As filed with the Securities and Exchange Commission on March 7, 2019
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22917
Absolute Shares Trust
(Exact name of registrant as specified in charter)
Millington Securities, Inc.
331 Newman Springs Rd Suite 101
Red Bank, New Jersey 07701
(Address of principal executive offices) (Zip code)
Don Schreiber, Jr.
Millington Securities, Inc.
331 Newman Springs Rd Suite 101
Red Bank, New Jersey 07701
(Name and address of agent for service)
(732) 842-4920
Registrant's telephone number, including area code
Date of fiscal year end: June 30
Date of reporting period: December 31, 2018
Item 1. Reports to Stockholders.
SEMI-ANNUAL REPORT
(Unaudited)
December 31, 2018
WBI BullBear Rising Income 2000 ETF | WBIA
WBI BullBear Value 2000 ETF | WBIB
WBI BullBear Yield 2000 ETF | WBIC
WBI BullBear Quality 2000 ETF | WBID
WBI BullBear Rising Income 1000 ETF | WBIE
WBI BullBear Value 1000 ETF | WBIF
WBI BullBear Yield 1000 ETF | WBIG
WBI BullBear Quality 1000 ETF | WBIL
WBI BullBear Global Income ETF | WBII
WBI BullBear Global High Income ETF | WBIH
WBI BullBear Global Rotation ETF | WBIR
WBI Power Factor™ High Dividend ETF | WBIY
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Funds’ shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the Funds’ reports from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. Please contact your financial intermediary to elect to receive shareholder reports and other Fund communications electronically.
You may elect to receive all future reports in paper free of charge. Please contact your financial intermediary to inform them that you wish to continue receiving paper copies of shareholder reports and for details about whether your election to receive reports in paper will apply to all funds held with your financial intermediary.
Absolute Shares Trust
Table of Contents
Portfolio Allocations | | 1 |
| | |
Schedules of Investments | | 2 |
| | |
Statements of Assets and Liabilities | | 15 |
| | |
Statements of Operations | | 18 |
| | |
Statements of Changes in Net Assets | | 21 |
| | |
Financial Highlights | | 24 |
| | |
Notes to Financial Statements | | 30 |
| | |
Expense Examples | | 41 |
| | |
Information About Portfolio Holdings | | 43 |
| | |
Information About Proxy Voting | | 43 |
| | |
Information About the Funds’ Trustees | | 43 |
| | |
Frequency Distributions of Premiums and Discounts | | 43 |
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Absolute Shares Trust
Portfolio Allocations
As of December 31, 2018 (Unaudited)
WBI BullBear Rising Income 2000 ETF | |
| Percentage of |
Industry Group | Net Assets |
Short-Term Investments and | |
Other Assets and Liabilities | 97.5% |
Insurance | 2.5% |
TOTAL | 100.0% |
| |
WBI BullBear Value 2000 ETF | |
| Percentage of |
Industry Group | Net Assets |
Short-Term Investments and | |
Other Assets and Liabilities | 83.5% |
Media & Entertainment | 5.0% |
Consumer Durables & Apparel | 4.1% |
Commercial & | |
Professional Services | 4.1% |
Energy | 3.3% |
TOTAL | 100.0% |
| |
WBI BullBear Yield 2000 ETF | |
| Percentage of |
Industry Group | Net Assets |
Short-Term Investments and | |
Other Assets and Liabilities | 100.0% |
TOTAL | 100.0% |
| |
WBI BullBear Quality 2000 ETF | |
| Percentage of |
Industry Group | Net Assets |
Short-Term Investments and | |
Other Assets and Liabilities | 93.3% |
Commercial & | |
Professional Services | 4.1% |
Food & Staple Retailing | 2.6% |
TOTAL | 100.0% |
| |
WBI BullBear Rising Income 1000 ETF | |
| Percentage of |
Industry Group | Net Assets |
Short-Term Investments and | |
Other Assets and Liabilities | 91.6% |
Food, Beverage & Tobacco | 4.4% |
Retailing | 4.0% |
TOTAL | 100.0% |
| |
WBI BullBear Value 1000 ETF | |
| Percentage of |
Industry Group | Net Assets |
Short-Term Investments and | |
Other Assets and Liabilities | 100.0% |
TOTAL | 100.0% |
| |
WBI BullBear Yield 1000 ETF | |
| Percentage of |
Industry Group | Net Assets |
Short-Term Investments and | |
Other Assets and Liabilities | 100.0% |
TOTAL | 100.0% |
| |
WBI BullBear Quality 1000 ETF | |
| Percentage of |
Industry Group | Net Assets |
Short-Term Investments and | |
Other Assets and Liabilities | 100.0% |
TOTAL | 100.0% |
| |
WBI BullBear Global Income ETF | |
| Percentage of |
Industry Group | Net Assets |
Exchange Traded Funds | 99.5% |
Short-Term Investments and | |
Other Assets and Liabilities | 0.5% |
TOTAL | 100.0% |
| |
WBI BullBear Global High Income ETF | |
| Percentage of |
Industry Group | Net Assets |
Exchange Traded Funds | 52.7% |
Short-Term Investments and | |
Other Assets and Liabilities | 47.3% |
TOTAL | 100.0% |
| |
WBI BullBear Global Rotation ETF | |
| Percentage of |
Industry Group | Net Assets |
Short-Term Investments and | |
Other Assets and Liabilities | 57.8% |
Exchange Traded Funds | 42.2% |
TOTAL | 100.0% |
| |
WBI Power Factor™ High Dividend ETF | |
| Percentage of |
Industry Group | Net Assets |
Telecommunication Services | 10.8% |
Materials | 9.9% |
Food, Beverage & Tobacco | 9.3% |
Consumer Services | 8.2% |
Banks | 6.3% |
Automobiles & Components | 6.0% |
Commercial & | |
Professional Services | 5.7% |
Utilities | 5.2% |
Software & Services | 5.0% |
Technology Hardware | |
& Equipment | 5.0% |
Retailing | 4.9% |
Insurance | 4.8% |
Diversified Financials | 4.5% |
Consumer Durables & Apparel | 4.4% |
Media & Entertainment | 4.4% |
Health Care Equipment | |
& Services | 2.9% |
Household & Personal Products | 1.6% |
Short-Term Investments and | |
Other Assets and Liabilities | 0.6% |
Real Estate | 0.3% |
Energy | 0.2% |
TOTAL | 100.0% |
Absolute Shares Trust
WBI BullBear Rising Income 2000 ETF
Schedule of Investments
December 31, 2018 (Unaudited)
| Shares | | Security Description | | Value | |
COMMON STOCKS—2.5% | |
Insurance—2.5% | |
| | 13,636 | | Argo Group International Holdings, Ltd. | | $ | 917,021 | |
TOTAL COMMON STOCKS | |
(Cost $942,334) | | | 917,021 | |
| | | | | | | | |
| Shares/ | | | | | | |
| Amount | | Security Description | | Value | |
SHORT-TERM INVESTMENTS—97.6% | |
| | 36,160,746 | | U.S. Bank Money Market | | | | |
| | | | Deposit Account, 2.20% | | | 36,160,746 | |
TOTAL SHORT-TERM INVESTMENTS | |
(Cost $36,160,746) | | | 36,160,746 | |
TOTAL INVESTMENTS—100.1% | |
(Cost $37,103,080) | | | 37,077,767 | |
Liabilities in Excess of Other Assets—(0.1)% | | | (36,537 | ) |
NET ASSETS—100.0% | | $ | 37,041,230 | |
_________
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
WBI BullBear Value 2000 ETF
Schedule of Investments
December 31, 2018 (Unaudited)
| Shares | | Security Description | | Value | |
COMMON STOCKS—16.5% | |
Commercial & Professional Services—4.1% | |
| | 41,529 | | ABM Industries, Inc. | | $ | 1,333,496 | |
| | | | | | | | |
Consumer Durables & Apparel—4.1% | |
| | 51,820 | | PulteGroup, Inc. | | | 1,346,802 | |
| | | | | | | | |
Energy—3.3% | |
| | 120,599 | | Cosan, Ltd.—Class A | | | 1,061,271 | |
| | | | | | | | |
Media & Entertainment—5.0% | |
| | 35,469 | | Tribune Media Company—Class A | | | 1,609,583 | |
TOTAL COMMON STOCKS | |
(Cost $5,053,820) | | | 5,351,152 | |
| | | | | | | | |
| Shares/ | | | | | | |
| Amount | | Security Description | | Value | |
SHORT-TERM INVESTMENTS—91.0% | |
| | 29,486,221 | | U.S. Bank Money Market | | | | |
| | | | Deposit Account, 2.20% | | | 29,486,221 | |
TOTAL SHORT-TERM INVESTMENTS | |
(Cost $29,486,221) | | | 29,486,221 | |
TOTAL INVESTMENTS—107.5% | |
(Cost $34,540,041) | | | 34,837,373 | |
Liabilities in Excess of Other Assets—(7.5)% | | | (2,425,467 | ) |
NET ASSETS—100.0% | | $ | 32,411,906 | |
_________
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
WBI BullBear Yield 2000 ETF
Schedule of Investments
December 31, 2018 (Unaudited)
| Shares/ | | | | | |
| Amount | | Security Description | | Value | |
SHORT-TERM INVESTMENTS- 100.1% | |
| | 56,863,843 | | U.S. Bank Money Market | | | |
| | | | Deposit Account, 2.20% | | $ | 56,863,843 | |
TOTAL SHORT-TERM INVESTMENTS | |
(Cost $56,863,843) | | | 56,863,843 | |
TOTAL INVESTMENTS—100.1% | | | | |
(Cost $56,863,843) | | | 56,863,843 | |
Liabilities in Excess of Other Assets—(0.1)% | | | (69,531 | ) |
NET ASSETS—100.0% | | $ | 56,794,312 | |
_________
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
WBI BullBear Quality 2000 ETF
Schedule of Investments
December 31, 2018 (Unaudited)
| Shares | | Security Description | | Value | |
COMMON STOCKS—6.7% | |
Commercial & Professional Services—4.1% | |
| | 41,748 | | ABM Industries, Inc. | | $ | 1,340,529 | |
| |
Food & Staples Retailing—2.6% | |
| | 17,681 | | Weis Markets, Inc. | | | 844,798 | |
TOTAL COMMON STOCKS | |
(Cost $2,146,104) | | | 2,185,327 | |
| | | | | | | | |
| Shares/ | | | | | | |
| Amount | | Security Description | | Value | |
SHORT-TERM INVESTMENTS—98.8% | |
| | 32,178,186 | | U.S. Bank Money Market | | | | |
| | | | Deposit Account, 2.20% | | | 32,178,186 | |
TOTAL SHORT-TERM INVESTMENTS | |
(Cost $32,178,186) | | | 32,178,186 | |
TOTAL INVESTMENTS—105.5% | |
(Cost $34,324,290) | | | 34,363,513 | |
Liabilities in Excess of Other Assets—(5.5)% | | | (1,796,363 | ) |
NET ASSETS—100.0% | | $ | 32,567,150 | |
_________
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
WBI BullBear Rising Income 1000 ETF
Schedule of Investments
December 31, 2018 (Unaudited)
| Shares | | Security Description | | Value | |
COMMON STOCKS—8.4% | |
Food, Beverage & Tobacco—4.4% | |
| | 17,708 | | Hershey Company | | $ | 1,897,943 | |
| | | | | | | | |
Retailing—4.0% | |
| | 16,336 | | Dollar General Corporation | | | 1,765,595 | |
TOTAL COMMON STOCKS | |
(Cost $3,614,223) | | | 3,663,538 | |
| | | | | | | | |
| Shares/ | | | | | | |
| Amount | | Security Description | | Value | |
SHORT-TERM INVESTMENTS- 95.8% | |
| | 41,928,754 | | U.S. Bank Money Market | | | | |
| | | | Deposit Account, 2.20% | | | 41,928,754 | |
TOTAL SHORT-TERM INVESTMENTS | |
(Cost $41,928,754) | | | 41,928,754 | |
TOTAL INVESTMENTS—104.2% | |
(Cost $45,542,977) | | | 45,592,292 | |
Liabilities in Excess of Other Assets—(4.2)% | | | (1,842,646 | ) |
NET ASSETS—100.0% | | $ | 43,749,646 | |
_________
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
WBI BullBear Value 1000 ETF
Schedule of Investments
December 31, 2018 (Unaudited)
| Shares/ | | | | | |
| Amount | | Security Description | | Value | |
SHORT-TERM INVESTMENTS- 100.2% | |
| | 37,007,212 | | U.S. Bank Money Market | | | |
| | | | Deposit Account, 2.20% | | $ | 37,007,212 | |
TOTAL SHORT-TERM INVESTMENTS | |
(Cost $37,007,212) | | | 37,007,212 | |
TOTAL INVESTMENTS—100.2% | |
(Cost $37,007,212) | | | 37,007,212 | |
Liabilities in Excess of Other Assets—(0.2)% | | | (79,984 | ) |
NET ASSETS—100.0% | | $ | 36,927,228 | |
_________
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
WBI BullBear Yield 1000 ETF
Schedule of Investments
December 31, 2018 (Unaudited)
| Shares/ | | | | | |
| Amount | | Security Description | | Value | |
SHORT-TERM INVESTMENTS—100.1% | |
| | 65,761,966 | | U.S. Bank Money Market | | | |
| | | | Deposit Account, 2.20% | | $ | 65,761,966 | |
TOTAL SHORT-TERM INVESTMENTS | |
(Cost $65,761,966) | | | 65,761,966 | |
TOTAL INVESTMENTS—100.1% | |
(Cost $65,761,966) | | | 65,761,966 | |
Liabilities in Excess of Other Assets—(0.1)% | | | (72,853 | ) |
NET ASSETS—100.0% | | $ | 65,689,113 | |
_________
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
WBI BullBear Quality 1000 ETF
Schedule of Investments
December 31, 2018 (Unaudited)
| Shares/ | | | | | |
| Amount | | Security Description | | Value | |
SHORT-TERM INVESTMENTS—100.2% | |
| | 34,529,325 | | U.S. Bank Money Market | | | |
| | | | Deposit Account, 2.20% | | $ | 34,529,325 | |
TOTAL SHORT-TERM INVESTMENTS | |
(Cost $34,529,325) | | | 34,529,325 | |
TOTAL INVESTMENTS—100.2% | | | | |
(Cost $34,529,325) | | | 34,529,325 | |
Liabilities in Excess of Other Assets—(0.2)% | | | (53,117 | ) |
NET ASSETS—100.0% | | $ | 34,476,208 | |
_________
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
WBI BullBear Global Income ETF
Schedule of Investments
December 31, 2018 (Unaudited)
| Shares | | Security Description | | Value | |
EXCHANGE TRADED FUNDS—99.5% | |
| | 99,859 | | First Trust Low Duration | | | |
| | | | Opportunities ETF | | $ | 5,097,802 | |
| | 619,128 | | First Trust Preferred Securities | | | | |
| | | | and Income ETF+ | | | 11,113,347 | |
| | 424,471 | | Invesco BulletShares 2022 | | | | |
| | | | Corporate Bond ETF | | | 8,748,347 | |
| | 275,927 | | iShares 20+ Year | | | | |
| | | | Treasury Bond ETF+ | | | 33,527,890 | |
| | 57,837 | | iShares Agency Bond ETF+ | | | 6,485,263 | |
| | 222,553 | | iShares Intermediate-Term | | | | |
| | | | Corporate Bond ETF | | | 11,666,229 | |
| | 433,213 | | Vanguard Long-Term Treasury ETF | | | 32,365,343 | |
TOTAL EXCHANGE TRADED FUNDS | |
(Cost $106,835,110) | | | 109,004,221 | |
| | | | | | | | |
| | Shares/ | | | | | | |
| | Amount | | Security Description | | | Value | |
SHORT-TERM INVESTMENTS—0.9% | |
| | 980,711 | | U.S. Bank Money Market | | | | |
| | | | Deposit Account, 2.20% | | | 980,711 | |
TOTAL SHORT-TERM INVESTMENTS | |
(Cost $980,711) | | | 980,711 | |
| | | | | | | | |
INVESTMENTS PURCHASED WITH PROCEEDS | |
FROM SECURITIES LENDING—12.8% | |
| | 14,081,234 | | Mount Vernon Liquid Assets | | | | |
| | | | Portfolio, LLC, 2.59% (a)* | | | 14,081,234 | |
TOTAL INVESTMENTS PURCHASED WITH | |
PROCEEDS FROM SECURITIES LENDING | |
(Cost $14,081,234) | | | 14,081,234 | |
TOTAL INVESTMENTS—113.2% | |
(Cost $121,897,055) | | | 124,066,166 | |
Liabilities in Excess of Other Assets—(13.2)% | | | (14,482,699 | ) |
NET ASSETS—100.0% | | $ | 109,583,467 | |
_________
(a) | The rate quoted is the annualized seven-day yield as of December 31, 2018. |
+ | All or a portion of this security is on loan as of December 31, 2018. Total value of securities on loan is $13,859,223. |
* | Privately offered liquidity fund. |
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
WBI BullBear Global High Income ETF
Schedule of Investments
December 31, 2018 (Unaudited)
| Shares | | Security Description | | Value | |
EXCHANGE TRADED FUNDS—52.7% | |
| | 34,932 | | First Trust Low Duration | | | |
| | | | Opportunities ETF | | $ | 1,783,278 | |
| | 303,681 | | First Trust Preferred | | | | |
| | | | Securities and Income ETF | | | 5,451,074 | |
| | 222,085 | | Invesco BulletShares 2022 | | | | |
| | | | Corporate Bond ETF+ | | | 4,577,172 | |
| | 353,975 | | iShares 20+ Year | | | | |
| | | | Treasury Bond ETF+ | | | 43,011,502 | |
| | 22,733 | | iShares Agency Bond ETF+ | | | 2,549,052 | |
| | 112,550 | | iShares Intermediate-Term | | | | |
| | | | Corporate Bond ETF | | | 5,899,871 | |
| | 574,927 | | Vanguard Long-Term | | | | |
| | | | Treasury ETF+ | | | 42,952,796 | |
TOTAL EXCHANGE TRADED FUNDS | |
(Cost $101,982,544) | | | 106,224,745 | |
| | | | | | | | |
Shares/Amount | | Security Description | | | Value | |
SHORT-TERM INVESTMENTS—47.6% | |
| | 95,840,148 | | U.S. Bank Money Market | | | | |
| | | | Deposit Account, 2.20% | | | 95,840,148 | |
TOTAL SHORT-TERM INVESTMENTS | |
(Cost $95,840,148) | | | 95,840,148 | |
| | | | | | | | |
INVESTMENTS PURCHASED WITH PROCEEDS | |
FROM SECURITIES LENDING—17.7% | |
| | 35,622,588 | | Mount Vernon Liquid Assets | | | | |
| | | | Portfolio, LLC, 2.59% (a)* | | | 35,622,588 | |
TOTAL INVESTMENTS PURCHASED WITH | |
PROCEEDS FROM SECURITIES LENDING | |
(Cost $35,622,588) | | | 35,622,588 | |
TOTAL INVESTMENTS—118.0% | |
(Cost $233,445,280) | | | 237,687,481 | |
Liabilities in Excess of Other Assets—(18.0)% | | | (36,302,433 | ) |
NET ASSETS—100.0% | | $ | 201,385,048 | |
_________
(a) | The rate quoted is the annualized seven-day yield as of December 31, 2018. |
+ | All or a portion of this security is on loan as of December 31, 2018. Total value of securities on loan is $35,151,141. |
* | Privately offered liquidity fund. |
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
WBI BullBear Global Rotation ETF
Schedule of Investments
December 31, 2018 (Unaudited)
| Shares | | Security Description | | Value | |
EXCHANGE TRADED FUNDS—42.2% | |
| | 30,949 | | First Trust Low Duration | | | |
| | | | Opportunities ETF | | $ | 1,579,946 | |
| | 14,414 | | iShares Agency Bond ETF+ | | | 1,616,242 | |
| | 14,824 | | iShares Intermediate-Term | | | | |
| | | | Corporate Bond ETF | | | 777,074 | |
| | 46,917 | | iShares Long-Term | | | | |
| | | | Corporate Bond ETF+ | | | 2,641,427 | |
| | 102,132 | | iShares Short Treasury Bond ETF+ | | | 11,265,160 | |
TOTAL EXCHANGE TRADED FUNDS | |
(Cost $17,970,841) | | | 17,879,849 | |
| | | | | | | | |
| Shares/ | | | | | | |
| Amount | | Security Description | | Value | |
SHORT-TERM INVESTMENTS—58.4% | |
| | 24,706,935 | | U.S. Bank Money Market | | | | |
| | | | Deposit Account, 2.20% | | | 24,706,935 | |
TOTAL SHORT-TERM INVESTMENTS | |
(Cost $24,706,935) | | | 24,706,935 | |
| | | | | | | | |
INVESTMENTS PURCHASED WITH PROCEEDS | |
FROM SECURITIES LENDING—23.7% | |
| | 10,031,140 | | Mount Vernon Liquid Assets | | | | |
| | | | Portfolio, LLC, 2.59% (a)* | | | 10,031,140 | |
TOTAL INVESTMENTS PURCHASED WITH | |
PROCEEDS FROM SECURITIES LENDING | |
(Cost $10,031,140) | | | 10,031,140 | |
TOTAL INVESTMENTS—124.3% | |
