UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number (811-23377)
Tidal ETF Trust
(Exact name of registrant as specified in charter)
234 West Florida Street, Suite 203
Milwaukee, Wisconsin 53204
(Address of principal executive offices) (Zip code)
Eric W. Falkeis
Tidal ETF Trust
234 West Florida Street, Suite 203
Milwaukee, Wisconsin 53204
(Name and address of agent for service)
(844) 986-7700
Registrant's telephone number, including area code
Date of fiscal year end: September 30, 2023
Date of reporting period: March 31, 2023
Item 1. Reports to Stockholders.
(a) |
Gotham Enhanced 500 ETF (GSPY)
Gotham 1000 Value ETF (GVLU)
Semi-Annual Report
March 31, 2023
of
Tidal ETF Trust
Gotham ETFs
This report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective prospectus.
TABLE OF CONTENTS | ||
| ||
| 1 | |
| 2 | |
| 18 | |
| 19 | |
17 | 20 | |
| 22 | |
| 24 | |
| 33 | |
Basis for Trustees’ Approval of Investment Advisory and Sub-Advisory Agreements | | 34 |
| 38 | |
| 39 |
Gotham ETFs
1 |
The accompanying notes are an integral part of these financial statements.
Sector/Security Type | % of | ||
Technology | 24.4 | % | |
Consumer, Non-cyclical | 19.7 | | |
Communications | 16.9 | | |
Financial | 14.1 | | |
Industrial | 8.4 | | |
Consumer, Cyclical | 6.9 | | |
Energy | 6.2 | | |
Basic Materials | 2.1 | | |
Utilities | 1.1 | | |
Cash & Cash Equivalents(1) | 0.2 |
| |
Total | 100.0 | % | |
(1)Represents short-term investments, and other liabilities in excess of assets.
Gotham 1000 Value ETF PORTFOLIO ALLOCATION at March 31, 2023 (Unaudited) |
Sector/Security Type | % of | ||
Consumer, Non-cyclical | 18.1 | % | |
Industrial | 17.1 | | |
Energy | 16.3 | | |
Consumer, Cyclical | 14.7 | | |
Financial | 13.7 | | |
Basic Materials | 7.3 | | |
Technology | 6.0 | | |
Communications | 5.6 | | |
Utilities | 0.9 | | |
Cash & Cash Equivalents(1) | 0.3 |
| |
Total | 100.0 | % | |
(1)Represents cash, short-term investments, and other liabilities in excess of assets.
Gotham Enhanced 500 ETF
2 |
The accompanying notes are an integral part of these financial statements.
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| Value |
|
Common Stocks — 99.8% | | | | |
| | | | |
Advertising — 0.2% | | | | |
The Interpublic Group of Company, | 8,104 | | $301,793 | |
Omnicom Group, Inc. | 4,174 | | 393,775 | |
| | | 695,568 | |
Aerospace & Defense — 1.1% | | | | |
The Boeing Co. (2) | 1,681 | | 357,095 | |
General Dynamics Corp. | 783 | | 178,688 | |
Howmet Aerospace, Inc. | 1,057 | | 44,785 | |
L3Harris Technologies, Inc. | 528 | | 103,615 | |
Lockheed Martin Corp. | 3,329 | | 1,573,718 | |
Northrop Grumman Corp. | 1,240 | | 572,533 | |
Raytheon Technologies Corp. | 3,596 | | 352,156 | |
TransDigm Group, Inc. | 135 | | 99,502 | |
| | | 3,282,092 | |
Agriculture — 1.4% | | | | |
Altria Group, Inc. | 39,024 | | 1,741,251 | |
Archer-Daniels-Midland Co. | 1,536 | | 122,358 | |
Bunge Ltd. | 2,827 | | 270,035 | |
Philip Morris International, Inc. | 19,600 | | 1,906,100 | |
| | | 4,039,744 | |
Airlines — 0.1% | | | | |
Alaska Air Group, Inc. (2) | 311 | | 13,050 | |
American Airlines Group, Inc. (2) | 1,612 | | 23,777 | |
Delta Air Lines, Inc. (2) | 1,578 | | 55,104 | |
Southwest Airlines Co. | 1,445 | | 47,020 | |
United Airlines Holdings, Inc. (2) | 800 | | 35,400 | |
| | | 174,351 | |
Apparel — 0.2% | | | | |
Nike, Inc. - Class A | 3,839 | | 470,815 | |
Ralph Lauren Corp. - Class A (1) | 193 | | 22,517 | |
Tapestry, Inc. (1) | 4,807 | | 207,230 | |
VF Corp. | 1,084 | | 24,834 | |
| | | 725,396 | |
Auto Manufacturers — 1.7% | | | | |
Cummins, Inc. | 398 | | 95,074 | |
Ford Motor Co. | 11,295 | | 142,317 | |
General Motors Co. | 29,440 | | 1,079,859 | |
PACCAR, Inc. | 10,499 | | 768,527 | |
Tesla, Inc. (1)(2) | 14,059 | | 2,916,680 | |
| | | 5,002,457 | |
Auto Parts & Equipment — 0.1% | | | | |
Aptiv PLC (2) | 659 | | 73,933 | |
BorgWarner, Inc. | 4,703 | | 230,965 | |
| | 304,898 |
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| Value |
|
Common Stocks — 99.8% (Continued) | | | | |
| | | | |
Banks — 3.1% | | | | |
Bank of America Corp. | 64,253 | | $1,837,636 | |
The Bank of New York | 3,195 | | 145,181 | |
Citigroup, Inc. | 5,431 | | 254,659 | |
Citizens Financial Group, Inc. (1) | 1,383 | | 42,002 | |
Comerica, Inc. (1) | 1,054 | | 45,765 | |
Fifth Third Bancorp | 5,501 | | 146,547 | |
First Republic Bank (1) | 1,476 | | 20,649 | |
The Goldman Sachs Group, Inc. | 985 | | 322,203 | |
Huntington Bancshares, Inc. | 3,505 | | 39,256 | |
JPMorgan Chase & Co. | 23,604 | | 3,075,837 | |
KeyCorp (1) | 7,514 | | 94,075 | |
M&T Bank Corp. (1) | 1,361 | | 162,735 | |
Morgan Stanley (1) | 4,750 | | 417,050 | |
Northern Trust Corp. (1) | 1,678 | | 147,882 | |
The PNC Financial Services | 3,228 | | 410,279 | |
Regions Financial Corp. (1) | 2,424 | | 44,989 | |
State Street Corp. | 981 | | 74,252 | |
Truist Financial Corp. | 10,682 | | 364,256 | |
U.S. Bancorp (1) | 30,913 | | 1,114,414 | |
Wells Fargo & Co. | 10,563 | | 394,845 | |
Zions Bancorp N.A. | 3,001 | | 89,820 | |
| | | 9,244,332 | |
Beverages — 1.1% | | | | |
Brown-Forman Corp. - Class A | 1,164 | | 74,810 | |
The Coca-Cola Co. | 17,319 | | 1,074,297 | |
Constellation Brands, Inc. - Class 1 | 520 | | 117,463 | |
Keurig Dr Pepper, Inc. (1) | 27,828 | | 981,772 | |
Molson Coors Brewing Co. - | 610 | | 31,525 | |
Monster Beverage Corp. (2) | 2,574 | | 139,022 | |
PepsiCo, Inc. | 3,863 | | 704,225 | |
| | | 3,123,114 | |
Biotechnology — 2.6% | | | | |
Amgen, Inc. | 7,466 | | 1,804,906 | |
Biogen, Inc. (2) | 2,918 | | 811,292 | |
Bio-Rad Laboratories, Inc. - | 73 | | 34,968 | |
Corteva, Inc. | 2,011 | | 121,283 | |
Gilead Sciences, Inc. | 28,294 | | 2,347,553 | |
Illumina, Inc. (2) | 1,278 | | 297,199 | |
Incyte Corp. (2) | 1,801 | | 130,158 | |
Moderna, Inc. (2) | 7,648 | | 1,174,580 | |
Regeneron Pharmaceuticals, Inc. (2) | 716 | | 588,316 | |
Vertex Pharmaceuticals, Inc. (2) | 946 | | 298,056 | |
| | | 7,608,311 | |
Gotham Enhanced 500 ETF
3 |
The accompanying notes are an integral part of these financial statements.
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| Value |
|
Common Stocks — 99.8% (Continued) | | | | |
| | | | |
Building Materials — 0.3% | | | | |
Carrier Global Corp. | 2,389 | | $109,297 | |
Johnson Controls International PLC | 1,939 | | 116,767 | |
Martin Marietta Materials, Inc. | 153 | | 54,324 | |
Masco Corp. | 631 | | 31,373 | |
Mohawk Industries, Inc. (2) | 178 | | 17,839 | |
Trane Technologies PLC | 3,471 | | 638,595 | |
Vulcan Materials Co. | 327 | | 56,100 | |
| | | 1,024,295 | |
Chemicals — 1.4% | | | | |
Air Products and Chemicals, Inc. | 538 | | 154,519 | |
Albemarle Corp. | 294 | | 64,986 | |
Celanese Corp. | 305 | | 33,211 | |
CF Industries Holdings, Inc. (1) | 3,939 | | 285,538 | |
Dow, Inc. | 14,741 | | 808,102 | |
DuPont de Nemours, Inc. | 9,219 | | 661,648 | |
Eastman Chemical Co. | 2,496 | | 210,513 | |
Ecolab, Inc. | 693 | | 114,712 | |
FMC Corp. (1) | 2,540 | | 310,210 | |
International Flavors & Fragrances, Inc. 619 | | 56,923 | | |
Linde PLC | 1,390 | | 494,062 | |
LyondellBasell Industries NV | 4,295 | | 403,257 | |
The Mosaic Co. | 7,251 | | 332,676 | |
PPG Industries, Inc. | 572 | | 76,408 | |
The Sherwin-Williams Co. | 635 | | 142,729 | |
| | | 4,149,494 | |
Commercial Services — 1.2% | | | | |
Automatic Data Processing, Inc. | 2,770 | | 616,685 | |
Cintas Corp. | 251 | | 116,133 | |
CoStar Group, Inc. (2) | 966 | | 66,509 | |
Equifax, Inc. (1) | 302 | | 61,258 | |
FleetCor Technologies, Inc. (2) | 1,547 | | 326,185 | |
Gartner, Inc. (2) | 1,598 | | 520,580 | |
Global Payments, Inc. | 694 | | 73,037 | |
MarketAxess Holdings, Inc. | 93 | | 36,390 | |
Moody’s Corp. | 518 | | 158,518 | |
PayPal Holdings, Inc. (2) | 10,076 | | 765,171 | |
Quanta Services, Inc. | 351 | | 58,491 | |
Robert Half International, Inc. (1) | 2,259 | | 182,008 | |
Rollins, Inc. | 1,196 | | 44,886 | |
S&P Global, Inc. | 855 | | 294,778 | |
United Rentals, Inc. | 174 | | 68,862 | |
Verisk Analytics, Inc. | 402 | | 77,128 | |
| | 3,466,619 |
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| Value |
|
Common Stocks — 99.8% (Continued) | | | | |
| | | | |
Computers — 8.9% | | | | |
Accenture PLC - Class A | 2,904 | | $829,992 | |
Apple, Inc. | 127,635 | | 21,047,011 | |
Cognizant Technology Solutions Corp. | 4,130 | | 251,641 | |
DXC Technology Co. (2) | 639 | | 16,333 | |
EPAM Systems, Inc. (2) | 471 | | 140,829 | |
Fortinet, Inc. (2) | 1,973 | | 131,126 | |
Hewlett Packard Enterprise Co. | 25,759 | | 410,341 | |
HP, Inc. | 22,565 | | 662,283 | |
International Business Machines Corp.15,841 | | 2,076,597 | | |
Leidos Holdings, Inc. | 2,756 | | 253,717 | |
NetApp, Inc. | 4,410 | | 281,578 | |
Seagate Technology Holdings PLC | 3,722 | | 246,099 | |
Western Digital Corp. (2) | 908 | | 34,204 | |
| | | 26,381,751 | |
Cosmetics & Personal Care — 1.1% | | | | |
Colgate-Palmolive Co. | 2,330 | | 175,099 | |
The Estee Lauder Companies, Inc. | 871 | | 214,667 | |
The Procter & Gamble Co. | 19,290 | | 2,868,230 | |
| | | 3,257,996 | |
Distribution & Wholesale — 0.3% | | | | |
Copart, Inc. (2) | 1,156 | | 86,943 | |
Fastenal Co. | 1,403 | | 75,678 | |
LKQ Corp. | 2,108 | | 119,650 | |
Pool Corp. | 111 | | 38,011 | |
W.W. Grainger, Inc. | 1,013 | | 697,764 | |
| | | 1,018,046 | |
Diversified Financial Services — 3.9% | | |||
American Express Co. | 1,821 | | 300,374 | |
Ameriprise Financial, Inc. | 295 | | 90,417 | |
BlackRock, Inc. | 419 | | 280,361 | |
Capital One Financial Corp. | 1,104 | | 106,161 | |
Cboe Global Markets, Inc. | 260 | | 34,902 | |
The Charles Schwab Corp. | 8,826 | | 462,306 | |
CME Group, Inc. - Class A | 5,339 | | 1,022,525 | |
Discover Financial Services | 678 | | 67,014 | |
Franklin Resources, Inc. (1) | 10,063 | | 271,097 | |
Intercontinental Exchange, Inc. | 11,332 | | 1,181,814 | |
Invesco Ltd. | 4,857 | | 79,655 | |
Mastercard, Inc. - Class A | 7,726 | | 2,807,706 | |
Nasdaq, Inc. | 9,973 | | 545,224 | |
Raymond James Financial, Inc. | 559 | | 52,138 | |
Synchrony Financial | 1,210 | | 35,187 | |
T. Rowe Price Group, Inc. (1) | 4,628 | | 522,501 | |
Visa, Inc. - Class A (1) | 16,578 | | 3,737,676 | |
| | | 11,597,058 | |
SCHEDULE OF INVESTMENTS at March 31, 2023 (Unaudited) (Continued) |
Gotham Enhanced 500 ETF
4 |
The accompanying notes are an integral part of these financial statements.
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| Value |
|
Common Stocks — 99.8% (Continued) | | | | |
| | | | |
Electric — 1.0% | | | | |
The AES Corp. | 1,866 | | $44,933 | |
Alliant Energy Corp. | 610 | | 32,574 | |
Ameren Corp. | 662 | | 57,190 | |
American Electric Power Co., Inc. | 1,249 | | 113,647 | |
CenterPoint Energy, Inc. | 1,539 | | 45,339 | |
CMS Energy Corp. | 707 | | 43,396 | |
Consolidated Edison, Inc. (1) | 863 | | 82,563 | |
Constellation Energy Corp. | 6,718 | | 527,363 | |
Dominion Energy, Inc. | 2,184 | | 122,107 | |
DTE Energy Co. | 540 | | 59,152 | |
Duke Energy Corp. | 1,872 | | 180,592 | |
Edison International | 938 | | 66,213 | |
Entergy Corp. | 500 | | 53,870 | |
Evergy, Inc. | 557 | | 34,044 | |
Eversource Energy | 844 | | 66,051 | |
Exelon Corp. | 2,822 | | 118,214 | |
FirstEnergy Corp. (1) | 1,391 | | 55,723 | |
NextEra Energy, Inc. | 4,768 | | 367,517 | |
NRG Energy, Inc. | 645 | | 22,117 | |
PG&E Corp. (2) | 16,121 | | 260,677 | |
Pinnacle West Capital Corp. | 278 | | 22,029 | |
PPL Corp. | 2,046 | | 56,858 | |
Public Service Enterprise Group, Inc. (1)1,416 | | 88,429 | | |
Sempra Energy | 780 | | 117,905 | |
The Southern Co. | 2,586 | | 179,934 | |
WEC Energy Group, Inc. | 769 | | 72,894 | |
Xcel Energy, Inc. | 1,330 | | 89,695 | |
| | | 2,981,026 | |
Electrical Components & Equipment — 0.1% | | |||
AMETEK, Inc. | 604 | | 87,779 | |
Emerson Electric Co. | 1,646 | | 143,432 | |
Generac Holdings, Inc. (1)(2) | 156 | | 16,850 | |
| | | 248,061 | |
Electronics — 1.1% | | | | |
Agilent Technologies, Inc. | 728 | | 100,711 | |
Allegion plc | 240 | | 25,615 | |
Amphenol Corp. | 1,791 | | 146,360 | |
Fortive Corp. | 2,886 | | 196,739 | |
Garmin Ltd. | 474 | | 47,836 | |
Honeywell International, Inc. | 13,481 | | 2,576,489 | |
Keysight Technologies, Inc. (2) | 440 | | 71,051 | |
Mettler-Toledo International, Inc. (2) | 55 | | 84,162 | |
TE Connectivity Ltd. | 891 | | 116,855 | |
Trimble, Inc. (2) | 620 | | 32,500 | |
| | 3,398,318 |
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| Value |
|
Common Stocks — 99.8% (Continued) | | | | |
| | |||
Energy — Alternate Sources — 0.1% | | |||
Enphase Energy, Inc. (2) | 332 | | $69,813 | |
First Solar, Inc. (2) | 262 | | 56,985 | |
SolarEdge Technologies, Inc. (2) | 457 | | 138,905 | |
| | | 265,703 | |
Engineering & Construction — 0.0% (4) | | |||
Jacobs Solutions, Inc. | 361 | | 42,421 | |
| | | | |
Entertainment — 0.1% | | | | |
Caesars Entertainment, Inc. (2) | 4,311 | | 210,420 | |
Live Nation Entertainment, Inc. (1)(2) | 560 | | 39,200 | |
| | | 249,620 | |
Environmental Control — 0.1% | | | | |
Pentair PLC | 462 | | 25,535 | |
Republic Services, Inc. | 776 | | 104,931 | |
Waste Management, Inc. | 1,013 | | 165,291 | |
| | | 295,757 | |
Food — 1.7% | | | | |
Campbell Soup Co. | 6,073 | | 333,894 | |
Conagra Brands, Inc. | 1,165 | | 43,757 | |
General Mills, Inc. | 11,826 | | 1,010,650 | |
The Hershey Co. | 576 | | 146,540 | |
Hormel Foods Corp. | 1,329 | | 53,001 | |
The J.M. Smucker Co. | 2,147 | | 337,873 | |
Kellogg Co. | 6,923 | | 463,564 | |
The Kraft Heinz Co. | 24,653 | | 953,332 | |
The Kroger Co. | 14,416 | | 711,718 | |
Lamb Weston Holdings, Inc. | 354 | | 37,000 | |
McCormick & Co., Inc. | 662 | | 55,085 | |
Mondelez International, Inc. (1) | 3,885 | | 270,862 | |
Sysco Corp. | 1,247 | | 96,306 | |
Tyson Foods, Inc. - Class A | 7,142 | | 423,663 | |
| | | 4,937,245 | |
Forest Products & Paper — 0.1% | | | | |
International Paper Co. | 7,965 | | 287,218 | |
| | | | |
Gas — 0.0% (4) | | | | |
Atmos Energy Corp. | 345 | | 38,764 | |
NiSource, Inc. | 996 | | 27,848 | |
| | | 66,612 | |
Hand & Machine Tools — 0.1% | | | | |
Snap-on, Inc. | 1,071 | | 264,419 | |
Stanley Black & Decker, Inc. | 426 | | 34,327 | |
| | | 298,746 | |
SCHEDULE OF INVESTMENTS at March 31, 2023 (Unaudited) (Continued) |
Gotham Enhanced 500 ETF
5 |
The accompanying notes are an integral part of these financial statements.
