Core Alternative ETF |
Schedule of Investments |
as of January 31, 2024 (Unaudited) |
COMMON STOCKS - 95.6% | Shares | Value | |||||
Basic Materials - 3.4% | |||||||
Air Products & Chemicals, Inc. | 20,840 | $ | 5,328,996 | ||||
Mosaic Co. | 112,993 | 3,470,015 | |||||
8,799,011 | |||||||
Communications - 7.5% | |||||||
Alphabet, Inc. - Class A (a) | 49,238 | 6,898,245 | |||||
Cisco Systems, Inc. | 122,308 | 6,137,415 | |||||
FactSet Research Systems, Inc. | 13,045 | 6,208,376 | |||||
19,244,036 | |||||||
Consumer, Cyclical - 11.4% | |||||||
Dollar General Corp. | 29,877 | 3,945,855 | |||||
Genuine Parts Co. | 41,866 | 5,870,869 | |||||
McDonald's Corp. | 23,144 | 6,774,712 | |||||
Starbucks Corp. | 64,091 | 5,962,386 | |||||
Walmart, Inc. | 40,677 | 6,721,874 | |||||
29,275,696 | |||||||
Consumer, Non-cyclical - 23.2% | |||||||
Amgen, Inc. | 23,967 | 7,531,870 | |||||
CVS Health Corp. | 63,331 | 4,709,926 | |||||
Diageo PLC (b) | 38,625 | 5,574,746 | |||||
Eli Lilly & Co. | 11,459 | 7,398,045 | |||||
Johnson & Johnson | 46,743 | 7,427,463 | |||||
Merck & Co., Inc. | 59,333 | 7,166,240 | |||||
PepsiCo, Inc. | 34,457 | 5,807,038 | |||||
Procter & Gamble Co. | 45,323 | 7,122,056 | |||||
UnitedHealth Group, Inc. | 13,253 | 6,782,090 | |||||
59,519,474 | |||||||
Energy - 4.7% | |||||||
Chevron Corp. | 40,590 | 5,984,184 | |||||
Exxon Mobil Corp. | 60,016 | 6,170,245 | |||||
12,154,429 | |||||||
Financial - 11.9% | |||||||
Aflac, Inc. | 81,614 | 6,883,325 | |||||
Chubb Ltd.(b) | 24,233 | 5,937,085 | |||||
CME Group, Inc. | 19,260 | 3,964,478 | |||||
JPMorgan Chase & Co. | 42,491 | 7,408,731 | |||||
Morgan Stanley | 73,213 | 6,387,102 | |||||
30,580,721 | |||||||
Industrial - 9.8% | |||||||
Emerson Electric Co. | 69,071 | 6,335,883 | |||||
Lockheed Martin Corp. | 13,229 | 5,680,665 | |||||
Norfolk Southern Corp. | 26,164 | 6,154,819 | |||||
Waste Management, Inc. | 38,371 | 7,122,809 | |||||
25,294,176 | |||||||
Technology - 19.8% | |||||||
Accenture PLC - Class A (b) | 19,093 | 6,947,561 | |||||
Advanced Micro Devices, Inc.(a) | 27,328 | 4,582,632 | |||||
Apple, Inc. | 32,829 | 6,053,668 | |||||
Broadridge Financial Solutions, Inc. | 36,523 | 7,457,997 | |||||
Fiserv, Inc.(a) | 52,113 | 7,393,271 | |||||
Microsoft Corp. | 16,956 | 6,741,367 | |||||
NXP Semiconductors NV(b) | 24,169 | 5,089,266 | |||||
Paychex, Inc. | 55,213 | 6,721,078 | |||||
50,986,840 | |||||||
Utilities - 3.9% | |||||||
NextEra Energy, Inc. | 71,533 | 4,193,980 | |||||
Southern Co. | 85,281 | 5,928,735 | |||||
10,122,715 | |||||||
TOTAL COMMON STOCKS (Cost $227,105,078) | 245,977,098 | ||||||
REAL ESTATE INVESTMENT TRUSTS - 2.3% | Shares | Value | |||||
Realty Income Corp. | 108,602 | 5,906,863 | |||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $6,079,175) | 5,906,863 | ||||||
PURCHASED OPTIONS - 2.0% | Notional Amount | Contracts | (c) | Value | |||
Put Options - 2.0% | $– | ||||||
S&P 500 Index | – | $– | |||||
Expiration: 02/2024; Exercise Price: $4,755.00 | 254,396,625 | 525 | 425,250 | ||||
Expiration: 02/2024; Exercise Price: $4,775.00 | 181,711,875 | 375 | 772,500 | ||||
Expiration: 02/2024; Exercise Price: $4,850.00 | 327,081,375 | 675 | 2,173,500 | ||||
Expiration: 02/2024; Exercise Price: $4,880.00 | 157,483,625 | 325 | 1,685,125 | ||||
Total Put Options | 5,056,375 | ||||||
TOTAL PURCHASED OPTIONS (Cost $5,329,177) | 5,056,375 | ||||||
SHORT-TERM INVESTMENTS - 1.9% | |||||||
Money Market Funds - 1.9% | Shares | ||||||
First American Government Obligations Fund - Class X, 5.25%(d) | 5,000,542 | 5,000,542 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,000,542) | 5,000,542 | ||||||
TOTAL INVESTMENTS - 101.8% (Cost $243,513,972) | $ | 261,940,878 | |||||
Liabilities in Excess of Other Assets - (1.8)% | (4,580,864) | ||||||
TOTAL NET ASSETS - 100.0% | $ | 257,360,014 |
Percentages are stated as a percent of net assets. |
ADR - American Depositary Receipt |
PLC - Public Limited Company |
(a) | Non-income producing security. |
(b) | Foreign issued security |
(c) | Each contract has a multiplier of 100. |
(d) | The rate shown represents the 7-day effective yield as of period end. |
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 January 31, 2024:
Core Alternative ETF | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common Stocks | $ | 245,977,098 | $ | – | $ | – | $ | 245,977,098 | ||||||||
Real Estate Investment Trusts | 5,906,863 | – | – | 5,906,863 | ||||||||||||
Purchased Options | – | 5,056,375 | – | 5,056,375 | ||||||||||||
Money Market Funds | 5,000,542 | – | – | 5,000,542 | ||||||||||||
Total Assets | $ | 256,884,503 | $ | 5,056,375 | $ | – | $ | 261,940,878 | ||||||||
Refer to the Schedule of Investments for industry classifications. | ||||||||||||||||