(Cost $52,708,916) | | | 52,617,924 | |
Liabilities in Excess of Other Assets—(24.3)% | | | (10,277,199 | ) |
NET ASSETS—100.0% | | $ | 42,340,725 | |
_________
(a) | The rate quoted is the annualized seven-day yield as of December 31, 2018. |
+ | All or a portion of this security is on loan as of December 31, 2018. Total value of securities on loan is $9,818,317. |
* | Privately offered liquidity fund. |
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
WBI Power FactorTM High Dividend ETF
Schedule of Investments
December 31, 2018 (Unaudited)
| Shares | | Security Description | | Value | |
COMMON STOCKS—99.4% | |
Automobiles & Components—6.0% | |
| | 508,084 | | Ford Motor Company | | $ | 3,886,843 | |
| | 33,410 | | Harley-Davidson, Inc. | | | 1,139,949 | |
| | | | | | | 5,026,792 | |
Banks—6.3% | |
| | 90,001 | | FNB Corporation | | | 885,610 | |
| | 11,143 | | Hanmi Financial Corporation | | | 219,517 | |
| | 53,240 | | KeyCorp | | | 786,887 | |
| | 164,683 | | New York Community Bancorp, Inc. | | | 1,549,667 | |
| | 69,866 | | People’s United Financial, Inc. | | | 1,008,167 | |
| | 53,927 | | Umpqua Holdings Corporation | | | 857,439 | |
| | | | | | | 5,307,287 | |
Commercial & Professional Services—5.7% | |
| | 178,370 | | Nielsen Holdings plc | | | 4,161,372 | |
| | 85,691 | | Pitney Bowes, Inc. | | | 506,434 | |
| | 14,933 | | Quad/Graphics, Inc.+ | | | 183,974 | |
| | | | | | | 4,851,780 | |
Consumer Durables & Apparel—4.4% | |
| | 202,148 | | Newell Brands, Inc.+ | | | 3,757,931 | |
| | | | | | | | |
Consumer Services—8.2% | |
| | 78,903 | | H&R Block, Inc. | | | 2,001,769 | |
| | 62,297 | | Las Vegas Sands Corporation | | | 3,242,559 | |
| | 48,155 | | Wyndham Destinations, Inc. | | | 1,725,875 | |
| | | | | | | 6,970,203 | |
Diversified Financials—4.5% | |
| | 66,783 | | BGC Partners, Inc.—Class A | | | 345,268 | |
| | 31,795 | | Federated Investors, Inc.—Class B | | | 844,157 | |
| | 71,279 | | Invesco, Ltd.+ | | | 1,193,211 | |
| | 33,592 | | Legg Mason, Inc. | | | 856,932 | |
| | 67,772 | | Navient Corporation | | | 597,071 | |
| | | | | | | 3,836,639 | |
Energy—0.2% | |
| | 17,702 | | EnLink Midstream LLC | | | 167,992 | |
| | | | | | | | |
Food, Beverage & Tobacco—9.3% | |
| | 76,111 | | Altria Group, Inc. | | | 3,759,122 | |
| | 105,296 | | General Mills, Inc. | | | 4,100,226 | |
| | | | | | | 7,859,348 | |
Health Care Equipment & Services—2.9% | |
| | 25,230 | | Cardinal Health, Inc. | | | 1,125,258 | |
| | 68,149 | | Patterson Companies, Inc. | | | 1,339,809 | |
| | | | | | | 2,465,067 | |
Household & Personal Products—1.6% | |
| | 11,856 | | Kimberly-Clark Corporation | | | 1,350,873 | |
| | | | | | | | |
Insurance—4.8% | |
| | 9,128 | | Mercury General Corporation | | | 472,009 | |
| | 22,791 | | MetLife, Inc. | | | 935,798 | |
| | 48,561 | | Old Republic International Corporation | | | 998,900 | |
| | 18,651 | | Principal Financial Group, Inc. | | | 823,815 | |
| | 9,837 | | Prudential Financial, Inc. | | | 802,207 | |
| | | | | | | 4,032,729 | |
Materials—9.9% | |
| | 100,114 | | International Paper Company | | | 4,040,601 | |
| | 49,810 | | LyondellBasell Industries N.V.—Class A | | | 4,142,200 | |
| | 8,799 | | Schweitzer-Mauduit International, Inc. | | | 220,415 | |
| | | | | | | 8,403,216 | |
Media & Entertainment—4.4% | |
| | 45,604 | | Entercom Communications | | | | |
| | | | Corporation—Class A+ | | | 260,399 | |
| | 32,607 | | Gannett Company, Inc. | | | 278,138 | |
| | 120,683 | | Interpublic Group of Companies, Inc. | | | 2,489,690 | |
| | 12,468 | | Meredith Corporation | | | 647,588 | |
| | | | | | | 3,675,815 | |
Real Estate—0.3% | |
| | 30,989 | | Newmark Group, Inc.—Class A | | | 248,534 | |
| | | | | | | | |
Retailing—4.9% | |
| | 21,959 | | Buckle, Inc. | | | 424,687 | |
| | 13,040 | | Cato Corporation—Class A | | | 186,081 | |
| | 105,109 | | Chico’s FAS, Inc. | | | 590,713 | |
| | 84,203 | | Macy’s, Inc. | | | 2,507,565 | |
| | 177,343 | | Office Depot, Inc. | | | 457,545 | |
| | | | | | | 4,166,591 | |
Software & Services—5.0% | |
| | 37,167 | | International Business | | | | |
| | | | Machines Corporation+ | | | 4,224,773 | |
| | | | | | | | |
Technology Hardware & Equipment—5.0% | |
| | 108,508 | | Seagate Technology plc | | | 4,187,324 | |
| | | | | | | | |
Telecommunication Services—10.8% | |
| | 105,711 | | AT&T, Inc. | | | 3,016,992 | |
| | 218,583 | | CenturyLink, Inc. | | | 3,311,532 | |
| | 19,225 | | Consolidated Communications | | | | |
| | | | Holdings, Inc. | | | 189,943 | |
| | 45,745 | | Verizon Communications, Inc. | | | 2,571,784 | |
| | | | | | | 9,090,251 | |
Utilities—5.2% | |
| | 155,588 | | CenterPoint Energy, Inc. | | | 4,392,249 | |
| | | | | | | | |
TOTAL COMMON STOCKS | |
(Cost $100,224,220) | | | 84,015,394 | |
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
WBI Power FactorTM High Dividend ETF
Schedule of Investments (concluded)
December 31, 2018 (Unaudited)
| Shares/ | | | | | |
| Amount | | Security Description | | Value | |
SHORT-TERM INVESTMENTS—3.2% | |
| | 2,676,352 | | U.S. Bank Money Market | | | |
| | | | Deposit Account, 2.20% | | $ | 2,676,352 | |
TOTAL SHORT-TERM INVESTMENTS | |
(Cost $2,676,352) | | | 2,676,352 | |
| | | | | | | | |
INVESTMENTS PURCHASED WITH PROCEEDS | |
FROM SECURITIES LENDING—9.2% | |
| | 7,805,941 | | Mount Vernon Liquid Assets | | | | |
| | | | Portfolio, LLC, 2.59% (a)* | | | 7,805,941 | |
TOTAL INVESTMENTS PURCHASED WITH | |
PROCEEDS FROM SECURITIES LENDING | |
(Cost $7,805,941) | | | 7,805,941 | |
TOTAL INVESTMENTS—111.8% | | | | |
(Cost $110,706,513) | | | 94,497,687 | |
Liabilities in Excess of Other Assets—(11.8)% | | | (9,980,572 | ) |
NET ASSETS—100.0% | | $ | 84,517,115 | |
_________
(a) | The rate quoted is the annualized seven-day yield as of December 31, 2018. |
+ | All or a portion of this security is on loan as of December 31, 2018. Total value of securities on loan is $7,707,974. |
* | Privately offered liquidity fund. |
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
Statements of Assets and Liabilities
December 31, 2018 (Unaudited)
| | WBI BullBear | | | | | | | | | | |
| | Rising Income | | | WBI BullBear | | | WBI BullBear | | | WBI BullBear | |
| | 2000 ETF | | | Value 2000 ETF | | | Yield 2000 ETF | | | Quality 2000 ETF | |
ASSETS | | | | | | | | | | | | |
Investments in securities, at value*+ (Note 2) | | $ | 37,077,767 | | | $ | 34,837,373 | | | $ | 56,863,843 | | | $ | 34,363,513 | |
Dividends and interest receivable | | | 53,659 | | | | 64,105 | | | | 80,792 | | | | 50,546 | |
Prepaid expenses and other assets | | | 7,977 | | | | 7,494 | | | | 7,865 | | | | 7,528 | |
Securities lending income receivable | | | 81 | | | | 86 | | | | 153 | | | | 108 | |
Total Assets | | | 37,139,484 | | | | 34,909,058 | | | | 56,952,653 | | | | 34,421,695 | |
| | | | | | | | | | | | | | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Payables | | | | | | | | | | | | | | | | |
Collateral received for securities loaned (Note 7) | | | — | | | | — | | | | — | | | | — | |
Investments purchased | | | — | | | | 2,354,277 | | | | — | | | | 1,704,760 | |
Distribution Payable | | | 48,734 | | | | 98,120 | | | | 96,030 | | | | 104,382 | |
Management fees (Note 3) | | | 27,746 | | | | 24,259 | | | | 42,291 | | | | 24,511 | |
Administration and fund accounting fees | | | 8,725 | | | | 8,755 | | | | 8,928 | | | | 8,949 | |
Audit fees | | | 4,977 | | | | 4,979 | | | | 4,977 | | | | 4,979 | |
Chief Compliance Officer fee | | | 2,096 | | | | 692 | | | | 687 | | | | 691 | |
Custody fees | | | 1,300 | | | | 1,150 | | | | 653 | | | | 1,174 | |
Directors fees | | | 44 | | | | 44 | | | | 44 | | | | 44 | |
Legal fees | | | 2,861 | | | | 3,097 | | | | 2,762 | | | | 3,083 | |
Accrued other expenses | | | 1,771 | | | | 1,779 | | | | 1,969 | | | | 1,972 | |
Total Liabilities | | | 98,254 | | | | 2,497,152 | | | | 158,341 | | | | 1,854,545 | |
NET ASSETS | | $ | 37,041,230 | | | $ | 32,411,906 | | | $ | 56,794,312 | | | $ | 32,567,150 | |
| | | | | | | | | | | | | | | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
Paid-in Capital | | $ | 61,138,003 | | | $ | 48,872,071 | | | $ | 89,180,819 | | | $ | 51,148,177 | |
Total distributable earnings (accumulated deficit) | | | (24,096,773 | ) | | | (16,460,165 | ) | | | (32,386,507 | ) | | | (18,581,027 | ) |
Net Assets | | $ | 37,041,230 | | | $ | 32,411,906 | | | $ | 56,794,312 | | | $ | 32,567,150 | |
*Cost | | | | | | | | | | | | | | | | |
Investments in securities | | $ | 37,103,080 | | | $ | 34,540,041 | | | $ | 56,863,843 | | | $ | 34,324,290 | |
Net Asset Value (unlimited shares authorized): | | | | | | | | | | | | | | | | |
Net Assets | | $ | 37,041,230 | | | $ | 32,411,906 | | | $ | 56,794,312 | | | $ | 32,567,150 | |
Shares Outstanding^ | | | 1,750,000 | | | | 1,550,000 | | | | 2,850,000 | | | | 1,550,000 | |
Net Asset Value, Offering and Redemption Price per Share | | $ | 21.17 | | | $ | 20.91 | | | $ | 19.93 | | | $ | 21.01 | |
^ | No Par Value |
+ | Including securities on loan of $0, $0, $0 and $0, respectively. |
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
Statements of Assets and Liabilities (continued)
December 31, 2018 (Unaudited)
| | WBI BullBear | | | | | | | | | | |
| | Rising Income | | | WBI BullBear | | | WBI BullBear | | | WBI BullBear | |
| | 1000 ETF | | | Value 1000 ETF | | | Yield 1000 ETF | | | Quality 1000 ETF | |
ASSETS | | | | | | | | | | | | |
Investments in securities, at value *+ (Note 2) | | $ | 45,592,292 | | | $ | 37,007,212 | | | $ | 65,761,966 | | | $ | 34,529,325 | |
Dividends and interest receivable | | | 86,149 | | | | 64,772 | | | | 144,124 | | | | 46,671 | |
Prepaid expenses and other assets | | | 7,810 | | | | 7,358 | | | | 7,585 | | | | 7,893 | |
Securities lending income receivable | | | 460 | | | | 290 | | | | 492 | | | | 268 | |
Total Assets | | | 45,686,711 | | | | 37,079,632 | | | | 65,914,167 | | | | 34,584,157 | |
| | | | | | | | | | | | | | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Payables | | | | | | | | | | | | | | | | |
Collateral received for securities loaned (Note 7) | | | — | | | | — | | | | — | | | | — | |
Investments purchased | | | 1,752,526 | | | | — | | | | — | | | | — | |
Distribution Payable | | | 130,848 | | | | 102,522 | | | | 153,503 | | | | 60,052 | |
Management fees (Note 3) | | | 32,786 | | | | 27,801 | | | | 49,982 | | | | 26,241 | |
Administration and fund accounting fees | | | 9,102 | | | | 9,908 | | | | 10,202 | | | | 9,335 | |
Audit fees | | | 4,975 | | | | 4,980 | | | | 4,981 | | | | 4,975 | |
Chief Compliance Officer fee | | | 767 | | | | 764 | | | | 805 | | | | 714 | |
Custody fees | | | 1,647 | | | | 1,581 | | | | 1,036 | | | | 1,588 | |
Directors fees | | | 44 | | | | 44 | | | | 44 | | | | 44 | |
Legal fees | | | 3,004 | | | | 3,065 | | | | 2,998 | | | | 2,861 | |
Accrued other expenses | | | 1,366 | | | | 1,739 | | | | 1,503 | | | | 2,139 | |
Total Liabilities | | | 1,937,065 | | | | 152,404 | | | | 225,054 | | | | 107,949 | |
NET ASSETS | | $ | 43,749,646 | | | $ | 36,927,228 | | | $ | 65,689,113 | | | $ | 34,476,208 | |
| | | | | | | | | | | | | | | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
Paid-in Capital | | $ | 60,245,847 | | | $ | 37,822,100 | | | $ | 83,970,178 | | | $ | 45,249,967 | |
Total distributable earnings (accumulated deficit) | | | (16,496,201 | ) | | | (894,872 | ) | | | (18,281,065 | ) | | | (10,773,759 | ) |
Net Assets | | $ | 43,749,646 | | | $ | 36,927,228 | | | $ 65,689,113 | | | $ | 34,476,208 | |
*Cost | | | | | | | | | | | | | | | | |
Investments in securities | | $ | 45,542,977 | | | $ | 37,007,212 | | | $ | 65,761,966 | | | $ | 34,529,325 | |
Net Asset Value (unlimited shares authorized): | | | | | | | | | | | | | | | | |
Net Assets | | $ | 43,749,646 | | | $ | 36,927,228 | | | $ | 65,689,113 | | | $ | 34,476,208 | |
Shares Outstanding^ | | | 1,750,000 | | | | 1,350,000 | | | | 2,800,000 | | | | 1,400,000 | |
Net Asset Value, Offering and Redemption Price per Share | | $ | 25.00 | | | $ | 27.35 | | | $ | 23.46 | | | $ | 24.63 | |
^ | No Par Value |
+ | Including securities on loan of $0, $0, $0 and $0, respectively. |
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
Statements of Assets and Liabilities (concluded)
December 31, 2018 (Unaudited)
| | WBI BullBear | | | WBI BullBear | | | WBI BullBear | | | WBI Power | |
| | Global | | | Global High | | | Global | | | Factor™ High | |
| | Income ETF | | | Income ETF | | | Rotation ETF | | | Dividend ETF | |
ASSETS | | | | | | | | | | | | |
Investments in securities, at value *+ (Note 2) | | $ | 124,066,166 | | | $ | 237,687,481 | | | $ | 52,617,924 | | | $ | 94,497,687 | |
Dividends and interest receivable | | | 57,518 | | | | 151,959 | | | | 29,289 | | | | 299,943 | |
Prepaid expenses and other assets | | | 9,123 | | | | 7,972 | | | | 7,142 | | | | 7,856 | |
Securities lending income receivable | | | 16,307 | | | | 31,319 | | | | 6,608 | | | | 2,037 | |
Total Assets | | | 124,149,114 | | | | 237,878,731 | | | | 52,660,963 | | | | 94,807,523 | |
| | | | | | | | | | | | | | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Payables | | | | | | | | | | | | | | | | |
Collateral received for securities loaned (Note 7) | | | 14,081,234 | | | | 35,622,588 | | | | 10,031,140 | | | | 7,805,941 | |
Investments purchased | | | — | | | | — | | | | — | | | | — | |
Distribution Payable | | | 394,935 | | | | 687,642 | | | | 235,593 | | | | 2,408,608 | |
Management fees (Note 3) | | | 61,256 | | | | 147,584 | | | | 34,298 | | | | 57,505 | |
Administration and fund accounting fees | | | 13,246 | | | | 18,992 | | | | 7,158 | | | | 7,463 | |
Audit fees | | | 4,994 | | | | 5,013 | | | | 5,710 | | | | 4,509 | |
Chief Compliance Officer fee | | | 1,014 | | | | 1,613 | | | | 554 | | | | 651 | |
Custody fees | | | 1,757 | | | | 3,451 | | | | 160 | | | | 227 | |
Directors fees | | | 44 | | | | 44 | | | | 111 | | | | 111 | |
Legal fees | | | 4,561 | | | | 4,061 | | | | 2,745 | | | | 2,797 | |
Accrued other expenses | | | 2,606 | | | | 2,695 | | | | 2,769 | | | | 2,596 | |
Total Liabilities | | | 14,565,647 | | | | 36,493,683 | | | | 10,320,238 | | | | 10,290,408 | |
NET ASSETS | | $ | 109,583,467 | | | $ | 201,385,048 | | | $ | 42,340,725 | | | $ | 84,517,115 | |
| | | | | | | | | | | | | | | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
Paid-in Capital | | $ | 120,580,789 | | | $ | 236,858,774 | | | $ | 46,294,939 | | | $ | 105,860,245 | |
Total distributable earnings (accumulated deficit) | | | (10,997,322 | ) | | | (35,473,726 | ) | | | (3,954,214 | ) | | | (21,343,130 | ) |
Net Assets | | $ | 109,583,467 | | | $ | 201,385,048 | | | $ | 42,340,725 | | | $ | 84,517,115 | |
*Cost | | | | | | | | | | | | | | | | |
Investments in securities | | $ | 121,897,055 | | | $ | 233,445,280 | | | $ | 52,708,916 | | | $ | 110,706,513 | |
Net Asset Value (unlimited shares authorized): | | | | | | | | | | | | | | | | |
Net Assets | | $ | 109,583,467 | | | $ | 201,385,048 | | | $ | 42,340,725 | | | $ | 84,517,115 | |
Shares Outstanding^ | | | 4,550,000 | | | | 9,200,000 | | | | 1,850,000 | | | | 3,800,000 | |
Net Asset Value, Offering and Redemption Price per Share | | $ | 24.08 | | | $ | 21.89 | | | $ | 22.89 | | | $ | 22.24 | |
^ | No Par Value |
+ | Including securities on loan of $13,859,223, $35,151,141, $9,818,317 and $7,707,974, respectively. |
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
Statements of Operations
For the Six-Months Ended December 31, 2018 (Unaudited)
| | WBI BullBear | | | | | | | | | | |
| | Rising Income | | | WBI BullBear | | | WBI BullBear | | | WBI BullBear | |
| | 2000 ETF | | | Value 2000 ETF | | | Yield 2000 ETF | | | Quality 2000 ETF | |
INVESTMENT INCOME | | | | | | | | | | | | |
Income: | | | | | | | | | | | | |
Dividends+ | | $ | 362,346 | | | $ | 392,761 | | | $ | 721,873 | | | $ | 334,528 | |
Interest | | | 144,144 | | | | 107,602 | | | | 211,822 | | | | 110,213 | |
Securities lending income (Note 7) | | | 3,791 | | | | 3,869 | | | | 8,319 | | | | 10,249 | |
Total Investment Income | | | 510,281 | | | | 504,232 | | | | 942,014 | | | | 454,990 | |
| | | | | | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | | | | | |
Management fees (Note 3) | | | 201,289 | | | | 169,707 | | | | 261,585 | | | | 175,831 | |
Administration, fund accounting and custodian fees (Note 6) | | | 35,776 | | | | 35,446 | | | | 35,449 | | | | 34,970 | |
Professional fees | | | 23,512 | | | | 21,852 | | | | 22,199 | | | | 21,865 | |
Exchange fees | | | 4,907 | | | | 4,907 | | | | 5,035 | | | | 4,721 | |
Directors’ fees and expenses | | | 5,377 | | | | 5,377 | | | | 5,377 | | | | 5,376 | |
Shareholder reporting expenses | | | 3,590 | | | | 3,599 | | | | 3,549 | | | | 3,606 | |
Insurance expenses | | | 3,742 | | | | 5,089 | | | | 4,517 | | | | 5,132 | |
Miscellaneous expenses | | | 2,173 | | | | 2,126 | | | | 2,149 | | | | 2,130 | |
Total Expenses | | | 280,366 | | | | 248,103 | | | | 339,860 | | | | 253,631 | |
Less: Fees (Waived)/Recouped | | | — | | | | — | | | | — | | | | — | |
Net Expenses | | | 280,366 | | | | 248,103 | | | | 339,860 | | | | 253,631 | |
Net Investment Income | | | 229,915 | | | | 256,129 | | | | 602,154 | | | | 201,359 | |
