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
Date of reporting period: March 31, 2024
Item 1. Reports to Stockholders.
(a) |
Gotham Enhanced 500 ETF (GSPY)
Gotham 1000 Value ETF (GVLU)
Gotham Short Strategies ETF (SHRT)
Semi-Annual Report
March 31, 2024
of
Tidal ETF Trust
![](https://capedge.com/proxy/N-CSRS/0001999371-24-007274/gotham-ncsrs_033124img001.jpg)
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 | |
| 31 | |
| 32 | |
17 | 33 | |
| 36 | |
| 39 | |
| 52 | |
Basis for Trustees’ Approval of Investment Advisory and Sub-Advisory Agreements | | 54 |
| 58 | |
| 59 |
Gotham ETFs
1 |
The accompanying notes are an integral part of these financial statements.
Sector | % of | ||
Technology | 26.2 | % | |
Communications | 20.1 | | |
Consumer, Non-cyclical | 16.8 | | |
Financial | 12.6 | | |
Industrial | 9.2 | | |
Consumer, Cyclical | 8.5 | | |
Energy | 3.5 | | |
Basic Materials | 1.9 | | |
Utilities | 1.0 | | |
Cash & Cash Equivalents(a) | 0.2 |
| |
Total | 100.0 | % | |
(a)Represents cash, short-term investments, and liabilities in excess of other assets.
Gotham 1000 Value ETF PORTFOLIO ALLOCATION at March 31, 2024 (Unaudited) |
Sector | % of | ||
Consumer, Non-cyclical | 21.3 | % | |
Consumer, Cyclical | 20.5 | | |
Industrial | 18.4 | | |
Energy | 11.5 | | |
Financial | 9.2 | | |
Communications | 6.7 | | |
Basic Materials | 6.5 | | |
Technology | 4.5 | | |
Utilities | 1.3 | | |
Cash & Cash Equivalents(a) | 0.1 |
| |
Total | 100.0 | % | |
(a)Represents cash, short-term investments, and liabilities in excess of other assets.
Gotham Short Strategies ETF PORTFOLIO ALLOCATION at March 31, 2024 (Unaudited) |
Sector | % of | ||
Cash & Cash Equivalents(a) | 21.8 | % | |
Industrial | 22.2 | | |
Consumer, Non-cyclical | 20.0 | | |
Consumer, Cyclical | 13.0 | | |
Technology | 10.3 | | |
Basic Materials | 7.9 | | |
Communications | 6.7 | | |
Energy | 4.7 | | |
Utilities | 2.5 | | |
Swap Contracts(b) | (9.1 | ) | |
Total | 100.0 | % | |
(a)Represents cash and other assets in excess of liabilities.
(b)Represents the unrealized appreciation/depreciation of the swap contracts.
Gotham Enhanced 500 ETF
2 |
The accompanying notes are an integral part of these financial statements.
| Shares |
| Value |
|
Common Stocks — 99.1% | | | | |
| | | | |
Advertising — 0.2% | | | | |
Interpublic Group of Cos., Inc.(a) | 8,764 | | $285,969 | |
Omnicom Group, Inc. | 4,609 | | 445,967 | |
| | | 731,936 | |
| | | | |
Aerospace & Defense — 1.3% | | | | |
Boeing Co.(b) | 1,804 | | 348,154 | |
General Dynamics Corp. | 821 | | 231,924 | |
Howmet Aerospace, Inc. | 1,586 | | 108,530 | |
L3Harris Technologies, Inc. | 569 | | 121,254 | |
Lockheed Martin Corp. | 5,525 | | 2,513,157 | |
Northrop Grumman Corp. | 1,279 | | 612,206 | |
RTX Corp.(a) | 10,602 | | 1,034,013 | |
TransDigm Group, Inc. | 167 | | 205,677 | |
| | | 5,174,915 | |
| | | | |
Agriculture — 1.5% | | | | |
Altria Group, Inc. | 45,165 | | 1,970,097 | |
Archer-Daniels-Midland Co. | 13,357 | | 838,953 | |
Bunge Global SA | 494 | | 50,645 | |
Philip Morris International, Inc. | 36,246 | | 3,320,859 | |
| | | 6,180,554 | |
| | | | |
Airlines — 0.2% | | | | |
American Airlines Group, Inc.(b) | 2,071 | | 31,790 | |
Delta Air Lines, Inc. | 14,811 | | 709,003 | |
Southwest Airlines Co. | 1,897 | | 55,373 | |
United Airlines Holdings, Inc.(b) | 871 | | 41,703 | |
| | | 837,869 | |
| | | | |
Apparel — 0.4% | | | | |
Deckers Outdoor Corp.(b) | 551 | | 518,635 | |
Nike, Inc. - Class B | 4,538 | | 426,481 | |
Ralph Lauren Corp. - Class A(a) | 1,391 | | 261,174 | |
Tapestry, Inc. | 5,532 | | 262,659 | |
VF Corp.(a) | 8,345 | | 128,012 | |
| | | 1,596,961 | |
| | | | |
Auto Manufacturers — 1.4% | | | | |
Cummins, Inc. | 3,047 | | 897,799 | |
Ford Motor Co. | 11,984 | | 159,148 | |
General Motors Co. | 10,297 | | 466,969 | |
PACCAR, Inc. | 11,248 | | 1,393,515 | |
Tesla, Inc.(b) | 15,113 | | 2,656,713 | |
| | | 5,574,144 | |
| | | |
| Shares |
| Value |
|
Common Stocks — 99.1% (Continued) | | | | |
| | | | |
Auto Parts & Equipment — 0.1% | | | | |
Aptiv PLC(b) | 6,544 | | $521,230 | |
BorgWarner, Inc.(a) | 5,396 | | 187,457 | |
| | | 708,687 | |
| | | | |
Banks — 3.7% | | | | |
Bank of America Corp. | 67,361 | | 2,554,329 | |
Bank of New York Mellon Corp. | 6,541 | | 376,892 | |
Citigroup, Inc. | 13,463 | | 851,400 | |
Citizens Financial Group, Inc. | 4,000 | | 145,160 | |
Comerica, Inc. | 1,205 | | 66,263 | |
Fifth Third Bancorp(a) | 5,831 | | 216,972 | |
Goldman Sachs Group, Inc. | 2,003 | | 836,633 | |
Huntington Bancshares, Inc. | 4,646 | | 64,812 | |
JPMorgan Chase & Co. | 26,164 | | 5,240,650 | |
KeyCorp | 8,024 | | 126,859 | |
M&T Bank Corp. | 1,404 | | 204,198 | |
Morgan Stanley | 13,919 | | 1,310,613 | |
Northern Trust Corp. | 1,755 | | 156,055 | |
PNC Financial Services Group, Inc. | 3,415 | | 551,864 | |
Regions Financial Corp. | 3,209 | | 67,517 | |
State Street Corp. | 1,295 | | 100,129 | |
Truist Financial Corp. | 11,438 | | 445,853 | |
U.S. Bancorp | 13,344 | | 596,477 | |
Wells Fargo & Co.(a) | 19,272 | | 1,117,005 | |
| | | 15,029,681 | |
| | | | |
Beverages — 1.5% | | | | |
Brown-Forman Corp. - Class B(a) | 1,478 | | 76,294 | |
Coca-Cola Co. | 67,967 | | 4,158,222 | |
Constellation Brands, Inc. - Class A(a) | 472 | | 128,271 | |
Keurig Dr Pepper, Inc. | 20,202 | | 619,595 | |
Molson Coors Brewing Co. - Class B(a) | 4,947 | | 332,686 | |
Monster Beverage Corp.(b) | 3,098 | | 183,649 | |
PepsiCo, Inc. | 4,113 | | 719,816 | |
| | | 6,218,533 | |
| | | | |
Biotechnology — 0.5% | | | | |
Amgen, Inc. | 1,606 | | 456,617 | |
Biogen, Inc.(b) | 403 | | 86,899 | |
Bio-Rad Laboratories, Inc. - Class A(b) | 87 | | 30,091 | |
Corteva, Inc. | 2,061 | | 118,858 | |
Gilead Sciences, Inc. | 4,383 | | 321,054 | |
Illumina, Inc.(b) | 1,342 | | 184,283 | |
Incyte Corp.(b) | 4,448 | | 253,403 | |
Gotham Enhanced 500 ETF
3 |
The accompanying notes are an integral part of these financial statements.
| Shares |
| Value |
|
Common Stocks — 99.1% (Continued) | | | | |
| | | | |
Biotechnology — 0.5% (Continued) | | | | |
Moderna, Inc.(b) | 1,142 | | $121,692 | |
Regeneron Pharmaceuticals, Inc.(b) | 280 | | 269,497 | |
Vertex Pharmaceuticals, Inc.(b) | 757 | | 316,434 | |
| | | 2,158,828 | |
| | | | |
Building Materials — 1.2% | | | | |
Builders FirstSource, Inc.(b) | 2,855 | | 595,410 | |
Carrier Global Corp.(a) | 4,577 | | 266,061 | |
Johnson Controls International PLC | 14,554 | | 950,667 | |
Martin Marietta Materials, Inc. | 186 | | 114,193 | |
Masco Corp. | 5,174 | | 408,125 | |
Mohawk Industries, Inc.(b) | 1,451 | | 189,921 | |
Trane Technologies PLC | 4,860 | | 1,458,972 | |
Vulcan Materials Co. | 2,839 | | 774,820 | |
| | | 4,758,169 | |
| | | | |
Chemicals — 1.3% | | | | |
Air Products and Chemicals, Inc. | 659 | | 159,656 | |
Albemarle Corp.(a) | 294 | | 38,732 | |
Celanese Corp. | 2,341 | | 402,324 | |
CF Industries Holdings, Inc. | 620 | | 51,590 | |
Dow, Inc. | 2,076 | | 120,263 | |
DuPont de Nemours, Inc. | 1,278 | | 97,984 | |
Eastman Chemical Co. | 2,520 | | 252,554 | |
Ecolab, Inc. | 834 | | 192,571 | |
FMC Corp.(a) | 326 | | 20,766 | |
International Flavors & | 788 | | 67,760 | |
Linde PLC | 1,430 | | 663,978 | |
LyondellBasell Industries NV - Class A | 4,293 | | 439,088 | |
Mosaic Co. | 972 | | 31,551 | |
PPG Industries, Inc. | 5,017 | | 726,963 | |
Sherwin-Williams Co. | 5,305 | | 1,842,586 | |
| | | 5,108,366 | |
| | | | |
Commercial Services — 1.4% | | | | |
Automatic Data Processing, Inc. | 3,268 | | 816,150 | |
Cintas Corp. | 262 | | 180,002 | |
Corpay, Inc.(a)(b) | 1,709 | | 527,295 | |
CoStar Group, Inc.(b) | 1,261 | | 121,813 | |
Equifax, Inc.(a) | 302 | | 80,791 | |
Gartner, Inc.(b) | 211 | | 100,577 |
| Shares |
| Value |
|
Common Stocks — 99.1% (Continued) | | | | |
| | | | |
Commercial Services — 1.4% (Continued) | | | | |
Global Payments, Inc. | 765 | | $102,250 | |
MarketAxess Holdings, Inc. | 93 | | 20,390 | |
Moody’s Corp. | 509 | | 200,052 | |
PayPal Holdings, Inc.(b) | 26,183 | | 1,753,999 | |
Quanta Services, Inc. | 363 | | 94,307 | |
Robert Half, Inc. | 313 | | 24,815 | |
Rollins, Inc. | 1,510 | | 69,868 | |
S&P Global, Inc. | 924 | | 393,116 | |
United Rentals, Inc. | 1,446 | | 1,042,725 | |
Verisk Analytics, Inc. | 368 | | 86,749 | |
| | | 5,614,899 | |
| | | | |
Computers — 8.0% | | | | |
Accenture PLC - Class A | 8,862 | | 3,071,657 | |
Apple, Inc. | 132,947 | | 22,797,751 | |
Cognizant Technology Solutions Corp. - Class A | 4,274 | | 313,241 | |
EPAM Systems, Inc.(b) | 497 | | 137,252 | |
Fortinet, Inc.(b) | 2,150 | | 146,867 | |
Hewlett Packard Enterprise Co. | 3,884 | | 68,863 | |
HP, Inc. | 25,111 | | 758,854 | |
International Business Machines Corp. | 17,186 | | 3,281,839 | |
Leidos Holdings, Inc. | 3,167 | | 415,162 | |
NetApp, Inc. | 4,850 | | 509,105 | |
Seagate Technology Holdings PLC | 496 | | 46,153 | |
Super Micro Computer, Inc.(b) | 175 | | 176,755 | |
Western Digital Corp.(b) | 814 | | 55,547 | |
| | | 31,779,046 | |
| | | | |
Cosmetics & Personal Care — 1.7% | | | | |
Colgate-Palmolive Co. | 17,646 | | 1,589,022 | |
Estee Lauder Co., Inc. - Class A | 1,028 | | 158,466 | |
Kenvue, Inc. | 44,503 | | 955,034 | |
Procter & Gamble Co. | 26,491 | | 4,298,166 | |
| | | 7,000,688 | |
| | | | |
Distribution & Wholesale — 0.4% | | | | |
Copart, Inc.(b) | 2,638 | | 152,793 | |
Fastenal Co. | 1,713 | | 132,141 | |
LKQ Corp. | 801 | | 42,781 | |
Pool Corp. | 116 | | 46,806 | |
W.W. Grainger, Inc. | 1,059 | | 1,077,321 | |
| | | 1,451,842 | |
| | | | |
SCHEDULE OF INVESTMENTS as of March 31, 2024 (Unaudited) (Continued) |
Gotham Enhanced 500 ETF
4 |
The accompanying notes are an integral part of these financial statements.
| Shares |
| Value |
|
Common Stocks — 99.1% (Continued) | | | | |
| | | | |
Diversified Financial Services — 3.6% | | | | |
American Express Co. | 6,196 | | $1,410,767 | |
Ameriprise Financial, Inc. | 858 | | 376,182 | |
BlackRock, Inc. | 1,363 | | 1,136,333 | |
Capital One Financial Corp.(a) | 1,418 | | 211,126 | |
Cboe Global Markets, Inc. | 292 | | 53,649 | |
Charles Schwab Corp. | 11,874 | | 858,965 | |
CME Group, Inc. - Class A | 1,038 | | 223,471 | |
Discover Financial Services | 835 | | 109,460 | |
Franklin Resources, Inc.(a) | 12,721 | | 357,587 | |
Intercontinental Exchange, Inc. | 1,717 | | 235,967 | |
Invesco Ltd. | 3,825 | | 63,457 | |
Mastercard, Inc. - Class A | 8,035 | | 3,869,415 | |
Nasdaq, Inc. | 1,447 | | 91,306 | |
Raymond James Financial, Inc.(a) | 716 | | 91,949 | |
Synchrony Financial | 1,524 | | 65,715 | |
T. Rowe Price Group, Inc. | 2,138 | | 260,665 | |
Visa, Inc. - Class A(a) | 18,928 | | 5,282,426 | |
| | | 14,698,440 | |
| | | | |
Electric — 0.9% | | | | |
AES Corp. | 2,087 | | 37,420 | |
Alliant Energy Corp. | 767 | | 38,657 | |
Ameren Corp. | 819 | | 60,573 | |
American Electric Power Co., Inc. | 1,563 | | 134,574 | |
CenterPoint Energy, Inc. | 2,010 | | 57,265 | |
CMS Energy Corp. | 864 | | 52,134 | |
Consolidated Edison, Inc. | 994 | | 90,265 | |
Constellation Energy Corp. | 858 | | 158,601 | |
Dominion Energy, Inc. | 2,492 | | 122,581 | |
DTE Energy Co. | 647 | | 72,555 | |
Duke Energy Corp. | 7,217 | | 697,955 | |
Edison International | 1,149 | | 81,269 | |
Entergy Corp. | 657 | | 69,432 | |
Evergy, Inc. | 714 | | 38,113 | |
Eversource Energy | 1,001 | | 59,830 | |
Exelon Corp. | 2,973 | | 111,696 | |
FirstEnergy Corp.(a) | 1,721 | | 66,465 | |
NextEra Energy, Inc. | 6,115 | | 390,810 | |
NRG Energy, Inc.(a) | 4,929 | | 333,644 | |
PG&E Corp. | 18,294 | | 306,607 | |
Pinnacle West Capital Corp. | 278 | | 20,775 | |
PPL Corp. | 2,273 | | 62,576 | |
Public Service Enterprise Group, Inc. | 1,501 | | 100,237 |
| Shares |
| Value |
|
Common Stocks — 99.1% (Continued) | | | | |
| | | | |
Electric — 0.9% (Continued) | | | | |
Sempra | 1,873 | | $134,538 | |
Southern Co. | 3,237 | | 232,222 | |
WEC Energy Group, Inc. | 926 | | 76,043 | |
Xcel Energy, Inc. | 1,686 | | 90,623 | |
| | | 3,697,460 | |
| | | | |
Electrical Components & Equipment — 0.2% | | | | |
AMETEK, Inc. | 683 | | 124,921 | |
Eaton Corp. PLC | 1,194 | | 373,340 | |
Emerson Electric Co. | 1,721 | | 195,195 | |
Generac Holdings, Inc.(a)(b) | 1,292 | | 162,973 | |
| | | 856,429 | |
| | | | |
Electronics — 1.4% | | | | |
Allegion PLC | 263 | | 35,429 | |
Amphenol Corp. - Class A | 1,906 | | 219,857 | |
Fortive Corp. | 1,050 | | 90,321 | |
Garmin Ltd. | 4,422 | | 658,303 | |
Honeywell International, Inc. | 14,101 | | 2,894,230 | |
Hubbell, Inc. | 161 | | 66,823 | |
Jabil, Inc.(a) | 2,938 | | 393,545 | |
Keysight Technologies, Inc.(b) | 523 | | 81,787 | |
Mettler-Toledo International, Inc.(b) | 55 | | 73,221 | |
TE Connectivity Ltd. | 6,627 | | 962,505 | |
Trimble, Inc.(b) | 777 | | 50,008 | |
| | | 5,526,029 | |
| | | | |
Energy — Alternate Sources — 0.0%(c) | | | | |
Enphase Energy, Inc.(a)(b) | 340 | | 41,133 | |
First Solar, Inc.(b) | 262 | | 44,226 | |
| | | 85,359 | |
| | | | |
Engineering & Construction — 0.1% | | | | |
Jacobs Solutions, Inc. | 2,920 | | 448,892 | |
| | | | |
Entertainment — 0.1% | | | | |
Caesars Entertainment, Inc.(b) | 5,506 | | 240,833 | |
Live Nation Entertainment, Inc.(b) | 717 | | 75,837 | |
| | | 316,670 | |
| | | | |
Environmental Control — 0.2% | | | | |
Pentair PLC | 459 | | 39,217 | |
Republic Services, Inc. | 912 | | 174,593 | |
Veralto Corp. | 3,629 | | 321,748 | |
Waste Management, Inc. | 1,202 | | 256,206 | |
| | | 791,764 | |
SCHEDULE OF INVESTMENTS as of March 31, 2024 (Unaudited) (Continued) |
Gotham Enhanced 500 ETF
5 |
The accompanying notes are an integral part of these financial statements.
