 370 | 48,248 |
CBRE Group, Inc., Class A(a) | 397 | 43,078 |
CDW Corp. | 707 | 144,779 |
Celanese Corp. | 460 | 77,308 |
Centene Corp.(a) | 4,694 | 386,786 |
CenterPoint Energy, Inc. | 9,906 | 276,476 |
Ceridian HCM Holding, Inc.(a) | 2,360 | 246,526 |
Cerner Corp. | 1,413 | 131,225 |
CF Industries Holdings, Inc. | 1,506 | 106,595 |
CH Robinson Worldwide, Inc. | 878 | 94,499 |
Security Description | Shares | Value |
Charles River Laboratories International, Inc.(a) | 346 | $130,366 |
Charles Schwab Corp. | 3,418 | 287,454 |
Charter Communications, Inc., Class A(a) | 604 | 393,790 |
Chevron Corp. | 6,996 | 820,981 |
Chipotle Mexican Grill, Inc.(a) | 323 | 564,685 |
Chubb Ltd. | 1,155 | 223,273 |
Church & Dwight Co., Inc. | 5,770 | 591,425 |
Cigna Corp. | 1,027 | 235,830 |
Cincinnati Financial Corp. | 1,897 | 216,125 |
Cintas Corp. | 451 | 199,870 |
Cisco Systems, Inc. | 3,729 | 236,307 |
Citigroup, Inc. | 2,275 | 137,387 |
Citizens Financial Group, Inc. | 1,293 | 61,094 |
Citrix Systems, Inc. | 3,009 | 284,621 |
Clorox Co. | 3,277 | 571,378 |
CME Group, Inc. | 216 | 49,347 |
CMS Energy Corp. | 1,474 | 95,884 |
Coca-Cola Co. | 7,357 | 435,608 |
Cognizant Technology Solutions Corp., Class A | 1,282 | 113,739 |
Colgate-Palmolive Co. | 6,942 | 592,430 |
Comcast Corp., Class A | 7,596 | 382,307 |
Comerica, Inc. | 2,176 | 189,312 |
Conagra Brands, Inc. | 7,376 | 251,890 |
ConocoPhillips | 939 | 67,777 |
Consolidated Edison, Inc. | 3,347 | 285,566 |
Constellation Brands, Inc., Class A | 1,172 | 294,137 |
Cooper Companies, Inc. | 346 | 144,953 |
Copart, Inc.(a) | 1,643 | 249,112 |
Corning, Inc. | 7,337 | 273,157 |
Corteva, Inc. | 1,918 | 90,683 |
Costco Wholesale Corp. | 1,482 | 841,331 |
Crown Castle International Corp., REIT | 316 | 65,962 |
CSX Corp. | 2,501 | 94,038 |
Cummins, Inc. | 346 | 75,476 |
CVS Health Corp. | 7,450 | 768,542 |
Danaher Corp. | 434 | 142,790 |
Darden Restaurants, Inc. | 3,638 | 548,028 |
DaVita, Inc.(a) | 872 | 99,199 |
Deere & Co. | 515 | 176,588 |
Delta Air Lines, Inc.(a) | 4,343 | 169,724 |
DENTSPLY SIRONA, Inc. | 1,038 | 57,910 |
Devon Energy Corp. | 6,353 | 279,850 |
Dexcom, Inc.(a) | 243 | 130,479 |
Diamondback Energy, Inc. | 622 | 67,083 |
Digital Realty Trust, Inc., REIT | 2,202 | 389,468 |
Discover Financial Services | 3,148 | 363,783 |
Discovery, Inc., Class A(a) | 4,736 | 111,485 |
Discovery, Inc., Class C(a) | 4,909 | 112,416 |
DISH Network Corp., Class A(a) | 8,589 | 278,627 |
Dollar General Corp. | 829 | 195,503 |
Dollar Tree, Inc.(a) | 1,298 | 182,395 |
Security Description | Shares | Value |
Dominion Energy, Inc. | 3,639 | $285,880 |
Domino's Pizza, Inc. | 1,032 | 582,389 |
Dover Corp. | 1,074 | 195,038 |
Dow, Inc. | 1,350 | 76,572 |
DR Horton, Inc. | 2,522 | 273,511 |
DTE Energy Co. | 2,376 | 284,027 |
Duke Energy Corp. | 907 | 95,144 |
Duke Realty Corp., REIT | 995 | 65,312 |
DuPont de Nemours, Inc. | 655 | 52,911 |
DXC Technology Co.(a) | 3,405 | 109,607 |
Eastman Chemical Co. | 450 | 54,410 |
Eaton Corp. PLC | 1,620 | 279,968 |
eBay, Inc. | 2,447 | 162,726 |
Ecolab, Inc. | 225 | 52,783 |
Edison International | 4,112 | 280,644 |
Edwards Lifesciences Corp.(a) | 568 | 73,584 |
Electronic Arts, Inc. | 2,925 | 385,807 |
Eli Lilly & Co. | 1,064 | 293,898 |
Emerson Electric Co. | 424 | 39,419 |
Enphase Energy, Inc.(a) | 1,289 | 235,810 |
Entergy Corp. | 2,575 | 290,074 |
EOG Resources, Inc. | 769 | 68,310 |
EPAM Systems, Inc.(a) | 152 | 101,604 |
Equifax, Inc. | 210 | 61,486 |
Equinix, Inc., REIT | 464 | 392,470 |
Equity Residential, REIT | 1,819 | 164,620 |
Essex Property Trust, Inc., REIT | 456 | 160,617 |
Estee Lauder Companies, Inc., Class A | 1,523 | 563,815 |
Etsy, Inc.(a) | 728 | 159,388 |
Everest Re Group Ltd. | 816 | 223,519 |
Evergy, Inc. | 1,377 | 94,476 |
Eversource Energy | 1,048 | 95,347 |
Exelon Corp. | 10,242 | 591,578 |
Expedia Group, Inc.(a) | 1,469 | 265,478 |
Expeditors International of Washington, Inc. | 702 | 94,272 |
Extra Space Storage, Inc., REIT | 755 | 171,181 |
Exxon Mobil Corp. | 13,142 | 804,159 |
F5 Networks, Inc.(a) | 964 | 235,900 |
FactSet Research Systems, Inc. | 130 | 63,181 |
Fastenal Co. | 2,156 | 138,113 |
Federal Realty Investment Trust, REIT | 567 | 77,293 |
FedEx Corp. | 371 | 95,955 |
Fidelity National Information Services, Inc. | 589 | 64,289 |
Fifth Third Bancorp | 1,402 | 61,057 |
First Republic Bank | 880 | 181,729 |
FirstEnergy Corp. | 6,974 | 290,049 |
Fiserv, Inc.(a) | 597 | 61,963 |
FleetCor Technologies, Inc.(a) | 220 | 49,245 |
FMC Corp. | 852 | 93,626 |
Ford Motor Co. | 12,878 | 267,476 |
Fortinet, Inc.(a) | 1,103 | 396,418 |
Security Description | Shares | Value |
Fortive Corp. | 524 | $39,976 |
Fortune Brands Home & Security, Inc. | 1,570 | 167,833 |
Fox Corp., Class A | 3,002 | 110,774 |
Fox Corp., Class B | 3,224 | 110,486 |
Franklin Resources, Inc. | 3,605 | 120,731 |
Freeport-McMoRan, Inc. | 9,604 | 400,775 |
Gap, Inc. | 16,287 | 287,466 |
Garmin Ltd. | 4,052 | 551,761 |
Gartner, Inc.(a) | 329 | 109,991 |
Generac Holdings, Inc.(a) | 218 | 76,719 |
General Dynamics Corp. | 899 | 187,415 |
General Electric Co. | 1,899 | 179,399 |
General Mills, Inc. | 3,657 | 246,409 |
General Motors Co.(a) | 4,366 | 255,979 |
Genuine Parts Co. | 1,026 | 143,845 |
Gilead Sciences, Inc. | 3,698 | 268,512 |
Global Payments, Inc. | 388 | 52,450 |
Globe Life, Inc. | 2,001 | 187,534 |
Goldman Sachs Group, Inc. | 706 | 270,080 |
Halliburton Co. | 15,367 | 351,443 |
Hartford Financial Services Group, Inc. | 4,056 | 280,026 |
Hasbro, Inc. | 2,054 | 209,056 |
HCA Healthcare, Inc. | 1,514 | 388,977 |
Healthpeak Properties, Inc., REIT | 2,721 | 98,201 |
Henry Schein, Inc.(a) | 2,920 | 226,388 |
Hershey Co. | 1,112 | 215,139 |
Hess Corp. | 871 | 64,480 |
Hewlett Packard Enterprise Co. | 18,178 | 286,667 |
Hilton Worldwide Holdings, Inc.(a) | 840 | 131,032 |
Hologic, Inc.(a) | 1,847 | 141,406 |
Home Depot, Inc. | 664 | 275,567 |
Honeywell International, Inc. | 878 | 183,072 |
Hormel Foods Corp. | 12,018 | 586,599 |
Host Hotels & Resorts, Inc., REIT(a) | 7,382 | 128,373 |
Howmet Aerospace, Inc. | 2,438 | 77,602 |
HP, Inc. | 15,165 | 571,266 |
Humana, Inc. | 799 | 370,624 |
Huntington Bancshares, Inc. | 4,015 | 61,911 |
Huntington Ingalls Industries, Inc. | 744 | 138,935 |
IDEX Corp. | 877 | 207,253 |
IDEXX Laboratories, Inc.(a) | 226 | 148,812 |
IHS Markit Ltd. | 922 | 122,552 |
Illinois Tool Works, Inc. | 757 | 186,828 |
Illumina, Inc.(a) | 307 | 116,795 |
Incyte Corp.(a) | 3,979 | 292,059 |
Ingersoll Rand, Inc. | 3,475 | 214,998 |
Intel Corp. | 2,426 | 124,939 |
Intercontinental Exchange, Inc. | 361 | 49,374 |
International Business Machines Corp. | 846 | 113,076 |
International Flavors & Fragrances, Inc. | 356 | 53,631 |
International Paper Co. | 1,503 | 70,611 |
Interpublic Group of Companies, Inc. | 3,315 | 124,147 |
Security Description | Shares | Value |
Intuit, Inc. | 364 | $234,132 |
Intuitive Surgical, Inc.(a) | 265 | 95,215 |
Invesco Ltd. | 5,302 | 122,052 |
IPG Photonics Corp.(a) | 236 | 40,625 |
IQVIA Holdings, Inc.(a) | 454 | 128,092 |
Iron Mountain, Inc., REIT | 1,265 | 66,197 |
J M Smucker Co. | 1,779 | 241,624 |
Jack Henry & Associates, Inc. | 389 | 64,959 |
Jacobs Engineering Group, Inc. | 2,884 | 401,539 |
JB Hunt Transport Services, Inc. | 465 | 95,046 |
Johnson & Johnson | 1,569 | 268,409 |
Johnson Controls International PLC | 947 | 77,001 |
JPMorgan Chase & Co. | 863 | 136,656 |
Juniper Networks, Inc. | 6,497 | 232,008 |
Kellogg Co. | 3,304 | 212,844 |
KeyCorp | 2,662 | 61,572 |
Keysight Technologies, Inc.(a) | 1,092 | 225,509 |
Kimberly-Clark Corp. | 4,058 | 579,969 |
Kimco Realty Corp., REIT | 3,210 | 79,127 |
Kinder Morgan, Inc. | 22,774 | 361,196 |
KLA Corp. | 450 | 193,550 |
Kraft Heinz Co. | 6,933 | 248,895 |
Kroger Co. | 18,581 | 840,976 |
L3Harris Technologies, Inc. | 637 | 135,834 |
Laboratory Corp. of America Holdings(a) | 638 | 200,466 |
Lam Research Corp. | 263 | 189,136 |
Lamb Weston Holdings, Inc. | 4,150 | 263,027 |
Las Vegas Sands Corp.(a) | 1,957 | 73,661 |
Leidos Holdings, Inc. | 1,196 | 106,324 |
Lennar Corp., Class A | 2,363 | 274,486 |
Lincoln National Corp. | 2,727 | 186,145 |
Linde PLC | 156 | 54,043 |
Live Nation Entertainment, Inc.(a) | 820 | 98,146 |
LKQ Corp. | 2,382 | 142,991 |
Lockheed Martin Corp. | 398 | 141,453 |
Loews Corp. | 9,674 | 558,770 |
Lowe's Companies, Inc. | 1,057 | 273,213 |
Lumen Technologies, Inc. | 30,315 | 380,453 |
LyondellBasell Industries N.V., Class A | 817 | 75,352 |
M&T Bank Corp. | 404 | 62,046 |
Marathon Oil Corp. | 4,251 | 69,801 |
Marathon Petroleum Corp. | 8,667 | 554,601 |
MarketAxess Holdings, Inc. | 129 | 53,054 |
Marriott International, Inc., Class A(a) | 762 | 125,913 |
Marsh & McLennan Companies, Inc. | 238 | 41,369 |
Martin Marietta Materials, Inc. | 419 | 184,578 |
Masco Corp. | 2,415 | 169,581 |
Mastercard, Inc., Class A | 139 | 49,945 |
Match Group, Inc.(a) | 2,825 | 373,606 |
McCormick & Co., Inc. | 2,612 | 252,345 |
McDonald's Corp. | 2,083 | 558,390 |
McKesson Corp. | 946 | 235,147 |
Security Description | Shares | Value |
Medtronic PLC | 615 | $63,622 |
Merck & Co., Inc. | 3,579 | 274,295 |
Meta Platforms, Inc., Class A(a) | 1,116 | 375,367 |
MetLife, Inc. | 3,037 | 189,782 |
Mettler-Toledo International, Inc.(a) | 78 | 132,382 |
MGM Resorts International | 1,779 | 79,842 |
Microchip Technology, Inc. | 1,407 | 122,493 |
Micron Technology, Inc. | 1,431 | 133,298 |
Microsoft Corp. | 2,147 | 722,079 |
Mid-America Apartment Communities, Inc., REIT | 731 | 167,721 |
Moderna, Inc.(a) | 1,014 | 257,536 |
Mohawk Industries, Inc.(a) | 929 | 169,245 |
Molson Coors Beverage Co., Class B | 5,971 | 276,756 |
Mondelez International, Inc., Class A | 3,326 | 220,547 |
Monolithic Power Systems, Inc. | 586 | 289,091 |
Monster Beverage Corp.(a) | 4,631 | 444,761 |
Moody's Corp. | 154 | 60,149 |
Morgan Stanley | 2,808 | 275,633 |
Mosaic Co. | 2,505 | 98,421 |
Motorola Solutions, Inc. | 2,085 | 566,494 |
MSCI, Inc. | 96 | 58,818 |
Nasdaq, Inc. | 240 | 50,402 |
NetApp, Inc. | 3,089 | 284,157 |
Netflix, Inc.(a) | 400 | 240,976 |
Newell Brands, Inc. | 9,273 | 202,522 |
Newmont Corp. | 6,574 | 407,719 |
News Corp., Class A | 5,048 | 112,621 |
News Corp., Class B | 5,117 | 115,133 |
NextEra Energy, Inc. | 3,057 | 285,402 |
Nielsen Holdings PLC | 5,930 | 121,624 |
NIKE, Inc., Class B | 1,633 | 272,172 |
NiSource, Inc. | 14,200 | 392,062 |
Norfolk Southern Corp. | 318 | 94,672 |
Northern Trust Corp. | 1,039 | 124,275 |
Northrop Grumman Corp. | 373 | 144,377 |
NortonLifeLock, Inc. | 15,131 | 393,103 |
Norwegian Cruise Line Holdings Ltd.(a) | 4,271 | 88,581 |
NRG Energy, Inc. | 14,212 | 612,253 |
Nucor Corp. | 3,253 | 371,330 |
NVIDIA Corp. | 404 | 118,820 |
NVR, Inc.(a) | 48 | 283,626 |
NXP Semiconductors N.V. | 1,298 | 295,658 |
Occidental Petroleum Corp. | 2,241 | 64,967 |
Old Dominion Freight Line, Inc. | 258 | 92,462 |
Omnicom Group, Inc. | 1,730 | 126,757 |
ONEOK, Inc. | 5,925 | 348,153 |
Oracle Corp. | 3,583 | 312,473 |
O'Reilly Automotive, Inc.(a) | 200 | 141,246 |
Organon & Co. | 9,062 | 275,938 |
Otis Worldwide Corp. | 877 | 76,360 |
PACCAR, Inc. | 2,069 | 182,610 |
Security Description | Shares | Value |
Packaging Corp. of America | 540 | $73,521 |
Parker-Hannifin Corp. | 238 | 75,713 |
Paychex, Inc. | 1,973 | 269,314 |
Paycom Software, Inc.(a) | 583 | 242,056 |
PayPal Holdings, Inc.(a) | 325 | 61,289 |
Penn National Gaming, Inc.(a) | 1,499 | 77,723 |
Pentair PLC | 2,752 | 200,979 |
People's United Financial, Inc. | 10,428 | 185,827 |
PepsiCo, Inc. | 1,226 | 212,968 |
PerkinElmer, Inc. | 654 | 131,493 |
Pfizer, Inc. | 4,924 | 290,762 |
Philip Morris International, Inc. | 4,597 | 436,715 |
Phillips 66 | 7,605 | 551,058 |
Pinnacle West Capital Corp. | 1,389 | 98,050 |
Pioneer Natural Resources Co. | 374 | 68,023 |
PNC Financial Services Group, Inc. | 305 | 61,159 |
Pool Corp. | 246 | 139,236 |
PPG Industries, Inc. | 453 | 78,115 |
PPL Corp. | 3,204 | 96,312 |
Principal Financial Group, Inc. | 2,557 | 184,948 |
Procter & Gamble Co. | 3,549 | 580,545 |
Progressive Corp. | 1,937 | 198,833 |
Prologis, Inc., REIT | 385 | 64,819 |
Prudential Financial, Inc. | 1,721 | 186,281 |
PTC, Inc.(a) | 1,526 | 184,875 |
