UPAR Ultra Risk Parity ETF | |||||||
SCHEDULE OF INVESTMENTS at September 30, 2022 (Unaudited) | |||||||
Shares | Value | ||||||
Common Stocks - 23.0% | |||||||
Biotechnology - 0.5% | |||||||
Corteva, Inc. | 3,532 | $ | 201,854 | ||||
Building Materials - 0.1% | |||||||
Geberit AG | 92 | 39,959 | |||||
Chemicals - 2.1% | |||||||
CF Industries Holdings, Inc. | 1,019 | 98,079 | |||||
Ecolab, Inc. | 567 | 81,886 | |||||
FMC Corp. | 628 | 66,380 | |||||
K+S AG | 1,039 | 19,747 | |||||
The Mosaic Co. | 1,780 | 86,027 | |||||
Nutrien Ltd. | 2,899 | 243,051 | |||||
OCI N.V. | 1,178 | 43,345 | |||||
PhosAgro PJSC - GDR (1) | 1,126 | – | |||||
Sociedad Quimica y Minera de Chile S.A. - ADR | 1,166 | 105,815 | |||||
Yara International ASA | 1,190 | 41,857 | |||||
786,187 | |||||||
Distribution & Wholesale - 0.1% | |||||||
Ferguson PLC | 549 | 57,632 | |||||
Electrical Components & Equipment - 0.0% (3) | |||||||
Xinjiang Goldwind Science & Technology Co. Ltd. - Class H | 16,714 | 19,397 | |||||
Electronics - 0.1% | |||||||
Halma PLC | 939 | 21,436 | |||||
Energy - Alternate Sources - 1.0% | |||||||
Enphase Energy, Inc. (2) | 440 | 122,087 | |||||
First Solar, Inc. (2) | 311 | 41,136 | |||||
Ming Yang Smart Energy Group Ltd. - GDR (2) | 17 | 302 | |||||
Plug Power, Inc. (2) | 1,745 | 36,662 | |||||
Siemens Gamesa Renewable Energy S.A. | 2,227 | 39,107 | |||||
SolarEdge Technologies, Inc. (2) | 191 | 44,209 | |||||
Vestas Wind Systems A/S | 3,285 | 61,295 | |||||
Xinyi Solar Holdings Ltd. | 28,660 | 30,340 | |||||
375,138 | |||||||
Food - 0.2% | |||||||
Leroy Seafood Group ASA | 3,783 | 14,851 | |||||
Mowi ASA | 2,508 | 31,876 | |||||
Salmar ASA | 547 | 18,432 | |||||
65,159 | |||||||
Housewares - 0.0% (3) | |||||||
The Scotts Miracle-Gro Co. | 265 | 11,329 | |||||
Iron & Steel - 1.4% | |||||||
Fortescue Metals Group Ltd. | 14,763 | 159,654 | |||||
Mineral Resources Ltd. | 786 | 33,227 | |||||
Vale S.A. - ADR | 24,340 | 324,209 | |||||
517,090 | |||||||
Machinery - Diversified - 2.1% | |||||||
AGCO Corp. | 312 | 30,005 | |||||
CNH Industrial NV - Class A | 6,946 | 77,587 | |||||
Deere & Co. | 1,371 | 457,763 | |||||
IDEX Corp. | 176 | 35,173 | |||||
Kubota Corp. | 6,052 | 83,790 | |||||
The Toro Co. | 506 | 43,759 | |||||
Xylem, Inc. | 513 | 44,816 | |||||
772,893 | |||||||
Metal Fabricate & Hardware - 0.1% | |||||||
Advanced Drainage Systems, Inc. | 209 | 25,993 | |||||
Mining - 7.1% | |||||||
Allkem Ltd. (2) | 2,555 | 22,752 | |||||
Anglo American PLC | 5,902 | 180,225 | |||||
Antofagasta PLC | 4,401 | 54,803 | |||||
BHP Group Ltd. - ADR | 12,375 | 619,245 | |||||
Boliden AB | 1,167 | 36,443 | |||||
Cameco Corp. | 1,625 | 43,355 | |||||
China Molybdenum Co. Ltd. - Class H | 163,031 | 63,759 | |||||
First Quantum Minerals Ltd. | 3,771 | 64,357 | |||||
Freeport-McMoRan, Inc. | 7,161 | 195,710 | |||||
Glencore PLC | 63,525 | 339,069 | |||||
IGO Ltd. | 3,167 | 27,896 | |||||
Ivanhoe Mines Ltd. (2) | 5,625 | 36,393 | |||||
Jiangxi Copper Co. Ltd. - H Shares | 23,193 | 26,827 | |||||
Lundin Mining Corp. | 3,299 | 16,759 | |||||
Lynas Rare Earths Ltd. (2) | 3,694 | 17,955 | |||||
MMC Norilsk Nickel PJSC - ADR (1) | 3,990 | – | |||||
MP Materials Corp. (2) | 771 | 21,048 | |||||
NAC Kazatomprom JSC - GDR | 1,253 | 31,551 | |||||
OZ Minerals Ltd. | 1,447 | 23,984 | |||||