| Shares |
| Value |
|
Common Stocks — 99.1% (Continued) | | | | |
| | | | |
Food — 1.5% | | | | |
Campbell Soup Co.(a) | 2,357 | | $104,769 | |
Conagra Brands, Inc. | 10,644 | | 315,488 | |
General Mills, Inc. | 8,250 | | 577,253 | |
Hershey Co. | 610 | | 118,645 | |
Hormel Foods Corp. | 2,569 | | 89,632 | |
J.M. Smucker Co. | 307 | | 38,642 | |
Kellanova | 8,810 | | 504,725 | |
Kraft Heinz Co. | 29,087 | | 1,073,310 | |
Kroger Co. | 15,396 | | 879,573 | |
Lamb Weston Holdings, Inc. | 373 | | 39,736 | |
McCormick & Co., Inc. | 805 | | 61,832 | |
Mondelez International, Inc. - Class A | 28,883 | | 2,021,810 | |
Sysco Corp. | 1,482 | | 120,309 | |
Tyson Foods, Inc. - Class A | 1,028 | | 60,374 | |
| | | 6,006,098 | |
| | | | |
Forest Products & Paper — 0.1% | | | | |
International Paper Co. | 8,097 | | 315,945 | |
| | | | |
Gas — 0.0%(c) | | | | |
Atmos Energy Corp. | 379 | | 45,051 | |
NiSource, Inc. | 1,310 | | 36,235 | |
| | | 81,286 | |
| | | | |
Hand & Machine Tools — 0.2% | | | | |
Snap-on, Inc. | 1,256 | | 372,052 | |
Stanley Black & Decker, Inc. | 3,303 | | 323,463 | |
| | | 695,515 | |
| | | | |
Healthcare — Products — 1.6% | | | | |
Abbott Laboratories | 14,916 | | 1,695,352 | |
Agilent Technologies, Inc. | 885 | | 128,776 | |
Align Technology, Inc.(b) | 191 | | 62,633 | |
Baxter International, Inc. | 2,384 | | 101,892 | |
Bio-Techne Corp. | 384 | | 27,030 | |
Boston Scientific Corp.(b) | 4,187 | | 286,768 | |
Cooper Cos., Inc. | 509 | | 51,643 | |
Danaher Corp. | 6,359 | | 1,587,968 | |
DENTSPLY SIRONA, Inc. | 760 | | 25,224 | |
Edwards Lifesciences Corp.(b) | 1,810 | | 172,964 | |
GE HealthCare Technologies, Inc. | 1,348 | | 122,547 | |
Hologic, Inc.(b) | 706 | | 55,040 | |
IDEXX Laboratories, Inc.(b) | 207 | | 111,766 | |
Insulet Corp.(b) | 167 | | 28,624 | |
Intuitive Surgical, Inc.(b) | 939 | | 374,746 |
| Shares |
| Value |
|
Common Stocks — 99.1% (Continued) | | | | |
| | | | |
Healthcare — Products — 1.6% (Continued) | | | | |
Medtronic PLC(a) | 3,986 | | $347,380 | |
ResMed, Inc.(a) | 441 | | 87,331 | |
Revvity, Inc. | 363 | | 38,115 | |
STERIS PLC(a) | 246 | | 55,306 | |
Stryker Corp. | 1,021 | | 365,385 | |
Teleflex, Inc. | 116 | | 26,236 | |
Thermo Fisher Scientific, Inc. | 1,157 | | 672,460 | |
Waters Corp.(b) | 149 | | 51,290 | |
West Pharmaceutical Services, Inc. | 182 | | 72,019 | |
Zimmer Biomet Holdings, Inc.(a) | 623 | | 82,224 | |
| | | 6,630,719 | |
| | | | |
Healthcare — Services — 1.4% | | | | |
Catalent, Inc.(b) | 440 | | 24,838 | |
Centene Corp.(b) | 1,598 | | 125,411 | |
Charles River Laboratories International, Inc.(b) | 125 | | 33,869 | |
DaVita, Inc.(b) | 2,056 | | 283,831 | |
Elevance Health, Inc. | 689 | | 357,274 | |
HCA Healthcare, Inc. | 5,702 | | 1,901,788 | |
Humana, Inc. | 2,620 | | 908,406 | |
IQVIA Holdings, Inc.(b) | 507 | | 128,215 | |
Laboratory Corp of America Holdings | 252 | | 55,052 | |
Molina Healthcare, Inc.(b) | 941 | | 386,591 | |
Quest Diagnostics, Inc. | 333 | | 44,326 | |
UnitedHealth Group, Inc. | 3,110 | | 1,538,517 | |
Universal Health Services, Inc. - Class B | 202 | | 36,857 | |
| | | 5,824,975 | |
| | | | |
Home Builders — 0.2% | | | | |
D.R. Horton, Inc. | 995 | | 163,727 | |
Lennar Corp. - Class A | 2,400 | | 412,752 | |
NVR, Inc.(b) | 9 | | 72,900 | |
PulteGroup, Inc. | 1,983 | | 239,189 | |
| | | 888,568 | |
| | | | |
Household Products & Wares — 0.3% | | | | |
Avery Dennison Corp. | 200 | | 44,650 | |
Church & Dwight Co., Inc. | 726 | | 75,729 | |
Clorox Co. | 372 | | 56,957 | |
Kimberly-Clark Corp. | 8,666 | | 1,120,947 | |
| | | 1,298,283 | |
| | | | |
SCHEDULE OF INVESTMENTS as of March 31, 2024 (Unaudited) (Continued) |
Gotham Enhanced 500 ETF
6 |
The accompanying notes are an integral part of these financial statements.
| Shares |
| Value |
|
Common Stocks — 99.1% (Continued) | | | | |
| | | | |
Insurance — 4.3% | | | | |
Aflac, Inc. | 1,732 | | $148,710 | |
Allstate Corp. | 787 | | 136,159 | |
American International Group, Inc.(a) | 2,082 | | 162,750 | |
Aon PLC - Class A | 4,270 | | 1,424,983 | |
Arch Capital Group Ltd.(b) | 1,120 | | 103,533 | |
Arthur J Gallagher & Co. | 644 | | 161,026 | |
Assurant, Inc. | 140 | | 26,354 | |
Berkshire Hathaway, Inc. - Class B(b) | 21,907 | | 9,212,331 | |
Brown & Brown, Inc. | 7,015 | | 614,092 | |
Chubb Ltd. | 1,481 | | 383,772 | |
Cincinnati Financial Corp. | 408 | | 50,661 | |
Everest Group Ltd. | 104 | | 41,340 | |
Globe Life, Inc. | 271 | | 31,536 | |
Hartford Financial Services Group, Inc. | 1,994 | | 205,482 | |
Loews Corp. | 5,201 | | 407,186 | |
Marsh & McLennan Co., Inc. | 11,468 | | 2,362,178 | |
MetLife, Inc. | 7,153 | | 530,109 | |
Principal Financial Group, Inc. | 764 | | 65,941 | |
Progressive Corp. | 1,475 | | 305,060 | |
Prudential Financial, Inc. | 1,074 | | 126,088 | |
Travelers Co., Inc. | 1,081 | | 248,781 | |
W.R. Berkley Corp. | 747 | | 66,065 | |
Willis Towers Watson PLC | 2,399 | | 659,725 | |
| | | 17,473,862 | |
| | | | |
Internet — 14.7% | | | | |
Airbnb, Inc. - Class A(b) | 1,747 | | 288,185 | |
Alphabet, Inc. - Class A(b) | 117,763 | | 17,773,970 | |
Amazon.com, Inc.(b) | 107,054 | | 19,310,401 | |
Booking Holdings, Inc. | 814 | | 2,953,094 | |
CDW Corp. | 1,987 | | 508,235 | |
eBay, Inc. | 13,242 | | 698,913 | |
Etsy, Inc.(b) | 277 | | 19,035 | |
Expedia Group, Inc. - Class A(b) | 3,225 | | 444,244 | |
F5, Inc.(b) | 1,358 | | 257,463 | |
Gen Digital, Inc.(a) | 16,504 | | 369,690 | |
Match Group, Inc.(b) | 6,313 | | 229,036 | |
Meta Platforms, Inc. - Class A | 26,435 | | 12,836,307 | |
Netflix, Inc.(b) | 3,718 | | 2,258,053 | |
Palo Alto Networks, Inc.(b) | 887 | | 252,023 | |
Uber Technologies, Inc.(b) | 5,522 | | 425,139 | |
VeriSign, Inc.(b) | 258 | | 48,894 | |
| | | 58,672,682 | |
| | | |
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Common Stocks — 99.1% (Continued) | | | | |
| | | | |
Iron & Steel — 0.5% | | | | |
Nucor Corp. | 6,196 | | $1,226,188 | |
Steel Dynamics, Inc. | 4,143 | | 614,117 | |
| | | 1,840,305 | |
| | | | |
Leisure Time — 0.0%(c) | | | | |
Carnival Corp.(a)(b) | 3,513 | | 57,402 | |
Norwegian Cruise Line Holdings Ltd.(a)(b) | 1,300 | | 27,209 | |
Royal Caribbean Cruises Ltd.(b) | 770 | | 107,038 | |
| | | 191,649 | |
| | | | |
Lodging — 0.1% | | | | |
Hilton Worldwide Holdings, Inc. | 761 | | 162,329 | |
Las Vegas Sands Corp. | 2,118 | | 109,501 | |
Marriott International, Inc. - Class A | 871 | | 219,762 | |
MGM Resorts International | 980 | | 46,266 | |
Wynn Resorts Ltd. | 336 | | 34,349 | |
| | | 572,207 | |
| | | | |
Machinery — Construction & Mining — 1.2% | | | | |
Caterpillar, Inc. | 12,791 | | 4,687,006 | |
| | | | |
Machinery — Diversified — 0.7% | | | | |
Deere & Co. | 835 | | 342,968 | |
Dover Corp. | 510 | | 90,367 | |
IDEX Corp. | 187 | | 45,632 | |
Ingersoll Rand, Inc. | 8,635 | | 819,893 | |
Nordson Corp. | 146 | | 40,083 | |
Otis Worldwide Corp. | 9,384 | | 931,549 | |
Rockwell Automation, Inc. | 321 | | 93,517 | |
Westinghouse Air Brake Technologies Corp. | 3,814 | | 555,624 | |
Xylem, Inc. | 651 | | 84,135 | |
| | | 3,003,768 | |
| | | | |
Media — 1.4% | | | | |
Charter Communications, Inc. - Class A(a)(b) | 1,242 | | 360,962 | |
Comcast Corp. - Class A | 85,495 | | 3,706,208 | |
FactSet Research Systems, Inc. | 93 | | 42,258 | |
Fox Corp. - Class A(a) | 1,430 | | 44,716 | |
News Corp. - Class A | 12,268 | | 321,176 | |
Paramount Global - Class B | 14,032 | | 165,157 | |
Walt Disney Co. | 5,457 | | 667,719 | |
Warner Bros Discovery, Inc.(a)(b) | 20,923 | | 182,658 | |
| | | 5,490,854 | |
SCHEDULE OF INVESTMENTS as of March 31, 2024 (Unaudited) (Continued) |
Gotham Enhanced 500 ETF
7 |
The accompanying notes are an integral part of these financial statements.
| Shares |
| Value |
|
Common Stocks — 99.1% (Continued) | | | | |
| | | | |
Mining — 0.1% | | | | |
Freeport-McMoRan, Inc. | 4,274 | | $200,963 | |
Newmont Corp. | 2,952 | | 105,800 | |
| | | 306,763 | |
| | | | |
Miscellaneous Manufacturing — 1.9% | | | | |
3M Co. | 9,377 | | 994,618 | |
A.O. Smith Corp. - Class A | 3,741 | | 334,670 | |
Axon Enterprise, Inc.(b) | 186 | | 58,196 | |
General Electric Co. | 14,368 | | 2,522,014 | |
Illinois Tool Works, Inc. | 6,426 | | 1,724,289 | |
Parker-Hannifin Corp. | 2,629 | | 1,461,172 | |
Teledyne Technologies, Inc.(b) | 115 | | 49,372 | |
Textron, Inc. | 4,562 | | 437,633 | |
| | | 7,581,964 | |
| | | | |
Office — Business Equipment — 0.0%(c) | | | | |
Zebra Technologies Corp. - Class A(b) | 143 | | 43,106 | |
| | | | |
Oil & Gas — 3.1% | | | | |
APA Corp. | 908 | | 31,217 | |
Chevron Corp. | 13,287 | | 2,095,891 | |
ConocoPhillips | 3,547 | | 451,462 | |
Coterra Energy, Inc. | 2,436 | | 67,916 | |
Devon Energy Corp. | 13,610 | | 682,950 | |
Diamondback Energy, Inc. | 497 | | 98,490 | |
EOG Resources, Inc. | 1,738 | | 222,186 | |
EQT Corp.(a) | 1,063 | | 39,405 | |
Exxon Mobil Corp. | 30,233 | | 3,514,285 | |
Hess Corp. | 827 | | 126,233 | |
Marathon Oil Corp. | 12,635 | | 358,076 | |
Marathon Petroleum Corp. | 8,640 | | 1,740,960 | |
Occidental Petroleum Corp. | 2,604 | | 169,234 | |
Phillips 66 | 9,224 | | 1,506,648 | |
Pioneer Natural Resources Co. | 700 | | 183,750 | |
Valero Energy Corp. | 7,166 | | 1,223,165 | |
| | | 12,511,868 | |
| | | | |
Oil & Gas Services — 0.3% | | | | |
Baker Hughes Co. | 23,446 | | 785,441 | |
Halliburton Co. | 2,668 | | 105,173 | |
Schlumberger NV | 4,275 | | 234,313 | |
| | | 1,124,927 | |
| | | |
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| Value |
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Common Stocks — 99.1% (Continued) | | | | |
| | | | |
Packaging & Containers — 0.2% | | | | |
Amcor PLC | 4,317 | | $41,055 | |
Ball Corp. | 914 | | 61,567 | |
Packaging Corp of America(a) | 2,051 | | 389,239 | |
Westrock Co. | 5,475 | | 270,739 | |
| | | 762,600 | |
| | | | |
Pharmaceuticals — 5.2% | | | | |
AbbVie, Inc. | 5,282 | | 961,852 | |
Becton Dickinson & Co. | 851 | | 210,580 | |
Bristol-Myers Squibb Co. | 27,516 | | 1,492,193 | |
Cardinal Health, Inc. | 6,280 | | 702,732 | |
Cencora, Inc. | 4,287 | | 1,041,698 | |
Cigna Group | 6,270 | | 2,277,201 | |
CVS Health Corp. | 19,992 | | 1,594,562 | |
Dexcom, Inc.(b) | 1,018 | | 141,197 | |
Eli Lilly & Co. | 2,426 | | 1,887,331 | |
Henry Schein, Inc.(b) | 386 | | 29,151 | |
Johnson & Johnson | 32,054 | | 5,070,621 | |
McKesson Corp. | 1,770 | | 950,225 | |
Merck & Co., Inc. | 28,316 | | 3,736,295 | |
Pfizer, Inc. | 16,941 | | 470,113 | |
Viatris, Inc. | 3,591 | | 42,877 | |
Zoetis, Inc.(a) | 1,360 | | 230,126 | |
| | | 20,838,754 | |
| | | | |
Pipelines — 0.1% | | | | |
Kinder Morgan, Inc. | 6,626 | | 121,521 | |
ONEOK, Inc. | 1,577 | | 126,428 | |
Targa Resources Corp. | 708 | | 79,289 | |
Williams Cos., Inc. | 3,402 | | 132,576 | |
| | | 459,814 | |
| | | | |
Private Equity — 0.2% | | | | |
Blackstone, Inc.(a) | 6,177 | | 811,472 | |
| | | | |
REITS — 0.0%(c) | | | | |
CBRE Group, Inc. - Class A(b) | 888 | | 86,349 | |
| | | | |
Retail — 5.4% | | | | |
AutoZone, Inc.(b) | 48 | | 151,279 | |
Bath & Body Works, Inc. | 4,863 | | 243,247 | |
Best Buy Co., Inc.(a) | 4,707 | | 386,115 | |
CarMax, Inc.(a)(b) | 394 | | 34,321 | |
Chipotle Mexican Grill, Inc.(b) | 70 | | 203,474 | |
Costco Wholesale Corp. | 1,268 | | 928,975 | |
Darden Restaurants, Inc.(a) | 321 | | 53,655 | |
SCHEDULE OF INVESTMENTS as of March 31, 2024 (Unaudited) (Continued) |
Gotham Enhanced 500 ETF
8 |
The accompanying notes are an integral part of these financial statements.