| | | | | | | | | | | | | | | | |
REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | | | | | |
Net realized gain (loss) on: | | | | | | | | | | | | | | | | |
Investments in securities | | | (5,334,441 | ) | | | (5,048,116 | ) | | | (8,408,992 | ) | | | (3,205,836 | ) |
Capital gain distributions from regulated investment companies | | | — | | | | — | | | | — | | | | — | |
Net change in unrealized appreciation (depreciation) of: | | | | | | | | | | | | | | | | |
Investments in securities | | | (422,362 | ) | | | (468,006 | ) | | | (1,028,796 | ) | | | (505,573 | ) |
Net realized and unrealized gain (loss) on investments | | | (5,756,803 | ) | | | (5,516,122 | ) | | | (9,437,788 | ) | | | (3,711,409 | ) |
NET INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | |
RESULTING FROM OPERATIONS | | $ | (5,526,888 | ) | | $ | (5,259,993 | ) | | $ | (8,835,634 | ) | | $ | (3,510,050 | ) |
+ | Net of withholding taxes of $0, $707, $406 and $0, respectively. |
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
Statements of Operations (continued)
For the Six-Months Ended December 31, 2018 (Unaudited)
| | WBI BullBear | | | | | | | | | | |
| | Rising Income | | | WBI BullBear | | | WBI BullBear | | | WBI BullBear | |
| | 1000 ETF | | | Value 1000 ETF | | | Yield 1000 ETF | | | Quality 1000 ETF | |
INVESTMENT INCOME | | | | | | | | | | | | |
Income: | | | | | | | | | | | | |
Dividends+ | | $ | 502,662 | | | $ | 388,590 | | | $ | 816,107 | | | $ | 284,154 | |
Interest | | | 115,381 | | | | 113,076 | | | | 183,427 | | | | 113,039 | |
Securities lending income (Note 7) | | | 5,789 | | | | 4,782 | | | | 6,750 | | | | 4,198 | |
Total Investment Income | | | 623,832 | | | | 506,448 | | | | 1,006,284 | | | | 401,391 | |
| | | | | | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | | | | | |
Management fees (Note 3) | | | 253,507 | | | | 214,043 | | | | 343,590 | | | | 202,317 | |
Administration, fund accounting and custodian fees (Note 6) | | | 35,408 | | | | 34,202 | | | | 34,259 | | | | 34,668 | |
Professional fees | | | 21,871 | | | | 21,811 | | | | 21,838 | | | | 22,070 | |
Exchange fees | | | 4,907 | | | | 4,911 | | | | 4,911 | | | | 4,721 | |
Directors’ fees and expenses | | | 5,376 | | | | 5,377 | | | | 5,377 | | | | 5,376 | |
Shareholder reporting expenses | | | 3,636 | | | | 3,627 | | | | 3,622 | | | | 3,563 | |
Insurance expenses | | | 4,179 | | | | 5,460 | | | | 5,257 | | | | 4,053 | |
Miscellaneous expenses | | | 2,256 | | | | 2,115 | | | | 2,110 | | | | 2,161 | |
Total Expenses | | | 331,140 | | | | 291,546 | | | | 420,964 | | | | 278,929 | |
Less: Fees (Waived)/Recouped | | | — | | | | — | | | | — | | | | — | |
Net Expenses | | | 331,140 | | | | 291,546 | | | | 420,964 | | | | 278,929 | |
Net Investment Income | | | 292,692 | | | | 214,902 | | | | 585,320 | | | | 122,462 | |
| | | | | | | | | | | | | | | | |
REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | | | | | |
Net realized gain (loss) on: | | | | | | | | | | | | | | | | |
Investments in securities | | | 2,511,387 | | | | 2,192,963 | | | | (3,975,301 | ) | | | (40,617 | ) |
Capital gain distributions from regulated investment companies | | | — | | | | — | | | | — | | | | — | |
Net change in unrealized appreciation (depreciation) of: | | | | | | | | | | | | | | | | |
Investments in securities | | | (2,369,465 | ) | | | (1,739,543 | ) | | | (3,028,673 | ) | | | (628,596 | ) |
Net realized and unrealized gain (loss) on investments | | | 141,922 | | | | 453,420 | | | | (7,003,974 | ) | | | (669,213 | ) |
NET INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | |
RESULTING FROM OPERATIONS | | $ | 434,614 | | | $ | 668,322 | | | $ | (6,418,654 | ) | | $ | (546,751 | ) |
+ | Net of withholding taxes of $0, $0, $0 and $0, respectively. |
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
Statements of Operations (concluded)
For the Six-Months Ended December 31, 2018 (Unaudited)
| | WBI BullBear | | | WBI BullBear | | | WBI BullBear | | | WBI Power | |
| | Global | | | Global High | | | Global | | | Factor™ High | |
| | Income ETF | | | Income ETF | | | Rotation ETF | | | Dividend ETF | |
INVESTMENT INCOME | | | | | | | | | | | | |
Income: | | | | | | | | | | | | |
Dividends+ | | $ | 2,207,837 | | | $ | 4,997,660 | | | $ | 342,495 | | | $ | 2,555,072 | |
Interest | | | 13,202 | | | | 204,821 | | | | 87,536 | | | | 15,334 | |
Securities lending income (Note 7) | | | 148,691 | | | | 308,917 | | | | 34,667 | | | | 15,442 | |
Total Investment Income | | | 2,369,730 | | | | 5,511,398 | | | | 464,698 | | | | 2,585,848 | |
| | | | | | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | | | | | |
Management fees (Note 3) | | | 372,053 | | | | 1,017,450 | | | | 149,003 | | | | 276,690 | |
Administration, fund accounting and custodian fees (Note 6) | | | 31,080 | | | | 31,998 | | | | 34,519 | | | | 36,921 | |
Professional fees | | | 20,034 | | | | 19,929 | | | | 23,085 | | | | 21,970 | |
Exchange fees | | | 4,911 | | | | 4,911 | | | | 4,904 | | | | 4,151 | |
Directors’ fees and expenses | | | 5,377 | | | | 5,377 | | | | 5,445 | | | | 5,445 | |
Shareholder reporting expenses | | | 3,554 | | | | 3,527 | | | | 3,620 | | | | 3,670 | |
Insurance expenses | | | 6,052 | | | | 10,257 | | | | 4,016 | | | | 2,838 | |
Miscellaneous expenses | | | 1,989 | | | | 1,784 | | | | 2,219 | | | | 2,195 | |
Total Expenses | | | 445,050 | | | | 1,095,233 | | | | 226,811 | | | | 353,880 | |
Less: Fees (Waived)/Recouped | | | — | | | | — | | | | (7,689 | ) | | | (1,728 | ) |
Net Expenses | | | 445,050 | | | | 1,095,233 | | | | 219,122 | | | | 352,152 | |
Net Investment Income | | | 1,924,680 | | | | 4,416,165 | | | | 245,576 | | | | 2,233,696 | |
| | | | | | | | | | | | | | | | |
REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | | | | | |
Net realized gain (loss) on: | | | | | | | | | | | | | | | | |
Investments in securities | | | (2,034,508 | ) | | | (23,669,887 | ) | | | (3,769,732 | ) | | | (4,758,378 | ) |
Capital gain distributions from regulated investment companies | | | 3,503 | | | | 1,724 | | | | 5,118 | | | | — | |
Net change in unrealized appreciation (depreciation) of: | | | | | | | | | | | | | | | | |
Investments in securities | | | 2,846,691 | | | | 4,753,466 | | | | 62,554 | | | | (19,280,671 | ) |
Net realized and unrealized gain (loss) on investments | | | 815,686 | | | | (18,914,697 | ) | | | (3,702,060 | ) | | | (24,039,049 | ) |
NET INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | |
RESULTING FROM OPERATIONS | | $ | 2,740,366 | | | $ | (14,498,532 | ) | | $ | (3,456,484 | ) | | $ | (21,805,353 | ) |
+ | Net of withholding taxes of $0, $0, $0 and $0, respectively. |
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
Statements of Changes in Net Assets
| | WBI BullBear Rising Income 2000 ETF | | | WBI BullBear Value 2000 ETF | |
| | Six-Months Ended | | | | | | Six-Months Ended | | | | |
| | December 31, 2018 | | | Year Ended | | | December 31, 2018 | | | Year Ended | |
| | (Unaudited) | | | June 30, 2018 | | | (Unaudited) | | | June 30, 2018 | |
INCREASE (DECREASE) IN NET ASSETS: | | | | | | | | | | | | |
OPERATIONS | | | | | | | | | | | | |
Net investment income | | $ | 229,915 | | | $ | 260,442 | | | $ | 256,129 | | | $ | 210,160 | |
Net realized gain (loss) on investments | | | (5,334,441 | ) | | | 1,261,758 | | | | (5,048,116 | ) | | | 372,028 | |
Net change in unrealized appreciation (depreciation) | | | | | | | | | | | | | | | | |
of investments | | | (422,362 | ) | | | (1,173,833 | ) | | | (468,006 | ) | | | (1,965,525 | ) |
Net increase (decrease) in net assets | | | | | | | | | | | | | | | | |
resulting from operations | | | (5,526,888 | ) | | | 348,367 | | | | (5,259,993 | ) | | | (1,383,337 | ) |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
Net distributions to shareholders | | | (242,003 | ) | | | (249,127 | )1 | | | (275,317 | ) | | | (218,969 | )1 |
Total distributions to shareholders | | | (242,003 | ) | | | (249,127 | ) | | | (275,317 | ) | | | (218,969 | ) |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets | | | | | | | | | | | | | | | | |
from capital share transactions (Note 10) | | | (10,714,060 | ) | | | 11,303,095 | | | | (6,913,185 | ) | | | (26,469,535 | ) |
Total increase (decrease) in net assets | | $ | (16,482,951 | ) | | $ | 11,402,335 | | | $ | (12,448,495 | ) | | $ | (28,071,841 | ) |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period/Year | | $ | 53,524,181 | | | $ | 42,121,846 | | | $ | 44,860,401 | | | $ | 72,932,242 | |
End of Period/Year | | $ | 37,041,230 | | | $ | 53,524,181 | 2 | | $ | 32,411,906 | | | $ | 44,860,401 | 3 |
| | | | | | | | | | | | | | | | |
1 Distribution is derived entirely from net investment income. | | | | | | | | | | | | | |
2 Includes undistributed net investments income of $11,315. | | | | | | | | | | | | | |
3 Includes undistributed net investments income of $16,328. | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | WBI BullBear Yield 2000 ETF | | | WBI BullBear Quality 2000 ETF | |
| | Six-Months Ended | | | | | | | Six-Months Ended | | | | | |
| | December 31, 2018 | | | Year Ended | | | December 31, 2018 | | | Year Ended | |
| | (Unaudited) | | | June 30, 2018 | | | (Unaudited) | | | June 30, 2018 | |
INCREASE (DECREASE) IN NET ASSETS: | | | | | | | | | | | | | | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net investment income | | $ | 602,154 | | | $ | 419,497 | | | $ | 201,359 | | | $ | 331,451 | |
Net realized gain (loss) on investments | | | (8,408,992 | ) | | | 2,481,097 | | | | (3,205,836 | ) | | | 3,892,645 | |
Net change in unrealized appreciation (depreciation) | | | | | | | | | | | | | | | | |
of investments | | | (1,028,796 | ) | | | (1,521,910 | ) | | | (505,573 | ) | | | (2,472,670 | ) |
Net increase (decrease) in net assets | | | | | | | | | | | | | | | | |
resulting from operations | | | (8,835,634 | ) | | | 1,378,684 | | | | (3,510,050 | ) | | | 1,751,426 | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
Net distributions to shareholders | | | (635,086 | ) | | | (401,663 | )1 | | | (222,608 | ) | | | (317,572 | )1 |
Total distributions to shareholders | | | (635,086 | ) | | | (401,663 | ) | | | (222,608 | ) | | | (317,572 | ) |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets | | | | | | | | | | | | | | | | |
from capital share transactions (Note 10) | | | 12,628,085 | | | | (12,958,225 | ) | | | (9,496,750 | ) | | | (30,119,010 | ) |
Total increase (decrease) in net assets | | $ | 3,157,365 | | | $ | (11,981,204 | ) | | $ | (13,229,408 | ) | | $ | (28,685,156 | ) |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period/Year | | $ | 53,636,947 | | | $ | 65,618,151 | | | $ | 45,796,558 | | | $ | 74,481,714 | |
End of Period/Year | | $ | 56,794,312 | | | $ | 53,636,947 | 2 | | $ | 32,567,150 | | | $ | 45,796,558 | 3 |
| | | | | | | | | | | | | | | | |
1 Distribution is derived entirely from net investment income. | |
2 Includes undistributed net investments income of $32,110. | |
3 Includes undistributed net investments income of $19,316. | |
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
Statements of Changes in Net Assets (continued)
| | WBI BullBear Rising Income 1000 ETF | | | WBI BullBear Value 1000 ETF | |
| | Six-Months Ended | | | | | | Six-Months Ended | | | | |
| | December 31, 2018 | | | Year Ended | | | December 31, 2018 | | | Year Ended | |
| | (Unaudited) | | | June 30, 2018 | | | (Unaudited) | | | June 30, 2018 | |
INCREASE (DECREASE) IN NET ASSETS: | | | | | | | | | | | | |
OPERATIONS | | | | | | | | | | | | |
Net investment income | | $ | 292,692 | | | $ | 344,884 | | | $ | 214,902 | | | $ | 485,908 | |
Net realized gain (loss) on investments | | | 2,511,387 | | | | 1,720,324 | | | | 2,192,963 | | | | 7,309,514 | |
Net change in unrealized appreciation (depreciation) | | | | | | | | | | | | | | | | |
of investments | | | (2,369,465 | ) | | | 118,750 | | | | (1,739,543 | ) | | | (1,117,074 | ) |
Net increase (decrease) in net assets | | | | | | | | | | | | | | | | |
resulting from operations | | | 434,614 | | | | 2,183,958 | | | | 668,322 | | | | 6,678,348 | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
Net distributions to shareholders | | | (299,763 | ) | | | (337,373 | )1 | | | (222,709 | ) | | | (484,790 | )1 |
Total distributions to shareholders | | | (299,763 | ) | | | (337,373 | ) | | | (222,709 | ) | | | (484,790 | ) |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets | | | | | | | | | | | | | | | | |
from capital share transactions (Note 10) | | | (31,668,660 | ) | | | 23,145,975 | | | | (28,361,200 | ) | | | (19,951,920 | ) |
Total increase (decrease) in net assets | | $ | (31,533,809 | ) | | $ | 24,992,560 | | | $ | (27,915,587 | ) | | $ | (13,758,362 | ) |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period/Year | | $ | 75,283,455 | | | $ | 50,290,895 | | | $ | 64,842,815 | | | $ | 78,601,177 | |
End of Period/Year | | $ | 43,749,646 | | | $ | 75,283,455 | 2 | | $ | 36,927,228 | | | $ | 64,842,815 | 3 |
| |
1 Distribution is derived entirely from net investment income. | |
2 Includes undistributed net investments income of $7,511. | |
3 Includes undistributed net investments income of $7,046. | |
| | | | | | | | | | | | | | | | |
| | WBI BullBear Yield 1000 ETF | | | WBI BullBear Quality 1000 ETF | |
| | Six-Months Ended | | | | | | | Six-Months Ended | | | | | |
| | December 31, 2018 | | | Year Ended | | | December 31, 2018 | | | Year Ended | |
| | (Unaudited) | | | June 30, 2018 | | | (Unaudited) | | | June 30, 2018 | |
INCREASE (DECREASE) IN NET ASSETS: | | | | | | | | | | | | | | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net investment income | | $ | 585,320 | | | $ | 813,238 | | | $ | 122,462 | | | $ | 459,836 | |
Net realized gain (loss) on investments | | | (3,975,301 | ) | | | 9,971,337 | | | | (40,617 | ) | | | 2,275,816 | |
Net change in unrealized appreciation (depreciation) | | | | | | | | | | | | | | | | |
of investments | | | (3,028,673 | ) | | | (125,438 | ) | | | (628,596 | ) | | | (1,534,072 | ) |
Net increase (decrease) in net assets | | | | | | | | | | | | | | | | |
resulting from operations | | | (6,418,654 | ) | | | 10,659,137 | | | | (546,751 | ) | | | 1,201,580 | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
Net distributions to shareholders | | | (591,367 | ) | | | (826,348 | )1 | | | (133,468 | ) | | | (464,405 | )1 |
Total distributions to shareholders | | | (591,367 | ) | | | (826,348 | ) | | | (133,468 | ) | | | (464,405 | ) |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets | | | | | | | | | | | | | | | | |
from capital share transactions (Note 10) | | | (10,079,915 | ) | | | (6,036,115 | ) | | | (24,798,715 | ) | | | 11,235,350 | |
Total increase (decrease) in net assets | | $ | (17,089,936 | ) | | $ | 3,796,674 | | | $ | (25,478,934 | ) | | $ | 11,972,525 | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period/Year | | $ | 82,779,049 | | | $ | 78,982,375 | | | $ | 59,955,142 | | | $ | 47,982,617 | |
End of Period/Year | | $ | 65,689,113 | | | $ | 82,779,049 | 2 | | $ | 34,476,208 | | | $ | 59,955,142 | 3 |
| |
1 Distribution is derived entirely from net investment income. | |
2 Includes undistributed net investments income of $9,941. | |
3 Includes undistributed net investments income of $8,248. | |
| | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
Statements of Changes in Net Assets (concluded)
| | WBI BullBear Global Income ETF | | | WBI BullBear Global High Income ETF | |
| | Six-Months Ended | | | | | | Six-Months Ended | | | | |
| | December 31, 2018 | | | Year Ended | | | December 31, 2018 | | | Year Ended | |
| | (Unaudited) | | | June 30, 2018 | | | (Unaudited) | | | June 30, 2018 | |
INCREASE (DECREASE) IN NET ASSETS: | | | | | | | | | | | | |
OPERATIONS | | | | | | | | | | | | |
Net investment income | | $ | 1,924,680 | | | $ | 3,944,244 | | | $ | 4,416,165 | | | $ | 8,016,319 | |
Net realized gain (loss) on investments | | | (2,031,005 | ) | | | (5,651,905 | ) | | | (23,668,163 | ) | | | (3,492,335 | ) |
Net change in unrealized appreciation (depreciation) | | | | | | | | | | | | | | | | |
of investments | | | 2,846,691 | | | | (2,445,214 | ) | | | 4,753,466 | | | | (3,338,872 | ) |
Net increase (decrease) in net assets | | | | | | | | | | | | | | | | |
resulting from operations | | | 2,740,366 | | | | (4,152,875 | ) | | | (14,498,532 | ) | | �� | 1,185,112 | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
Net distributions to shareholders | | | (1,921,823 | ) | | | (3,955,836 | )1 | | | (4,411,918 | ) | | | (8,057,793 | )1 |
Total distributions to shareholders | | | (1,921,823 | ) | | | (3,955,836 | ) | | | (4,411,918 | ) | | | (8,057,793 | ) |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets | | | | | | | | | | | | | | | | |
from capital share transactions (Note 10) | | | 12,139,045 | | | | (57,508,535 | ) | | | (54,513,025 | ) | | | 12,231,815 | |
Total increase (decrease) in net assets | | $ | 12,957,588 | | | $ | (65,617,246 | ) | | $ | (73,423,475 | ) | | $ | 5,359,134 | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period/Year | | $ | 96,625,879 | | | $ | 162,243,125 | | | $ | 274,808,523 | | | $ | 269,449,389 | |
