RPAR Risk Parity ETF | |||||||
SCHEDULE OF INVESTMENTS at September 30, 2022 (Unaudited) | |||||||
Shares | Value | ||||||
Common Stocks - 15.7% | |||||||
Biotechnology - 0.4% | |||||||
Corteva, Inc. | 70,421 | $ | 4,024,560 | ||||
Building Materials - 0.1% | |||||||
Geberit AG | 1,940 | 842,621 | |||||
Chemicals - 1.5% | |||||||
CF Industries Holdings, Inc. | 20,153 | 1,939,726 | |||||
Ecolab, Inc. | 14,981 | 2,163,556 | |||||
FMC Corp. | 12,454 | 1,316,388 | |||||
The Mosaic Co. | 34,007 | 1,643,558 | |||||
Nutrien Ltd. | 55,795 | 4,677,838 | |||||
OCI N.V. | 28,927 | 1,064,391 | |||||
PhosAgro PJSC - GDR (1) | 52,122 | – | |||||
Sociedad Quimica y Minera de Chile S.A. - ADR | 25,940 | 2,354,055 | |||||
Yara International ASA | 24,290 | 854,377 | |||||
16,013,889 | |||||||
Distribution & Wholesale - 0.1% | |||||||
Ferguson PLC | 12,526 | 1,314,935 | |||||
Energy - Alternate Sources - 0.7% | |||||||
Enphase Energy, Inc. (2) | 11,516 | 3,195,344 | |||||
First Solar, Inc. (2) | 6,778 | 896,526 | |||||
Plug Power, Inc. (2) | 33,690 | 707,827 | |||||
Siemens Gamesa Renewable Energy S.A. | 41,197 | 723,431 | |||||
SolarEdge Technologies, Inc. (2) | 3,695 | 855,245 | |||||
Vestas Wind Systems A/S | 66,225 | 1,235,693 | |||||
Xinyi Solar Holdings Ltd. | 536,109 | 567,531 | |||||
8,181,597 | |||||||
Food - 0.1% | |||||||
Mowi ASA | 42,261 | 537,122 | |||||
Salmar ASA | 11,409 | 384,444 | |||||
921,566 | |||||||
Iron & Steel - 0.9% | |||||||
Fortescue Metals Group Ltd. | 274,122 | 2,964,472 | |||||
Mineral Resources Ltd. | 15,924 | 673,171 | |||||
Vale S.A. - ADR | 474,477 | 6,320,034 | |||||
9,957,677 | |||||||
Machinery - Diversified - 1.5% | |||||||
AGCO Corp. | 7,138 | 686,461 | |||||
CNH Industrial NV - Class A | 136,445 | 1,524,091 | |||||
Deere & Co. | 28,859 | 9,635,732 | |||||
IDEX Corp. | 4,156 | 830,577 | |||||
Kubota Corp. | 102,540 | 1,419,670 | |||||
The Toro Co. | 10,621 | 918,504 | |||||
Xylem, Inc. | 10,350 | 904,176 | |||||
15,919,211 | |||||||
Mining - 4.8% | |||||||
Allkem Ltd. (2) | 57,852 | 515,164 | |||||
Anglo American PLC | 115,969 | 3,541,260 | |||||
Antofagasta PLC | 82,659 | 1,029,293 | |||||
BHP Group Ltd. - ADR (3) | 244,399 | 12,229,726 | |||||
Boliden AB | 22,410 | 699,814 | |||||
Cameco Corp. | 31,748 | 847,045 | |||||
China Molybdenum Co. Ltd. - Class H | 2,687,579 | 1,051,079 | |||||
First Quantum Minerals Ltd. | 76,277 | 1,301,769 | |||||
Freeport-McMoRan, Inc. | 142,809 | 3,902,970 | |||||
Glencore PLC | 1,248,466 | 6,663,772 | |||||
IGO Ltd. | 65,859 | 580,114 | |||||
Ivanhoe Mines Ltd. (2) | 116,740 | 755,299 | |||||
Jiangxi Copper Co. Ltd. - H Shares | 472,317 | 546,330 | |||||
MMC Norilsk Nickel PJSC - ADR (1) | 181,762 | – | |||||
MP Materials Corp. (2) | 14,992 | 409,281 | |||||
NAC Kazatomprom JSC - GDR | 29,905 | 753,008 | |||||
OZ Minerals Ltd. | 31,292 | 518,673 | |||||
Pilbara Minerals Ltd. (2) | 264,316 | 774,936 | |||||
Rio Tinto PLC - ADR (3) | 157,012 | 8,645,081 | |||||
South32 Ltd. | 380,720 | 888,566 | |||||
Southern Copper Corp. | 75,486 | 3,384,792 | |||||
Sumitomo Metal Mining Co. Ltd. | 24,620 | 707,584 | |||||
Teck Resources Ltd. - Class B | 54,240 | 1,658,326 | |||||
51,403,882 | |||||||
Oil & Gas - 5.4% | |||||||
Aker BP ASA | 19,649 | 563,654 | |||||
BP PLC - ADR | 102,091 | 2,914,698 | |||||
Canadian Natural Resources Ltd. | 32,365 | 1,514,551 | |||||
Cenovus Energy, Inc. | 55,611 | 858,823 | |||||
Chevron Corp. | 57,785 | 8,301,971 | |||||
ConocoPhillips | 38,169 | 3,906,215 | |||||
Continental Resources Inc/OK | 12,777 | 853,631 | |||||
Coterra Energy, Inc. | 27,221 | 711,013 | |||||
Devon Energy Corp. | 18,261 | 1,098,034 | |||||
Diamondback Energy, Inc. | 5,182 | 624,224 | |||||
Ecopetrol S.A. - ADR (3) | 64,747 | 578,191 | |||||
Eni S.p.A - ADR | 55,973 | 1,183,269 | |||||