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| Value |
|
Common Stocks — 99.8% (Continued) | | | | |
| | | | |
Healthcare — Products — 2.1% | | | | |
Abbott Laboratories | 14,044 | | $1,422,095 | |
Align Technology, Inc. (2) | 191 | | 63,821 | |
Baxter International, Inc. | 1,237 | | 50,173 | |
Bio-Techne Corp. | 384 | | 28,489 | |
Boston Scientific Corp. (2) | 3,473 | | 173,754 | |
The Cooper Companies, Inc. | 142 | | 53,017 | |
Danaher Corp. (1) | 5,886 | | 1,483,507 | |
DENTSPLY SIRONA, Inc. (1) | 603 | | 23,686 | |
Edwards Lifesciences Corp. (2) | 1,510 | | 124,922 | |
GE HealthCare Technologies, Inc. (2) | 9,156 | | 751,067 | |
Hologic, Inc. (2) | 698 | | 56,329 | |
IDEXX Laboratories, Inc. (2) | 205 | | 102,516 | |
Insulet Corp. (2) | 167 | | 53,266 | |
Intuitive Surgical, Inc. (2) | 870 | | 222,259 | |
Medtronic PLC | 3,740 | | 301,519 | |
PerkinElmer, Inc. | 310 | | 41,311 | |
ResMed, Inc. | 360 | | 78,836 | |
STERIS PLC | 246 | | 47,055 | |
Stryker Corp. | 924 | | 263,774 | |
Teleflex, Inc. | 134 | | 33,943 | |
Thermo Fisher Scientific, Inc. (1) | 1,018 | | 586,745 | |
Waters Corp. (2) | 149 | | 46,135 | |
West Pharmaceutical Services, Inc. | 182 | | 63,058 | |
Zimmer Biomet Holdings, Inc. | 515 | | 66,538 | |
| | | 6,137,815 | |
Healthcare — Services — 1.6% | | | | |
Catalent, Inc. (1)(2) | 440 | | 28,912 | |
Centene Corp. (2) | 11,071 | | 699,798 | |
Charles River Laboratories International, Inc. (2) | 125 | | 25,228 | |
DaVita, Inc. (2) | 1,835 | | 148,837 | |
Elevance Health, Inc. | 672 | | 308,992 | |
HCA Healthcare, Inc. | 5,593 | | 1,474,762 | |
Humana, Inc. (1) | 350 | | 169,911 | |
IQVIA Holdings, Inc. (2) | 460 | | 91,489 | |
Laboratory Corp. of America Holdings | 250 | | 57,355 | |
Molina Healthcare, Inc. (2) | 1,169 | | 312,696 | |
Quest Diagnostics, Inc. | 311 | | 44,000 | |
UnitedHealth Group, Inc. | 2,628 | | 1,241,967 | |
Universal Health Services, Inc. - Class D | 1,417 | | 180,101 | |
| | 4,784,048 |
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| Value |
|
Common Stocks — 99.8% (Continued) | | | | |
| | | | |
Home Builders — 0.1% | | | | |
D.R. Horton, Inc. (1) | 847 | | $82,743 | |
Lennar Corp. - Class A (1) | 2,364 | | 248,480 | |
NVR, Inc. (2) | 9 | | 50,150 | |
PulteGroup, Inc. | 578 | | 33,686 | |
| | | 415,059 | |
Home Furnishings — 0.0% (4) | | | | |
Whirlpool Corp. (1) | 152 | | 20,067 | |
| | | | |
Household Products & Wares — 0.4% | | |||
Avery Dennison Corp. | 228 | | 40,796 | |
Church & Dwight Co., Inc. | 622 | | 54,991 | |
The Clorox Co. (1) | 302 | | 47,789 | |
Kimberly-Clark Corp. | 6,788 | | 911,085 | |
| | | 1,054,661 | |
Housewares — 0.0% (4) | | | | |
Newell Brands, Inc. (1) | 1,127 | | 14,020 | |
| | | | |
Insurance — 3.9% | | | | |
Aflac, Inc. | 1,649 | | 106,393 | |
The Allstate Corp. | 716 | | 79,340 | |
American International Group, Inc. | 2,058 | | 103,641 | |
Aon PLC | 582 | | 183,499 | |
Arch Capital Group Ltd. (2) | 7,413 | | 503,120 | |
Arthur J Gallagher & Co. | 565 | | 108,090 | |
Assurant, Inc. | 140 | | 16,810 | |
Berkshire Hathaway, Inc. - | 21,896 | | 6,760,828 | |
Brown & Brown, Inc. | 5,702 | | 327,409 | |
Chubb Ltd. | 1,141 | | 221,559 | |
Cincinnati Financial Corp. | 3,160 | | 354,173 | |
Everest Re Group Ltd. | 130 | | 46,543 | |
Globe Life, Inc. | 327 | | 35,977 | |
The Hartford Financial Services Group, Inc. | 809 | | 56,379 | |
Lincoln National Corp. | 421 | | 9,460 | |
Loews Corp. | 4,671 | | 271,011 | |
Marsh & McLennan Companies, Inc. 7,131 | | 1,187,668 | | |
MetLife, Inc. | 5,273 | | 305,518 | |
Principal Financial Group, Inc. | 607 | | 45,112 | |
The Progressive Corp. | 1,430 | | 204,576 | |
Prudential Financial, Inc. | 911 | | 75,376 | |
The Travelers Companies, Inc. | 620 | | 106,274 | |
W.R. Berkley Corp. | 746 | | 46,446 | |
Willis Towers Watson PLC | 2,147 | | 498,920 | |
| | | 11,654,122 | |
SCHEDULE OF INVESTMENTS at March 31, 2023 (Unaudited) (Continued) |
Gotham Enhanced 500 ETF
6 |
The accompanying notes are an integral part of these financial statements.
| Shares |
| Value |
|
Common Stocks — 99.8% (Continued) | | | | |
| | | | |
Internet — 10.8% | | | | |
Alphabet, Inc. - Class A (2) | 114,479 | | $11,874,907 | |
Amazon.com, Inc. (2) | 98,862 | | 10,211,456 | |
Booking Holdings, Inc. (2) | 606 | | 1,607,361 | |
CDW Corp. | 891 | | 173,647 | |
eBay, Inc. | 12,982 | | 576,011 | |
Etsy, Inc. (2) | 319 | | 35,514 | |
Expedia Group, Inc. - Class A (2) | 3,182 | | 308,750 | |
F5, Inc. (2) | 1,208 | | 175,994 | |
Gen Digital, Inc. | 12,834 | | 220,231 | |
Match Group, Inc. (2) | 2,055 | | 78,891 | |
Meta Platforms, Inc. - Class A (2) | 25,293 | | 5,360,598 | |
Netflix, Inc. (2) | 3,577 | | 1,235,782 | |
VeriSign, Inc. (2) | 306 | | 64,667 | |
| | | 31,923,809 | |
Iron & Steel — 0.5% | | | | |
Nucor Corp. (1) | 6,113 | | 944,275 | |
Steel Dynamics, Inc. (1) | 3,549 | | 401,250 | |
| | | 1,345,525 | |
Leisure Time — 0.0% (4) | | | | |
Carnival Corp. (1)(2) | 3,061 | | 31,069 | |
Norwegian Cruise Line Holdings Ltd. (1)(2) | 1,072 | | 14,419 | |
Royal Caribbean Cruises Ltd. (1)(2) | 658 | | 42,967 | |
| | | 88,455 | |
Lodging — 0.3% | | | | |
Hilton Worldwide Holdings, Inc. | 695 | | 97,904 | |
Las Vegas Sands Corp. (2) | 1,897 | | 108,983 | |
Marriott International, Inc. | 944 | | 156,742 | |
MGM Resorts International | 8,153 | | 362,156 | |
Wynn Resorts Ltd. (2) | 281 | | 31,447 | |
| | | 757,232 | |
Machinery — Construction & Mining — 0.8% | | |||
Caterpillar, Inc. | 10,492 | | 2,400,989 | |
| | | | |
Machinery — Diversified — 0.3% | | | | |
Deere & Co. | 1,144 | | 472,335 | |
Dover Corp. | 404 | | 61,384 | |
IDEX Corp. | 213 | | 49,209 | |
Ingersoll Rand, Inc. | 1,357 | | 78,950 | |
Nordson Corp. (1) | 146 | | 32,450 | |
Otis Worldwide Corp. | 1,177 | | 99,339 | |
Rockwell Automation, Inc. (1) | 283 | | 83,046 | |
Westinghouse Air Brake Technologies Corp. | 447 | | 45,174 | |
Xylem, Inc. | 508 | | 53,188 | |
| | 975,075 |
| Shares |
| Value |
|
Common Stocks — 99.8% (Continued) | | | | |
| | | | |
Media — 1.9% | | | | |
Charter Communications, Inc. - Class A (2) | 3,434 | | $1,228,033 | |
Comcast Corp. - Class A (1) | 89,685 | | 3,399,958 | |
DISH Network Corp. - Class A (2) | 1,371 | | 12,792 | |
FactSet Research Systems, Inc. | 93 | | 38,603 | |
Fox Corp. - Class B | 1,523 | | 51,858 | |
News Corp. - Class A | 1,618 | | 27,943 | |
ViacomCBS, Inc. - Class A (1) | 1,826 | | 40,738 | |
The Walt Disney Co. (2) | 4,480 | | 448,583 | |
Warner Bros Discovery, Inc. (2) | 19,733 | | 297,968 | |
| | | 5,546,476 | |
Mining — 0.1% | | | | |
Freeport-McMoRan, Inc. | 4,106 | | 167,977 | |
Newmont Corp. | 2,256 | | 110,589 | |
| | | 278,566 | |
Miscellaneous Manufacturers — 1.7% | | |||
3M Co. | 11,936 | | 1,254,593 | |
A.O. Smith Corp. - Class A | 429 | | 29,665 | |
Eaton Corp PLC | 1,082 | | 185,390 | |
General Electric Co. | 21,945 | | 2,097,942 | |
Illinois Tool Works, Inc. (1) | 3,723 | | 906,364 | |
Parker-Hannifin Corp. | 370 | | 124,361 | |
Teledyne Technologies, Inc. (2) | 132 | | 59,052 | |
Textron, Inc. | 4,143 | | 292,620 | |
| | | 4,949,987 | |
Office & Business Equipment — 0.1% | | |||
Zebra Technologies Corp. (2) | 1,067 | | 339,306 | |
| | | | |
Oil & Gas — 5.7% | | | | |
APA Corp. (1) | 7,244 | | 261,219 | |
Chevron Corp. | 17,488 | | 2,853,342 | |
ConocoPhillips | 25,887 | | 2,568,249 | |
Coterra Energy, Inc. (1) | 15,416 | | 378,309 | |
Devon Energy Corp. | 1,833 | | 92,768 | |
Diamondback Energy, Inc. | 506 | | 68,396 | |
EOG Resources, Inc. | 11,942 | | 1,368,911 | |
EQT Corp. | 1,027 | | 32,772 | |
Exxon Mobil Corp. (1) | 35,993 | | 3,946,992 | |
Hess Corp. | 863 | | 114,209 | |
Marathon Oil Corp. | 1,833 | | 43,919 | |
Marathon Petroleum Corp. | 10,935 | | 1,474,366 | |
Occidental Petroleum Corp. (1) | 18,120 | | 1,131,232 | |
Phillips 66 | 9,802 | | 993,727 | |
Pioneer Natural Resources Co. | 2,379 | | 485,887 | |
Valero Energy Corp. | 8,199 | | 1,144,580 | |
| | | 16,958,878 | |
SCHEDULE OF INVESTMENTS at March 31, 2023 (Unaudited) (Continued) |
Gotham Enhanced 500 ETF
7 |
The accompanying notes are an integral part of these financial statements.
| Shares |
| Value |
|
Common Stocks — 99.8% (Continued) | | | | |
| | | | |
Oil & Gas Services — 0.3% | | | | |
Baker Hughes Co. - Class A | 2,826 | | $81,558 | |
Halliburton Co. | 18,246 | | 577,304 | |
Schlumberger NV | 3,461 | | 169,935 | |
| | | 828,797 | |
Packaging & Containers — 0.2% | | | | |
Amcor PLC | 4,145 | | 47,170 | |
Ball Corp. | 881 | | 48,552 | |
Packaging Corp of America | 1,905 | | 264,471 | |
Sealed Air Corp. | 2,945 | | 135,205 | |
Westrock Co. | 714 | | 21,756 | |
| | | 517,154 | |
Pharmaceuticals — 6.7% | | | | |
AbbVie, Inc. (1) | 11,571 | | 1,844,070 | |
AmerisourceBergen Corp. | 2,344 | | 375,298 | |
Becton Dickinson & Co. | 694 | | 171,793 | |
Bristol-Myers Squibb Co. | 5,932 | | 411,147 | |
Cardinal Health, Inc. | 5,531 | | 417,590 | |
The Cigna Group | 6,619 | | 1,691,353 | |
CVS Health Corp. | 26,415 | | 1,962,899 | |
Dexcom, Inc. (2) | 958 | | 111,300 | |
Eli Lilly & Co. | 2,470 | | 848,247 | |
Henry Schein, Inc. (2) | 477 | | 38,895 | |
Johnson & Johnson | 22,856 | | 3,542,680 | |
McKesson Corp. | 1,644 | | 585,346 | |
Merck & Co., Inc. | 31,718 | | 3,374,478 | |
Organon & Co. | 5,177 | | 121,763 | |
Pfizer, Inc. | 99,077 | | 4,042,342 | |
Viatris, Inc. | 3,413 | | 32,833 | |
Zoetis, Inc. | 1,154 | | 192,072 | |
| | | 19,764,106 | |
Pipelines — 0.1% | | | | |
Kinder Morgan, Inc. | 6,373 | | 111,591 | |
ONEOK, Inc. | 1,249 | | 79,362 | |
Targa Resources Corp. | 551 | | 40,195 | |
The Williams Companies, Inc. | 3,158 | | 94,298 | |
| | | 325,446 | |
Real Estate — 0.2% | | | | |
CBRE Group, Inc. (2) | 6,260 | | 455,791 | |
| | | | |
Real Estate Investment Trusts (REITs) — 3.0% | | |||
Alexandria Real Estate Equities, Inc. | 3,438 | | 431,778 | |
American Tower Corp. | 3,737 | | 763,619 | |
AvalonBay Communities, Inc. (1) | 2,844 | | 477,963 | |
Boston Properties, Inc. | 3,189 | | 172,589 | |
Camden Property Trust | 2,349 | | 246,269 | |
Crown Castle, Inc. | 3,479 | | 465,629 |
| Shares |
| Value |
|
Common Stocks — 99.8% (Continued) | | | | |
| | | | |
Real Estate Investment Trusts (REITs) — 3.0% (Continued) | | |||
Digital Realty Trust, Inc. (1) | 819 | | $80,516 | |
Equinix, Inc. | 223 | | 160,792 | |
Equity Residential | 7,616 | | 456,960 | |
Essex Property Trust, Inc. | 181 | | 37,854 | |
Extra Space Storage, Inc. | 1,759 | | 286,594 | |
Federal Realty Investment Trust | 234 | | 23,126 | |
Healthpeak Properties, Inc. | 10,488 | | 230,421 | |
Host Hotels & Resorts, Inc. | 1,790 | | 29,517 | |
Invitation Homes, Inc. | 1,486 | | 46,408 | |
Iron Mountain, Inc. | 707 | | 37,407 | |
Kimco Realty Corp. | 1,590 | | 31,053 | |
Mid-America Apartment Communities, Inc. | 322 | | 48,635 | |
Prologis, Inc. | 16,219 | | 2,023,645 | |
Public Storage | 492 | | 148,653 | |
Realty Income Corp. | 13,281 | | 840,953 | |
Regency Centers Corp. | 419 | | 25,634 | |
SBA Communications Corp. | 879 | | 229,481 | |
Simon Property Group, Inc. | 924 | | 103,460 | |
UDR, Inc. | 1,689 | | 69,350 | |
Ventas, Inc. (1) | 1,176 | | 50,980 | |
VICI Properties, Inc. (1) | 2,708 | | 88,335 | |
Welltower, Inc. | 9,863 | | 707,079 | |
Weyerhaeuser Co. (1) | 14,779 | | 445,291 | |
| | | 8,759,991 | |
Retail — 3.9% | | | | |
Advance Auto Parts, Inc. | 1,200 | | 145,932 | |
AutoZone, Inc. (2) | 367 | | 902,141 | |
Bath & Body Works, Inc. (1) | 4,576 | | 167,390 | |
Best Buy Co., Inc. | 4,527 | | 354,328 | |
CarMax, Inc. (2) | 3,169 | | 203,703 | |
Chipotle Mexican Grill, Inc. (2) | 68 | | 116,164 | |
Costco Wholesale Corp. | 1,083 | | 538,110 | |
Darden Restaurants, Inc. | 307 | | 47,634 | |
Dollar General Corp. | 631 | | 132,800 | |
Dollar Tree, Inc. (2) | 543 | | 77,948 | |
Domino’s Pizza, Inc. | 89 | | 29,358 | |
Genuine Parts Co. | 2,863 | | 479,009 | |
The Home Depot, Inc. | 2,846 | | 839,912 | |
Lowe’s Companies, Inc. | 1,688 | | 337,549 | |
McDonald’s Corp. | 2,056 | | 574,878 | |
O’Reilly Automotive, Inc. (2) | 1,276 | | 1,083,298 | |
Ross Stores, Inc. | 4,384 | | 465,274 | |
Starbucks Corp. | 3,251 | | 338,527 | |
Target Corp. | 1,287 | | 213,166 | |
The TJX Companies, Inc. | 23,158 | | 1,814,661 | |
SCHEDULE OF INVESTMENTS at March 31, 2023 (Unaudited) (Continued) |
Gotham Enhanced 500 ETF
8 |
The accompanying notes are an integral part of these financial statements.