End of Period/Year | | $ | 109,583,467 | | | $ | 96,625,879 | | | $ | 201,385,048 | | | $ | 274,808,523 | |
| |
1 Distribution is derived entirely from net investment income. | |
| | | | | | | | | | | | | | | | |
| | WBI BullBear Global Rotation ETF | | | WBI Power Factor™ High Dividend ETF | |
| | Six-Months Ended | | | | | | | Six-Months Ended | | | | | |
| | December 31, 2018 | | | Year Ended | | | December 31, 2018 | | | Year Ended | |
| | (Unaudited) | | | June 30, 2018 | | | (Unaudited) | | | June 30, 2018 | |
INCREASE (DECREASE) IN NET ASSETS: | | | | | | | | | | | | | | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net investment income | | $ | 245,576 | | | $ | 335,872 | | | $ | 2,233,696 | | | $ | 1,994,258 | |
Net realized gain (loss) on investments | | | (3,764,614 | ) | | | 554,562 | | | | (4,758,378 | ) | | | 1,635,776 | |
Net change in unrealized appreciation (depreciation) | | | | | | | | | | | | | | | | |
of investments | | | 62,554 | | | | (415,294 | ) | | | (19,280,671 | ) | | | 3,565,744 | |
Net increase (decrease) in net assets | | | | | | | | | | | | | | | | |
resulting from operations | | | (3,456,484 | ) | | | 475,140 | | | | (21,805,353 | ) | | | 7,195,778 | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
Net distributions to shareholders | | | (250,713 | ) | | | (317,818 | )1 | | | (3,114,564 | ) | | | (2,934,185 | )2 |
Total distributions to shareholders | | | (250,713 | ) | | | (317,818 | ) | | | (3,114,564 | ) | | | (2,934,185 | ) |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets | | | | | | | | | | | | | | | | |
from capital share transactions (Note 10) | | | 26,298,780 | | | | 1,275,310 | | | | 57,034,670 | | | | 14,237,490 | |
Total increase (decrease) in net assets | | $ | 22,591,583 | | | $ | 1,432,632 | | | $ | 32,114,753 | | | $ | 18,499,083 | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of Period/Year | | $ | 19,749,142 | | | $ | 18,316,510 | | | $ | 52,402,362 | | | $ | 33,903,279 | |
End of Period/Year | | $ | 42,340,725 | | | $ | 19,749,142 | 3 | | $ | 84,517,115 | | | $ | 52,402,362 | 4 |
| |
1 Distribution is derived entirely from net investment income. | |
2 Distribution is derived from $1,973,737 of net investments income and $960,448 of net realized gain. | |
3 Includes undistributed net investments income of $11,666. | |
4 Includes undistributed net investments income of $40,254. | |
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
Financial Highlights
For capital share outstanding throughout each period/year
| | WBI BullBear Rising Income 2000 ETF | |
| | Six-Months Ended | | | | | | | | | | | | | |
| | December 31, 2018 | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | (Unaudited) | | | June 30, 2018 | | | June 30, 2017 | | | June 30, 2016 | | | June 30, 20151 | |
Net Asset Value, Beginning of Period/Year | | $ | 24.33 | | | $ | 24.07 | | | $ | 21.69 | | | $ | 25.19 | | | $ | 25.00 | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)2 | | | 0.12 | | | | 0.14 | | | | 0.12 | | | | 0.06 | | | | 0.04 | |
Net gain (loss) on investments (realized and unrealized)6 | | | (3.15 | ) | | | 0.24 | | | | 2.41 | | | | (3.49 | ) | | | 0.19 | |
Total from investment operations | | | (3.03 | ) | | | 0.38 | | | | 2.53 | | | | (3.43 | ) | | | 0.23 | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
Distributions from net investment income | | | (0.13 | ) | | | (0.12 | ) | | | (0.13 | ) | | | (0.07 | ) | | | (0.04 | ) |
Tax return of capital to shareholders | | | — | | | | — | | | | (0.02 | ) | | | — | | | | (0.00 | )8 |
Distributions from net realized gain | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Distributions | | | (0.13 | ) | | | (0.12 | ) | | | (0.15 | ) | | | (0.07 | ) | | | (0.04 | ) |
Net asset value, end of period/year | | $ | 21.17 | | | $ | 24.33 | | | $ | 24.07 | | | $ | 21.69 | | | $ | 25.19 | |
Market price, end of period/year | | $ | 21.15 | | | $ | 24.31 | | | $ | 24.09 | | | $ | 21.57 | | | $ | 25.27 | |
Net Assets Total Return7 | | | -12.58 | %3 | | | 1.62 | % | | | 11.74 | % | | | -13.72 | % | | | 0.94 | %3 |
| | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period/year (000’s) | | $ | 37,041 | | | $ | 53,524 | | | $ | 42,122 | | | $ | 75,915 | | | $ | 132,269 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Expenses before fees (waived)/recouped | | | 1.18 | %4 | | | 1.08 | % | | | 1.05 | % | | | 0.99 | % | | | 1.03 | %4 |
Expenses after fees (waived)/recouped | | | 1.18 | %4 | | | 1.08 | % | | | 1.05 | % | | | 0.99 | % | | | 1.03 | %4 |
Net investment income (loss) to average net assets | | | 0.97 | %4 | | | 0.56 | % | | | 0.53 | % | | | 0.26 | % | | | 0.18 | %4 |
Portfolio turnover rate5 | | | 382 | %3 | | | 529 | % | | | 331 | % | | | 531 | % | | | 255 | %3 |
| | | | | | | | | | | | | | | | | | | | |
| | WBI BullBear Value 2000 ETF | |
| | Six-Months Ended | | | | | | | | | | | | | | | | | |
| | December 31, 2018 | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | (Unaudited) | | | June 30, 2018 | | | June 30, 2017 | | | June 30, 2016 | | | June 30, 20151 | |
Net Asset Value, Beginning of Period/Year | | $ | 24.25 | | | $ | 25.15 | | | $ | 21.46 | | | $ | 24.72 | | | $ | 25.00 | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)2 | | | 0.15 | | | | 0.08 | | | | 0.25 | | | | 0.17 | | | | 0.06 | |
Net gain (loss) on investments (realized and unrealized)6 | | | (3.32 | ) | | | (0.88 | ) | | | 3.71 | | | | (3.28 | ) | | | (0.27 | ) |
Total from investment operations | | | (3.17 | ) | | | (0.80 | ) | | | 3.96 | | | | (3.11 | ) | | | (0.21 | ) |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
Distributions from net investment income | | | (0.17 | ) | | | (0.10 | ) | | | (0.27 | ) | | | (0.15 | ) | | | (0.07 | ) |
Tax return of capital to shareholders | | | — | | | | — | | | | — | | | | — | | | | (0.00 | )8 |
Distributions from net realized gain | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Distributions | | | (0.17 | ) | | | (0.10 | ) | | | (0.27 | ) | | | (0.15 | ) | | | (0.07 | ) |
Net asset value, end of period/year | | $ | 20.91 | | | $ | 24.25 | | | $ | 25.15 | | | $ | 21.46 | | | $ | 24.72 | |
Market price, end of period/year | | $ | 20.87 | | | $ | 24.26 | | | $ | 25.19 | | | $ | 21.40 | | | $ | 24.77 | |
Net Assets Total Return7 | | | -13.28 | %3 | | | -3.06 | % | | | 18.55 | % | | | -12.71 | % | | | -0.84 | %3 |
| | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period/year (000’s) | | $ | 32,412 | | | $ | 44,860 | | | $ | 72,932 | | | $ | 72,949 | | | $ | 100,117 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Expenses before fees (waived)/recouped | | | 1.24 | %4 | | | 1.06 | % | | | 1.04 | % | | | 0.99 | % | | | 1.07 | %4 |
Expenses after fees (waived)/recouped | | | 1.24 | %4 | | | 1.06 | % | | | 1.04 | % | | | 0.99 | % | | | 1.07 | %4 |
Net investment income (loss) to average net assets | | | 1.28 | %4 | | | 0.33 | % | | | 1.07 | % | | | 0.75 | % | | | 0.30 | %4 |
Portfolio turnover rate5 | | | 379 | %3 | | | 564 | % | | | 405 | % | | | 565 | % | | | 278 | %3 |
1 | Fund commenced operations on August 25, 2014. The information presented is for the period from August 25, 2014 to June 30, 2015. |
2 | Calculated based on average shares outstanding during the period. |
3 | Not annualized. |
4 | Annualized. |
5 | Excludes securities received or delivered as a result of processing capital share transactions in creation units. |
6 | The amount for a share outstanding throughout the period may not be in accordance with the aggregate net realized and unrealized gain (loss) on investments for the period because of the timing of capital share transactions in relation to fluctuating market values of the Fund’s underlying securities. |
7 | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and the redemption on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
8 | Less than $0.01. |
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
Financial Highlights (continued)
For capital share outstanding throughout each period/year
| | WBI BullBear Yield 2000 ETF | |
| | Six-Months Ended | | | | | | | | | | | | | |
| | December 31, 2018 | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | (Unaudited) | | | June 30, 2018 | | | June 30, 2017 | | | June 30, 2016 | | | June 30, 20151 | |
Net Asset Value, Beginning of Period/Year | | $ | 22.82 | | | $ | 22.24 | | | $ | 20.20 | | | $ | 24.11 | | | $ | 25.00 | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)2 | | | 0.22 | | | | 0.16 | | | | 0.35 | | | | 0.24 | | | | 0.26 | |
Net gain (loss) on investments (realized and unrealized)6 | | | (2.89 | ) | | | 0.58 | | | | 2.09 | | | | (3.92 | ) | | | (0.92 | ) |
Total from investment operations | | | (2.67 | ) | | | 0.74 | | | | 2.44 | | | | (3.68 | ) | | | (0.66 | ) |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
Distributions from net investment income | | | (0.22 | ) | | | (0.16 | ) | | | (0.40 | ) | | | (0.23 | ) | | | (0.23 | ) |
Tax return of capital to shareholders | | | — | | | | — | | | | — | | | | — | | | | — | |
Distributions from net realized gain | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Distributions | | | (0.22 | ) | | | (0.16 | ) | | | (0.40 | ) | | | (0.23 | ) | | | (0.23 | ) |
Net asset value, end of period/year | | $ | 19.93 | | | $ | 22.82 | | | $ | 22.24 | | | $ | 20.20 | | | $ | 24.11 | |
Market price, end of period/year | | $ | 19.91 | | | $ | 22.78 | | | $ | 22.25 | | | $ | 20.12 | | | $ | 24.14 | |
Net Assets Total Return7 | | | -11.80 | %3 | | | 3.34 | % | | | 12.26 | % | | | -15.44 | % | | | -2.60 | %3 |
| | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period/year (000’s) | | $ | 56,794 | | | $ | 53,637 | | | $ | 65,618 | | | $ | 97,979 | | | $ | 141,064 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Expenses before fees (waived)/recouped | | | 1.10 | %4 | | | 1.06 | % | | | 1.03 | % | | | 0.98 | % | | | 1.03 | %4 |
Expenses after fees (waived)/recouped | | | 1.10 | %4 | | | 1.06 | % | | | 1.03 | % | | | 0.98 | % | | | 1.03 | %4 |
Net investment income (loss) to average net assets | | | 1.96 | %4 | | | 0.72 | % | | | 1.64 | % | | | 1.11 | % | | | 1.29 | %4 |
Portfolio turnover rate5 | | | 396 | %3 | | | 528 | % | | | 355 | % | | | 553 | % | | | 264 | %3 |
| | | | | | | | | | | | | | | | | | | | |
| | WBI BullBear Quality 2000 ETF | |
| | Six-Months Ended | | | | | | | | | | | | | | | | | |
| | December 31, 2018 | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | (Unaudited) | | | June 30, 2018 | | | June 30, 2017 | | | June 30, 2016 | | | June 30, 20151 | |
Net Asset Value, Beginning of Period/Year | | $ | 23.49 | | | $ | 23.28 | | | $ | 20.71 | | | $ | 23.62 | | | $ | 25.00 | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)2 | | | 0.11 | | | | 0.12 | | | | 0.18 | | | | 0.12 | | | | (0.01 | ) |
Net gain (loss) on investments (realized and unrealized)6 | | | (2.45 | ) | | | 0.22 | | | | 2.57 | | | | (2.94 | ) | | | (1.35 | ) |
Total from investment operations | | | (2.34 | ) | | | 0.34 | | | | 2.75 | | | | (2.82 | ) | | | (1.36 | ) |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
Distributions from net investment income | | | (0.14 | ) | | | (0.13 | ) | | | (0.18 | ) | | | (0.09 | ) | | | (0.00 | )8 |
Tax return of capital to shareholders | | | — | | | | — | | | | — | | | | — | | | | (0.02 | ) |
Distributions from net realized gain | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Distributions | | | (0.14 | ) | | | (0.13 | ) | | | (0.18 | ) | | | (0.09 | ) | | | (0.02 | ) |
Net asset value, end of period/year | | $ | 21.01 | | | $ | 23.49 | | | $ | 23.28 | | | $ | 20.71 | | | $ | 23.62 | |
Market price, end of period/year | | $ | 20.98 | | | $ | 23.57 | | | $ | 23.37 | | | $ | 20.60 | | | $ | 23.68 | |
Net Assets Total Return7 | | | -9.99 | %3 | | | 1.43 | % | | | 13.32 | % | | | -12.01 | % | | | -5.40 | %3 |
| | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period/year (000’s) | | $ | 32,567 | | | $ | 45,797 | | | $ | 74,482 | | | $ | 79,726 | | | $ | 99,224 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Expenses before fees (waived)/recouped | | | 1.23 | %4 | | | 1.06 | % | | | 1.04 | % | | | 0.99 | % | | | 1.06 | %4 |
Expenses after fees (waived)/recouped | | | 1.23 | %4 | | | 1.06 | % | | | 1.04 | % | | | 0.99 | % | | | 1.06 | %4 |
Net investment income (loss) to average net assets | | | 0.97 | %4 | | | 0.51 | % | | | 0.79 | % | | | 0.56 | % | | | (0.04 | )%4 |
Portfolio turnover rate5 | | | 424 | %3 | | | 485 | % | | | 383 | % | | | 569 | % | | | 311 | %3 |
1 | Fund commenced operations on August 25, 2014. The information presented is for the period from August 25, 2014 to June 30, 2015. |
2 | Calculated based on average shares outstanding during the period. |
3 | Not annualized. |
4 | Annualized. |
5 | Excludes securities received or delivered as a result of processing capital share transactions in creation units. |
6 | The amount for a share outstanding throughout the period may not be in accordance with the aggregate net realized and unrealized gain (loss) on investments for the period because of the timing of capital share transactions in relation to fluctuating market values of the Fund’s underlying securities. |
7 | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and the redemption on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
8 | Less than $0.01. |
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
Financial Highlights (continued)
For capital share outstanding throughout each period/year
| | WBI BullBear Rising Income 1000 ETF | |
| | Six-Months Ended | | | | | | | | | | | | | |
| | December 31, 2018 | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | (Unaudited) | | | June 30, 2018 | | | June 30, 2017 | | | June 30, 2016 | | | June 30, 20151 | |
Net Asset Value, Beginning of Period/Year | | $ | 25.96 | | | $ | 24.53 | | | $ | 21.92 | | | $ | 24.45 | | | $ | 25.00 | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)2 | | | 0.13 | | | | 0.15 | | | | 0.16 | | | | 0.06 | | | | 0.28 | |
Net gain (loss) on investments (realized and unrealized)6 | | | (0.92 | ) | | | 1.41 | | | | 2.64 | | | | (2.53 | ) | | | (0.59 | ) |
Total from investment operations | | | (0.79 | ) | | | 1.56 | | | | 2.80 | | | | (2.47 | ) | | | (0.31 | ) |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
Distributions from net investment income | | | (0.17 | ) | | | (0.13 | ) | | | (0.19 | ) | | | (0.06 | ) | | | (0.24 | ) |
Tax return of capital to shareholders | | | — | | | | — | | | | — | | | | — | | | | — | |
Distributions from net realized gain | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Distributions | | | (0.17 | ) | | | (0.13 | ) | | | (0.19 | ) | | | (0.06 | ) | | | (0.24 | ) |
Net asset value, end of period/year | | $ | 25.00 | | | $ | 25.96 | | | $ | 24.53 | | | $ | 21.92 | | | $ | 24.45 | |
Market price, end of period/year | | $ | 24.97 | | | $ | 25.93 | | | $ | 24.58 | | | $ | 21.83 | | | $ | 24.51 | |
Net Assets Total Return7 | | | -3.24 | %3 | | | 6.52 | % | | | 12.88 | % | | | -10.14 | % | | | -1.25 | %3 |
| | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period/year (000’s) | | $ | 43,750 | | | $ | 75,283 | | | $ | 50,291 | | | $ | 73,427 | | | $ | 138,152 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Expenses before fees (waived)/recouped | | | 1.11 | %4 | | | 1.05 | % | | | 1.05 | % | | | 0.99 | % | | | 1.02 | %4 |
Expenses after fees (waived)/recouped | | | 1.11 | %4 | | | 1.05 | % | | | 1.05 | % | | | 0.99 | % | | | 1.02 | %4 |
Net investment income (loss) to average net assets | | | 0.98 | %4 | | | 0.57 | % | | | 0.72 | % | | | 0.25 | % | | | 1.30 | %4 |
Portfolio turnover rate5 | | | 242 | %3 | | | 496 | % | | | 279 | % | | | 571 | % | | | 240 | %3 |
| | | | | | | | | | | | | | | | | | | | |
| | WBI BullBear Value 1000 ETF | |
| | Six-Months Ended | | | | | | | | | | | | | | | | | |
| | December 31, 2018 | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | (Unaudited) | | | June 30, 2018 | | | June 30, 2017 | | | June 30, 2016 | | | June 30, 20151 | |
Net Asset Value, Beginning of Period/Year | | $ | 28.19 | | | $ | 26.20 | | | $ | 21.85 | | | $ | 23.98 | | | $ | 25.00 | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)2 | | | 0.13 | | | | 0.18 | | | | 0.29 | | | | 0.04 | | | | 0.24 | |
Net gain (loss) on investments (realized and unrealized)6 | | | (0.81 | ) | | | 2.00 | | | | 4.35 | | | | (2.12 | ) | | | (1.04 | ) |
Total from investment operations | | | (0.68 | ) | | | 2.18 | | | | 4.64 | | | | (2.08 | ) | | | (0.80 | ) |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
Distributions from net investment income | | | (0.16 | ) | | | (0.19 | ) | | | (0.29 | ) | | | (0.05 | ) | | | (0.22 | ) |
Tax return of capital to shareholders | | | — | | | | — | | | | — | | | | — | | | | — | |
Distributions from net realized gain | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Distributions | | | (0.16 | ) | | | (0.19 | ) | | | (0.29 | ) | | | (0.05 | ) | | | (0.22 | ) |
Net asset value, end of period/year | | $ | 27.35 | | | $ | 28.19 | | | $ | 26.20 | | | $ | 21.85 | | | $ | 23.98 | |
