Acruence Active Hedge U.S. Equity ETF | |||||||||
Consolidated Schedule of Investments | |||||||||
as of December 31, 2023 (Unaudited) | |||||||||
COMMON STOCKS - 87.5% | Shares | Value | |||||||
Apparel - 1.8% | |||||||||
Deckers Outdoor Corp.(a) | 787 | $ | 526,054 | ||||||
Banks - 10.0% | |||||||||
Goldman Sachs Group, Inc. | 1,451 | 559,752 | |||||||
KeyCorp | 27,212 | 391,853 | |||||||
PNC Financial Services Group, Inc. | 6,272 | 971,219 | |||||||
Truist Financial Corp. | 9,807 | 362,074 | |||||||
US Bancorp | 15,095 | 653,312 | |||||||
2,938,210 | |||||||||
Building Materials - 1.9% | |||||||||
Builders FirstSource, Inc.(a) | 3,382 | 564,591 | |||||||
Chemicals - 5.6% | |||||||||
International Flavors & Fragrances, Inc. | 16,442 | 1,331,309 | |||||||
LyondellBasell Industries NV - Class A | 3,379 | 321,275 | |||||||
1,652,584 | |||||||||
Commercial Services - 5.7% | |||||||||
Gartner, Inc.(a) | 1,250 | 563,887 | |||||||
Quanta Services, Inc. | 2,587 | 558,275 | |||||||
S&P Global, Inc. | 1,275 | 561,663 | |||||||
1,683,825 | |||||||||
Computers - 2.7% | |||||||||
International Business Machines Corp. | 4,925 | 805,484 | |||||||
Diversified Financial Services - 2.9% | |||||||||
Cboe Global Markets, Inc. | 2,656 | 474,255 | |||||||
Franklin Resources, Inc. | 12,239 | 364,600 | |||||||
838,855 | |||||||||
Electric - 5.5% | |||||||||
Duke Energy Corp. | 3,899 | 378,359 | |||||||
Sempra | 5,982 | 447,035 | |||||||
Southern Co. | 5,369 | 376,474 | |||||||
Vistra Corp. | 10,688 | 411,702 | |||||||
1,613,570 | |||||||||
Electronics - 1.9% | |||||||||
Amphenol Corp. - Class A | 5,573 | 552,451 | |||||||
Food - 1.5% | |||||||||
Tyson Foods, Inc. - Class A | 7,925 | 425,969 | |||||||
Home Builders - 1.5% | |||||||||
PulteGroup, Inc. | 4,387 | 452,826 | |||||||
Insurance - 11.3% | |||||||||
American International Group, Inc. | 5,460 | 369,915 | |||||||
Erie Indemnity Co. - Class A | 1,695 | 567,689 | |||||||
Fidelity National Financial, Inc. | 13,673 | 697,597 | |||||||
Lincoln National Corp. | 15,529 | 418,817 | |||||||
Prudential Financial, Inc. | 7,842 | 813,295 | |||||||
RLI Corp. | 3,348 | 445,686 | |||||||
3,312,999 | |||||||||
Internet - 5.8% | |||||||||
Meta Platforms, Inc. - Class A(a) | 1,645 | 582,263 | |||||||
Netflix, Inc.(a) | 1,162 | 565,755 | |||||||
Palo Alto Networks, Inc.(a) | 1,829 | 539,336 | |||||||
1,687,354 | |||||||||
Leisure Time - 1.5% | |||||||||
Royal Caribbean Cruises Ltd.(a) | 3,321 | 430,037 | |||||||
Machinery - Construction & Mining - 3.8% | |||||||||
Caterpillar, Inc. | 1,916 | 566,504 | |||||||
Vertiv Holdings Co. - Class A | 11,703 | 562,095 | |||||||
1,128,599 | |||||||||
Oil & Gas - 4.4% | |||||||||
Exxon Mobil Corp. | 12,854 | 1,285,143 | |||||||
Pharmaceuticals - 2.3% | |||||||||
Cardinal Health, Inc. | 3,407 | 343,425 | |||||||
Eli Lilly & Co. | 566 | 329,933 | |||||||
673,358 | |||||||||
Pipelines - 2.5% | |||||||||
Enterprise Products Partners LP | 27,262 | 718,354 | |||||||
Retail - 4.7% | |||||||||
Costco Wholesale Corp. | 557 | 367,665 | |||||||
Dillard's, Inc. - Class A | 1,138 | 459,354 | |||||||
Williams-Sonoma, Inc. | 2,692 | 543,191 | |||||||
1,370,210 | |||||||||
Semiconductors - 3.3% | |||||||||
Broadcom, Inc. | 496 | 553,660 | |||||||
NVIDIA Corp. | 836 | 414,004 | |||||||
967,664 | |||||||||
Software - 6.9% | |||||||||
Adobe, Inc.(a) | 613 | 365,716 | |||||||
Fair Isaac Corp.(a) | 479 | 557,561 | |||||||
Roper Technologies, Inc. | 643 | 350,544 | |||||||
Salesforce, Inc.(a) | 1,464 | 385,237 | |||||||
Synopsys, Inc.(a) | 685 | 352,713 | |||||||
2,011,771 | |||||||||
TOTAL COMMON STOCKS (Cost $24,487,867) | 25,639,908 | ||||||||
REAL ESTATE INVESTMENT TRUSTS - 3.6% | |||||||||
