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 811-22926
Elkhorn ETF Trust
(Exact name of registrant as specified in charter)
207 Reber Street, Suite 201
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
Benjamin T. Fulton
Elkhorn ETF Trust
207 Reber Street, Suite 201
Wheaton, IL 60187
(Name and address of agent for service)
Copy to:
Morrison C. Warren, Esq.
Chapman and Cutler LLP
111 West Monroe Street
Chicago, IL 60603
Registrant's telephone number, including area code: (630) 355-4676
Date of fiscal year end: March 31
Date of reporting period: September 30, 2017
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
TABLE OF CONTENTS
Shareholder Expense Example | 1 |
Sector Allocations | 2 |
Schedules of Investments | 3 |
Elkhorn Commodity Rotation Strategy ETF | 3 |
Elkhorn Fundamental Commodity Strategy ETF | 5 |
Elkhorn S&P High Quality Preferred ETF | 7 |
Statements of Assets and Liabilities | 9 |
Statements of Operations | 10 |
Statements of Changes in Net Assets | 11 |
Financial Highlights | 13 |
Notes to Financial Statements | 16 |
Supplemental Information | 22 |
Shareholder Expense Example |
September 30, 2017 (unaudited) |
As a shareholder of the Fund you incur two types of costs: (1) transaction costs for purchasing and selling shares; and (2) ongoing costs, including management fees and other fund expenses. The following examples are intended to help you understand your ongoing costs (in dollars and cents) of investing in the Fund and to compare these costs with the ongoing costs of investing in other funds.
The expense examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2017 through September 30, 2017).
ACTUAL EXPENSES
The first line under the fund in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for the fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line under the fund in the table provides information about hypothetical account values and hypothetical expenses based on the 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 under the fund in the table is useful in comparing ongoing fund costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | Beginning
Account Value
4/1/2017 | Ending
Account Value
9/30/2017 | Annualized
Expense Ratio for the Period | Expenses Paid
During Period
4/1/2017 – 9/30/20171 |
Elkhorn Commodity Rotation Strategy ETF | | | | |
Actual | $ 1,000.00 | $ 958.50 | 0.99% | $ 4.86 |
Hypothetical (5% return before expenses) | $ 1,000.00 | $ 1,020.10 | 0.99% | $ 5.01 |
Elkhorn Fundamental Commodity Strategy ETF | | | | |
Actual | $ 1,000.00 | $ 1,027.50 | 0.75% | $ 3.81 |
Hypothetical (5% return before expenses) | $ 1,000.00 | $ 1,021.31 | 0.75% | $ 3.80 |
Elkhorn S&P High Quality Preferred ETF | | | | |
Actual | $ 1,000.00 | $ 1031.00 | 0.47% | $ 2.39 |
Hypothetical (5% return before expenses) | $ 1,000.00 | $ 1,022.71 | 0.47% | $ 2.38 |
1 | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by183/365 (to reflect the one-half year period). |
1
Sector Allocations |
September 30, 2017 (unaudited) |
Elkhorn Commodity Rotation Strategy ETF |
Sector | % of Total Investments |
Government | 100.0% |
Total Investments | 100.0% |
Elkhorn Commodity Rotation Strategy ETF |
Commodity Sector | % of Value at Sept. 30,
2017 |
Base Metals | 63.0% |
Energy | 20.2 |
Precious Metals | 16.8 |
Total Investments | 100.0% |
Elkhorn Fundamental Commodity Strategy ETF |
Sector | % of Total Investments |
Government | 100.0% |
Total Investments | 100.0% |
Elkhorn Fundamental Commodity Strategy ETF |
Commodity Sector | % of Value at Sept. 30,
2017 |
Agriculture | 21.1% |
Base Metals | 29.7 |
Energy | 38.9 |
Precious Metals | 10.3 |
Total Investments | 100.0% |
Elkhorn S&P High Quality Preferred ETF |
Sector | % of Total Investments* |
Consumer Discretionary | 2.2% |
Financials | 60.1 |
Health Care | 2.2 |
Industrials | 6.6 |
Real Estate | 17.9 |
Telecommunication Services | 2.2 |
Utilities | 8.8 |
Total Investments | 100.0% |
* | Excluding Money Market Fund |
2
Elkhorn Commodity Rotation Strategy ETF |
Consolidated Schedule of Investments |
September 30, 2017 (unaudited) |
| Investments | | Principal | | | Value | |
| TREASURY BILLS—80.7%(a) | | | | | | |
| U.S. Treasury Bill, 0.81%, 10/19/2017 | | $ | 300,000 | | | $ | 299,871 | |
| U.S. Treasury Bill, 0.89%, 11/02/2017 | | | 300,000 | | | | 299,753 | |
| U.S. Treasury Bill, 0.95%, 11/30/2017 | | | 400,000 | | | | 399,355 | |
| U.S. Treasury Bill, 1.09%, 12/21/2017 | | | 900,000 | | | | 898,025 | |
| | | | | | | | | |
| Total Investments—80.7% | | | | | | | | |
| (Cost $1,896,858) | | | | | | | 1,897,004 | |
| | | | | | | | | |
| Other Assets in Excess of Liabilities—19.3% | | | | | | | 453,480 | |
| Net Assets—100.0% | | | | | | $ | 2,350,484 | |
(a) | Represents a zero coupon bond. Rate shown reflects the effective yield. |
| Futures contracts outstanding as of September 30, 2017: |
| Description | | Expiration
Date | | Contract
Type | | Number of Contracts | | | Contract’s
Current
Notional
Amount | | | Contract
Value | | | Unrealized
Appreciation | | | Unrealized (Depreciation) | |
| Gasoline RBOB Future | | 10/31/2017 | | Long | | | 7 | | | $ | 467,754 | | | $ | (323 | ) | | $ | — | | | $ | (323 | ) |
| Gold 100 OZ Future | | 04/26/2018 | | Long | | | 3 | | | | 387,870 | | | | (19,830 | ) | | | — | | | | (19,830 | ) |
| LME Copper Future | | 12/17/2018 | | Long | | | 16 | | | | 2,629,200 | | | | 308,594 | | | | 308,594 | | | | — | |
| LME Copper Future | | 12/17/2018 | | Short | | | 13 | | | | (2,136,225 | ) | | | (204,844 | ) | | | — | | | | (204,844 | ) |
| LME PRI Alum Future | | 12/18/2017 | | Long | | | 26 | | | | 1,364,675 | | | | 134,738 | | | | 134,738 | | | | — | |
| LME PRI Alum Future | | 12/18/2017 | | Short | | | 26 | | | | (1,364,675 | ) | | | (100,763 | ) | | | — | | | | (100,763 | ) |
| LME PRI Alum Future | | 01/15/2018 | | Long | | | 10 | | | | 526,625 | | | | 41,375 | | | | 41,375 | | | | — | |
| LME PRI Alum Future | | 01/15/2018 | | Short | | | 10 | | | | (526,625 | ) | | | (48,838 | ) | | | — | | | | (48,838 | ) |
| LME PRI Alum Future | | 12/17/2018 | | Long | | | 10 | | | | 537,875 | | | | 54,338 | | | | 54,338 | | | | — | |
| LME PRI Alum Future | | 12/17/2018 | | Short | | | 10 | | | | (537,875 | ) | | | (21,863 | ) | | | — | | | | (21,863 | ) |
| LME PRI Alum Future | | 12/16/2019 | | Long | | | 9 | | | | 491,963 | | | | 17,763 | | | | 17,763 | | | | — | |
| LME Zinc Future | | 12/18/2017 | | Long | | | 15 | | | | 1,187,250 | | | | 187,500 | | | | 187,500 | | | | — | |
| LME Zinc Future | | 12/18/2017 | | Short | | | 15 | | | | (1,187,250 | ) | | | (100,788 | ) | | | — | | | | (100,788 | ) |
| LME Zinc Future | | 03/19/2018 | | Long | | | 6 | | | | 472,575 | | | | 18,725 | | | | 18,725 | | | | — | |
| | | | | | | | | | | | | | | | | | | $ | 763,033 | | | $ | (497,249 | ) |
| Total unrealized appreciation (depreciation) | | $ | 265,784 | | | | | |
Cash posted as collateral to broker for futures contracts was $137,805 at September 30, 2017.
The accompanying notes are an integral part of these financial statements.
3
Elkhorn Commodity Rotation Strategy ETF |
Consolidated Schedule of Investments, continued |
September 30, 2017 (unaudited) |
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of September 30, 2017:
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Asset Valuation Inputs | | | | | | | | | | | | | | | | |
| Investments | | | | | | | | | | | | | | | | |
| Treasury Bills | | $ | 1,897,004 | | | $ | — | | | $ | — | | | $ | 1,897,004 | |
| Other Investments | | | | | | | | | | | | | | | | |
| Futures | | | 763,033 | | | | — | | | | — | | | | 763,033 | |
| Total Investments | | $ | 2,660,037 | | | $ | — | | | $ | — | | | $ | 2,660,037 | |
| Liability Valuation Inputs | | | | | | | | | | | | | | | | |
| Other Investments | | | | | | | | | | | | | | | | |
| Futures | | $ | 497,249 | | | $ | — | | | $ | — | | | $ | 497,249 | |
| Total Other Investments | | $ | 497,249 | | | $ | — | | | $ | — | | | $ | 497,249 | |
For the period ended September 30, 2017, there were no transfers between any levels. As of September 30, 2017 there were no Level 3 investments held in the Fund.