| Shares |
| Value |
|
Common Stocks — 99.8% (Continued) | | | | |
| | | | |
Retail — 3.9% (Continued) | | |||
Tractor Supply Co. (1) | 272 | | $63,931 | |
Ulta Beauty, Inc. (2) | 1,015 | | 553,855 | |
Walgreens Boots Alliance, Inc. | 17,538 | | 606,464 | |
Walmart, Inc. | 7,606 | | 1,121,505 | |
Yum! Brands, Inc. | 1,441 | | 190,327 | |
| | | 11,397,864 | |
Semiconductors — 5.2% | | | | |
Advanced Micro Devices, Inc. (2) | 3,975 | | 389,590 | |
Analog Devices, Inc. | 1,296 | | 255,597 | |
Applied Materials, Inc. | 13,771 | | 1,691,492 | |
Broadcom, Inc. | 6,231 | | 3,997,436 | |
Intel Corp. | 11,452 | | 374,137 | |
KLA Corp. | 2,844 | | 1,135,239 | |
Lam Research Corp. | 2,768 | | 1,467,372 | |
Microchip Technology, Inc. | 7,579 | | 634,969 | |
Micron Technology, Inc. | 8,751 | | 528,035 | |
Monolithic Power Systems, Inc. | 115 | | 57,562 | |
NVIDIA Corp. | 6,901 | | 1,916,891 | |
NXP Semiconductors NV | 5,239 | | 976,942 | |
ON Semiconductor Corp. (1)(2) | 8,794 | | 723,922 | |
Qorvo, Inc. (2) | 2,169 | | 220,305 | |
QUALCOMM, Inc. | 3,132 | | 399,581 | |
Skyworks Solutions, Inc. | 1,273 | | 150,189 | |
Teradyne, Inc. (1) | 447 | | 48,057 | |
Texas Instruments, Inc. (1) | 2,491 | | 463,351 | |
| | | 15,430,667 | |
Shipbuilding — 0.0% (4) | | | | |
Huntington Ingalls Industries, Inc. | 99 | | 20,495 | |
| | | | |
Software — 10.2% | | | | |
Activision Blizzard, Inc. | 6,293 | | 538,618 | |
Adobe, Inc. (2) | 3,678 | | 1,417,391 | |
Akamai Technologies, Inc. (2) | 3,158 | | 247,271 | |
ANSYS, Inc. (2) | 708 | | 235,622 | |
Autodesk, Inc. (2) | 1,735 | | 361,158 | |
Broadridge Financial Solutions, Inc. | 289 | | 42,359 | |
Cadence Design Systems, Inc. (2) | 2,202 | | 462,618 | |
Ceridian HCM Holding, Inc. (2) | 376 | | 27,531 | |
Electronic Arts, Inc. | 2,228 | | 268,363 | |
Fair Isaac Corp. (2) | 60 | | 42,161 | |
Fidelity National Information Services, Inc. | 11,914 | | 647,288 | |
Fiserv, Inc. (2) | 1,773 | | 200,402 | |
Intuit, Inc. | 693 | | 308,960 | |
Jack Henry & Associates, Inc. | 581 | | 87,568 | |
Microsoft Corp. | 71,789 | | 20,696,769 |
| Shares |
| Value |
|
Common Stocks — 99.8% (Continued) | | | | |
| | | | |
Software — 10.2% (Continued) | | | | |
MSCI, Inc. | 200 | | $111,938 | |
Oracle Corp. | 7,777 | | 722,639 | |
Paychex, Inc. | 1,028 | | 117,799 | |
Paycom Software, Inc. (2) | 142 | | 43,169 | |
PTC, Inc. (2) | 288 | | 36,930 | |
Roper Technologies, Inc. | 854 | | 376,349 | |
Salesforce, Inc. (2) | 7,858 | | 1,569,871 | |
ServiceNow, Inc. (1)(2) | 1,630 | | 757,494 | |
Synopsys, Inc. (2) | 1,225 | | 473,156 | |
Take-Two Interactive Software, Inc. (2) | 1,353 | | 161,413 | |
Tyler Technologies, Inc. (2) | 102 | | 36,173 | |
| | | 29,991,010 | |
Telecommunications — 4.0% | | | | |
Arista Networks, Inc. (2) | 770 | | 129,252 | |
AT&T, Inc. | 143,932 | | 2,770,691 | |
Cisco Systems, Inc. | 85,835 | | 4,487,025 | |
Corning, Inc. | 2,315 | | 81,673 | |
Juniper Networks, Inc. | 899 | | 30,944 | |
Motorola Solutions, Inc. | 1,412 | | 404,015 | |
T-Mobile US, Inc. (2) | 3,478 | | 503,753 | |
Verizon Communications, Inc. | 84,811 | | 3,298,300 | |
| | | 11,705,653 | |
Toys, Games & Hobbies — 0.1% | | | | |
Hasbro, Inc. | 2,781 | | 149,312 | |
| | | | |
Transportation — 2.5% | | | | |
C.H. Robinson Worldwide, Inc. | 2,152 | | 213,844 | |
CSX Corp. | 43,191 | | 1,293,139 | |
Expeditors International of Washington, Inc. | 3,558 | | 391,807 | |
FedEx Corp. | 719 | | 164,284 | |
J.B. Hunt Transport Services, Inc. | 259 | | 45,444 | |
Norfolk Southern Corp. | 4,765 | | 1,010,180 | |
Old Dominion Freight Line, Inc. | 292 | | 99,525 | |
Union Pacific Corp. | 12,493 | | 2,514,341 | |
United Parcel Service, Inc. - Class B | 9,017 | | 1,749,208 | |
| | | 7,481,772 | |
Water — 0.0% (4) | | | | |
American Water Works Co., Inc. | 447 | | 65,481 | |
| | | | |
Total Common Stocks | | | | |
(Cost $290,283,197) | | | 294,703,878 | |
| | | | |
SCHEDULE OF INVESTMENTS at March 31, 2023 (Unaudited) (Continued) |
Gotham Enhanced 500 ETF
9 |
The accompanying notes are an integral part of these financial statements.
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| Value |
|
Short-Term Investments — 0.2% | | | | |
Money Market Funds - 0.2% | | | | |
First American Government Obligations Fund, Class X, 4.650% (3) | 442,178 | | $442,178 | |
Total Short-Term Investments | | | | |
(Cost $442,178) | | | 442,178 | |
| | | | |
Investments Purchased with Collateral from Securities Lending — 9.5% | ||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.000% (3) | 28,126,557 | | 28,126,557 | |
| | | | |
Total Investments Purchased with Collateral from Securities Lending | | |||
(Cost $28,126,557) | | | 28,126,557 | |
| | | | |
Total Investments in Securities — 109.5% | | | | |
(Cost $318,851,932) | | | 323,272,613 | |
Liabilities in Excess of Other Assets — (9.5)% | | (28,054,417 | ) | |
Total Net Assets — 100.0% | | | $295,218,196 | |
(1)This security or a portion of this security was out on loan as of March 31, 2023. Total loaned securities had a value of $28,013,259 or 9.5% of net assets as of March 31, 2023. The remaining contractual maturity of all of the securities lending transactions is overnight and continuous.
(2)Non-income producing security.
(3)The rate shown is the annualized seven-day effective yield as of March 31, 2023.
(4)Does not round to 0.1% or (0.1)%, as applicable.
SCHEDULE OF INVESTMENTS at March 31, 2023 (Unaudited) (Continued) |
Gotham 1000 Value ETF
10 |
The accompanying notes are an integral part of these financial statements.
|
| Shares |
| Value |
|
Common Stocks — 99.7% | | | | | |
Advertising — 0.6% | | | | | |
The Interpublic Group of Company, Inc. | | 10,507 | | $391,281 | |
Omnicom Group, Inc. | | 4,288 | | 404,530 | |
| | | | 795,811 | |
Aerospace & Defense — 0.2% | | | | | |
Aerojet Rocketdyne Holdings, Inc. (1) | | 1,509 | | 84,761 | |
Curtiss-Wright Corp. | | 463 | | 81,608 | |
Lockheed Martin Corp. | | 247 | | 116,764 | |
| | | | 283,133 | |
Agriculture — 1.1% | | | | | |
Altria Group, Inc. | | 13,194 | | 588,716 | |
Archer-Daniels-Midland Co. | | 4,322 | | 344,290 | |
Bunge Ltd. | | 6,163 | | 588,690 | |
Philip Morris International, Inc. | | 779 | | 75,758 | |
| | | | 1,597,454 | |
Apparel — 0.8% | | | | | |
Capri Holdings Ltd. (1) | | 6,431 | | 302,257 | |
Carter’s, Inc. | | 704 | | 50,632 | |
Crocs, Inc. (1) | | 1,417 | | 179,166 | |
Steven Madden Ltd. | | 12,357 | | 444,852 | |
Tapestry, Inc. (2) | | 3,031 | | 130,666 | |
| | | | 1,107,573 | |
Auto Manufacturers — 0.3% | | | | | |
General Motors Co. | | 10,594 | | 388,588 | |
| | | | | |
Auto Parts & Equipment — 1.4% | | | | | |
Adient PLC (1) | | 738 | | 30,228 | |
Allison Transmission Holdings, Inc. | | 11,067 | | 500,671 | |
BorgWarner, Inc. | | 10,121 | | 497,042 | |
Fox Factory Holding Corp. (1) | | 1,415 | | 171,739 | |
The Goodyear Tire & Rubber Co. (1) | | 29,342 | | 323,349 | |
Lear Corp. | | 2,192 | | 305,762 | |
Visteon Corp. (1) | | 631 | | 98,960 | |
| | | | 1,927,751 | |
Banks — 5.6% | | | | | |
Ameris Bancorp | | 2,138 | | 78,208 | |
Associated Banc-Corp | | 1,165 | | 20,947 | |
Bank of America Corp. | | 8,809 | | 251,937 | |
Bank of Montreal (2) | | 4,315 | | 384,510 | |
The Bank of Nova Scotia (2) | | 4,451 | | 224,152 | |
Bank OZK | | 5,546 | | 189,673 | |
Cadence Bank | | 13,273 | | 275,547 | |
Cathay General Bancorp | | 6,236 | | 215,267 | |
Citigroup, Inc. | | 1,686 | | 79,057 |
|
| Shares |
| Value |
|
Common Stocks — 99.7% (Continued) | | | | | |
Banks — 5.6% (Continued) | | | | | |
Citizens Financial Group, Inc. (2) | | 3,655 | | $111,002 | |
Columbia Banking System, Inc. | | 3,767 | | 80,689 | |
Comerica, Inc. (2) | | 5,681 | | 246,669 | |
Community Bank System, Inc. | | 781 | | 40,995 | |
Cullen/Frost Bankers, Inc. | | 825 | | 86,906 | |
CVB Financial Corp. | | 1,584 | | 26,421 | |
East West Bancorp, Inc. (2) | | 3,538 | | 196,359 | |
Eastern Bankshares, Inc. | | 23,528 | | 296,923 | |
Fifth Third Bancorp | | 3,649 | | 97,209 | |
First BanCorp/Puerto R co. | | 17,976 | | 205,286 | |
First Citizens BancShares, Inc. - Class A | | 215 | | 209,217 | |
Fulton Financial Corp. | | 1,622 | | 22,416 | |
The Goldman Sachs Group, Inc. | | 40 | | 13,084 | |
Hancock Whitney Corp. | | 11,658 | | 424,351 | |
Huntington Bancshares, Inc. | | 31,373 | | 351,378 | |
Independent Bank Corp. | | 4,907 | | 321,997 | |
International Bancshares Corp. | | 2,877 | | 123,193 | |
KeyCorp | | 9,048 | | 113,281 | |
Old National Bancorp/IN | | 11,987 | | 172,853 | |
Pinnacle Financial Partners, Inc. | | 4,829 | | 266,368 | |
The PNC Financial Services Group, Inc. | | 3,117 | | 396,171 | |
Prosperity Bancshares, Inc. | | 914 | | 56,229 | |
Regions Financial Corp. | | 8,181 | | 151,839 | |
SouthState Corp. | | 4,739 | | 337,701 | |
Synovus Financial Corp. | | 4,565 | | 140,739 | |
Texas Capital Bancshares, Inc. (1) | | 5,479 | | 268,252 | |
The Toronto-Dominion Bank (2) | | 2,955 | | 177,005 | |
Truist Financial Corp. | | 10,261 | | 349,900 | |
UMB Financial Corp. | | 3,706 | | 213,910 | |
Valley National Bancorp | | 20,686 | | 191,139 | |
Western Alliance Bancorp (2) | | 6,045 | | 214,839 | |
Wintrust Financial Corp. | | 213 | | 15,538 | |
Zions Bancorp N.A. | | 7,892 | | 236,208 | |
| | | | 7,875,365 | |
Beverages — 0.5% | | | | | |
Coca-Cola Consolidated, Inc. | | 749 | | 400,775 | |
Keurig Dr Pepper, Inc. | | 3,328 | | 117,412 | |
Molson Coors Brewing Co. - Class B | | 4,672 | | 241,449 | |
| | | | 759,636 | |
Biotechnology — 2.8% | | | | | |
Amgen, Inc. | | 1,413 | | 341,593 | |
Biogen, Inc. (1) | | 721 | | 200,460 | |
Exelixis, Inc. (1) | | 20,524 | | 398,371 | |
Gilead Sciences, Inc. | | 4,731 | | 392,531 | |
Halozyme Therapeutics, Inc. (1) | | 838 | | 32,003 | |
Horizon Therapeutics PLC (1) | | 1,086 | | 118,526 | |
SCHEDULE OF INVESTMENTS at March 31, 2023 (Unaudited) |
Gotham 1000 Value ETF
11 |
The accompanying notes are an integral part of these financial statements.
|
| Shares |
| Value |
|
Common Stocks — 99.7% (Continued) | | | | | |
Biotechnology — 2.8% (Continued) | | | | | |
Incyte Corp. (1) | | 386 | | $27,896 | |
Maravai LifeSciences Holdings, Inc. (1) | | 29,200 | | 409,092 | |
Moderna, Inc. (1) | | 3,103 | | 476,559 | |
Regeneron Pharmaceuticals, Inc. (1) | | 268 | | 220,207 | |
United Therapeutics Corp. (1) | | 2,073 | | 464,269 | |
Vertex Pharmaceuticals, Inc. (1) | | 1,124 | | 354,139 | |
Vir Biotechnology, Inc. (1) | | 18,857 | | 438,802 | |
| | | | 3,874,448 | |
Building Materials — 3.6% | | | | | |
Armstrong World Industries, Inc. | | 4,919 | | 350,430 | |
Boise Cascade Co. | | 6,951 | | 439,651 | |
Builders FirstSource, Inc. (1) | | 7,892 | | 700,652 | |
Carrier Global Corp. | | 369 | | 16,882 | |
Eagle Materials, Inc. | | 3,342 | | 490,438 | |
Fortune Brands Innovations, Inc. | | 8,913 | | 523,460 | |
Louisiana-Pacific Corp. | | 7,327 | | 397,197 | |
Martin Marietta Materials, Inc. | | 55 | | 19,528 | |
Masco Corp. | | 3,261 | | 162,137 | |
Owens Corning | | 5,736 | | 549,509 | |
Simpson Manufacturing Co., Inc. | | 2,573 | | 282,104 | |
Summit Materials, Inc. - Class A (1) | | 1,625 | | 46,299 | |
UFP Industries, Inc. | | 8,026 | | 637,826 | |
West Fraser Timber Co Ltd. | | 6,176 | | 439,978 | |
| | | | 5,056,091 | |
Chemicals — 3.9% | | | | | |
CF Industries Holdings, Inc. (2) | | 9,503 | | 688,872 | |
The Chemours Co. | | 4,096 | | 122,634 | |
Dow, Inc. | | 9,605 | | 526,546 | |
DuPont de Nemours, Inc. (2) | | 2,462 | | 176,698 | |
Eastman Chemical Co. | | 3,031 | | 255,635 | |
FMC Corp. | | 1,897 | | 231,681 | |
HB Fuller Co. | | 973 | | 66,602 | |
Huntsman Corp. | | 16,860 | | 461,290 | |
Innospec, Inc. | | 133 | | 13,655 | |
Linde PLC | | 43 | | 15,284 | |
LyondellBasell Industries NV | | 3,300 | | 309,837 | |
Methanex Corp. | | 261 | | 12,144 | |
The Mosaic Co. | | 12,983 | | 595,660 | |
NewMarket Corp. | | 92 | | 33,578 | |
Nutrien Ltd. (1)(2) | | 8,696 | | 642,200 | |
Olin Corp. | | 10,889 | | 604,339 | |
Tronox Holdings PLC | | 11,201 | | 161,070 | |
Westlake Corp. | | 4,662 | | 540,699 | |
| | | 5,458,424 |
|
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Common Stocks — 99.7% (Continued) | | | | | |
Coal — 1.1% | | | | | |
Alpha Metallurgical Resources, Inc. | | 3,956 | | $617,136 | |
Arch Resources, Inc. - Class A (2) | | 4,762 | | 626,012 | |
CONSOL Energy, Inc. | | 4,884 | | 284,591 | |
| | | | 1,527,739 | |
Commercial Services — 3.0% | | | | | |
AMN Healthcare Services, Inc. (1) | | 7,223 | | 599,220 | |
API Group Corp. (1) | | 1,214 | | 27,291 | |
Booz Allen Hamilton Holding Corp. | | 566 | | 52,463 | |
Colliers International Group, Inc. - SVS | | 2,513 | | 265,247 | |
Euronet Worldwide, Inc. (1) | | 2,287 | | 255,915 | |
FleetCor Technologies, Inc. (1) | | 999 | | 210,639 | |
FTI Consulting, Inc. (1) | | 238 | | 46,969 | |
Gartner, Inc. (1) | | 224 | | 72,972 | |
Graham Holdings Co. - Class A | | 543 | | 323,541 | |
Grand Canyon Education, Inc. (1) | | 1,592 | | 181,329 | |
Insperity, Inc. | | 376 | | 45,703 | |
John Wiley & Sons, Inc. - Class A | | 893 | | 34,622 | |
Korn Ferry | | 9,205 | | 476,267 | |
ManpowerGroup, Inc. | | 3,552 | | 293,147 | |
Ritchie Bros Auctioneers, Inc. (2) | | 2,011 | | 113,199 | |
Robert Half International, Inc. | | 6,369 | | 513,150 | |
Service Corp. International (2) | | 591 | | 40,649 | |
TriNet Group, Inc. (1)(2) | | 6,473 | | 521,789 | |
WEX, Inc. (1) | | 645 | | 118,609 | |
WillScot Mobile Mini Holdings Corp. (1) | | 647 | | 30,331 | |
| | | | 4,223,052 | |
Computers — 2.4% | | | | | |
Accenture PLC - Class A | | 486 | | 138,904 | |
Amdocs Ltd. (1) | | 48 | | 4,609 | |
CACI International, Inc. (1) | | 1,069 | | 316,723 | |
CGI, Inc. - Class A (1) | | 2,950 | | 283,997 | |
Dell Technologies, Inc. - Class A | | 9,574 | | 384,971 | |
DXC Technology Co. (1) | | 11,511 | | 294,221 | |
Hewlett Packard Enterprise Co. | | 4,765 | | 75,906 | |
HP, Inc. | | 12,665 | | 371,718 | |
Insight Enterprises, Inc. (1)(2) | | 2,079 | | 297,214 | |
International Business Machines Corp. | | 326 | | 42,735 | |
Leidos Holdings, Inc. | | 3,833 | | 352,866 | |
Maximus, Inc. (2) | | 1,060 | | 83,422 | |
NCR Corp. (1) | | 1,105 | | 26,067 | |
NetApp, Inc. | | 3,911 | | 249,717 | |
Science Applications International Corp. | | 2,242 | | 240,925 | |
Super Micro Computer, Inc. (1) | | 2,245 | | 239,205 | |
| | | | 3,403,200 | |
SCHEDULE OF INVESTMENTS at March 31, 2023 (Unaudited) (Continued) |
Gotham 1000 Value ETF
12 |
The accompanying notes are an integral part of these financial statements.