Public Service Enterprise Group, Inc. | 4,331 | 289,008 |
Public Storage, REIT | 455 | 170,425 |
PulteGroup, Inc. | 4,916 | 280,999 |
PVH Corp. | 2,712 | 289,235 |
Qorvo, Inc.(a) | 1,541 | 240,997 |
QUALCOMM, Inc. | 1,333 | 243,766 |
Quanta Services, Inc. | 3,621 | 415,184 |
Quest Diagnostics, Inc. | 1,150 | 198,961 |
Ralph Lauren Corp. | 2,250 | 267,435 |
Raymond James Financial, Inc. | 2,826 | 283,730 |
Raytheon Technologies Corp. | 2,136 | 183,824 |
Realty Income Corp., REIT | 1,099 | 78,677 |
Regency Centers Corp., REIT | 1,005 | 75,727 |
Regeneron Pharmaceuticals, Inc.(a) | 390 | 246,293 |
Regions Financial Corp. | 2,757 | 60,103 |
Republic Services, Inc. | 1,530 | 213,358 |
ResMed, Inc. | 526 | 137,012 |
Robert Half International, Inc. | 1,120 | 124,902 |
Rockwell Automation, Inc. | 115 | 40,118 |
Rollins, Inc. | 6,491 | 222,057 |
Roper Technologies, Inc. | 84 | 41,316 |
Ross Stores, Inc. | 4,894 | 559,286 |
Royal Caribbean Cruises Ltd.(a) | 1,220 | 93,818 |
S&P Global, Inc. | 132 | 62,295 |
salesforce.com, Inc.(a) | 1,382 | 351,208 |
SBA Communications Corp., REIT | 173 | 67,300 |
Schlumberger N.V. | 11,873 | 355,596 |
Security Description | Shares | Value |
Seagate Technology Holdings PLC | 2,657 | $300,188 |
Sealed Air Corp. | 1,413 | 95,335 |
Sempra Energy | 727 | 96,168 |
ServiceNow, Inc.(a) | 378 | 245,364 |
Sherwin-Williams Co. | 212 | 74,658 |
Signature Bank | 605 | 195,699 |
Simon Property Group, Inc., REIT | 482 | 77,009 |
Skyworks Solutions, Inc. | 1,810 | 280,803 |
Snap-on, Inc. | 953 | 205,257 |
SolarEdge Technologies, Inc.(a) | 895 | 251,110 |
Southern Co. | 1,416 | 97,109 |
Southwest Airlines Co.(a) | 3,948 | 169,132 |
Stanley Black & Decker, Inc. | 1,063 | 200,503 |
Starbucks Corp. | 4,728 | 553,034 |
State Street Corp. | 1,313 | 122,109 |
STERIS PLC | 403 | 98,094 |
Stryker Corp. | 530 | 141,733 |
SVB Financial Group(a) | 262 | 177,699 |
Synchrony Financial | 7,685 | 356,507 |
Synopsys, Inc.(a) | 1,017 | 374,764 |
Sysco Corp. | 11,248 | 883,530 |
T Rowe Price Group, Inc. | 627 | 123,293 |
Take-Two Interactive Software, Inc.(a) | 2,224 | 395,249 |
Tapestry, Inc. | 6,389 | 259,393 |
Target Corp. | 771 | 178,440 |
TE Connectivity Ltd. | 1,724 | 278,150 |
Teledyne Technologies, Inc.(a) | 88 | 38,446 |
Teleflex, Inc. | 171 | 56,170 |
Teradyne, Inc. | 1,150 | 188,060 |
Tesla, Inc.(a) | 270 | 285,331 |
Texas Instruments, Inc. | 1,504 | 283,459 |
Textron, Inc. | 2,439 | 188,291 |
Thermo Fisher Scientific, Inc. | 192 | 128,110 |
TJX Companies, Inc. | 7,388 | 560,897 |
T-Mobile US, Inc.(a) | 2,403 | 278,700 |
Tractor Supply Co. | 589 | 140,535 |
Trane Technologies PLC | 369 | 74,549 |
TransDigm Group, Inc.(a) | 126 | 80,171 |
Travelers Companies, Inc. | 1,434 | 224,321 |
Trimble, Inc.(a) | 456 | 39,759 |
Truist Financial Corp. | 1,033 | 60,482 |
Twitter, Inc.(a) | 8,072 | 348,872 |
Tyler Technologies, Inc.(a) | 479 | 257,678 |
Tyson Foods, Inc., Class A | 6,565 | 572,205 |
UDR, Inc., REIT | 2,703 | 162,153 |
Ulta Beauty, Inc.(a) | 685 | 282,453 |
Under Armour, Inc., Class A(a) | 5,841 | 123,771 |
Under Armour, Inc., Class C(a) | 6,882 | 124,151 |
Union Pacific Corp. | 369 | 92,962 |
United Airlines Holdings, Inc.(a) | 3,765 | 164,832 |
United Parcel Service, Inc., Class B | 439 | 94,095 |
United Rentals, Inc.(a) | 397 | 131,919 |
Security Description | Shares | Value | |
UnitedHealth Group, Inc. | 771 | $387,150 | |
Universal Health Services, Inc., Class B | 2,870 | 372,124 | |
US Bancorp | 1,064 | 59,765 | |
Valero Energy Corp. | 7,786 | 584,806 | |
Ventas, Inc., REIT | 1,901 | 97,179 | |
VeriSign, Inc.(a) | 1,505 | 381,999 | |
Verisk Analytics, Inc. | 270 | 61,757 | |
Verizon Communications, Inc. | 5,498 | 285,676 | |
Vertex Pharmaceuticals, Inc.(a) | 1,252 | 274,939 | |
VF Corp. | 3,633 | 266,008 | |
ViacomCBS, Inc., Class B | 7,066 | 213,252 | |
Viatris, Inc. | 20,464 | 276,878 | |
Visa, Inc., Class A | 229 | 49,627 | |
Vornado Realty Trust, REIT | 2,924 | 122,399 | |
Vulcan Materials Co. | 897 | 186,199 | |
W R Berkley Corp. | 2,730 | 224,925 | |
Walgreens Boots Alliance, Inc. | 14,863 | 775,254 | |
Walmart, Inc. | 5,875 | 850,054 | |
Walt Disney Co.(a) | 1,448 | 224,281 | |
Waste Management, Inc. | 1,257 | 209,793 | |
Waters Corp.(a) | 360 | 134,136 | |
WEC Energy Group, Inc. | 985 | 95,614 | |
Wells Fargo & Co. | 2,748 | 131,849 | |
Welltower, Inc., REIT | 1,113 | 95,462 | |
West Pharmaceutical Services, Inc. | 129 | 60,502 | |
Western Digital Corp.(a) | 4,773 | 311,247 | |
Westinghouse Air Brake Technologies Corp. | 831 | 76,543 | |
Westrock Co. | 1,583 | 70,222 | |
Weyerhaeuser Co., REIT | 4,604 | 189,593 | |
Whirlpool Corp. | 717 | 168,251 | |
Williams Companies, Inc. | 13,808 | 359,560 | |
Willis Towers Watson PLC | 173 | 41,086 | |
WW Grainger, Inc. | 266 | 137,852 | |
Wynn Resorts Ltd.(a) | 838 | 71,264 | |
Xcel Energy, Inc. | 1,385 | 93,765 | |
Xilinx, Inc. | 563 | 119,373 | |
Xylem, Inc. | 1,684 | 201,945 | |
Yum! Brands, Inc. | 4,125 | 572,797 | |
Zebra Technologies Corp., Class A(a) | 226 | 134,515 | |
Zimmer Biomet Holdings, Inc. | 1,109 | 140,887 | |
Zions Bancorp NA | 2,914 | 184,048 | |
Zoetis, Inc. | 1,125 | 274,534 | |
TOTAL INVESTMENTS—99.8% (Cost $88,367,456) | 108,463,213 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.2% | 221,324 | ||
NET ASSETS—100.0% | $108,684,537 |
(a) | Non-income producing security. |
PLC=Public Limited Company |
REIT=Real Estate Investment Trust |
INDUSTRY | PERCENTAGE OF NET ASSETS |
Marketed Pharmaceuticals | 3.6% |
Processed Foods | 3.2 |
Electric Competitive | 3.2 |
Business Software for Specific Uses | 3.2 |
Food Distributors | 3.1 |
Restaurants | 3.1 |
Downstream | 3.1 |
Commercial Hardware | 2.2 |
Rental | 2.1 |
Content Providers | 2.1 |
Telecommunication Networks | 2.1 |
Electric Regulated | 2.1 |
Consumer Insurance | 2.1 |
Operators and Developers | 2.1 |
Commercial Insurance | 2.1 |
End User Hardware | 2.1 |
Upstream Energy | 2.0 |
Primary Foods | 1.6 |
Diversified Household and Personal Products | 1.6 |
Information and Electrical Components | 1.6 |
Alcohol and Tobacco | 1.6 |
Distribution Services | 1.5 |
Transportation Services | 1.5 |
Home Office and Consumer Equipment Manufacture | 1.5 |
Specialty Services | 1.5 |
Home Office and Consumer Equipment Retail | 1.5 |
Capital Markets | 1.5 |
Non Real Estate Banking | 1.5 |
Auto Products | 1.5 |
Mechanical Components | 1.5 |
Healthcare Providers and Facilities | 1.4 |
Internet Services | 1.4 |
Drugstores | 1.4 |
Healthcare Insurance | 1.4 |
Management and IT Services | 1.4 |
Transaction Services | 1.4 |
Online Distribution Networks | 1.4 |
Semiconductor Services and Equipment | 1.4 |
Digital Integrated Circuits | 1.4 |
Investment Services | 1.4 |
Search and Social Networks | 1.3 |
Analog and Mixed Signal Integrated Circuits | 1.3 |
INDUSTRY | PERCENTAGE OF NET ASSETS |
Transport Aerospace and Defense Equipment | 1.1% |
Gas and Water Utilities | 1.1 |
Metals | 1.1 |
Healthcare Products Distribution | 1.1 |
Hospital Equipment | 1.1 |
Medical Research Services and Equipment | 1.1 |
Personal Products | 1.1 |
Chemicals | 1.1 |
Other Natural Resources | 1.0 |
Apparel Retailers | 1.0 |
Industrial Conglomerates | 1.0 |
Medical Devices | 1.0 |
Branded Apparel | 1.0 |
Midstream | 1.0 |
Accessories and Footwear | 1.0 |
Production Equipment | 0.8 |
Other Pharmaceuticals | 0.8 |
Operating Systems and Middleware | 0.7 |
Consumer Paper Products | 0.5 |
Brokers and Dealers | 0.5 |
Real Estate Banking | 0.5 |
Business Software for Specific Industries | 0.2 |
Other Assets in Excess of Liabilities | 0.2 |
Total | 100.0% |
Security Description | Shares | Value |
COMMON STOCK—99.8% | ||
Acadia Healthcare Co., Inc.(a) | 668 | $40,548 |
ACI Worldwide, Inc.(a) | 889 | 30,848 |
Acuity Brands, Inc. | 72 | 15,244 |
Adient PLC(a) | 187 | 8,954 |
AECOM(a) | 204 | 15,779 |
Affiliated Managers Group, Inc. | 189 | 31,092 |
AGCO Corp. | 252 | 29,237 |
Alcoa Corp. | 300 | 17,874 |
Alleghany Corp.(a) | 37 | 24,701 |
ALLETE, Inc. | 352 | 23,355 |
Alliance Data Systems Corp. | 268 | 17,841 |
Amedisys, Inc.(a) | 82 | 13,274 |
American Campus Communities, Inc. | 436 | 24,978 |
American Eagle Outfitters, Inc. | 971 | 24,586 |
American Financial Group, Inc. | 122 | 16,753 |
Amkor Technology, Inc. | 2,238 | 55,480 |
Antero Midstream Corp. | 1,843 | 17,840 |
Apartment Income REIT Corp. | 454 | 24,820 |
AptarGroup, Inc. | 71 | 8,696 |
Arrow Electronics, Inc.(a) | 79 | 10,607 |
Arrowhead Pharmaceuticals, Inc.(a) | 963 | 63,847 |
ASGN, Inc.(a) | 103 | 12,710 |
Ashland Global Holdings, Inc. | 64 | 6,890 |
Aspen Technology, Inc.(a) | 199 | 30,288 |
Associated Banc-Corp | 1,045 | 23,607 |
AutoNation, Inc.(a) | 291 | 34,003 |
Avient Corp. | 262 | 14,659 |
Avis Budget Group, Inc.(a) | 145 | 30,069 |
Avnet, Inc. | 251 | 10,349 |
Axon Enterprise, Inc.(a) | 208 | 32,656 |
Azenta, Inc. | 772 | 79,601 |
Bank of Hawaii Corp. | 284 | 23,788 |
Bank OZK | 137 | 6,375 |
Belden, Inc. | 177 | 11,634 |
BJ's Wholesale Club Holdings, Inc.(a) | 439 | 29,400 |
Black Hills Corp. | 327 | 23,076 |
Blackbaud, Inc.(a) | 381 | 30,091 |
Boston Beer Co., Inc., Class A(a) | 76 | 38,388 |
Boyd Gaming Corp.(a) | 314 | 20,589 |
Brighthouse Financial, Inc.(a) | 763 | 39,523 |
Brink's Co. | 461 | 30,228 |
Brixmor Property Group, Inc. | 183 | 4,650 |
Bruker Corp. | 244 | 20,474 |
Brunswick Corp. | 230 | 23,168 |
Builders FirstSource, Inc.(a) | 187 | 16,028 |
Cable One, Inc. | 48 | 84,646 |
Cabot Corp. | 118 | 6,632 |
CACI International, Inc., Class A(a) | 57 | 15,345 |
Cadence Bank | 203 | 6,047 |
Callaway Golf Co.(a) | 525 | 14,406 |
Camden Property Trust | 134 | 23,943 |
Security Description | Shares | Value |
Capri Holdings Ltd.(a) | 384 | $24,925 |
Carlisle Cos, Inc. | 35 | 8,684 |
Carter's, Inc. | 236 | 23,888 |
Casey's General Stores, Inc. | 156 | 30,787 |
Cathay General Bancorp | 144 | 6,191 |
CDK Global, Inc. | 745 | 31,096 |
Cerence, Inc.(a) | 384 | 29,430 |
ChampionX Corp.(a) | 1,276 | 25,788 |
Chemed Corp. | 37 | 19,574 |
Chemours Co. | 199 | 6,678 |
Choice Hotels International, Inc. | 68 | 10,607 |
Churchill Downs, Inc. | 88 | 21,199 |
Ciena Corp.(a) | 1,074 | 82,666 |
Cirrus Logic, Inc.(a) | 369 | 33,955 |
CIT Group, Inc. | 227 | 11,654 |
Clean Harbors, Inc.(a) | 302 | 30,131 |
Cleveland-Cliffs, Inc.(a) | 724 | 15,761 |
CMC Materials, Inc. | 45 | 8,626 |
CNO Financial Group, Inc. | 1,658 | 39,527 |
CNX Resources Corp.(a) | 2,014 | 27,692 |
Cognex Corp. | 385 | 29,938 |
Coherent, Inc.(a) | 298 | 79,429 |
Colfax Corp.(a) | 518 | 23,812 |
Columbia Sportswear Co. | 248 | 24,165 |
Commerce Bancshares, Inc. | 162 | 11,136 |
Commercial Metals Co. | 443 | 16,076 |
CommVault Systems, Inc.(a) | 435 | 29,980 |
Compass Minerals International, Inc. | 282 | 14,405 |
Concentrix Corp. | 93 | 16,612 |
Corporate Office Properties Trust | 162 | 4,531 |
Coty, Inc., Class A(a) | 6,942 | 72,891 |
Cousins Properties, Inc. | 109 | 4,391 |
Cracker Barrel Old Country Store, Inc. | 308 | 39,621 |
Crane Co. | 113 | 11,495 |
Crocs, Inc.(a) | 160 | 20,515 |
Cullen/Frost Bankers, Inc. | 87 | 10,968 |
Curtiss-Wright Corp. | 87 | 12,064 |
CyrusOne, Inc. | 881 | 79,043 |
Dana, Inc. | 396 | 9,037 |
Darling Ingredients, Inc.(a) | 466 | 32,289 |
Deckers Outdoor Corp.(a) | 63 | 23,078 |
Dick's Sporting Goods, Inc. | 258 | 29,667 |
Digital Turbine, Inc.(a) | 557 | 33,971 |
Donaldson Co., Inc. | 331 | 19,615 |
Douglas Emmett, Inc. | 133 | 4,456 |
DTE Midstream, LLC | 375 | 17,992 |
Dycom Industries, Inc.(a) | 154 | 14,439 |
Eagle Materials, Inc. | 117 | 19,476 |
East West Bancorp, Inc. | 79 | 6,216 |
EastGroup Properties, Inc. | 44 | 10,025 |
EMCOR Group, Inc. | 115 | 14,650 |
Encompass Health Corp. | 207 | 13,509 |
Security Description | Shares | Value |
Energizer Holdings, Inc. | 1,791 | $71,819 |
EnerSys | 288 | 22,769 |
Envestnet, Inc.(a) | 372 | 29,514 |
Envista Holdings Corp.(a) | 635 | 28,613 |
EPR Properties | 93 | 4,417 |
EQT Corp.(a) | 1,409 | 30,730 |
Equitrans Midstream Corp. | 1,792 | 18,529 |
Essent Group Ltd. | 540 | 24,586 |
Essential Utilities, Inc. | 438 | 23,516 |
Evercore, Inc., Class A | 97 | 13,177 |
Exelixis, Inc.(a) | 4,054 | 74,107 |
Fair Isaac Corp.(a) | 74 | 32,092 |