The accompanying notes are an integral part of these financial statements.
4
Elkhorn Fundamental Commodity Strategy ETF |
Consolidated Schedule of Investments |
September 30, 2017 (unaudited) |
| Investments | | Principal | | | Value | |
| TREASURY BILLS—73.6%(a) | | | | | | |
| U.S. Treasury Bill, 0.81%, 10/19/2017 | | $ | 500,000 | | | $ | 499,784 | |
| U.S. Treasury Bill, 0.91%, 11/09/2017 | | | 900,000 | | | | 899,093 | |
| U.S. Treasury Bill, 1.09%, 12/21/2017 | | | 900,000 | | | | 898,025 | |
| U.S. Treasury Bill, 1.10%, 01/18/2018 | | | 2,000,000 | | | | 1,993,970 | |
| U.S. Treasury Bill, 1.13%, 02/01/2018 | | | 400,000 | | | | 398,563 | |
| U.S. Treasury Bill, 1.15%, 02/08/2018 | | | 1,000,000 | | | | 996,148 | |
| U.S. Treasury Bill, 1.10%, 02/22/2018 | | | 1,000,000 | | | | 995,671 | |
| | | | | | | | | |
| Total Investments—73.6% | | | | | | | | |
| (Cost $6,680,324) | | | | | | | 6,681,254 | |
| | | | | | | | | |
| Other Assets in Excess of Liabilities—26.4% | | | | | | | 2,394,472 | |
| Net Assets—100.0% | | | | | | $ | 9,075,726 | |
(a) | Represents a zero coupon bond. Rate shown reflects the effective yield. |
| Futures contracts outstanding as of September 30, 2017: |
| Description | | Expiration
Date | | Contract
Type | | Number of Contracts | | | Contract’s Current Notional Amount | | | Contract
Value | | | Unrealized
Appreciation | | | Unrealized (Depreciation) | |
| Brent Crude Future | | 10/31/2017 | | Long | | | 21 | | | $ | 1,192,590 | | | $ | 66,620 | | | $ | 66,620 | | | $ | — | |
| Cattle Feeder Future | | 01/25/2018 | | Long | | | 1 | | | | 75,762 | | | | 3,725 | | | | 3,725 | | | | — | |
| Cocoa Future | | 05/15/2018 | | Long | | | 1 | | | | 20,420 | | | | (300 | ) | | | — | | | | (300 | ) |
| Coffee 'C' Future | | 12/18/2018 | | Long | | | 1 | | | | 53,175 | | | | (5,475 | ) | | | — | | | | (5,475 | ) |
| Corn Future | | 12/14/2018 | | Long | | | 23 | | | | 459,425 | | | | (10,200 | ) | | | — | | | | (10,200 | ) |
| Cotton No.2 Future | | 12/06/2017 | | Long | | | 3 | | | | 102,675 | | | | (3,076 | ) | | | — | | | | (3,076 | ) |
| Gasoline RBOB Future | | 10/31/2017 | | Long | | | 6 | | | | 400,932 | | | | 504 | | | | 504 | | | | — | |
| Gold 100 Oz Future | | 06/27/2018 | | Long | | | 6 | | | | 778,080 | | | | 14,100 | | | | 14,100 | | | | — | |
| KC HRW Wheat Future | | 03/14/2018 | | Long | | | 2 | | | | 46,025 | | | | (2,225 | ) | | | — | | | | (2,225 | ) |
| Lean Hogs Future | | 12/14/2017 | | Long | | | 2 | | | | 47,960 | | | | 1,330 | | | | 1,330 | | | | — | |
| Live Cattle Future | | 06/29/2018 | | Long | | | 4 | | | | 180,880 | | | | 5,940 | | | | 5,940 | | | | — | |
| LME Copper Future | | 12/18/2017 | | Long | | | 10 | | | | 1,619,813 | | | | 411,001 | | | | 411,001 | | | | — | |
| LME Copper Future | | 12/18/2017 | | Short | | | 10 | | | | (1,619,813 | ) | | | (374,581 | ) | | | — | | | | (374,581 | ) |
| LME Copper Future | | 12/17/2018 | | Long | | | 21 | | | | 3,450,825 | | | | 533,463 | | | | 533,463 | | | | — | |
| LME Copper Future | | 12/17/2018 | | Short | | | 12 | | | | (1,971,900 | ) | | | (172,181 | ) | | | — | | | | (172,181 | ) |
| LME Lead Future | | 12/18/2017 | | Long | | | 7 | | | | 435,750 | | | | 59,994 | | | | 59,994 | | | | — | |
| LME Lead Future | | 12/18/2017 | | Short | | | 7 | | | | (435,750 | ) | | | (52,831 | ) | | | — | | | | (52,831 | ) |
| LME Lead Future | | 03/19/2018 | | Long | | | 3 | | | | 186,750 | | | | 28,437 | | | | 28,437 | | | | — | |
| LME Lead Future | | 03/19/2018 | | Short | | | 3 | | | | (186,750 | ) | | | (8,425 | ) | | | — | | | | (8,425 | ) |
| LME Lead Future | | 12/17/2018 | | Long | | | 2 | | | | 125,137 | | | | 5,713 | | | | 5,713 | | | | — | |
| LME Nickel Future | | 10/16/2017 | | Long | | | 3 | | | | 187,749 | | | | 23,253 | | | | 23,253 | | | | — | |
| LME Nickel Future | | 10/16/2017 | | Short | | | 3 | | | | (187,749 | ) | | | (1,962 | ) | | | — | | | | (1,962 | ) |
| LME Nickel Future | | 03/19/2018 | | Long | | | 2 | | | | 126,768 | | | | 2,088 | | | | 2,088 | | | | — | |
| LME Nickel Future | | 03/19/2018 | | Short | | | 2 | | | | (126,768 | ) | | | 19,500 | | | | 19,500 | | | | — | |
| LME Nickel Future | | 09/17/2018 | | Long | | | 3 | | | | 192,528 | | | | (29,412 | ) | | | — | | | | (29,412 | ) |
| LME Nickel Future | | 12/17/2018 | | Long | | | 6 | | | | 387,324 | | | | 3,086 | | | | 3,086 | | | | — | |
| LME Nickel Future | | 12/17/2018 | | Short | | | 6 | | | | (387,324 | ) | | | (30,597 | ) | | | — | | | | (30,597 | ) |
| LME PRI Alum Future | | 12/18/2017 | | Long | | | 14 | | | | 734,825 | | | | 61,094 | | | | 61,094 | | | | — | |
The accompanying notes are an integral part of these financial statements.