|
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| Value |
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Common Stocks — 99.7% (Continued) | | | | | |
Cosmetics & Personal Care — 0.1% | | | | | |
Olaplex Holdings, Inc. (1)(2) | | 12,254 | | $52,325 | |
The Procter & Gamble Co. | | 338 | | 50,257 | |
| | | | 102,582 | |
Distribution & Wholesale — 0.8% | | | | | |
LKQ Corp. | | 4,714 | | 267,566 | |
Pool Corp. | | 781 | | 267,446 | |
Resideo Technologies, Inc. (1) | | 6,681 | | 122,129 | |
Univar Solutions, Inc. (1) | | 11,300 | | 395,839 | |
Watsco, Inc. | | 415 | | 132,036 | |
| | | | 1,185,016 | |
Diversified Financial Services — 2.6% | | ||||
Affiliated Managers Group, Inc. | | 3,286 | | 467,992 | |
Ally Financial, Inc. | | 14,324 | | 365,119 | |
Ameriprise Financial, Inc. | | 21 | | 6,436 | |
Capital One Financial Corp. | | 3,173 | | 305,116 | |
The Charles Schwab Corp. | | 2,050 | | 107,379 | |
Discover Financial Services | | 2,947 | | 291,281 | |
Enact Holdings, Inc. | | 5,743 | | 131,285 | |
Evercore, Inc. - Class A | | 816 | | 94,150 | |
Franklin Resources, Inc. | | 456 | | 12,285 | |
Intercorp Financial Services, Inc. | | 884 | | 20,173 | |
Janus Henderson Group PLC (2) | | 590 | | 15,718 | |
Mr. Cooper Group, Inc. (1) | | 4,022 | | 164,781 | |
Nelnet, Inc. - Class A | | 2,107 | | 193,612 | |
OneMain Holdings, Inc. | | 1,551 | | 57,511 | |
Radian Group, Inc. | | 24,461 | | 540,588 | |
Synchrony Financial | | 8,475 | | 246,453 | |
TPG, Inc. - Class A | | 250 | | 7,333 | |
The Western Union Co. | | 53,101 | | 592,076 | |
| | | | 3,619,288 | |
Electric — 0.7% | | | | | |
The AES Corp. (2) | | 350 | | 8,428 | |
Constellation Energy Corp. | | 3,613 | | 283,620 | |
Exelon Corp. (2) | | 4,267 | | 178,745 | |
Otter Tail Corp. | | 6,570 | | 474,814 | |
| | | | 945,607 | |
Electrical Components & Equipment — 0.9% | | ||||
Acuity Brands, Inc. 1.50% | | 1,293 | | 236,270 | |
Belden, Inc. | | 148 | | 12,842 | |
Encore Wire Corp. | | 3,763 | | 697,397 | |
EnerSys | | 1,419 | | 123,283 | |
Littelfuse, Inc. (2) | | 684 | | 183,373 | |
| | | 1,253,165 |
|
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Common Stocks — 99.7% (Continued) | | | | | |
Electronics — 1.5% | | | | | |
Amphenol Corp. | | 321 | | $26,232 | |
Atkore, Inc. (1) | | 3,925 | | 551,384 | |
Honeywell International, Inc. | | 1,400 | | 267,568 | |
Hubbell, Inc. (2) | | 86 | | 20,925 | |
Jabil, Inc. | | 6,112 | | 538,834 | |
Sanmina Corp. (1) | | 825 | | 50,317 | |
SYNNEX Corp. | | 795 | | 76,948 | |
Vishay Intertechnology, Inc. | | 19,709 | | 445,817 | |
Vontier Corp. | | 2,857 | | 78,110 | |
| | | | 2,056,135 | |
Engineering & Construction — 0.7% | | | | | |
Arcosa, Inc. | | 5,423 | | 342,246 | |
Comfort Systems USA, Inc. | | 674 | | 98,377 | |
EMCOR Group, Inc. | | 1,407 | | 228,764 | |
TopBuild Corp. (1) | | 1,767 | | 367,783 | |
| | | | 1,037,170 | |
Entertainment — 0.7% | | | | | |
International Game Technology PLC | | 7,071 | | 189,503 | |
Light & Wonder, Inc. (1) | | 1,765 | | 105,988 | |
Penn Entertainment, Inc. (1)(2) | | 6,251 | | 185,405 | |
SeaWorld Entertainment, Inc. (1) | | 7,182 | | 440,328 | |
| | | | 921,224 | |
Environmental Control — 0.1% | | | | | |
Clean Harbors, Inc. (1) | | 684 | | 97,511 | |
| | | | | |
Food — 3.0% | | | | | |
Albertsons Cos, Inc. | | 28,179 | | 585,560 | |
Cal-Maine Foods, Inc. | | 12,237 | | 745,111 | |
Campbell Soup Co. | | 6,056 | | 332,959 | |
Conagra Brands, Inc. | | 209 | | 7,850 | |
General Mills, Inc. | | 822 | | 70,248 | |
Hormel Foods Corp. | | 1,338 | | 53,359 | |
Kellogg Co. | | 6,430 | | 430,553 | |
The Kraft Heinz Co. | | 9,764 | | 377,574 | |
The Kroger Co. | | 5,969 | | 294,689 | |
Pilgrim’s Pride Corp. (1) | | 16,355 | | 379,109 | |
Post Holdings, Inc. (1) | | 77 | | 6,920 | |
Sprouts Farmers Market, Inc. (1) | | 8,801 | | 308,299 | |
TreeHouse Foods, Inc. (1) | | 11,138 | | 561,689 | |
US Foods Holding Corp. (1) | | 2,091 | | 77,242 | |
| | | | 4,231,162 | |
Forest Products & Paper — 0.2% | | | | | |
International Paper Co. | | 7,228 | | 260,642 | |
| | | | | |
SCHEDULE OF INVESTMENTS at March 31, 2023 (Unaudited) (Continued) |
Gotham 1000 Value ETF
13 |
The accompanying notes are an integral part of these financial statements.
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| Shares |
| Value |
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Common Stocks — 99.7% (Continued) | | | | | |
Gas — 0.2% | | | | | |
National Fuel Gas Co. | | 5,478 | | $316,300 | |
| | | | | |
Hand & Machine Tools — 0.1% | | | | | |
Regal Rexnord Corp. | | 107 | | 15,058 | |
Snap-on, Inc. (2) | | 226 | | 55,797 | |
| | | | 70,855 | |
Healthcare — Products — 1.1% | | | | | |
Abbott Laboratories | | 1,249 | | 126,474 | |
DENTSPLY SIRONA, Inc. | | 2,796 | | 109,827 | |
GE HealthCare Technologies, Inc. (1) | | 3,153 | | 258,640 | |
Hologic, Inc. (1) | | 813 | | 65,609 | |
Lantheus Holdings, Inc. (1) | | 7,812 | | 644,959 | |
QIAGEN NV (1) | | 1,245 | | 57,183 | |
The Cooper Companies, Inc. | | 45 | | 16,801 | |
Zimmer Biomet Holdings, Inc. | | 2,266 | | 292,767 | |
| | | | 1,572,260 | |
Healthcare — Services — 2.0% | | | | | |
Amedisys, Inc. (1) | | 2,876 | | 211,530 | |
Centene Corp. (1) | | 7,624 | | 481,913 | |
Chemed Corp. | | 121 | | 65,068 | |
DaVita, Inc. (1) | | 6,783 | | 550,169 | |
Elevance Health, Inc. | | 271 | | 124,609 | |
HCA Healthcare, Inc. | | 241 | | 63,547 | |
Humana, Inc. | | 348 | | 168,940 | |
Laboratory Corp of America Holdings | | 372 | | 85,344 | |
Molina Healthcare, Inc. (1)(2) | | 1,955 | | 522,943 | |
Quest Diagnostics, Inc. | | 721 | | 102,007 | |
Syneos Health, Inc. (1) | | 7,444 | | 265,155 | |
UnitedHealth Group, Inc. | | 325 | | 153,592 | |
| | | | 2,794,817 | |
Home Builders — 1.3% | | | | | |
Cavco Industries, Inc. (1) | | 1,190 | | 378,110 | |
Installed Building Products, Inc. | | 1,788 | | 203,886 | |
LCI Industries | | 4,412 | | 484,746 | |
Skyline Champion Corp. (1) | | 8,147 | | 612,899 | |
Thor Industries, Inc. | | 1,623 | | 129,256 | |
| | | | 1,808,897 | |
Home Furnishings — 0.3% | | | | | |
Leggett & Platt, Inc. | | 11,988 | | 382,177 | |
| | | | | |
Household Products & Wares — 0.2% | | | | ||
Avery Dennison Corp. | | 380 | | 67,993 | |
Kimberly-Clark Corp. | | 1,995 | | 267,769 | |
| | | 335,762 |
|
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| Value |
|
Common Stocks — 99.7% (Continued) | | | | | |
Housewares — 0.1% | | | | | |
The Scotts Miracle-Gro Co. | | 1,472 | | $102,657 | |
| | | | | |
Insurance — 4.1% | | | | | |
American Equity Investment Life Holding Co. | | 15,066 | | 549,758 | |
American International Group, Inc. | | 12,399 | | 624,414 | |
CNO Financial Group, Inc. | | 9,906 | | 219,814 | |
Equitable Holdings, Inc. | | 20,482 | | 520,038 | |
Essent Group Ltd. | | 11,321 | | 453,406 | |
Jackson Financial, Inc. | | 8,617 | | 322,362 | |
Loews Corp. | | 10,227 | | 593,370 | |
Manulife Financial Corp. | | 9,901 | | 181,782 | |
MGIC Investment Corp. | | 35,761 | | 479,913 | |
Principal Financial Group, Inc. | | 7,868 | | 584,750 | |
RLI Corp. | | 4,834 | | 642,487 | |
Ryan Specialty Holdings, Inc. - Class A (1)(2) | 3,122 | | 125,629 | | |
Unum Group | | 896 | | 35,446 | |
W.R. Berkley Corp. | | 6,181 | | 384,829 | |
| | | | 5,717,998 | |
Internet — 1.0% | | | | | |
Airbnb, Inc. - Class A (1)(2) | | 202 | | 25,129 | |
Alphabet, Inc. - Class A (1) | | 92 | | 9,543 | |
Booking Holdings, Inc. (1) | | 87 | | 230,760 | |
CDW Corp. | | 132 | | 25,726 | |
eBay, Inc. | | 8,222 | | 364,810 | |
Expedia Group, Inc. - Class A (1) | | 3,686 | | 357,653 | |
F5, Inc. (1) | | 385 | | 56,091 | |
Gen Digital, Inc. | | 1,989 | | 34,131 | |
Match Group, Inc. (1) | | 5,729 | | 219,936 | |
Ziff Davis, Inc. (1)(2) | | 1,129 | | 88,118 | |
| | | | 1,411,897 | |
Iron & Steel — 2.2% | | | | | |
ATI, Inc. (1) | | 1,324 | | 52,245 | |
Cleveland-Cliffs, Inc. (1) | | 15,128 | | 277,296 | |
Commercial Metals Co. | | 7,714 | | 377,215 | |
Nucor Corp. (2) | | 3,625 | | 559,954 | |
Reliance Steel & Aluminum Co. | | 2,512 | | 644,931 | |
Steel Dynamics, Inc. | | 5,191 | | 586,894 | |
United States Steel Corp. (2) | | 19,713 | | 514,509 | |
| | | | 3,013,044 | |
Leisure Time — 0.2% | | | | | |
Brunswick Corp. | | 195 | | 15,990 | |
Polaris, Inc. (2) | | 2,098 | | 232,102 | |
| | | | 248,092 | |
SCHEDULE OF INVESTMENTS at March 31, 2023 (Unaudited) (Continued) |
Gotham 1000 Value ETF
14 |
The accompanying notes are an integral part of these financial statements.
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| Shares |
| Value |
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Common Stocks — 99.7% (Continued) | | | | | |
Lodging — 1.5% | | | | | |
Boyd Gaming Corp. | | 7,414 | | $475,386 | |
Choice Hotels International, Inc. | | 2,403 | | 281,608 | |
Hilton Worldwide Holdings, Inc. | | 1,145 | | 161,296 | |
Hyatt Hotels Corp. - Class A (1)(2) | | 1,842 | | 205,917 | |
Marriott International, Inc. | | 1,856 | | 308,170 | |
MGM Resorts International | | 6,602 | | 293,261 | |
Wyndham Hotels & Resorts, Inc. (1) | | 5,912 | | 401,129 | |
| | | | 2,126,767 | |
Machinery — Construction & Mining — 0.3% | | ||||
Caterpillar, Inc. | | 1,401 | | 320,605 | |
Terex Corp. | | 2,812 | | 136,044 | |
| | | | 456,649 | |
Machinery — Diversified — 1.0% | | | | | |
AGCO Corp. | | 3,268 | | 441,834 | |
Chart Industries, Inc. (1)(2) | | 1,176 | | 147,470 | |
Crane Holdings Co. | | 3,725 | | 422,788 | |
Esab Corp. | | 2,949 | | 174,198 | |
Ingersoll Rand, Inc. | | 2,069 | | 120,374 | |
Otis Worldwide Corp. | | 201 | | 16,964 | |
| | | | 1,323,628 | |
Media — 2.6% | | | | | |
Cable One, Inc. (2) | | 667 | | 468,234 | |
Charter Communications, Inc. - Class A (1)(2) | 927 | | 331,505 | | |
Comcast Corp. - Class A | | 12,768 | | 484,035 | |
Fox Corp. - Class B | | 1,920 | | 65,376 | |
The New York Times Co. - Class A | | 1,391 | | 54,082 | |
News Corp. - Class A | | 17,457 | | 301,482 | |
Nexstar Media Group, Inc. | | 3,590 | | 619,849 | |
Sirius XM Holdings, Inc. (2) | | 142,583 | | 566,055 | |
TEGNA, Inc. | | 42,081 | | 711,590 | |
ViacomCBS, Inc. - Class A (2) | | 685 | | 15,282 | |
| | | | 3,617,490 | |
Metal Fabricate & Hardware — 1.2% | | | | ||
Advanced Drainage Systems, Inc. | | 4,881 | | 411,029 | |
Mueller Industries, Inc. (2) | | 9,927 | | 729,436 | |
The Timken Co. | | 430 | | 35,140 | |
Valmont Industries, Inc. | | 1,119 | | 357,274 | |
Worthington Industries, Inc. | | 2,574 | | 166,409 | |
| | | | 1,699,288 | |
Mining — 1.0% | | | | | |
Arconic Corp. (1) | | 16,397 | | 430,093 | |
Barrick Gold Corp. | | 11,867 | | 220,370 | |
Franco-Nevada Corp. | | 1,224 | | 178,459 | |
Freeport-McMoRan, Inc. | | 3,999 | | 163,599 |
|
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|
Common Stocks — 99.7% (Continued) | | | | | |
Mining — 1.0% (Continued) | | | | | |
Southern Copper Corp. | | 2,160 | | $164,700 | |
Teck Resources Ltd. - Class A | | 7,983 | | 291,380 | |
| | | | 1,448,601 | |
Miscellaneous Manufacturers — 1.2% | | ||||
3M Co. | | 5,272 | | 554,140 | |
Carlisle Companies, Inc. | | 2,345 | | 530,134 | |
Donaldson Co., Inc. | | 1,991 | | 130,092 | |
General Electric Co. | | 1,040 | | 99,424 | |
Teledyne Technologies, Inc. (1)(2) | | 97 | | 43,394 | |
Textron, Inc. (2) | | 4,509 | | 318,471 | |
| | | | 1,675,655 | |
Office & Business Equipment — 0.0% (4) | | ||||
Zebra Technologies Corp. (1) | | 128 | | 40,704 | |
| | | | | |
Oil & Gas — 13.7% | | | | | |
Antero Resources Corp. (1)(2) | | 24,658 | | 569,353 | |
APA Corp. | | 14,180 | | 511,331 | |
California Resources Corp. | | 9,986 | | 384,461 | |
Canadian Natural Resources Ltd. | | 10,940 | | 605,529 | |
Cenovus Energy, Inc. | | 21,550 | | 376,263 | |
Chesapeake Energy Corp. (2) | | 182 | | 13,839 | |
Chevron Corp. | | 4,058 | | 662,103 | |
Civitas Resources, Inc. | | 5,922 | | 404,709 | |
CNX Resources Corp. (1) | | 39,869 | | 638,701 | |
Comstock Resources, Inc. (2) | | 45,554 | | 491,528 | |
ConocoPhillips | | 6,337 | | 628,694 | |
Coterra Energy, Inc. (2) | | 21,293 | | 522,530 | |
Crescent Point Energy Corp. | | 72,726 | | 513,446 | |
CVR Energy, Inc. | | 18,319 | | 600,497 | |
Denbury, Inc. (1) | | 859 | | 75,274 | |
Devon Energy Corp. | | 8,215 | | 415,761 | |
Diamondback Energy, Inc. | | 2,136 | | 288,723 | |
Enerplus Corp. | | 29,027 | | 418,279 | |
EOG Resources, Inc. | | 5,190 | | 594,930 | |
EQT Corp. (2) | | 16,487 | | 526,100 | |
Exxon Mobil Corp. | | 6,020 | | 660,153 | |
Hess Corp. | | 2,546 | | 336,938 | |
HF Sinclair Corp. (2) | | 13,781 | | 666,725 | |
Imperial Oil Ltd. | | 14,123 | | 717,590 | |
Kosmos Energy Ltd. (1) | | 63,357 | | 471,376 | |
Marathon Petroleum Corp. | | 5,311 | | 716,082 | |
Matador Resources Co. | | 5,972 | | 284,566 | |
Murphy Oil Corp. | | 14,596 | | 539,760 | |
Occidental Petroleum Corp. | | 7,460 | | 465,728 | |
Ovintiv, Inc. | | 14,259 | | 514,465 | |
SCHEDULE OF INVESTMENTS at March 31, 2023 (Unaudited) (Continued) |
Gotham 1000 Value ETF
15 |
The accompanying notes are an integral part of these financial statements.