Federated Hermes, Inc. | 876 | 32,920 |
First American Financial Corp. | 344 | 26,911 |
First Financial Bankshares, Inc. | 119 | 6,050 |
First Horizon Corp. | 685 | 11,186 |
First Industrial Realty Trust, Inc. | 154 | 10,195 |
First Solar, Inc.(a) | 111 | 9,675 |
FirstCash Holdings, Inc. | 309 | 23,116 |
Five Below, Inc.(a) | 147 | 30,413 |
Flowers Foods, Inc. | 1,517 | 41,672 |
Flowserve Corp. | 634 | 19,400 |
Fluor Corp.(a) | 1,226 | 30,368 |
FNB Corp. | 510 | 6,186 |
Foot Locker, Inc. | 566 | 24,695 |
Fox Factory Holding Corp.(a) | 49 | 8,335 |
FTI Consulting, Inc.(a) | 91 | 13,961 |
Fulton Financial Corp. | 379 | 6,443 |
GameStop Corp., Class A(a) | 244 | 36,207 |
GATX Corp. | 140 | 14,587 |
Genpact Ltd. | 307 | 16,296 |
Gentex Corp. | 628 | 21,886 |
Glacier Bancorp, Inc. | 108 | 6,124 |
Globus Medical, Inc., Class A(a) | 389 | 28,086 |
Goodyear Tire & Rubber Co.(a) | 401 | 8,549 |
Graco, Inc. | 247 | 19,913 |
Graham Holdings Co., Class B | 51 | 32,121 |
Grand Canyon Education, Inc.(a) | 382 | 32,741 |
Greif, Inc., Class A | 210 | 12,678 |
Grocery Outlet Holding Corp.(a) | 1,060 | 29,977 |
GXO Logistics, Inc.(a) | 173 | 15,714 |
H&R Block, Inc. | 1,328 | 31,288 |
Haemonetics Corp.(a) | 380 | 20,155 |
Hain Celestial Group, Inc.(a) | 1,513 | 64,469 |
Halozyme Therapeutics, Inc.(a) | 1,957 | 78,691 |
Hancock Whitney Corp. | 229 | 11,455 |
Hanesbrands, Inc. | 1,435 | 23,993 |
Hanover Insurance Group, Inc. | 126 | 16,514 |
Harley-Davidson, Inc. | 597 | 22,501 |
Hawaiian Electric Industries, Inc. | 546 | 22,659 |
Healthcare Realty Trust, Inc. | 1,237 | 39,139 |
HealthEquity, Inc.(a) | 639 | 28,269 |
Security Description | Shares | Value |
Helen of Troy Ltd.(a) | 288 | $70,407 |
Hexcel Corp.(a) | 125 | 6,475 |
Highwoods Properties, Inc. | 98 | 4,370 |
HollyFrontier Corp. | 885 | 29,010 |
Home BancShares, Inc. | 254 | 6,185 |
Hubbell, Inc. | 54 | 11,247 |
Hudson Pacific Properties, Inc. | 173 | 4,275 |
Huntington Bancshares, Inc. | 1 | 15 |
IAA, Inc.(a) | 703 | 35,586 |
ICU Medical, Inc.(a) | 86 | 20,411 |
IDACORP, Inc. | 205 | 23,229 |
II-VI, Inc.(a) | 164 | 11,206 |
Ingevity Corp.(a) | 90 | 6,453 |
Ingredion, Inc. | 304 | 29,379 |
Insperity, Inc. | 234 | 27,638 |
Integra LifeSciences Holdings Corp.(a) | 204 | 13,666 |
Interactive Brokers Group, Inc., Class A | 516 | 40,981 |
International Bancshares Corp. | 143 | 6,062 |
Iridium Communications, Inc.(a) | 1,929 | 79,648 |
ITT, Inc. | 118 | 12,058 |
Jabil, Inc. | 802 | 56,421 |
Jack in the Box, Inc. | 471 | 41,203 |
Janus Henderson Group PLC | 750 | 31,455 |
Jazz Pharmaceuticals PLC(a) | 550 | 70,070 |
JBG SMITH Properties | 154 | 4,421 |
Jefferies Financial Group, Inc. | 439 | 17,033 |
JetBlue Airways Corp.(a) | 2,463 | 35,073 |
John Wiley & Sons, Inc., Class A | 529 | 30,296 |
Jones Lang LaSalle, Inc.(a) | 49 | 13,198 |
KB Home | 657 | 29,388 |
KBR, Inc. | 320 | 15,238 |
Kemper Corp. | 746 | 43,857 |
Kennametal, Inc. | 644 | 23,126 |
Kilroy Realty Corp. | 66 | 4,386 |
Kinsale Capital Group, Inc. | 81 | 19,269 |
Kirby Corp.(a) | 306 | 18,183 |
Kite Realty Group Trust, REIT | 207 | 4,508 |
Knight-Swift Transportation Holdings, Inc. | 241 | 14,687 |
Kohl's Corp. | 486 | 24,004 |
Kyndryl Holdings, Inc.(a) | 858 | 15,530 |
Lamar Advertising Co., Class A | 36 | 4,367 |
Lancaster Colony Corp. | 255 | 42,228 |
Landstar System, Inc. | 81 | 14,501 |
Lattice Semiconductor Corp.(a) | 439 | 33,829 |
Lear Corp. | 48 | 8,782 |
Leggett & Platt, Inc. | 350 | 14,406 |
Lennox International, Inc. | 43 | 13,947 |
LHC Group, Inc.(a) | 149 | 20,447 |
Life Storage, Inc. | 172 | 26,347 |
Lincoln Electric Holdings, Inc. | 173 | 24,128 |
Lithia Motors, Inc. | 122 | 36,228 |
Littelfuse, Inc. | 71 | 22,342 |
Security Description | Shares | Value |
LivaNova PLC(a) | 324 | $28,327 |
LiveRamp Holdings, Inc.(a) | 611 | 29,297 |
Louisiana-Pacific Corp. | 170 | 13,320 |
Lumentum Holdings, Inc.(a) | 777 | 82,183 |
Macerich Co. | 244 | 4,216 |
Macy's, Inc. | 940 | 24,609 |
Manhattan Associates, Inc.(a) | 196 | 30,476 |
ManpowerGroup, Inc. | 136 | 13,237 |
Marriott Vacations Worldwide Corp. | 80 | 13,518 |
Masimo Corp.(a) | 73 | 21,373 |
MasTec, Inc.(a) | 160 | 14,765 |
Mattel, Inc.(a) | 692 | 14,920 |
Maximus, Inc. | 341 | 27,167 |
MDU Resources Group, Inc. | 686 | 21,156 |
Medical Properties Trust, Inc. | 1,800 | 42,534 |
Medpace Holdings, Inc.(a) | 259 | 56,369 |
Mercury General Corp. | 750 | 39,795 |
Mercury Systems, Inc.(a) | 233 | 12,829 |
MGIC Investment Corp. | 1,649 | 23,779 |
Middleby Corp.(a) | 124 | 24,398 |
MillerKnoll, Inc. | 365 | 14,304 |
Mimecast Ltd.(a) | 246 | 19,574 |
Minerals Technologies, Inc. | 91 | 6,657 |
MKS Instruments, Inc. | 488 | 84,995 |
Molina Healthcare, Inc.(a) | 258 | 82,065 |
MSA Safety, Inc. | 199 | 30,041 |
MSC Industrial Direct Co., Inc., Class A | 117 | 9,835 |
Murphy Oil Corp. | 1,031 | 26,919 |
Murphy USA, Inc. | 159 | 31,679 |
National Fuel Gas Co. | 353 | 22,571 |
National Instruments Corp. | 679 | 29,652 |
National Retail Properties, Inc. | 96 | 4,615 |
National Storage Affiliates Trust | 373 | 25,812 |
Navient Corp. | 940 | 19,947 |
NCR Corp.(a) | 1,897 | 76,259 |
Neogen Corp.(a) | 489 | 22,205 |
Neurocrine Biosciences, Inc.(a) | 846 | 72,054 |
New Jersey Resources Corp. | 555 | 22,788 |
New York Community Bancorp, Inc. | 502 | 6,129 |
New York Times Co., Class A | 658 | 31,781 |
NewMarket Corp. | 18 | 6,169 |
Nordson Corp. | 87 | 22,208 |
Nordstrom, Inc.(a) | 1,207 | 27,302 |
NorthWestern Corp. | 393 | 22,464 |
NOV, Inc. | 2,156 | 29,214 |
Nu Skin Enterprises, Inc., Class A | 1,513 | 76,785 |
NuVasive, Inc.(a) | 515 | 27,027 |
nVent Electric PLC | 583 | 22,154 |
OGE Energy Corp. | 614 | 23,565 |
Old Republic International Corp. | 679 | 16,690 |
Olin Corp. | 255 | 14,668 |
Ollie's Bargain Outlet Holdings, Inc.(a) | 587 | 30,049 |
Security Description | Shares | Value |
Omega Healthcare Investors, Inc. | 1,399 | $41,396 |
ONE Gas, Inc. | 306 | 23,743 |
Option Care Health, Inc.(a) | 508 | 14,448 |
Oshkosh Corp. | 175 | 19,724 |
Owens Corning | 89 | 8,055 |
PacWest Bancorp | 136 | 6,143 |
Papa John's International, Inc. | 307 | 40,975 |
Park Hotels & Resorts, Inc.(a) | 534 | 10,082 |
Patterson Cos, Inc. | 456 | 13,384 |
Paylocity Holding Corp.(a) | 124 | 29,284 |
Pebblebrook Hotel Trust | 449 | 10,044 |
Penumbra, Inc.(a) | 52 | 14,941 |
Performance Food Group Co.(a) | 644 | 29,553 |
Perrigo Co. PLC | 1,846 | 71,809 |
Physicians Realty Trust | 242 | 4,557 |
Pilgrim's Pride Corp.(a) | 1,048 | 29,554 |
Pinnacle Financial Partners, Inc. | 67 | 6,399 |
PNM Resources, Inc. | 488 | 22,258 |
Polaris, Inc. | 209 | 22,971 |
Post Holdings, Inc.(a) | 579 | 65,271 |
PotlatchDeltic Corp. | 213 | 12,827 |
Power Integrations, Inc. | 380 | 35,298 |
Primerica, Inc. | 258 | 39,544 |
PROG Holdings, Inc.(a) | 684 | 30,855 |
Progyny, Inc.(a) | 1,679 | 84,538 |
Prosperity Bancshares, Inc. | 86 | 6,218 |
PS Business Parks, Inc. | 56 | 10,314 |
Qualys, Inc.(a) | 148 | 20,309 |
Quidel Corp.(a) | 150 | 20,248 |
R1 RCM, Inc.(a) | 546 | 13,918 |
Rayonier, Inc. | 338 | 13,642 |
Regal Rexnord Corp. | 72 | 12,253 |
Reinsurance Group of America, Inc. | 227 | 24,854 |
Reliance Steel & Aluminum Co. | 95 | 15,411 |
RenaissanceRe Holdings Ltd. | 142 | 24,045 |
Repligen Corp.(a) | 215 | 56,941 |
Rexford Industrial Realty, Inc. | 133 | 10,788 |
RH(a) | 25 | 13,398 |
RLI Corp. | 154 | 17,263 |
Royal Gold, Inc. | 150 | 15,781 |
RPM International, Inc. | 153 | 15,453 |
Ryder System, Inc. | 182 | 15,002 |
Sabra Health Care REIT, Inc. | 2,935 | 39,740 |
Sabre Corp.(a) | 8,848 | 76,004 |
Saia, Inc.(a) | 47 | 15,840 |
Sailpoint Technologies Holdings, Inc.(a) | 424 | 20,496 |
Sanderson Farms, Inc. | 158 | 30,191 |
Science Applications International Corp. | 191 | 15,966 |
Scientific Games Corp., Class A(a) | 1,242 | 83,003 |
Scotts Miracle-Gro Co. | 466 | 75,026 |
SEI Investments Co. | 521 | 31,750 |
Selective Insurance Group, Inc. | 204 | 16,716 |
Security Description | Shares | Value |
Semtech Corp.(a) | 386 | $34,327 |
Sensient Technologies Corp. | 65 | 6,504 |
Service Corp. International/US | 431 | 30,597 |
Silgan Holdings, Inc. | 309 | 13,238 |
Silicon Laboratories, Inc.(a) | 165 | 34,059 |
Simpson Manufacturing Co., Inc. | 65 | 9,040 |
SiTime Corp.(a) | 116 | 33,935 |
Six Flags Entertainment Corp.(a) | 339 | 14,435 |
Skechers USA, Inc., Class A(a) | 555 | 24,087 |
SL Green Realty Corp. | 60 | 4,302 |
SLM Corp. | 1,038 | 20,417 |
Sonoco Products Co. | 217 | 12,562 |
Southwest Gas Holdings, Inc. | 319 | 22,346 |
Spire, Inc. | 350 | 22,827 |
Spirit Realty Capital, Inc. | 95 | 4,578 |
Sprouts Farmers Market, Inc.(a) | 1,105 | 32,796 |
STAAR Surgical Co.(a) | 290 | 26,477 |
Steel Dynamics, Inc. | 243 | 15,083 |
Stericycle, Inc.(a) | 496 | 29,581 |
Sterling Bancorp | 249 | 6,422 |
Stifel Financial Corp. | 563 | 39,646 |
STORE Capital Corp. | 132 | 4,541 |
SunPower Corp.(a) | 947 | 19,764 |
Sunrun, Inc.(a) | 522 | 17,905 |
Synaptics, Inc.(a) | 122 | 35,320 |
Syneos Health, Inc.(a) | 526 | 54,010 |
Synovus Financial Corp. | 129 | 6,175 |
Tandem Diabetes Care, Inc.(a) | 201 | 30,255 |
Targa Resources Corp. | 340 | 17,762 |
Taylor Morrison Home Corp.(a) | 842 | 29,436 |
TD SYNNEX Corp. | 89 | 10,178 |
TEGNA, Inc. | 2,007 | 37,250 |
Tempur Sealy International, Inc. | 326 | 15,332 |
Tenet Healthcare Corp.(a) | 518 | 42,315 |
Teradata Corp.(a) | 692 | 29,389 |
Terex Corp. | 437 | 19,206 |
Tetra Tech, Inc. | 88 | 14,942 |
Texas Capital Bancshares, Inc.(a) | 391 | 23,558 |
Texas Roadhouse, Inc. | 449 | 40,087 |
Thor Industries, Inc. | 215 | 22,311 |
Timken Co. | 124 | 8,592 |
Toll Brothers, Inc. | 395 | 28,594 |
TopBuild Corp.(a) | 52 | 14,347 |
Toro Co. | 295 | 29,473 |
Travel + Leisure Co. | 252 | 13,928 |
Trex Co., Inc.(a) | 104 | 14,043 |
Tri Pointe Homes, Inc.(a) | 1,050 | 29,284 |
Trinity Industries, Inc. | 691 | 20,868 |
TripAdvisor, Inc.(a) | 2,965 | 80,826 |
UGI Corp. | 483 | 22,175 |
UMB Financial Corp. | 108 | 11,460 |
Security Description | Shares | Value | |
Umpqua Holdings Corp. | 314 | $6,041 | |
United Bankshares, Inc. | 171 | 6,204 | |
United States Steel Corp. | 644 | 15,334 | |
United Therapeutics Corp.(a) | 358 | 77,357 | |
Univar Solutions, Inc.(a) | 356 | 10,093 | |
Universal Display Corp. | 70 | 11,552 | |
Unum Group | 1,628 | 40,000 | |
Urban Edge Properties | 241 | 4,579 | |
Urban Outfitters, Inc.(a) | 825 | 24,222 | |
Valley National Bancorp | 445 | 6,119 | |
Valmont Industries, Inc. | 34 | 8,517 | |
Valvoline, Inc. | 420 | 15,662 | |
Viasat, Inc.(a) | 1,691 | 75,317 | |
Vicor Corp.(a) | 190 | 24,126 | |
Victoria's Secret & Co.(a) | 502 | 27,881 | |
Vishay Intertechnology, Inc. | 523 | 11,438 | |
Visteon Corp.(a) | 195 | 21,672 | |
Vontier Corp. | 956 | 29,378 | |
Voya Financial, Inc. | 1,174 | 77,848 | |
Washington Federal, Inc. | 712 | 23,767 | |
Watsco, Inc. | 33 | 10,325 | |
Webster Financial Corp. | 431 | 24,067 | |
Wendy's Co. | 1,764 | 42,071 | |
Werner Enterprises, Inc. | 321 | 15,299 | |
Western Union Co. | 1,430 | 25,511 | |
WEX, Inc.(a) | 198 | 27,797 | |
Williams-Sonoma, Inc. | 170 | 28,752 | |
Wingstop, Inc. | 243 | 41,990 | |
Wintrust Financial Corp. | 125 | 11,353 | |
Wolfspeed, Inc.(a) | 95 | 10,618 | |
Woodward, Inc. | 109 | 11,931 | |
World Wrestling Entertainment, Inc., Class A | 800 | 39,472 | |
Worthington Industries, Inc. | 162 | 8,855 | |
Wyndham Hotels & Resorts, Inc. | 118 | 10,579 | |
Xerox Holdings Corp. | 2,477 | 56,079 | |
XPO Logistics, Inc.(a) | 197 | 15,254 | |
Yelp, Inc.(a) | 2,182 | 79,076 | |
YETI Holdings, Inc.(a) | 163 | 13,501 | |
Ziff Davis, Inc.(a) | 740 | 82,036 | |
TOTAL INVESTMENTS—99.8% (Cost $8,671,266) | 10,165,500 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.2% | 15,587 | ||
NET ASSETS—100.0% | $10,181,087 |
(a) | Non-income producing security. |
LLC=Limited Liability Corporation |
PLC=Public Limited Company |
REIT=Real Estate Investment Trust |
INDUSTRY | PERCENTAGE OF NET ASSETS |
Marketed Pharmaceuticals | 3.7% |
Business Software for Specific Uses | 3.3 |
Healthcare Providers and Facilities | 3.2 |
Commercial Hardware | 3.2 |
Production Equipment | 3.0 |
Semiconductor Services and Equipment | 2.9 |
Information and Electrical Components | 2.7 |