5
Elkhorn Fundamental Commodity Strategy ETF |
Consolidated Schedule of Investments, continued |
September 30, 2017 (unaudited) |
| Description | | Expiration
Date | | Contract
Type | | Number of Contracts | | | Contract’s Current Notional Amount | | | Contract
Value | | | Unrealized
Appreciation | | | Unrealized (Depreciation) | |
| LME PRI Alum Future | | 12/18/2017 | | Short | | | 14 | | | $ | (734,825 | ) | | $ | (58,281 | ) | | $ | — | | | $ | (58,281 | ) |
| LME PRI Alum Future | | 01/15/2018 | | Long | | | 22 | | | | 1,158,575 | | | | 118,600 | | | | 118,600 | | | | — | |
| LME PRI Alum Future | | 01/15/2018 | | Short | | | 22 | | | | (1,158,575 | ) | | | (103,156 | ) | | | — | | | | (103,156 | ) |
| LME PRI Alum Future | | 12/17/2018 | | Long | | | 16 | | | | 860,600 | | | | 61,612 | | | | 61,612 | | | | — | |
| LME PRI Alum Future | | 12/17/2018 | | Short | | | 6 | | | | (322,725 | ) | | | (23,975 | ) | | | — | | | | (23,975 | ) |
| LME Zinc Future | | 12/18/2017 | | Long | | | 9 | | | | 712,350 | | | | 156,775 | | | | 156,775 | | | | — | |
| LME Zinc Future | | 12/18/2017 | | Short | | | 9 | | | | (712,350 | ) | | | (89,181 | ) | | | — | | | | (89,181 | ) |
| LME Zinc Future | | 12/17/2018 | | Long | | | 11 | | | | 840,950 | | | | 112,119 | | | | 112,119 | | | | — | |
| LME Zinc Future | | 12/17/2018 | | Short | | | 6 | | | | (458,700 | ) | | | (49,713 | ) | | | — | | | | (49,713 | ) |
| Low Su Gasoil G Future | | 11/10/2017 | | Long | | | 9 | | | | 488,025 | | | | 55,625 | | | | 55,625 | | | | — | |
| Natural Gas Future | | 03/27/2018 | | Long | | | 12 | | | | 352,680 | | | | 9,340 | | | | 9,340 | | | | — | |
| NY Harb USLD Future | | 10/31/2017 | | Long | | | 6 | | | | 456,120 | | | | 15,200 | | | | 15,200 | | | | — | |
| Silver Future | | 12/27/2017 | | Long | | | 2 | | | | 166,760 | | | | (7,515 | ) | | | — | | | | (7,515 | ) |
| Soybean Future | | 11/14/2017 | | Long | | | 15 | | | | 726,188 | | | | 5,932 | | | | 5,932 | | | | — | |
| Sugar #11 (World) Future | | 06/29/2018 | | Long | | | 3 | | | | 48,350 | | | | (2,554 | ) | | | — | | | | (2,554 | ) |
| Wheat Future | | 07/13/2018 | | Long | | | 7 | | | | 171,763 | | | | (18,263 | ) | | | — | | | | (18,263 | ) |
| WTI Crude Future | | 08/21/2018 | | Long | | | 13 | | | | 672,490 | | | | 54,770 | | | | 54,770 | | | | — | |
| | | | | | | | | | | | | | | | | | | $ | 1,829,821 | | | $ | (1,043,903 | ) |
| Total unrealized appreciation (depreciation) | | | | $ | 785,918 | | | | | |
Cash posted as collateral to broker for futures contracts was $1,237,084 at September 30, 2017.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of September 30, 2017:
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Asset Valuation Inputs | | | | | | | | | | | | | | | | |
| Investments | | | | | | | | | | | | | | | | |
| Treasury Bills | | $ | 6,681,254 | | | $ | — | | | $ | — | | | $ | 6,681,254 | |
| Other Investments | | | | | | | | | | | | | | | | |
| Futures | | | 1,829,821 | | | | — | | | | — | | | | 1,829,821 | |
| Total Investments | | $ | 8,511,075 | | | $ | — | | | $ | — | | | $ | 8,511,075 | |
| Liability Valuation Inputs | | | | | | | | | | | | | | | | |
| Other Investments | | | | | | | | | | | | | | | | |
| Futures | | $ | 1,043,903 | | | $ | — | | | $ | — | | | $ | 1,043,903 | |
| Total Other Investments | | $ | 1,043,903 | | | $ | — | | | $ | — | | | $ | 1,043,903 | |
For the period ended September 30, 2017, there were no transfers between any levels. As of September 30, 2017 there were no Level 3 investments held in the Fund.
The accompanying notes are an integral part of these financial statements.
6
Elkhorn S&P High Quality Preferred ETF |
Schedule of Investments |
September 30, 2017 (unaudited) |
| Investments | | Shares | | | Value | |
| PREFERRED STOCKS—101.9% | | | | | | |
| Banks—15.7% | | | | | | | | |
| BB&T Corp., 5.63% | | | 3,502 | | | $ | 93,328 | |
| BB&T Corp., 5.85% | | | 3,663 | | | | 92,930 | |
| BB&T Corp., Series E, 5.63% | | | 3,670 | | | | 92,851 | |
| BB&T Corp., Series F, 5.20% | | | 3,702 | | | | 93,624 | |
| BB&T Corp., Series G, 5.20% | | | 3,683 | | | | 93,769 | |
| First Republic Bank, Series H, 5.13% | | | 18,716 | | | | 468,836 | |
| HSBC Holdings PLC (United Kingdom), 8.13% | | | 5,746 | | | | 156,751 | |
| HSBC Holdings PLC (United Kingdom), Series 2, 8.00% | | | 5,808 | | | | 156,700 | |
| HSBC Holdings PLC (United Kingdom), Series A, 6.20% | | | 5,878 | | | | 155,120 | |
| JPMorgan Chase & Co., Series AA, 6.10% | | | 2,473 | | | | 66,672 | |
| JPMorgan Chase & Co., Series BB, 6.15% | | | 2,441 | | | | 66,127 | |
| JPMorgan Chase & Co., Series O, 5.50% | | | 2,626 | | | | 66,517 | |
| JPMorgan Chase & Co., Series P, 5.45% | | | 2,585 | | | | 65,917 | |
| JPMorgan Chase & Co., Series T, 6.70% | | | 2,475 | | | | 66,578 | |
| JPMorgan Chase & Co., Series W, 6.30% | | | 2,475 | | | | 66,132 | |
| JPMorgan Chase & Co., Series Y, 6.13% | | | 2,475 | | | | 66,206 | |
| PNC Financial Services Group, Inc. (The), Series Q, 5.38% | | | 18,305 | | | | 471,171 | |
| US Bancorp, Series H, 5.15% | | | 17,954 | | | | 463,752 | |
| Wells Fargo & Co., 5.20% | | | 1,636 | | | | 40,916 | |
| Wells Fargo & Co., Series J, 8.00% | | | 1,580 | | | | 40,290 | |
| Wells Fargo & Co., Series L, 7.50% | | | 31 | | | | 40,765 | |
| Wells Fargo & Co., Series O, 5.13% | | | 1,635 | | | | 40,908 | |
| Wells Fargo & Co., Series P, 5.25% | | | 1,609 | | | | 40,756 | |
| Wells Fargo & Co., Series T, 6.00% | | | 1,551 | | | | 40,652 | |
| Wells Fargo & Co., Series V, 6.00% | | | 1,543 | | | | 40,812 | |
| Wells Fargo & Co., Series W, 5.70% | | | 1,577 | | | | 41,002 | |
| Wells Fargo & Co., Series X, 5.50% | | | 1,603 | | | | 41,213 | |
| Wells Fargo & Co., Series Y, 5.63% | | | 1,585 | | | | 41,511 | |
Total Banks | | | | | | | 3,211,806 | |
| | | | | | | | | |
| Capital Markets—18.1% | | | | | | | | |
| Apollo Global Management LLC, 6.38% | | | 9,071 | | | | 238,749 | |
| Apollo Investment Corp., 6.63% | | | 8,954 | | | | 223,850 | |
| Ares Management LP, Series A, 7.00% | | | 17,596 | | | | 477,203 | |
| Bank of New York Mellon Corp. (The), 5.20% | | | 18,313 | | | | 463,502 | |
| Charles Schwab Corp. (The), Series C, 6.00% | | | 17,019 | | | | 461,896 | |
| Gabelli Dividend & Income Trust (The), Series G, 5.25% | | | 18,377 | | | | 463,652 | |
| KKR & Co. LP, Series A, 6.75% | | | 8,622 | | | | 235,553 | |
| KKR & Co. LP, Series B, 6.50% | | | 8,713 | | | | 237,342 | |
| Northern Trust Corp., Series C, 5.85% | | | 16,920 | | | | 440,428 | |
| State Street Corp., Series C, 5.25% | | | 9,182 | | | | 230,927 | |
| State Street Corp., Series E, 6.00% | | | 8,677 | | | | 231,415 | |
Total Capital Markets | | | | | | | 3,704,517 | |
| | | | | | | | | |
| Commercial Services & Supplies—2.2% | | | | | | | | |
| Pitney Bowes, Inc., 6.70% | | | 17,543 | | | | 448,048 | |
| | | | | | | | | |
| Diversified Telecommunication—2.3% | | | | | | | | |
| Qwest Corp., 7.50% | | | 18,363 | | | | 466,971 | |
| | | | | | | | | |
| Electric Utilities—8.9% | | | | | | | | |
| Duke Energy Corp., 5.13% | | | 17,649 | | | | 449,697 | |
| FPL Group Capital Trust I, 5.88% | | | 3,433 | | | | 87,438 | |
| NextEra Energy Capital Holdings, Inc., 5.00% | | | 3,661 | | | | 92,257 | |
| NextEra Energy Capital Holdings, Inc., Series G, 5.70% | | | 3,693 | | | | 93,027 | |
| NextEra Energy Capital Holdings, Inc., Series H, 5.63% | | | 3,700 | | | | 92,981 | |
| NextEra Energy Capital Holdings, Inc., Series I, 5.13% | | | 3,681 | | | | 92,577 | |
| PPL Capital Funding, Inc., Series B, 5.90% | | | 17,709 | | | | 455,298 | |
| SCE Trust II, 5.10% | | | 9,185 | | | | 230,727 | |
| SCE Trust VI, 5.00% | | | 9,354 | | | | 237,405 | |
Total Electric Utilities | | | | | | | 1,831,407 | |
| | | | | | | | | |
| Equity Real Estate Investment—18.2% | | | | | | | | |
| Boston Properties, Inc., 5.25% | | | 18,356 | | | | 457,432 | |
| Equity Commonwealth, 5.75% | | | 18,487 | | | | 467,166 | |
| Kimco Realty Corp., Series I, 6.00% | | | 6,311 | | | | 159,984 | |
| Kimco Realty Corp., Series J, 5.50% | | | 6,300 | | | | 159,768 | |
| Kimco Realty Corp., Series K, 5.63% | | | 6,255 | | | | 159,002 | |
| National Retail Properties, Inc., Series E, 5.70% | | | 9,182 | | | | 234,508 | |
| National Retail Properties, Inc., Series F, 5.20% | | | 9,476 | | | | 237,658 | |
| PS Business Parks, Inc., Series T, 6.00% | | | 9,265 | | | | 233,107 | |
| PS Business Parks, Inc., Series W, 5.20% | | | 9,392 | | | | 237,524 | |
| Public Storage, Series A, 5.88% | | | 1,207 | | | | 32,299 | |
| Public Storage, Series B, 5.40% | | | 1,215 | | | | 32,198 | |
| Public Storage, Series C, 5.13% | | | 1,279 | | | | 32,806 | |
| Public Storage, Series D, 4.95% | | | 1,319 | | | | 33,226 | |
| Public Storage, Series E, 4.90% | | | 1,328 | | | | 33,067 | |
| Public Storage, Series F, 5.15% | | | 1,288 | | | | 32,625 | |
| Public Storage, Series U, 5.63% | | | 1,281 | | | | 32,281 | |
| Public Storage, Series V, 5.38% | | | 4,214 | | | | 106,614 | |
| Public Storage, Series W, 5.20% | | | 1,284 | | | | 32,588 | |
| Public Storage, Series X, 5.20% | | | 1,273 | | | | 31,965 | |
| Public Storage, Series Y, 6.38% | | | 1,170 | | | | 31,532 | |
| Public Storage, Series Z, 6.00% | | | 1,204 | | | | 31,485 | |
| Senior Housing Properties Trust, 5.63% | | | 18,530 | | | | 470,477 | |
The accompanying notes are an integral part of these financial statements.
