Core Alternative ETF | |||||||||
Schedule of Investments | |||||||||
July 31, 2023 (Unaudited) | |||||||||
Shares | Value | ||||||||
COMMON STOCKS - 98.4% | |||||||||
Basic Materials - 3.8% | |||||||||
Air Products & Chemicals, Inc. | 34,066 | $ | 10,401,372 | ||||||
The Mosaic Co. | 122,670 | 5,000,029 | |||||||
15,401,401 | |||||||||
Communications - 7.2% | |||||||||
Alphabet, Inc. - Class A (a) | 81,071 | 10,759,743 | |||||||
Cisco Systems, Inc. | 186,978 | 9,730,335 | |||||||
FactSet Research Systems, Inc. | 19,562 | 8,510,253 | |||||||
29,000,331 | |||||||||
Consumer, Cyclical - 12.1% | |||||||||
Dollar General Corp. | 44,386 | 7,495,020 | |||||||
Genuine Parts Co. | 63,521 | 9,891,490 | |||||||
McDonald's Corp. | 35,138 | 10,302,462 | |||||||
Starbucks Corp. | 97,778 | 9,931,311 | |||||||
Walmart, Inc. | 69,975 | 11,186,204 | |||||||
48,806,487 | |||||||||
Consumer, Non-Cyclical - 22.2% | |||||||||
Amgen, Inc. | 39,123 | 9,160,650 | |||||||
CVS Health Corp. | 57,908 | 4,325,148 | |||||||
Diageo PLC - ADR (b) | 58,819 | 10,348,615 | |||||||
Eli Lilly & Co. | 25,459 | 11,572,389 | |||||||
Johnson & Johnson | 71,444 | 11,969,013 | |||||||
Merck & Co., Inc. | 97,223 | 10,368,833 | |||||||
PepsiCo, Inc. | 52,322 | 9,808,282 | |||||||
The Procter & Gamble Co. | 69,250 | 10,823,775 | |||||||
UnitedHealth Group, Inc. | 21,310 | 10,790,745 | |||||||
89,167,450 | |||||||||
Energy - 5.0% | |||||||||
Chevron Corp. | 61,876 | 10,126,626 | |||||||
Exxon Mobil Corp. | 91,688 | 9,832,621 | |||||||
19,959,247 | |||||||||
Financial - 14.2% | |||||||||
Aflac, Inc. | 152,189 | 11,009,352 | |||||||
Capital One Financial Corp. | 67,693 | 7,921,435 | |||||||
Chubb Ltd. (b) | 36,601 | 7,481,610 | |||||||
CME Group, Inc. | 28,642 | 5,698,612 | |||||||
JPMorgan Chase & Co. | 88,211 | 13,933,810 | |||||||
Morgan Stanley | 119,914 | 10,979,326 | |||||||
57,024,145 | |||||||||
Industrial - 11.2% | |||||||||
Emerson Electric Co. | 105,400 | 9,628,290 | |||||||
L3Harris Technologies, Inc. | 37,986 | 7,197,967 | |||||||
Lockheed Martin Corp. | 19,813 | 8,843,929 | |||||||
Norfolk Southern Corp. | 39,499 | 9,226,571 | |||||||
Waste Management, Inc. | 62,905 | 10,303,210 | |||||||
45,199,967 | |||||||||
Technology - 18.2% | |||||||||
Accenture PLC - Class A (b) | 31,020 | 9,813,177 | |||||||
Advanced Micro Devices, Inc. (a) | 80,506 | 9,209,887 | |||||||
Apple, Inc. | 52,060 | 10,227,187 | |||||||
Broadridge Financial Solutions, Inc. | 64,237 | 10,786,677 | |||||||
Fiserv, Inc. (a) | 93,806 | 11,839,255 | |||||||
Microsoft Corp. | 32,071 | 10,773,290 | |||||||
Paychex, Inc. | 84,206 | 10,565,327 | |||||||
73,214,800 | |||||||||
Utilities - 4.5% | |||||||||
NextEra Energy, Inc. | 107,362 | 7,869,635 | |||||||
The Southern Co. | 139,733 | 10,108,285 | |||||||
17,977,920 | |||||||||
Total Common Stocks (Cost $362,207,600) | 395,751,748 | ||||||||
MONEY MARKET FUNDS - 1.7% | |||||||||
Short-Term Investments - 1.7% | |||||||||
First American Government Obligations Fund - Class X, 5.10% (c) | 6,784,453 | 6,784,453 | |||||||
Total Money Market Funds (Cost $6,784,453) | 6,784,453 | ||||||||
PURCHASED OPTIONS - 0.7% | Number of Contracts (d) | Notional Value | |||||||
PURCHASED PUT OPTIONS - 0.7% | |||||||||
CBOE S&P 500 Index | �� | ||||||||
Expiration: August 2023, Exercise Price: $4,530 | 450 | 729,000 | 206,503,200 | ||||||
Expiration: August 2023, Exercise Price: $4,540 | 650 | 585,000 | 298,282,400 | ||||||
Expiration: August 2023, Exercise Price: $4,565 | 700 | 1,743,000 | 321,227,200 | ||||||
Total Purchased Options (Cost $5,280,624) | 3,057,000 | ||||||||
Total Investments - 100.8% (Cost $374,272,677) | 405,593,201 | ||||||||
Other Assets Less Liabilities - (0.8)% | (3,183,251 | ) | |||||||
Net Assets - 100% | $ | 402,409,950 |
Percentages are stated as a percent of net assets. | |||||||||
ADR | American Depositary Receipt | ||||||||
CBOE | Chicago Board Options Exchange | ||||||||
PLC | Public Limited Company | ||||||||
(a) | Non-income producing security. | ||||||||
(b) | Foreign issued security. | ||||||||
(c) | The rate shown is the seven-day yield at period end. | ||||||||
(d) | Each contract has a multiplier of 100. |
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. | |||||||||
Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs | |||||||||
(including quoted prices for similar securities, interest rates, prepayment speeds and credit risk). Level 3 includes significant | |||||||||
unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The level assigned to the | |||||||||
securities valuations may not be an indication of the risk or liquidity associated with investing in those securities. | |||||||||
The Fund did not hold any investments during the period with significant unobservable inputs which would be classified as Level 3. | |||||||||
The following is a summary of the inputs used to value the Fund’s investments carried at fair value as of July 31, 2023: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments - Assets: | ||||||||||||||||
Common Stocks* | $ | 395,751,748 | $ | - | $ | - | $ | 395,751,748 | ||||||||
Money Market Funds | 6,784,453 | - | - | 6,784,453 | ||||||||||||
Purchased Options | - | 3,057,000 | - | 3,057,000 | ||||||||||||
Total Investments - Assets | $ | 402,536,201 | $ | 3,057,000 | $ | - | $ | 405,593,201 |
* See the Schedule of Investments for industry classifications. |