Rental | 2.4 |
Restaurants | 2.4 |
Consumer Insurance | 2.4 |
Commercial Insurance | 2.4 |
Operators and Developers | 2.4 |
Content Providers | 2.4 |
Real Estate Banking | 2.3 |
Investment Services | 2.3 |
Home Office and Consumer Equipment Manufacture | 2.1 |
Processed Foods | 2.1 |
Non Real Estate Banking | 1.9 |
Gas and Water Utilities | 1.8 |
Distribution Services | 1.8 |
Specialty Services | 1.8 |
Auto Products | 1.7 |
Transaction Services | 1.7 |
Analog and Mixed Signal Integrated Circuits | 1.7 |
Transportation Services | 1.7 |
Upstream Energy | 1.7 |
Medical Devices | 1.7 |
Mechanical Components | 1.6 |
Medical Research Services and Equipment | 1.6 |
Healthcare Insurance | 1.6 |
Telecommunication Networks | 1.6 |
Internet Services | 1.6 |
Search and Social Networks | 1.6 |
Hospital Equipment | 1.5 |
Business Software for Specific Industries | 1.5 |
Personal Products | 1.5 |
Household Products | 1.4 |
Management and IT Services | 1.4 |
Home Office and Consumer Equipment Retail | 1.3 |
Metals | 1.2 |
Apparel Retailers | 1.2 |
Branded Apparel | 1.2 |
Food Distributors | 1.2 |
INDUSTRY | PERCENTAGE OF NET ASSETS |
Chemicals | 1.2% |
Primary Foods | 1.2 |
Other Natural Resources | 1.2 |
Electric Regulated | 1.1 |
Accessories and Footwear | 0.9 |
Downstream | 0.9 |
Midstream | 0.9 |
Brokers and Dealers | 0.8 |
Online Distribution Networks | 0.7 |
Other Pharmaceuticals | 0.7 |
Digital Integrated Circuits | 0.7 |
Clinical Stage Pharmaceuticals | 0.6 |
Electric Competitive | 0.6 |
Contract Electronics Services | 0.6 |
End User Hardware | 0.6 |
Transport Aerospace and Defense Equipment | 0.5 |
Alcohol and Tobacco | 0.4 |
Consumer Services | 0.3 |
Healthcare Products Distribution | 0.1 |
Industrial Conglomerates | 0.1 |
Capital Markets | 0.0 |
Other Assets in Excess of Liabilities | 0.2 |
Total | 100.0% |
Security Description | Shares | Value |
COMMON STOCK—99.8% | ||
3D Systems Corp.(a) | 1,683 | $36,252 |
8x8, Inc.(a) | 5,677 | 95,147 |
AAON, Inc. | 257 | 20,413 |
AAR Corp.(a) | 586 | 22,872 |
Aaron's Co., Inc. | 1,704 | 42,004 |
Abercrombie & Fitch Co., Class A(a) | 585 | 20,376 |
ABM Industries, Inc. | 909 | 37,133 |
Acadia Realty Trust, REIT | 644 | 14,059 |
Addus HomeCare Corp.(a) | 226 | 21,133 |
Adtalem Global Education, Inc.(a) | 1,036 | 30,624 |
ADTRAN, Inc. | 2,956 | 67,485 |
Advanced Energy Industries, Inc. | 718 | 65,381 |
AdvanSix, Inc. | 295 | 13,939 |
Aerojet Rocketdyne Holdings, Inc. | 488 | 22,819 |
AeroVironment, Inc.(a) | 791 | 49,066 |
Agilysys, Inc.(a) | 1,097 | 48,773 |
Agree Realty Corp., REIT | 205 | 14,629 |
Alamo Group, Inc. | 199 | 29,289 |
Alarm.com Holdings, Inc.(a) | 1,248 | 105,843 |
Albany International Corp., Class A | 206 | 18,221 |
Alexander & Baldwin, Inc. | 575 | 14,427 |
Allegheny Technologies, Inc.(a) | 1,347 | 21,458 |
Allegiance Bancshares, Inc. | 87 | 3,672 |
Allegiant Travel Co.(a) | 446 | 83,420 |
Allscripts Healthcare Solutions, Inc.(a) | 1,885 | 34,778 |
Ambac Financial Group, Inc.(a) | 4,068 | 65,291 |
AMC Networks, Inc., Class A(a) | 1,274 | 43,877 |
American Assets Trust, Inc., REIT | 311 | 11,672 |
American Axle & Manufacturing Holdings, Inc.(a) | 6,377 | 59,497 |
American Equity Investment Life Holding Co. | 1,687 | 65,658 |
American Public Education, Inc.(a) | 1,463 | 32,552 |
American States Water Co. | 955 | 98,785 |
American Vanguard Corp. | 347 | 5,687 |
American Woodmark Corp.(a) | 380 | 24,776 |
America's Car-Mart, Inc.(a) | 338 | 34,611 |
Ameris Bancorp | 74 | 3,676 |
AMERISAFE, Inc. | 953 | 51,300 |
AMN Healthcare Services, Inc.(a) | 105 | 12,845 |
Amphastar Pharmaceuticals, Inc.(a) | 2,604 | 60,647 |
Andersons, Inc. | 1,014 | 39,252 |
AngioDynamics, Inc.(a) | 548 | 15,114 |
ANI Pharmaceuticals, Inc.(a) | 1,271 | 58,568 |
Anika Therapeutics, Inc.(a) | 1,847 | 66,178 |
Apogee Enterprises, Inc. | 311 | 14,975 |
Apollo Commercial Real Estate Finance, Inc., REIT | 271 | 3,566 |
Apollo Medical Holdings, Inc.(a) | 664 | 48,791 |
Applied Industrial Technologies, Inc. | 200 | 20,540 |
ArcBest Corp. | 214 | 25,648 |
Archrock, Inc. | 2,228 | 16,665 |
Security Description | Shares | Value |
Arconic Corp.(a) | 660 | $21,787 |
Arcosa, Inc. | 376 | 19,815 |
Arlo Technologies, Inc.(a) | 2,377 | 24,935 |
Armada Hoffler Properties, Inc., REIT | 743 | 11,308 |
ARMOUR Residential REIT, Inc. | 1,032 | 10,124 |
Asbury Automotive Group, Inc.(a) | 205 | 35,410 |
Assured Guaranty Ltd. | 1,281 | 64,306 |
Astec Industries, Inc. | 437 | 30,271 |
Atlas Air Worldwide Holdings, Inc.(a) | 267 | 25,130 |
ATN International, Inc. | 3,146 | 125,683 |
Avanos Medical, Inc.(a) | 467 | 16,191 |
Avid Bioservices, Inc.(a) | 1,045 | 30,493 |
Avista Corp. | 2,290 | 97,302 |
Axcelis Technologies, Inc.(a) | 279 | 20,802 |
Axos Financial, Inc.(a) | 326 | 18,227 |
AZZ, Inc. | 391 | 21,618 |
B Riley Financial, Inc. | 212 | 18,838 |
B&G Foods, Inc. | 751 | 23,078 |
Badger Meter, Inc. | 195 | 20,779 |
Balchem Corp. | 82 | 13,825 |
Banc of California, Inc. | 178 | 3,492 |
BancFirst Corp. | 53 | 3,740 |
Bancorp, Inc.(a) | 1,198 | 30,321 |
BankUnited, Inc. | 89 | 3,766 |
Banner Corp. | 60 | 3,640 |
Barnes & Noble Education, Inc.(a) | 6,861 | 46,723 |
Barnes Group, Inc. | 131 | 6,103 |
Bed Bath & Beyond, Inc.(a) | 1,876 | 27,352 |
Benchmark Electronics, Inc. | 1,463 | 39,647 |
Berkshire Hills Bancorp, Inc. | 129 | 3,667 |
Big Lots, Inc. | 928 | 41,806 |
BioLife Solutions, Inc.(a) | 807 | 30,077 |
BJ's Restaurants, Inc.(a) | 656 | 22,665 |
Bloomin' Brands, Inc.(a) | 1,166 | 24,463 |
Blucora, Inc.(a) | 4,813 | 83,361 |
BM Technologies, Inc.(a) | 42 | 387 |
Boise Cascade Co. | 308 | 21,930 |
Boot Barn Holdings, Inc.(a) | 190 | 23,379 |
Bottomline Technologies DE, Inc.(a) | 1,879 | 106,107 |
Brady Corp., Class A | 406 | 21,883 |
Brandywine Realty Trust, REIT | 1,758 | 23,592 |
Brightsphere Investment Group, Inc. | 2,830 | 72,448 |
Brinker International, Inc.(a) | 647 | 23,674 |
Bristow Group, Inc.(a) | 507 | 16,057 |
Brookline Bancorp, Inc. | 229 | 3,708 |
Buckle, Inc. | 1,237 | 52,337 |
CalAmp Corp.(a) | 6,130 | 43,278 |
Calavo Growers, Inc. | 892 | 37,821 |
Caleres, Inc. | 1,067 | 24,200 |
California Water Service Group | 1,383 | 99,382 |
Callon Petroleum Co.(a) | 473 | 22,349 |
Cal-Maine Foods, Inc. | 983 | 36,361 |
Security Description | Shares | Value |
Capitol Federal Financial, Inc. | 1,633 | $18,502 |
Cara Therapeutics, Inc.(a) | 2,294 | 27,941 |
Cardiovascular Systems, Inc.(a) | 741 | 13,916 |
CareTrust REIT, Inc. | 3,919 | 89,471 |
Carpenter Technology Corp. | 698 | 20,375 |
Cars.com, Inc.(a) | 7,031 | 113,129 |
Cato Corp., Class A | 1,217 | 20,884 |
Cavco Industries, Inc.(a) | 129 | 40,977 |
Celsius Holdings, Inc.(a) | 341 | 25,428 |
Centerspace, REIT | 103 | 11,423 |
Central Garden & Pet Co.(a) | 226 | 11,894 |
Central Garden & Pet Co., Class A(a) | 249 | 11,915 |
Central Pacific Financial Corp. | 669 | 18,846 |
Century Aluminum Co.(a) | 1,504 | 24,906 |
Century Communities, Inc. | 491 | 40,159 |
CEVA, Inc.(a) | 1,899 | 82,113 |
Chart Industries, Inc.(a) | 125 | 19,936 |
Chatham Lodging Trust, REIT(a) | 1,589 | 21,801 |
Cheesecake Factory, Inc.(a) | 566 | 22,159 |
Chefs' Warehouse, Inc.(a) | 2,369 | 78,888 |
Chesapeake Utilities Corp. | 694 | 101,192 |
Chico's FAS, Inc.(a) | 3,835 | 20,632 |
Children's Place, Inc.(a) | 232 | 18,395 |
Chuy's Holdings, Inc.(a) | 818 | 24,638 |
Cinemark Holdings, Inc.(a) | 2,943 | 47,441 |
CIRCOR International, Inc.(a) | 759 | 20,630 |
City Holding Co. | 229 | 18,730 |
Civitas Resources, Inc. | 425 | 20,812 |
Clearwater Paper Corp.(a) | 1,513 | 55,482 |
Coca-Cola Consolidated, Inc. | 44 | 27,244 |
Cogent Communications Holdings, Inc. | 1,099 | 80,425 |
Coherus Biosciences, Inc.(a) | 3,307 | 52,780 |
Cohu, Inc.(a) | 774 | 29,482 |
Collegium Pharmaceutical, Inc.(a) | 1,848 | 34,521 |
Columbia Banking System, Inc. | 109 | 3,566 |
Comfort Systems USA, Inc. | 323 | 31,958 |
Community Bank System, Inc. | 481 | 35,825 |
Community Health Systems, Inc.(a) | 3,915 | 52,109 |
Community Healthcare Trust, Inc., REIT | 1,871 | 88,442 |
Computer Programs and Systems, Inc.(a) | 1,454 | 42,602 |
Comtech Telecommunications Corp. | 2,530 | 59,936 |
CONMED Corp. | 305 | 43,237 |
Conn's, Inc.(a) | 2,204 | 51,838 |
Consensus Cloud Solutions, Inc.(a) | 2,185 | 126,446 |
CONSOL Energy, Inc.(a) | 967 | 21,961 |
Consolidated Communications Holdings, Inc.(a) | 10,592 | 79,228 |
Cooper-Standard Holdings, Inc.(a) | 1,196 | 26,802 |
Corcept Therapeutics, Inc.(a) | 2,217 | 43,897 |
Core Laboratories N.V. | 673 | 15,015 |
CoreCivic, Inc.(a) | 3,231 | 32,213 |
CorVel Corp.(a) | 514 | 106,912 |
Security Description | Shares | Value |
Covetrus, Inc.(a) | 4,597 | $91,802 |
Cross Country Healthcare, Inc.(a) | 463 | 12,853 |
CryoLife, Inc.(a) | 757 | 15,405 |
CSG Systems International, Inc. | 999 | 57,562 |
CTS Corp. | 1,184 | 43,476 |
Customers Bancorp, Inc.(a) | 63 | 4,118 |
Cutera, Inc.(a) | 1,108 | 45,783 |
CVB Financial Corp. | 171 | 3,661 |
Cytokinetics, Inc.(a) | 769 | 35,051 |
Dave & Buster's Entertainment, Inc.(a) | 904 | 34,714 |
Deluxe Corp. | 1,256 | 40,330 |
Designer Brands, Inc., Class A(a) | 1,722 | 24,470 |
DiamondRock Hospitality Co., REIT(a) | 2,236 | 21,488 |
Diebold Nixdorf, Inc.(a) | 6,451 | 58,382 |
Digi International, Inc.(a) | 2,550 | 62,653 |
Dime Community Bancshares, Inc. | 108 | 3,797 |
Dine Brands Global, Inc. | 291 | 22,061 |
Diodes, Inc.(a) | 1,545 | 169,656 |
Diversified Healthcare Trust, REIT | 30,568 | 94,455 |
DMC Global, Inc.(a) | 155 | 6,140 |
Donnelley Financial Solutions, Inc.(a) | 1,857 | 87,539 |
Dorian LPG Ltd. | 3,262 | 41,395 |
Dorman Products, Inc.(a) | 279 | 31,530 |
Douglas Elliman, Inc. | 1,280 | 14,720 |
Dril-Quip, Inc.(a) | 826 | 16,256 |
DXP Enterprises, Inc.(a) | 744 | 19,098 |
Eagle Bancorp, Inc. | 66 | 3,850 |
Eagle Pharmaceuticals, Inc.(a) | 909 | 46,286 |
Easterly Government Properties, Inc., REIT | 501 | 11,483 |
Ebix, Inc. | 1,805 | 54,872 |
Edgewell Personal Care Co. | 1,400 | 63,994 |
eHealth, Inc.(a) | 1,077 | 27,463 |
El Pollo Loco Holdings, Inc.(a) | 4,723 | 67,019 |
elf Beauty, Inc.(a) | 1,982 | 65,822 |
Ellington Financial, Inc., REIT | 595 | 10,169 |
Emergent BioSolutions, Inc.(a) | 833 | 36,210 |
Employers Holdings, Inc. | 1,226 | 50,732 |
Enanta Pharmaceuticals, Inc.(a) | 477 | 35,670 |
Encore Capital Group, Inc.(a) | 521 | 32,359 |
Encore Wire Corp. | 487 | 69,690 |
Endo International PLC(a) | 8,761 | 32,941 |
Enerpac Tool Group Corp. | 937 | 19,002 |
Enova International, Inc.(a) | 778 | 31,867 |
EnPro Industries, Inc. | 55 | 6,054 |
Ensign Group, Inc. | 265 | 22,249 |
ePlus, Inc.(a) | 750 | 40,410 |
ESCO Technologies, Inc. | 247 | 22,228 |
Essential Properties Realty Trust, Inc., REIT | 407 | 11,734 |
Ethan Allen Interiors, Inc. | 986 | 25,922 |
EVERTEC, Inc. | 1,128 | 56,377 |
EW Scripps Co., Class A | 2,486 | 48,104 |
ExlService Holdings, Inc.(a) | 305 | 44,155 |
Security Description | Shares | Value |
Exponent, Inc. | 137 | $15,992 |
Extreme Networks, Inc.(a) | 4,615 | 72,455 |
EZCORP, Inc., Class A(a) | 4,472 | 32,959 |
Fabrinet(a) | 324 | 38,384 |
FARO Technologies, Inc.(a) | 309 | 21,636 |
FB Financial Corp. | 85 | 3,725 |
Federal Signal Corp. | 1,125 | 48,757 |
Ferro Corp.(a) | 641 | 13,993 |
Fiesta Restaurant Group, Inc.(a) | 6,465 | 71,180 |
First BanCorp | 2,684 | 36,986 |
First Bancorp/Southern Pines NC | 79 | 3,612 |
First Commonwealth Financial Corp. | 241 | 3,878 |
First Financial Bancorp | 152 | 3,706 |
First Hawaiian, Inc. | 130 | 3,553 |
First Midwest Bancorp, Inc. | 1,772 | 36,291 |
Flagstar Bancorp, Inc. | 380 | 18,217 |
FormFactor, Inc.(a) | 643 | 29,398 |
Forrester Research, Inc.(a) | 544 | 31,949 |
Forward Air Corp. | 203 | 24,581 |
Fossil Group, Inc.(a) | 3,957 | 40,718 |
Four Corners Property Trust, Inc., REIT | 491 | 14,440 |
Franklin BSP Realty Trust, Inc. | 648 | 9,681 |
Franklin Electric Co., Inc. | 224 | 21,181 |
Franklin Street Properties Corp., REIT | 3,733 | 22,211 |
Fresh Del Monte Produce, Inc. | 1,368 | 37,757 |
Fulgent Genetics, Inc.(a) | 338 | 33,999 |
FutureFuel Corp. | 5,574 | 42,585 |
Gannett Co., Inc.(a) | 6,148 | 32,769 |
GCP Applied Technologies, Inc.(a) | 164 | 5,192 |
Genesco, Inc.(a) | 389 | 24,962 |