7
Elkhorn S&P High Quality Preferred ETF |
Schedule of Investments, continued |
September 30, 2017 (unaudited) |
| Investments | | Shares | | | Value | |
| Equity Real Estate Investment (continued) | | | | | | | | |
| Welltower, Inc., Series I, 6.50% | | | 7,233 | | | $ | 458,789 | |
Total Equity Real Estate Investment | | | | | | | 3,738,101 | |
| | | | | | | | | |
| Health Care Equipment & Supplies—2.3% | | | | | | | | |
| Becton Dickinson and Co., Series A, 6.13% | | | 8,393 | | | | 463,293 | |
| | | | | | | | | |
| Industrial Conglomerates—2.3% | | | | | | | | |
| General Electric Co., 4.88% | | | 9,124 | | | | 232,753 | |
| General Electric Co., 4.88% | | | 9,156 | | | | 232,288 | |
Total Industrial Conglomerates | | | | | | | 465,041 | |
| | | | | | | | | |
| Insurance—27.2% | | | | | | | | |
| Aegon NV (Netherlands), 6.38% | | | 5,987 | | | | 155,003 | |
| Aegon NV (Netherlands), 6.50% | | | 5,932 | | | | 155,715 | |
| Aegon NV (Netherlands), 8.00% | | | 5,975 | | | | 156,963 | |
| Aflac, Inc., 5.50% | | | 18,494 | | | | 467,898 | |
| Arch Capital Group Ltd. (Bermuda), Series C, 6.75% | | | 9,113 | | | | 231,926 | |
| Arch Capital Group Ltd. (Bermuda), Series E, 5.25% | | | 9,518 | | | | 235,095 | |
| Assured Guaranty Municipal Holdings, Inc., 6.25% | | | 17,906 | | | | 457,856 | |
| Axis Capital Holdings Ltd. (Bermuda), Series D, 5.50% | | | 9,182 | | | | 230,652 | |
| Axis Capital Holdings Ltd. (Bermuda), Series E, 5.50% | | | 9,415 | | | | 238,859 | |
| Endurance Specialty Holdings Ltd. (Bermuda), Series C, 6.35% | | | 17,451 | | | | 466,814 | |
| PartnerRe Ltd. (Bermuda), Series H, 7.25% | | | 16,221 | | | | 466,354 | |
| Prudential Financial, Inc., 5.70% | | | 8,925 | | | | 229,819 | |
| Prudential Financial, Inc., 5.75% | | | 8,953 | | | | 229,107 | |
| Prudential PLC (United Kingdom), 6.50% | | | 8,834 | | | | 233,041 | |
| Prudential PLC (United Kingdom), 6.75% | | | 8,875 | | | | 235,809 | |
| RenaissanceRe Holdings Ltd. (Bermuda), Series E, 5.38% | | | 18,234 | | | | 459,315 | |
| Selective Insurance Group, Inc., 5.88% | | | 18,435 | | | | 467,143 | |
| Validus Holdings Ltd. (Bermuda), 5.80% | | | 9,229 | | | | 232,109 | |
| Validus Holdings Ltd. (Bermuda), Series A, 5.88% | | | 9,117 | | | | 232,392 | |
Total Insurance | | | | | | | 5,581,870 | |
| | | | | | | | | |
| Machinery—2.2% | | | | | | | | |
| Stanley Black & Decker, Inc., 5.75% | | | 17,975 | | | | 457,284 | |
| | | | | | | | | |
| Media—2.3% | | | | | | | | |
| Comcast Corp., 5.00% | | | 18,305 | | | | 467,876 | |
| | | | | | | | | |
| Mortgage Real Estate Investment—0.2% | | | | | | | | |
| Wells Fargo Real Estate Investment Corp., Series A, 6.38% | | | 1,514 | | | | 40,000 | |
| | | | | | | | | |
| Total Preferred Stocks | | | | | | | | |
| (Cost $20,704,604) | | | | | | | 20,876,214 | |
| | | | | | | | | |
| MONEY MARKET FUND—2.6% | | | | | | | | |
| Goldman Sachs Financial Square Funds - Government Fund, 0.91% (a) | | | | | | | | |
| (Cost $537,573) | | | 537,573 | | | | 537,573 | |
| | | | | | | | | |
| Total Investments—104.5% | | | | | | | | |
| (Cost $21,242,177) | | | | | | | 21,413,787 | |
| | | | | | | | | |
| Liabilities in Excess of Other Assets—(4.5)% | | | | | | | (928,317 | ) |
| Net Assets—100.0% | | | | | | $ | 20,485,470 | |
(a) | Rate shown represents annualized 7-day yield as of September 30, 2017. |
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of September 30, 2017:
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Asset Valuation Inputs | | | | | | | | | | | | | | | | |
| Investments | | | | | | | | | | | | | | | | |
| Preferred Stocks | | $ | 20,876,214 | | | $ | — | | | $ | — | | | $ | 20,876,214 | |
| Money Market Fund | | | 537,573 | | | | — | | | | — | | | | 537,573 | |
| Total Investments | | $ | 21,413,787 | | | $ | — | | | $ | — | | | $ | 21,413,787 | |
For the period ended September 30, 2017, there were no transfers between any levels. As of September 30, 2017 there were no Level 3 investments held in the Fund.
The accompanying notes are an integral part of these financial statements.
8
Elkhorn ETF Trust |
Statements of Assets and Liabilities |
September 30, 2017 (unaudited) |
| | | Elkhorn Commodity Rotation Strategy ETF (Consolidated) | | | Elkhorn Fundamental Commodity Strategy ETF (Consolidated) | | | Elkhorn
S&P High Quality Preferred ETF | |
| ASSETS: | | | | | | | | | |
| Investments, at cost | | $ | 1,896,858 | | | $ | 6,680,324 | | | $ | 21,242,177 | |
| Investments, at value | | $ | 1,897,004 | | | $ | 6,681,254 | | | $ | 21,413,787 | |
| Cash | | | 15,106 | | | | 424,615 | | | | 4,140 | |
| Cash collateral held at brokers | | | 137,805 | | | | 1,237,084 | | | | — | |
| Receivables: | | | | | | | | | | | | |
| Due from advisor | | | 34,791 | | | | 31,131 | | | | — | |
| Dividends | | | — | | | | — | | | | 24,565 | |
| Investment securities sold | | | — | | | | — | | | | 7,422 | |
| Variation margin | | | 265,778 | | | | 701,642 | | | | — | |
Total Assets | | | 2,350,484 | | | | 9,075,726 | | | | 21,449,914 | |
| | | | | | | | | | | | | |
| LIABILITIES: | | | | | | | | | | | | |
| Payables: | | | | | | | | | | | | |
| Investment securities purchased | | | — | | | | — | | | | 956,491 | |
| Advisory fees | | | — | | | | — | | | | 7,953 | |
Total Liabilities | | | — | | | | — | | | | 964,444 | |
NET ASSETS | | $ | 2,350,484 | | | $ | 9,075,726 | | | $ | 20,485,470 | |
| | | | | | | | | | | | | |
| NET ASSETS CONSIST OF: | | | | | | | | | | | | |
| Paid-in capital | | $ | 2,206,296 | | | $ | 8,565,893 | | | $ | 21,241,554 | |
| Undistributed net investment loss | | | (14,879 | ) | | | (18,555 | ) | | | (23,745 | ) |
| Accumulated net realized loss on investments and futures contracts | | | (106,863 | ) | | | (258,460 | ) | | | (903,949 | ) |
| Net unrealized appreciation on investments and futures contracts | | | 265,930 | | | | 786,848 | | | | 171,610 | |
NET ASSETS | | $ | 2,350,484 | | | $ | 9,075,726 | | | $ | 20,485,470 | |
| Shares outstanding ($0.01 par value common stock, unlimited shares authorized) | | | 100,002 | | | | 350,002 | | | | 850,002 | |
| Net asset value, per share | | $ | 23.50 | | | $ | 25.93 | | | $ | 24.10 | |
The accompanying notes are an integral part of these financial statements.