|
| Shares |
| Value |
|
Common Stocks — 99.7% (Continued) | | | | | |
Oil & Gas — 13.7% (Continued) | | | | | |
PDC Energy, Inc. | | 4,736 | | $303,956 | |
Phillips 66 (2) | | 6,727 | | 681,983 | |
Pioneer Natural Resources Co. | | 2,356 | | 481,189 | |
Range Resources Corp. | | 22,108 | | 585,199 | |
Southwestern Energy Co. (1) | | 88,231 | | 441,155 | |
Suncor Energy, Inc. | | 19,233 | | 597,185 | |
Valero Energy Corp. | | 4,994 | | 697,162 | |
Vermilion Energy, Inc. | | 34,314 | | 445,053 | |
Weatherford International PLC (1) | | 4,060 | | 240,961 | |
| | | | 19,089,277 | |
Oil & Gas Services — 0.5% | | | | | |
Baker Hughes Co. - Class A | | 620 | | 17,893 | |
ChampionX Corp. | | 7,986 | | 216,660 | |
Halliburton Co. | | 611 | | 19,332 | |
NexTier Oilfield Solutions, Inc. (1) | | 6,363 | | 50,586 | |
TechnipFMC PLC (1)(2) | | 25,970 | | 354,491 | |
| | | | 658,962 | |
Packaging & Containers — 2.2% | | | | | |
AptarGroup, Inc. | | 158 | | 18,674 | |
Berry Global Group, Inc. | | 7,056 | | 415,598 | |
Graphic Packaging Holding Co. | | 24,751 | | 630,903 | |
Greif, Inc. - Class A (2) | | 6,191 | | 392,324 | |
O-I Glass, Inc. (1) | | 4,946 | | 112,324 | |
Packaging Corp. of America (2) | | 2,597 | | 360,542 | |
Sealed Air Corp. | | 9,985 | | 458,411 | |
Silgan Holdings, Inc. | | 11,699 | | 627,885 | |
| | | | 3,016,661 | |
Pharmaceuticals — 4.1% | | | | | |
AbbVie, Inc. | | 2,665 | | 424,721 | |
AbCellera Biologics, Inc. (1)(2) | | 5,056 | | 38,122 | |
AmerisourceBergen Corp. | | 1,193 | | 191,011 | |
Bausch Health Cos, Inc. (1) | | 2,073 | | 16,791 | |
Bristol-Myers Squibb Co. | | 3,381 | | 234,337 | |
Cardinal Health, Inc. | | 3,597 | | 271,574 | |
The Cigna Group | | 1,836 | | 469,153 | |
CVS Health Corp. | | 7,480 | | 555,839 | |
Harmony Biosciences Holdings, Inc. (1)(2) | | 2,824 | | 92,204 | |
Jazz Pharmaceuticals PLC (1) | | 4,093 | | 598,929 | |
Johnson & Johnson | | 1,963 | | 304,265 | |
McKesson Corp. | | 790 | | 281,280 | |
Merck & Co., Inc. | | 3,669 | | 390,345 | |
Organon & Co. | | 18,935 | | 445,351 | |
Pfizer, Inc. | | 15,978 | | 651,902 | |
Prestige Consumer Healthcare, Inc. (1) | | 4,312 | | 270,061 | |
Viatris, Inc. | | 44,991 | | 432,813 | |
| | | 5,668,698 |
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| Value |
|
Common Stocks — 99.7% (Continued) | | | | | |
Pipelines — 1.1% | | | | | |
Cheniere Energy, Inc. | | 4,168 | | $656,877 | |
Equitrans Midstream Corp. | | 36,295 | | 209,785 | |
Kinder Morgan, Inc. (2) | | 7,066 | | 123,726 | |
ONEOK, Inc. | | 1,627 | | 103,380 | |
Pembina Pipeline Corp. | | 11,821 | | 383,000 | |
| | | | 1,476,768 | |
Private Equity — 0.1% | | | | | |
Brookfield Corp. - Class A | | 2,752 | | 89,688 | |
The Carlyle Group, Inc. | | 253 | | 7,858 | |
| | | | 97,546 | |
Real Estate — 0.9% | | | | | |
Cushman & Wakefield PLC (1)(2) | | 39,442 | | 415,719 | |
The Howard Hughes Corp. (1) | | 5,456 | | 436,480 | |
Jones Lang LaSalle, Inc. (1) | | 1,423 | | 207,032 | |
Tricon Residential, Inc. | | 27,659 | | 214,357 | |
| | | | 1,273,588 | |
Real Estate Investment Trusts (REITs) — 0.2% | | ||||
Weyerhaeuser Co. | | 8,306 | | 250,260 | |
| | | | | |
Retail — 6.8% | | | | | |
Academy Sports & Outdoors, Inc. | | 2,576 | | 168,084 | |
Advance Auto Parts, Inc. | | 1,179 | | 143,378 | |
American Eagle Outfitters, Inc. | | 24,199 | | 325,235 | |
Asbury Automotive Group, Inc. (1)(2) | | 1,201 | | 252,210 | |
AutoNation, Inc. (1) | | 4,798 | | 644,659 | |
AutoZone, Inc. (1) | | 30 | | 73,745 | |
Bath & Body Works, Inc. | | 5,237 | | 191,569 | |
Beacon Roofing Supply, Inc. (1) | | 1,117 | | 65,735 | |
Best Buy Co., Inc. | | 4,145 | | 324,429 | |
CarMax, Inc. (1) | | 7,076 | | 454,845 | |
Casey’s General Stores, Inc. (2) | | 1,698 | | 367,549 | |
Dick’s Sporting Goods, Inc. | | 544 | | 77,188 | |
Dillard’s, Inc. - Class B | | 1,216 | | 374,139 | |
Domino’s Pizza, Inc. | | 318 | | 104,899 | |
FirstCash Holdings, Inc. | | 1,534 | | 146,298 | |
Group 1 Automotive, Inc. | | 2,797 | | 633,297 | |
Lithia Motors, Inc. - Class B | | 2,293 | | 524,936 | |
Lowe’s Companies, Inc. | | 1,264 | | 252,762 | |
Macy’s, Inc. | | 14,958 | | 261,615 | |
McDonald’s Corp. | | 365 | | 102,058 | |
Murphy USA, Inc. | | 2,631 | | 678,930 | |
Nordstrom, Inc. (2) | | 27,228 | | 443,000 | |
O’Reilly Automotive, Inc. (1) | | 35 | | 29,714 | |
Penske Automotive Group, Inc. | | 3,156 | | 447,552 | |
SCHEDULE OF INVESTMENTS at March 31, 2023 (Unaudited) (Continued) |
Gotham 1000 Value ETF
16 |
The accompanying notes are an integral part of these financial statements.
|
| Shares |
| Value |
|
Common Stocks — 99.7% (Continued) | | | | | |
Retail — 6.8% (Continued) | | | | | |
Restaurant Brands International, Inc. | | 2,545 | | $170,871 | |
Ross Stores, Inc. | | 631 | | 66,968 | |
Rush Enterprises, Inc. - Class B | | 7,798 | | 425,771 | |
Signet Jewelers Ltd. | | 4,468 | | 347,521 | |
The TJX Companies, Inc. | | 2,244 | | 175,840 | |
Ulta Beauty, Inc. (1) | | 451 | | 246,097 | |
Victoria’s Secret & Co. (1) | | 10,747 | | 367,010 | |
Walgreens Boots Alliance, Inc. | | 2,995 | | 103,567 | |
The Wendy’s Co. | | 625 | | 13,613 | |
Williams-Sonoma, Inc. (2) | | 3,203 | | 389,677 | |
Yum! Brands, Inc. | | 295 | | 38,964 | |
| | | | 9,433,725 | |
Savings & Loans — 0.2% | | | | | |
New York Community Bancorp, Inc. | | 1,243 | | 11,237 | |
Pacific Premier Bancorp, Inc. | | 9,532 | | 228,958 | |
| | | | 240,195 | |
Semiconductors — 2.1% | | | | | |
Amkor Technology, Inc. | | 295 | | 7,676 | |
Applied Materials, Inc. | | 610 | | 74,926 | |
Broadcom, Inc. | | 305 | | 195,670 | |
Cirrus Logic, Inc. (1) | | 4,391 | | 480,288 | |
Diodes, Inc. (1) | | 1,229 | | 114,002 | |
IPG Photonics Corp. (1) | | 3,225 | | 397,675 | |
KLA Corp. | | 125 | | 49,896 | |
Lam Research Corp. (2) | | 352 | | 186,602 | |
MaxLinear, Inc. (1) | | 6,062 | | 213,443 | |
Microchip Technology, Inc. | | 1,376 | | 115,281 | |
NXP Semiconductors NV | | 1,738 | | 324,094 | |
ON Semiconductor Corp. (1)(2) | | 2,864 | | 235,765 | |
Power Integrations, Inc. | | 649 | | 54,931 | |
Qorvo, Inc. (1) | | 3,155 | | 320,453 | |
QUALCOMM, Inc. | | 527 | | 67,235 | |
Skyworks Solutions, Inc. (2) | | 383 | | 45,186 | |
Synaptics, Inc. (1) | | 434 | | 48,239 | |
Teradyne, Inc. (2) | | 177 | | 19,029 | |
Texas Instruments, Inc. | | 95 | | 17,671 | |
| | | | 2,968,062 | |
Software — 1.4% | | | | | |
Akamai Technologies, Inc. (1) | | 5,233 | | 409,744 | |
Concentrix Corp. | | 3,114 | | 378,507 | |
Dropbox, Inc. - Class A (1) | | 6,042 | | 130,628 | |
Electronic Arts, Inc. | | 1,040 | | 125,268 | |
Fiserv, Inc. (1)(2) | | 764 | | 86,355 | |
Open Text Corp. | | 3,262 | | 125,750 |
|
| Shares |
| Value |
|
Common Stocks — 99.7% (Continued) | | | | | |
Software — 1.4% (Continued) | | | | | |
Paychex, Inc. | | 1,507 | | $172,687 | |
SS&C Technologies Holdings, Inc. | | 5,909 | | 333,681 | |
Teradata Corp. (1) | | 913 | | 36,775 | |
Verra Mobility Corp. (1) | | 12,417 | | 210,096 | |
| | | | 2,009,491 | |
Telecommunications — 1.4% | | | | | |
AT&T, Inc. | | 18,599 | | 358,031 | |
Cisco Systems, Inc. | | 4,710 | | 246,215 | |
Iridium Communications, Inc. | | 206 | | 12,757 | |
Lumen Technologies, Inc. (2) | | 228,165 | | 604,637 | |
T-Mobile US, Inc. (1) | | 2,171 | | 314,448 | |
Verizon Communications, Inc. | | 8,980 | | 349,232 | |
Viavi Solutions, Inc. (1) | | 1,531 | | 16,581 | |
| | | | 1,901,901 | |
Toys, Games & Hobbies — 0.6% | | | | | |
Hasbro, Inc. | | 8,028 | | 431,024 | |
Mattel, Inc. (1) | | 21,803 | | 401,393 | |
| | | | 832,417 | |
Transportation — 4.2% | | | | | |
C.H. Robinson Worldwide, Inc. | | 6,688 | | 664,587 | |
CSX Corp. | | 7,176 | | 214,849 | |
Expeditors International of Washington, Inc. | 5,761 | | 634,401 | | |
FedEx Corp. | | 62 | | 14,166 | |
Forward Air Corp. | | 3,693 | | 397,958 | |
Hub Group, Inc. - Class A (1) | | 5,946 | | 499,107 | |
Knight-Swift Transportation Holdings, Inc. | | 2,867 | | 162,215 | |
Landstar System, Inc. | | 3,591 | | 643,723 | |
Matson, Inc. | | 8,769 | | 523,246 | |
Norfolk Southern Corp. | | 1,543 | | 327,116 | |
Ryder System, Inc. | | 1,825 | | 162,863 | |
Schneider National, Inc. - Class A | | 413 | | 11,048 | |
TFI International, Inc. | | 4,752 | | 566,866 | |
Union Pacific Corp. | | 1,185 | | 238,493 | |
United Parcel Service, Inc. - Class B | | 2,051 | | 397,874 | |
XPO, Inc. (1)(2) | | 11,471 | | 365,925 | |
| | | | 5,824,437 | |
Total Common Stocks | | | | | |
(Cost $139,248,813) | | | | 138,893,293 | |
| | | | | |
SCHEDULE OF INVESTMENTS at March 31, 2023 (Unaudited) (Continued) |
Gotham 1000 Value ETF
17 |
The accompanying notes are an integral part of these financial statements.
|
| Shares |
| Value |
|
Short-Term Investments — 0.2% | | | | | |
Money Market Funds — 0.2% | | | | | |
First American Government Obligations Fund, Class X, 4.650% (3) | | 235,684 | | $235,684 | |
Total Short-Term Investments | | | | | |
(Cost $235,684) | | | | 235,684 | |
| | | | | |
Investments Purchased with Collateral from Securities Lending — 9.1% | |||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.000% (3) | | 12,665,486 | | 12,665,486 | |
Total Investments Purchased with Collateral from Securities Lending | | ||||
(Cost $12,665,486) | | | | 12,665,486 | |
Total Investments in Securities — 109.0% | | ||||
(Cost $152,149,983) | | | | 151,794,463 | |
Liabilities in Excess of Other Assets — (9.0)% | | (12,571,160 | ) | ||
Total Net Assets — 100.0% | | | | $139,223,303 | |
SVSSubordinate Voting Shares
(1)Non-income producing security.
(2)This security or a portion of this security was out on loan as of March 31, 2023. Total loaned securities had a value of $12,468,893 or 9.0% of net assets as of March 31, 2023. The remaining contractual maturity of all of the securities lending transactions is overnight and continuous.
(3)The rate shown is the annualized seven-day effective yield as of March 31, 2023.
(4)Does not round to 0.1% or (0.1)%, as applicable.
SCHEDULE OF INVESTMENTS at March 31, 2023 (Unaudited) (Continued) |
Gotham ETFs
18 |
The accompanying notes are an integral part of these financial statements.
|
| Gotham |
| Gotham 1000 |
|
| |||||
Assets: | | | | | |
Investments in securities, at value (Cost $318,851,932 and $152,149,983, respectively) (Note 2) | | $323,272,613 | (1) | $151,794,463 | (2) |
Cash | | — | | 9,656 | |
Receivables: | | | | | |
Fund shares sold | | — | | 2,841,270 | |
Investment securities sold | | 2,344,806 | | 574,382 | |
Dividends and interest receivable | | 262,145 | | 136,892 | |
Securities lending income, net (Note 5) | | 1,932 | | 4,929 | |
Total assets | | 325,768,198 | | 155,361,592 | |
| | | | | |
Liabilities: | | | | | |
Collateral received for securities loaned (Note 5) | | 28,126,557 | | 12,665,486 | |
Payables: | | | | | |
Investment securities purchased | | 2,416,005 | | 3,416,180 | |
Management fees (Note 4) | | 120,738 | | 56,623 | |
Total liabilities | | 30,550,002 | | 16,138,289 | |
Net Assets | | $295,218,196 | | $139,223,303 | |
| | | | | |
Components of Net Assets: | | | | | |
Paid-in capital | | $309,711,415 | | $140,701,790 | |
Total distributable (accumulated) earnings (losses) | | (14,493,219 | ) | (1,478,487 | ) |
Net assets | | $295,218,196 | | $139,223,303 | |
| | | | | |
Net Asset Value (unlimited shares authorized): | | | | | |
Net assets | | $295,218,196 | | $139,223,303 | |
Shares of beneficial interest issued and outstanding | | 13,150,000 | | 7,350,000 | |
Net asset value | | $22.45 | | $18.94 | |
(1)Includes loaned securities with a value of $28,013,259.
(2)Includes loaned securities with a value of $12,468,893.