Gentherm, Inc.(a) | 503 | 43,711 |
Genworth Financial, Inc., Class A(a) | 15,154 | 61,374 |
GEO Group, Inc., REIT | 4,313 | 33,426 |
Getty Realty Corp., REIT | 436 | 13,991 |
Gibraltar Industries, Inc.(a) | 189 | 12,603 |
G-III Apparel Group Ltd.(a) | 2,260 | 62,466 |
Glatfelter Corp. | 1,032 | 17,750 |
Glaukos Corp.(a) | 335 | 14,887 |
Global Net Lease, Inc., REIT | 1,559 | 23,822 |
GMS, Inc.(a) | 347 | 20,858 |
Granite Construction, Inc. | 791 | 30,612 |
Granite Point Mortgage Trust, Inc., REIT | 870 | 10,188 |
Great Western Bancorp, Inc. | 110 | 3,736 |
Green Dot Corp., Class A(a) | 1,561 | 56,571 |
Green Plains, Inc.(a) | 913 | 31,736 |
Greenbrier Companies, Inc. | 663 | 30,425 |
Greenhill & Co., Inc. | 936 | 16,782 |
Griffon Corp. | 2,766 | 78,776 |
Group 1 Automotive, Inc. | 176 | 34,359 |
Guess?, Inc. | 857 | 20,294 |
Hanger, Inc.(a) | 1,260 | 22,844 |
Hanmi Financial Corp. | 161 | 3,812 |
Security Description | Shares | Value |
Harmonic, Inc.(a) | 5,760 | $67,738 |
Harmony Biosciences Holdings, Inc.(a) | 873 | 37,225 |
Harsco Corp.(a) | 368 | 6,149 |
Haverty Furniture Companies, Inc. | 2,648 | 80,949 |
Hawaiian Holdings, Inc.(a) | 4,301 | 79,009 |
Hawkins, Inc. | 741 | 29,232 |
Haynes International, Inc. | 528 | 21,294 |
HB Fuller Co. | 64 | 5,184 |
HCI Group, Inc. | 616 | 51,461 |
Healthcare Services Group, Inc. | 2,508 | 44,617 |
HealthStream, Inc.(a) | 1,355 | 35,718 |
Heartland Express, Inc. | 1,380 | 23,212 |
Heidrick & Struggles International, Inc. | 274 | 11,982 |
Helix Energy Solutions Group, Inc.(a) | 5,109 | 15,940 |
Helmerich & Payne, Inc. | 664 | 15,737 |
Heritage Financial Corp. | 153 | 3,739 |
Hersha Hospitality Trust, REIT(a) | 2,265 | 20,770 |
Heska Corp.(a) | 168 | 30,658 |
Hibbett, Inc. | 442 | 31,793 |
Hillenbrand, Inc. | 742 | 38,577 |
Hilltop Holdings, Inc. | 804 | 28,253 |
HNI Corp. | 587 | 24,683 |
HomeStreet, Inc. | 73 | 3,796 |
Hope Bancorp, Inc. | 248 | 3,648 |
Horace Mann Educators Corp. | 1,619 | 62,655 |
Hub Group, Inc., Class A(a) | 279 | 23,503 |
Ichor Holdings Ltd.(a) | 414 | 19,056 |
Independence Realty Trust, Inc., REIT | 452 | 11,675 |
Independent Bank Corp. | 45 | 3,669 |
Independent Bank Group, Inc. | 50 | 3,607 |
Industrial Logistics Properties Trust, REIT | 483 | 12,099 |
Innospec, Inc. | 58 | 5,240 |
Innovative Industrial Properties, Inc., REIT | 41 | 10,779 |
Innoviva, Inc.(a) | 2,534 | 43,711 |
Inogen, Inc.(a) | 2,072 | 70,448 |
Insight Enterprises, Inc.(a) | 204 | 21,746 |
Installed Building Products, Inc. | 178 | 24,870 |
Insteel Industries, Inc. | 1,638 | 65,209 |
Integer Holdings Corp.(a) | 167 | 14,294 |
Inter Parfums, Inc. | 651 | 69,592 |
InterDigital, Inc. | 1,218 | 87,245 |
Interface, Inc. | 872 | 13,908 |
Invesco Mortgage Capital, Inc., REIT | 3,433 | 9,544 |
Investors Bancorp, Inc. | 242 | 3,666 |
iRobot Corp.(a) | 370 | 24,376 |
iStar, Inc., REIT | 970 | 25,055 |
Itron, Inc.(a) | 340 | 23,297 |
J & J Snack Foods Corp. | 157 | 24,800 |
James River Group Holdings Ltd. | 1,998 | 57,562 |
John B Sanfilippo & Son, Inc. | 256 | 23,081 |
John Bean Technologies Corp. | 229 | 35,165 |
Joint Corp.(a) | 300 | 19,707 |
Security Description | Shares | Value |
Kaiser Aluminum Corp. | 61 | $5,730 |
Kaman Corp. | 503 | 21,704 |
KAR Auction Services, Inc.(a) | 2,209 | 34,505 |
Kelly Services, Inc., Class A | 693 | 11,622 |
KKR Real Estate Finance Trust, Inc., REIT | 174 | 3,624 |
Knowles Corp.(a) | 2,834 | 66,174 |
Kontoor Brands, Inc. | 1,171 | 60,014 |
Koppers Holdings, Inc.(a) | 868 | 27,168 |
Korn Ferry | 151 | 11,435 |
Kraton Corp.(a) | 596 | 27,607 |
Kulicke & Soffa Industries, Inc. | 278 | 16,830 |
Lakeland Financial Corp. | 475 | 38,066 |
Lantheus Holdings, Inc.(a) | 1,021 | 29,497 |
Laredo Petroleum, Inc.(a) | 356 | 21,406 |
La-Z-Boy, Inc. | 692 | 25,127 |
LCI Industries | 195 | 30,395 |
LeMaitre Vascular, Inc. | 285 | 14,316 |
LendingTree, Inc.(a) | 249 | 30,527 |
Lexington Realty Trust, REIT | 727 | 11,356 |
LGI Homes, Inc.(a) | 258 | 39,856 |
Ligand Pharmaceuticals, Inc.(a) | 380 | 58,695 |
Lindsay Corp. | 199 | 30,248 |
Liquidity Services, Inc.(a) | 6,220 | 137,338 |
Livent Corp.(a) | 191 | 4,657 |
LivePerson, Inc.(a) | 1,366 | 48,794 |
Loyalty Ventures, Inc.(a) | 593 | 17,832 |
LTC Properties, Inc., REIT | 636 | 21,713 |
Lumber Liquidators Holdings, Inc.(a) | 4,739 | 80,895 |
M/I Homes, Inc.(a) | 641 | 39,857 |
Mack-Cali Realty Corp., REIT(a) | 1,299 | 23,876 |
Magellan Health, Inc.(a) | 530 | 50,345 |
ManTech International Corp., Class A | 599 | 43,685 |
Marcus & Millichap, Inc.(a) | 583 | 30,001 |
Marcus Corp.(a) | 2,756 | 49,222 |
MarineMax, Inc.(a) | 623 | 36,782 |
Marten Transport Ltd. | 1,412 | 24,230 |
Matador Resources Co. | 625 | 23,075 |
Materion Corp. | 232 | 21,330 |
Matson, Inc. | 276 | 24,848 |
Matthews International Corp., Class A | 461 | 16,905 |
MaxLinear, Inc.(a) | 2,224 | 167,667 |
MDC Holdings, Inc. | 744 | 41,538 |
Medifast, Inc. | 383 | 80,212 |
MEDNAX, Inc.(a) | 1,915 | 52,107 |
Mercer International, Inc. | 1,533 | 18,381 |
Meridian Bioscience, Inc.(a) | 1,547 | 31,559 |
Merit Medical Systems, Inc.(a) | 218 | 13,581 |
Meritage Homes Corp.(a) | 340 | 41,500 |
Meritor, Inc.(a) | 830 | 20,567 |
Mesa Laboratories, Inc. | 85 | 27,888 |
Meta Financial Group, Inc. | 584 | 34,841 |
Methode Electronics, Inc. | 952 | 46,810 |
Security Description | Shares | Value |
MGP Ingredients, Inc. | 989 | $84,055 |
Middlesex Water Co. | 927 | 111,518 |
ModivCare, Inc.(a) | 150 | 22,243 |
Monarch Casino & Resort, Inc.(a) | 449 | 33,204 |
Monro, Inc. | 618 | 36,011 |
Moog, Inc., Class A | 274 | 22,186 |
Motorcar Parts of America, Inc.(a) | 3,286 | 56,092 |
Movado Group, Inc. | 993 | 41,537 |
Mr Cooper Group, Inc.(a) | 661 | 27,504 |
Mueller Industries, Inc. | 360 | 21,370 |
Myers Industries, Inc. | 295 | 5,903 |
MYR Group, Inc.(a) | 285 | 31,507 |
Myriad Genetics, Inc.(a) | 837 | 23,101 |
Nabors Industries Ltd.(a) | 169 | 13,704 |
National Bank Holdings Corp., Class A | 812 | 35,679 |
National Beverage Corp. | 467 | 21,169 |
National Presto Industries, Inc. | 603 | 49,464 |
Natus Medical, Inc.(a) | 1,197 | 28,405 |
NBT Bancorp, Inc. | 98 | 3,775 |
Neenah, Inc. | 384 | 17,772 |
Nektar Therapeutics(a) | 3,385 | 45,731 |
NeoGenomics, Inc.(a) | 651 | 22,212 |
NETGEAR, Inc.(a) | 2,179 | 63,649 |
NetScout Systems, Inc.(a) | 1,947 | 64,407 |
New York Mortgage Trust, Inc., REIT | 2,701 | 10,048 |
NexPoint Residential Trust, Inc., REIT | 140 | 11,736 |
NextGen Healthcare, Inc.(a) | 2,054 | 36,541 |
NMI Holdings, Inc., Class A(a) | 3,040 | 66,424 |
Northfield Bancorp, Inc. | 208 | 3,361 |
Northwest Bancshares, Inc. | 1,344 | 19,031 |
Northwest Natural Holding Co. | 1,989 | 97,023 |
NOW, Inc.(a) | 1,900 | 16,226 |
NV5 Global, Inc.(a) | 248 | 34,254 |
Oceaneering International, Inc.(a) | 1,359 | 15,370 |
ODP Corp.(a) | 856 | 33,624 |
Office Properties Income Trust, REIT | 985 | 24,467 |
OFG Bancorp | 1,441 | 38,273 |
O-I Glass, Inc.(a) | 1,567 | 18,851 |
Oil States International, Inc.(a) | 3,053 | 15,173 |
Old National Bancorp | 205 | 3,715 |
Olympic Steel, Inc. | 950 | 22,325 |
Omnicell, Inc.(a) | 232 | 41,862 |
OneSpan, Inc.(a) | 6,234 | 105,542 |
Onto Innovation, Inc.(a) | 297 | 30,065 |
OptimizeRx Corp.(a) | 583 | 36,210 |
OraSure Technologies, Inc.(a) | 3,343 | 29,051 |
Organogenesis Holdings, Inc.(a) | 7,417 | 68,533 |
Orion Office REIT, Inc.(a) | 1,252 | 23,375 |
Orthofix Medical, Inc.(a) | 2,377 | 73,901 |
OSI Systems, Inc.(a) | 227 | 21,156 |
Owens & Minor, Inc. | 2,023 | 88,000 |
Oxford Industries, Inc. | 208 | 21,116 |
Security Description | Shares | Value |
Pacific Premier Bancorp, Inc. | 94 | $3,763 |
Pacira BioSciences, Inc.(a) | 733 | 44,105 |
Palomar Holdings, Inc.(a) | 970 | 62,827 |
Par Pacific Holdings, Inc.(a) | 2,936 | 48,415 |
Park Aerospace Corp. | 385 | 5,082 |
Park National Corp. | 27 | 3,707 |
Patrick Industries, Inc. | 422 | 34,051 |
Patterson-UTI Energy, Inc. | 1,827 | 15,438 |
PBF Energy, Inc., Class A(a) | 3,212 | 41,660 |
PC Connection, Inc. | 468 | 20,185 |
PDC Energy, Inc. | 482 | 23,512 |
PDF Solutions, Inc.(a) | 1,201 | 38,180 |
Penn Virginia Corp., Class A(a) | 833 | 22,424 |
Pennant Group, Inc.(a) | 1,016 | 23,449 |
PennyMac Mortgage Investment Trust, REIT | 572 | 9,913 |
Perdoceo Education Corp.(a) | 2,716 | 31,940 |
Perficient, Inc.(a) | 298 | 38,528 |
PetMed Express, Inc. | 3,279 | 82,828 |
PGT Innovations, Inc.(a) | 1,137 | 25,571 |
Phibro Animal Health Corp., Class A | 2,887 | 58,953 |
Photronics, Inc.(a) | 1,087 | 20,490 |
Piper Sandler Companies | 101 | 18,029 |
Pitney Bowes, Inc. | 3,467 | 22,986 |
Plantronics, Inc.(a) | 2,920 | 85,673 |
Plexus Corp.(a) | 1,340 | 128,493 |
Powell Industries, Inc. | 2,187 | 64,495 |
PRA Group, Inc.(a) | 679 | 34,093 |
Preferred Bank | 52 | 3,733 |
Prestige Consumer Healthcare, Inc.(a) | 970 | 58,830 |
PriceSmart, Inc. | 1,040 | 76,097 |
ProAssurance Corp. | 2,073 | 52,447 |
Progress Software Corp. | 1,021 | 49,284 |
ProPetro Holding Corp.(a) | 1,839 | 14,896 |
Proto Labs, Inc.(a) | 840 | 43,134 |
Provident Financial Services, Inc. | 154 | 3,730 |
Quaker Chemical Corp. | 23 | 5,308 |
Quanex Building Products Corp. | 1,123 | 27,828 |
QuinStreet, Inc.(a) | 927 | 16,862 |
RadNet, Inc.(a) | 761 | 22,914 |
Rambus, Inc.(a) | 2,872 | 84,408 |
Range Resources Corp.(a) | 1,284 | 22,894 |
Rayonier Advanced Materials, Inc.(a) | 2,308 | 13,179 |
RE/MAX Holdings, Inc., Class A | 953 | 29,057 |
Ready Capital Corp., REIT | 221 | 3,454 |
Realogy Holdings Corp.(a) | 1,699 | 28,560 |
Red Robin Gourmet Burgers, Inc.(a) | 1,385 | 22,894 |
Redwood Trust, Inc., REIT | 1,354 | 17,859 |
REGENXBIO, Inc.(a) | 864 | 28,253 |
Renasant Corp. | 501 | 19,013 |
Renewable Energy Group, Inc.(a) | 916 | 38,875 |
Rent-A-Center, Inc. | 831 | 39,921 |
Resideo Technologies, Inc.(a) | 957 | 24,911 |
Security Description | Shares | Value |
Resources Connection, Inc. | 964 | $17,198 |
Retail Opportunity Investments Corp., REIT | 739 | 14,484 |
REX American Resources Corp.(a) | 355 | 34,080 |
Rogers Corp.(a) | 18 | 4,914 |
RPC, Inc.(a) | 3,576 | 16,235 |
RPT Realty, REIT | 1,052 | 14,076 |
Ruth's Hospitality Group, Inc.(a) | 1,214 | 24,159 |
S&T Bancorp, Inc. | 116 | 3,656 |
Safehold, Inc., REIT | 154 | 12,297 |
Safety Insurance Group, Inc. | 788 | 67,004 |
Sally Beauty Holdings, Inc.(a) | 1,588 | 29,314 |
Sanmina Corp.(a) | 3,207 | 132,962 |
Saul Centers, Inc., REIT | 269 | 14,262 |
ScanSource, Inc.(a) | 608 | 21,329 |
Scholastic Corp. | 827 | 33,047 |
Schweitzer-Mauduit International, Inc. | 598 | 17,880 |
Seacoast Banking Corp. of Florida | 107 | 3,787 |
Select Medical Holdings Corp. | 1,704 | 50,098 |
Selectquote, Inc.(a) | 3,064 | 27,760 |
Seneca Foods Corp., Class A(a) | 784 | 37,593 |
Service Properties Trust, REIT | 2,257 | 19,839 |
ServisFirst Bancshares, Inc. | 42 | 3,567 |
Shake Shack, Inc., Class A(a) | 833 | 60,109 |
Shenandoah Telecommunications Co. | 3,276 | 83,538 |
Shoe Carnival, Inc. | 636 | 24,855 |
Shutterstock, Inc. | 1,119 | 124,075 |
Signet Jewelers Ltd. | 470 | 40,904 |
Simmons First National Corp., Class A | 120 | 3,550 |
Simply Good Foods Co.(a) | 604 | 25,108 |
Simulations Plus, Inc. | 724 | 34,245 |
SiriusPoint Ltd.(a) | 7,595 | 61,747 |
SITE Centers Corp., REIT | 908 | 14,374 |
SkyWest, Inc.(a) | 2,024 | 79,543 |
Sleep Number Corp.(a) | 326 | 24,972 |
SM Energy Co. | 755 | 22,257 |
SMART Global Holdings, Inc.(a) | 1,357 | 96,333 |
Sonic Automotive, Inc., Class A | 702 | 34,714 |
South Jersey Industries, Inc. | 3,790 | 98,995 |
Southside Bancshares, Inc. | 86 | 3,597 |
Southwestern Energy Co.(a) | 4,547 | 21,189 |
SpartanNash Co. | 3,066 | 78,980 |
Spectrum Pharmaceuticals, Inc.(a) | 29,181 | 37,060 |
SPS Commerce, Inc.(a) | 360 | 51,246 |
SPX Corp.(a) | 1,037 | 61,888 |
SPX FLOW, Inc. | 243 | 21,015 |
St Joe Co. | 219 | 11,399 |
Standard Motor Products, Inc. | 1,207 | 63,235 |
Standex International Corp. | 720 | 79,675 |
Stepan Co. | 118 | 14,666 |
Steven Madden Ltd. | 858 | 39,871 |
Stewart Information Services Corp. | 744 | 59,319 |
StoneX Group, Inc.(a) | 1,390 | 85,137 |
Security Description | Shares | Value |
Strategic Education, Inc. | 566 | $32,737 |
Sturm Ruger & Co., Inc. | 1,291 | 87,814 |