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| Value |
|
Common Stocks — 99.1% (Continued) | | | | |
| | | | |
Retail — 5.4% (Continued) | | | | |
Dollar General Corp. | 679 | | $105,965 | |
Dollar Tree, Inc.(b) | 647 | | 86,148 | |
Domino’s Pizza, Inc. | 89 | | 44,222 | |
Genuine Parts Co. | 3,235 | | 501,199 | |
Home Depot, Inc. | 17,129 | | 6,570,685 | |
Lowe’s Co., Inc. | 1,717 | | 437,371 | |
Lululemon Athletica, Inc.(b) | 2,713 | | 1,059,833 | |
McDonald’s Corp. | 11,977 | | 3,376,915 | |
O’Reilly Automotive, Inc.(b) | 162 | | 182,879 | |
Ross Stores, Inc. | 7,151 | | 1,049,481 | |
Starbucks Corp. | 3,424 | | 312,919 | |
Target Corp. | 1,366 | | 242,069 | |
TJX Co., Inc. | 26,003 | | 2,637,224 | |
Tractor Supply Co.(a) | 272 | | 71,188 | |
Ulta Beauty, Inc.(b) | 1,040 | | 543,795 | |
Walgreens Boots Alliance, Inc.(a) | 18,534 | | 402,002 | |
Walmart, Inc. | 24,080 | | 1,448,894 | |
Yum! Brands, Inc. | 6,027 | | 835,644 | |
| | | 21,909,499 | |
| | | | |
Semiconductors — 7.6% | | | | |
Advanced Micro Devices, Inc.(b) | 4,133 | | 745,965 | |
Analog Devices, Inc. | 1,462 | | 289,169 | |
Applied Materials, Inc. | 7,159 | | 1,476,401 | |
Broadcom, Inc. | 2,617 | | 3,468,598 | |
Intel Corp. | 12,659 | | 559,148 | |
KLA Corp. | 1,160 | | 810,341 | |
Lam Research Corp. | 1,126 | | 1,093,988 | |
Microchip Technology, Inc.(a) | 1,589 | | 142,549 | |
Micron Technology, Inc. | 9,442 | | 1,113,117 | |
Monolithic Power Systems, Inc. | 123 | | 83,323 | |
NVIDIA Corp. | 17,343 | | 15,670,442 | |
NXP Semiconductors NV | 756 | | 187,314 | |
ON Semiconductor Corp.(b) | 1,196 | | 87,966 | |
Qorvo, Inc.(b) | 2,071 | | 237,813 | |
QUALCOMM, Inc. | 23,988 | | 4,061,168 | |
Skyworks Solutions, Inc. | 3,432 | | 371,754 | |
Teradyne, Inc.(a) | 386 | | 43,552 | |
Texas Instruments, Inc.(a) | 2,738 | | 476,987 | |
| | | 30,919,595 | |
| | | | |
Shipbuilding — 0.0%(c) | | | | |
Huntington Ingalls Industries, Inc. | 119 | | 34,685 | |
| | | |
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| Value |
|
Common Stocks — 99.1% (Continued) | | | | |
| | | | |
Software — 10.8% | | | | |
Adobe, Inc.(b) | 1,362 | | $687,265 | |
Akamai Technologies, Inc.(a)(b) | 393 | | 42,743 | |
ANSYS, Inc.(b) | 732 | | 254,121 | |
Autodesk, Inc.(b) | 641 | | 166,929 | |
Broadridge Financial Solutions, Inc. | 349 | | 71,496 | |
Cadence Design Systems, Inc.(b) | 2,330 | | 725,282 | |
Dayforce, Inc.(b) | 355 | | 23,505 | |
Electronic Arts, Inc. | 2,292 | | 304,080 | |
Fair Isaac Corp.(b) | 59 | | 73,727 | |
Fidelity National Information Services, Inc. | 1,738 | | 128,925 | |
Fiserv, Inc.(b) | 14,234 | | 2,274,878 | |
Intuit, Inc. | 715 | | 464,750 | |
Jack Henry & Associates, Inc. | 214 | | 37,178 | |
Microsoft Corp. | 73,408 | | 30,884,214 | |
MSCI, Inc. | 200 | | 112,090 | |
Oracle Corp. | 7,702 | | 967,448 | |
Paychex, Inc. | 1,120 | | 137,536 | |
Paycom Software, Inc. | 142 | | 28,259 | |
PTC, Inc.(b) | 296 | | 55,926 | |
Roper Technologies, Inc. | 919 | | 515,412 | |
Salesforce, Inc. | 11,904 | | 3,585,247 | |
ServiceNow, Inc.(b) | 527 | | 401,785 | |
Synopsys, Inc.(b) | 1,310 | | 748,665 | |
Take-Two Interactive Software, Inc.(a)(b) | 1,437 | | 213,380 | |
Tyler Technologies, Inc.(b) | 102 | | 43,351 | |
| | | 42,948,192 | |
| | | | |
Telecommunications — 4.0% | | | | |
Arista Networks, Inc.(b) | 788 | | 228,504 | |
AT&T, Inc. | 168,412 | | 2,964,051 | |
Cisco Systems, Inc. | 99,270 | | 4,954,566 | |
Corning, Inc. | 2,444 | | 80,554 | |
Juniper Networks, Inc. | 925 | | 34,281 | |
Motorola Solutions, Inc. | 2,437 | | 865,086 | |
T-Mobile US, Inc. | 19,921 | | 3,251,506 | |
Verizon Communications, Inc. | 90,335 | | 3,790,457 | |
| | | 16,169,005 | |
| | | | |
Toys, Games & Hobbies — 0.0%(c) | | | | |
Hasbro, Inc. | 3,201 | | 180,921 | |
| | | | |
Transportation — 0.7% | | | | |
C.H. Robinson Worldwide, Inc.(a) | 660 | | 50,252 | |
CSX Corp. | 5,878 | | 217,897 | |
SCHEDULE OF INVESTMENTS as of March 31, 2024 (Unaudited) (Continued) |
Gotham Enhanced 500 ETF
9 |
The accompanying notes are an integral part of these financial statements.
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Common Stocks — 99.1% (Continued) | | | | |
| | | | |
Transportation — 0.7% (Continued) | | | | |
Expeditors International of Washington, Inc. | 438 | | $53,248 | |
FedEx Corp. | 4,139 | | 1,199,235 | |
J.B. Hunt Transport Services, Inc. | 259 | | 51,606 | |
Norfolk Southern Corp. | 669 | | 170,508 | |
Old Dominion Freight Line, Inc. | 562 | | 123,252 | |
Union Pacific Corp. | 1,816 | | 446,609 | |
United Parcel Service, Inc. - Class B | 2,548 | | 378,709 | |
| | | 2,691,316 | |
| | | | |
Water — 0.0%(c) | | | | |
American Water Works Co., Inc. | 486 | | 59,394 | |
| | | | |
Total Common Stocks | | | | |
(Cost $335,054,376) | | | 399,460,107 | |
| | | | |
Real Estate Investment Trusts — 0.7% | | | | |
Alexandria Real Estate Equities, Inc.(a) | 516 | | 66,518 | |
American Tower Corp. | 1,396 | | 275,836 | |
AvalonBay Communities, Inc. | 363 | | 67,358 | |
Boston Properties, Inc. | 387 | | 25,275 | |
Camden Property Trust | 285 | | 28,044 | |
Crown Castle, Inc. | 1,299 | | 137,473 | |
Digital Realty Trust, Inc. | 856 | | 123,298 | |
Equinix, Inc. | 241 | | 198,905 | |
Equity Residential | 1,210 | | 76,363 | |
Essex Property Trust, Inc.(a) | 167 | | 40,883 | |
Extra Space Storage, Inc. | 586 | | 86,142 | |
Federal Realty Investment Trust | 234 | | 23,896 | |
Healthpeak Properties, Inc. | 1,739 | | 32,606 | |
Host Hotels & Resorts, Inc.(a) | 2,085 | | 43,118 | |
Invitation Homes, Inc. | 1,923 | | 68,478 | |
Iron Mountain, Inc. | 778 | | 62,403 | |
Kimco Realty Corp. | 2,061 | | 40,416 | |
Mid-America Apartment Communities, Inc. | 288 | | 37,895 | |
Prologis, Inc. | 2,733 | | 355,891 | |
Public Storage | 452 | | 131,107 | |
Realty Income Corp. | 2,165 | | 117,127 | |
Regency Centers Corp. | 419 | | 25,375 | |
SBA Communications Corp. | 324 | | 70,211 | |
Simon Property Group, Inc. | 943 | | 147,570 | |
UDR, Inc. | 1,010 | | 37,784 | |
Ventas, Inc. | 1,262 | | 54,947 | |
VICI Properties, Inc. | 2,661 | | 79,271 |
| Shares |
| Value |
|
Real Estate Investment Trusts — 0.7% (Continued) | | |||
| | | | |
Welltower, Inc.(a) | 1,562 | | $145,953 | |
Weyerhaeuser Co. | 2,261 | | 81,193 | |
Total Real Estate Investment Trusts | | | | |
(Cost $2,430,682) | | | 2,681,336 | |
| | | | |
Short-Term Investments — 3.3% | | | | |
Investments Purchased with Collateral from Securities Lending — 3.2% | ||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.52%(d) | 12,894,685 | | 12,894,685 | |
Money Market Funds — 0.1% | | |
| |
First American Government Obligations Fund - Class X, 5.23%(d) | 214,698 | | 214,698 | |
Total Short-Term Investments | | | ||
(Cost $13,109,383) | | | 13,109,383 | |
| | | | |
Total Investments — 103.1% | | | | |
(Cost $350,594,441) | | | 415,250,826 | |
Liabilities in Excess of Other Assets — (3.1)% | | (12,599,857 | ) | |
Total Net Assets — 100.0% | |
| $402,650,969 | |
Percentages are stated as a percent of net assets.
NV - Naamloze Vennootschap
PLC - Public Limited Company
SA - Sociedad Anónima
(a)All or a portion of this security is on loan as of March 31, 2024. The total market value of these securities was $12,662,356 which represented 3.1% of net assets. The remaining contractual maturity of all of the securities lending transactions is overnight and continuous.
(b)Non-income producing security.
(c)Represents less than 0.05% of net assets.
(d)The rate shown represents the annualized 7-day yield as of March 31, 2024.
SCHEDULE OF INVESTMENTS as of March 31, 2024 (Unaudited) (Continued) |
Gotham 1000 Value ETF
10 |
The accompanying notes are an integral part of these financial statements.
|
| Shares |
| Value |
|
Common Stocks — 99.9% | | | | | |
Advertising — 0.7% | | | | | |
Interpublic Group of Cos., Inc.(a) | | 18,758 | | $612,073 | |
Omnicom Group, Inc. | | 5,585 | | 540,405 | |
| | | | 1,152,478 | |
Aerospace & Defense — 0.5% | | | | | |
Curtiss-Wright Corp. | | 729 | | 186,580 | |
Leonardo DRS, Inc.(b) | | 3,035 | | 67,043 | |
Lockheed Martin Corp. | | 926 | | 421,210 | |
RTX Corp.(a) | | 1,709 | | 166,679 | |
| | | | 841,512 | |
Agriculture — 1.5% | | | | | |
Altria Group, Inc. | | 17,196 | | 750,089 | |
Archer-Daniels-Midland Co. | | 9,625 | | 604,546 | |
Bunge Global SA | | 8,097 | | 830,104 | |
Philip Morris International, Inc. | | 2,367 | | 216,865 | |
| | | | 2,401,604 | |
Airlines — 0.4% | | | | | |
American Airlines Group, Inc.(b) | | 20,921 | | 321,137 | |
Delta Air Lines, Inc. | | 6,308 | | 301,964 | |
| | | | 623,101 | |
Apparel — 4.4% | | | | | |
Capri Holdings Ltd.(b) | | 5,782 | | 261,925 | |
Carter’s, Inc.(a) | | 8,595 | | 727,825 | |
Columbia Sportswear Co.(a) | | 9,144 | | 742,310 | |
Crocs, Inc.(b) | | 5,633 | | 810,024 | |
Deckers Outdoor Corp.(b) | | 362 | | 340,736 | |
Gildan Activewear, Inc. | | 10,692 | | 396,994 | |
Kontoor Brands, Inc. | | 8,751 | | 527,248 | |
Nike, Inc. - Class B | | 4,592 | | 431,556 | |
Ralph Lauren Corp. - Class A(a) | | 3,159 | | 593,134 | |
Skechers U.S.A., Inc. - Class A(b) | | 12,046 | | 737,938 | |
Steven Madden Ltd. | | 3,277 | | 138,552 | |
Tapestry, Inc. | | 14,030 | | 666,144 | |
Under Armour, Inc. - Class C(a)(b) | | 65,590 | | 468,313 | |
VF Corp.(a) | | 26,427 | | 405,390 | |
| | | | 7,248,089 | |
Auto Manufacturers — 0.7% | | | | | |
Cummins, Inc. | | 2,249 | | 662,668 | |
General Motors Co. | | 10,719 | | 486,107 | |
| | | | 1,148,775 | |
Auto Parts & Equipment — 2.5% | | | | | |
Adient PLC(b) | | 9,336 | | 307,341 | |
Allison Transmission Holdings, Inc. | | 5,985 | | 485,743 | |
Aptiv PLC(b) | | 4,971 | | 395,940 |
|
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| Value |
|
Common Stocks — 99.9% (Continued) | | | | | |
Auto Parts & Equipment — 2.5% (Continued) | | | | ||
BorgWarner, Inc. | | 21,921 | | $761,535 | |
Dorman Products, Inc.(b) | | 3,401 | | 327,822 | |
Goodyear Tire & Rubber Co.(b) | | 44,474 | | 610,628 | |
Lear Corp. | | 4,643 | | 672,678 | |
Visteon Corp.(b) | | 4,452 | | 523,600 | |
| | | | 4,085,287 | |
Banks — 1.9% | | | | | |
Bank of America Corp. | | 5,919 | | 224,448 | |
Bank of Nova Scotia | | 1,972 | | 102,110 | |
Bank OZK(a) | | 3,524 | | 160,201 | |
Cadence Bank | | 307 | | 8,903 | |
Cathay General Bancorp | | 4,510 | | 170,613 | |
Columbia Banking System, Inc. | | 2,037 | | 39,416 | |
Comerica, Inc. | | 229 | | 12,593 | |
Cullen/Frost Bankers, Inc. | | 904 | | 101,763 | |
CVB Financial Corp.(a) | | 1,747 | | 31,166 | |
East West Bancorp, Inc. | | 1,953 | | 154,502 | |
Fifth Third Bancorp(a) | | 967 | | 35,982 | |
First BanCorp/Puerto Rico | | 8,756 | | 153,580 | |
First Citizens BancShares, Inc. - Class A | | 11 | | 17,985 | |
Fulton Financial Corp. | | 1,790 | | 28,443 | |
Hancock Whitney Corp. | | 622 | | 28,637 | |
Huntington Bancshares, Inc. | | 19,926 | | 277,968 | |
Independent Bank Corp. | | 5,429 | | 282,417 | |
International Bancshares Corp. | | 3,175 | | 178,245 | |
Old National Bancorp(a) | | 13,273 | | 231,083 | |
Pinnacle Financial Partners, Inc.(a) | | 793 | | 68,103 | |
PNC Financial Services Group, Inc. | | 2,007 | | 324,332 | |
Regions Financial Corp. | | 6,986 | | 146,985 | |
SouthState Corp. | | 1,441 | | 122,528 | |
Synovus Financial Corp. | | 199 | | 7,972 | |
Truist Financial Corp. | | 401 | | 15,631 | |
UMB Financial Corp. | | 63 | | 5,480 | |
Valley National Bancorp(a) | | 9,817 | | 78,143 | |
Wintrust Financial Corp. | | 227 | | 23,697 | |
Zions Bancorp N.A. | | 283 | | 12,282 | |
| | | | 3,045,208 | |
Beverages — 1.7% | | | | | |
Boston Beer Co., Inc. - Class A(b) | | 1,868 | | 568,657 | |
Coca-Cola Co. | | 3,702 | | 226,488 | |
Coca-Cola Consolidated, Inc. | | 740 | | 626,343 | |
Keurig Dr Pepper, Inc. | | 11,783 | | 361,385 | |
Molson Coors Brewing Co. - Class B(a) | | 5,532 | | 372,027 | |
National Beverage Corp.(b) | | 1,377 | | 65,352 | |
Primo Water Corp.(a) | | 28,502 | | 519,021 | |
| | | | 2,739,273 | |
SCHEDULE OF INVESTMENTS as of March 31, 2024 (Unaudited) |
Gotham 1000 Value ETF
11 |
The accompanying notes are an integral part of these financial statements.