Gotham ETFs
19 |
The accompanying notes are an integral part of these financial statements.
|
| Gotham |
| Gotham 1000 |
|
| |||||
Investment Income: | |||||
Dividend income | | $2,739,169 | | $977,845 | |
Securities lending income, net (Note 5) | | 11,992 | | 14,891 | |
Interest income | | 8,036 |
| 2,592 | |
Total investment income | | 2,759,197 |
| 995,328 | |
| | | | | |
Expenses: | |||||
Management fees (Note 4) | | 922,879 |
| 264,839 | |
Total expenses | | 922,879 | | 264,839 | |
Less: Management fee waiver (Note 4) | | (212,972 | ) | (61,117 | ) |
Net expenses | | 709,907 |
| 203,722 | |
Net investment income (loss) | | 2,049,290 |
| 791,606 | |
| | | | | |
Realized and Unrealized Gain (Loss) | |||||
Net realized gain (loss): | | | | | |
Investments | | (10,221,537 | ) | (1,313,739 | ) |
Foreign currency transactions | | — | | (54 | ) |
Change in net unrealized appreciation/depreciation on: | | | | | |
Investments | | 48,418,772 | | 3,290,730 | |
Foreign currency transactions | | — | | 6 | |
Net realized and unrealized gain (loss) on investments | | 38,197,235 | | 1,976,943 | |
Net increase (decrease) in net assets resulting from operations | | $40,246,525 | | $2,768,549 | |
Gotham Enhanced 500 ETF
20 |
The accompanying notes are an integral part of these financial statements.
|
| Six-Months |
| Year Ended |
|
| |||||
Increase (Decrease) in Net Assets From: | |||||
| |||||
Operations: | |||||
Net investment income (loss) | | $2,049,290 | | $2,778,084 | |
Net realized gain (loss) | | (10,221,537 | ) | (9,445,576 | ) |
Change in net unrealized appreciation/depreciation | | 48,418,772 |
| (44,142,309 | ) |
Net increase (decrease) in net assets resulting from operations | | 40,246,525 |
| (50,809,801 | ) |
| | | | | |
Distributions to Shareholders: | |||||
Net distributions to shareholders | | (3,481,219 | ) | (616,760 | ) |
| | | | | |
Capital Share Transactions: | |||||
Net increase (decrease) in net assets derived from net change in outstanding shares (1) | | (3,811,010 | ) | 225,891,940 | |
Total increase (decrease) in net assets | | 32,954,296 |
| 174,465,379 | |
| | | | | |
Net Assets: | |||||
Beginning of period | | 262,263,900 |
| 87,798,521 | |
End of period | | $295,218,196 |
| $262,263,900 | |
| | | | | |
(1)Summary of share transactions is as follows: | | | | | |
| | Six-Months Ended |
| Year Ended | | ||||
| | Shares |
| Value |
| Shares |
| Value | |
Shares sold | | — | | $— | | 9,525,000 | | $225,891,940 | |
Shares redeemed | | (175,000 | ) | (3,811,010 | ) | — | | — | |
Net increase (decrease) | | (175,000 | ) | $(3,811,010 | ) | 9,525,000 | | $225,891,940 | |
Gotham 1000 Value ETF
21 |
The accompanying notes are an integral part of these financial statements.
STATEMENT OF CHANGES IN NET ASSETS (Unaudited) |
|
| Six-Months |
| Period Ended |
|
| |||||
Increase (Decrease) in Net Assets From: | |||||
| |||||
Operations: | |||||
Net investment income (loss) | | $791,606 | | $147,651 | |
Net realized gain (loss) on investments | | (1,313,793 | ) | (316,005 | ) |
Change in net unrealized appreciation/depreciation on investments | | 3,290,736 | | (3,646,140 | ) |
Net increase (decrease) in net assets resulting from operations | | 2,768,549 | | (3,814,494 | ) |
| | | | | |
Distributions to Shareholders: | | | | | |
Net distributions to shareholders | | (432,542 | ) | — | |
| | | | | |
Capital Share Transactions: | |||||
Net increase (decrease) in net assets derived from net change in outstanding shares (2) | | 103,519,105 | | 37,182,685 | |
Total increase (decrease) in net assets | | 105,855,112 | | 33,368,191 | |
| | | | | |
Net Assets: | |||||
Beginning of period | | 33,368,191 | | — | |
End of period | | $139,223,303 | | $33,368,191 | |
| | | | | |
(1)The Fund commenced operations on June 7, 2022. The information presented is from June 7, 2022 to September 30, 2022. (2)Summary of share transactions is as follows: |
| | Six-Months Ended |
| Period Ended | | ||||
| | Shares |
| Value |
| Shares |
| Value | |
Shares sold | | 5,350,000 | | $103,519,105 | | 2,000,000 | | $37,182,555 | |
Shares redeemed | | — | | — | | — | | — | |
Variable fees | | — | | — | | — | | 130 | |
Net increase (decrease) | | 5,350,000 | | $103,519,105 | | 2,000,000 | | $37,182,685 | |
Gotham Enhanced 500 ETF
22 |
The accompanying notes are an integral part of these financial statements.
|
| Six-Months |
| Year Ended |
| Period Ended |
|
| |||||||
Net asset value, beginning of period/year | | $19.68 | | $23.10 | | $20.00 | |
| | | | | | | |
Income (Loss) from Investment Operations: | |||||||
Net investment income (loss) (2) | | 0.15 | | 0.28 | | 0.19 | |
Net realized and unrealized gain (loss) on investments | | 2.88 | | (3.64 | ) | 2.91 | |
Total from investment operations | | 3.03 | | (3.36 | ) | 3.10 | |
| | | | | | | |
Less Distributions: | |||||||
From net investment income | | (0.26 | ) | (0.06 | ) | — | |
Total distributions | | (0.26 | ) | (0.06 | ) | — | |
| | | | | | | |
Net asset value, end of period/year | | $22.45 | | $19.68 | | $23.10 | |
Total Return (4) | | 15.50 | %(3) | (14.62 | )% | 15.53 | %(3) |
| | | | | | | |
Ratios / Supplemental Data: | |||||||
Net assets, end of period/year (millions) | | $295.2 | | $262.3 | | $87.8 | |
Portfolio turnover rate | | 62 | %(3)(5) | 59 | % | 36 | %(3) |
Ratio of expenses to average net assets | | | �� | | | | |
Before management fees waived | | 0.65 | %(6) | 0.65 | % | 0.65 | %(5) |
After management fees waived | | 0.50 | %(6) | 0.50 | % | 0.50 | %(5) |
Ratio of net investment income (loss) to average net assets | | | | | | | |
Before management fees waived | | 1.29 | %(6) | 1.05 | % | 0.92 | %(5) |
After management fees waived | | 1.44 | %(6) | 1.20 | % | 1.07 | %(5) |
| ��� | | | | | | |
(1)The Fund commenced operations on December 28, 2020. The information presented is from December 28, 2020 to September 30, 2021. (2)Calculated using average shares outstanding method. (3)Not annualized. (4)The total return is based on the Fund’s net asset value. (5)Does not include in-kind transactions, when applicable. (6)Annualized. |
Gotham 1000 Value ETF
23 |
The accompanying notes are an integral part of these financial statements.
FINANCIAL HIGHLIGHTS |
|
| Six-Months |
| Period Ended |
|
| |||||
Net asset value, beginning of period | | $16.68 | | $20.00 | |
| | | | | |
Income (Loss) from Investment Operations: | |||||
Net investment income (loss) (2) | | 0.19 | | 0.13 | |
Net realized and unrealized gain (loss) on investments | | 2.25 | | (3.45 | ) |
Total from investment operations | | 2.44 | | (3.32 | ) |
| | | | | |
Less Distributions: | |||||
From net investment income | | (0.18 | ) | — | |
Total distributions | | (0.18 | ) | — | |
| | | | | |
Net asset value, end of period | | $18.94 | | $16.68 | |
Total Return (3)(4) | | 14.65 | % | (16.58 | )% |
| | | | | |
Ratios / Supplemental Data: | |||||
Net assets, end of period (millions) | | $139.2 | | $33.4 | |
Portfolio turnover rate (3)(5) | | 88 | % | 52 | % |
Ratio of expenses to average net assets | | | | | |
Before management fees waived (6) | | 0.65 | % | 0.65 | % |
After management fees waived (6) | | 0.50 | % | 0.50 | % |
Ratio of net investment income (loss) to average net assets | | | | | |
Before management fees waived (6) | | 1.79 | % | 2.07 | % |
After management fees waived (6) | | 1.94 | % | 2.22 | % |
| | | | | |
(1)The Fund commenced operations on June 7, 2022. The information presented is from June 7, 2022 to September 30, 2022. (2)Calculated using average shares outstanding method. (3)Not annualized. (4)The total return is based on the Fund’s net asset value. (5)Does not include in-kind transactions, when applicable. (6)Annualized. |
24 |
Gotham ETFs
NOTE 1 – ORGANIZATION |
The Gotham Enhanced 500 ETF and Gotham 1000 Value ETF are each diversified series of shares (each, a “Fund,” and collectively, the “Funds”) of beneficial interest of Tidal ETF Trust (the “Trust”). The Trust was organized as a Delaware statutory trust on June 4, 2018 and is registered with the Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and the offering of each Fund’s shares is registered under the Securities Act of 1933, as amended. The Trust is governed by the Board of Trustees (the “Board”). Toroso Investments, LLC (“Toroso” or the “Adviser”), a Tidal Financial Group company, serves as investment adviser to the Funds and Gotham Asset Management, LLC (“Gotham” or the “Sub-Adviser”) serves as investment sub-adviser to the Funds. Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 “Financial Services—Investment Companies.” The Gotham Enhanced 500 ETF commenced operations on December 28, 2020 and the Gotham 1000 Value ETF commenced operations on June 7, 2022.
The investment objective of each Fund is to seek long-term capital appreciation.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies consistently followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”).
A.Security Valuation. Equity securities, which may include Real Estate Investment Trusts (“REITs”), Business Development Companies (“BDCs”), and Master Limited Partnerships (“MLPs”), listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on the NASDAQ Stock Market, LLC (“NASDAQ”)), including securities traded over the counter, are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded on the valuation date (or at approximately 4:00 p.m. EST if a security’s primary exchange is normally open at that time), or, if there is no such reported sale on the valuation date, at the most recent quoted bid price or mean between the most recent quoted bid and ask prices for long and short positions. For a security that trades on multiple exchanges, the primary exchange will generally be considered the exchange on which the security is generally most actively traded. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. Prices of securities traded on the securities exchange will be obtained from recognized independent pricing agents (“Independent Pricing Agents”) each day that the Funds are open for business.
Options are valued at the last quoted sales price. If there is no such reported sale on the valuation date, both long and short positions are valued at the mean between the most recent quoted bid and ask prices.
Effective September 8, 2022, for securities for which quotations are not readily available, under Rule 2a-5 of the 1940 Act, a fair value will be determined by the Valuation Designee (as defined in Rule 2a-5) in accordance with the Pricing and Valuation Policy and Fair Value Procedures, as applicable, of the Adviser, subject to oversight by the Board. When a security is “fair valued,” consideration is given to the facts and circumstances relevant to the particular situation, including a review of various factors set forth in the Adviser’s Pricing and Valuation Policy and Fair Value Procedures, as applicable. Fair value pricing is an inherently subjective process, and no single standard exists for determining fair value. Different funds could reasonably arrive at different values for the same security. The use of fair value pricing by a funds may cause the net asset value of its shares to differ significantly from the net asset value that would be calculated without regard to such considerations.
As described above, the Funds utilize various methods to measure the fair value of their 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 Funds have 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 speeds, credit risk, yield curves, default rates and similar data.
25 |
Gotham ETFs
Level 3 –Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing each 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 availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The following is a summary of the inputs used to value each Fund’s investments as of March 31, 2023:
| | Gotham Enhanced 500 ETF | | ||||||||
Investments in Securities | | Investments | | Level 1 | | Level 2 | | Level 3 | | Total | |
Common Stocks (1) | | $— | | $294,703,878 | | $— | | $— | | $294,703,878 | |
Short-Term Investments | | — | | 442,178 | | — | | — | | 442,178 | |
Investments Purchased With Collateral From Securities Lending (2) | | 28,126,557 | | — | | — | | — | | 28,126,557 | |
Total Investments in Securities | | $28,126,557 | | $295,146,056 | | $— | | $— | | $323,272,613 | |
| | Gotham 1000 Value ETF | | ||||||||
Investments in Securities | | Investments | | Level 1 | | Level 2 | | Level 3 | | Total | |
Common Stocks (1) | | $— | | $138,893,293 | | $— | | $— | | $138,893,293 | |
Short-Term Investments | | — | | 235,684 | | — | | — | | 235,684 | |
Investments Purchased With Collateral From Securities Lending (2) | | 12,665,486 | | — | | — | | — | | 12,665,486 | |
Total Investments in Securities | | $12,665,486 | | $139,128,977 | | $— | | $— | | $151,794,463 | |
(1)See Schedule of Investments for the industry breakout.
(2)Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Schedule of Investments.
B.Federal Income Taxes. Each Fund has elected to be taxed as a “regulated investment company” and intends to distribute substantially all taxable income to its shareholders and otherwise comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. Therefore, no provision for federal income taxes or excise taxes has been made.
In order to avoid imposition of the excise tax applicable to regulated investment companies, each Fund intends to declare as dividends in each calendar year at least 98.0% of its net investment income (earned during the calendar year) and at least 98.2% of its net realized capital gains (earned during the twelve months ended October 31) plus undistributed amounts, if any, from prior years.
As of March 31, 2023, the Funds did not have any tax positions that did not meet the threshold of being sustained by the applicable tax authority. Generally, tax authorities can examine all the tax returns filed for the last three years. Each Fund identifies its major tax jurisdiction as U.S. Federal and the Commonwealth of Delaware; however, the Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially.
NOTES TO FINANCIAL STATEMENTS March 31, 2023 (Unaudited) (Continued) |
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C. Securities Transactions and Investment Income. Investment securities transactions are accounted for on the trade date. Gains and losses realized on sales of securities are determined on a specific identification basis. Discounts/premiums on debt securities purchased are accreted/amortized over the life of the respective securities using the effective interest method. Dividend income is recorded on the ex-dividend date. Debt income is recorded on an accrual basis. Other non-cash dividends are recognized as investment income at the fair value of the property received. Withholding taxes on foreign dividends have been provided for in accordance with the Trust’s understanding of the applicable country’s tax rules and rates. If a Fund’s distributions exceed its earnings and profits, all or a portion of the distributions made for a taxable year may be recharacterized as a return of capital to shareholders. A return of capital distribution will generally not be taxable but will reduce each shareholder’s cost basis in a Fund and result in a higher capital gain or lower capital loss when the Shares on which the distribution was received are sold. After a shareholder’s basis in the Shares has been reduced to zero, distributions in excess of earnings and profits will be treated as gain from the sale of the shareholder’s Shares.
A REIT is a corporation or business trust (that would otherwise be taxed as a corporation) which meets the definitional requirements of the Internal Revenue Code of 1986, as amended (the “Code”). The Code permits a qualifying REIT to deduct from taxable income the dividends paid, thereby effectively eliminating corporate level federal income tax. To meet the definitional requirements of the Code, a REIT must, among other things: invest substantially all of its assets in interests in real estate (including mortgages and other REITs), cash and government securities; derive most of its income from rents from real property or interest on loans secured by mortgages on real property; and, in general, distribute annually 90% or more of its taxable income (other than net capital gains) to shareholders.
D.Foreign Currency. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions.
The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.
The Funds report net realized foreign exchange gains or losses that arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid.Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at period end, resulting from changes in exchange rates.
E.Distributions to Shareholders. Distributions to shareholders from net investment income, if any, for the Funds are declared and paid at least annually. Distributions to shareholders from net realized gains on securities, if any, for the Funds normally are declared and paid on an annual basis. Distributions are recorded on the ex-dividend date.
F.Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amount of revenue and expenses during the reporting period. Actual results could differ from those estimates.
G.Share Valuation. The net asset value (“NAV”) per share of each Fund is calculated by dividing the sum of the value of the securities held by each Fund, plus cash or other assets, minus all liabilities by the total number of shares outstanding for each Fund, rounded to the nearest cent. Each Fund’s shares will not be priced on the days on which the New York Stock Exchange (“NYSE”) is closed for trading.
H.Guarantees and Indemnifications. In the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
NOTES TO FINANCIAL STATEMENTS March 31, 2023 (Unaudited) (Continued) |
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I.Illiquid Securities. Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted a Board-approved Liquidity Risk Management Program (the “Program”) that requires, among other things, that each Fund limit its illiquid investments that are assets to no more than 15% of the value of each Fund’s net assets. An illiquid investment is any security that a Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. If either Fund should be in a position where the value of illiquid investments held by a Fund exceeds 15% of that Fund’s net assets, that Fund will take such steps as set forth in the Program.
J.Recently Issued Accounting Pronouncements.
•In June 2022, the FASB issued Accounting Standards Update 2022-03, which amends Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (“ASU 2022-03”). ASU 2022-03 clarifies guidance for fair value measurement of an equity security subject to a contractual sale restriction and establishes new disclosure requirements for such equity securities. ASU 2022-03 is effective for fiscal years beginning after December 15, 2023 and for interim periods within those fiscal years, with early adoption permitted. Management is currently evaluating the impact, if any, of these amendments on the financial statements.
NOTE 3 – PRINCIPAL INVESTMENT RISKS |
A.Equity Market Risk. The equity securities held in each Fund’s portfolio may experience sudden, unpredictable drops in value or long periods of decline in value. This may occur because of factors that affect securities markets generally or factors affecting specific issuers, industries, or sectors in which the Funds invest. Common stocks, in which the Funds primarily invest, are generally exposed to greater risk than other types of securities, such as preferred stock and debt obligations, because common stockholders generally have inferior rights to receive payment from issuers. Securities in each Fund’s portfolio may underperform in comparison to securities in the general financial markets, a particular financial market, or other asset classes, due to a number of factors. Factors that could impact the market value of an equity security include a company’s business performance, investor perceptions, stock market trends and general economic conditions.
B.General Market Risk. Securities markets and individual securities may increase or decrease in value. Security prices may fluctuate widely over short or extended periods in response to market or economic news and conditions, and securities markets also tend to move in cycles. If there is a general decline in the securities markets, it is possible your investment may lose value regardless of the individual results of the companies in which the Funds invest. The magnitude of up and down price or market fluctuations over time is sometimes referred to as “volatility”, and it can be significant. In addition, different asset classes and geographic markets may experience periods of significant correlation with each other. As a result of this correlation, the securities and markets in which the Funds invest may experience volatility due to market, economic, political, or social events and conditions that may not readily appear to directly relate to such securities, the securities’ issuer or the markets in which they trade.
C.Value Style Risk. The Sub-Adviser intends to buy securities, on behalf of the Funds, that it believes are undervalued. Investing in “value” stocks presents the risk that the stocks may never reach what the Sub-Adviser believes are their full market values, either because the market fails to recognize what the Sub-Adviser considers to be the companies’ true business values or because the Sub-Adviser misjudges those values. In addition, value stocks may fall out of favor with investors and underperform other stocks (such as growth stocks) during given periods. The Funds’ performance may be negatively affected if the Sub-Adviser determines (or otherwise needs) to sell a value stock before the market recognizes the stock’s full value.