EOG Resources, Inc. | 17,310 | 1,934,046 | |||||
EQT Corp. | 10,978 | 447,354 | |||||
Equinor ASA - ADR | 99,245 | 3,286,002 | |||||
Exxon Mobil Corp. | 122,626 | 10,706,476 | |||||
Gazprom PJSC - ADR (1)(2) | 523,190 | – | |||||
Hess Corp. | 8,628 | 940,366 | |||||
Imperial Oil Ltd. | 18,149 | 789,994 | |||||
LUKOIL PJSC - ADR (1) | 31,173 | – | |||||
Marathon Oil Corp. | 17,452 | 394,066 | |||||
Novatek PJSC - GDR (1) | 13,358 | – | |||||
Occidental Petroleum Corp. | 28,680 | 1,762,386 | |||||
Pioneer Natural Resources Co. | 6,671 | 1,444,472 | |||||
Repsol S.A. (2) | 43,375 | 501,623 | |||||
Rosneft Oil Co PJSC - GDR (1) | 488,696 | – | |||||
Santos Ltd. - ADR | 95,902 | 444,985 | |||||
Shell PLC - ADR | 111,684 | 5,557,396 | |||||
Suncor Energy, Inc. | 42,470 | 1,202,346 | |||||
Total S.A. - ADR | 83,303 | 3,875,256 | |||||
Tourmaline Oil Corp. | 10,797 | 564,111 | |||||
Woodside Energy Group Ltd. | 55,328 | 1,126,246 | |||||
58,085,399 | |||||||
Water - 0.2% | |||||||
American Water Works Co., Inc. | 9,617 | 1,251,749 | |||||
Veolia Environnement S.A. | 38,299 | 739,513 | |||||
Essential Utilities, Inc. | 8,851 | 366,254 | |||||
2,357,516 | |||||||
Total Common Stocks | |||||||
(Cost $194,860,818) | 169,022,853 | ||||||
Exchange Traded Funds - 36.5% | |||||||
SPDR Gold MiniShares Trust (2)(3) | 3,593,114 | 118,500,900 | |||||
Vanguard FTSE Developed Markets ETF | 1,513,646 | 55,036,168 | |||||
Vanguard FTSE Emerging Markets ETF (3) | 2,255,278 | 82,295,094 | |||||
Vanguard Total Stock Market ETF (3) | 771,191 | 138,405,649 | |||||
Total Exchange Traded Funds | |||||||
(Cost $471,219,649) | 394,237,811 | ||||||
Principal Amount | |||||||
United States Treasury Obligations - 45.3% | |||||||
United States Treasury Bills - 11.9% | |||||||
1.725%, 12/8/2022 (4)(5) | $ | 129,548,000 | 128,841,067 | ||||
United States Treasury Inflation Indexed Bonds - 33.4% | |||||||
2.125%, 2/15/2040 | 7,225,276 | 7,506,575 | |||||
2.125%, 2/15/2041 | 40,132,722 | 41,338,444 | |||||
0.750%, 2/15/2042 | 47,451,604 | 38,089,825 | |||||
0.625%, 2/15/2043 | 50,672,689 | 38,890,267 | |||||
1.375%, 2/15/2044 | 50,075,809 | 44,472,962 | |||||
0.750%, 2/15/2045 | 51,779,986 | 39,836,752 | |||||
1.000%, 2/15/2046 | 43,515,170 | 35,198,166 | |||||
0.875%, 2/15/2047 | 40,716,441 | 31,849,713 | |||||
1.000%, 2/15/2048 | 40,635,780 | 32,849,137 | |||||
1.000%, 2/15/2049 | 25,911,042 | 21,042,894 | |||||
0.250%, 2/15/2050 | 22,834,806 | 14,926,825 | |||||
0.125%, 2/15/2051 | 10,500,141 | 6,569,547 | |||||
0.125%, 2/15/2052 | 12,574,823 | 7,925,496 | |||||
360,496,603 | |||||||
Total United States Treasury Obligations | |||||||
(Cost $673,436,747) | 489,337,670 | ||||||
Shares | |||||||
Short-Term Investments - 0.0% (7) | |||||||
Money Market Funds - 0.0% (7) | |||||||
First American Government Obligations Fund, Class X, 2.775% (6) | 214,587 | 214,587 | |||||
Total Short-Term Investments | |||||||
(Cost $214,587) | 214,587 | ||||||
Investments Purchased With Collateral From Securities Lending - 6.2% | |||||||
First American Government Obligations Fund, Class X, 2.775% (6) | 66,315,057 | 66,315,057 | |||||
Total Investments Purchased With Collateral From Securities Lending | |||||||
(Cost $66,315,057) | 66,315,057 | ||||||
Total Investments in Securities - 103.7% | |||||||
(Cost $1,406,046,858) | 1,119,127,978 | ||||||
Liabilities in Excess of Other Assets - (3.7)% | (39,574,216) | ||||||
Total Net Assets - 100.0% | $ | 1,079,553,762 | |||||
ADR | American Depositary Receipt | ||||||
GDR | Global Depositary Receipt | ||||||
(1) | Fair valuation determined by Valuation Designee (as defined in Rule 2a-5). | ||||||
(2) | Non-income producing security. | ||||||
(3) | This security or a portion of this security was out on loan as of September 30, 2022. Total loaned securities had a value of $64,187,909 or 5.9% of net assets. The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. | ||||||