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Common Stocks — 99.9% (Continued) | | | | | |
| | | | | |
Biotechnology — 1.6% | | | | | |
Amgen, Inc. | | 677 | | $192,485 | |
Bio-Rad Laboratories, Inc. - Class A(b) | | 220 | | 76,091 | |
Corteva, Inc. | | 5,872 | | 338,638 | |
Gilead Sciences, Inc. | | 7,546 | | 552,745 | |
Halozyme Therapeutics, Inc.(b) | | 3,775 | | 153,567 | |
Incyte Corp.(b) | | 11,228 | | 639,659 | |
United Therapeutics Corp.(b) | | 3,304 | | 758,995 | |
| | | | 2,712,180 | |
Building Materials — 3.6% | | | | | |
Armstrong World Industries, Inc. | | 197 | | 24,471 | |
Boise Cascade Co. | | 59 | | 9,049 | |
Builders FirstSource, Inc.(b) | | 3,075 | | 641,291 | |
Carrier Global Corp. | | 5,028 | | 292,278 | |
Eagle Materials, Inc.(a) | | 90 | | 24,458 | |
Fortune Brands Innovations, Inc. | | 2,154 | | 182,379 | |
Griffon Corp. | | 9,298 | | 681,916 | |
Johnson Controls International PLC | | 4,355 | | 284,469 | |
Knife River Corp.(b) | | 4,587 | | 371,914 | |
Masco Corp. | | 4,441 | | 350,306 | |
MDU Resources Group, Inc. | | 25,632 | | 645,926 | |
Mohawk Industries, Inc.(b) | | 5,007 | | 655,366 | |
Owens Corning | | 2,962 | | 494,062 | |
Simpson Manufacturing Co., Inc. | | 2,835 | | 581,685 | |
UFP Industries, Inc. | | 4,508 | | 554,529 | |
Vulcan Materials Co. | | 473 | | 129,091 | |
| | | | 5,923,190 | |
Chemicals — 4.6% | | | | | |
Ashland, Inc.(a) | | 3,688 | | 359,101 | |
Avient Corp. | | 8,171 | | 354,621 | |
Axalta Coating Systems Ltd.(b) | | 10,085 | | 346,823 | |
Cabot Corp. | | 6,564 | | 605,201 | |
Celanese Corp.(a) | | 2,701 | | 464,194 | |
CF Industries Holdings, Inc. | | 2,006 | | 166,919 | |
Dow, Inc. | | 1,059 | | 61,348 | |
Eastman Chemical Co. | | 1,306 | | 130,887 | |
HB Fuller Co. | | 5,794 | | 462,014 | |
Innospec, Inc. | | 1,851 | | 238,668 | |
International Flavors & Fragrances, Inc.(a) | | 5,877 | | 505,363 | |
LyondellBasell Industries NV - Class A | | 3,447 | | 352,559 | |
NewMarket Corp. | | 1,195 | | 758,372 | |
Nutrien Ltd. | | 7,849 | | 426,280 | |
Olin Corp. | | 3,381 | | 198,803 | |
PPG Industries, Inc. | | 3,938 | | 570,616 | |
Quaker Chemical Corp. | | 1,844 | | 378,481 |
|
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Common Stocks — 99.9% (Continued) | | | | | |
Chemicals — 4.6% (Continued) | | | | | |
RPM International, Inc.(a) | | 5,196 | | $618,064 | |
Sensient Technologies Corp. | | 1,338 | | 92,576 | |
Sherwin-Williams Co. | | 92 | | 31,954 | |
Westlake Corp. | | 2,474 | | 378,027 | |
| | | | 7,500,871 | |
Coal — 1.3% | | | | | |
Alpha Metallurgical Resources, Inc. | | 940 | | 311,300 | |
Arch Resources, Inc. - Class A | | 3,056 | | 491,374 | |
CONSOL Energy, Inc. | | 6,996 | | 585,985 | |
Peabody Energy Corp.(a) | | 29,811 | | 723,215 | |
| | | | 2,111,874 | |
Commercial Services — 3.7% | | | | | |
ABM Industries, Inc. | | 4,936 | | 220,244 | |
ADT, Inc. | | 59,548 | | 400,163 | |
AMN Healthcare Services, Inc.(b) | | 8,347 | | 521,771 | |
API Group Corp.(b) | | 10,726 | | 421,210 | |
Brink’s Co. | | 6,284 | | 580,515 | |
Euronet Worldwide, Inc.(b) | | 4,911 | | 539,866 | |
FTI Consulting, Inc.(b) | | 2,613 | | 549,488 | |
Global Payments, Inc. | | 1,142 | | 152,640 | |
Grand Canyon Education, Inc.(b) | | 201 | | 27,378 | |
GXO Logistics, Inc.(b) | | 2,081 | | 111,875 | |
ICF International, Inc. | | 973 | | 146,563 | |
Insperity, Inc.(a) | | 211 | | 23,128 | |
John Wiley & Sons, Inc. - Class A | | 991 | | 37,787 | |
Korn Ferry | | 4,558 | | 299,734 | |
ManpowerGroup, Inc. | | 7,980 | | 619,566 | |
MarketAxess Holdings, Inc. | | 579 | | 126,946 | |
PayPal Holdings, Inc.(b) | | 8,486 | | 568,477 | |
Robert Half, Inc. | | 1,978 | | 156,816 | |
Valvoline, Inc.(a) | | 7,129 | | 317,740 | |
WEX, Inc.(b) | | 939 | | 223,041 | |
| | | | 6,044,948 | |
Computers — 2.6% | | | | | |
Amdocs Ltd. | | 5,957 | | 538,335 | |
Apple, Inc. | | 437 | | 74,937 | |
ASGN, Inc.(b) | | 3,701 | | 387,717 | |
CGI, Inc. - Class A(b) | | 2,009 | | 221,974 | |
Crane NXT Co. | | 6,383 | | 395,108 | |
DXC Technology Co.(b) | | 14,609 | | 309,857 | |
Hewlett Packard Enterprise Co. | | 17,116 | | 303,467 | |
HP, Inc. | | 18,715 | | 565,567 | |
Insight Enterprises, Inc.(b) | | 4,098 | | 760,260 | |
Leidos Holdings, Inc. | | 2,617 | | 343,063 | |
Maximus, Inc. | | 989 | | 82,977 | |
SCHEDULE OF INVESTMENTS as of March 31, 2024 (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 — 99.9% (Continued) | | | | | |
Computers — 2.6% (Continued) | | | | | |
NCR Voyix Corp.(b) | | 10,242 | | $129,356 | |
NetApp, Inc. | | 154 | | 16,165 | |
Science Applications International Corp. | | 848 | | 110,571 | |
| | | | 4,239,354 | |
Cosmetics & Personal Care — 0.5% | | | | | |
Colgate-Palmolive Co. | | 2,094 | | 188,565 | |
Kenvue, Inc. | | 20,845 | | 447,333 | |
Procter & Gamble Co. | | 976 | | 158,356 | |
| | | | 794,254 | |
Distribution & Wholesale — 1.0% | | | | | |
Core & Main, Inc. - Class A(b) | | 11,046 | | 632,383 | |
Fastenal Co. | | 665 | | 51,298 | |
Pool Corp.(a) | | 590 | | 238,065 | |
Resideo Technologies, Inc.(b) | | 18,162 | | 407,192 | |
WESCO International, Inc. | | 2,202 | | 377,159 | |
| | | | 1,706,097 | |
Diversified Financial Services — 1.1% | | | | | |
Affiliated Managers Group, Inc. | | 26 | | 4,354 | |
Cboe Global Markets, Inc. | | 2,819 | | 517,935 | |
CME Group, Inc. - Class A | | 1,936 | | 416,801 | |
Enact Holdings, Inc. | | 6,034 | | 188,140 | |
Intercorp Financial Services, Inc. | | 982 | | 23,381 | |
Radian Group, Inc. | | 2,758 | | 92,310 | |
Western Union Co. | | 39,302 | | 549,443 | |
| | | | 1,792,364 | |
Electric — 1.3% | | | | | |
ALLETE, Inc. | | 6,597 | | 393,445 | |
Duke Energy Corp. | | 7,580 | | 733,062 | |
NRG Energy, Inc. | | 6,612 | | 447,566 | |
Vistra Corp. | | 8,678 | | 604,423 | |
| | | | 2,178,496 | |
Electrical Components & Equipment — 1.3% | | | | ||
Acuity Brands, Inc. | | 1,548 | | 415,994 | |
Belden, Inc. | | 3,020 | | 279,682 | |
Encore Wire Corp.(a) | | 203 | | 53,344 | |
Energizer Holdings, Inc. | | 10,372 | | 305,352 | |
EnerSys | | 6,049 | | 571,389 | |
Generac Holdings, Inc.(b) | | 720 | | 90,821 | |
Littelfuse, Inc. | | 1,757 | | 425,809 | |
| | | | 2,142,391 | |
Electronics — 2.3% | | | | | |
Allegion PLC | | 997 | | 134,306 | |
Arrow Electronics, Inc.(b) | | 6,017 | | 778,960 | |
Brady Corp. - Class A | | 6,985 | | 414,071 |
|
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| Value |
|
Common Stocks — 99.9% (Continued) | | | | | |
Electronics — 2.3% (Continued) | | | | | |
Celestica, Inc.(b) | | 130 | | $5,842 | |
Garmin Ltd. | | 1,682 | | 250,399 | |
Honeywell International, Inc. | | 1,403 | | 287,966 | |
Jabil, Inc.(a) | | 5,271 | | 706,050 | |
Keysight Technologies, Inc.(b) | | 827 | | 129,326 | |
Plexus Corp.(b) | | 3,128 | | 296,597 | |
TD SYNNEX Corp. | | 6,705 | | 758,336 | |
Vontier Corp. | | 2,749 | | 124,695 | |
| | | | 3,886,548 | |
Engineering & Construction — 1.0% | | | | | |
EMCOR Group, Inc. | | 1,149 | | 402,380 | |
Frontdoor, Inc.(b) | | 12,928 | | 421,194 | |
Jacobs Solutions, Inc. | | 2,896 | | 445,202 | |
MasTec, Inc.(b) | | 2,610 | | 243,383 | |
TopBuild Corp.(a)(b) | | 437 | | 192,599 | |
| | | | 1,704,758 | |
Entertainment — 0.2% | | | | | |
International Game Technology PLC | | 9,130 | | 206,247 | |
United Parks & Resorts, Inc.(b) | | 1,238 | | 69,588 | |
Vail Resorts, Inc. | | 160 | | 35,653 | |
Warner Music Group Corp. - Class A(a) | | 3,625 | | 119,697 | |
| | | | 431,185 | |
Environmental Control — 0.2% | | | | | |
Pentair PLC | | 2,148 | | 183,525 | |
Republic Services, Inc. | | 264 | | 50,540 | |
Tetra Tech, Inc. | | 174 | | 32,140 | |
Veralto Corp. | | 290 | | 25,711 | |
| | | | 291,916 | |
Food — 4.5% | | | | | |
Albertsons Cos., Inc. - Class A | | 29,984 | | 642,857 | |
Cal-Maine Foods, Inc. | | 1,027 | | 60,439 | |
Campbell Soup Co.(a) | | 12,132 | | 539,267 | |
Conagra Brands, Inc. | | 16,721 | | 495,610 | |
General Mills, Inc. | | 6,805 | | 476,146 | |
Hormel Foods Corp. | | 13,646 | | 476,109 | |
Ingredion, Inc. | | 7,366 | | 860,717 | |
J & J Snack Foods Corp. | | 1,251 | | 180,845 | |
Kellanova(a) | | 14,232 | | 815,351 | |
Kraft Heinz Co. | | 14,603 | | 538,851 | |
Kroger Co. | | 11,130 | | 635,857 | |
Lancaster Colony Corp. | | 690 | | 143,265 | |
McCormick & Co., Inc. | | 3,977 | | 305,473 | |
Mondelez International, Inc. - Class A | | 2,647 | | 185,290 | |
Simply Good Foods Co.(a)(b) | | 15,397 | | 523,960 | |
SCHEDULE OF INVESTMENTS as of March 31, 2024 (Unaudited) (Continued) |
Gotham 1000 Value ETF
13 |
The accompanying notes are an integral part of these financial statements.
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| Value |
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Common Stocks — 99.9% (Continued) | | | | | |
Food — 4.5% (Continued) | | | | | |
Sysco Corp. | | 1,021 | | $82,885 | |
US Foods Holding Corp.(b) | | 6,628 | | 357,713 | |
| | | | 7,320,635 | |
Food Service — 0.5% | | | | | |
Aramark(a) | | 25,194 | | 819,309 | |
| | | | | |
Forest Products & Paper — 0.3% | | | | | |
International Paper Co. | | 13,359 | | 521,268 | |
| | | | | |
Hand & Machine Tools — 1.2% | | | | | |
Franklin Electric Co., Inc. | | 4,926 | | 526,146 | |
MSA Safety, Inc. | | 2,404 | | 465,390 | |
Snap-on, Inc. | | 1,280 | | 379,162 | |
Stanley Black & Decker, Inc. | | 6,060 | | 593,456 | |
| | | | 1,964,154 | |
Healthcare — Products — 1.1% | | | | | |
Avantor, Inc.(b) | | 3,315 | | 84,765 | |
Baxter International, Inc. | | 11,303 | | 483,090 | |
Envista Holdings Corp.(b) | | 14,358 | | 306,974 | |
Lantheus Holdings, Inc.(b) | | 12,837 | | 798,975 | |
ResMed, Inc. | | 334 | | 66,142 | |
| | | | 1,739,946 | |
Healthcare — Services — 2.4% | | | | | |
Amedisys, Inc.(b) | | 721 | | 66,447 | |
Centene Corp.(b) | | 6,693 | | 525,267 | |
DaVita, Inc.(b) | | 4,225 | | 583,261 | |
Elevance Health, Inc. | | 585 | | 303,346 | |
Humana, Inc.(a) | | 2,214 | | 767,638 | |
Molina Healthcare, Inc.(b) | | 973 | | 399,738 | |
Quest Diagnostics, Inc. | | 1,791 | | 238,400 | |
Select Medical Holdings Corp. | | 10,978 | | 330,987 | |
Tenet Healthcare Corp.(b) | | 2,720 | | 285,899 | |
UnitedHealth Group, Inc. | | 974 | | 481,838 | |
| | | | 3,982,821 | |
Home Builders — 0.3% | | | | | |
Cavco Industries, Inc.(b) | | 33 | | 13,169 | |
Installed Building Products, Inc. | | 60 | | 15,524 | |
LCI Industries | | 3,929 | | 483,502 | |
Thor Industries, Inc.(a) | | 78 | | 9,153 | |
| | | | 521,348 | |
Home Furnishings — 0.3% | | | | | |
Leggett & Platt, Inc. | | 25,460 | | 487,559 | |
| | | | |
|
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| Value |
|
Common Stocks — 99.9% (Continued) | | | | | |
Household Products & Wares — 1.3% | | | | | |
Clorox Co. | | 778 | | $119,120 | |
Helen of Troy Ltd.(b) | | 3,968 | | 457,272 | |
Kimberly-Clark Corp. | | 3,798 | | 491,271 | |
Reynolds Consumer Products, Inc. | | 24,383 | | 696,377 | |
Spectrum Brands Holdings, Inc. | | 3,650 | | 324,887 | |
WD-40 Co. | | 289 | | 73,207 | |
| | | | 2,162,134 | |
Housewares — 0.4% | | | | | |
Newell Brands, Inc. | | 56,916 | | 457,035 | |
Scotts Miracle-Gro Co. | | 3,505 | | 261,438 | |
| | | | 718,473 | |
Insurance — 6.2% | | | | | |
Aflac, Inc. | | 2,324 | | 199,539 | |
American Financial Group, Inc. | | 721 | | 98,402 | |
American International Group, Inc. | | 450 | | 35,177 | |
Aon PLC - Class A | | 742 | | 247,620 | |
Arch Capital Group Ltd.(b) | | 6,150 | | 568,506 | |
Assurant, Inc. | | 3,345 | | 629,663 | |
Assured Guaranty Ltd. | | 6,999 | | 610,663 | |
Chubb Ltd. | | 1,610 | | 417,199 | |
CNA Financial Corp. | | 9,356 | | 424,950 | |
Enstar Group Ltd.(b) | | 2,241 | | 696,413 | |
Equitable Holdings, Inc. | | 10,287 | | 391,009 | |
Essent Group Ltd. | | 96 | | 5,713 | |
Everest Group Ltd. | | 2,134 | | 848,266 | |
Globe Life, Inc. | | 5,824 | | 677,738 | |
Hartford Financial Services Group, Inc. | | 3,019 | | 311,108 | |
Lincoln National Corp. | | 1,859 | | 59,358 | |
Loews Corp. | | 8,109 | | 634,853 | |
Markel Group, Inc.(a)(b) | | 506 | | 769,868 | |
Marsh & McLennan Co., Inc. | | 546 | | 112,465 | |
MGIC Investment Corp. | | 7 | | 157 | |
Primerica, Inc. | | 918 | | 232,217 | |
Reinsurance Group of America, Inc. | | 3,114 | | 600,628 | |
RenaissanceRe Holdings Ltd. | | 3,551 | | 834,592 | |
Ryan Specialty Holdings, Inc. - Class A(a) | | 2,233 | | 123,932 | |
Selective Insurance Group, Inc. | | 1,588 | | 173,362 | |
Unum Group | | 8,224 | | 441,300 | |
W.R. Berkley Corp. | | 1,621 | | 143,361 | |
| | | | 10,288,059 | |
Internet — 1.7% | | | | | |
Alphabet, Inc. - Class A(b) | | 5 | | 755 | |
Booking Holdings, Inc. | | 96 | | 348,276 | |
CDW Corp. | | 715 | | 182,883 | |
SCHEDULE OF INVESTMENTS as of March 31, 2024 (Unaudited) (Continued) |
Gotham 1000 Value ETF
14 |
The accompanying notes are an integral part of these financial statements.