D.Database Error Risk. The investment strategy used by the Sub-Adviser relies on proprietary databases and third-party data sources. Data entries made by the Sub-Adviser’s team of financial analysts or third parties may contain errors, as may the database system used to store such data. Any errors in the underlying data sources, data entry or database may result in the Fund acquiring or selling investments based on incorrect information.
E.Systems Risk. The Funds depend on the Sub-Adviser to develop and implement appropriate systems to provide sub-advisory services. The Sub-Adviser relies extensively on computer programs and systems to implement and monitor each Fund’s investment strategy. As a result, there is a risk of human or technological errors affecting the portfolio construction process and order origination, including errors in programming (e.g., “bugs” and classic coding errors), modeling, design, translational errors and compatibility issues with data sets and among systems. There can be no guarantee that such defects or issues will be identified in time to avoid a material adverse effect on the Funds.
NOTES TO FINANCIAL STATEMENTS March 31, 2023 (Unaudited) (Continued) |
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F.High Portfolio Turnover Risk. The Funds may actively and frequently trade all or a significant portion of the securities in their portfolios. A high portfolio turnover rate increases transaction costs, which may increase a Fund’s expenses. Frequent trading may also cause adverse tax consequences for investors in the Funds due to an increase in short-term capital gains.
G.Large-Capitalization Investing Risk The securities of large-capitalization companies may be relatively mature compared to smaller companies and therefore subject to slower growth during times of economic expansion. Large-capitalization companies may also be unable to respond quickly to new competitive challenges, such as changes in technology and consumer tastes.
H.Mid-Capitalization Investing Risk (Gotham 1000 Value ETF Only). The securities of mid-capitalization companies may be more vulnerable to adverse issuer, market, political, or economic developments than securities of large-capitalization companies. The securities of mid-capitalization companies generally trade in lower volumes and are subject to greater and more unpredictable price changes than large-capitalization stocks or the stock market as a whole.
I.Management Risk. The Funds are actively-managed and may not meet their investment objectives based on the Sub-Adviser’s success or failure to implement investment strategies for the Funds.
J.Exchanged Traded Fund (“ETF”) Risks.
•Authorized Participants, Market Makers, and Liquidity Providers Concentration Risk. The Trust is registered with the U.S. Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (together with the rules and regulations adopted thereunder, as amended, the “1940 Act”), as an open-end management investment company and the offering of each Fund’s shares (“Shares”) is registered under the Securities Act of 1933, as amended (the “Securities Act”).The Funds have a limited number of financial institutions that are authorized to purchase and redeem Shares directly from the Funds (known as “Authorized Participants” or “APs”).In addition, there may be a limited number of market makers and/or liquidity providers in the marketplace. To the extent either of the following events occur, Shares may trade at a material discount to NAV and possibly face delisting: (i) APs exit the business or otherwise become unable to process creation and/or redemption orders and no other APs step forward to perform these services; or (ii) market makers and/or liquidity providers exit the business or significantly reduce their business activities and no other entities step forward to perform their functions.
•Costs of Buying or Selling Shares. Due to the costs of buying or selling Shares, including brokerage commissions imposed by brokers and bid-ask spreads, frequent trading of Shares may significantly reduce investment results and an investment in Shares may not be advisable for investors who anticipate regularly making small investments.
•Shares May Trade at Prices Other Than NAV. As with all ETFs, Shares may be bought and sold in the secondary market at market prices. Although it is expected that the market price of Shares will approximate a Fund’s NAV, there may be times when the market price of Shares is more than the NAV intra-day (premium) or less than the NAV intra-day (discount) due to supply and demand of Shares or during periods of market volatility. This risk is heightened in times of market volatility, periods of steep market declines, and periods when there is limited trading activity for Shares in the secondary market, in which case such premiums or discounts may be significant.
•Trading. Shares are listed on the NYSE Arca, Inc. (the “Exchange”), and although Shares may be traded on U.S. exchanges other than the Exchange, there can be no assurance that Shares will trade with any volume, or at all, on any stock exchange. In stressed market conditions, the liquidity of Shares may begin to mirror the liquidity of the Funds’ underlying portfolio holdings, which can be significantly less liquid than Shares. Also, in stressed market conditions, the market for Shares may become less liquid in response to deteriorating liquidity in the markets for the Funds’ underlying portfolio holdings. These adverse effects on liquidity for Shares, in turn, could lead to wider bid/ask spreads and differences between the market price of Shares and the underlying value of those Shares.
NOTE 4 – COMMITMENTS AND OTHER RELATED PARTY TRANSACTIONS |
The Adviser serves as investment adviser to the Funds pursuant to an investment advisory agreement between the Adviser and the Trust, on behalf of the Funds (the “Advisory Agreement”), and, pursuant to the Advisory Agreement, has overall responsibility for the general management and administration of the Funds. The Adviser provides oversight of the Sub-Adviser and review of the Sub-Adviser’s performance. The Adviser is also responsible for trading portfolio securities for the Funds, including selecting broker-dealers to execute purchase and sale transactions, subject to the supervision of the Board.
NOTES TO FINANCIAL STATEMENTS March 31, 2023 (Unaudited) (Continued) |
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Pursuant to the Advisory Agreement, each Fund pays the Adviser a unitary management fee (the “Management Fee”) based on the average daily net assets of the Funds as follows:
Fund | | Management Fee | | Management Fee |
Gotham Enhanced 500 ETF | | 0.65% | | 0.50% |
Gotham 1000 Value ETF | | 0.65% | | 0.50% |
The Adviser has contractually agreed to a reduced unitary Management Fee for the Gotham Enhanced 500 ETF and the Gotham 1000 Value ETF to 0.50% until at least January 31, 2024 (the “Fee Waiver Agreements”). The Fee Waiver Agreements may be terminated only by, or with the consent of, the Board. Any waived Management Fees are not able to be recouped by the Adviser under the Fee Waiver Agreements. Management Fees for the period ended March 31, 2023 are disclosed in the Statements of Operations.
Out of each Management Fee, the Adviser is obligated to pay or arrange for the payment of substantially all expenses of the Funds, including the cost of transfer agency, custody, fund administration, and all other related services necessary for the Funds to operate. Under the Advisory Agreement, the Adviser has agreed to pay all expenses incurred by the Funds except for interest charges on any borrowings, dividends and other expenses on securities sold short, taxes, brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, accrued deferred tax liability, extraordinary expenses, and distribution fees and expenses paid by the Funds under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act (collectively, “Excluded Expenses”), and the Management Fees payable to the Adviser. The Management Fees incurred are paid monthly to the Adviser.
Gotham Asset Management, LLC serves as sub-adviser to the Funds, pursuant to a sub-advisory agreement between the Adviser and the Sub-Adviser with respect to the Funds (the “Sub-Advisory Agreement”). Pursuant to the Sub-Advisory Agreement, the Sub-Adviser is responsible for responsible for the day-to-day management of the Funds’ portfolios, including determining the securities purchased and sold by the Funds, subject to the supervision of the Adviser and the Board. The Sub-Adviser is paid a fee by the Adviser, which is calculated and paid monthly, at an annual rate of 0.50% of each Fund’s average daily net assets.
Under the Sub-Advisory Agreement, the Sub-Adviser has agreed to assume the Adviser’s obligation to pay all expenses incurred by the Funds except for the sub-advisory fee payable to the Sub-Adviser and Excluded Expenses. For assuming the payment obligations for the Funds, the Adviser has agreed to pay the Sub-Adviser the profits, if any, generated by the Funds’ unitary managment fees. Expenses incurred by the Funds and paid by the Sub-Adviser include fees charged by Tidal (defined below), which is an affiliate of the Adviser.
Tidal ETF Services LLC (“Tidal”), a Tidal Financial Group company and an affiliate of the Adviser, serves as the Funds’ administrator and, in that capacity, performs various administrative and management services for the Funds. Tidal coordinates the payment of Fund-related expenses and manages the Trust’s relationships with its various service providers.
U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as the Funds’ sub-administrator, fund accountant and transfer agent. In those capacities, Fund Services performs various administrative and accounting services for the Funds. Fund Services prepares various federal and state regulatory filings, reports and returns for the Funds, including regulatory compliance monitoring and financial reporting; prepares reports and materials to be supplied to the Board; and monitors the activities of the Funds’ custodian. U.S. Bank N.A.(the “Custodian”), an affiliate of Fund Services, serves as the Funds’ custodian. The Custodian acts as the securities lending agent (the “Securities Lending Agent”) for the Funds.
Foreside Fund Services, LLC (the “Distributor”) acts as the Funds’ principal underwriter in a continuous public offering of the Funds’ shares.
Certain officers and trustees of the Trust are affiliated with the Adviser and Fund Services. Neither the affiliated trustee nor the Trust’s officers receive compensation from the Funds.
NOTE 5 – SECURITIES LENDING |
Each Fund may lend up to 33 1/3% of the value of the securities in its portfolio to brokers, dealers and financial institutions (but not individuals) under terms of participation in a securities lending program administered by the Securities Lending Agent. The securities lending agreement requires that loans are collateralized at all times in an amount equal to at least the market value of the securities loaned by the Funds. The Funds receive compensation in the form of fees and earned interest on the cash collateral. Due to timing issues of when
NOTES TO FINANCIAL STATEMENTS March 31, 2023 (Unaudited) (Continued) |
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a security is recalled from loan, the financial statements may differ in presentation. The amount of fees depends on a number of factors including the type of security and length of the loan. The Funds continue to receive interest payments or dividends on the securities loaned during the borrowing period. Gain or loss in the value of securities loaned that may occur during the term of the loan will be for the account of the Funds. The Funds have the right under the terms of the securities lending agreements to recall the securities from the borrower on demand. As of March 31, 2023, the market value of the securities on loan and payable on collateral received for securities lending were as follows:
Fund | | Market Value of | | Payable on | | Percentage of Net Assets of |
Gotham Enhanced 500 ETF | | $28,013,259 | | $28,126,557 | | 9.5% |
Gotham 1000 Value ETF | | 12,468 893 | | 12,665,486 | | 9.0% |
As of March 31, 2023, the Funds had loaned securities and received cash collateral for the loans. The cash collateral is invested in the Mount Vernon Liquid Assets Portfolio, LLC of which the investment objective is to seek to maximize income to the extent consistent with the preservation of capital and liquidity and maintain a stable NAV of $1.00. Although risk is mitigated by the collateral, the Funds could experience a delay in recovering their securities and possible loss of income or value if the borrower fails to return the borrowed securities. In addition, the Funds bear the risk of loss associated with the investment of cash collateral received.
During the period ended March 31, 2023, the Funds loaned securities that were collateralized by cash. The cash collateral received was invested in in the Mount Vernon Liquid Assets Portfolio, LLC as listed in each Fund’s Schedule of Investments. Securities lending income is disclosed in the Funds’ Statements of Operations.
The Funds are not subject to a master netting agreement with respect to Funds’ participation in securities lending; therefore, no additional disclosures regarding netting arrangements are required.
Note 6 – Purchase and Sales of Securities |
For the period ended March 31, 2023, the cost of purchases and proceeds from the sales or maturities of securities, excluding short-term investments, U.S. government securities, and in-kind transactions were as follows:
Fund | | Purchases | | Sales |
Gotham Enhanced 500 ETF | | $176,259,673 | | $177,960,502 |
Gotham 1000 Value ETF | | 75,548,797 | | 72,425,862 |
For the period ended March 31, 2023, there were no purchases or sales of long-term U.S. government securities.
For the period ended March 31, 2023, in-kind transactions associated with creations and redemptions for the Funds were as follows:
Fund | | Purchases | | Sales |
Gotham Enhanced 500 ETF | | $— | | $3,457,946 |
Gotham 1000 Value ETF | | 100,622,380 | | — |
Note 7 – Income Taxes And Distributions To Shareholders |
The tax character of distributions paid during the periods ended March 31, 2023 (estimated) and September 30, 2022 was as follows:
Fund | | Distributions paid from: | | March 31, 2023 | | September 30, 2022 |
Gotham Enhanced 500 ETF | | Ordinary income | | $3,481,219 | | $614,820 |
Gotham Enhanced 500 ETF | | Capital Gains | | — | | 1,940 |
Gotham 1000 Value ETF | | Ordinary income | | 432,542 | | — |
NOTES TO FINANCIAL STATEMENTS March 31, 2023 (Unaudited) (Continued) |
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NOTES TO FINANCIAL STATEMENTS March 31, 2023 (Unaudited) (Continued) |
As of the prior fiscal year ended September 30, 2022, the components of accumulated earnings/(losses) on a tax basis were as follows:
| | Gotham | | Gotham | |
Cost of investments (1) | | $320,618,797 | | $37,388,035 | |
Gross tax unrealized appreciation | | 9,069,691 | | 391,097 | |
Gross tax unrealized depreciation | | (57,418,891 | ) | (4,475,875 | ) |
Net tax unrealized appreciation (depreciation) | | (48,349,200 | ) | (4,084,778 | ) |
Undistributed ordinary income (loss) | | 2,442,637 | | 268,435 | |
Undistributed long-term capital gain (loss) | | — | | 1,849 | |
Total distributable earnings | | 2,442,637 | | 270,284 | |
Other accumulated gain (loss) | | (5,351,962 | ) | — | |
Total accumulated gain (loss) | | $(51,258,525 | ) | $(3,814,494 | ) |
(1)The difference between book and tax-basis cost of investments was attributable primarily to the treatment of wash sales.
Net capital losses incurred after October 31 and net investment losses incurred after December 31, and within the taxable year, are deemed to arise on the first business day of the Funds’ next taxable year. As of the prior fiscal year ended September 30, 2022, the Gotham Enhanced 500 ETF had short-term and long-term capital loss carryovers of $5,025,728 and $326,234, respectively. The Gotham 1000 Value ETF did not have any capital loss carryovers as of September 30, 2022. As of September 30, 2022, the Funds did not have any late year losses.
Note 8 – Share Transactions |
Shares of the Funds are listed and traded on the Exchange. Market prices for the shares may be different from their NAV. The Funds issue and redeem shares on a continuous basis at NAV generally in large blocks of shares (“Creation Units”). Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, shares generally trade in the secondary market at market prices that change throughout the day. Except when aggregated in Creation Units, shares are not redeemable securities of the Funds. Creation Units may only be purchased or redeemed by Authorized Participants. An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a Depository Trust Company participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem the shares directly from the Funds. Rather, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.
The Funds currently offer one class of shares, which has no front-end sales load, no deferred sales charge, and no redemption fee. A fixed transaction fee is imposed for the transfer and other transaction costs associated with the purchase or sale of Creation Units. The standard fixed transaction fee for the Funds is $500, payable to the Custodian. The fixed transaction fee may be waived on certain orders if the Funds’ Custodian has determined to waive some or all of the costs associated with the order or another party, such as the Adviser, has agreed to pay such fee. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units of up to a maximum of 2% and for Redemption Units of up to a maximum of 2%, respectively, of the value of the Creation Units and Redemption Units subject to the transaction. Variable fees received by the Funds, if any, are disclosed in the capital shares transactions section of the Statements of Changes in Net Assets. The Funds may issue an unlimited number of shares of beneficial interest, with no par value. All shares of the Funds have equal rights and privileges.
Note 9 – Recent Market Events |
U.S. and international markets have experienced and may continue to experience significant periods of volatility in recent years and months due to a number of economic, political and global macro factors including rising inflation, uncertainty regarding central banks’ interest rate increases, the possibility of a national or global recession, trade tensions, political events, the war between Russia and Ukraine and the impact of the coronavirus (COVID-19) global pandemic. The global recovery from COVID-19 may last for an extended period of time. As a result of continuing political tensions and armed conflicts, including the war between Ukraine and Russia, the U.S. and the European Union imposed sanctions on certain Russian individuals and companies, including certain financial institutions, and
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NOTES TO FINANCIAL STATEMENTS March 31, 2023 (Unaudited) (Continued) |
have limited certain exports and imports to and from Russia. The war has contributed to recent market volatility and may continue to do so. These developments, as well as other events, could result in further market volatility and negatively affect financial asset prices, the liquidity of certain securities and the normal operations of securities exchanges and other markets, despite government efforts to address market disruptions. Continuing market volatility as a result of recent market conditions or other events may have adverse effects on your account.
Note 10 – Subsequent Events |
In preparing these financial statements, the Funds have evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued. The Funds have determined that there are no subsequent events that would need to be disclosed in the Funds’ financial statements.
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As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including brokerage commissions paid on purchases and sales of a Fund’s shares, and (2) ongoing costs, including management fees of the Funds. The examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds. The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which is from October 1, 2022 to March 31, 2023.
Actual Expenses
The first line of the following tables provides information about actual account values and actual expenses. The examples include, but are not limited to, unitary fees. However, the examples do not include portfolio trading commissions and related expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then, multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period’’ to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of the following tables provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line of the following tables is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If these transactional costs were included, your costs would have been higher.
| | Gotham Enhanced 500 ETF | | ||||
| | Beginning | | Ending | | Expenses Paid | |
Actual | | $1,000.00 | | $1,155.00 | | $2.69 | |
Hypothetical (5% annual return before expenses) | | $1,000.00 | | $1,022.44 | | $2.52 | |
(1)Expenses are equal to the Fund’s annualized net expense ratio for the most recent six-month period of 0.50% (fee waivers in effect), multiplied by the average account value over the period, multiplied by 182/365 (to reflect the most recent six-month period).
| | Gotham 1000 Value ETF | | ||||
| | Beginning | | Ending | | Expenses Paid | |
Actual | | $1,000.00 | | $1,146.50 | | $2.68 | |
Hypothetical (5% annual return before expenses) | | $1,000.00 | | $1,022.44 | | $2.52 | |
(2)Expenses are equal to the Fund’s annualized net expense ratio for the most recent six-month period of 0.50% (fee waivers in effect), multiplied by the average account value over the period, multiplied by 182/365 (to reflect the most recent six-month period).