Pilbara Minerals Ltd. (2) | 13,887 | 40,715 | |||||
Rio Tinto PLC - ADR | 7,682 | 422,971 | |||||
South32 Ltd. | 20,407 | 47,628 | |||||
Southern Copper Corp. | 3,783 | 169,630 | |||||
Sumitomo Metal Mining Co. Ltd. | 1,272 | 36,558 | |||||
Teck Resources Ltd. - Class B | 2,702 | 82,611 | |||||
Turquoise Hill Resources, Ltd. (2) | 885 | 26,343 | |||||
2,648,587 | |||||||
Oil & Gas - 7.9% | |||||||
Aker BP ASA | 1,001 | 28,715 | |||||
BP PLC - ADR | 4,802 | 137,097 | |||||
Canadian Natural Resources Ltd. | 1,662 | 77,775 | |||||
Cenovus Energy, Inc. | 2,897 | 44,740 | |||||
Chevron Corp. | 2,973 | 427,131 | |||||
ConocoPhillips | 1,935 | 198,028 | |||||
Continental Resources Inc/OK | 511 | 34,140 | |||||
Coterra Energy, Inc. | 1,051 | 27,452 | |||||
Devon Energy Corp. | 919 | 55,259 | |||||
Diamondback Energy, Inc. | 301 | 36,258 | |||||
Ecopetrol S.A. - ADR | 3,747 | 33,461 | |||||
Eni S.p.A - ADR | 2,684 | 56,740 | |||||
EOG Resources, Inc. | 923 | 103,127 | |||||
EQT Corp. | 563 | 22,942 | |||||
Equinor ASA - ADR | 4,961 | 164,259 | |||||
Exxon Mobil Corp. | 6,274 | 547,783 | |||||
Gazprom PJSC - ADR (1) | 11,925 | – | |||||
Hess Corp. | 418 | 45,558 | |||||
Imperial Oil Ltd. | 918 | 39,959 | |||||
Inpex Corp. | 2,056 | 19,304 | |||||
LUKOIL PJSC - ADR (1) | 818 | – | |||||
Marathon Oil Corp. | 914 | 20,638 | |||||
Novatek PJSC - GDR (1) | 329 | – | |||||
Occidental Petroleum Corp. | 1,403 | 86,214 | |||||
OMV AG | 441 | 16,145 | |||||
Pioneer Natural Resources Co. | 375 | 81,199 | |||||
Repsol S.A. (2) | 2,263 | 26,171 | |||||
Rosneft Oil Co PJSC - GDR (1) | 10,479 | – | |||||
Santos Ltd. - ADR | 5,196 | 24,109 | |||||
Shell PLC - ADR | 5,666 | 281,940 | |||||
Suncor Energy, Inc. | 2,041 | 57,782 | |||||
Total S.A. - ADR | 4,251 | 197,756 | |||||
Tourmaline Oil Corp. | 630 | 32,916 | |||||
Woodside Energy Group Ltd. | 2,834 | 57,688 | |||||
2,982,286 | |||||||
Water - 0.3% | |||||||
American Water Works Co., Inc. | 439 | 57,140 | |||||
Essential Utilities, Inc. | 642 | 26,566 | |||||
Veolia Environnement S.A. | 1,787 | 34,505 | |||||
118,211 | |||||||
Total Common Stocks | |||||||
(Cost $10,248,122) | 8,643,151 | ||||||
Exchange Traded Funds - 26.3% | |||||||
Vanguard FTSE Developed Markets ETF | 22,520 | 818,827 | |||||
Vanguard FTSE Emerging Markets ETF | 49,677 | 1,812,714 | |||||
Vanguard Extended Market ETF | 8,982 | 1,141,702 | |||||
SPDR Gold MiniShares Trust (2) | 184,859 | 6,096,650 | |||||
Total Exchange Traded Funds | |||||||
(Cost $11,141,107) | 9,869,893 | ||||||
Principal Amount | |||||||
United States Treasury Obligations - 49.3% | |||||||
US Government Bonds - 49.3% | |||||||
2.125%, 2/15/2040 | $ | 371,476 | 385,938 | ||||
2.125%, 2/15/2041 | 2,064,541 | 2,126,566 | |||||
0.750%, 2/15/2042 | 2,441,417 | 1,959,747 | |||||
0.625%, 2/15/2043 | 2,606,959 | 2,000,789 | |||||
1.375%, 2/15/2044 | 2,576,824 | 2,288,510 | |||||
0.750%, 2/15/2045 | 2,664,804 | 2,050,158 | |||||
1.000%, 2/15/2046 | 2,239,466 | 1,811,440 | |||||
0.875%, 2/15/2047 | 2,095,104 | 1,638,858 | |||||
1.000%, 2/15/2048 | 2,090,540 | 1,689,950 | |||||
1.000%, 2/15/2049 | 1,333,994 | 1,083,364 | |||||
0.250%, 2/15/2050 | 1,175,448 | 768,376 | |||||
0.125%, 2/15/2051 | 540,541 | 338,196 | |||||
0.125%, 2/15/2052 | 639,650 | 403,150 | |||||
