Acruence Active Hedge U.S. Equity ETF | |||||||||
CONSOLIDATED SCHEDULE OF INVESTMENTS at June 30, 2023 (Unaudited) | |||||||||
Common Stocks - 80.8% | Shares | Value | |||||||
Aerospace & Defense - 3.2% | |||||||||
Howmet Aerospace, Inc. | 6,627 | $ | 328,434 | ||||||
Lockheed Martin Corp. | 430 | 197,964 | |||||||
The Boeing Co. (1) | 689 | 145,489 | |||||||
671,887 | |||||||||
Airlines - 1.4% | |||||||||
Delta Air Lines, Inc. (1) | 6,175 | 293,560 | |||||||
Beverages - 1.2% | |||||||||
Monster Beverage Corp. (1) | 4,252 | 244,235 | |||||||
Biotechnology - 1.2% | |||||||||
Vertex Pharmaceuticals, Inc. (1) | 726 | 255,487 | |||||||
Building Materials - 1.4% | |||||||||
Builders FirstSource, Inc. (1) | 1,171 | 159,256 | |||||||
Owens Corning (1) | 996 | 129,978 | |||||||
289,234 | |||||||||
Coal - 1.1% | |||||||||
Teck Resources Ltd. | 5,728 | 241,149 | |||||||
Commercial Services - 1.2% | |||||||||
Quanta Services, Inc. | 1,327 | 260,689 | |||||||
Computers - 2.6% | |||||||||
Super Micro Computer, Inc. (1) | 2,229 | 555,578 | |||||||
Cosmetics & Personal Care - 1.2% | |||||||||
The Procter & Gamble Co. | 1,651 | 250,523 | |||||||
Distribution & Wholesale - 2.7% | |||||||||
Fastenal Co. | 2,866 | 169,065 | |||||||
W.W. Grainger, Inc. | 513 | 404,547 | |||||||
573,612 | |||||||||
Electrical Components & Equipment - 2.0% | |||||||||
Belden, Inc. | 2,630 | 251,559 | |||||||
Emerson Electric Co. | 1,857 | 167,854 | |||||||
419,413 | |||||||||
Electronics - 2.3% | |||||||||
Jabil, Inc. | 4,507 | 486,441 | |||||||
Food - 1.0% | |||||||||
Mondelez International, Inc. | 2,774 | 202,336 | |||||||
Healthcare - Products - 3.4% | |||||||||
Boston Scientific Corp. (1) | 4,748 | 256,819 | |||||||
Intuitive Surgical, Inc. (1) | 585 | 200,035 | |||||||
Zimmer Biomet Holdings, Inc. | 1,782 | 259,459 | |||||||
716,313 | |||||||||
Healthcare - Services - 1.0% | |||||||||
HCA Healthcare, Inc. | 661 | 200,600 | |||||||
Electronics - 1.2% | |||||||||
Flex Ltd. (1) | 9,251 | 255,698 | |||||||
Internet - 3.0% | |||||||||
Alphabet, Inc. - Class A (1) | 1,492 | 178,592 | |||||||
Palo Alto Networks, Inc. (1) | 654 | 167,104 | |||||||
Perion Network Ltd. (1) | 9,075 | 278,330 | |||||||
624,026 | |||||||||
Iron and Steel - 2.1% | |||||||||
Carpenter Technology Corp. | 2,952 | 165,696 | |||||||
Commercial Metals Co. | 5,230 | 275,412 | |||||||
441,108 | |||||||||
Commercial Services - 1.9% | |||||||||
Booz Allen Hamilton Holding Corp. | 3,529 | 393,836 | |||||||
Mining - 0.8% | |||||||||
Freeport-McMoRan, Inc. | 4,178 | 167,120 | |||||||
Miscellaneous Manufacturers - 2.4% | |||||||||
Illinois Tool Works, Inc. | 681 | 170,359 | |||||||
Parker-Hannifin Corp. | 856 | 333,874 | |||||||
504,233 | |||||||||
Oil & Gas - 7.3% | |||||||||
ConocoPhillips | 2,930 | 303,577 | |||||||
Diamondback Energy, Inc. | 2,301 | 302,260 | |||||||
Phillips 66 | 2,458 | 234,444 | |||||||
Pioneer Natural Resources Co. | 2,178 | 451,238 | |||||||
Black Stone Minerals LP | 15,151 | 241,658 | |||||||
1,533,177 | |||||||||
Mining - 0.6% | |||||||||
BHP Group Ltd. | 2,036 | 121,488 | |||||||
Pharmaceuticals - 3.0% | |||||||||
Eli Lilly & Co. | 544 | 255,125 | |||||||
Merck & Co., Inc. | 2,190 | 252,704 | |||||||
Zoetis, Inc. | 741 | 127,608 | |||||||
635,437 | |||||||||
Pipelines - 4.0% | |||||||||
ONEOK, Inc. | 4,395 | 271,259 | |||||||
Targa Resources Corp. | 5,156 | 392,372 | |||||||
The Williams Company, Inc. | 5,338 | 174,179 | |||||||
837,810 | |||||||||
Retail - 6.7% | |||||||||
Chipotle Mexican Grill, Inc. (1) | 90 | 192,510 | |||||||
Darden Restaurants, Inc. | 2,001 | 334,327 | |||||||
Genuine Parts Co. | 1,556 | 263,322 | |||||||
McDonald's Corp. | 700 | 208,887 | |||||||
Starbucks Corp. | 1,648 | 163,251 | |||||||
Yum! Brands, Inc. | 1,821 | 252,299 | |||||||
1,414,596 | |||||||||
Semiconductors - 10.2% | |||||||||
Advanced Micro Devices, Inc. (1) | 2,436 | 277,485 | |||||||
Allegro MicroSystems, Inc. (1) | 6,158 | 277,972 | |||||||
Analog Devices, Inc. | 747 | 145,523 | |||||||