Digital Realty Trust, Inc. | 4,419 | 594,709 | |||||||
Essex Property Trust, Inc. | 1,828 | 453,234 | |||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $980,546) | 1,047,943 | ||||||||
OPTIONS PURCHASED - 0.0%(c)(d)(e) | Notional Amount | Contracts | |||||||
Call Options - 0.0%(e) | $ | – | |||||||
CBOE Volatility Index, Expiration: 01/17/2024; Exercise Price: $39.00 (f) | 2,677,675 | 1,925 | 11,550 | ||||||
Put Options - 0.0%(e) | $ | – | |||||||
S&P 500 Index, Expiration: 01/19/2024; Exercise Price: $4,185.00 (f) | 25,280,099 | 53 | 6,625 | ||||||
TOTAL OPTIONS PURCHASED (Cost $45,212) | 18,175 | ||||||||
SHORT-TERM INVESTMENTS - 1.4% | Shares | ||||||||
Money Market Funds - 1.4% | |||||||||
First American Government Obligations Fund - Class X, 5.28%(b)(g) | 420,258 | 420,258 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $420,258) | 420,258 | ||||||||
TOTAL INVESTMENTS - 92.5% (Cost $25,933,883) | $ | 27,126,284 | |||||||
Other Assets in Excess of Liabilities - 7.5% | 2,187,116 | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 29,313,400 | |||||||
Percentages are stated as a percent of net assets. |
(a) | Non-income producing security. |
(b) | Held in connection with written option contracts. See Schedule of Options Written for further information. |
(c) | Exchange-traded. |
(d) | 100 shares per contract. |
(e) | Represents less than 0.05% of net assets. |
(f) | The investment is a holding of Toroso Cayman Subsidiary I, a wholly-owned subsidiary of the Acruence Active Hedge U.S. Equity ETF. |
(g) | The rate shown represents the 7-day effective yield as of December 31, 2023. |
Acruence Active Hedge U.S. Equity ETF | ||||||||||||
Consolidated Schedule of Options Written | ||||||||||||
as of December 31, 2023 (Unaudited) | ||||||||||||
OPTIONS WRITTEN - 0.0% (a)(b)(c) | Notional Amount | Contracts | Value | |||||||||
Call Options - 0.0% (b) | ||||||||||||
Gartner, Inc., Expiration: 01/19/2024; Exercise Price: $470.00 (d) | $ | (541,332 | ) | (12 | ) | $ | (1,800 | ) | ||||
Netflix, Inc., Expiration: 01/05/2024; Exercise Price: $502.50 (d) | (535,568 | ) | (11 | ) | (1,463 | ) | ||||||
Synopsys, Inc., Expiration: 01/19/2024; Exercise Price: $550.00 (d) | (308,946 | ) | (6 | ) | (1,284 | ) | ||||||
Total Call Options | (4,547 | ) | ||||||||||
Put Options - 0.0% (b) | ||||||||||||
S&P 500 Index, Expiration: 01/19/2024; Exercise Price: $4,520.00 (d) | (25,280,099 | ) | (53 | ) | (19,080 | ) | ||||||
TOTAL OPTIONS WRITTEN (Premiums received $74,353) | $ | (23,627 | ) |
(a) | Exchange-traded. |
(b) | Represents less than 0.05% of net assets. |
(c) | 100 shares per contract. |
(d) | The investment is a holding of Toroso Cayman Subsidiary I, a wholly-owned subsidiary of the Acruence Active Hedge U.S. Equity ETF. |
Summary of Fair Value Exposure at December 31, 2023 (Unaudited)
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 December 31, 2023:
Acruence Active Hedge U.S. Equity ETF | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments: | ||||||||||||||||
Common Stocks | $ | 25,639,908 | $ | – | $ | – | $ | 25,639,908 | ||||||||
Real Estate Investment Trusts | 1,047,943 | – | – | 1,047,943 | ||||||||||||
Options Purchased | 18,175 | – | – | 18,175 | ||||||||||||
Money Market Funds | 420,258 | – | – | 420,258 | ||||||||||||
Total Investments | $ | 27,126,284 | $ | – | $ | – | $ | 27,126,284 | ||||||||
Investments Sold Short: | ||||||||||||||||
Options Written | $ | (23,627 | ) | $ | – | $ | – | $ | (23,627 | ) | ||||||
Total Investments Sold Short | $ | (23,627 | ) | $ | – | $ | – | $ | (23,627 | ) | ||||||
Refer to the Consolidated Schedule of Investments for industry classifications. |