Total United States Treasury Obligations | |||||||
(Cost $24,309,449) | 18,545,042 | ||||||
Shares | |||||||
Short-Term Investments - 1.1% | |||||||
Money Market Funds - 1.1% | |||||||
First American Government Obligations Fund, Class X, 2.775% (4) | 399,572 | 399,572 | |||||
Total Short-Term Investments | |||||||
(Cost $399,572) | 399,572 | ||||||
Total Investments in Securities - 99.7% | |||||||
(Cost $46,098,250) | 37,457,658 | ||||||
Other Assets in Excess of Liabilities - 0.3% | 113,761 | ||||||
Total Net Assets - 100.0% | $ | 37,571,419 | |||||
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) | Does not round to 0.1% or (0.1)%, as applicable. | ||||||
(4) | The rate shown is the annualized seven-day effective yield as of September 30, 2022. |
SCHEDULE OF FUTURES CONTRACTS at September 30, 2022 (Unaudited) | ||||||||||||||||
The UPAR Ultra Risk Parity ETF (the “Fund”) had the following futures contracts outstanding with PhillipCapital. | ||||||||||||||||
Unrealized | ||||||||||||||||
Number of | Notional | Appreciation | Notional | |||||||||||||
Long Futures Contracts Outstanding | Contracts | Amount | (Depreciation) | Value | ||||||||||||
CME Group E-Mini S&P 500 Index Future (12/16/2022) | 332 | $ | 6,547,774 | $ | (569,284 | ) | $ | 5,978,490 | ||||||||
MSCI Emerging Markets Index Future (12/16/2022) | 55 | 2,640,742 | (244,117 | ) | 2,396,625 | |||||||||||
MSCI EAFE Index Future (12/16/2022) | 25 | 2,258,249 | (182,499 | ) | 2,075,750 | |||||||||||
10-Year U.S. Treasury Note Future (12/20/2022) | 94 | 11,056,735 | (522,860 | ) | 10,533,875 | |||||||||||
Ultra Long-Term U.S. Treasury Bond Future (12/20/2022) | 73 | 11,004,490 | (1,003,490 | ) | 10,001,000 | |||||||||||
$ | 33,507,990 | $ | (2,522,250 | ) | $ | 30,985,740 |
Summary of Fair Value Exposure at September, 2022 (Unaudited) | |||||||
The UPAR Ultra 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 as of September 30, 2022: |
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks (1) | $ | 8,643,151 | $ | – | $ | 0 | (2) | $ | 8,643,151 | |||||||
Exchange Traded Funds | 9,869,893 | - | - | 9,869,893 | ||||||||||||
United States Treasury Obligations (3) | - | 18,545,042 | - | 18,545,042 | ||||||||||||
Short-Term Investments | 399,572 | - | - | 399,572 | ||||||||||||
Total Investments in Securities | $ | 18,912,616 | $ | 18,545,042 | $ | 0 | $ | 37,457,658 | ||||||||
Other Financial Instruments (4) | ||||||||||||||||
Interest Rate Contracts - Futures | $ | (2,522,250 | ) | $ | - | $ | - | $ | (2,522,250 | ) | ||||||
Investments in Securities at Fair Value(3) | ||||||||||||||||
Balance as of January 3, 2022 (5) | $ | 0 | ||||||||||||||
Accrued discounts/premiums | - | |||||||||||||||
Realized gain (loss) | (9,204 | ) | ||||||||||||||
Change in unrealized appreciation/depreciation | (412,084 | ) | ||||||||||||||
Acquisitions | 425,379 | |||||||||||||||
Dispositions | (4,091 | ) | ||||||||||||||
Transfer into and/or out of Level 3 | - | |||||||||||||||
Balance as of September 30, 2022 | $ | 0 | ||||||||||||||
Change in unrealized appreciation/depreciation during the period for Level 3 investments held at September 30, 2022: | $ | (412,084 | ) | |||||||||||||
(1) See Schedule of Investments for the 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. |