Market price, end of period/year | | $ | 27.37 | | | $ | 28.17 | | | $ | 26.28 | | | $ | 21.77 | | | $ | 23.98 | |
Net Assets Total Return7 | | | -2.50 | %3 | | | 8.40 | % | | | 21.34 | % | | | -8.63 | % | | | -3.29 | %3 |
| | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period/year (000’s) | | $ | 36,927 | | | $ | 64,843 | | | $ | 78,601 | | | $ | 72,097 | | | $ | 112,691 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Expenses before fees (waived)/recouped | | | 1.16 | %4 | | | 1.05 | % | | | 1.03 | % | | | 0.99 | % | | | 1.04 | %4 |
Expenses after fees (waived)/recouped | | | 1.16 | %4 | | | 1.05 | % | | | 1.03 | % | | | 0.99 | % | | | 1.04 | %4 |
Net investment income (loss) to average net assets | | | 0.85 | %4 | | | 0.64 | % | | | 1.19 | % | | | 0.19 | % | | | 1.17 | %4 |
Portfolio turnover rate5 | | | 236 | %3 | | | 527 | % | | | 388 | % | | | 573 | % | | | 294 | %3 |
1 | Fund commenced operations on August 25, 2014. The information presented is for the period from August 25, 2014 to June 30, 2015. |
2 | Calculated based on average shares outstanding during the period. |
3 | Not annualized. |
4 | Annualized. |
5 | Excludes securities received or delivered as a result of processing capital share transactions in creation units. |
6 | The amount for a share outstanding throughout the period may not be in accordance with the aggregate net realized and unrealized gain (loss) on investments for the period because of the timing of capital share transactions in relation to fluctuating market values of the Fund’s underlying securities. |
7 | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and the redemption on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
Financial Highlights (continued)
For capital share outstanding throughout each period/year
| | WBI BullBear Yield 1000 ETF | |
| | Six-Months Ended | | | | | | | | | | | | | |
| | December 31, 2018 | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | (Unaudited) | | | June 30, 2018 | | | June 30, 2017 | | | June 30, 2016 | | | June 30, 20151 | |
Net Asset Value, Beginning of Period/Year | | $ | 25.87 | | | $ | 22.89 | | | $ | 20.25 | | | $ | 23.48 | | | $ | 25.00 | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)2 | | | 0.19 | | | | 0.25 | | | | 0.31 | | | | 0.08 | | | | 0.35 | |
Net gain (loss) on investments (realized and unrealized)6 | | | (2.40 | ) | | | 2.98 | | | | 2.66 | | | | (3.22 | ) | | | (1.58 | ) |
Total from investment operations | | | (2.21 | ) | | | 3.23 | | | | 2.97 | | | | (3.14 | ) | | | (1.23 | ) |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
Distributions from net investment income | | | (0.20 | ) | | | (0.25 | ) | | | (0.33 | ) | | | (0.09 | ) | | | (0.29 | ) |
Tax return of capital to shareholders | | | — | | | | — | | | | — | | | | — | | | | — | |
Distributions from net realized gain | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Distributions | | | (0.20 | ) | | | (0.25 | ) | | | (0.33 | ) | | | (0.09 | ) | | | (0.29 | ) |
Net asset value, end of period/year | | $ | 23.46 | | | $ | 25.87 | | | $ | 22.89 | | | $ | 20.25 | | | $ | 23.48 | |
Market price, end of period/year | | $ | 23.41 | | | $ | 25.83 | | | $ | 22.95 | | | $ | 20.19 | | | $ | 23.50 | |
Net Assets Total Return7 | | | -8.63 | %3 | | | 14.14 | % | | | 14.82 | % | | | -13.37 | % | | | -4.98 | %3 |
| | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period/year (000’s) | | $ | 65,689 | | | $ | 82,779 | | | $ | 78,982 | | | $ | 99,236 | | | $ | 140,876 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Expenses before fees (waived)/recouped | | | 1.04 | %4 | | | 1.04 | % | | | 1.02 | % | | | 0.98 | % | | | 1.02 | %4 |
Expenses after fees (waived)/recouped | | | 1.04 | %4 | | | 1.04 | % | | | 1.02 | % | | | 0.98 | % | | | 1.02 | %4 |
Net investment income (loss) to average net assets | | | 1.45 | %4 | | | 0.99 | % | | | 1.47 | % | | | 0.38 | % | | | 1.67 | %4 |
Portfolio turnover rate5 | | | 330 | %3 | | | 491 | % | | | 352 | % | | | 584 | % | | | 277 | %3 |
| | | | | | | | | | | | | | | | | | | | |
| | WBI BullBear Quality 1000 ETF | |
| | Six-Months Ended | | | | | | | | | | | | | | | | | |
| | December 31, 2018 | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | (Unaudited) | | | June 30, 2018 | | | June 30, 2017 | | | June 30, 2016 | | | June 30, 20151 | |
Net Asset Value, Beginning of Period/Year | | $ | 26.07 | | | $ | 25.25 | | | $ | 21.87 | | | $ | 23.85 | | | $ | 25.00 | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)2 | | | 0.07 | | | | 0.23 | | | | 0.22 | | | | 0.04 | | | | 0.06 | |
Net gain (loss) on investments (realized and unrealized)6 | | | (1.42 | ) | | | 0.81 | | | | 3.42 | | | | (2.00 | ) | | | (1.16 | ) |
Total from investment operations | | | (1.35 | ) | | | 1.04 | | | | 3.64 | | | | (1.96 | ) | | | (1.10 | ) |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
Distributions from net investment income | | | (0.09 | ) | | | (0.22 | ) | | | (0.26 | ) | | | (0.02 | ) | | | (0.04 | ) |
Tax return of capital to shareholders | | | — | | | | — | | | | — | | | | — | | | | (0.01 | ) |
Distributions from net realized gain | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Distributions | | | (0.09 | ) | | | (0.22 | ) | | | (0.26 | ) | | | (0.02 | ) | | | (0.05 | ) |
Net asset value, end of period/year | | $ | 24.63 | | | $ | 26.07 | | | $ | 25.25 | | | $ | 21.87 | | | $ | 23.85 | |
Market price, end of period/year | | $ | 24.62 | | | $ | 26.10 | | | $ | 25.32 | | | $ | 21.79 | | | $ | 23.88 | |
Net Assets Total Return7 | | | -5.25 | %3 | | | 4.11 | % | | | 16.80 | % | | | -8.22 | % | | | -4.41 | %3 |
| | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period/year (000’s) | | $ | 34,476 | | | $ | 59,955 | | | $ | 47,983 | | | $ | 80,909 | | | $ | 121,629 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Expenses before fees (waived)/recouped | | | 1.17 | %4 | | | 1.07 | % | | | 1.04 | % | | | 0.98 | % | | | 1.02 | %4 |
Expenses after fees (waived)/recouped | | | 1.17 | %4 | | | 1.07 | % | | | 1.04 | % | | | 0.98 | % | | | 1.02 | %4 |
Net investment income (loss) to average net assets | | | 0.51 | %4 | | | 0.86 | % | | | 0.94 | % | | | 0.17 | % | | | 0.27 | %4 |
Portfolio turnover rate5 | | | 232 | %3 | | | 553 | % | | | 320 | % | | | 493 | % | | | 296 | %3 |
1 | Fund commenced operations on August 25, 2014. The information presented is for the period from August 25, 2014 to June 30, 2015. |
2 | Calculated based on average shares outstanding during the period. |
3 | Not annualized. |
4 | Annualized. |
5 | Excludes securities received or delivered as a result of processing capital share transactions in creation units. |
6 | The amount for a share outstanding throughout the period may not be in accordance with the aggregate net realized and unrealized gain (loss) on investments for the period because of the timing of capital share transactions in relation to fluctuating market values of the Fund’s underlying securities. |
7 | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and the redemption on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
Financial Highlights (continued)
For capital share outstanding throughout each period/year
| | WBI BullBear Global Income ETF | |
| | Six-Months Ended | | | | | | | | | | | | | |
| | December 31, 2018 | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | (Unaudited) | | | June 30, 2018 | | | June 30, 2017 | | | June 30, 2016 | | | June 30, 20151 | |
Net Asset Value, Beginning of Period/Year | | $ | 23.86 | | | $ | 25.35 | | | $ | 25.18 | | | $ | 25.46 | | | $ | 25.00 | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)2 | | | 0.53 | | | | 0.68 | | | | 0.38 | | | | 0.34 | | | | 0.23 | |
Net gain (loss) on investments (realized and unrealized)6 | | | 0.20 | | | | (1.47 | ) | | | 0.20 | | | | (0.23 | ) | | | 0.46 | |
Total from investment operations | | | 0.73 | | | | (0.79 | ) | | | 0.58 | | | | 0.11 | | | | 0.69 | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
Distributions from net investment income | | | (0.51 | ) | | | (0.70 | ) | | | (0.41 | ) | | | (0.33 | ) | | | (0.23 | ) |
Tax return of capital to shareholders | | | — | | | | — | | | | — | | | | — | | | | — | |
Distributions from net realized gain | | | — | | | | — | | | | — | | | | (0.06 | ) | | | — | |
Total Distributions | | | (0.51 | ) | | | (0.70 | ) | | | (0.41 | ) | | | (0.39 | ) | | | (0.23 | ) |
Net asset value, end of period/year | | $ | 24.08 | | | $ | 23.86 | | | $ | 25.35 | | | $ | 25.18 | | | $ | 25.46 | |
Market price, end of period/year | | $ | 24.04 | | | $ | 23.83 | | | $ | 25.38 | | | $ | 25.16 | | | $ | 25.48 | |
Net Assets Total Return7 | | | 3.11 | %3 | | | -3.20 | % | | | 2.36 | % | | | 0.45 | % | | | 2.77 | %3 |
| | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period/year (000’s) | | $ | 109,583 | | | $ | 96,626 | | | $ | 162,243 | | | $ | 396,558 | | | $ | 308,062 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Expenses before fees (waived)/recouped | | | 1.02 | %4 | | | 1.02 | % | | | 1.00 | % | | | 0.95 | % | | | 0.99 | %4 |
Expenses after fees (waived)/recouped | | | 1.02 | %4 | | | 1.02 | % | | | 1.00 | % | | | 0.95 | % | | | 0.99 | %4 |
Net investment income (loss) to average net assets | | | 4.40 | %4 | | | 2.71 | % | | | 1.53 | % | | | 1.35 | % | | | 1.08 | %4 |
Portfolio turnover rate5 | | | 236 | %3 | | | 551 | % | | | 479 | % | | | 364 | % | | | 308 | %3 |
| | | | | | | | | | | | | | | | | | | | |
| | WBI BullBear Global High Income ETF | |
| | Six-Months Ended | | | | | | | | | | | | | | | | | |
| | December 31, 2018 | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | (Unaudited) | | | June 30, 2018 | | | June 30, 2017 | | | June 30, 2016 | | | June 30, 20151 | |
Net Asset Value, Beginning of Period/Year | | $ | 23.90 | | | $ | 24.50 | | | $ | 23.40 | | | $ | 24.50 | | | $ | 25.00 | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)2 | | | 0.44 | | | | 0.72 | | | | 0.53 | | | | 0.39 | | | | 0.36 | |
Net gain (loss) on investments (realized and unrealized)6 | | | (2.02 | ) | | | (0.60 | ) | | | 1.09 | | | | (1.11 | ) | | | (0.51 | ) |
Total from investment operations | | | (1.58 | ) | | | 0.12 | | | | 1.62 | | | | (0.72 | ) | | | (0.15 | ) |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
Distributions from net investment income | | | (0.43 | ) | | | (0.72 | ) | | | (0.52 | ) | | | (0.38 | ) | | | (0.35 | ) |
Tax return of capital to shareholders | | | — | | | | — | | | | — | | | | — | | | | (0.00 | )8 |
Distributions from net realized gain | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Distributions | | | (0.43 | ) | | | (0.72 | ) | | | (0.52 | ) | | | (0.38 | ) | | | (0.35 | ) |
Net asset value, end of period/year | | $ | 21.89 | | | $ | 23.90 | | | $ | 24.50 | | | $ | 23.40 | | | $ | 24.50 | |
Market price, end of period/year | | $ | 21.88 | | | $ | 23.92 | | | $ | 24.55 | | | $ | 23.34 | | | $ | 24.56 | |
Net Assets Total Return7 | | | -6.69 | %3 | | | 0.47 | % | | | 7.04 | % | | | -2.97 | % | | | -0.65 | %3 |
| | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period/year (000’s) | | $ | 201,385 | | | $ | 274,809 | | | $ | 269,449 | | | $ | 228,101 | | | $ | 216,781 | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Expenses before fees (waived)/recouped | | | 0.91 | %4 | | | 1.00 | % | | | 1.00 | % | | | 0.95 | % | | | 0.98 | %4 |
Expenses after fees (waived)/recouped | | | 0.91 | %4 | | | 1.00 | % | | | 1.00 | % | | | 0.95 | % | | | 0.98 | %4 |
Net investment income (loss) to average net assets | | | 3.69 | %4 | | | 2.93 | % | | | 2.22 | % | | | 1.64 | % | | | 1.72 | %4 |
Portfolio turnover rate5 | | | 315 | %3 | | | 557 | % | | | 396 | % | | | 328 | % | | | 293 | %3 |
1 | Fund commenced operations on August 25, 2014. The information presented is for the period from August 25, 2014 to June 30, 2015. |
2 | Calculated based on average shares outstanding during the period. |
3 | Not annualized. |
4 | Annualized. |
5 | Excludes securities received or delivered as a result of processing capital share transactions in creation units. |
6 | The amount for a share outstanding throughout the period may not be in accordance with the aggregate net realized and unrealized gain (loss) on investments for the period because of the timing of capital share transactions in relation to fluctuating market values of the Fund’s underlying securities. |
7 | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and the redemption on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
8 | Less than $0.01. |
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
Financial Highlights (concluded)
For capital share outstanding throughout each period/year
| | WBI BullBear Global Rotation ETF | |
| | Six-Months Ended | | | | | | | |
| | December 31, 2018 | | | Year Ended | | | Period Ended | |
| | (Unaudited) | | | June 30, 2018 | | | June 30, 20171 | |
Net Asset Value, Beginning of Period/Year | | $ | 24.69 | | | $ | 24.42 | | | $ | 25.00 | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | |
Net investment income (loss)3 | | | 0.17 | | | | 0.42 | | | | 0.25 | |
Net gain (loss) on investments (realized and unrealized)7 | | | (1.83 | ) | | | 0.25 | | | | (0.62 | ) |
Total from investment operations | | | (1.66 | ) | | | 0.67 | | | | (0.37 | ) |
Less Distributions: | | | | | | | | | | | | |
Distributions from net investment income | | | (0.14 | ) | | | (0.40 | ) | | | (0.21 | ) |
Tax return of capital to shareholders | | | — | | | | — | | | | — | |
Distributions from net realized gain | | | — | | | | — | | | | — | |
Total Distributions | | | (0.14 | ) | | | (0.40 | ) | | | (0.21 | ) |
Net asset value, end of period/year | | $ | 22.89 | | | $ | 24.69 | | | $ | 24.42 | |
Market price, end of period/year | | $ | 22.89 | | | $ | 24.70 | | | $ | 24.47 | |
Net Assets Total Return8 | | | -6.74 | %4 | | | 2.69 | % | | | -1.44 | %4 |
| | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | |
Net assets, end of period/year (000’s) | | $ | 42,341 | | | $ | 19,749 | | | $ | 18,317 | |
Ratios to Average Net Assets: | | | | | | | | | | | | |
Expenses before fees (waived)/recouped | | | 1.29 | %5 | | | 1.19 | % | | | 1.92 | %5 |
Expenses after fees (waived)/recouped | | | 1.25 | %5 | | | 1.25 | % | | | 1.25 | %5 |
Net investment income (loss) to average net assets | | | 1.40 | %5 | | | 1.65 | % | | | 1.08 | %5 |
Portfolio turnover rate6 | | | 499 | %4 | | | 700 | % | | | 683 | %4 |
| | | | | | | | | | | | |
| | WBI Power Factor™ High Dividend ETF | |
| | Six-Months Ended | | | | | | | | | |
| | December 31, 2018 | | | Year Ended | | | Period Ended | |
| | (Unaudited) | | | June 30, 2018 | | | June 30, 20172 | |
Net Asset Value, Beginning of Period/Year | | $ | 26.87 | | | $ | 24.22 | | | $ | 25.00 | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | |
Net investment income (loss)3 | | | 0.58 | | | | 1.21 | | | | 0.53 | |
Net gain (loss) on investments (realized and unrealized)7 | | | (4.42 | ) | | | 3.19 | | | | (0.94 | ) |
Total from investment operations | | | (3.84 | ) | | | 4.40 | | | | (0.41 | ) |
Less Distributions: | | | | | | | | | | | | |
Distributions from net investment income | | | (0.57 | ) | | | (1.15 | ) | | | (0.37 | ) |
Tax return of capital to shareholders | | | — | | | | — | | | | — | |
Distributions from net realized gain | | | (0.22 | ) | | | (0.60 | ) | | | — | |
Total Distributions | | | (0.79 | ) | | | (1.75 | ) | | | (0.37 | ) |
Net asset value, end of period/year | | $ | 22.24 | | | $ | 26.87 | | | $ | 24.22 | |
Market price, end of period/year | | $ | 22.15 | | | $ | 26.87 | | | $ | 24.34 | |
Net Assets Total Return8 | | | -14.38 | %4 | | | 18.51 | % | | | -1.64 | %4 |
| | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | |
Net assets, end of period/year (000’s) | | $ | 84,517 | | | $ | 52,402 | | | $ | 33,903 | |
Ratios to Average Net Assets: | | | | | | | | | | | | |
Expenses before fees (waived)/recouped | | | 0.70 | %5 | | | 0.85 | % | | | 1.37 | %5 |
Expenses after fees (waived)/recouped | | | 0.70 | %5 | | | 0.70 | % | | | 0.70 | %5 |
Net investment income (loss) to average net assets | | | 4.44 | %5 | | | 4.73 | % | | | 3.81 | %5 |
Portfolio turnover rate6 | | | 86 | %4 | | | 171 | % | | | 78 | %4 |
1 | Fund commenced operations on July 25, 2016. The information presented is for the period from July 25, 2016 to June 30, 2017. |
2 | Fund commenced operations on December 19, 2016. The information presented is for the period from December 19, 2016 to June 30, 2017. |
3 | Calculated based on average shares outstanding during the period. |
4 | Not annualized. |
5 | Annualized. |
6 | Excludes securities received or delivered as a result of processing capital share transactions in creation units. |
7 | The amount for a share outstanding throughout the period may not be in accordance with the aggregate net realized and unrealized gain (loss) on investments for the period because of the timing of capital share transactions in relation to fluctuating market values of the Fund’s underlying securities. |
8 | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and the redemption on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
The accompanying notes are an integral part of these financial statements.