Summit Hotel Properties, Inc., REIT(a) | 2,195 | 21,423 |
SunCoke Energy, Inc. | 3,229 | 21,279 |
Supernus Pharmaceuticals, Inc.(a) | 1,153 | 33,621 |
Surmodics, Inc.(a) | 320 | 15,408 |
Sylvamo Corp.(a) | 587 | 16,371 |
Tabula Rasa HealthCare, Inc.(a) | 3,118 | 46,770 |
Tactile Systems Technology, Inc.(a) | 3,605 | 68,603 |
Talos Energy, Inc.(a) | 2,478 | 24,284 |
Tanger Factory Outlet Centers, Inc., REIT | 698 | 13,457 |
TechTarget, Inc.(a) | 177 | 16,932 |
Telephone and Data Systems, Inc. | 6,270 | 126,340 |
Tennant Co. | 454 | 36,792 |
Thryv Holdings, Inc.(a) | 831 | 34,179 |
TimkenSteel Corp.(a) | 1,391 | 22,951 |
Titan International, Inc.(a) | 733 | 8,034 |
Tivity Health, Inc.(a) | 819 | 21,654 |
Tompkins Financial Corp. | 47 | 3,928 |
Tootsie Roll Industries, Inc. | 595 | 21,557 |
Tredegar Corp. | 1,216 | 14,373 |
TreeHouse Foods, Inc.(a) | 575 | 23,305 |
Trinseo PLC | 258 | 13,535 |
Triumph Bancorp, Inc.(a) | 284 | 33,819 |
Triumph Group, Inc.(a) | 1,152 | 21,347 |
TrueBlue, Inc.(a) | 428 | 11,843 |
Trupanion, Inc.(a) | 433 | 57,169 |
TrustCo Bank Corp. NY | 556 | 18,520 |
Trustmark Corp. | 113 | 3,668 |
TTEC Holdings, Inc. | 139 | 12,586 |
TTM Technologies, Inc.(a) | 4,381 | 65,277 |
Tupperware Brands Corp.(a) | 5,333 | 81,542 |
Two Harbors Investment Corp., REIT | 1,723 | 9,942 |
UFP Industries, Inc. | 685 | 63,027 |
Ultra Clean Holdings, Inc.(a) | 333 | 19,101 |
Unifi, Inc.(a) | 585 | 13,543 |
UniFirst Corp. | 201 | 42,290 |
uniQure N.V.(a) | 984 | 20,408 |
Unisys Corp.(a) | 2,143 | 44,081 |
United Community Banks, Inc. | 104 | 3,738 |
United Fire Group, Inc. | 2,193 | 50,856 |
United Natural Foods, Inc.(a) | 1,426 | 69,988 |
Uniti Group, Inc., REIT | 846 | 11,852 |
Unitil Corp. | 2,099 | 96,533 |
Universal Corp. | 1,644 | 90,288 |
Universal Electronics, Inc.(a) | 2,197 | 89,528 |
Universal Health Realty Income Trust, REIT | 188 | 11,180 |
Universal Insurance Holdings, Inc. | 3,946 | 67,082 |
Urstadt Biddle Properties, Inc., REIT, Class A | 701 | 14,931 |
Security Description | Shares | Value | |
US Ecology, Inc.(a) | 1,202 | $38,392 | |
US Physical Therapy, Inc. | 219 | 20,925 | |
US Silica Holdings, Inc.(a) | 1,669 | 15,689 | |
USANA Health Sciences, Inc.(a) | 223 | 22,568 | |
Vanda Pharmaceuticals, Inc.(a) | 2,629 | 41,249 | |
Varex Imaging Corp.(a) | 978 | 30,856 | |
Vector Group Ltd. | 7,820 | 89,774 | |
Veeco Instruments, Inc.(a) | 703 | 20,014 | |
Vera Bradley, Inc.(a) | 4,981 | 42,388 | |
Vericel Corp.(a) | 1,879 | 73,845 | |
Veritex Holdings, Inc. | 91 | 3,620 | |
Veritiv Corp.(a) | 160 | 19,611 | |
Viad Corp.(a) | 361 | 15,447 | |
Viavi Solutions, Inc.(a) | 1,676 | 29,531 | |
Virtus Investment Partners, Inc. | 284 | 84,376 | |
Vista Outdoor, Inc.(a) | 2,092 | 96,378 | |
Vonage Holdings Corp.(a) | 4,817 | 100,145 | |
Wabash National Corp. | 1,617 | 31,564 | |
Walker & Dunlop, Inc. | 186 | 28,064 | |
Warrior Met Coal, Inc. | 920 | 23,653 | |
Washington Real Estate Investment Trust, REIT | 438 | 11,322 | |
Watts Water Technologies, Inc., Class A | 109 | 21,165 | |
WD-40 Co. | 61 | 14,923 | |
Westamerica BanCorp | 540 | 31,174 | |
Whitestone REIT | 1,436 | 14,547 | |
Winnebago Industries, Inc. | 913 | 68,402 | |
WisdomTree Investments, Inc. | 13,039 | 79,799 | |
Wolverine World Wide, Inc. | 1,305 | 37,597 | |
World Acceptance Corp.(a) | 135 | 33,133 | |
World Fuel Services Corp. | 1,516 | 40,129 | |
WSFS Financial Corp. | 74 | 3,709 | |
WW International, Inc.(a) | 2,005 | 32,341 | |
Xencor, Inc.(a) | 817 | 32,778 | |
Xenia Hotels & Resorts, Inc., REIT(a) | 1,206 | 21,841 | |
Xperi Holding Corp. | 4,119 | 77,890 | |
Zumiez, Inc.(a) | 1,301 | 62,435 | |
Zynex, Inc.(a) | 6,348 | 63,290 | |
TOTAL INVESTMENTS—99.8% (Cost $17,064,807) | 21,363,533 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.2% | 46,475 | ||
NET ASSETS—100.0% | $21,410,008 |
(a) | Non-income producing security. |
PLC=Public Limited Company |
REIT=Real Estate Investment Trust |
INDUSTRY | PERCENTAGE OF NET ASSETS |
Business Software for Specific Uses | 3.6% |
Healthcare Providers and Facilities | 3.5 |
Gas and Water Utilities | 2.8 |
Commercial Hardware | 2.7 |
Marketed Pharmaceuticals | 2.5 |
Real Estate Banking | 2.5 |
Transaction Services | 2.5 |
Commercial Insurance | 2.4 |
Home Office and Consumer Equipment Manufacture | 2.4 |
Operators and Developers | 2.4 |
Management and IT Services | 2.4 |
Digital Integrated Circuits | 2.4 |
Auto Products | 2.4 |
Upstream Energy | 2.4 |
Rental | 2.3 |
Consumer Insurance | 2.3 |
Telecommunication Networks | 2.3 |
Content Providers | 2.3 |
Transportation Services | 2.3 |
Medical Devices | 2.3 |
Non Real Estate Banking | 2.3 |
Hospital Equipment | 2.2 |
Home Office and Consumer Equipment Retail | 2.2 |
Mechanical Components | 2.1 |
Investment Services | 1.9 |
Information and Electrical Components | 1.8 |
Production Equipment | 1.8 |
Restaurants | 1.8 |
Food Distributors | 1.8 |
Distribution Services | 1.8 |
Specialty Services | 1.8 |
Other Pharmaceuticals | 1.6 |
Semiconductor Services and Equipment | 1.5 |
Contract Electronics Services | 1.4 |
Chemicals | 1.3 |
Apparel Retailers | 1.3 |
Business Software for Specific Industries | 1.3 |
Alcohol and Tobacco | 1.2 |
Online Distribution Networks | 1.2 |
Primary Foods | 1.2 |
Branded Apparel | 1.1 |
Metals | 1.1 |
Processed Foods | 1.1 |
INDUSTRY | PERCENTAGE OF NET ASSETS |
Transport Aerospace and Defense Equipment | 1.0% |
Accessories and Footwear | 1.0 |
Personal Products | 0.9 |
Electric Regulated | 0.9 |
Other Natural Resources | 0.9 |
Healthcare Products Distribution | 0.8 |
End User Hardware | 0.8 |
Analog and Mixed Signal Integrated Circuits | 0.8 |
Industrial Conglomerates | 0.7 |
Clinical Stage Pharmaceuticals | 0.7 |
Downstream | 0.6 |
Internet Services | 0.6 |
Search and Social Networks | 0.5 |
Brokers and Dealers | 0.4 |
Drugstores | 0.4 |
Medical Research Services and Equipment | 0.3 |
Consumer Paper Products | 0.3 |
Healthcare Insurance | 0.2 |
Midstream | 0.2 |
Consumer Services | 0.2 |
Vitamins and Nutritional Supplements | 0.1 |
Other Assets in Excess of Liabilities | 0.2 |
Total | 100.0% |
Security Description | Shares | Value | |
EXCHANGE-TRADED FUNDS—99.8% | |||
Syntax Stratified Large Cap ETF(a) | 202,953 | $14,471,787 | |
Syntax Stratified MidCap ETF(a) | 41,945 | 1,708,961 | |
Syntax Stratified SmallCap ETF(a) | 16,179 | 815,106 | |
TOTAL INVESTMENTS—99.8% (Cost $14,991,144) | 16,995,854 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.2% | 36,574 | ||
NET ASSETS—100.0% | $17,032,428 |
(a) | Affiliated investment. The Fund's transactions and earnings are as follows: |
Affiliated Investments | Value March 18, 2021* | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Value December 31, 2021 | Shares as of December 31, 2021 | Dividend Income | Net Capital Gain Distributions |
Syntax Stratified Large Cap ETF | $— | $17,847,256 | $(5,766,864) | $399,208 | $1,992,187 | $14,471,787 | 202,953 | $158,260 | $— |
Syntax Stratified MidCap ETF | — | 2,261,005 | (624,483) | 21,588 | 50,851 | 1,708,961 | 41,945 | 24,361 | 14,946 |
Syntax Stratified SmallCap ETF | — | 1,155,189 | (310,320) | 8,565 | (38,328) | 815,106 | 16,179 | 57,907 | — |
Total | $— | $21,263,450 | $(6,701,667) | $429,361 | $2,004,710 | $16,995,854 | 261,077 | $240,528 | $14,946 |
* | Commencement of operations. |
ETF=Exchange Traded Fund |
ASSET TYPE | PERCENTAGE OF NET ASSETS |
Large Cap ETF | 85.0% |
Mid Cap ETF | 10.0 |
Small Cap ETF | 4.8 |
Other Assets in Excess of Liabilities | 0.2 |
Total | 100.0% |
Security Description | Shares | Value | |
EXCHANGE-TRADED FUNDS—88.7% | |||
Syntax Stratified Large Cap ETF(a) | 482,004 | $34,369,826 | |
Syntax Stratified MidCap ETF(a) | 99,619 | 4,058,767 | |
Syntax Stratified SmallCap ETF(a) | 38,421 | 1,935,669 | |
TOTAL EXCHANGE-TRADED FUNDS (Cost $36,970,076) | $40,364,262 | ||
TOTAL PURCHASED OPTIONS—12.2% (Cost $6,235,982) | $5,568,640 | ||
TOTAL INVESTMENTS—100.9% (Cost $43,206,058) | 45,932,902 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.9)% | (405,838) | ||
NET ASSETS—100.0% | $45,527,064 |
(a) | Affiliated investment. The Fund's transactions and earnings are as follows: |
Affiliated Investments | Value June 15, 2021* | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Value December 31, 2021 | Shares as of December 31, 2021 | Dividend Income | Net Capital Gain Distributions |
Syntax Stratified Large Cap ETF | $— | $34,586,011 | $(3,714,940) | $118,836 | $3,379,919 | $34,369,826 | 482,004 | $375,861 | $— |
Syntax Stratified MidCap ETF | — | 4,198,311 | (261,239) | 2,003 | 119,692 | 4,058,767 | 99,619 | 57,856 | 35,496 |
Syntax Stratified SmallCap ETF | — | 2,166,836 | (124,742) | (1,000) | (105,425) | 1,935,669 | 38,421 | 137,515 | — |
Total | $— | $40,951,158 | $(4,100,921) | $119,839 | $3,394,186 | $40,364,262 | 620,044 | $571,232 | $35,496 |
* | Commencement of operations. |
ETF=Exchange Traded Fund |
Purchased Call Options — 3.1% |
Exchange-Traded Options — 3.1% |
Description | Number of Contracts | Notional Amount | Cost | Exercise Price | Expiration Date | Value |
SPDR S&P 500 ETF Trust | 448 | $21,278,208 | $1,120,239 | $515 | 12/15/23 | $1,438,976 |
Total | $1,438,976 |
Purchased Put Options — 9.1% |
Exchange-Traded Options — 9.1% |
Description | Number of Contracts | Notional Amount | Cost | Exercise Price | Expiration Date | Value |
SPDR S&P 500 ETF Trust | 896 | $42,556,416 | $5,115,743 | $455 | 12/15/23 | $4,129,664 |
Total | $4,129,664 | |||||
Total Purchased Options — 12.2% | $5,568,640 | |||||
Written Call Options — (1.2)% |
Exchange-Traded Options — (1.2)% |
Description | Number of Contracts | Notional Amount | Proceeds Received | Exercise Price | Expiration Date | Value |
SPDR S&P 500 ETF Trust | 448 | $21,278,208 | $(416,398) | $575 | 12/15/23 | $(544,320) |
Total | $(544,320) |
ASSET TYPE | PERCENTAGE OF NET ASSETS |
Large Cap ETF | 75.5% |
Mid Cap ETF | 8.9 |
Small Cap ETF | 4.3 |
Purchased Options | 12.2 |
Written Options | (1.2) |
Other Assets in Excess of Liabilities | 0.3 |
Total | 100.0% |
Syntax Stratified LargeCap ETF | Syntax Stratified MidCap ETF | Syntax Stratified SmallCap ETF | |||
ASSETS | |||||
Investments in securities of unaffiliated issuers | $108,463,213 | $10,165,500 | $21,363,533 | ||
Total Investments | 108,463,213 | 10,165,500 | 21,363,533 | ||
Cash | 149,934 | 12,126 | 39,640 | ||
Receivable from investments sold | — | — | 30,575 | ||
Dividends receivable | 99,048 | 6,516 | 11,978 | ||
Total Assets | 108,712,195 | 10,184,142 | 21,445,726 | ||
LIABILITIES | |||||
Payable for investments purchased | — | — | 28,139 | ||
Accrued Management fee | 27,214 | 3,013 | 7,487 | ||
Accrued Other fees | 444 | 42 | 92 | ||
Total Liabilities | 27,658 | 3,055 | 35,718 | ||
NET ASSETS | $108,684,537 | $10,181,087 | $21,410,008 | ||
NET ASSETS CONSISTS OF: | |||||
Paid in Capital | $89,736,630 | $8,787,422 | $17,160,163 | ||
Distributable earnings | 18,947,907 | 1,393,665 | 4,249,845 | ||
NET ASSETS | $108,684,537 | $10,181,087 | $21,410,008 | ||
NET ASSET VALUE PER SHARE | $71.27 | $40.72 | $50.38 | ||
SHARES OUTSTANDING (unlimited number of shares authorized, no par value) | 1,525,000 | 250,000 | 425,000 | ||
COST OF INVESTMENTS | $88,367,456 | $8,671,266 | $17,064,807 |
Syntax Stratified U.S. Total Market ETF | Syntax Stratified U.S. Total Market Hedged ETF | ||
ASSETS | |||
Investments in securities of unaffiliated issuers | $— | $5,568,640 | |
Investments in securities of affiliated issuers | 16,995,854 | 40,364,262 | |
Total Investments | 16,995,854 | 45,932,902 | |
Cash | 37,164 | 142,576 | |
Cash at broker | — | 10,196 | |
Dividends receivable | — | 86 | |
Total Assets | 17,033,018 | 46,085,760 | |
LIABILITIES | |||
Written options, at value | — | 544,320 | |
Accrued Management fee | 520 | 14,185 | |
Accrued Other fees | 70 | 191 | |
Total Liabilities | 590 | 558,696 | |
NET ASSETS | $17,032,428 | $45,527,064 | |
NET ASSETS CONSISTS OF: | |||
Paid in Capital | $15,016,912 | $43,675,469 | |
Distributable earnings | 2,015,516 | 1,851,595 | |
NET ASSETS | $17,032,428 | $45,527,064 | |
NET ASSET VALUE PER SHARE | $45.42 | $41.39 | |