34 |
Gotham ETFs
The Board of Trustees (the “Board” or the “Trustees”) of Tidal ETF Trust (the “Trust”) met at a meeting held on December 14, 2022 to consider the renewal of the Investment Advisory Agreement (the “Advisory Agreement”) between the Trust, on behalf of the Gotham Enhanced 500 ETF (the “Fund”), a series of the Trust, and Toroso Investments, LLC, the Fund’s investment adviser (the “Adviser”). Prior to this meeting, the Board requested and received materials to assist them in considering the renewal of the Advisory Agreement. The materials provided contained information with respect to the factors enumerated below, including a copy of the Advisory Agreement, a memorandum prepared by outside legal counsel to the Trust and Independent Trustees discussing in detail the Trustees’ fiduciary obligations and the factors they should assess in considering the renewal of the Advisory Agreement, due diligence materials relating to the Adviser (including the due diligence response completed by the Adviser with respect to a specific request letter from outside legal counsel to the Trust and Independent Trustees, the Adviser’s Form ADV, select ownership, organizational, financial and insurance information for the Adviser, biographical information of the Adviser’s key management and compliance personnel, detailed comparative information regarding the proposed unitary advisory fee for the Fund, and information regarding the Adviser’s compliance program) and other pertinent information. Based on their evaluation of the information provided, the Trustees, by a unanimous vote (including a separate vote of the Trustees who are not “interested persons,” as that term is defined in the Investment Company Act of 1940, as amended (the “Independent Trustees”)), approved the renewal of the Advisory Agreement for an additional one-year term.
Discussion of Factors Considered
In considering the renewal of the Advisory Agreement and reaching their conclusions, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors enumerated below.
1.Nature, Extent and Quality of Services Provided. The Board considered the nature, extent and quality of the Adviser’s overall services provided to the Fund as well as its specific responsibilities in all aspects of day-to-day investment management of the Fund, including trade execution and recommendations with respect to the hiring, termination, or replacement of sub-advisers to the Fund. The Board considered the qualifications, experience and responsibilities of the Adviser’s investment management team, including Michael Venuto and Charles Ragauss, who each serve as a portfolio manager to the Fund, as well as the responsibilities of other key personnel of the Adviser to be involved in the day-to-day activities of the Fund. The Board reviewed due diligence information provided by the Adviser, including information regarding the Adviser’s compliance program, its compliance personnel and compliance record, as well as the Adviser’s cybersecurity program and business continuity plan. The Board noted that the Adviser does not manage any other accounts that utilize a strategy similar to that employed by the Fund.
The Board also considered other services provided to the Fund, such as monitoring adherence to the Fund’s investment strategy and restrictions, oversight of Gotham Asset Management, LLC (“Gotham” or the “Sub-Adviser”), the Fund’s sub-adviser, and other service providers to the Fund, monitoring compliance with various Fund policies and procedures and with applicable securities regulations, and monitoring the extent to which the Fund achieves its investment objective as an actively-managed ETF. The Board noted that the Adviser is responsible for trade execution for the Fund and the Sub-Adviser is responsible for portfolio investment decisions for the Fund, subject to the supervision of the Adviser.
The Board concluded that the Adviser had sufficient quality and depth of personnel, resources, investment methods and compliance policies and procedures essential to performing its duties under the Advisory Agreement and managing the Fund and that the nature, overall quality and extent of the management services provided to the Fund, as well as the Adviser’s compliance program, were satisfactory.
2.Investment Performance of the Fund and the Adviser. The Board considered the investment performance of the Fund and the Adviser. The Board also considered the Fund’s performance against its benchmark index and peer group. The Board also considered that because the portfolio investment decision-making for the Fund is performed by the Sub-Adviser, the Fund’s performance is not the direct result of investment decisions made by the Adviser.
The Board discussed the performance of the Fund on an absolute basis, in comparison to its benchmark index (the S&P 500 Total Return Index), and in comparison to a peer group of funds based on comparative information prepared by Fund Services utilizing data provided by Morningstar Direct (a peer group of U.S. large blend funds) (the “Morningstar Peer Group”). The Board noted that the Fund outperformed the S&P 500 Total Return Index for the year-to-date, one-year and since inception periods ended October 31, 2022. The Board also noted that the Fund had underperformed the Morningstar Peer Group average over the year-to-date period ended October 31, 2022, but outperformed the Morningstar Peer Group average over the one-year period ended October 31, 2022.
35 |
Gotham ETFs
After considering all of the information the Board concluded that the performance of the Fund was satisfactory under current market conditions and that the Adviser has the necessary expertise and resources in providing investment advisory services in accordance with the Fund’s investment objective and strategies. Although past performance is not a guarantee or indication of future results, the Board determined that the Fund and its shareholders were likely to benefit from the Adviser’s continued management.
3.Cost of Services Provided and Profits Realized by the Adviser. The Board considered the cost of services and the structure of the Adviser’s advisory fee, including a review of comparative expenses, expense components and peer group selection. The Board took into consideration that the advisory fee for the Fund was a “unitary fee,” meaning that the Fund pays no expenses other than the advisory fee and certain other costs such as interest, brokerage, and extraordinary expenses and, to the extent it is implemented, fees pursuant to the Fund’s Rule 12b 1 Plan. The Board noted that the Adviser continues to be responsible for compensating the Fund’s other service providers and paying the Fund’s other expenses out of its own fees and resources, subject to the Sub-Adviser’s contractual agreement to assume such obligation in exchange for the profits, if any, generated by the Fund’s unitary fee. The Board also noted that the Adviser has contractually agreed to an advisory fee waiver that reduces the Fund’s unitary fee from 0.65% to 0.50% of the Fund’s average daily net assets through at least January 31, 2024. The Board also considered the overall profitability of the Adviser and examined the level of profits accrued to the Adviser from the fees payable under the Advisory Agreement. The Board considered that the Fund’s advisory fee of 0.65% was above the Morningstar Peer Group average of 0.55% and that the Fund’s net expense ratio of 0.50% was below the Morningstar Peer Group average of 0.55%.
The Board concluded that the Fund’s expense ratio and the advisory fee were fair and reasonable in light of the comparative performance, advisory fee and expense information and the investment management services provided to the Fund by the Adviser given the nature of the Fund’s investment strategy. The Board also evaluated, based on a profitability analysis prepared by the Adviser, the fees received by the Adviser and its affiliates from their relationship with the Fund, and concluded that the fees had not been, and currently were not, excessive, and that while the Fund was not yet profitable to the Adviser, the Adviser had adequate financial resources to support its services to the Fund from the revenues of its overall investment advisory business.
4.Extent of Economies of Scale as the Fund Grows. The Board compared the Fund’s expenses relative to its Morningstar Peer Group and discussed realized and potential economies of scale. The Board considered the potential economies of scale that the Fund might realize under the structure of the advisory fee. The Board noted that the advisory fee did not contain any breakpoint reductions as the Fund’s assets grow in size, but that the Adviser would evaluate future circumstances that may warrant breakpoints in the fee structure.
5.Benefits Derived from the Relationship with the Fund. The Board considered the direct and indirect benefits that could be received by the Adviser and its affiliates from association with the Fund. The Board concluded that the benefits the Adviser may receive, such as greater name recognition or the ability to attract additional investor assets, appear to be reasonable and in many cases may benefit the Fund.
Conclusion. Based on the Board’s deliberations and its evaluation of the information described above, with no single factor determinative of a conclusion, the Board, including the Independent Trustees, unanimously concluded that: (a) the terms of the Advisory Agreement are fair and reasonable; (b) the advisory fee is reasonable in light of the services that the Adviser provides to the Fund; and (c) the approval of the renewal of the Advisory Agreement for an additional one-year term was in the best interests of the Fund and its shareholders.
At the meeting held on December 14, 2022, the Board also considered the renewal of the sub-advisory agreement (the “Sub-Advisory Agreement”) for the Fund, entered into between the Adviser and Gotham. Prior to this meeting, the Board requested and received materials to assist them in considering the renewal of the Sub-Advisory Agreement. The materials provided contained information with respect to the factors enumerated below, including a copy of the Sub-Advisory Agreement, a memorandum prepared by outside legal counsel to the Trust and the Independent Trustees discussing in detail the Trustees’ fiduciary obligations and the factors they should assess in considering the renewal of the Sub-Advisory Agreement, due diligence materials prepared by the Sub-Adviser (including the due diligence response completed by the Sub-Adviser with respect to a specific request letter from outside legal counsel to the Trust and the Independent Trustees, the Sub-Adviser’s Form ADV, select ownership, organizational, financial and insurance information for the Sub-Adviser, biographical information of key management and compliance personnel, and the Sub-Adviser’s compliance manual and code of ethics) and other pertinent information. Based on their evaluation of the information provided, the Trustees, by a unanimous vote (including a separate vote of the Independent Trustees), approved the renewal of the Sub-Advisory Agreement for an additional one-year term.
BASIS FOR TRUSTEES’ APPROVAL OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS (Unaudited) (Continued) |
36 |
Gotham ETFs
Discussion of Factors Considered
In considering the renewal of the Sub-Advisory Agreement and reaching their conclusions, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors enumerated below.
1.Nature, Extent and Quality of Services Provided. The Board considered the nature, extent and quality of Gotham’s overall services provided to the Fund as well as its specific responsibilities in aspects of day-to-day investment management of the Fund. The Board considered the qualifications, experience and responsibilities of Joel Greenblatt and Robert Goldstein who each serve as a portfolio manager for the Fund, as well as the responsibilities of other key personnel of Gotham involved in the day-to-day activities of the Fund. The Board reviewed the due diligence information provided by Gotham, including information regarding Gotham’s compliance program, its compliance personnel and compliance record, as well as Gotham’s cybersecurity program and business continuity plan. The Board noted that Gotham manages the Gotham Enhanced S&P 500 Index Fund, an open-end mutual fund that utilizes a strategy similar to the strategy employed by the Fund.
The Board also considered other services provided to the Fund, such as monitoring adherence to the Fund’s investment strategies and restrictions, monitoring compliance with various Fund policies and procedures and with applicable securities regulations, monitoring the extent to which the Fund meets its investment objective as an actively-managed ETF and quarterly reporting to the Board. The Board noted that Gotham is responsible for the Fund’s investment selection, subject to oversight by the Adviser.
The Board concluded that Gotham had sufficient quality and depth of personnel, resources, investment methods and compliance policies and procedures essential to performing its duties under the Gotham Sub-Advisory Agreement and managing the Fund and that the nature, overall quality and extent of the management services provided to the Fund, as well as Gotham’s compliance program, were satisfactory.
2.Investment Performance of the Fund and the Sub-Adviser. In considering Fund performance, the Board noted that Gotham is responsible for selecting investments for the Fund. Accordingly, the Board discussed the performance of the Fund on an absolute basis, in comparison to its benchmark index (the S&P 500 Total Return Index), and in comparison to a peer group of funds based on comparative information prepared by Fund Services utilizing data provided by Morningstar Direct (a peer group of U.S. large blend funds) (the “Morningstar Peer Group”). The Board noted that the Fund outperformed the S&P 500 Total Return Index for the year-to-date, one-year and since inception periods ended October 31, 2022. The Board also noted that the Fund underperformed the Morningstar Peer Group average over the year-to-date period ended October 31, 2022, but outperformed the Morningstar Peer Group average over the one-year period ended October 31, 2022.
After considering all of the information, the Board concluded that the performance of the Fund was satisfactory under current market conditions and that Gotham has the necessary expertise and resources in providing investment advisory services in accordance with the Fund’s investment objective and strategies. Although past performance is not a guarantee or indication of future results, the Board determined that the Fund and its shareholders were likely to benefit from Gotham’s continued management.
3.Cost of Services Provided and Profits Realized by the Sub-Adviser. The Board considered the structure of the sub-advisory fees paid by the Adviser to Gotham under the Gotham Sub-Advisory Agreement. The Board noted that the Adviser represented to the Board that the sub-advisory fees payable under the Gotham Sub-Advisory Agreement were reasonable in light of the services performed by Gotham. Since the sub-advisory fees are paid by the Adviser, the overall advisory fees paid by the Fund are not directly affected by the sub-advisory fees paid to Gotham. Consequently, the Board did not consider the cost of services provided by Gotham or profitability from its relationship with the Fund to be material factors for consideration given that Gotham is not affiliated with the Adviser and, therefore, the sub-advisory fees paid to Gotham were negotiated on an arm’s-length basis. Based on all of these factors, the Board concluded that the sub-advisory fees paid to Gotham by the Adviser reflected appropriate allocations of the advisory fees and were reasonable in light of the services provided by Gotham.
4.Extent of Economies of Scale as the Fund Grows. Since the sub-advisory fees payable to Gotham are not paid by the Fund, the Board did not consider whether the sub-advisory fees should reflect any realized or potential economies of scale that might be realized as the Fund’s assets increase.
5.Benefits Derived from the Relationship with the Fund. The Board considered the direct and indirect benefits that could be received by Gotham from its association with the Fund. The Board concluded that the benefits Gotham may receive, such as greater name recognition or the ability to attract additional investor assets, appear to be reasonable and in many cases may benefit the Fund.
BASIS FOR TRUSTEES’ APPROVAL OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS (Unaudited) (Continued) |
37 |
Gotham ETFs
BASIS FOR TRUSTEES’ APPROVAL OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS (Unaudited) (Continued) |
Conclusion. Based on the Board’s deliberations and its evaluation of the information described above, with no single factor determinative of a conclusion, the Board, including the Independent Trustees, unanimously concluded that: (a) the terms of the Gotham Sub-Advisory Agreement are fair and reasonable; (b) the sub-advisory fees are reasonable in light of the services that Gotham provides to the Fund; and (c) the approval of the renewal of the Gotham Sub-Advisory Agreement for an additional one-year term was in the best interests of the Fund and its shareholders.
38 |
Gotham ETFs
In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (“Rule 22e-4”), Tidal ETF Trust (the “Trust”), on behalf of its series, the Gotham Enhanced 500 ETF and Gotham 1000 Value ETF (the “Funds”), has adopted and implemented a liquidity risk management program (the “Program”). The Program seeks to promote effective liquidity risk management for the Funds and to protect the Funds’ shareholders from dilution of their interests. The Trust’s Board of Trustees (the “Board”) has approved the designation of Toroso Investments, LLC, the Funds’ investment adviser, as the program administrator (the “Program Administrator”). The Program Administrator has further delegated administration of the Program to a Program Administrator Committee composed of certain Trust officers. The Program Administrator has also delegated certain responsibilities under the Program to the investment sub-adviser of the Funds; however, the Program Administrator remains responsible for the overall administration and operation of the Program. The Program Administrator is required to provide a written annual report to the Board regarding the adequacy and effectiveness of the Program, including the operation of the highly liquid investment minimum, if applicable, and any material changes to the Program.
On November 21, 2022, the Board reviewed the Program Administrator’s written annual report for the period October 1, 2021 through September 30, 2022 (the “Report”). The Program assesses liquidity risk under both normal and reasonably foreseeable stressed market conditions. The risk is managed by monitoring the degree of liquidity of a fund’s investments, limiting the amount of illiquid investments and utilizing various risk management tools and facilities available to a fund, among other means. The Trust has engaged the services of ICE Data Services, a third-party vendor, to provide daily portfolio investment classification services to assist in the Program Administrator’s assessment. The Report noted that no material changes had been made to the Program during the review period. The Program Administrator determined that the Program is reasonably designed and operating effectively.
39 |
Gotham ETFs
INFORMATION ABOUT PROXY VOTING (Unaudited) |
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available upon request without charge, by calling (855) 998-4779 or by accessing the Funds’ website at www.GothamETFs.com.Furthermore, you can obtain the description on the SEC’s website at www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available upon request without charge by calling (855) 998-4779 or by accessing the SEC’s website at www.sec.gov.
INFORMATION ABOUT THE PORTFOLIO HOLDINGS (Unaudited) |
The Funds’ portfolio holdings are posted on the Funds’ website daily at www.GothamETFs.com. The Funds file their complete schedules of portfolio holdings with the SEC for their first and third fiscal quarters on Part F of Form N-PORT. Each Fund’s Part F of Form N-PORT are available without charge, upon request, by calling (855) 998-4779. Furthermore, you can obtain the Part F of Form N-PORT on the SEC’s website at www.sec.gov.
FREQUENCY DISTRIBUTION OF PREMIUMS AND DISCOUNTS (Unaudited) |
Information regarding how often shares of the Funds trade on the exchange at a price above (i.e., at a premium) or below (i.e., at a discount) to its daily net asset value (“NAV”) is available, without charge, on the Funds’ website at www.GothamETFs.com.
INFORMATION ABOUT THE FUND’S TRUSTEES (Unaudited) |
The Statement of Additional Information (“SAI”) includes additional information about the Funds’ Trustees and is available without charge, upon request, by calling (855) 998-4779. Furthermore, you can obtain the SAI on the SEC’s website at www.sec.gov or the Funds’ website at www.GothamETFs.com.
Investment Adviser
Toroso Investments, LLC
234 West Florida Street, Suite 203
Milwuakee, Wisconsin 53204
Investment Sub-Adviser
Gotham Asset Management, LLC
535 Madison Avenue, 30th Floor
New York, New York 10022
Independent Registered Public Accounting Firm
Tait, Weller & Baker LLP
Two Liberty Place
50 South 16th Street, Suite 2900
Philadelphia, Pennsylvania 19102
Legal Counsel
Godfrey & Kahn, S.C.
833 East Michigan Street, Suite 1800
Milwaukee, Wisconsin 53202
Custodian
U.S. Bank N.A.
Custody Operations
1555 North RiverCenter Drive, Suite 302
Milwaukee, Wisconsin 53212
Fund Administrator
Tidal ETF Services LLC
234 West Florida Street, Suite 203
Milwaukee, Wisconsin 53204
Transfer Agent, Fund Accountant and Fund Sub-Administrator
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, Wisconsin 53202
Distributor
Foreside Fund Services, LLC
Three Canal Plaza, Suite 100
Portland, Maine 04101
| ||||
Fund Information | ||||
Fund | | Ticker | | CUSIP |
Gotham Enhanced 500 ETF | | GSPY | | 886364835 |
Gotham 1000 Value ETF | | GVLU | | 886364520 |
(b) | Not applicable. |
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable for semi-annual reports.
Item 6. Investments.
(a) Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
1
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of Trustees.
Item 11. Controls and Procedures.
(a) | The Registrant’s President/Principal Executive Officer and Treasurer/Principal Financial Officer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable to open-end investment companies.
Item 13. Exhibits.
(a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not applicable. |
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
2
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Tidal ETF Trust |
By (Signature and Title) | /s/ Eric W. Falkeis |
Eric W. Falkeis, President/Principal Executive Officer |
Date | June 7, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Eric W. Falkeis |
Eric W. Falkeis, President/Principal Executive Officer |
Date | June 7, 2023 |
By (Signature and Title)* | /s/ Aaron J. Perkovich |
Aaron J. Perkovich, Treasurer/Principal Financial Officer |
Date | June 7, 2023 |
* Print the name and title of each signing officer under his or her signature.
3