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| Value |
|
Common Stocks — 99.9% (Continued) | | | | | |
Internet — 1.7% (Continued) | | | | | |
eBay, Inc. | | 8,827 | | $465,889 | |
Expedia Group, Inc. - Class A(b) | | 2,792 | | 384,598 | |
F5, Inc.(b) | | 1,600 | | 303,344 | |
Gen Digital, Inc. | | 11,644 | | 260,826 | |
Match Group, Inc.(b) | | 13,719 | | 497,725 | |
TripAdvisor, Inc.(b) | | 4,200 | | 116,718 | |
VeriSign, Inc.(b) | | 1,017 | | 192,732 | |
Yelp, Inc.(b) | | 475 | | 18,715 | |
Ziff Davis, Inc.(b) | | 230 | | 14,499 | |
| | | | 2,786,960 | |
Iron & Steel — 1.2% | | | | | |
ATI, Inc.(a)(b) | | 6,061 | | 310,141 | |
Cleveland-Cliffs, Inc.(a)(b) | | 25,215 | | 573,389 | |
Commercial Metals Co.(a) | | 5,332 | | 313,362 | |
Nucor Corp. | | 1,640 | | 324,556 | |
Reliance, Inc. | | 527 | | 176,113 | |
Steel Dynamics, Inc. | | 1,582 | | 234,500 | |
| | | | 1,932,061 | |
Leisure Time — 1.5% | | | | | |
Acushnet Holdings Corp. | | 4,882 | | 321,968 | |
BRP, Inc.(a) | | 4,277 | | 286,987 | |
Brunswick Corp. | | 5,071 | | 489,453 | |
Harley-Davidson, Inc.(a) | | 320 | | 13,997 | |
Polaris, Inc. | | 6,190 | | 619,743 | |
YETI Holdings, Inc.(a)(b) | | 17,494 | | 674,393 | |
| | | | 2,406,541 | |
Lodging — 0.5% | | | | | |
Boyd Gaming Corp. | | 5,918 | | 398,400 | |
Las Vegas Sands Corp. | | 998 | | 51,597 | |
Wyndham Hotels & Resorts, Inc. | | 2,864 | | 219,812 | |
Wynn Resorts Ltd. | | 1,802 | | 184,218 | |
| | | | 854,027 | |
Machinery — Construction & Mining — 0.3% | | | | ||
Caterpillar, Inc. | | 131 | | 48,002 | |
Terex Corp. | | 6,598 | | 424,911 | |
Vertiv Holdings Co. - Class A | | 149 | | 12,169 | |
| | | | 485,082 | |
Machinery — Diversified — 2.0% | | | | | |
AGCO Corp. | | 4,802 | | 590,741 | |
Applied Industrial Technologies, Inc. | | 1,323 | | 261,359 | |
Crane Co. | | 1,605 | | 216,884 | |
CSW Industrials, Inc. | | 864 | | 202,694 | |
Dover Corp. | | 294 | | 52,094 | |
Esab Corp.(a) | | 2,291 | | 253,316 |
|
| Shares |
| Value |
|
Common Stocks — 99.9% (Continued) | | | | | |
Machinery — Diversified — 2.0% (Continued) | | | | ||
Flowserve Corp. | | 9,713 | | $443,690 | |
Gates Industrial Corp. PLC(b) | | 48,841 | | 864,974 | |
Ingersoll Rand, Inc. | | 27 | | 2,564 | |
Middleby Corp.(b) | | 2,364 | | 380,108 | |
| | | | 3,268,424 | |
Media — 1.3% | | | | | |
Cable One, Inc.(a) | | 754 | | 319,040 | |
Charter Communications, Inc. - Class A(b) | | 558 | | 162,172 | |
Comcast Corp. - Class A | | 7,380 | | 319,923 | |
New York Times Co. - Class A | | 3,568 | | 154,209 | |
Nexstar Media Group, Inc. | | 1,145 | | 197,272 | |
Sirius XM Holdings, Inc.(a) | | 49,124 | | 190,601 | |
TEGNA, Inc. | | 40,939 | | 611,629 | |
Walt Disney Co. | | 1,273 | | 155,764 | |
| | | | 2,110,610 | |
Metal Fabricate & Hardware — 1.2% | | | | | |
Advanced Drainage Systems, Inc. | | 1,277 | | 219,950 | |
Mueller Industries, Inc. | | 10,519 | | 567,290 | |
Timken Co. | | 1,566 | | 136,915 | |
Valmont Industries, Inc.(a) | | 2,093 | | 477,790 | |
Worthington Enterprises, Inc. | | 8,995 | | 559,759 | |
| | | | 1,961,704 | |
Mining — 0.4% | | | | | |
Royal Gold, Inc. | | 5,401 | | 657,896 | |
Southern Copper Corp.(a) | | 252 | | 26,843 | |
| | | | 684,739 | |
Miscellaneous Manufacturing — 1.5% | | | | | |
3M Co. | | 909 | | 96,418 | |
A.O. Smith Corp. - Class A | | 3,540 | | 316,688 | |
Carlisle Cos., Inc. | | 974 | | 381,662 | |
Donaldson Co., Inc. | | 4,474 | | 334,118 | |
Enpro, Inc. | | 1,308 | | 220,751 | |
Fabrinet(b) | | 860 | | 162,557 | |
Illinois Tool Works, Inc. | | 387 | | 103,844 | |
ITT, Inc. | | 506 | | 68,831 | |
John Bean Technologies Corp. | | 5,503 | | 577,210 | |
Parker-Hannifin Corp. | | 24 | | 13,339 | |
Textron, Inc. | | 2,074 | | 198,959 | |
| | | | 2,474,377 | |
SCHEDULE OF INVESTMENTS as of March 31, 2024 (Unaudited) (Continued) |
Gotham 1000 Value ETF
15 |
The accompanying notes are an integral part of these financial statements.
|
| Shares |
| Value |
|
Common Stocks — 99.9% (Continued) | | | | | |
Oil & Gas — 7.7% | | | | | |
APA Corp.(a) | | 10,024 | | $344,625 | |
California Resources Corp. | | 10,026 | | 552,433 | |
Canadian Natural Resources Ltd. | | 5,155 | | 393,430 | |
Cenovus Energy, Inc. | | 26,799 | | 535,711 | |
Chesapeake Energy Corp.(a) | | 9,196 | | 816,881 | |
Chord Energy Corp.(a) | | 3,754 | | 669,113 | |
ConocoPhillips | | 4,562 | | 580,651 | |
Coterra Energy, Inc. | | 11,321 | | 315,629 | |
CVR Energy, Inc. | | 1,108 | | 39,511 | |
Devon Energy Corp. | | 9,030 | | 453,125 | |
Enerplus Corp. | | 25,883 | | 508,860 | |
EOG Resources, Inc. | | 3,442 | | 440,025 | |
Exxon Mobil Corp. | | 3,719 | | 432,297 | |
Gulfport Energy Corp.(b) | | 2,303 | | 368,756 | |
Helmerich & Payne, Inc. | | 15,671 | | 659,122 | |
HF Sinclair Corp. | | 12,737 | | 768,933 | |
Imperial Oil Ltd. | | 5,785 | | 399,917 | |
Marathon Oil Corp. | | 22,326 | | 632,719 | |
Marathon Petroleum Corp. | | 2,414 | | 486,421 | |
Murphy Oil Corp. | | 13,864 | | 633,585 | |
Noble Corp. PLC | | 377 | | 18,281 | |
Occidental Petroleum Corp. | | 4,581 | | 297,719 | |
Phillips 66 | | 2,303 | | 376,172 | |
Pioneer Natural Resources Co. | | 2,707 | | 710,588 | |
SM Energy Co.(a) | | 3,799 | | 189,380 | |
Southwestern Energy Co.(b) | | 6,560 | | 49,725 | |
Suncor Energy, Inc. | | 1,996 | | 73,672 | |
Valero Energy Corp. | | 3,826 | | 653,060 | |
Weatherford International PLC(b) | | 1,340 | | 154,663 | |
| | | | 12,555,004 | |
Oil & Gas Services — 1.8% | | | | | |
Baker Hughes Co. | | 18,712 | | 626,851 | |
ChampionX Corp. | | 14,092 | | 505,762 | |
Halliburton Co. | | 12,278 | | 483,999 | |
Liberty Energy, Inc. | | 11,648 | | 241,347 | |
Schlumberger NV | | 7,747 | | 424,613 | |
TechnipFMC PLC | | 28,332 | | 711,417 | |
| | | | 2,993,989 | |
Packaging & Containers — 2.5% | | | | | |
Berry Global Group, Inc. | | 9,652 | | 583,753 | |
Crown Holdings, Inc. | | 6,987 | | 553,790 | |
Graphic Packaging Holding Co. | | 18,782 | | 548,059 | |
Greif, Inc. - Class A | | 5,262 | | 363,341 | |
Packaging Corp of America(a) | | 1,134 | | 215,211 | |
Sealed Air Corp. | | 6,397 | | 237,968 |
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Common Stocks — 99.9% (Continued) | | | | | |
Packaging & Containers — 2.5% (Continued) | | | | ||
Silgan Holdings, Inc.(a) | | 12,839 | | $623,461 | |
Sonoco Products Co. | | 9,311 | | 538,548 | |
Westrock Co. | | 10,360 | | 512,302 | |
| | | | 4,176,433 | |
Pharmaceuticals — 3.1% | | | | | |
AbbVie, Inc. | | 688 | | 125,285 | |
Alkermes PLC(a)(b) | | 10,956 | | 296,579 | |
Becton Dickinson & Co. | | 135 | | 33,406 | |
BellRing Brands, Inc.(b) | | 2,300 | | 135,769 | |
Bristol-Myers Squibb Co. | | 6,871 | | 372,614 | |
Cardinal Health, Inc. | | 1,461 | | 163,486 | |
Cigna Group | | 951 | | 345,394 | |
CVS Health Corp. | | 8,527 | | 680,113 | |
Jazz Pharmaceuticals PLC(b) | | 2,718 | | 327,302 | |
Johnson & Johnson | | 2,007 | | 317,487 | |
McKesson Corp. | | 167 | | 89,654 | |
Merck & Co., Inc. | | 2,087 | | 275,380 | |
Option Care Health, Inc.(b) | | 2,978 | | 99,882 | |
Organon & Co. | | 21,590 | | 405,892 | |
Perrigo Co. PLC | | 21,645 | | 696,752 | |
Prestige Consumer Healthcare, Inc.(b) | | 4,895 | | 355,181 | |
Viatris, Inc. | | 35,107 | | 419,178 | |
| | | | 5,139,354 | |
Pipelines — 0.7% | | | | | |
Antero Midstream Corp. | | 14,554 | | 204,629 | |
Cheniere Energy, Inc. | | 5,125 | | 826,560 | |
Enbridge, Inc. | | 4,340 | | 157,021 | |
Pembina Pipeline Corp. | | 2,118 | | 74,850 | |
| | | | 1,263,060 | |
Retail — 7.1% | | | | | |
Abercrombie & Fitch Co. - Class A(b) | | 4,236 | | 530,898 | |
Academy Sports & Outdoors, Inc.(a) | | 2,020 | | 136,431 | |
Advance Auto Parts, Inc. | | 5,613 | | 477,610 | |
American Eagle Outfitters, Inc. | | 26,705 | | 688,723 | |
Asbury Automotive Group, Inc.(a)(b) | | 1,668 | | 393,281 | |
AutoNation, Inc.(a)(b) | | 1,237 | | 204,822 | |
Bath & Body Works, Inc. | | 4,053 | | 202,731 | |
Beacon Roofing Supply, Inc.(b) | | 6,384 | | 625,760 | |
Best Buy Co., Inc. | | 5,135 | | 421,224 | |
BJ’s Wholesale Club Holdings, Inc.(a)(b) | | 4,442 | | 336,037 | |
Boot Barn Holdings, Inc.(a)(b) | | 1,648 | | 156,807 | |
Darden Restaurants, Inc. | | 256 | | 42,790 | |
Dick’s Sporting Goods, Inc.(a) | | 377 | | 84,772 | |
Dillard’s, Inc. - Class A(a) | | 612 | | 288,644 | |
Domino’s Pizza, Inc. | | 7 | | 3,478 | |
SCHEDULE OF INVESTMENTS as of March 31, 2024 (Unaudited) (Continued) |
Gotham 1000 Value ETF
16 |
The accompanying notes are an integral part of these financial statements.
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Common Stocks — 99.9% (Continued) | | | | | |
Retail — 7.1% (Continued) | | | | | |
Gap, Inc. | | 24,653 | | $679,191 | |
GMS, Inc.(b) | | 5,720 | | 556,785 | |
Group 1 Automotive, Inc.(a) | | 783 | | 228,816 | |
Home Depot, Inc. | | 604 | | 231,694 | |
Kohl’s Corp.(a) | | 15,942 | | 464,709 | |
Lithia Motors, Inc.(a) | | 1,400 | | 421,204 | |
Lululemon Athletica, Inc.(b) | | 962 | | 375,805 | |
Macy’s, Inc.(a) | | 9,755 | | 195,002 | |
MSC Industrial Direct Co., Inc. - Class A(a) | | 5,884 | | 570,983 | |
Murphy USA, Inc.(a) | | 1,289 | | 540,349 | |
Nordstrom, Inc.(a) | | 20,675 | | 419,082 | |
Ollie’s Bargain Outlet Holdings, Inc.(b) | | 1,373 | | 109,250 | |
Restaurant Brands International, Inc.(a) | | 421 | | 33,448 | |
Signet Jewelers Ltd. | | 2,552 | | 255,379 | |
Ulta Beauty, Inc.(b) | | 581 | | 303,793 | |
Urban Outfitters, Inc.(b) | | 17,686 | | 767,927 | |
Walgreens Boots Alliance, Inc. | | 9,214 | | 199,852 | |
Wendy’s Co. | | 13,052 | | 245,900 | |
Williams-Sonoma, Inc.(a) | | 1,165 | | 369,922 | |
Yum! Brands, Inc. | | 273 | | 37,851 | |
| | | | 11,600,950 | |
Semiconductors — 1.3% | | | | | |
Amkor Technology, Inc. | | 12,018 | | 387,460 | |
Applied Materials, Inc. | | 849 | | 175,089 | |
Cirrus Logic, Inc.(b) | | 254 | | 23,510 | |
GlobalFoundries, Inc.(a)(b) | | 2,988 | | 155,705 | |
IPG Photonics Corp.(b) | | 5,525 | | 501,062 | |
KLA Corp. | | 9 | | 6,287 | |
Lam Research Corp. | | 2 | | 1,943 | |
Microchip Technology, Inc. | | 524 | | 47,008 | |
Qorvo, Inc.(b) | | 620 | | 71,195 | |
QUALCOMM, Inc. | | 725 | | 122,743 | |
Skyworks Solutions, Inc. | | 5,397 | | 584,604 | |
| | | | 2,076,606 | |
Software — 0.6% | | | | | |
Dropbox, Inc. - Class A(b) | | 8,311 | | 201,957 | |
Electronic Arts, Inc. | | 661 | | 87,695 | |
Fiserv, Inc.(b) | | 1,132 | | 180,916 | |
SS&C Technologies Holdings, Inc. | | 4,691 | | 301,960 | |
Verra Mobility Corp.(b) | | 5,870 | | 146,574 | |
Zoom Video Communications, Inc. - Class A(b) | | 1,525 | | 99,689 | |
| | | | 1,018,791 |
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Common Stocks — 99.9% (Continued) | | | | | |
Telecommunications — 3.0% | | | | | |
AT&T, Inc. | | 33,949 | | $597,502 | |
BCE, Inc. | | 6,158 | | 209,249 | |
Ciena Corp.(b) | | 13,452 | | 665,202 | |
Cisco Systems, Inc. | | 11,537 | | 575,812 | |
InterDigital, Inc.(a) | | 4,140 | | 440,744 | |
Iridium Communications, Inc. | | 6,235 | | 163,108 | |
Juniper Networks, Inc. | | 17,637 | | 653,628 | |
TELUS Corp. | | 17,183 | | 275,100 | |
T-Mobile US, Inc. | | 3,929 | | 641,291 | |
United States Cellular Corp.(b) | | 2,004 | | 73,146 | |
Verizon Communications, Inc. | | 15,263 | | 640,435 | |
| | | | 4,935,217 | |
Toys, Games & Hobbies — 0.7% | | | | | |
Hasbro, Inc. | | 7,692 | | 434,752 | |
Mattel, Inc.(b) | | 34,141 | | 676,333 | |
| | | | 1,111,085 | |
Transportation — 0.7% | | | | | |
C.H. Robinson Worldwide, Inc. | | 4,594 | | 349,787 | |
CSX Corp. | | 1,107 | | 41,036 | |
FedEx Corp. | | 567 | | 164,283 | |
Hub Group, Inc. - Class A | | 7,181 | | 310,363 | |
Landstar System, Inc. | | 1,537 | | 296,272 | |
| | | | 1,161,741 | |
Total Common Stocks | | | | | |
(Cost $143,394,628) | | | | 164,268,214 | |
SCHEDULE OF INVESTMENTS as of March 31, 2024 (Unaudited) (Continued) |
Gotham 1000 Value ETF
17 |
The accompanying notes are an integral part of these financial statements.