SHARES OUTSTANDING (unlimited number of shares authorized, no par value) | 375,000 | 1,100,000 | |
Investments in securities of unaffiliated issuers | $— | $6,235,982 | |
Investments in securities of affiliated issuers | 14,991,144 | 36,970,076 | |
TOTAL COST OF INVESTMENTS | $14,991,144 | $43,206,058 | |
WRITTEN OPTIONS PREMIUM | $— | $416,398 |
Syntax Stratified LargeCap ETF | Syntax Stratified MidCap ETF | Syntax Stratified SmallCap ETF | |||
Year Ended 12/31/21 | Year Ended 12/31/21 | Year Ended 12/31/21 | |||
INVESTMENT INCOME | |||||
Dividend income (net of foreign taxes withheld of $277, $0 and $128, respectively) | $1,369,005 | $90,515 | $265,395 | ||
Total Investment Income | 1,369,005 | 90,515 | 265,395 | ||
EXPENSES | |||||
Management fee | 362,631 | 36,644 | 96,238 | ||
Other fees | 3,949 | 398 | 1,048 | ||
Total Expenses | 366,580 | 37,042 | 97,286 | ||
Expense Waiver/Reimbursement | (120,877) | (9,028) | (17,104) | ||
Net Expenses | 245,703 | 28,014 | 80,182 | ||
NET INVESTMENT INCOME (LOSS) | 1,123,302 | 62,501 | 185,213 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) from transactions in investment securities | 123,167 | 60,003 | 719,903 | ||
Net realized gain (loss) from in-kind redemptions of investment securities | 5,410,490 | 427,188 | 2,951,797 | ||
Net realized gain (loss) | 5,533,657 | 487,191 | 3,671,700 | ||
Net change in unrealized appreciation/depreciation on investments | 11,995,507 | 632,555 | 422,221 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 17,529,164 | 1,119,746 | 4,093,921 | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $18,652,466 | $1,182,247 | $4,279,134 |
Syntax Stratified U.S. Total Market ETF | Syntax Stratified U.S. Total Market Hedged ETF | ||
For the Period 3/18/21(a) to 12/31/21 | For the Period 6/15/21(b) to 12/31/21 | ||
INVESTMENT INCOME | |||
Dividend income (net of foreign taxes withheld of $0 and $616, respectively) | $— | $7,653 | |
Dividend income from affiliated investments | 240,528 | 571,232 | |
Total Investment Income | 240,528 | 578,885 | |
EXPENSES | |||
Management fee | 108,056 | 247,484 | |
Other fees | 700 | 1,213 | |
Total Expenses | 108,756 | 248,697 | |
Expense Waiver/Reimbursement | (102,265) | (154,389) | |
Net Expenses | 6,491 | 94,308 | |
NET INVESTMENT INCOME (LOSS) | 234,037 | 484,577 | |
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) from transactions in investment securities | — | (487,111) | |
Net realized gain (loss) from transactions in affiliated investment securities | 23,689 | (13,698) | |
Net realized gain (loss) from in-kind redemptions of investment securities | — | (1,262,708) | |
Net realized gain (loss) from in-kind redemptions of affiliated investment securities | 405,672 | 133,537 | |
Capital gain distributions from affiliated investments | 14,946 | 35,496 | |
Net realized gain (loss) from transactions in written options | — | (435,096) | |
Net realized gain (loss) | 444,307 | (2,029,580) | |
Net change in unrealized appreciation/depreciation on investments | — | (667,342) | |
Net change in unrealized appreciation/depreciation on affiliated investments | 2,004,710 | 3,394,186 | |
Net change in unrealized appreciation/depreciation on written options | — | (127,922) | |
Net change in unrealized appreciation/depreciation | 2,004,710 | 2,598,922 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 2,449,017 | 569,342 | |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $2,683,054 | $1,053,919 |
(a) | Fund commenced operations on March 18, 2021. |
(b) | Fund commenced operations on June 15, 2021. |
Syntax Stratified LargeCap ETF | Syntax Stratified MidCap ETF | ||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/21 | For the Period 1/16/20(a) to 12/31/20 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $1,123,302 | $575,720 | $62,501 | $28,815 | |||
Net realized gain (loss) | 5,533,657 | 8,152,095 | 487,191 | 9,085 | |||
Net change in unrealized appreciation/depreciation | 11,995,507 | (2,055,792) | 632,555 | 412,868 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 18,652,466 | 6,672,023 | 1,182,247 | 450,768 | |||
DISTRIBUTIONS TO SHAREHOLDERS | |||||||
Distributions to Shareholders | (1,189,175) | (684,065) | (234,274) | (30,102) | |||
INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS: | |||||||
Proceeds from Shares Sold | 61,152,050 | 16,583,551 | 6,815,911 | 3,000,000 | |||
Cost of Shares Redeemed | (11,919,869) | (42,731,376) | (1,003,463) | — | |||
INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS: | 49,232,181 | (26,147,825) | 5,812,448 | 3,000,000 | |||
NET INCREASE (DECREASE) IN NET ASSETS DURING THE PERIOD | 66,695,472 | (20,159,867) | 6,760,421 | 3,420,666 | |||
NET ASSETS AT BEGINNING OF PERIOD | 41,989,065 | 62,148,932 | 3,420,666 | — | |||
NET ASSETS AT END OF PERIOD | $108,684,537 | $41,989,065 | $10,181,087 | $3,420,666 | |||
SHARE TRANSACTIONS: | |||||||
Shares sold | 950,000 | 375,000 | 175,000 | 100,000 | |||
Shares redeemed | (175,000) | (850,000) | (25,000) | — | |||
NET INCREASE (DECREASE) | 775,000 | (475,000) | 150,000 | 100,000 |
(a) | Fund commenced operations on January 16, 2020. |
Syntax Stratified SmallCap ETF | Syntax Stratified U.S. Total Market ETF | Syntax Stratified U.S. Total Market Hedged ETF | |||||
Year Ended 12/31/21 | For the Period 5/28/20(a) to 12/31/20 | For the Period 3/18/21(b) to 12/31/21 | For the Period 6/15/21(c) to 12/31/21 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $185,213 | $78,348 | $234,037 | $484,577 | |||
Net realized gain (loss) | 3,671,700 | 2,696,985 | 444,307 | (2,029,580) | |||
Net change in unrealized appreciation/depreciation | 422,221 | 2,574,574 | 2,004,710 | 2,598,922 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 4,279,134 | 5,349,907 | 2,683,054 | 1,053,919 | |||
DISTRIBUTIONS TO SHAREHOLDERS | |||||||
Distributions to Shareholders | (1,521,147) | (149,507) | (246,920) | (484,945) | |||
INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS: | |||||||
Proceeds from Shares Sold | 7,862,252 | 16,028,533 | 21,000,000 | 88,308,024 | |||
Cost of Shares Redeemed | (6,436,337) | (4,002,827) | (6,403,706) | (43,349,934) | |||
INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS: | 1,425,915 | 12,025,706 | 14,596,294 | 44,958,090 | |||
NET INCREASE (DECREASE) IN NET ASSETS DURING THE PERIOD | 4,183,902 | 17,226,106 | 17,032,428 | 45,527,064 | |||
NET ASSETS AT BEGINNING OF PERIOD | 17,226,106 | — | — | — | |||
NET ASSETS AT END OF PERIOD | $21,410,008 | $17,226,106 | $17,032,428 | $45,527,064 | |||
SHARE TRANSACTIONS: | |||||||
Shares sold | 150,000 | 525,000 | 525,000 | 2,200,000 | |||
Shares redeemed | (125,000) | (125,000) | (150,000) | (1,100,000) | |||
NET INCREASE | 25,000 | 400,000 | 375,000 | 1,100,000 |
(a) | Fund commenced operations on May 28, 2020. |
(b) | Fund commenced operations on March 18, 2021. |
(c) | Fund commenced operations on June 15, 2021. |
Syntax Stratified LargeCap ETF | |||||
Year Ended 12/31/21 | Year Ended 12/31/20 | For the Period 1/2/19(a) to 12/31/19 | |||
Net asset value, beginning of period | $55.99 | $50.73 | $40.00 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss)(b) | 0.92 | 0.88 | 0.84 | ||
Net realized and unrealized gain (loss) | 15.14 | 5.29 | 10.68 | ||
Total from investment operations | 16.06 | 6.17 | 11.52 | ||
Less Distributions from: | |||||
Net investment income | (0.78) | (0.82) | (0.79) | ||
Net realized gains | — | (0.09) | — | ||
Net asset value, end of period | $71.27 | $55.99 | $50.73 | ||
Total return(c) | 28.76% | 12.18% | 28.81%(d) | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (000s) | $108,685 | $41,989 | $62,149 | ||
Ratios to average net assets: | |||||
Total expenses | 0.45% | 0.45% | 0.80%(e) | ||
Net expenses(f) | 0.30% | 0.30% | 0.30%(e) | ||
Net investment income (loss)(f) | 1.39% | 1.83% | 1.80%(e) | ||
Portfolio turnover rate(g) | 25% | 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. |
Syntax Stratified MidCap ETF | |||
Year Ended 12/31/21 | For the Period 1/16/20(a) to 12/31/20 | ||
Net asset value, beginning of period | $34.21 | $30.00 | |
Income (loss) from investment operations: | |||
Net investment income (loss)(b) | 0.31 | 0.29 | |
Net realized and unrealized gain (loss) | 7.14 | 4.22 | |
Total from investment operations | 7.45 | 4.51 | |
Less Distributions from: | |||
Net investment income | (0.28) | (0.30) | |
Net realized gains | (0.66) | — | |
Net asset value, end of period | $40.72 | $34.21 | |
Total return(c) | 21.95% | 15.04%(d) | |
Ratios and Supplemental Data: | |||
Net assets, end of period (000s) | $10,181 | $3,421 | |
Ratios to average net assets: | |||
Total expenses | 0.45% | 0.45%(e) | |
Net expenses(f) | 0.34% | 0.30%(e) | |
Net investment income (loss)(f) | 0.77% | 1.10%(e) | |
Portfolio turnover rate(g) | 50% | 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. |
Syntax Stratified SmallCap ETF | |||
Year Ended 12/31/21 | For the Period 5/28/20(a) to 12/31/20 | ||
Net asset value, beginning of period | $43.07 | $30.00 | |
Income (loss) from investment operations: | |||
Net investment income (loss)(b) | 0.45 | 0.20 | |
Net realized and unrealized gain (loss) | 10.44 | 13.24 | |
Total from investment operations | 10.89 | 13.44 | |
Less Distributions from: | |||
Net investment income | (0.47) | (0.19) | |
Net realized gains | (3.11) | (0.18) | |
Net asset value, end of period | $50.38 | $43.07 | |
Total return(c) | 25.72% | 44.82%(d) | |
Ratios and Supplemental Data: | |||
Net assets, end of period (000s) | $21,410 | $17,226 | |
Ratios to average net assets: | |||
Total expenses | 0.45% | 0.45%(e) | |
Net expenses(f) | 0.37% | 0.30%(e) | |
Net investment income (loss)(f) | 0.87% | 0.93%(e) | |
Portfolio turnover rate(g) | 40% | 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. |
Syntax Stratified U.S. Total Market ETF | |
For the Period 3/18/21(a) to 12/31/21 | |
Net asset value, beginning of period | $40.00 |
Income (loss) from investment operations: | |
Net investment income (loss)(b) | 0.56 |
Net realized and unrealized gain (loss) | 5.52 |
Total from investment operations | 6.08 |
Less Distributions from: | |
Net investment income | (0.62) |
Net realized gains | (0.04) |
Net asset value, end of period | $45.42 |
Total return(c) | 15.20%(d) |
Ratios and Supplemental Data: | |
Net assets, end of period (000s) | $17,032 |
Ratios to average net assets: | |
Total expenses | 0.76%(e) |
Net expenses(f) | 0.05%(e) |
Net investment income (loss)(f) | 1.64%(e) |
Portfolio turnover rate(g) | 2%(d) |
(a) | Fund commenced operations on March 18, 2021. |
(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. |
Syntax Stratified U.S. Total Market Hedged ETF | |
For the Period 6/15/21(a) to 12/31/21 | |
Net asset value, beginning of period | $40.40 |
Income (loss) from investment operations: | |
Net investment income (loss)(b) | 0.43 |
Net realized and unrealized gain (loss) | 1.00(c) |
Total from investment operations | 1.43 |
Less Distributions from: | |
Net investment income | (0.44) |
Net asset value, end of period | $41.39 |
Total return(d) | 3.54%(e) |
Ratios and Supplemental Data: | |
Net assets, end of period (000s) | $45,527 |
Ratios to average net assets: | |
Total expenses | 1.00%(f) |
Net expenses(g) | 0.38%(f) |
Net investment income (loss)(g) | 1.96%(f) |
Portfolio turnover rate(h) | 88%(e) |
(a) | Fund commenced operations on June 15, 2021. |
(b) | Per Share numbers have been calculated using the average shares method. |
(c) | As required by SEC standard per share data calculation methodology, this represents a balancing figure derived from the other amounts in the financial highlights table that captures all other changes affecting net asset value per share. This per share gain or loss amount does not correlate to the aggregate of the net realized and unrealized gain or loss in the Statements of Operations for the year ended December 31, 2021, primarily due to the timing of sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund’s portfolio. |
(d) | 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. |
(e) | Not annualized. |
(f) | Annualized. |
(g) | Net of expenses waived/reimbursed by the Advisor. |