Absolute Shares Trust
Notes to Financial Statements
December 31, 2018 (Unaudited)
NOTE 1 — ORGANIZATION
Absolute Shares Trust (the “Trust”) was organized as a Delaware statutory trust on November 7, 2013 and is authorized to have multiple segregated series or portfolios. The Trust is an open-end management investment company registered under the Investment Company Act of 1940 (the “1940 Act”). The Trust currently consists of the following twelve separate investment portfolios (each, a “Fund” or, individually and, together, the “Funds”):
WBI BullBear Rising Income 2000 ETF
WBI BullBear Value 2000 ETF
WBI BullBear Yield 2000 ETF
WBI BullBear Quality 2000 ETF
WBI BullBear Rising Income 1000 ETF
WBI BullBear Value 1000 ETF
WBI BullBear Yield 1000 ETF
WBI BullBear Quality 1000 ETF
WBI BullBear Global Income ETF
WBI BullBear Global High Income ETF
WBI BullBear Global Rotation ETF
WBI Power Factor™ High Dividend ETF
Each Fund is classified as a diversified portfolio except WBI BullBear Global Rotation ETF, which is non-diversified.
The Funds’ investment advisor, Millington Securities, Inc. (“Advisor” or “Affiliated Broker Dealer”), has selected its affiliate, WBI Investments, Inc. (“Sub-Advisor”), to act as Sub-Advisor. Both the Advisor and Sub-Advisor are registered as investment advisors with the Securities and Exchange Commission (“SEC”). The Advisor is also registered as a broker-dealer with the SEC and is a member of the Financial Industry Regulatory Authority. The Board of Trustees (the “Board” and each member a “Trustee”) supervises the conduct of the Funds.
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Funds. The financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and are stated in U.S. dollars. The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance for the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The preparation of the financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amount of assets, liabilities and the disclosure of contingent assets and liabilities at December 31, 2018. Actual results could differ from these estimates.
A. Valuation. All equity securities, including domestic common stocks, preferred stocks, exchange traded funds and exchange traded notes, that are traded on a national securities exchange, except those listed on the Nasdaq Global Market, Nasdaq Select Market and Nasdaq Capital Market (collectively “Nasdaq”) are valued at the last reported sale price on the exchange on which the security is principally traded. Securities traded on Nasdaq are valued at the Nasdaq Official Closing Price (“NOCP”). If, on a particular day, an exchange-traded or Nasdaq security does not trade, then the mean between the most recent quoted bid and asked prices is used. All equity securities that are not traded on a listed exchange are valued at the last sale price in the over-the-counter market. If a non-exchange traded security does not trade on a particular day, then the mean between the last quoted closing bid and asked price is used.
Debt securities are valued in accordance with prices supplied by an approved pricing service. Pricing services may use various valuation methodologies such as the mean between the bid and asked prices, matrix pricing and other analytical pricing models as well as market transactions and dealer quotations.
Exchange traded options are valued at the composite mean price, which calculates the mean of the highest bid price and lowest ask price across the exchanges where the option is principally traded. On the last trading day prior to expiration, expiring options will be priced at intrinsic value. The Trust’s valuation committee may also use other valuation methods in certain instances.
Investments in mutual funds, including money market funds, are valued at their net asset value (“NAV”) per share.
Shares in privately offered liquidity funds are valued at their NAV per share.
Short-term securities that have maturities of less than 60 days at the time of purchase are valued at amortized cost, which, when combined with accrued interest, approximates fair value.
Absolute Shares Trust
Notes to Financial Statements (continued)
December 31, 2018 (Unaudited)
Securities for which quotations are not readily available are valued by the Trust’s valuation committee based on the valuation procedures adopted by the Board (the “Valuation Procedures”) and information it receives from the Sub-Advisor and U.S. Bancorp Fund Services, LLC (“Fund Services”). When a security is “fair valued”, consideration is given to the facts and circumstances relevant to the particular situation, including a review of various factors set forth in the Valuation Procedures. The use of fair value pricing by the Funds may cause the NAV of their shares to differ significantly from the NAV that would be calculated without regard to such considerations.
As described above, the Funds utilize various methods to measure the fair value of their investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuations methods. The three levels of inputs are:
Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.
Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; including the Funds’ Valuation Committee’s assumptions used in determining the fair value of investments. The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2018:
WBI BullBear Rising Income 2000 ETF | | | | | | | | | | | | |
Assets^ | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | $ | 917,021 | | | $ | — | | | $ | — | | | $ | 917,021 | |
Short-Term Investments | | | — | | | | 36,160,746 | | | | — | | | | 36,160,746 | |
Total Investments in Securities, at value | | $ | 917,021 | | | $ | 36,160,746 | | | $ | — | | | $ | 37,077,767 | |
| | | | | | | | | | | | | | | | |
WBI BullBear Value 2000 ETF | | | | | | | | | | | | | | | | |
Assets^ | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | $ | 5,351,152 | | | $ | — | | | $ | — | | | $ | 5,351,152 | |
Short-Term Investments | | | — | | | | 29,486,221 | | | | — | | | | 29,486,221 | |
Total Investments in Securities, at value | | $ | 5,351,152 | | | $ | 29,486,221 | | | $ | — | | | $ | 34,837,373 | |
| | | | | | | | | | | | | | | | |
WBI BullBear Yield 2000 ETF | | | | | | | | | | | | | | | | |
Assets^ | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Short-Term Investments | | $ | — | | | $ | 56,863,843 | | | $ | — | | | $ | 56,863,843 | |
Total Investments in Securities, at value | | $ | — | | | $ | 56,863,843 | | | $ | — | | | $ | 56,863,843 | |
| | | | | | | | | | | | | | | | |
WBI BullBear Quality 2000 ETF | | | | | | | | | | | | | | | | |
Assets^ | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | $ | 2,185,327 | | | $ | — | | | $ | — | | | $ | 2,185,327 | |
Short-Term Investments | | | — | | | | 32,178,186 | | | | — | | | | 32,178,186 | |
Total Investments in Securities, at value | | $ | 2,185,327 | | | $ | 32,178,186 | | | $ | — | | | $ | 34,363,513 | |
| | | | | | | | | | | | | | | | |
WBI BullBear Rising Income 1000 ETF | | | | | | | | | | | | | | | | |
Assets^ | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | $ | 3,663,538 | | | $ | — | | | $ | — | | | $ | 3,663,538 | |
Short-Term Investments | | | — | | | | 41,928,754 | | | | — | | | | 41,928,754 | |
Total Investments in Securities, at value | | $ | 3,663,538 | | | $ | 41,928,754 | | | $ | — | | | $ | 45,592,292 | |
| | | | | | | | | | | | | | | | |
WBI BullBear Value 1000 ETF | | | | | | | | | | | | | | | | |
Assets^ | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Short-Term Investments | | $ | — | | | $ | 37,007,212 | | | $ | — | | | $ | 37,007,212 | |
Total Investments in Securities, at value | | $ | — | | | $ | 37,007,212 | | | $ | — | | | $ | 37,007,212 | |
Absolute Shares Trust
Notes to Financial Statements (continued)
December 31, 2018 (Unaudited)
WBI BullBear Yield 1000 ETF | | | | | | | | | | | | |
Assets^ | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Short-Term Investments | | $ | — | | | $ | 65,761,966 | | | $ | — | | | $ | 67,761,966 | |
Total Investments in Securities, at value | | $ | — | | | $ | 65,761,966 | | | $ | — | | | $ | 67,761,966 | |
| | | | | | | | | | | | | | | | |
WBI BullBear Quality 1000 ETF | | | | | | | | | | | | | | | | |
Assets^ | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Short-Term Investments | | $ | — | | | $ | 34,529,325 | | | $ | — | | | $ | 34,529,325 | |
Total Investments in Securities, at value | | $ | — | | | $ | 34,529,325 | | | $ | — | | | $ | 34,529,325 | |
| | | | | | | | | | | | | | | | |
WBI BullBear Global Income ETF | | | | | | | | | | | | | | | | |
Assets^ | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Exchange Traded Funds | | $ | 109,004,221 | | | $ | — | | | $ | — | | | $ | 109,004,221 | |
Short-Term Investments | | | — | | | | 980,711 | | | | — | | | | 980,711 | |
Investments Purchased With Proceeds From Securities Lending | | | — | | | | 14,081,234 | | | | — | | | | 14,081,234 | |
Total Investments in Securities, at value | | $ | 109,004,221 | | | $ | 15,061,945 | | | $ | — | | | $ | 124,066,166 | |
| | | | | | | | | | | | | | | | |
WBI BullBear Global High Income ETF | | | | | | | | | | | | | | | | |
Assets^ | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Exchange Traded Funds | | $ | 106,224,745 | | | $ | — | | | $ | — | | | $ | 106,224,745 | |
Short-Term Investments | | | — | | | | 95,840,148 | | | | — | | | | 95,840,148 | |
Investments Purchased With Proceeds From Securities Lending | | | — | | | | 35,622,588 | | | | — | | | | 35,622,588 | |
Total Investments in Securities, at value | | $ | 106,224,745 | | | $ | 131,462,736 | | | $ | — | | | $ | 237,687,481 | |
| | | | | | | | | | | | | | | | |
WBI BullBear Global Rotation ETF | | | | | | | | | | | | | | | | |
Assets^ | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Exchange Traded Funds | | $ | 17,879,849 | | | $ | — | | | $ | — | | | $ | 17,879,849 | |
Short-Term Investments | | | — | | | | 24,706,935 | | | | — | | | | 24,706,935 | |
Investments Purchased With Proceeds From Securities Lending | | | — | | | | 10,031,140 | | | | — | | | | 10,031,140 | |
Total Investments in Securities, at value | | $ | 17,879,849 | | | $ | 34,738,075 | | | $ | — | | | $ | 52,617,924 | |
| | | | | | | | | | | | | | | | |
WBI Power Factor™ High Dividend ETF | | | | | | | | | | | | | | | | |
Assets^ | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | $ | 84,015,394 | | | $ | — | | | $ | — | | | $ | 84,015,394 | |
Short-Term Investments | | | — | | | | 2,676,352 | | | | — | | | | 2,676,352 | |
Investments Purchased With Proceeds From Securities Lending | | | — | | | | 7,805,941 | | | | — | | | | 7,805,941 | |
Total Investments in Securities, at value | | $ | 84,015,394 | | | $ | 10,482,293 | | | $ | — | | | $ | 94,497,687 | |
^ See Schedules of Investments for breakout of investments by industry group classification.
Transfers between levels are recognized at the end of the reporting period. During the period ended December 31, 2018, the Funds recognized no transfers to or from Level 3.
B. Certain Risks. Some risks apply to all Funds, while others are specific to the investment strategy of certain Funds. Each Fund may be subject to other risks in addition to these identified risks. This section discusses certain common principal risks encountered by the Funds. The shares of the Funds are referred to herein as “Fund Shares” or “Shares”.
ETF and Other Investment Companies Risk — When a Fund invests in another ETF or other investment company (e.g., mutual fund, closed-end fund, business development company), it will bear additional expenses based on its pro rata share of such investment company’s operating expenses, including the potential duplication of management fees. The risk of owning an ETF or other investment company generally reflects the risks of owning the underlying securities and other assets held by the ETF or other investment company. A Fund also will incur brokerage costs when it purchases ETFs and other exchange-listed investment companies. Additionally, a Fund will be indirectly exposed to the risks of the portfolio assets held by an ETF or other investment company, including but not limited to those of ETNs, equity options, derivatives, currencies, index, leverage, and replication management.
Market Risk — Either the stock market as a whole or the value of a Fund asset or an investment held by an exchange-traded product (“ETP”) in which a Fund invests may go down, resulting in a decrease in the NAV of the Fund or its Shares or a decrease in the market price of the Shares.
Equity Securities Risk — Common stocks are susceptible to general stock market fluctuations and to volatile increases and decreases in value as market confidence in and perceptions of their issuers change. If a Fund or an ETP holds common stock equivalents of any given issuer, the Fund or ETP will generally be exposed to greater risk than if the Fund or ETP held preferred stocks and debt obligations of such issuer.
Absolute Shares Trust
Notes to Financial Statements (continued)
December 31, 2018 (Unaudited)
Foreign and Emerging Market Securities Risk — Foreign investments may carry risks associated with investing outside the United States, such as currency fluctuation, economic or financial instability, lack of timely or reliable financial information, or unfavorable political or legal developments. Foreign securities can be more volatile than domestic (U.S.) securities. Securities markets of other countries are generally smaller than U.S. securities markets. Many foreign securities may also be less liquid than U.S. securities, which could affect the Funds’ investments. Investments in emerging markets may have more risk because the markets are less developed and less liquid as well as being subject to increased economic, political, regulatory, or other uncertainties. Also, as foreign and emerging markets decline, investors tend to exit these markets in unison.
Fluctuation of Net Asset Value — The NAV of the Shares will fluctuate with changes in market value of the Funds’ holdings.
Shares are Not Individually Redeemable — Shares are only redeemable by the Funds at NAV if they are tendered in large blocks known as “Creation Units” which are expected to be worth in excess of $1 million each. Only Authorized Participants (“APs”) may engage in such creation and redemption transactions directly with the Funds. Individual Shares may be sold on a stock exchange at their current market prices, which may be less, more, or equal to their NAV. There can be no assurance that an active trading market will be maintained for the Shares.
C. Federal Income Taxes. The Funds’ policy is to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and to distribute substantially all of their net investment income and net capital gains to shareholders. Therefore, no federal income tax provision is required. The Funds plan to file U.S. Federal and various state and local tax returns.
Each Fund recognizes the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained. Management has analyzed each Fund’s uncertain tax positions and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions. Management is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next 12 months. Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These timing differences are primarily due to differing book and tax treatments for in-kind transactions, losses deferred due to wash sales, and passive foreign investment company adjustments, if any.
D. Security Transactions and Investment Income. Investment securities transactions are accounted for on the trade date. Gains and losses realized on sales of securities are determined on a specific identification basis. Dividend income is recorded on the ex-dividend date, net of any foreign taxes withheld at source. Interest income is recorded on an accrual basis. Withholding taxes on foreign dividends have been provided for in accordance with the Funds’ understanding of the applicable tax rules and regulations. Premiums and discounts are amortized/accreted using the effective interest method over the lives of the respective debt instruments.
E. Distributions to Shareholders. Distributions to shareholders from net investment income are declared and paid by WBI BullBear Rising Income 2000 ETF, WBI BullBear Value 2000 ETF, WBI BullBear Quality 2000 ETF, WBI BullBear Rising Income 1000 ETF, WBI BullBear Value 1000 ETF, WBI BullBear Quality 1000 ETF, WBI Global Rotation ETF and WBI Power Factor™ High Dividend ETF on a quarterly basis. Distributions to shareholders from net investment income are declared and paid by WBI BullBear Yield 2000 ETF, WBI BullBear Yield 1000 ETF, WBI BullBear Global Income ETF and WBI BullBear Global High Income ETF on a monthly basis. Distributions from net realized gains on securities are normally declared and paid by all Funds on an annual basis. Distributions are recorded on the ex-dividend date.
F. Derivative Transactions. The Funds have adopted the financial accounting reporting rules as required by the Derivatives and Hedging Topic of the FASB Accounting Standards Codification. The Funds are required to include enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position.
The Funds may utilize options for economic hedging purposes as well as direct investment. Some options strategies, including buying puts, tend to economically hedge the Funds’ investments against price fluctuations. Other strategies, such as writing puts and calls and buying calls, tend to increase market exposure. Options contracts may be combined with each other in order to adjust the risk and return characteristics of each Fund’s overall strategy in a manner deemed appropriate to the Advisor and consistent with each Fund’s investment objective and policies. When a Fund writes an option, an amount equal to the premium received by the Fund is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked to market to reflect the current market value of the option written. When a security is purchased or sold through an exercise of an option, the related premium paid (or received) is added (or deducted from) the basis of the security acquired or deducted from (or added to) the proceeds of the security sold. When an option expires, the Fund realizes a gain or loss on the option to the extent of the premiums received or paid.
When a Fund enters into a closing transaction, the Fund realizes a gain or loss to the extent the cost of the closing transactions exceeds the premiums paid or received. Written uncovered call options subject the Funds to unlimited risk of loss. Written covered call options
Absolute Shares Trust
Notes to Financial Statements (continued)
December 31, 2018 (Unaudited)
limit the upside potential of a security above the strike price. Put options written subject the Funds to risk of loss if the value of the security declines below the exercise price minus the put premium.
With exchange-traded options, there is minimal counterparty credit risk to the Funds since the options are covered or secured, which means that the Funds will own the underlying security or, to the extent they do not hold the security, will maintain liquid assets consisting of cash, short-term securities, or equity or debt securities equal to the market value of the security underlying the option, marked-to-market daily.
Options purchased are recorded as investments and marked-to-market daily to reflect the current fair value of the option contract. If an option purchased expires, a loss is realized in the amount of the cost of the option contract. If a closing transaction is entered into, a gain or loss is realized to the extent that the proceeds from the sale are greater or less than the cost of the option. If a purchase put option is exercised, a gain or loss is realized from the sale of the underlying security by adjusting the proceeds from such sale by the amount of the premium originally paid. If a purchased call option is exercised, the cost of the security purchased upon exercise is increased by the premium originally paid. If a purchased call option is exercised, the cost of the security purchased upon exercise is increased by the premium originally paid. During the period ended December 31, 2018 the Funds did not make any derivative transactions.
G. Share Valuation. The NAV per share of each Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash and other assets, minus all liabilities (including estimated accrued expenses) by the total number of shares outstanding for the Fund, rounded to the nearest cent. The Funds’ shares will not be priced on the days on which the NYSE ARCA, Inc., the exchange where the Funds’ shares are listed, is closed for trading. The offering and redemption price per share for each Fund is equal to the Fund’s NAV per share.
H. Guarantees and Indemnifications. The Funds’ officers and trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the Funds. Additionally, in the normal course of business the Funds enter into contracts with service providers that contain general indemnification clauses. Each Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be against the Fund that have not yet occurred.
I. Subsequent Events. In preparing these financial statements, the Advisor has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were available to be issued. There were no events or transactions that occurred during the period subsequent to December 31, 2018, that materially impacted the amounts or disclosures in the Funds’ financial statements.
J. New Accounting Pronouncements and Other Matters. In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management has evaluated ASU 2018-13 and has adopted the disclosure framework.
NOTE 3 — MANAGEMENT FEE
Pursuant to an investment advisory agreement (“Advisory Agreement”) between the Trust, on behalf of the Funds, and the Advisor, the Advisor serves as the investment advisor, makes investment decisions for each Fund, and manages the investment portfolios of the Funds, subject to the supervision of and policies of the Board. Under the Advisory Agreement, the Advisor may retain an investment sub-advisor for the Funds, subject to approval by the Board and Fund shareholders. Under a sub-advisory agreement, (“Sub-Advisory Agreement”) the Sub-Advisor serves as the investment sub-advisor and is responsible for the day to day management of the Funds, subject to the supervision of the Advisor and the Board. For the services the Sub-Advisor provides to each Fund, the Sub-Advisor receives a fee that is equal to 0.85% per year of the average daily net assets of each Fund except WBI Power Factor™ High Dividend ETF, which pays a fee that is equal to 0.55% per year, calculated daily and paid monthly. The Advisor is paid 0.04% of each Fund’s average daily net assets (calculated daily and paid monthly) from the management fees collected by the Sub-Advisor.
NOTE 4 — PORTFOLIO TRANSACTIONS AND BROKERAGE
Pursuant to the Sub-Advisory Agreement, the Sub-Advisor determines which securities are to be purchased and sold by the Funds and which broker- dealers are eligible to execute the Funds’ portfolio transactions. The Sub-Advisor typically determines to execute portfolio transactions through the Advisor in its capacity as a registered broker-dealer. For the six-months ended December 31, 2018, the Funds paid the Affiliated Broker Dealer, $0 for brokerage commissions. However, the Affiliated Broker Dealer did receive indirect compensation in the form of payment for order flow (“PFOF”). PFOF is compensation that the Affiliated Broker Dealer receives for providing liquidity to certain market destinations related to the Sub-Advisor’s customer orders routed to these market destinations.