9
Elkhorn ETF Trust |
Statements of Operations |
For the Six Months ended September 30, 2017 (unaudited) |
| | | Elkhorn Commodity Rotation Strategy ETF
(Consolidated) | | | Elkhorn Fundamental Commodity Strategy ETF
(Consolidated) | | | Elkhorn
S&P High Quality Preferred ETF | |
| INVESTMENT INCOME: | | | | | | | | | |
| Dividend income | | $ | — | | | $ | — | | | $ | 514,096 | |
| Interest income | | | 8,331 | | | | 29,702 | | | | — | |
Total Income | | | 8,331 | | | | 29,702 | | | | 514,096 | |
| | | | | | | | | | | | | |
| EXPENSES: | | | | | | | | | | | | |
| Advisory fees | | | 12,076 | | | | 35,413 | | | | 42,379 | |
Net Investment Income (Loss) | | | (3,745 | ) | | | (5,711 | ) | | | 471,717 | |
| | | | | | | | | | | | | |
| REALIZED AND UNREALIZED GAIN (LOSS): | | | | | | | | | | | | |
| Net realized gain (loss) on | | | | | | | | | | | | |
| Investments | | | (93 | ) | | | — | | | | (63,165 | ) |
| Futures contracts | | | (141,407 | ) | | | (295,135 | ) | | | — | |
| Net increase from payment by affiliates | | | 36,723 | | | | 36,723 | | | | — | |
| Total net realized loss | | | (104,777 | ) | | | (258,412 | ) | | | (63,165 | ) |
| Net change in unrealized appreciation (depreciation) on | | | | | | | | | | | | |
| Investments | | | 1,595 | | | | 6,922 | | | | 91,713 | |
| Futures contracts | | | 5,147 | | | | 533,486 | | | | — | |
| Net change in unrealized appreciation | | | 6,742 | | | | 540,408 | | | | 91,713 | |
| Net realized and change in unrealized appreciation (depreciation) on investments and futures contracts | | | (98,035 | ) | | | 281,996 | | | | 28,548 | |
Net Increase (Decrease) in Net Assets Resulting From Operations | | $ | (101,780 | ) | | $ | 276,285 | | | $ | 500,265 | |
The accompanying notes are an integral part of these financial statements.
10
Elkhorn ETF Trust |
Consolidated Statements of Changes in Net Assets |
| | | | Elkhorn Commodity
Rotation Strategy ETF | | | | Elkhorn Fundamental Commodity Strategy ETF | |
| | | | Six Months Ended September 30, 2017
(Unaudited) | | | | For the Period September 20, 20161 to
March 31,
2017 | | | | Six Months Ended September 30, 2017
(Unaudited) | | | | For the Period September 20, 20161 to
March 31,
2017 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | $ | (3,745 | ) | | $ | (21,257 | ) | | $ | (5,711 | ) | | $ | (27,877 | ) |
| Net realized loss on investments, in-kind redemptions and futures contracts | | | (104,777 | ) | | | (372,882 | ) | | | (258,412 | ) | | | (165,347 | ) |
Net change in unrealized appreciation on investments
and futures contracts | | | 6,742 | | | | 259,188 | | | | 540,408 | | | | 246,440 | |
| Net increase (decrease) in net assets resulting from operations | | | (101,780 | ) | | | (134,951 | ) | | | 276,285 | | | | 53,216 | |
| | | | | | | | | | | | | | | | | |
| SHAREHOLDER TRANSACTIONS: | | | | | | | | | | | | | | | | |
| Proceeds from shares sold | | | — | | | | 11,230,678 | | | | 1,222,121 | | | | 15,213,462 | |
| Cost of shares redeemed | | | — | | | | (8,643,463 | ) | | | (1,255,348 | ) | | | (6,434,010 | ) |
| Net increase (decrease) in net assets resulting from shareholder transactions | | | — | | | | 2,587,215 | | | | (33,227 | ) | | | 8,779,452 | |
| Increase (decrease) in net assets | | | (101,780 | ) | | | 2,452,264 | | | | 243,058 | | | | 8,832,668 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
| Beginning of period | | | 2,452,264 | | | | — | | | | 8,832,668 | | | | — | |
| End of period | | $ | 2,350,484 | | | $ | 2,452,264 | | | $ | 9,075,726 | | | $ | 8,832,668 | |
| Undistributed net investment income (loss) included in net assets at end of period | | $ | (14,879 | ) | | $ | (11,134 | ) | | $ | (18,555 | ) | | $ | (12,844 | ) |
| | | | | | | | | | | | | | | | | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| Shares outstanding, beginning of period | | | 100,002 | | | | — | | | | 350,002 | | | | — | |
| Shares sold | | | — | | | | 450,002 | | | | 50,000 | | | | 600,002 | |
| Shares redeemed | | | — | | | | (350,000 | ) | | | (50,000 | ) | | | (250,000 | ) |
| Shares outstanding, end of period | | | 100,002 | | | | 100,002 | | | | 350,002 | | | | 350,002 | |
1 | Commencement of operations. |
The accompanying notes are an integral part of these financial statements.
11
Elkhorn ETF Trust |
Statements of Changes in Net Assets |
| | | | Elkhorn S&P High Quality Preferred ETF | |
| | | | Six Months Ended September 30, 2017
(Unaudited) | | | | For the Period May 23,
20161 to
March 31,
2017 | |
| OPERATIONS: | | | | | | | | |
| Net investment income (loss) | | $ | 471,717 | | | $ | 503,163 | |
| Net realized loss on investments, in-kind redemptions and futures contracts | | | (63,165 | ) | | | (811,385 | ) |
| Net change in unrealized appreciation on investments and futures contracts | | | 91,713 | | | | 79,897 | |
| Net increase (decrease) in net assets resulting from operations | | | 500,265 | | | | (228,325 | ) |
| | | | | | | | | |
| Distributions paid to shareholders from: | | | | | | | | |
| Net investment income | | | (525,001 | ) | | | (491,047 | ) |
| Total distributions to shareholders | | | (525,001 | ) | | | (491,047 | ) |
| | | | | | | | | |
| SHAREHOLDER TRANSACTIONS: | | | | | | | | |
| Proceeds from shares sold | | | 8,480,311 | | | | 13,945,584 | |
| Cost of shares redeemed | | | — | | | | (1,196,317 | ) |
| Net increase (decrease) in net assets resulting from shareholder transactions | | | 8,480,311 | | | | 12,749,267 | |
| Increase (decrease) in net assets | | | 8,455,575 | | | | 12,029,895 | |
| | | | | | | | | |
| NET ASSETS: | | | | | | | | |
| Beginning of period | | | 12,029,895 | | | | — | |
| End of period | | $ | 20,485,470 | | | $ | 12,029,895 | |
| Undistributed net investment income (loss) included in net assets at end of period | | $ | (23,745 | ) | | $ | 29,539 | |
| | | | | | | | | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | |
| Shares outstanding, beginning of period | | | 500,002 | | | | — | |
| Shares sold | | | 350,000 | | | | 550,002 | |
| Shares redeemed | | | — | | | | (50,000 | ) |
| Shares outstanding, end of period | | | 850,002 | | | | 500,002 | |
1 | Commencement of operations. |
The accompanying notes are an integral part of these financial statements.
12
Elkhorn Commodity Rotation Strategy ETF |
Consolidated Financial Highlights |
| | | Six-Months Ended September 30, 2017
(Unaudited) | | | For the Period September 20, 20161 to
March 31, 2017 | |
| Per Share Operating Performance: | | | | | | | | |
| (for a share of capital stock outstanding throughout each period presented) | | | | | | | | |
| Net asset value, beginning of period | | $ | 24.52 | | | $ | 25.00 | |
| | | | | | | | | |
| Income from Investment Operations: | | | | | | | | |
Net investment loss2 | | | (0.04 | ) | | | (0.09 | ) |
| Net realized and unrealized loss on investments | | | (0.98 | )3 | | | (0.39 | )3 |
| Total loss from investment operations | | | (1.02 | ) | | | (0.48 | ) |
| Net asset value, end of period | | $ | 23.50 | | | $ | 24.52 | |
| Market value, end of period | | $ | 23.63 | | | $ | 24.48 | |
Total Return at Net Asset Value | | | (4.15 | )%3,4 | | | (1.91 | )%3,4 |
Total Return at Market Value | | | (4.36 | )%4 | | | (2.77 | )%4 |
| | | | | | | | | |
| Ratios/Supplemental Data: | | | | | | | | |
| Net assets, end of period (000's) omitted | | $ | 2,350 | | | $ | 2,452 | |
| Ratio to average net assets of: | | | | | | | | |
| Expenses | | | 0.99 | %5 | | | 0.99 | %5 |
| Net investment income (loss) | | | (0.31 | )%5 | | | (0.69 | )%5 |
Portfolio turnover rate6 | | | 0 | % | | | 0 | % |
1 | Commencement of Operations. |
2 | Based on average daily shares outstanding. |
3 | Net realized and unrealized loss on investments includes an increase in per share net asset value of $0.37 and $0.07 related to a voluntary reimbursement by the adviser for commission expenses on futures transactions for the periods ended September 30, 2017 and March 31, 2017, respectively. This reimbursement increased total return at net asset value by 0.41% and 0.28% for the periods ended September 30, 2017 and March 31, 2017, respectively. |
5 | Annualized for periods less than one year. |
6 | Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. |
The accompanying notes are an integral part of these financial statements.