Broadcom, Inc. | 598 | 518,723 | |||||||
Lam Research Corp. | 596 | 383,145 | |||||||
Microchip Technology, Inc. | 3,800 | 340,442 | |||||||
NVIDIA Corp. | 463 | 195,858 | |||||||
2,139,148 | |||||||||
Transportation - 1.6% | |||||||||
FLEX LNG Ltd. | 10,735 | 327,740 | |||||||
Software - 6.7% | |||||||||
Adobe, Inc. (1) | 326 | 159,411 | |||||||
ANSYS, Inc. (1) | 558 | 184,291 | |||||||
Cadence Design Systems, Inc. (1) | 789 | 185,036 | |||||||
Microsoft Corp. | 740 | 251,999 | |||||||
Oracle Corp. | 2,767 | 329,522 | |||||||
Synopsys, Inc. (1) | 687 | 299,127 | |||||||
1,409,386 | |||||||||
Telecommunications - 0.9% | |||||||||
Arista Networks, Inc. (1) | 1,125 | 182,317 | |||||||
Engineering & Construction - 1.5% | |||||||||
MasTec, Inc. (1) | 2,636 | 310,969 | |||||||
TOTAL COMMON STOCKS | |||||||||
(Cost $15,832,604) | 16,959,146 | ||||||||
Contracts | Notional Amount | ||||||||
Options Purchased - 9.5% | |||||||||
Call Options - 4.4% | |||||||||
CBOE S&P Index | |||||||||
Expiration 7/21/2023, Exercise Price $4,000 (3) | 20 | $ | 542,040 | 932,320 | |||||
CBOE Volatility Index | |||||||||
Expiration 7/19/2023, Exercise Price $40 (3) | 746 | 16,412 | 2,984 | ||||||
Put Options - 5.1% | |||||||||
CBOE S&P Index | |||||||||
Expiration 07/21/2023, Exercise Price $5,000 (3) | 20 | 1,513,220 | 1,073,700 | ||||||
Total Options Purchased | |||||||||
(Cost $2,072,881) | 2,009,004 | ||||||||
Shares | |||||||||
Short Term Investments - 14.1% | |||||||||
Money Market Funds - 14.1% | |||||||||
First American Government Obligations Fund, Class X, 5.006% (2) | 2,958,365 | 2,958,365 | |||||||
Total Short-Term Investments | |||||||||
(Cost $2,958,365) | 2,958,365 | ||||||||
Total Investments in Securities - 104.4% | |||||||||
(Cost $20,863,850) | 21,926,515 | ||||||||
Assets in Excess of Other Liabilities - (4.4)% | (932,271 | ) | |||||||
Total Net Assets - 100.0% | $ | 20,994,244 |
(1) | Non-income producing security. | ||||||
(2) | The rate shown is the annualized seven-day effective yield as of June 30, 2023. | ||||||
(3) | The investment is a holding of Toroso Cayman Subsidiary I, a wholly-owned subsidiary of the Acruence Active Hedge U.S. Equity ETF. | ||||||
(4) | Does not round to 0.1% or (0.1)%, as applicable. |
Acruence Active Hedge U.S. Equity ETF | ||||||||||||
CONSOLIDATED SCHEDULE OF OPTIONS WRITTEN at June 30, 2023 (Unaudited) | ||||||||||||
Contracts | Notional Amount | Value | ||||||||||
Options Written - 0.0% (1) | ||||||||||||
Call Options - 0.0% (1) | ||||||||||||
CBOE S&P Index | ||||||||||||
Expiration 7/21/2023, Exercise Price $5,000 (2) | 20 | $ | 200 | $ | 140 | |||||||
Put Options - 0.0% (1) | ||||||||||||
SPX US Index | ||||||||||||
Expiration 7/21/2023, Exercise Price $4,000 (2) | 20 | 71,060 | 4,540 | |||||||||
Total Options Written | ||||||||||||
(Premium Received $71,192) | $ | 4,680 |
(1) Does not round to (0.1)% or 0.1%, as applicable. | |||||
(2) The investment is a holding of Toroso Cayman Subsidiary I, a wholly-owned subsidiary of the Acruence Active Hedge U.S. Equity ETF. | |||||
Percentages are stated as a percent of net assets. |
Summary of Fair Value Exposure at June 30, 2023 (Unaudited) | ||||
The Acruence Active Hedge U.S. Equity 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 consolidated investments as of June 30, 2023: |
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | |||||||||||
Common Stock (1) | $ | 16,959,146 | $ | – | $ | – | $ | 16,959,146 | |||||||
Options Purchased | 2,009,004 | - | - | 2,009,004 | |||||||||||
Short-Term Investments | 2,958,365 | - | - | 2,958,365 | |||||||||||
Total Investments in Securities | $ | 21,926,515 | $ | – | $ | – | $ | 21,926,515 | |||||||
Options Written | Level 1 | Level 2 | Level 3 | Total | |||||||||||
Call Options | $ | 140 | $ | – | $ | – | $ | 140 | |||||||
Put Options | 4,540 | - | - | 4,540 | |||||||||||
Total Options Written | $ | 4,680 | $ | – | $ | – | $ | 4,680 | |||||||
(1) See Consolidated Schedule of Investments for industry breakout. |