Absolute Shares Trust
Notes to Financial Statements (continued)
December 31, 2018 (Unaudited)
NOTE 5 — EXPENSE LIMITATION AND REIMBURSEMENT
The Sub-Advisor has entered into an Expense Limitation Agreement (an “Agreement”) with the Trust to waive the fees and reimburse expenses of each Fund until at least October 31, 2019 (the “Expiration Date”) so that the total operating expenses (exclusive of interest, taxes, brokerage commissions, acquired fund fees, dividend payments on short sales, other expenditures which are capitalized in accordance with U.S. GAAP, other extraordinary expenses not incurred in the ordinary course of the Fund’s business, and amounts, if any, payable pursuant to a plan adopted in accordance with Rule 12b-1 under the Investment Company Act of 1940) and organizational costs (the “Operating Expenses”) of WBI Power Factor™ High Dividend ETF is limited to 0.70% and each of the remaining Funds is limited to 1.25% of average net assets (the “Expense Cap”). The Sub-Advisor may discontinue its obligations under the Agreements at any time in its sole discretion after the Expiration Date. The Funds have agreed to repay the amounts borne by the Sub-Advisor under the Agreements within the three year period after the Sub-Advisor bears the expense, when and if requested by the Sub-Advisor, to the extent the Operating Expenses of the Funds are less than the lower of the Expense Cap and any expense limitation agreement then in effect with respect to the Operating Expenses. The repayment may not raise the level of Operating Expenses of the Funds in the month of repayment to exceed the Expense Cap.
The following table shows the remaining waived and/or reimbursed expenses subject to potential recovery as of December 31, 2018. The Sub-Advisor may recapture a portion of the unreimbursed amounts no later than the dates stated:
| Expiration |
| June 30, 2020 | June 30, 2021 | December 31, 2021 |
WBI BullBear Global Rotation ETF | $48,389 | $33,290 | $13,234 |
WBI Power Factor™ High Dividend ETF | 62,121 | 71,269 | 10,446 |
| | | |
During the six-months ended December 31, 2018, the Sub-Advisor recouped the amounts shown from the following Funds: |
| | | |
| Amount | | |
WBI BullBear Global Rotation ETF | $5,545 | | |
WBI Power Factor™ High Dividend ETF | 8,718 | | |
The Funds must pay their current ordinary operating expense before the Sub-Advisor is entitled to any reimbursement of fees and/or expenses. Any such reimbursement is also contingent upon the Board of Trustees’ review and approval.
NOTE 6 — COMPLIANCE AND ADMINISTRATION SERVICING AGREEMENTS
The Trust has entered into an agreement with Foreside Compliance Services, LLC (“Foreside”), whereby Foreside agrees to provide a Chief Compliance Officer (“CCO”), as described in Rule 38a-1 of the 1940 Act.
U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (the “Administrator”) serves as the independent administrator and U.S. Bank National Association (the “Custodian”) serves as the custodian to the Funds. Under the Fund Administration Servicing, Fund Accounting Servicing, and Transfer Agent Servicing Agreements, the Administrator is responsible for keeping financial books and records of the Funds and generally managing the administrative affairs and transfer agency services.
NOTE 7 — SECURITIES LENDING
The Funds may lend up to 331⁄3% of the value of the securities in their portfolios to brokers, dealers and financial institutions (but not individuals) under terms of participation in a securities lending program administered by U.S Bank N.A (“the Custodian” and “Securities Lending Agent”). The securities lending agreement requires that loans are collateralized at all times in an amount equal to at least 102% of the value of any loaned securities at the time of the loan, plus accrued interest, except in the case of loans of foreign securities which are denominated and payable in U.S. dollars and shall be collateralized in the amount equal to 105% of the value of any loaned securities at the time of the loan plus accrued interest. The Funds receive compensation in the form of fees and earn interest on the cash collateral. The amount of fees depends on a number of factors including the type of security and length of the loan. The Funds continue to receive interest payments or dividends on the securities loaned during the borrowing period. Gain or loss in the fair value of securities loaned that may occur during the term of the loan will be for the account of the Funds. The Funds have the right under the terms of the securities lending agreement to recall the securities from the borrower on demand. As December 31, 2018, Funds had loaned securities that were collateralized by cash equivalents. The cash collateral is invested by the Custodian in accordance with approved investment guidelines. Those guidelines require the cash collateral to be invested in readily marketable, high quality, short-term obligations; however, such investments are subject to risk of payment delays or default on the part of the issuer or counterparty or otherwise may not generate sufficient interest to support the costs associated with securities lending. The Funds could also experience delays in recovering its securities and possible loss of income or value if the borrower fails to return the borrowed securities, although the Fund is indemnified from this risk by contract with the Securities Lending Agent.
Absolute Shares Trust
Notes to Financial Statements (continued)
December 31, 2018 (Unaudited)
As of December 31, 2018, the value of the securities on loan and payable for collateral due to broker were as follows:
Fund | Value of Securities on Loan | Collateral Received* |
WBI BullBear Rising Income 2000 ETF | $ — | $ — |
WBI BullBear Value 2000 ETF | — | — |
WBI BullBear Yield 2000 ETF | — | — |
WBI BullBear Quality 2000 ETF | — | — |
WBI BullBear Rising Income 1000 ETF | — | — |
WBI BullBear Value 1000 ETF | — | — |
WBI BullBear Yield 1000 ETF | — | — |
WBI BullBear Quality 1000 ETF | — | — |
WBI BullBear Global Income ETF | 13,859,223 | 14,081,234 |
WBI BullBear Global High Income ETF | 35,151,141 | 35,622,588 |
WBI BullBear Global Rotation ETF | 9,818,317 | 10,031,140 |
WBI Power Factor™ High Dividend ETF | 7,707,974 | 7,805,941 |
________
* | The cash collateral received was invested in the Mount Vernon Liquid Assets Portfolio as shown on the Schedule of Investments, a short-term investment portfolio with an overnight and continuous maturity. |
Fees and interest income earned on collateral investments and recognized by the Funds during the period ended December 31, 2018, was as follows:
Fees and Interest Income Earned | | |
| | |
Fund | Fees and Interest Income Earned | |
WBI BullBear Rising Income 2000 ETF | $ 3,791 | |
WBI BullBear Value 2000 ETF | 3,869 | |
WBI BullBear Yield 2000 ETF | 8,319 | |
WBI BullBear Quality 2000 ETF | 10,249 | |
WBI BullBear Rising Income 1000 ETF | 5,789 | |
WBI BullBear Value 1000 ETF | 4,782 | |
WBI BullBear Yield 1000 ETF | 6,750 | |
WBI BullBear Quality 1000 ETF | 4,198 | |
WBI BullBear Global Income ETF | 148,691 | |
WBI BullBear Global High Income ETF | 308,917 | |
WBI BullBear Global Rotation ETF | 34,667 | |
WBI Power Factor™ High Dividend ETF | 15,442 | |
Offsetting Assets and Liabilities. The Funds are subject to various netting arrangements, which govern the terms of certain transactions with counterparties. The arrangements allow the Funds to close out and net their total exposure to counterparty in the event of a default with respect to all transactions governed under a single agreement with a counterparty. The following is a summary of the arrangements subject to offsetting as of December 31, 2018.
| | | | | | Gross Amounts | | | Net Amounts | | | | | | | |
| | | Gross Amounts | | | Offset in the | | | Presented in the | | | | | | | |
| | | of Recognized | | | Statement of | | | Statement of | | | Collateral | | | Net | |
Fund | Description | | Liabilities | | | Assets & Liabilities | | | Assets & Liabilities | | | Received | | | Amount | |
WBI BullBear Rising Income 2000 ETF | Securities Lending | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
WBI BullBear Value 2000 ETF | Securities Lending | | | — | | | | — | | | | — | | | | — | | | | — | |
WBI BullBear Yield 2000 ETF | Securities Lending | | | — | | | | — | | | | — | | | | — | | | | — | |
WBI BullBear Quality 2000 ETF | Securities Lending | | | — | | | | — | | | | — | | | | — | | | | — | |
WBI BullBear Rising Income 1000 ETF | Securities Lending | | | — | | | | — | | | | — | | | | — | | | | — | |
WBI BullBear Value 1000 ETF | Securities Lending | | | — | | | | — | | | | — | | | | — | | | | — | |
WBI BullBear Yield 1000 ETF | Securities Lending | | | — | | | | — | | | | — | | | | — | | | | — | |
WBI BullBear Quality 1000 ETF | Securities Lending | | | — | | | | — | | | | — | | | | — | | | | — | |
WBI BullBear Global Income ETF | Securities Lending | | | 14,081,234 | | | | — | | | | 14,081,234 | | | | 14,081,234 | | | | — | |
WBI BullBear Global High Income ETF | Securities Lending | | | 35,622,588 | | | | — | | | | 35,622,588 | | | | 35,622,588 | | | | — | |
WBI BullBear Global Rotation ETF | Securities Lending | | | 10,031,140 | | | | — | | | | 10,031,140 | | | | 10,031,140 | | | | — | |
WBI Power Factor™ High Dividend ETF | Securities Lending | | | 7,805,941 | | | | — | | | | 7,805,941 | | | | 7,805,941 | | | | — | |
Absolute Shares Trust
Notes to Financial Statements (continued)
December 31, 2018 (Unaudited)
NOTE 8 — TAX INFORMATION
The tax character of distributions declared by the Funds during the six-months ended December 31, 2018 and year ended June 30, 2018 was as follows:
| | For Six-Months Ended | | | Year/Period Ended | |
| | December 31, 2018 | | | June 30, 2018 | |
| | Ordinary | | | Long Term | | | Return of | | | Ordinary | | | Long Tern | | | Return of | |
Fund | | Income | | | Capital Gain | | | Capital | | | Income | | | Capital Gain | | | Capital | |
WBI BullBear Rising Income 2000 ETF | | $ | 242,003 | | | $ | — | | | $ | — | | | $ | 249,127 | | | $ | — | | | $ | — | |
WBI BullBear Value 2000 ETF | | | 275,317 | | | | — | | | | — | | | | 218,969 | | | | — | | | | — | |
WBI BullBear Yield 2000 ETF | | | 635,086 | | | | — | | | | — | | | | 401,663 | | | | — | | | | — | |
WBI BullBear Quality 2000 ETF | | | 222,608 | | | | — | | | | — | | | | 317,572 | | | | — | | | | — | |
WBI BullBear Rising Income 1000 ETF | | | 299,763 | | | | — | | | | — | | | | 337,373 | | | | — | | | | — | |
WBI BullBear Value 1000 ETF | | | 222,709 | | | | — | | | | — | | | | 484,790 | | | | — | | | | — | |
WBI BullBear Yield 1000 ETF | | | 591,367 | | | | — | | | | — | | | | 826,348 | | | | — | | | | — | |
WBI BullBear Quality 1000 ETF | | | 133,468 | | | | — | | | | — | | | | 464,405 | | | | — | | | | — | |
WBI BullBear Global Income ETF | | | 1,921,823 | | | | — | | | | — | | | | 3,955,836 | | | | — | | | | — | |
WBI BullBear Global High Income ETF | | | 4,411,918 | | | | — | | | | — | | | | 8,057,793 | | | | — | | | | — | |
WBI BullBear Global Rotation ETF | | | 250,713 | | | | — | | | | — | | | | 317,818 | | | | — | | | | — | |
WBI Power Factor™ High Factor Dividend ETF | | | 2,860,306 | | | | 254,258 | | | | — | | | | 2,934,185 | | | | — | | | | — | |
The amount and character of tax-basis distributions and composition of net assets are finalized at fiscal year-end; accordingly, tax-basis balances have not been determined for the semi-annual period ended December 31, 2018.
The Funds designated as long-term capital gain dividend, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Funds related to net capital gain to zero.
Each Fund’s cost basis of investments for federal income tax purposes as of December 31, 2018 was as follows+:
| | WBI BullBear | | | | | | | | | | | | WBI BullBear | | | | |
| | Rising Income | | | WBI BullBear | | | WBI BullBear | | | WBI BullBear | | | Rising Income | | | WBI BullBear | |
| | 2000 ETF | | | Value 2000 ETF | | | Yield 2000 ETF | | | Quality 2000 ETF | | | 1000 ETF | | | Value 1000 ETF | |
Cost of investments | | $ | 37,103,080 | | | $ | 34,540,041 | | | $ | 56,863,843 | | | $ | 34,324,290 | | | $ | 45,542,977 | | | $ | 37,007,212 | |
Gross tax unrealized appreciation | | | — | | | | 331,176 | | | | — | | | | 39,223 | | | | 49,315 | | | | — | |
Gross tax unrealized depreciation | | | (25,313 | ) | | | (33,844 | ) | | | — | | | | — | | | | — | | | | — | |
Net unrealized | | | | | | | | | | | | | | | | | | | | | | | | |
appreciation (depreciation) | | $ | (25,313 | ) | | $ | 297,332 | | | $ | — | | | $ | 39,223 | | | $ | 49,315 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | WBI BullBear | | | WBI BullBear | | | WBI BullBear | | | WBI Power | |
| | WBI BullBear | | | WBI BullBear | | | Global | | | Global High | | | Global | | | Factor™ High | |
| | Yield 1000 ETF | | | Quality 1000 ETF | | | Income ETF | | | Income ETF | | | Rotation ETF | | | Dividend ETF | |
Cost of investments | | $ | 65,761,966 | | | $ | 34,529,325 | | | $ | 121,897,055 | | | $ | 233,445,280 | | | $ | 52,708,916 | | | $ | 110,706,513 | |
Gross tax unrealized appreciation | | | — | | | | — | | | | 2,655,999 | | | | 4,595,924 | | | | 9,995 | | | | 348,859 | |
Gross tax unrealized depreciation | | | — | | | | — | | | | (486,888 | ) | | | (353,723 | ) | | | (100,987 | ) | | | (16,557,685 | ) |
Net unrealized | | | | | | | | | | | | | | | | | | | | | | | | |
appreciation (depreciation) | | $ | — | | | $ | — | | | $ | 2,169,111 | | | $ | 4,242,201 | | | $ | (90,992 | ) | | $ | (16,208,826 | ) |
+ | Because tax adjustments are calculated annually at the end of the Funds’ fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous fiscal year’s federal income tax information, refer to the Notes to Financial Statements section in the Funds’ most recent annual report. |
The components of distributable earnings (losses) for federal income tax purposes as of June 30, 2018 were as follows:
| | WBI BullBear | | | | | | | | | | | | WBI BullBear | | | | |
| | Rising Income | | | WBI BullBear | | | WBI BullBear | | | WBI BullBear | | | Rising Income | | | WBI BullBear | |
| | 2000 ETF | | | Value 2000 ETF | | | Yield 2000 ETF | | | Quality 2000 ETF | | | 1000 ETF | | | Value 1000 ETF | |
Net tax unrealized | | | | | | | | | | | | | | | | | | |
appreciation (depreciation) | | $ | 397,049 | | | $ | 765,338 | | | $ | 1,026,326 | | | $ | 544,796 | | | $ | 2,418,780 | | | $ | 1,739,543 | |
Undistributed ordinary income | | | 11,315 | | | | 16,328 | | | | 32,110 | | | | 19,316 | | | | 7,511 | | | | 7,046 | |
Undistributed long term gain (loss) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total distributable earnings | | | 11,315 | | | | 16,328 | | | | 32,110 | | | | 19,316 | | | | 7,511 | | | | 7,046 | |
Other accumulated gain (loss) | | | (18,736,246 | ) | | | (11,706,521 | ) | | | (23,974,223 | ) | | | (15,412,481 | ) | | | (19,057,343 | ) | | | (3,087,074 | ) |
Total accumulated gain (loss) | | $ | (18,327,882 | ) | | $ | (10,924,855 | ) | | $ | (22,915,787 | ) | | $ | (14,848,369 | ) | | $ | (16,631,052 | ) | | $ | (1,340,485 | ) |
Absolute Shares Trust
Notes to Financial Statements (continued)
December 31, 2018 (Unaudited)
| | | | | | | | WBI BullBear | | | WBI BullBear | | | WBI BullBear | | | WBI Power | |
| | WBI BullBear | | | WBI BullBear | | | Global | | | Global High | | | Global | | | Factor™ High | |
| | Yield 1000 ETF | | | Quality 1000 ETF | | | Income ETF | | | Income ETF | | | Rotation ETF | | | Dividend ETF | |
Net tax unrealized | | | | | | | | | | | | | | | | | | |
appreciation (depreciation) | | $ | 3,028,673 | | | $ | 628,596 | | | $ | (684,948 | ) | | $ | (511,521 | ) | | $ | (160,975 | ) | | $ | 2,948,239 | |
Undistributed ordinary income | | | 9,941 | | | | 8,248 | | | | — | | | | — | | | | 11,666 | | | | 628,548 | |
Undistributed long term gain (loss) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total distributable earnings | | | 9,941 | | | | 8,248 | | | | — | | | | — | | | | 11,666 | | | | 628,548 | |
Other accumulated gain (loss) | | | (14,309,658 | ) | | | (10,730,384 | ) | | | (11,130,917 | ) | | | (16,051,755 | ) | | | (97,708 | ) | | | — | |
Total accumulated gain (loss) | | $ | (11,271,044 | ) | | $ | (10,093,540 | ) | | $ | (11,815,865 | ) | | $ | (16,563,276 | ) | | $ | (247,017 | ) | | $ | 3,576,787 | |
Net capital losses incurred after October 31, 2016, and within the taxable year are deemed to arise on the first business day of each Fund’s next taxable year. As of June 30, 2018, the Funds deferred, on a tax basis, no late year losses.
As of June 30, 2018, the Funds had the following short-term capital loss carryforward available for federal income tax purposes, with an indefinite expiration:
| Short-Term | Long-Term |
WBI BullBear Rising Income 2000 ETF | $18,736,246 | $ — |
WBI BullBear Value 2000 ETF | 11,706,521 | — |
WBI BullBear Yield 2000 ETF | 23,974,223 | — |
WBI BullBear Quality 2000 ETF | 15,412,481 | — |
WBI BullBear Rising Income 1000 ETF | 19,057,343 | — |
WBI BullBear Value 1000 ETF | 3,086,432 | 642 |
WBI BullBear Yield 1000 ETF | 14,309,658 | — |
WBI BullBear Quality 1000 ETF | 10,730,384 | — |
WBI BullBear Global Income ETF | 11,130,917 | — |
WBI BullBear Global High Income ETF | 14,783,887 | 1,267,868 |
WBI BullBear Global Rotation ETF | 97,708 | — |
WBI Power Factor™ High Dividend ETF | — | — |
NOTE 9 — PURCHASES AND SALES OF SECURITIES
During the period ended December 31, 2018, purchases and sales of securities by the Funds, excluding short-term securities and in-kind transactions, were as follows:
| All Other |
Fund | Purchases | Sales |
WBI BullBear Rising Income 2000 ETF | $115,998,113 | $146,824,011 |
WBI BullBear Value 2000 ETF | 103,399,109 | 131,007,170 |
WBI BullBear Yield 2000 ETF | 149,886,172 | 199,111,868 |
WBI BullBear Quality 2000 ETF | 119,490,170 | 142,290,801 |
WBI BullBear Rising Income 1000 ETF | 108,962,564 | 148,042,704 |
WBI BullBear Value 1000 ETF | 86,388,763 | 120,055,635 |
WBI BullBear Yield 1000 ETF | 184,873,352 | 253,317,653 |
WBI BullBear Quality 1000 ETF | 81,104,097 | 115,762,408 |
WBI BullBear Global Income ETF | 210,534,828 | 210,571,716 |
WBI BullBear Global High Income ETF | 659,621,160 | 754,253,708 |
WBI BullBear Global Rotation ETF | 114,270,068 | 131,151,132 |
WBI Power Factor™ High Dividend ETF | 78,937,690 | 79,739,872 |
Absolute Shares Trust
Notes to Financial Statements (continued)
December 31, 2018 (Unaudited)
For the period ended December 31, 2018, the values of the in kind security transactions were as follows:
Fund | Subscriptions | Redemptions |
WBI BullBear Rising Income 2000 ETF | $ — | $ 7,394,556 |
WBI BullBear Value 2000 ETF | 1,205,095 | 6,001,515 |
WBI BullBear Yield 2000 ETF | 19,313,562 | 4,663,544 |
WBI BullBear Quality 2000 ETF | — | 7,452,859 |
WBI BullBear Rising Income 1000 ETF | 2,678,321 | 32,422,593 |
WBI BullBear Value 1000 ETF | — | 25,153,149 |
WBI BullBear Yield 1000 ETF | 5,198,923 | 10,246,415 |
WBI BullBear Quality 1000 ETF | — | 21,711,429 |
WBI BullBear Global Income ETF | 30,988,823 | 18,837,677 |
WBI BullBear Global High Income ETF | 5,923,323 | 57,579,971 |
WBI BullBear Global Rotation ETF | 24,415,057 | 1,761,294 |
WBI Power Factor™ High Dividend ETF | 89,971,125 | 33,217,409 |
During the period ended December 31, 2018, there were no purchases or sales of U.S. Government securities.