13
Elkhorn Fundamental Commodity Strategy ETF |
Consolidated Financial Highlights |
| | | Six-Months Ended September 30, 2017
(Unaudited) | | | For the Period September 20, 20161 to
March 31, 2017 | |
| Per Share Operating Performance: | | | | | | | | |
| (for a share of capital stock outstanding throughout each period presented) | | | | | | | | |
| Net asset value, beginning of period | | $ | 25.24 | | | $ | 25.00 | |
| | | | | | | | | |
| Income from Investment Operations: | | | | | | | | |
Net investment loss2 | | | (0.02 | ) | | | (0.07 | ) |
| Net realized and unrealized gain on investments | | | 0.71 | 3 | | | 0.31 | 3 |
| Total gain from investment operations | | | 0.69 | | | | 0.24 | |
| Net asset value, end of period | | $ | 25.93 | | | $ | 25.24 | |
| Market value, end of period | | $ | 25.99 | | | $ | 25.22 | |
Total Return at Net Asset Value | | | 2.75 | %3,4 | | | 0.94 | %3,4 |
Total Return at Market Value | | | 2.14 | %4 | | | 0.44 | %4 |
| | | | | | | | | |
| Ratios/Supplemental Data: | | | | | | | | |
| Net assets, end of period (000's) omitted | | $ | 9,076 | | | $ | 8,833 | |
| Ratio to average net assets of: | | | | | | | | |
| Expenses | | | 0.75 | %5 | | | 0.75 | %5 |
| Net investment income (loss) | | | (0.12 | )%5 | | | (0.50 | )%5 |
Portfolio turnover rate6 | | | 0 | % | | | 0 | % |
1 | Commencement of Operations. |
2 | Based on average daily shares outstanding. |
3 | Net realized and unrealized loss on investments includes an increase in per share net asset value of $0.10 and $0.04 related to a voluntary reimbursement by the adviser for commission expenses on futures transactions for the periods ended September 30, 2017 and March 31, 2017, respectively. This reimbursement increased total return at net asset value by 1.50% and 0.16% for the periods ended September 30, 2017 and March 31, 2017, respectively. |
5 | Annualized for periods less than one year. |
6 | Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. |
The accompanying notes are an integral part of these financial statements.
14
Elkhorn S&P High Quality Preferred ETF |
Financial Highlights |
| | | Six-Months Ended September 30, 2017
(Unaudited) | | | For the Period May 23,
20161 to
March 31, 2017 | |
| Per Share Operating Performance: | | | | | | | | |
| (for a share of capital stock outstanding throughout each period presented) | | | | | | | | |
| Net asset value, beginning of period | | $ | 24.06 | | | $ | 25.07 | |
| | | | | | | | | |
| Income from Investment Operations: | | | | | | | | |
Net investment income2 | | | 0.63 | | | | 1.21 | |
| Net realized and unrealized gain (loss) on investments | | | 0.11 | | | | (1.17 | ) |
| Total gain from investment operations | | | 0.74 | | | | 0.04 | |
| | | | | | | | | |
| Less distributions from: | | | | | | | | |
| Net investment income | | | (0.70 | ) | | | (1.05 | ) |
| Net asset value, end of period | | $ | 24.10 | | | $ | 24.06 | |
| Market value, end of period | | $ | 24.03 | | | $ | 24.10 | |
Total Return at Net Asset Value | | | 3.10 | %3 | | | 0.18 | %3 |
Total Return at Market Value | | | 2.97 | %3 | | | (0.10 | )%3 |
| | | | | | | | | |
| Ratios/Supplemental Data: | | | | | | | | |
| Net assets, end of period (000's) omitted | | $ | 20,485 | | | $ | 12,030 | |
| Ratio to average net assets of: | | | | | | | | |
| Expenses | | | 0.47 | %4 | | | 0.48 | %4,5 |
| Net investment income | | | 5.23 | %4 | | | 5.86 | %4 |
Portfolio turnover rate6 | | | 27 | % | | | 171 | % |
1 | Commencement of Operations. |
2 | Based on average daily shares outstanding. |
4 | Annualized for periods less than one year. |
5 | The ratio of expenses to average net assets include tax expenses of 0.01%. |
6 | Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. |
The accompanying notes are an integral part of these financial statements.
15
Notes to Financial Statements |
September 30, 2017 (unaudited) |
1. ORGANIZATION
The Elkhorn ETF Trust (the “Trust”) was organized as a Massachusetts business trust on December 17, 2013, and is authorized to issue an unlimited number of shares. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Elkhorn Commodity Rotation Strategy ETF, Elkhorn Fundamental Commodity Strategy ETF, and Elkhorn S&P High Quality Preferred ETF, (each a “Fund” and collectively, “Funds”) are presented herein. Each Fund is classified as a non-diversified series of the Trust.
Fund | Commencement of operations | Commencement of trading on secondary market |
Elkhorn Commodity Rotation Strategy ETF | September 20, 2016 | September 21, 2016 |
Elkhorn Fundamental Commodity Strategy ETF | September 20, 2016 | September 21, 2016 |
Elkhorn S&P High Quality Preferred ETF | May 23, 2016 | May 24, 2016 |
Fund | Investment objectives |
Elkhorn Commodity Rotation Strategy ETF | The Fund seeks to provide investors with total return. |
Elkhorn Fundamental Commodity Strategy ETF | The Fund seeks to provide investors with total return. |
Elkhorn S&P High Quality Preferred ETF | The Fund seeks investment results that generally correspond (before fees and expenses) to the price and yield of the S&P U.S. High Quality Preferred Stock Index. |
2. CONSOLIDATION OF SUBSIDIARIES
Elkhorn Cayman Fund 2 and Elkhorn Cayman Fund 1 (each, a “Subsidiary”: collectively, the “Subsidiaries”) are organized under the laws of the Cayman Islands as wholly-owned subsidiaries which act as investment vehicles for Elkhorn Commodity Rotation Strategy ETF and Elkhorn Fundamental Commodity Strategy ETF, respectively. The principal purpose of the investments of the Funds noted above in the Subsidiaries is to allow the Funds to gain exposure to the commodity markets within the limitations of the federal tax law requirements applicable to regulated investment companies.
The following table reflects the net assets of each Subsidiary as a percentage of each Fund’s net assets at September 30, 2017:
| Fund | | Wholly Owned Subsidiary | | Value | | | Percentage of Fund’s
Net Assets | |
| Elkhorn Commodity Rotation Strategy ETF | | Elkhorn Cayman Fund 2 | | $ | 440,307 | | | | 18.7 | % |
| Elkhorn Fundamental Commodity Strategy ETF | | Elkhorn Cayman Fund 1 | | | 1,975,450 | | | | 21.8 | |
The Consolidated Schedules of Investments; Consolidated Statements of Assets and Liabilities, of Operations and of Changes in Net Assets; and the Consolidated Financial Highlights of the Funds listed above include the accounts of wholly-owned subsidiaries. All inter-company accounts and transactions have been eliminated in consolidation.
3. SIGNIFICANT ACCOUNTING POLICIES
Use of Estimates: These financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which require management to make estimates and assumptions that affect the reported amount of assets and liabilities, the disclosure of contingent liabilities at the date of the financial statements, and the reported amount of increase and decrease in net assets from operations during the reporting period. Actual amounts could differ from these estimates. The Funds follow the accounting and reporting guidance in the Accounting Standards Codifications 946, “Financial Services—Investment Companies” issued by the U.S. Financial Accounting Standards Board.
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements.
16
Notes to Financial Statements |
September 30, 2017 (unaudited), continued |
Investment Transactions and Investment Income: Investment transactions are recorded on the trade date. Realized gains and losses on sales of investment securities are calculated using specific identification basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as each Fund is informed of the ex-dividend dates. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis.
Dividend Distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. The Funds distribute all or substantially all of their net investment income to shareholders in the form of dividends.