(4) | Rate represents the annualized effective yield to maturity from the purchase price. | ||||||
(5) | Zero coupon security. | ||||||
(6) | The rate shown is the annualized seven-day effective yield as of September 30, 2022. | ||||||
(7) | Does not round to 0.1% or (0.1)%, as applicable. |
SCHEDULE OF FUTURES CONTRACTS at September 30, 2022 (Unaudited) | ||||||||||||||||
The RPAR Risk Parity ETF had the following futures contracts outstanding with PhillipCapital. | ||||||||||||||||
Unrealized | ||||||||||||||||
Number of | Notional | Appreciation | Notional | |||||||||||||
Long Futures Contracts Outstanding | Contracts | Amount | (Depreciation) | Value | ||||||||||||
10-Year U.S. Treasury Note Futures (12/20/2022) | 1,826 | $ | 214,807,278 | $ | (10,181,153 | ) | 204,626,125 | |||||||||
Ultra Long-Term U.S. Treasury Bond Futures (12/20/2022) | 1,432 | 216,017,878 | (19,833,878 | ) | 196,184,000 | |||||||||||
$ | 430,825,156 | $ | (30,015,031 | ) | $ | 400,810,125 |
Summary of Fair Value Exposure at September 30, 2022 (Unaudited) | |||||||||
The RPAR Risk Parity ETF (the “Fund”) utilizes various methods to measure the fair value of its investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are: | |||||||||
• Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has 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 spreads, 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 Fund’s 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. | |||||||||
The following is a summary of the inputs used to value the Fund’s investments and certain derivatives instruments as of September 30, 2022: |
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks (1) | $ | 169,022,853 | $ | – | $ | 0 | (2) | $ | 169,022,853 | |||||||||||
Exchange Traded Funds | 394,237,811 | - | - | 394,237,811 | ||||||||||||||||
United States Treasury Obligations (3) | - | 489,337,670 | - | 489,337,670 | ||||||||||||||||
Short-Term Investments | 214,587 | - | - | 214,587 | ||||||||||||||||
Investments Purchased With Collateral From Securities Lending | 66,315,057 | - | - | 66,315,057 | ||||||||||||||||
Total Investments in Securities | $ | 629,790,308 | $ | 489,337,670 | $ | 0 | $ | 1,119,127,978 | ||||||||||||
Other Financial Instruments (4) | ||||||||||||||||||||
Future Contracts | $ | (30,015,031 | ) | $ | - | $ | - | $ | (30,015,031 | ) | ||||||||||
Investments in Securities at Fair Value(2) | ||||||||||||||||||||
Balance as of December 31, 2021 | $ | 1,312,559 | ||||||||||||||||||
Accrued discounts/premiums | - | |||||||||||||||||||
Realized gain (loss) | 126,607 | |||||||||||||||||||
Change in unrealized appreciation/depreciation | (21,967,239 | ) | ||||||||||||||||||
Acquisitions | 1,253,242 | |||||||||||||||||||
Dispositions | (636,187 | ) | ||||||||||||||||||
Transfer into and/or out of Level 3 | 19,911,018 | |||||||||||||||||||
Balance as of September 30, 2022 | $ | 0 | ||||||||||||||||||
Change in unrealized appreciation/depreciation during the period for Level 3 investments held at September 30, 2022: | $ | (21,429,168 | ) | |||||||||||||||||
(1) See Schedule of Investments for industry breakout. | ||||||||||||||||||||
(2) The Level 3 securities (Common Stocks) are fair valued at $0 due to a halt in trading of Russian securities as a result of the ongoing Ukrainian/Russian conflict and the Russian markets being currently uninvestible. | ||||||||||||||||||||
(3) See Schedule of Investments for the security type breakout. | ||||||||||||||||||||
(4) Other Financial Instruments are derivative instruments not reflected in the Schedule of Investments, such as futures contracts, which are presented at the unrealized appreciation/depreciation on the investment. |