NOTE 10 — SHARE TRANSACTIONS
The Funds each currently offer one class of shares, which has no front-end sales load, no deferred sales charge, and no redemption fee. The Funds may issue an unlimited number of shares of beneficial interest, with no par value. All shares of each Fund have equal rights and privileges as the other shares of such Fund.
The Trust has entered into an agreement with NYSE Group, Inc. to list the Funds’ (“Shares”) on NYSE Arca, Inc., an indirect wholly-owned subsidiary of NYSE Group, Inc. Market prices for the Shares may be different from their NAV. The Funds will issue and redeem Shares on a continuous basis at NAV only in large blocks of Shares, typically 50,000 Shares, called “Creation Units.” Creation Units will be issued and redeemed principally in-kind, however, the Trust reserves the right to offer a cash option for creations and redemptions of Shares. Once created, Shares generally will trade in the secondary market at market prices that change throughout the day in amounts less than a Creation Unit. Except when aggregated in Creation Units, Shares are not redeemable securities of a Fund. Shares of a Fund may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a Depository Trust Corporation participant and, in each case, must have executed a participant agreement with Foreside Fund Services, LLC, the Funds’ distributor (the “Distributor”). Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the Shares directly from a Fund. Rather, most retail investors will purchase Shares in the secondary market with the assistance of a broker and will be subject to customary brokerage commissions or fees.
| | WBI BullBear Rising Income 2000 ETF | | | WBI BullBear Value 2000 ETF | |
| | Six-Months Ended | | | Year Ended | | | Six-Months Ended | | | Year Ended | |
| | December 31, 2018 | | | June 30, 2018 | | | December 31, 2018 | | | June 30, 2018 | |
| | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | — | | | $ | — | | | | 750,000 | | | $ | 18,647,555 | | | | 50,000 | | | $ | 1,233,015 | | | | — | | | $ | — | |
Shares Redeemed | | | (450,000 | ) | | | (10,714,060 | ) | | | (300,000 | ) | | | (7,344,460 | ) | | | (350,000 | ) | | | (8,146,200 | ) | | | (1,050,000 | ) | | | (26,469,535 | ) |
| | | (450,000 | ) | | $ | (10,714,060 | ) | | | 450,000 | | | $ | 11,303,095 | | | | (300,000 | ) | | $ | (6,913,185 | ) | | | (1,050,000 | ) | | $ | (26,469,535 | ) |
Beginning Shares | | | 2,200,000 | | | | | | | | 1,750,000 | | | | | | | | 1,850,000 | | | | | | | | 2,900,000 | | | | | |
Ending Shares | | | 1,750,000 | | | | | | | | 2,200,000 | | | | | | | | 1,550,000 | | | | | | | | 1,850,000 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | WBI BullBear Yield 2000 ETF | | | WBI BullBear Quality 2000 ETF | |
| | Six-Months Ended | | | Year Ended | | | Six-Months Ended | | | Year Ended | |
| | December 31, 2018 | | | June 30, 2018 | | | December 31, 2018 | | | June 30, 2018 | |
| | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | | | | | Amount | | | Amount | |
Shares Sold | | | 850,000 | | | $ | 20,271,975 | | | | 150,000 | | | $ | 3,488,160 | | | | — | | | $ | — | | | | 100,000 | | | $ | 2,394,885 | |
Shares Redeemed | | | (350,000 | ) | | | (7,643,890 | ) | | | (750,000 | ) | | | (16,446,385 | ) | | | (400,000 | ) | | | (9,496,750 | ) | | | (1,350,000 | ) | | | (32,513,895 | ) |
| | | 500,000 | | | $ | 12,628,085 | | | | (600,000 | ) | | $ | (12,958,225 | ) | | | (400,000 | ) | | $ | (9,496,750 | ) | | | (1,250,000 | ) | | $ | (30,119,010 | ) |
Beginning Shares | | | 2,350,000 | | | | | | | | 2,950,000 | | | | | | | | 1,950,000 | | | | | | | | 3,200,000 | | | | | |
Ending Shares | | | 2,850,000 | | | | | | | | 2,350,000 | | | | | | | | 1,550,000 | | | | | | | | 1,950,000 | | | | | |
Absolute Shares Trust
Notes to Financial Statements (continued)
December 31, 2018 (Unaudited)
| | WBI BullBear Rising Income 1000 ETF | | | WBI BullBear Value 1000 ETF | |
| | Six-Months Ended | | | Year Ended | | | Six-Months Ended | | | Year Ended | |
| | December 31, 2018 | | | June 30, 2018 | | | December 31, 2018 | | | June 30, 2018 | |
| | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 100,000 | | | $ | 2,805,460 | | | | 1,300,000 | | | $ | 34,677,960 | | | | — | | | $ | — | | | | — | | | $ | — | |
Shares Redeemed | | | (1,250,000 | ) | | | (34,474,120 | ) | | | (450,000 | ) | | | (11,531,985 | ) | | | (950,000 | ) | | | (28,361,200 | ) | | | (700,000 | ) | | | (19,951,920 | ) |
| | | (1,150,000 | ) | | $ | (31,668,660 | ) | | | 850,000 | | | $ | 23,145,975 | | | | (950,000 | ) | | $ | (28,361,200 | ) | | | (700,000 | ) | | $ | (19,951,920 | ) |
Beginning Shares | | | 2,900,000 | | | | | | | | 2,050,000 | | | | | | | | 2,300,000 | | | | | | | | 3,000,000 | | | | | |
Ending Shares | | | 1,750,000 | | | | | | | | 2,900,000 | | | | | | | | 1,350,000 | | | | | | | | 2,300,000 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | WBI BullBear Yield 1000 ETF | | | WBI BullBear Quality 1000 ETF | |
| | Six-Months Ended | | | Year Ended | | | Six-Months Ended | | | Year Ended | |
| | December 31, 2018 | | | June 30, 2018 | | | December 31, 2018 | | | June 30, 2018 | |
| | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 200,000 | | | $ | 5,424,365 | | | | 300,000 | | | $ | 7,832,870 | | | | — | | | $ | — | | | | 650,000 | | | $ | 17,842,840 | |
Shares Redeemed | | | (600,000 | ) | | | (15,504,280 | ) | | | (550,000 | ) | | | (13,868,985 | ) | | | (900,000 | ) | | | (24,798,715 | ) | | | (250,000 | ) | | | (6,607,490 | ) |
| | | (400,000 | ) | | $ | (10,079,915 | ) | | | (250,000 | ) | | $ | (6,036,115 | ) | | | (900,000 | ) | | $ | (24,798,715 | ) | | | 400,000 | | | $ | 11,235,350 | |
Beginning Shares | | | 3,200,000 | | | | | | | | 3,450,000 | | | | | | | | 2,300,000 | | | | | | | | 1,900,000 | | | | | |
Ending Shares | | | 2,800,000 | | | | | | | | 3,200,000 | | | | | | | | 1,400,000 | | | | | | | | 2,300,000 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | WBI BullBear Global Income ETF | | | WBI BullBear Global High Income ETF | |
| | Six-Months Ended | | | Year Ended | | | Six-Months Ended | | | Year Ended | |
| | December 31, 2018 | | | June 30, 2018 | | | December 31, 2018 | | | June 30, 2018 | |
| | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 1,300,000 | | | $ | 31,249,220 | | | | 50,000 | | | $ | 1,206,990 | | | | 250,000 | | | $ | 6,012,100 | | | | 1,650,000 | | | $ | 40,399,690 | |
Shares Redeemed | | | (800,000 | ) | | | (19,110,175 | ) | | | (2,400,000 | ) | | | (58,715,525 | ) | | | (2,550,000 | ) | | | (60,525,125 | ) | | | (1,150,000 | ) | | | (28,167,875 | ) |
| | | 500,000 | | | $ | 12,139,045 | | | | (2,350,000 | ) | | $ | (57,508,535 | ) | | | (2,300,000 | ) | | $ | (54,513,025 | ) | | | 500,000 | | | $ | 12,231,815 | |
Beginning Shares | | | 4,050,000 | | | | | | | | 6,400,000 | | | | | | | | 11,500,000 | | | | | | | | 11,000,000 | | | | | |
Ending Shares | | | 4,550,000 | | | | | | | | 4,050,000 | | | | | | | | 9,200,000 | | | | | | | | 11,500,000 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | WBI BullBear Global Rotation ETF | | | WBI Power Factor™ High Dividend ETF | |
| | Six-Months Ended | | | Year Ended | | | Six-Months Ended | | | Year Ended | |
| | December 31, 2018 | | | June 30, 2018 | | | December 31, 2018 | | | June 30, 2018 | |
| | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 1,150,000 | | | $ | 28,637,875 | | | | 100,000 | | | $ | 2,563,295 | | | | 3,350,000 | | | $ | 91,083,990 | | | | 550,000 | | | $ | 14,237,490 | |
Shares Redeemed | | | (100,000 | ) | | | (2,339,095 | ) | | | (50,000 | ) | | | (1,287,985 | ) | | | (1,500,000 | ) | | | (34,049,320 | ) | | | — | | | | — | |
| | | 1,050,000 | | | $ | 26,298,780 | | | | 50,000 | | | $ | 1,275,310 | | | | 1,850,000 | | | $ | 57,034,670 | | | | 550,000 | | | $ | 14,237,490 | |
Beginning Shares | | | 800,000 | | | | | | | | 750,000 | | | | | | | | 1,950,000 | | | | | | | | 1,400,000 | | | | | |
Ending Shares | | | 1,850,000 | | | | | | | | 800,000 | | | | | | | | 3,800,000 | | | | | | | | 1,950,000 | | | | | |
Absolute Shares Trust
Expense Examples
For the Six-Months Ended December 31, 2018 (Unaudited)
As a shareholder you incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of Fund shares, and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2018 – December 31, 2018).
Actual Expenses
The first line of the table provides information about actual account values based on actual returns and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then, multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table provides information about hypothetical account values based on a hypothetical return and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If these transactional costs were included, your costs would have been higher.
WBI BullBear Rising Income 2000 ETF
| Beginning | Ending | |
| Account Value | Account Value | Expenses Paid |
| July 1, 2018 | December 31, 2018 | During the Period^ |
Actual | $1,000.00 | $874.20 | $5.59 |
Hypothetical (5% annual return before expenses) | $1,000.00 | $1,019.24 | $6.03 |
| | | |
WBI BullBear Value 2000 ETF | | | |
| Beginning | Ending | |
| Account Value | Account Value | Expenses Paid |
| July 1, 2018 | December 31, 2018 | During the Period^ |
Actual | $1,000.00 | $ 867.20 | $5.85 |
Hypothetical (5% annual return before expenses) | $1,000.00 | $1,018.94 | $6.32 |
| | | |
WBI BullBear Yield 2000 ETF | | | |
| Beginning | Ending | |
| Account Value | Account Value | Expenses Paid |
| July 1, 2018 | December 31, 2018 | During the Period^ |
Actual | $1,000.00 | $ 882.00 | $5.24 |
Hypothetical (5% annual return before expenses) | $1,000.00 | $1,019.64 | $5.62 |
| | | |
WBI BullBear Quality 2000 ETF | | | |
| Beginning | Ending | |
| Account Value | Account Value | Expenses Paid |
| July 1, 2018 | December 31, 2018 | During the Period^ |
Actual | $1,000.00 | $ 900.10 | $5.87 |
Hypothetical (5% annual return before expenses) | $1,000.00 | $1,019.02 | $6.24 |
| | | |
WBI BullBear Rising Income 1000 ETF | | | |
| Beginning | Ending | |
| Account Value | Account Value | Expenses Paid |
| July 1, 2018 | December 31, 2018 | During the Period^ |
Actual | $1,000.00 | $ 967.60 | $5.51 |
Hypothetical (5% annual return before expenses) | $1,000.00 | $1,019.61 | $5.65 |
Absolute Shares Trust
Expense Examples (concluded)
For the Six-Months Ended December 31, 2018 (Unaudited)
WBI BullBear Value 1000 ETF
| Beginning | Ending | |
| Account Value | Account Value | Expenses Paid |
| July 1, 2018 | December 31, 2018 | During the Period^ |
Actual | $1,000.00 | $ 975.00 | $5.76 |
Hypothetical (5% annual return before expenses) | $1,000.00 | $1,019.37 | $5.89 |
| | | |
WBI BullBear Yield 1000 ETF | | | |
| Beginning | Ending | |
| Account Value | Account Value | Expenses Paid |
| July 1, 2018 | December 31, 2018 | During the Period^ |
Actual | $1,000.00 | $ 913.70 | $5.02 |
Hypothetical (5% annual return before expenses) | $1,000.00 | $1,019.96 | $5.30 |
| | | |
WBI BullBear Quality 1000 ETF | | | |
| Beginning | Ending | |
| Account Value | Account Value | Expenses Paid |
| July 1, 2018 | December 31, 2018 | During the Period^ |
Actual | $1,000.00 | $ 947.50 | $5.75 |
Hypothetical (5% annual return before expenses) | $1,000.00 | $1,019.30 | $5.96 |
| | | |
WBI BullBear Global Income ETF | | | |
| Beginning | Ending | |
| Account Value | Account Value | Expenses Paid |
| July 1, 2018 | December 31, 2018 | During the Period^ |
Actual | $1,000.00 | $1,031.10 | $5.21 |
Hypothetical (5% annual return before expenses) | $1,000.00 | $1,020.08 | $5.18 |
| | | |
WBI BullBear Global High Income ETF | | | |
| Beginning | Ending | |
| Account Value | Account Value | Expenses Paid |
| July 1, 2018 | December 31, 2018 | During the Period^ |
Actual | $1,000.00 | $ 933.10 | $4.46 |
Hypothetical (5% annual return before expenses) | $1,000.00 | $1,020.59 | $4.66 |
| | | |
WBI BullBear Global Rotation ETF | | | |
| Beginning | Ending | |
| Account Value | Account Value | Expenses Paid |
| July 1, 2018 | December 31, 2018 | During the Period^ |
Actual | $1,000.00 | $ 932.60 | $6.09 |
Hypothetical (5% annual return before expenses) | $1,000.00 | $1,018.90 | $6.36 |
| | | |
WBI Power Factor™ High Dividend ETF | | | |
| Beginning | Ending | |
| Account Value | Account Value | Expenses Paid |
| July 1, 2018 | December 31, 2018 | During the Period^ |
Actual | $1,000.00 | $ 856.20 | $3.28 |
Hypothetical (5% annual return before expenses) | $1,000.00 | $1,021.68 | $3.57 |
_________
^ | The dollar amounts shown as expenses paid during the period are equal to the annualized six-month expense ratio multiplied by the average account value during the period, multiplied by 184/365, to reflect the one-half year period. |
Absolute Shares Trust
Information About Portfolio Holdings
(Unaudited)
The Trust files its complete schedules of portfolio holdings for its first and third fiscal quarters with the Securities and Exchange Commission (“SEC”) on Form N-Q. The Trust’s Form N-Q is available without charge, upon request, by calling toll-free at (800) 772-5810. Furthermore, you may obtain the Form N-Q on the SEC’s website at www.sec.gov. The Funds’ portfolio holdings are updated daily and posted on their website at www.wbishares.com.
Information About Proxy Voting
(Unaudited)
A description of the policies and procedures the Trust uses to determine how to vote proxies relating to portfolio securities is provided in the Statement of Additional Information (“SAI”). The SAI is available without charge, upon request, by calling toll-free at (800) 772-5810, by accessing the SEC’s website at www.sec.gov, or by accessing the Funds’ website at www.wbishares.com.
When available, information regarding how the Funds voted proxies relating to portfolio securities during the twelve months ending June 30 will be (1) available by calling toll-free at (800) 772-5810 and (2) the SEC’s website at www.sec.gov.
Information About the Funds’ Trustees
(Unaudited)
The SAI includes additional information about the Trustees and is available without charge, upon request, by calling toll free at (800) 617-0004, or by accessing the SEC’s website at www.sec.gov, or by accessing the Fund’s website at www.wbishares.com.
Frequency Distributions of Premiums and Discounts
(Unaudited)
Information regarding how often shares of the Funds trade on an exchange at a price above (i.e., at a premium) or below (i.e., at a discount) NAV is available, without charge, on the Funds’ website at www.wbishares.com.
Absolute Shares Trust
Advisor
Millington Securities, Inc.
331 Newman Springs Rd Suite 101
Red Bank, New Jersey 07701
Sub-Advisor
WBI Investments, Inc.
331 Newman Springs Rd Suite 122
Red Bank, New Jersey 07701
Index Provider
Solactive AG
Guiollettstraβe 54
60325 Frankfurt am Main, Germany
Distributor
Foreside Fund Services, LLC
Three Canal Plaza, Suite 100
Portland, Maine 04101
Custodian
U.S. Bank National Association
Custody Operations
1555 North Rivercenter Drive, Suite 302
Milwaukee, Wisconsin 53212
Transfer Agent
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, Wisconsin 53202
Securities Lending Agent
U.S. Bank, National Association
Securities Lending
800 Nicolet Mall
Minneapolis, Minnesota 55402-7020
Independent Registered
Public Accounting Firm
KPMG LLP
51 John F. Kennedy Parkway
Short Hills, New Jersey 07078
Legal Counsel
K&L Gates LLP
599 Lexington Avenue
New York, New York 10022
WBI BullBear Rising Income 2000 ETF | WBIA |
WBI BullBear Value 2000 ETF | WBIB |
WBI BullBear Yield 2000 ETF | WBIC |
WBI BullBear Quality 2000 ETF | WBID |
WBI BullBear Rising Income 1000 ETF | WBIE |
WBI BullBear Value 1000 ETF | WBIF |
WBI BullBear Yield 1000 ETF | WBIG |
WBI BullBear Quality 1000 ETF | WBIL |
WBI BullBear Global Income ETF | WBII |
WBI BullBear Global High Income ETF | WBIH |
WBI BullBear Global Rotation ETF | WBIR |
WBI Power Factor™ High Dividend ETF | WBIY |
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable for semi-annual reports.
Item 6. Investments.
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed‑End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
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.
Item 11. Controls and Procedures.
(a) | The Registrant’s Principal Executive Officer and Principal Financial Officer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d‑15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the first fiscal half of the year covered by this report 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 to open-end investment companies.
Item 13. Exhibits.
(a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not Applicable. |
(2) A separate certification for each principal executive officer and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(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 to open-end investment companies.
(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.
(b) | Certifications pursuant to Section 906 of the Sarbanes‑Oxley Act of 2002. Furnished herewith. |
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.
(Registrant) Absolute Shares Trust
By (Signature and Title)* /s/ Don Schreiber, Jr.
Don Schreiber, Jr., President and Principal Executive Officer
Date March 6, 2019
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 (Signature and Title)* /s/ Don Schreiber, Jr.
Don Schreiber, Jr., President and Principal Executive Officer
By (Signature and Title)* /s/ Tracey Crespo
Tracey Crespo, Treasurer and Principal Financial Officer
* Print the name and title of each signing officer under his or her signature.