Futures contracts: The Elkhorn Commodity Rotation Strategy ETF and Elkhorn Fundamental Commodity Strategy ETF, through their Subsidiaries, invest in a combination of exchange-listed commodity futures contracts in the normal course of pursuing their investment objectives. A futures contract is a financial instrument in which a party agrees to pay a fixed price for securities or commodities at a specified future date. Futures contracts are traded at market prices on exchanges pursuant to terms common to all market participants. Upon entering into such contracts, the Funds are required to deposit with the broker, either in cash or in securities, an initial margin in an amount equal to a certain percentage of the contract amount. Subsequent fluctuations in the value of the contract are recorded for financial statement purposes as unrealized gains or losses by the Funds and variation margin receivable or payable. Payments received or paid by the Funds adjust the variation margin accounts. When a contract is closed, the Funds record a realized gain or loss.
Futures contracts may be highly volatile. Price movements may be sudden and extreme, and are influenced by a variety of factors including, among other things, changing supply and demand relationships; climate; government agricultural, trade, fiscal, monetary and exchange control programs and policies; national and international political and economic events; crop diseases; the purchasing and marketing programs of different nations; and changes in interest rates.
Open futures contracts at September 30, 2017, if any, are listed in the Consolidated Schedules of Investments. Variation margin, if applicable, is shown in Variation margin receivable or payable within the Consolidated Statements of Assets and Liabilities.
4. SECURITIES VALUATION
Investment Valuation: Each Fund calculates its net asset value (“NAV”) each day the New York Stock Exchange (the “NYSE”) is open for trading as of the close of regular trading on the NYSE, normally 4:00 p.m. Eastern time (the “NAV Calculation Time”).
Common stocks, preferred stocks and other equity securities listed on any national or foreign exchange other than The Nasdaq Stock Market (“Nasdaq”) are valued at the last sale price on the business day as of which such value is being determined. Securities listed on Nasdaq are valued at the official closing price on the business day as of which such value is being determined. If there has been no sale on such day, or no official closing price in the case of securities traded on Nasdaq, the securities are valued at the mean of the most recent bid and ask prices on such day. Portfolio securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, on the business day as of which such value is being determined at the close of the exchange representing the principal market for such securities. Such valuations are typically categorized as Level 1 in the fair value hierarchy described below.
Debt securities are valued using information provided by a third-party pricing service. The third-party pricing service primarily uses broker quotes to value the securities. Such valuations are typically categorized as Level 2 in the fair value hierarchy described below.
If a market quotation is not readily available or is deemed not to reflect market value, Elkhorn Investments, LLC, (the “Adviser”) determines the price of the security held by each Fund based on a determination of the security’s fair value pursuant to policies and procedures approved by the Board of Trustees (the “Board”). In addition, each Fund may use fair valuation to price securities that trade on a foreign exchange when a significant event has occurred after the foreign exchange closes but before the time at which the Fund’s NAV is calculated. Such valuations would typically be categorized as Level 2 or Level 3 in the fair value hierarchy described below..
Exchange-traded futures contracts are valued at the closing price in the market where such contracts are principally traded. If no closing price is available, exchange-traded futures contracts are fair valued at the mean of the last bid and asked prices, if available, and otherwise at the closing bid price. Such valuations are typically categorized as Level 1 in the fair value hierarchy described below.
Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Board or its delegate at fair value. These securities generally include but are not limited to, restricted securities (securities which may not be publicly sold without registration under the 1933 Act) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market price is not available from a pre- established pricing source; a security
17
Notes to Financial Statements |
September 30, 2017 (unaudited), continued |
with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of each Fund net asset value (as may be the case in foreign markets on which the security is primarily traded) or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, does not reflect the security’s “fair value.” A variety of factors may be considered in determining the fair value of such securities.
Valuing the Funds’ investments using fair value pricing will result in using prices for those investments that may differ from current market valuations.
FAIR VALUATION MEASUREMENT:
The Financial Accounting Standards Board established a framework for measuring fair value in accordance with U.S. GAAP. Under Fair Value Measurements and Disclosures, various inputs are used in determining the value of the exchange traded fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three Levels of inputs of the fair value hierarchy are defined as follows:
Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities.
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 securities, 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; representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement.
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 hierarchy classification of inputs used to value each Fund’s investments at September 30, 2017, is disclosed at the end of each Fund’s Schedule of Investments or Consolidated Schedule of Investments.
5. ADVISORY AND OTHER AGREEMENTS
Advisory and Other Fees: The Funds pay to the Adviser, a related party, a fee calculated daily and payable monthly at an annual rate (stated as a percentage of the average daily net assets of each Fund) in return for providing investment management and supervisory services as follows:
Fund | Management
Fees |
Elkhorn Commodity Rotation Strategy ETF | 0.99% |
Elkhorn Fundamental Commodity Strategy ETF | 0.75% |
Elkhorn S&P High Quality Preferred ETF | 0.47% |
Subject to the supervision of the Board, the Adviser pays substantially all expenses associated with the operation of each Fund, except for distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, taxes, interest, and extraordinary expenses.
Administrator, Custodian, Accounting Agent and Transfer Agent Services: The Bank of New York Mellon, a wholly-owned subsidiary of The Bank of New York Mellon Corporation, serves as Administrator, Custodian, Accounting Agent and Transfer Agent for the Fund.
Distribution and Service Fees: Effective August 7, 2017, Foreside Fund Services, LLC (the “Distributor”), serves as the Funds’ distributor. Prior to August 7, 2017, ALPS Distributors, Inc. served as the Funds’ distributor. The Trust has adopted a distribution and service plan (“Rule 12b-1 Plan”) pursuant to Rule 12b-1 under the 1940 Act. Under the Rule 12b-1 Plan, the Fund is authorized to pay
18
Notes to Financial Statements |
September 30, 2017 (unaudited), continued |
an amount up to a maximum annual rate of 0.25% of its average net assets in connection with the sale and distribution of its shares and pay service fees in connection with the provision of ongoing services to shareholders. No fees are currently paid by the Funds under the plan, and the Funds will not pay 12b-1 fees any time before September 30, 2018.
In order to better position the Adviser and its products for future growth, the Adviser’s parent, Elkhorn Capital Group, LLC, entered into strategic discussions with Veracen, LP (“Veracen”). As part of a proposed transaction, Veracen would acquire Elkhorn Capital Group, LLC and would become the new parent of the Adviser. However, there are no assurances or guarantees that this proposed transaction will materialize.
6. CREATION AND REDEMPTION TRANSACTIONS
There were an unlimited number of shares of beneficial interest at $0.01 par value authorized by the Trust. Individual shares of the Funds may only be purchased and sold at market prices on a national securities exchange through a broker-dealer. Such transactions may be subject to customary commission rates imposed by the broker-dealer, and market prices for the Fund’s shares may be at, above or below its NAV depending on the premium or discount at which the Fund’s shares trade.
Each Fund issues and redeems shares at its NAV only in a large specified number of shares each called a “Creation Unit,” or multiples thereof, and only with “authorized participants” who have entered into contractual arrangements with the Distributor. A Creation Unit for the Funds consists of 50,000 shares. Except when aggregated in Creation Units, shares of the Funds are not redeemable. Transactions in shares for each Fund are disclosed in detail in the Statement of Changes in Net Assets. The consideration for a purchase of Creation Units generally consists of the in-kind deposit of specified securities and an amount of cash or, as permitted or required by the Funds, of cash. A fixed transaction fee is imposed on each creation and redemption transaction. In addition, a variable charge for certain creation and redemption transactions will be imposed.
7. INVESTMENT TRANSACTIONS
The cost of purchases and the proceeds from sales of investment securities (excluding short- term investments) for the period ended September 30, 2017 were the following:
| Fund | | Purchases | | | Sales | |
| Elkhorn S&P High Quality Preferred ETF | | $ | 5,169,921 | | | $ | 4,798,361 | |
For the period ended September 30, 2017, the cost of in-kind subscriptions and the proceeds from in-kind redemptions were the following:
| Fund | | In-kind
Subscriptions | | | In-kind Redemptions | |
| Elkhorn S&P High Quality Preferred ETF | | $ | 8,490,635 | | | $ | — | |
8. VALUATION OF DERIVATIVE INSTRUMENTS
The Funds have adopted authoritative standards of accounting for derivative instruments which establish disclosure requirement for derivative instruments. These standards improve financial reporting for derivative instruments by requiring enhanced disclosures that enables investors to understand how and why a fund uses derivatives instruments, how derivatives instruments are accounted for and how derivative instruments affect a fund’s financial position and results of operations. The Funds use derivative instruments as part of their principal investment strategy to achieve their investment objective.