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| | | | | |
Short-Term Investments — 11.9% | | | | ||
Investments Purchased with Collateral from Securities Lending — 11.9% | |||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.25%(c) | | 19,566,232 | | $19,566,232 | |
Total Short-Term Investments | | | | ||
(Cost $19,566,232) | | | | 19,566,232 | |
| | | | | |
Total Investments — 111.8% | | | | | |
(Cost $162,960,860) | | | | 183,834,446 | |
Liabilities in Excess of Other Assets — (11.8)% | | (19,412,191 | ) | ||
Total Net Assets — 100.0% | | |
| $164,422,255 | |
Percentages are stated as a percent of net assets.
NV - Naamloze Vennootschap
PLC - Public Limited Company
SA - Sociedad Anónima
(a)All or a portion of this security is on loan as of March 31, 2024. The total market value of these securities was $19,245,906 which represented 11.7% of net assets.
(b)Non-income producing security.
(c)The rate shown represents the annualized 7-day yield as of March 31, 2024.
SCHEDULE OF INVESTMENTS as of March 31, 2024 (Unaudited) (Continued) |
Gotham Short Strategies ETF
18 |
The accompanying notes are an integral part of these financial statements.
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Common Stocks — 87.3% | | | | | |
Aerospace & Defense — 1.2% | | | | | |
AeroVironment, Inc.(a) | | 7 | | $1,073 | |
Boeing Co.(a) | | 861 | | 166,164 | |
Leonardo DRS, Inc.(a) | | 374 | | 8,262 | |
| | | | 175,499 | |
Apparel — 1.0% | | | | | |
Columbia Sportswear Co. | | 318 | | 25,815 | |
Ralph Lauren Corp. - Class A | | 452 | | 84,868 | |
Tapestry, Inc. | | 757 | | 35,942 | |
Under Armour, Inc. - Class C(a) | | 520 | | 3,713 | |
| | | | 150,338 | |
Auto Manufacturers — 0.9% | | | | | |
Cummins, Inc. | | 439 | | 129,351 | |
| | | | | |
Auto Parts & Equipment — 1.5% | | | | | |
BorgWarner, Inc. | | 1,428 | | 49,609 | |
Goodyear Tire & Rubber Co.(a) | | 12,572 | | 172,613 | |
| | | | 222,222 | |
Beverages — 0.9% | | | | | |
Coca-Cola Co. | | 2,218 | | 135,697 | |
| | | | | |
Biotechnology — 2.8% | | | | | |
Beam Therapeutics, Inc.(a) | | 100 | | 3,304 | |
Blueprint Medicines Corp.(a) | | 18 | | 1,707 | |
Corteva, Inc. | | 3,600 | | 207,613 | |
ImmunityBio, Inc.(a) | | 321 | | 1,724 | |
Incyte Corp.(a) | | 3,295 | | 187,716 | |
United Therapeutics Corp.(a) | | 81 | | 18,607 | |
| | | | 420,671 | |
Building Materials — 5.7% | | | | | |
AZEK Co., Inc.(a) | | 7,021 | | 352,596 | |
Griffon Corp. | | 47 | | 3,447 | |
Knife River Corp.(a) | | 798 | | 64,702 | |
Masco Corp. | | 1,505 | | 118,715 | |
MDU Resources Group, Inc. | | 3,345 | | 84,294 | |
Summit Materials, Inc. - Class A(a) | | 852 | | 37,974 | |
Trex Co., Inc.(a) | | 755 | | 75,311 | |
Vulcan Materials Co. | | 307 | | 83,786 | |
West Fraser Timber Co. Ltd. | | 201 | | 17,372 | |
| | | | 838,197 | |
Chemicals — 5.7% | | | | | |
Ashland, Inc. | | 1,212 | | 118,012 | |
Balchem Corp. | | 64 | | 9,917 | |
Cabot Corp. | | 161 | | 14,844 | |
Celanese Corp. | | 744 | | 127,865 |
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Common Stocks — 87.3% (Continued) | | | | | |
Chemicals — 5.7% (Continued) | | | | | |
HB Fuller Co. | | 530 | | $42,262 | |
International Flavors & Fragrances, Inc. | | 1,443 | | 124,084 | |
NewMarket Corp. | | 192 | | 121,847 | |
PPG Industries, Inc. | | 766 | | 110,993 | |
Quaker Chemical Corp. | | 392 | | 80,458 | |
RPM International, Inc. | | 781 | | 92,900 | |
| | | | 843,182 | |
Coal — 0.1% | | | | | |
Alpha Metallurgical Resources, Inc. | | 59 | | 19,539 | |
| | | | | |
Commercial Services — 5.2% | | | | | |
ADT, Inc. | | 12,569 | | 84,464 | |
Booz Allen Hamilton Holding Corp. | | 720 | | 106,877 | |
Bright Horizons Family Solutions, Inc.(a) | | 10 | | 1,134 | |
Brink’s Co. | | 848 | | 78,338 | |
FTI Consulting, Inc.(a) | | 252 | | 52,993 | |
ManpowerGroup, Inc. | | 432 | | 33,540 | |
Quanta Services, Inc. | | 764 | | 198,487 | |
United Rentals, Inc. | | 303 | | 218,497 | |
| | | | 774,330 | |
Computers — 3.0% | | | | | |
Amdocs Ltd. | | 423 | | 38,227 | |
Apple, Inc. | | 1,024 | | 175,595 | |
ASGN, Inc.(a) | | 281 | | 29,438 | |
CGI, Inc. - Class A(a) | | 39 | | 4,309 | |
DXC Technology Co.(a) | | 2,984 | | 63,290 | |
Globant SA(a) | | 90 | | 18,171 | |
Maximus, Inc. | | 382 | | 32,050 | |
NetApp, Inc. | | 22 | | 2,309 | |
Parsons Corp.(a) | | 625 | | 51,844 | |
Qualys, Inc.(a) | | 225 | | 37,546 | |
| | | | 452,779 | |
Cosmetics & Personal Care — 0.5% | | | | | |
Colgate-Palmolive Co. | | 822 | | 74,021 | |
Coty, Inc. - Class A(a) | | 69 | | 825 | |
| | | | 74,846 | |
Electric — 2.2% | | | | | |
Black Hills Corp. | | 789 | | 43,079 | |
Duke Energy Corp. | | 634 | | 61,314 | |
NRG Energy, Inc. | | 2,554 | | 172,881 | |
Public Service Enterprise Group, Inc. | | 727 | | 48,549 | |
| | | | 325,823 | |
| | | | | |
SCHEDULE OF INVESTMENTS as of March 31, 2024 (Unaudited) |
Gotham Short Strategies ETF
19 |
The accompanying notes are an integral part of these financial statements.
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Common Stocks — 87.3% (Continued) | | | | | |
Electrical Components & Equipment — 0.3% | | | | ||
Littelfuse, Inc. | | 172 | | $41,684 | |
| | | | | |
Electronics — 2.4% | | | | | |
Arrow Electronics, Inc.(a) | | 37 | | 4,790 | |
Itron, Inc.(a) | | 633 | | 58,565 | |
Jabil, Inc. | | 629 | | 84,254 | |
Sanmina Corp.(a) | | 29 | | 1,803 | |
TD SYNNEX Corp. | | 96 | | 10,858 | |
TE Connectivity Ltd. | | 1,314 | | 190,845 | |
Woodward, Inc. | | 7 | | 1,079 | |
| | | | 352,194 | |
Energy — Alternate Sources — 0.2% | | | | | |
Fluence Energy, Inc.(a) | | 1,581 | | 27,415 | |
| | | | | |
Engineering & Construction — 1.4% | | | | | |
Jacobs Solutions, Inc. | | 342 | | 52,576 | |
MasTec, Inc.(a) | | 1,569 | | 146,309 | |
Stantec, Inc. | | 43 | | 3,571 | |
TopBuild Corp.(a) | | 14 | | 6,170 | |
| | | | 208,626 | |
Entertainment — 0.2% | | | | | |
Vail Resorts, Inc. | | 8 | | 1,783 | |
Warner Music Group Corp. - Class A | | 1,063 | | 35,100 | |
| | | | 36,883 | |
Environmental Control — 1.1% | | | | | |
Tetra Tech, Inc. | | 304 | | 56,152 | |
Waste Connections, Inc. | | 570 | | 98,046 | |
| | | | 154,198 | |
Food — 4.5% | | | | | |
Albertsons Cos., Inc. - Class A | | 1,382 | | 29,630 | |
Hormel Foods Corp. | | 955 | | 33,320 | |
Ingredion, Inc. | | 1,164 | | 136,013 | |
Kellanova | | 3,244 | | 185,848 | |
Kroger Co. | | 2,489 | | 142,197 | |
Lancaster Colony Corp. | | 73 | | 15,157 | |
McCormick & Co., Inc. | | 249 | | 19,126 | |
Mondelez International, Inc. - Class A | | 329 | | 23,030 | |
Pilgrim’s Pride Corp.(a) | | 925 | | 31,746 | |
Simply Good Foods Co.(a) | | 1,596 | | 54,312 | |
| | | | 670,379 | |
Food Service — 1.2% | | | | | |
Aramark | | 5,707 | | 185,592 | |
| | | | |
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Common Stocks — 87.3% (Continued) | | | | | |
Gas — 0.3% | | | | | |
New Jersey Resources Corp. | | 11 | | $472 | |
Southwest Gas Holdings, Inc. | | 559 | | 42,557 | |
| | | | 43,029 | |
| | | | | |
Hand & Machine Tools — 2.6% | | | | | |
Lincoln Electric Holdings, Inc. | | 504 | | 128,742 | |
MSA Safety, Inc. | | 568 | | 109,959 | |
Stanley Black & Decker, Inc. | | 1,570 | | 153,750 | |
| | | | 392,451 | |
Healthcare — Products — 1.3% | | | | | |
Agilent Technologies, Inc. | | 129 | | 18,771 | |
IDEXX Laboratories, Inc.(a) | | 135 | | 72,891 | |
Lantheus Holdings, Inc.(a) | | 414 | | 25,767 | |
Medtronic PLC | | 885 | | 77,128 | |
| | | | 194,557 | |
Healthcare — Services — 1.3% | | | | | |
DaVita, Inc.(a) | | 821 | | 113,339 | |
Select Medical Holdings Corp. | | 394 | | 11,879 | |
Tenet Healthcare Corp.(a) | | 665 | | 69,898 | |
| | | | 195,116 | |
Household Products & Wares — 1.7% | | | | | |
Clorox Co. | | 1,155 | | 176,842 | |
Reynolds Consumer Products, Inc. | | 1,931 | | 55,149 | |
WD-40 Co. | | 109 | | 27,611 | |
| | | | 259,602 | |
Housewares — 1.1% | | | | | |
Newell Brands, Inc. | | 19,709 | | 158,263 | |
| | | | | |
Internet — 3.7% | | | | | |
F5, Inc.(a) | | 217 | | 41,141 | |
Netflix, Inc.(a) | | 80 | | 48,586 | |
Okta, Inc.(a) | | 484 | | 50,636 | |
Spotify Technology SA(a) | | 599 | | 158,076 | |
TripAdvisor, Inc.(a) | | 2,907 | | 80,786 | |
Uber Technologies, Inc.(a) | | 2,199 | | 169,301 | |
VeriSign, Inc.(a) | | 2 | | 379 | |
| | | | 548,905 | |
Iron & Steel — 1.9% | | | | | |
Cleveland-Cliffs, Inc.(a) | | 12,718 | | 289,207 | |
| | | | | |
SCHEDULE OF INVESTMENTS as of March 31, 2024 (Unaudited) (Continued) |
Gotham Short Strategies ETF
20 |
The accompanying notes are an integral part of these financial statements.
|
| Shares |
| Value |
|
Common Stocks — 87.3% (Continued) | | | | | |
Leisure Time — 0.8% | | | | | |
BRP, Inc. | | 6 | | $403 | |
Polaris, Inc. | | 344 | | 34,441 | |
YETI Holdings, Inc.(a) | | 2,297 | | 88,550 | |
| | | | 123,394 | |
Lodging — 1.4% | | | | | |
Las Vegas Sands Corp. | | 1,241 | | 64,160 | |
Wyndham Hotels & Resorts, Inc. | | 1,113 | | 85,422 | |
Wynn Resorts Ltd. | | 638 | | 65,223 | |
| | | | 214,805 | |
Machinery — Construction & Mining — 0.6% | | | | ||
BWX Technologies, Inc. | | 815 | | 83,635 | |
| | | | | |
Machinery — Diversified — 3.2% | | | | | |
Chart Industries, Inc.(a) | | 55 | | 9,060 | |
Crane Co. | | 641 | | 86,618 | |
Esab Corp. | | 300 | | 33,171 | |
Flowserve Corp. | | 2,096 | | 95,745 | |
Ingersoll Rand, Inc. | | 1 | | 95 | |
Kadant, Inc. | | 118 | | 38,716 | |
Middleby Corp.(a) | | 483 | | 77,662 | |
Nordson Corp. | | 119 | | 32,670 | |
Zurn Elkay Water Solutions Corp. | | 2,933 | | 98,167 | |
| | | | 471,904 | |
Media — 1.1% | | | | | |
News Corp. - Class A | | 3,737 | | 97,834 | |
Paramount Global - Class B | | 5,787 | | 68,113 | |
Sirius XM Holdings, Inc. | | 320 | | 1,242 | |
| | | | 167,189 | |
Mining — 0.3% | | | | | |
Royal Gold, Inc. | | 366 | | 44,582 | |
| | | | | |
Miscellaneous Manufacturers — 2.0% | | | | | |
Carlisle Cos., Inc. | | 320 | | 125,392 | |
Donaldson Co., Inc. | | 117 | | 8,738 | |
Federal Signal Corp. | | 388 | | 32,930 | |
Textron, Inc. | | 1,385 | | 132,862 | |
| | | | 299,922 | |
Oil & Gas — 2.3% | | | | | |
Canadian Natural Resources Ltd. | | 2,699 | | 205,988 | |
Diamondback Energy, Inc. | | 2 | | 396 | |
Helmerich & Payne, Inc. | | 866 | | 36,424 | |
Marathon Oil Corp. | | 3,537 | | 100,239 | |
| | | | 343,047 |
|
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| Value |
|
Common Stocks — 87.3% (Continued) | | | | | |
Oil & Gas Services — 0.7% | | | | | |
TechnipFMC PLC | | 4,195 | | $105,336 | |
| | | | | |
Packaging & Containers — 2.0% | | | | | |
AptarGroup, Inc. | | 303 | | 43,599 | |
Ball Corp. | | 1,596 | | 107,506 | |
Berry Global Group, Inc. | | 986 | | 59,633 | |
Crown Holdings, Inc. | | 318 | | 25,205 | |
Silgan Holdings, Inc. | | 642 | | 31,176 | |
Sonoco Products Co. | | 462 | | 26,722 | |
| | | | 293,841 | |
Pharmaceuticals — 1.6% | | | | | |
Alkermes PLC(a) | | 4,655 | | 126,011 | |
Becton Dickinson & Co. | | 24 | | 5,939 | |
BellRing Brands, Inc.(a) | | 812 | | 47,932 | |
Organon & Co. | | 3,579 | | 67,285 | |
Viatris, Inc. | | 40 | | 478 | |
| | | | 247,645 | |
Pipelines — 1.4% | | | | | |
Antero Midstream Corp. | | 4,946 | | 69,541 | |
Cheniere Energy, Inc. | | 526 | | 84,833 | |
Enbridge, Inc. | | 1,381 | | 49,964 | |
TC Energy Corp. | | 74 | | 2,975 | |
| | | | 207,313 | |
Retail — 3.5% | | | | | |
Asbury Automotive Group, Inc.(a) | | 11 | | 2,594 | |
Carvana Co.(a) | | 387 | | 34,021 | |
MSC Industrial Direct Co., Inc. - Class A | | 734 | | 71,228 | |
Murphy USA, Inc. | | 22 | | 9,222 | |
Ross Stores, Inc. | | 73 | | 10,713 | |
Signet Jewelers Ltd. | | 178 | | 17,812 | |
Target Corp. | | 1,628 | | 288,499 | |
Ulta Beauty, Inc.(a) | | 96 | | 50,196 | |
Urban Outfitters, Inc.(a) | | 889 | | 38,600 | |
| | | | 522,885 | |
Semiconductors — 3.5% | | | | | |
Amkor Technology, Inc. | | 124 | | 3,998 | |
Cirrus Logic, Inc.(a) | | 482 | | 44,614 | |
Entegris, Inc. | | 415 | | 58,324 | |
GlobalFoundries, Inc.(a) | | 83 | | 4,325 | |
Micron Technology, Inc. | | 119 | | 14,029 | |
Monolithic Power Systems, Inc. | | 104 | | 70,452 | |
Qorvo, Inc.(a) | | 1,646 | | 189,009 | |
Skyworks Solutions, Inc. | | 1,271 | | 137,675 | |
| | | | 522,426 | |
SCHEDULE OF INVESTMENTS as of March 31, 2024 (Unaudited) (Continued) |
Gotham Short Strategies ETF
21 |
The accompanying notes are an integral part of these financial statements.