(h) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions of Shares. |
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 |
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.) |
• | 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 | $108,463,213 | $— | $— | $108,463,213 |
Total | $108,463,213 | $— | $— | $108,463,213 |
Syntax Stratified MidCap ETF | ||||
INVESTMENTS: | ||||
Common Stock | $10,165,500 | $— | $— | $10,165,500 |
Total | $10,165,500 | $— | $— | $10,165,500 |
Description | Level 1 | Level 2 | Level 3 | Total |
Syntax Stratified SmallCap ETF | ||||
INVESTMENTS: | ||||
Common Stock | $21,363,533 | $— | $— | $21,363,533 |
Total | $21,363,533 | $— | $— | $21,363,533 |
Syntax Stratified U.S. Total Market ETF | ||||
INVESTMENTS: | ||||
Exchange-Traded Funds | $16,995,854 | $— | $— | $16,995,854 |
Total | $16,995,854 | $— | $— | $16,995,854 |
Syntax Stratified U.S. Total Market Hedged ETF | ||||
INVESTMENTS: | ||||
Exchange-Traded Funds | $40,364,262 | $— | $— | $40,364,262 |
Purchased Options | $5,568,640 | $— | $— | $5,568,640 |
Total | $45,932,902 | $— | $— | $45,932,902 |
OTHER FINANCIAL INSTRUMENTS: | ||||
Written Options | $(544,320) | $— | $— | $(544,320) |
Total | $(544,320) | $— | $— | $(544,320) |
Year or Period Ended December 31, 2021 | Year or Period Ended December 31, 2020 | ||||||||||
Distributions Paid from Ordinary Income | Distributions Paid from Long-Term Gain | Distributions Paid From Return of Capital | Distributions Paid from Ordinary Income | Distributions Paid from Long-Term Gain | Distributions Paid From Return of Capital | ||||||
Syntax Stratified LargeCap ETF | $1,189,175 | $— | $— | $684,065 | $— | $— | |||||
Syntax Stratified MidCap ETF | 145,195 | 89,079 | — | 30,102 | — | — | |||||
Syntax Stratified SmallCap ETF | 1,521,147 | — | — | 149,507 | — | — |
Year or Period Ended December 31, 2021 | Year or Period Ended December 31, 2020 | ||||||||||
Distributions Paid from Ordinary Income | Distributions Paid from Long-Term Gain | Distributions Paid From Return of Capital | Distributions Paid from Ordinary Income | Distributions Paid from Long-Term Gain | Distributions Paid From Return of Capital | ||||||
Syntax Stratified U.S. Total Market ETF | $246,920 | $— | $— | $— | $— | $— | |||||
Syntax Stratified U.S. Total Market Hedged ETF | 484,945 | — | — | — | — | — |
Paid in Capital | Distributable Earnings | ||
Syntax Stratified LargeCap ETF | $5,330,564 | (5,330,564) | |
Syntax Stratified MidCap ETF | 420,525 | (420,525) | |
Syntax Stratified SmallCap ETF | 3,071,315 | (3,071,315) | |
Syntax Stratified U.S. Total Market ETF | 420,618 | (420,618) | |
Syntax Stratified U.S. Total Market Hedged ETF | (1,282,621) | 1,282,621 |
Undistrbuted Ordinary Income | Undistributed Long-Term Gain | Capital Loss Carryforward | Post-October Capital Loss Deferrals | Unrealized Appreciation (Depreciation) | |||||
Syntax Stratified LargeCap ETF | $— | $— | (1,077,618) | $— | $20,025,525 | ||||
Syntax Stratified MidCap ETF | — | — | — | (99,244) | 1,492,909 | ||||
Syntax Stratified SmallCap ETF | — | — | — | (47,183) | 4,297,028 | ||||
Syntax Stratified U.S. Total Market ETF | 10,806 | — | — | — | 2,004,710 | ||||
Syntax Stratified U.S. Total Market Hedged ETF | — | — | (900,422) | — | 2,752,017 |
Non-Expiring Long-Term | Non-Expiring Short-Term | ||
Syntax Stratified LargeCap ETF | $1,077,618 | $— | |
Syntax Stratified U.S. Total Market Hedged ETF | — | 900,422 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
Syntax Stratified LargeCap ETF | $88,437,688 | $20,792,524 | $(766,999) | $20,025,525 | |||
Syntax Stratified MidCap ETF | 8,672,591 | 1,698,546 | (205,637) | 1,492,909 | |||
Syntax Stratified SmallCap ETF | 17,066,505 | 5,181,168 | (884,140) | 4,297,028 | |||
Syntax Stratified U.S. Total Market ETF | 14,991,144 | 2,043,037 | (38,327) | 2,004,710 | |||
Syntax Stratified U.S. Total Market Hedged ETF | 42,636,565 | 3,738,095 | (986,078) | 2,752,017 |
Asset Derivatives | ||||
Location | Equity Contracts | Total | ||
Purchased options: | ||||
Investments in securities of unaffiliated issuers | $5,568,640 | $5,568,640 | ||
Total | $5,568,640 | $5,568,640 |
Liability Derivatives | ||||
Location | Equity Contracts | Total | ||
Written options: | ||||
Written options, at value | $(544,320) | $(544,320) | ||
Total | $(544,320) | $(544,320) |
Realized Gain (Loss) on Derivative Instruments | ||||
Location | Equity Contracts | Total | ||
Purchased options(a) | $41,952 | $41,952 | ||
Written options | $(435,096) | $(435,096) | ||
Total | $(393,144) | $(393,144) |
(a) | Included in Net realized gain (loss) from transactions in Investment securities in the Statements of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivative Instruments | ||||
Location | Equity Contracts | Total | ||
Purchased options(a) | $(667,342) | $(667,342) | ||
Written options | $(127,922) | $(127,922) | ||
Total | $(795,264) | $(795,264) |
(a) | Included in Net change in unrealized appreciation/depreciation on Investments in the Statements of Operations. |
Options: | |
Average value of option contracts purchased | $4,700,862 |
Average value of option contracts written | (595,456) |
Purchases | Sales | ||
Syntax Stratified LargeCap ETF | $19,592,754 | $19,554,108 | |
Syntax Stratified MidCap ETF | 3,962,503 | 4,103,821 | |
Syntax Stratified SmallCap ETF | 8,420,299 | 9,666,915 | |
Syntax Stratified U.S. Total Market ETF | 21,263,450 | 297,935 | |
Syntax Stratified U.S. Total Market Hedged ETF | 49,410,913 | 39,688,370 |
In-kind Contributions | In-kind Redemptions | ||
Syntax Stratified LargeCap ETF | $61,016,474 | $11,925,225 | |
Syntax Stratified MidCap ETF | 6,802,647 | 998,523 | |
Syntax Stratified SmallCap ETF | 7,846,904 | 6,438,717 | |
Syntax Stratified U.S. Total Market ETF | — | 6,403,732 | |
Syntax Stratified U.S. Total Market Hedged ETF | 78,788,053 | 43,673,625 |
Annual Rate | |
Syntax Stratified LargeCap ETF | 0.45% |
Syntax Stratified MidCap ETF | 0.45% |
Syntax Stratified SmallCap ETF | 0.45% |
Syntax Stratified U.S. Total Market ETF | 0.75%(a) |
Syntax Stratified U.S. Total Market Hedged ETF | 1.00% |
(a) | Prior to May 1, 2021, the management fee rate was 0.79%. |
Expense Limit | |
Syntax Stratified LargeCap ETF | 0.30% |
Syntax Stratified MidCap ETF | 0.35%(a) |
Syntax Stratified SmallCap ETF | 0.40%(a) |
Syntax Stratified U.S. Total Market ETF | 0.35% |
Syntax Stratified U.S. Total Market Hedged ETF | 0.65% |
(a) | Prior to May 1, 2021, the expense limitation was 0.30%. |
Expenses Waived and Reimbursed | |
Syntax Stratified LargeCap ETF | $120,877 |
Syntax Stratified MidCap ETF | 9,028 |
Syntax Stratified SmallCap ETF | 17,104 |
Syntax Stratified U.S. Total Market ETF | 58,102 |
Syntax Stratified U.S. Total Market Hedged ETF | 86,619 |
2022 | 2023 | 2024 | |||
Syntax Stratified LargeCap ETF | $262,321 | $47,244 | $120,877 | ||
Syntax Stratified MidCap ETF | — | 3,931 | 9,028 | ||
Syntax Stratified SmallCap ETF | — | 11,425 | 17,104 | ||
Syntax Stratified U.S. Total Market ETF | — | — | 58,102 | ||
Syntax Stratified U.S. Total Market Hedged ETF | — | — | 86,619 |
Fund Name | Statements of Operations | Statements of Changes in Net Assets | Financial Highlights |
Syntax Stratified LargeCap ETF, Syntax Stratified MidCap ETF, and Syntax Stratified SmallCap ETF | For the year ended December 31, 2021 | ||
Syntax Stratified U.S. Total Market ETF | For the period from March 18, 2021 (commencement of operations) through December 31, 2021 | ||
Syntax Stratified U.S. Total Market Hedged ETF | For the period from June 15, 2021 (commencement of operations) through December 31, 2021 |
COHEN & COMPANY, LTD.
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% | $1,088.60 | $1.58 | $1,023.70 | $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 365. |
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 | 0.35% | $1,029.60 | $1.79 | $1,023.40 | $1.79 |
(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 365. |
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 | 0.40% | $1,001.30 | $2.02 | $1,023.20 | $2.04 |
(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 365. |
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 U.S. Total Market ETF | 0.04% | $1,076.80 | $0.21 | $1,025.00 | $0.20 |
(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 365. |
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 U.S. Total Market Hedged ETF | 0.37% | $1,043.80 | $1.91 | $1,023.30 | $1.89 |
(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 365. |
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). | 5 | 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). |
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); Director, Forrester Research, Inc. (technology research company) (1996 to 2018); Senior Managing Director and Chief Operating Officer, Pinebridge Investments (investment adviser) (2010 to 2016). | 5 | 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 acquisition corp). |
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); Director (2013 to 2016), Matthews A Share Selections Fund, LLC (mutual funds); 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. | 5 | Trustee, Matthews International Funds (2009 to present). |
Stewart Myers (1940) | Independent Trustee | Term: Unlimited Trustee since 2018 | Professor, MIT Sloan School of Management (since 2015); Director, Entergy Corp. (2009 to 2015); Principal, The Brattle Group, Inc. (since 1991). | 5 |
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) (data analytics); Founder and Chief Executive Officer, Syntax Advisors, LLC (Since 2013) (investment advisor); Chief Executive Officer and Founder of Syntax LLC (Since 2009) (index provider and financial analytics management company for Syntax Advisors). | 5 | Director and Co- Founder, Royalty Pharma (1996 to present) (biopharmaceuticals); Chairman and Co- Founder, Cibus Global, Ltd. (2012 to present) (gene editing agriculture); Director, StageZero Life Sciences, fka GeneNews Limited (2000 to present); Director, Intra-Cellular Therapies, Inc. (since 2014); Director, FibroGen, Inc. (1993 to present). |
Kathy Cuocolo (1952) | Trustee | Term: Unlimited Trustee since 2018 | President and Senior Vice President, Syntax Advisors, LLC and predecessor companies (2014 to 2021); Managing Director, Head of Global ETF Services, BNY Mellon (2008 to 2013); Executive Vice President, State Street (1982 to 2003); Director, Guardian Life Family of Funds (2005 - 2007); Select Sector Trust, Chairman (2000 to 2007); Director, The China Fund (1999 to 2003). | 5 | Greenbacker Renewable Energy LLC, Audit Chair (2013 to present); Trustee, Monterey Capital (2021 to present) (acquisition corp.). |
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 |
Carly Arison (1990) | President | Since 2021 | President, COO, Senior Vice President, Vice President, and Manager, Syntax Advisors, LLC and predecessor companies (2012 to present). |
David Jaffin (1954) | Treasurer | Since 2019 | Partner, B2B CFO® (January 2019 to present); Chief Financial Officer, Poliwogg Holdings, Inc. (October 2012 to August 2018). |
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). |
Bill Belitsky (1979) | Secretary | Since 2022 | Legal counsel to Syntax Advisors LLC (since April 2021); Of Counsel, Paul Hastings LLP (2006 to 2021). |
One Liberty Plaza 46th FI.
New York, NY 10006
One Lincoln Street
Boston, MA 02111
Three Canal Plaza, Suite 100
Portland, ME 04101
1350 Euclid Ave., Suite 800
Cleveland, OH 44115
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 | |||||
2020 | 2021 | |||||
(a) | Audit Fees | $87,000 | $78,000 | |||
(b) | Audit Related Fees(1) | $0 | $0 | |||
(c) | Tax Fees(2) | $27,000 | $20,000 | |||
(d) | All Other Fees(3) | $0 | $0 | |||
Total | $114,000 | $98,500 |
(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. |
2
(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 2021 was 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 10, 2022 |
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 10, 2022 | |
By: | /s/ David Jaffin | |
David Jaffin | ||
Treasurer | ||
(Principal Financial Officer) | ||
Date: | March 10, 2022 |
EXHIBIT INDEX