The following is the location and each Fund’s fair values of derivative investments disclosed, if any, in the Consolidated Statements of Assets and Liabilities, categorized by primary market risk exposure as of September 30, 2017.
| Fund | | Asset Derivatives: | | Commodity Risk | |
| Elkhorn Commodity Rotation Strategy ETF | | Unrealized appreciation on futures contracts (1) | | $ | 763,033 | |
| Elkhorn Fundamental Commodity Strategy ETF | | Unrealized appreciation on futures contracts (1) | | | 1,829,821 | |
| Fund | | Liability Derivatives: | | Commodity Risk | |
| Elkhorn Commodity Rotation Strategy ETF | | Unrealized depreciation on futures contracts (1) | | $ | 497,249 | |
| Elkhorn Fundamental Commodity Strategy ETF | | Unrealized depreciation on futures contracts (1) | | | 1,043,903 | |
(1) | Included within cumulative appreciation (depreciation) on futures contracts as reported in the Consolidated Schedules of Investments. Only current day’s variation margin is reported within the Consolidated Statements of Assets and Liabilities. |
19
Notes to Financial Statements |
September 30, 2017 (unaudited), continued |
The following is the location and the effect of derivative investments, if any, on the Consolidated Statements of Operations, categorized by primary market risk exposure during the period ended September 30, 2017.
| Fund | | Realized Gain (Loss) | | Commodity Risk | |
| Elkhorn Commodity Rotation Strategy ETF | | Futures contracts | | $ | (104,684 | ) |
| Elkhorn Fundamental Commodity Strategy ETF | | Futures contracts | | | (258,412 | ) |
The following is the location and the effect of derivative investments, if any, on the Consolidated Statements of Operations, categorized by primary market risk exposure during the period ended September 30, 2017.
| Fund | | Change in Unrealized Gain (Loss): | | Commodity Risk | |
| Elkhorn Commodity Rotation Strategy ETF | | Futures contracts | | $ | 5,147 | |
| Elkhorn Fundamental Commodity Strategy ETF | | Futures contracts | | | 533,486 | |
The following is a summary of the fiscal quarter end average volume on derivative activity for the period ended September 30, 2017.
| | | Elkhorn Commodity Rotation
Strategy ETF | | | Elkhorn Fundamental Commodity Strategy ETF | |
| Futures contracts: | | | | | | |
| Average notional value of contracts* | | $ | 16,323,867 | | | $ | 22,012,450 | |
* | For the purpose of this calculation, notional amounts outstanding are at absolute value. |
9. FEDERAL INCOME TAX MATTERS
The Funds intend to qualify as a ‘‘regulated investment company’’ under Subchapter M of the Internal Revenue Code of 1986, as amended. If so qualified, the Funds will not be subject to Federal income tax to the extent they distribute substantially all of their net investment income and net capital gains to its shareholders. Accounting for Uncertainty in Income Taxes provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements, and requires the evaluation of tax positions taken or expected to be taken in the course of preparing each Fund’s tax returns to determine whether the tax positions are ‘‘more-likely-than-not’’ of being sustained by the applicable tax authority. Tax positions not deemed to meet the more- than-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Interest and penalty related to income taxes would be recorded as income tax expense. Management of the Funds is required to analyze all open tax years (2016 and 2017), as defined by IRS statute of limitations, for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of September 30, 2017, the Funds did not have a liability for any unrecognized tax benefits. The Funds have no examination in progress and are not aware of any tax positions for which it is reasonably possible that the amounts of unrecognized tax benefits will significantly change in the next twelve months.
20
Notes to Financial Statements |
September 30, 2017 (unaudited), continued |
At September 30, 2017, the cost of investments and net unrealized appreciation (depreciation) for federal income tax purposes were as follows:
| Fund | | Cost of Investments | | | Gross
Unrealized Appreciation | | | Gross
Unrealized Depreciation | | | Net Unrealized Appreciation (Depreciation) | |
| Elkhorn Commodity Rotation Strategy ETF | | $ | 1,896,858 | | | $ | 195 | | | $ | (49 | ) | | $ | 146 | |
| Elkhorn Fundamental Commodity Strategy ETF | | | 6,680,324 | | | | 989 | | | | (59 | ) | | | 930 | |
| Elkhorn S&P High Quality Preferred ETF | | | 21,242,177 | | | | 282,466 | | | | (110,856 | ) | | | 171,610 | |
Certain capital and qualified late year ordinary losses incurred after October 31 and December 31, respectively, and within the current taxable year, are deemed to arise on the first business day of each Fund’s next taxable year. During the fiscal period ended March 31, 2017, the following Funds incurred and will elect to defer post-October capital losses and late year ordinary losses as follows:
| Fund | | Post-October Losses on Capital | | | Late Year Ordinary Losses | |
| Elkhorn Commodity Rotation Strategy ETF | | $ | (2,086 | ) | | $ | (11,134 | ) |
| Elkhorn Fundamental Commodity Strategy ETF | | | (48 | ) | | | (12,844 | ) |
| Elkhorn S&P High Quality Preferred ETF | | | (732,404 | ) | | | — | |
At March 31, 2017, for Federal income tax purposes, the following Funds have capital loss carryforwards available to offset future capital gains for an unlimited period. To the extent that these loss carryforwards are utilized, capital gains so offset will not be distributed to shareholders.
| Fund | | Short-Term
No Expiration | | | Long-Term
No Expiration | |
| Elkhorn S&P High Quality Preferred ETF | | $ | 21,469 | | | $ | — | |
10. INDEMNIFICATION
In the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on industry experience, the Funds expect this risk of loss due to these warranties and indemnities to be remote.
11. PRINCIPAL RISKS
In the normal course of business, each Fund makes investments in financial instruments where the risk of potential loss exists due to changes in the market. The following is a description of select risks of investing in the Funds.
Index Risk. The Elkhorn S&P 500 High Quality Preferred ETF is not actively managed. The Funds invest in securities included in or representative of its Index regardless of their investment merit. Therefore, the Funds would not necessarily buy or sell a security unless that security is added or removed, respectively, from the Index, even if that security generally is under performing.
Non-Diversified Risk. Because the Funds are non-diversified and can invest a greater portion of their assets in securities of individual issuers than diversified funds, changes in the market value of a single investment could cause greater fluctuations in share price than would a diversified fund.
The Funds’ prospectus contains additional information regarding risks associated with investments in the Funds.
12. SUBSEQUENT EVENT
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
21
Supplemental Information (unaudited) |
Investors should consider the investment objective and policies, risk considerations, charges and ongoing expenses of an investment carefully before investing. The prospectus contains this and other information relevant to an investment in the Fund. Please read the prospectus carefully before investing. A copy of the Prospectus may be obtained without charge by writing to the Distributor, or by calling 630-355-4676 or visiting www.elkhorn.com.
QUARTERLY PORTFOLIO HOLDING INFORMATION
The Trust is required to disclose, after its first and third fiscal quarters, the complete schedule of the Fund’s portfolio holdings with the Securities and Exchange Commission (“SEC”) on Form N-Q. Form N-Q for the Trust is available on the SEC’s website at http://www.sec.gov. The Fund’s Form N-Q may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Trust’s Forms N-Q are available without charge, upon request, by calling 1-844-355-3837 or by writing to Elkhorn ETF Trust, 207 Reber Street, Suite 201, Wheaton, Illinois 60187.
PROXY VOTING INFORMATION
A description of the Fund’s proxy voting policies and procedures, as well as a record of how the Fund voted proxies during the most recent 12-month period ended June 30, is available without charge upon request by calling 312-219-6285. This information is also available on the SEC’s website at www.sec.gov.
DELIVERY OF SHAREHOLDER DOCUMENTS – HOUSEHOLDING
To reduce expenses, we may only mail one copy of the Fund’s shareholder updates, such as prospectus, annual report, semi-annual report, to those addresses shared by two or more accounts. If you are a direct shareholder and wish to receive individual copies of these documents, please call us at 630-384-8700. If you are not a direct shareholder, please contact your financial institution to opt out of house holding. We will begin sending you individual copies thirty days after receiving your request.
22
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INVESTMENT ADVISOR
Elkhorn Investments, LLC
207 Reber Street, Suite 201
Wheaton, IL 60187
DISTRIBUTOR
Foreside Fund Services, LLC.
Three Canal Plaza, Suite 100
Portland, ME, 04101
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT & TRANSFER AGENT
The Bank of New York Mellon
101 Barclay Street
New York, NY 10286
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Grant Thornton LLP
171 North Clark Street, Suite 200
Chicago, Illinois 60601
LEGAL COUNSEL
Chapman and Cutler LLP
111 West Monroe Street,
Chicago, Illinois 60603
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
| (a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period 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.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
| (a) | The Principal Executive Officer and Principal Financial Officer have evaluated the Registrant’s disclosure controls and procedures within 90 days of the filing date of this report and have concluded that these controls and procedures are effective. |
| (b) | There were no significant changes in the Registrant’s internal controls over financial reporting or in other factors that could significantly affect these controls subsequent to the date of their evaluation. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
| (a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
| (b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| (Registrant) | Elkhorn ETF Trust | |
| | | |
| By (Signature and Title)* | /s/ Benjamin T. Fulton | |
| | Benjamin T. Fulton, President and Chief Executive Officer |
| | (principal executive officer) | |
| | | |
| Date | 12/11/2017 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By (Signature and Title)* | /s/ Benjamin T. Fulton | |
| | Benjamin T. Fulton, President and Chief Executive Officer |
| | (principal executive officer) | |
| | | |
| Date | 12/11/2017 | |
| | | |
| By (Signature and Title)* | /s/ Philip L. Ziesemer | |
| | Philip L. Ziesemer, Chief Financial Officer | |
| | (principal financial officer) | |
| | | |
| Date | 12/11/2017 | |
| * | Print the name and title of each signing officer under his or her signature. |