|
| Shares |
| Value |
|
Common Stocks — 87.3% (Continued) | | | | | |
Software — 3.7% | | | | | |
Blackbaud, Inc.(a) | | 103 | | $7,636 | |
Box, Inc. - Class A(a) | | 318 | | 9,006 | |
Doximity, Inc. - Class A(a) | | 17 | | 457 | |
Electronic Arts, Inc. | | 391 | | 51,874 | |
Evolent Health, Inc. - Class A(a) | | 974 | | 31,937 | |
Guidewire Software, Inc.(a) | | 19 | | 2,217 | |
Informatica, Inc. - Class A(a) | | 1,384 | | 48,440 | |
JFrog Ltd.(a) | | 335 | | 14,814 | |
Palantir Technologies, Inc. - Class A(a) | | 2,180 | | 50,162 | |
Pegasystems, Inc. | | 691 | | 44,666 | |
Samsara, Inc. - Class A(a) | | 1,602 | | 60,540 | |
SPS Commerce, Inc.(a) | | 50 | | 9,245 | |
SS&C Technologies Holdings, Inc. | | 359 | | 23,109 | |
Zoom Video Communications, Inc. - Class A(a) | | 2,845 | | 185,979 | |
ZoomInfo Technologies, Inc.(a) | | 1,283 | | 20,566 | |
| | | | 560,648 | |
Telecommunications — 2.0% | | | | | |
AT&T, Inc. | | 3,271 | | 57,570 | |
Ciena Corp.(a) | | 1,783 | | 88,169 | |
TELUS Corp. | | 3,418 | | 54,722 | |
T-Mobile US, Inc. | | 142 | | 23,177 | |
Verizon Communications, Inc. | | 1,503 | | 63,066 | |
| | | | 286,704 | |
Toys, Games & Hobbies — 1.3% | | | | | |
Hasbro, Inc. | | 897 | | 50,698 | |
Mattel, Inc.(a) | | 7,392 | | 146,436 | |
| | | | 197,134 | |
Total Common Stocks | | | | | |
(Cost $12,147,254) | | | | 13,012,985 | |
| | | | | |
Total Investments — 87.3% | | | | | |
(Cost $12,147,254) | | | | 13,012,985 | |
Other Assets in Excess of Liabilities - 12.7% | | 1,896,363 | | ||
Total Net Assets — 100.0% | | |
| $14,909,348 | |
Percentages are stated as a percent of net assets.
PLC - Public Limited Company
SA - Sociedad Anónima
(a)Non-income producing security.
SCHEDULE OF INVESTMENTS as of March 31, 2024 (Unaudited) (Continued) |
Gotham Short Strategies ETF
22 |
The accompanying notes are an integral part of these financial statements.
Reference Entity | Counterparty | Long/ Short | Maturity Date | Financing Rate | Payment Frequency | Notional Amount | Upfront Payments (Receipts) | Value/ Unrealized Appreciation (Depreciation) |
AT&T, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | $6,530 | 26 | $283 |
Insperity, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (11,290) | (4) | (325) |
AGCO Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (104,567) | (457) | (5,249) |
Pfizer, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (494,311) | (3,958) | (5,497) |
Murphy USA, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 1,258 | 1 | 19 |
ZoomInfo Technologies, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 2,244 | 3 | 39 |
Box, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 1,048 | 1 | (2) |
Kadant, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 4,922 | 18 | 83 |
Jacobs Solutions, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 5,688 | 37 | 348 |
Chipotle Mexican Grill, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (29,068) | (31) | 196 |
T-Mobile US, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 2,448 | 2 | 34 |
Baucsh + Lomb Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (36,953) | (215) | (1,174) |
Deere & Co. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (36,145) | (170) | (4,735) |
Edison International | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (23,765) | (127) | (1,565) |
Clorox Co. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 20,057 | 147 | (257) |
Arcosa, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (90,926) | (1,150) | (8,747) |
Antero Midstream Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 8,183 | 67 | 683 |
Tractor Supply Co. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (23,293) | (89) | (557) |
United Therapeutics Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 5,743 | 45 | 196 |
YETI Holdings, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 13,068 | 254 | (1,692) |
Booz Allen Hamilton Holding Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 12,024 | 97 | 343 |
Mettler-Toledo International, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (41,270) | (103) | (342) |
Columbia Sportswear Co. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 1,624 | 7 | 13 |
Cirrus Logic, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 4,906 | 18 | 74 |
Asbury Automotive Group, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 472 | 1 | 50 |
NetApp, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 6,718 | 58 | 1,181 |
Stanley Black & Decker, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 17,138 | 120 | 1,461 |
Comstock Resources, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (4,148) | (99) | 1,176 |
Crescent Point Energy Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (28,812) | (233) | (4,232) |
Pegasystems, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 5,107 | 21 | 15 |
Incyte Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 21,136 | 133 | (855) |
Reynolds Consumer Products, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 6,140 | 73 | 204 |
RH | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (4,179) | (7) | (600) |
AeroVironment, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 153 | 0 | 9 |
MasTec, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 15,946 | 37 | 762 |
Imperial Oil Ltd. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (9,402) | (14) | (208) |
Woodward, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 6,165 | 58 | 651 |
Penske Automotive Group, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (28,672) | (175) | (1,894) |
Lumentum Holdings, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (12,216) | (220) | (1,155) |
Marvell Technology, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (75,345) | (1,106) | (19,899) |
Sirius XM Holdings, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 124 | 0 | (2) |
Wolfspeed, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (16,992) | (192) | 1,942 |
O’Reilly Automotive, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (51,928) | (213) | (2,410) |
Burlington Stores, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (79,409) | (184) | (4,795) |
Rockwell Automation, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (411,649) | (2,529) | (24,620) |
Acushnet Holdings Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (24,270) | (51) | (619) |
Albemarle Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (30,037) | (41) | (2,562) |
Valaris Ltd. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (1,580) | (7) | (172) |
Schedule of Total Return Swap Contracts as of March 31, 2024 (Unaudited) |
Gotham Short Strategies ETF
23 |
The accompanying notes are an integral part of these financial statements.
Reference Entity | Counterparty | Long/ Short | Maturity Date | Financing Rate | Payment Frequency | Notional Amount | Upfront Payments (Receipts) | Value/ Unrealized Appreciation (Depreciation) |
Flowserve Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 6,441 | 25 | 404 |
Celanese Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 14,264 | 44 | 1,340 |
Inter Parfums, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (70,817) | (298) | 1,148 |
Zscaler, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (177,990) | (325) | 3,635 |
Lincoln Electric Holdings, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 14,305 | 61 | 230 |
Entegris, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 6,886 | 29 | 120 |
TechnipFMC PLC | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 13,133 | 174 | 2,086 |
Colgate-Palmolive Co. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 5,403 | 41 | 320 |
IDACORP, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (132,461) | (2,732) | 6,608 |
Bill.com Holdings, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (243,131) | (3,791) | (8,780) |
Airbnb, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (60,870) | (188) | (1,893) |
Ingersoll Rand, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 4,178 | 17 | 206 |
Ashland, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 13,437 | 71 | 596 |
Southern Co. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (44,264) | (225) | (2,428) |
Dominion Energy, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (11,412) | (45) | (652) |
Federal Signal Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 3,565 | 10 | 190 |
TripAdvisor, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 9,060 | 44 | 202 |
Urban Outfitters, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 3,821 | 8 | 94 |
DXC Technology Co. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 6,342 | 59 | (249) |
Blueprint Medicines Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 190 | 1 | 8 |
Churchill Downs, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (110,633) | (2,011) | (3,433) |
Newell Brands, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 19,015 | 365 | 2,642 |
Bridgebio Pharma, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (14,532) | (30) | (1,042) |
PTC, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (1,052) | (1) | (28) |
Southern Copper Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (115,148) | (252) | (11,750) |
Timken Co. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (79,911) | (457) | (4,477) |
WillScot Mobile Mini Holdings Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (297,926) | (3,417) | (19,010) |
AppLovin Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (67,074) | (73) | 849 |
RPM International, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 11,300 | 171 | 1,645 |
SPS Commerce, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 1,479 | 5 | 8 |
SentinelOne, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (40,186) | (47) | (1,019) |
Beam Therapeutics, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 396 | 3 | (136) |
WESCO International, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (90,093) | (168) | (4,922) |
iRhythm Technologies, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (3,248) | (14) | 50 |
TELUS Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 6,228 | 101 | (598) |
Brink’s Co. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 8,222 | 95 | 960 |
Globant SA | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 2,019 | 6 | (88) |
Uber Technologies, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 23,867 | 164 | 1,540 |
IDEXX Laboratories, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (533,129) | (4,106) | (77,191) |
Micron Technology, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 1,650 | 1 | (17) |
Plug Power, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (5,360) | 9 | 4,338 |
Wyndham Hotels & Resorts, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 10,361 | 45 | (107) |
MSC Industrial Direct Co., Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 10,092 | 148 | (173) |
Caseys General Stores, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (176,740) | (884) | (11,048) |
Bio-Techne Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (71,939) | (543) | 4,806 |
Arrowhead Pharmaceuticals, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (57) | 0 | 6 |
Rider System, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (135,454) | (2,139) | (17,373) |
MACOM Technologies Solutions Holdings, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (199,027) | (885) | (17,551) |
Schedule of Total Return Swap Contracts as of March 31, 2024 (Unaudited) (Continued) |
Gotham Short Strategies ETF
24 |
The accompanying notes are an integral part of these financial statements.
Reference Entity | Counterparty | Long/ Short | Maturity Date | Financing Rate | Payment Frequency | Notional Amount | Upfront Payments (Receipts) | Value/ Unrealized Appreciation (Depreciation) |
Ball Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 1,617 | 10 | 186 |
Warner Music Group Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 3,929 | 2 | 46 |
Organon & Co. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 7,445 | 24 | 303 |
Tesla, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (29,357) | (246) | 1,824 |
Royal Caribbean Cruises Ltd. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (76,595) | (438) | (11,370) |
ImmunityBio, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 183 | 0 | (16) |
Nexstar Media Group, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (1,378) | (1) | (50) |
Concentrix Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (66,617) | (608) | 19,582 |
Jazz Pharmaceuticals PLC | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (50,456) | (103) | 353 |
Williams Cos., Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (209,347) | (900) | (23,258) |
Elastic NV | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (90,416) | (156) | 2,121 |
Patterson UTI Energy, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (42,757) | (334) | (4,858) |
Dexcom, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (398,901) | (848) | (17,571) |
Stantec, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 332 | 1 | 1 |
Alpha Metallurgical Resources, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 1,987 | 3 | 132 |
Hess Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (78,610) | (524) | (3,423) |
Power Integrations, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (97,308) | (2,012) | 6,925 |
Leonardo DRS, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 817 | 1 | 1 |
Vulcan Materials Co. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 9,006 | 44 | 465 |
New Fortress Energy, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (16,274) | (97) | 1,520 |
Ross Stores, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 1,321 | 2 | 4 |
PTC, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (6,802) | (47) | (327) |
International Flavors & Fragrances, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 13,758 | 54 | 1,342 |
EQT Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (62,278) | (497) | (1,311) |
TC Energy Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 322 | 2 | 7 |
Clearwater Analytics Holdings, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (1,433) | (9) | 165 |
Newmont Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (478,679) | (1,552) | (53,304) |
Biogen, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (35,148) | (88) | 1,497 |
Toro Co. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (118,569) | (196) | (3,196) |
Suncor Energy, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (231,352) | (710) | (13,884) |
Cognex Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (116,485) | (448) | (7,365) |
American Water Works Co., Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (11,610) | (62) | (23) |
Amdocs Ltd. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 4,247 | 25 | 17 |
Ciena Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 9,593 | 22 | (364) |
Cheniere Energy, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 9,516 | 66 | 70 |
Dolby Laboratories, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (15,414) | (29) | 38 |
Wheaton Previous Metals Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (48,591) | (53) | (2,545) |
Tapestry, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 3,893 | 22 | 273 |
SharkNinja, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (1,246) | (1) | (33) |
PPL Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (36,285) | (148) | (1,500) |
Oneok, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (292,861) | (4,495) | (53,827) |
Apple, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 19,720 | 174 | (1,670) |
Maximus, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 3,524 | 20 | 44 |
Quaker Chemical Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 9,236 | 164 | 1,730 |
Cofen Communications Holdings | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (71,471) | (700) | 11,257 |
Crown Holdings, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 2,140 | 43 | (175) |
Genuine Parts Co. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (151,676) | (681) | (6,265) |
Schedule of Total Return Swap Contracts as of March 31, 2024 (Unaudited) (Continued) |
Gotham Short Strategies ETF
25 |
The accompanying notes are an integral part of these financial statements.
Reference Entity | Counterparty | Long/ Short | Maturity Date | Financing Rate | Payment Frequency | Notional Amount | Upfront Payments (Receipts) | Value/ Unrealized Appreciation (Depreciation) |
Air Products & Chemicals, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (468,550) | (9,740) | 26,712 |
Repligen Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (132,055) | (529) | 7,528 |
GMS, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (2,823) | (5) | (88) |
Vail Resorts, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 223 | 1 | (3) |
West Pharmaceutical Services, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (190,337) | (242) | (1,510) |
Enbridge, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 5,391 | 30 | 246 |
Mobileye Global, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (868) | (1) | (167) |
Darling Ingredients, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (193,156) | (3,188) | (9,906) |
Boise Cascade Co. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (45,858) | (119) | (4,487) |
Analog Devices, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (309,344) | (1,721) | (8,519) |
Masco Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 13,410 | 60 | 813 |
e.l.f. Beauty, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (524,380) | (3,985) | (91,008) |
BJ’s Wholesale Club Holdings, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (64,454) | (218) | (1,423) |
Dillard’s, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | (943) | 0 | (16) |
Sensata Technologies Holding PLC | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (229,294) | (1,105) | (16,247) |
Hasbro, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 5,482 | 17 | 476 |
Aspen Technology, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (17,489) | (71) | (1,338) |
Tetra Tech, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 7,573 | 95 | 721 |
Permian Resources Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (66,472) | (188) | (7,184) |
PepsiCo, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (95,555) | (112) | (1,500) |
Paychex, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (63,610) | (462) | (86) |
Rivian Automotive, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (17,443) | (172) | 4,568 |
Select Medical Holdings Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 1,357 | 4 | 71 |
United Rentals, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 24,518 | 183 | 2,552 |
Hilton Worldwide Holdings, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (28,797) | (156) | (2,461) |
Kroger Co. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 15,711 | 38 | 368 |
Gates Industrial Corp. PLC | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (9,953) | (14) | (239) |
Exxon Mobil Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (98,107) | (142) | (3,026) |
Fox Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (116,012) | (683) | (5,572) |
Encore Wire Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (16,292) | (23) | (1,285) |
Hormel Foods Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 3,977 | 11 | 80 |
Quanta Services, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 21,563 | 77 | 1,580 |
Silgan Holdings, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 3,593 | 22 | 294 |
Crocs, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (15,674) | (52) | (2,458) |
Inspire Medical Systems, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (82,909) | (879) | (24,368) |
MSA Safety, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 13,358 | 223 | 1,998 |
Five9, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (103,165) | (318) | (1,572) |
Coca-Cola Co. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 15,050 | 100 | 459 |
Spotify Technology SA | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 17,154 | 17 | 107 |
Lantheus Holdings, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 2,739 | 4 | 154 |
Qualys, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 4,839 | 33 | (100) |
Chewy, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (79,964) | (67) | 1,326 |
Tenet Healthcare Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 7,883 | 41 | 1,063 |
Universal Display Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (86,752) | (1,007) | 6,047 |
Helmerich & Payne, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 2,818 | 40 | 383 |
Mattel, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 18,146 | 149 | 475 |
Apellis Pharmaceuticals, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (3,879) | (4) | (226) |
Hubbell Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (39,015) | (262) | (6,251) |
Schedule of Total Return Swap Contracts as of March 31, 2024 (Unaudited) (Continued) |
Gotham Short Strategies ETF
26 |
The accompanying notes are an integral part of these financial statements.
Reference Entity | Counterparty | Long/ Short | Maturity Date | Financing Rate | Payment Frequency | Notional Amount | Upfront Payments (Receipts) | Value/ Unrealized Appreciation (Depreciation) |
Neogen Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (44,547) | (384) | 4,939 |
News Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 10,786 | 48 | 53 |
Monolithic Power Systems, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 8,129 | 10 | 208 |
Evergy, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (363,625) | (6,694) | (24,373) |
Braze, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (89) | 0 | 12 |
MP Materials Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (23,738) | (551) | 3,921 |
Paramount Global | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 7,580 | 20 | 458 |
CGI, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 773 | 3 | (10) |
Wingstop, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (246,954) | (2,594) | (94,165) |
nVent Electric PLC | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (18,398) | (14) | (369) |
Paycom Software, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (60,499) | (74) | (2,555) |
Amkor Technology, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 451 | 1 | 14 |
Stericycle, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (33,866) | (84) | 312 |
Jabil, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 9,510 | 13 | 444 |
Ingredion, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 15,074 | 233 | 1,495 |
Freshworks, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (710) | (1) | (16) |
Viatris, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 48 | 0 | (2) |
AES Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (148,586) | (353) | (17,106) |
Goodyear Tire & Rubber Co. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 19,936 | 357 | (923) |
Diamondback Energy, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 4,360 | 19 | 606 |
BRP, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 67 | 0 | 0 |
Alcon, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (73,545) | (304) | (224) |
Wynn Resorts Ltd. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 7,156 | 38 | (96) |
Under Armour, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 414 | 2 | (82) |
ATS Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (4,957) | (31) | 776 |
Chart Industries, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 3,953 | 6 | 425 |
HB Fuller Co. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 5,502 | 96 | 518 |
Globus Medical, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (82,659) | (1,078) | (6,956) |
PNM Resources, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (89,884) | (1,940) | 12,370 |
Trex Co., Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 8,579 | 27 | 409 |
Crane Co. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 270 | 1 | 28 |
CACI International, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (57,582) | (354) | (3,018) |
Bentley Systems, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (16,293) | (11) | (230) |
FTI Consulting, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 6,309 | 22 | 30 |
Lattice Semiconductor Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (148,481) | (799) | (10,218) |
GlobalFoundries, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 417 | 2 | (10) |
Ralph Lauren Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 8,825 | 42 | 335 |
Ameren Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (77,066) | (340) | (3,375) |
TE Connectivity Ltd. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 21,205 | 187 | 728 |
McCormick & Co., Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 2,227 | 1 | (4) |
WD-40 Co. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 2,280 | 25 | (157) |
Carlisle Cos., Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 13,715 | 54 | 1,333 |
Southwestern Energy Co. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (81,758) | (215) | (5,913) |
Kinder Morgan, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (160,163) | (1,271) | (9,627) |
Capri Holdings Ltd. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (139,388) | (1,375) | 11,638 |
GFL Environment, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (87,320) | (1,171) | (7,486) |
Shockwave Medical, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (365,357) | (2,174) | (109,989) |
EchoStar Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (28,229) | (56) | (137) |
Alamos Gold, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (49,885) | (77) | (3,739) |
Schedule of Total Return Swap Contracts as of March 31, 2024 (Unaudited) (Continued) |
Gotham Short Strategies ETF
27 |
The accompanying notes are an integral part of these financial statements.
Reference Entity | Counterparty | Long/ Short | Maturity Date | Financing Rate | Payment Frequency | Notional Amount | Upfront Payments (Receipts) | Value/ Unrealized Appreciation (Depreciation) |
MGM Resorts International | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (48,296) | (49) | (2,260) |
Zoetis, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (11,322) | (428) | 11,162 |
Copart, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (81,436) | (234) | (4,847) |
Samsara, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 7,180 | 100 | 635 |
Ormat Technologies, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (159,981) | (3,096) | (797) |
Watts Water Technologies, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (27,206) | (84) | (1,059) |
Broadcom, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (498,354) | (1,258) | (13,058) |
Northrop Grumman Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (336,019) | (2,395) | (22,117) |
Knight-Swift Transportation Holdings, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (38,679) | (340) | (843) |
Civitas Resources, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (82,211) | (879) | (12,543) |
Guidewire Software, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 350 | 1 | 1 |
West Fraser Timber Co. Ltd. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 2,334 | 8 | 160 |
Esab Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 3,317 | 9 | 316 |
Okta, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 5,649 | 19 | (220) |
IDEXX Laboratories, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 7,559 | 11 | 92 |
United States Steel Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (256,465) | (1,828) | 32,169 |
Middleby Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 8,361 | 34 | 439 |
Veeva Systems, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (127,893) | (815) | (8,399) |
ASGN, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 2,200 | 11 | 174 |
Haemonetics Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (92,946) | (311) | (10,007) |
Maplebear, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (52,020) | (65) | 187 |
Qorvo, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 21,473 | 132 | 532 |
Alliant Energy Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (22,478) | (121) | (797) |
Polaris, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 4,606 | 30 | 458 |
Balchem Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 930 | 1 | (1) |
Evolent Health, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 3,607 | 13 | (112) |
Insulet Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (3,428) | (2) | (139) |
Textron, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 15,828 | 111 | 1,557 |
Electronic Arts, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 5,705 | 11 | (42) |
SS&C Technologies Holdings, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 2,832 | 6 | 58 |
AZEK Co., Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 8,437 | 93 | 1,977 |
Lamb Weston Holdings, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (92,575) | (928) | 777 |
J M Smucker Co. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (263,320) | (671) | (7,915) |
Rollins, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (19,896) | (33) | 174 |
Fluor Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (109,421) | (290) | (10,773) |
AutoNation, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (10,763) | (49) | (1,697) |
AptarGroup, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 4,892 | 27 | 154 |
Texas Instruments, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (547,542) | (9,331) | (82,207) |
Joby Aviation, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (13,711) | (56) | 471 |
National Fuel Gas Co. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (43,997) | (320) | (4,341) |
CAE, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (4,376) | (5) | (103) |
PPG Industries, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 11,882 | 111 | 235 |
Snap, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (157,161) | (912) | (4,387) |
Church & Dwight Co., Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (72,913) | (461) | (2,436) |
Skyline Champion Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (119,949) | (1,219) | (21,724) |
Nordson Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 3,294 | 9 | 115 |
NewMarket Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 12,692 | 182 | 2,217 |
Zebra Technolgies Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (428,648) | (5,476) | (105,056) |
Schedule of Total Return Swap Contracts as of March 31, 2024 (Unaudited) (Continued) |
Gotham Short Strategies ETF
28 |
The accompanying notes are an integral part of these financial statements.
Reference Entity | Counterparty | Long/ Short | Maturity Date | Financing Rate | Payment Frequency | Notional Amount | Upfront Payments (Receipts) | Value/ Unrealized Appreciation (Depreciation) |
Alkermes PLC | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 13,968 | 63 | (1,254) |
Thor Industries, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (54,328) | (87) | (4,512) |
DaVita, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 12,425 | 62 | 1,226 |
Sempra Energy | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (159,032) | (3,078) | (1,531) |
EOG Resources, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (15,085) | (32) | (631) |
Lancaster Colony Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 1,869 | 11 | 145 |
Sonoco Products Co. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 3,066 | 45 | 105 |
Informatica, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 5,635 | 22 | 413 |
Pilgrim’s Pride Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 3,604 | 11 | 162 |
EBAY, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (73,311) | (166) | (1,996) |
Mondelez International, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 2,520 | 14 | (61) |
Ollies Bargain Outlet Holdings, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (192,639) | (2,030) | (8,883) |
Itron, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 6,661 | 21 | 59 |
Netflix, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 5,466 | 0 | 15 |
Intuitive Surgical, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (448,976) | (5,218) | (67,537) |
ITT, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (408) | 0 | 0 |
Boeing Co. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 18,334 | 38 | 948 |
Aramark | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 20,910 | 123 | 1,237 |
Parsons Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 5,889 | 28 | 315 |
Duke Energy Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 7,060 | 44 | 363 |
Snowflake, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (367,802) | (916) | 6,939 |
MDU Resources Group, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 12,323 | 201 | 3,222 |
AMETEK, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (172,292) | (955) | (9,696) |
Range Resources Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (26,683) | (68) | (1,356) |
Choice Hotels International, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (16,046) | (49) | (590) |
Casella Waste Systems, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (147,119) | (2,386) | (27,330) |
Henry Schein, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (181,021) | (517) | 120 |
Schneider National, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (77,565) | (1,247) | 2,186 |
APA Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (34,242) | (72) | (2,549) |
Zoom Video Communications, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 20,788 | 207 | (806) |
Southwest Gas Holdings, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 4,187 | 10 | 241 |
Skyworks Solutions, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 17,331 | 118 | 939 |
Charles River Laboratories International, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (164,196) | (776) | (15,792) |
TD SYNNEX Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 1,131 | 0 | 11 |
NextEra Energy, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (8,947) | (69) | (642) |
Coty, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 60 | 0 | 1 |
Integer Holdings Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (57,990) | (125) | (1,273) |
Atlassian Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (3,317) | (4) | (23) |
Griffon Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 440 | 1 | 9 |
Cleveland-Cliffs, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 33,974 | 435 | 6,555 |
Sanmina Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 249 | 2 | (2) |
Cummins, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 13,259 | 82 | 1,829 |
Knife River Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 6,324 | 26 | 607 |
TKO Group Holdings, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (47,958) | (314) | 467 |
Portland General Electric Co. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (146,370) | (2,713) | (3,245) |
Zurn Elkay Water Solutions Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 10,911 | 147 | 1,217 |
Schedule of Total Return Swap Contracts as of March 31, 2024 (Unaudited) (Continued) |
Gotham Short Strategies ETF
29 |
The accompanying notes are an integral part of these financial statements.
Reference Entity | Counterparty | Long/ Short | Maturity Date | Financing Rate | Payment Frequency | Notional Amount | Upfront Payments (Receipts) | Value/ Unrealized Appreciation (Depreciation) |
Workiva, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (9,667) | (40) | 142 |
Insmed, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (3,093) | (3) | (87) |
Nuvalent, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (601) | (1) | 24 |
Medtronic PLC | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 12,027 | 62 | 353 |
Ulta Beauty, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 6,275 | 4 | 21 |
FMC Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (411,948) | (4,739) | (66,052) |
Smartsheet, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (4,120) | (8) | (55) |
Fluence Energy, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 2,774 | 55 | (1,055) |
Cytokinetics, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (2,103) | (7) | (94) |
JFrog Ltd. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 1,238 | 5 | 53 |
Littelfuse, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 4,605 | 29 | 81 |
Las Vegas Sands Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 8,065 | 149 | 405 |
Pinnacle West Capital Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (32,283) | (457) | (2,025) |
Corteva, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 23,760 | 165 | 1,647 |
F5, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 5,119 | 39 | 115 |
Palantir Technologies, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 36,839 | 306 | 3,001 |
Paylocity Holding Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (19,076) | (99) | 189 |
Canadian Natural Resources Ltd. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 10,227 | 32 | 691 |
Royal Gold, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 4,629 | 18 | 566 |
Brookfield Renewable Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (83,464) | (1,207) | 19 |
ManpowerGroup, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 4,037 | 57 | 96 |
Verra Mobility Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (5,893) | (5) | (51) |
Black Hills Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 4,641 | 87 | 309 |
HF Sinclair Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (30,125) | (147) | (1,298) |
Marathon Oil Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 11,251 | 31 | 1,181 |
Doximity, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 27 | 0 | 0 |
BWX Technologies, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 8,928 | 23 | 34 |
ADT, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 2,305 | 6 | 8 |
Atkore, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (27,031) | (337) | (8,383) |
Algonquin Power & Utilities Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (129,718) | (2,268) | (12,358) |
Target Corp. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 32,075 | 95 | 1,371 |
Hologic, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (120,760) | (699) | (5,312) |
Lowe’s Cos., Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (84,825) | (1,063) | (16,679) |
Asana, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (46) | 0 | 7 |
Squarespace, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (70,803) | (160) | (5,869) |
Rush Enterprises, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (72,038) | (478) | (6,911) |
Endeavor Group Holdings, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (319,644) | (5,357) | (12,742) |
NOV, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (150,265) | (2,838) | (1,465) |
Public Service Enterprise Group, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 6,077 | 21 | 351 |
Vaxcyte, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (1,230) | (1) | (14) |
Take-Two Interactive Software, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (88,649) | (218) | (2,039) |
DigitalOcean Holdings, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (2,520) | (4) | 105 |
NRG Energy, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 31,611 | 234 | 6,219 |
Signet Jewelers Ltd. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 8,306 | 53 | 147 |
Summit Materials, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 4,368 | 17 | 247 |
Waste Connections, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 10,665 | 51 | 230 |
Simply Good Foods Co. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 6,193 | 76 | (1,100) |
Kellanova | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 20,510 | 122 | 880 |
Schedule of Total Return Swap Contracts as of March 31, 2024 (Unaudited) (Continued) |
Gotham Short Strategies ETF
30 |
The accompanying notes are an integral part of these financial statements.
Reference Entity | Counterparty | Long/ Short | Maturity Date | Financing Rate | Payment Frequency | Notional Amount | Upfront Payments (Receipts) | Value/ Unrealized Appreciation (Depreciation) |
Amer Sports, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (3,847) | (2) | 20 |
Advanced Micro Devices, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (461,152) | (3,999) | (83,582) |
Juniper Networks, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (66,671) | (414) | (332) |
CF Industries Holdings, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (305,547) | (1,253) | (9,103) |
Verizon Communications, Inc. | Morgan Stanley & Co. Incorporated | Long | 11/07/2028 | 0.25% | Day | 7,427 | 32 | 353 |
Amgen, Inc. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (485,334) | (4,046) | 25,050 |
Fair Isaac Corp. | Morgan Stanley & Co. Incorporated | Short | 11/07/2028 | 0.25% | Day | (131,209) | (747) | 5,443 |
| | | | | | | $(170,123) | $(1,354,962) |
Schedule of Total Return Swap Contracts as of March 31, 2024 (Unaudited) (Continued) |
Gotham ETFs
31 |
The accompanying notes are an integral part of these financial statements.
|
| Gotham Enhanced 500 ETF |
| Gotham 1000 Value ETF |
| Gotham Short Strategies ETF | |
| |||||||
Assets: | | | | | | | |
Investments in securities, at value (Cost $350,594,441, $162,960,860, and $12,147,254 respectively) (Note 2) | | $415,250,826 | (1) | $183,834,446 | (2) | $13,012,985 | |
Cash | | 70,306 | | 80,641 | | 2,472,706 | |
Receivables: | | | | | | | |
Investment securities sold | | 4,268,855 | | 3,594,580 | | 1,003,072 | |
Unrealized appreciation on swap agreements | | — | | — | | 315,166 | |
Dividends and interest receivable | | 313,033 | | 175,041 | | 11,582 | |
Securities lending income, net (Note 5) | | 5,281 | | 8,323 | | — | |
Upfront receipts on swap agreements | | — | | — | | 10,351 | |
Total assets | | 419,908,301 | | 187,693,031 | | 16,825,862 | |
| | | | | | | |
Liabilities: | | | | | | | |
Collateral received for securities loaned (Note 5) | | 12,894,685 | | 19,566,232 | | — | |
Payables: | | | | | | | |
Investment securities purchased | | 4,195,086 | | 1,265,477 | | 218,073 | |
Fund shares redeemed | | — | | 2,371,100 | | — | |
Unrealized depreciation on swap agreements | | — | | — | | 1,500,005 | |
Management fees (Note 4) | | 167,561 | | 67,967 | | 17,962 | |
Upfront payments on swap agreements | | — | | — | | 180,474 | |
Total liabilities | | 17,257,332 | | 23,270,776 | | 1,916,514 | |
Net Assets | | $402,650,969 | | $164,422,255 | | $14,909,348 | |
| | | | | | | |
Components of Net Assets: | | | | | | | |
Paid-in capital | | $347,102,547 | | $136,188,387 | | $30,748,186 | |
Total distributable (accumulated) earnings (losses) | | 55,548,422 | | 28,233,868 | | (15,838,838 | ) |
Net assets | | $402,650,969 | | $164,422,255 | | $14,909,348 | |
| | | | | | | |
Net Asset Value (unlimited shares authorized): | | | | | | | |
Net assets | | $402,650,969 | | $164,422,255 | | $14,909,348 | |
Shares of beneficial interest issued and outstanding | | 14,000,000 | | 6,900,000 | | 1,842,414 | |
Net asset value | | $28.76 | | $23.83 | | $8.09 | |
(1)Includes loaned securities with a value of $12,662,356.
(2)Includes loaned securities with a value of $19,245,906
Gotham ETFs
32 |
The accompanying notes are an integral part of these financial statements.
|
| Gotham Enhanced 500 ETF |
| Gotham |
| Gotham | |
| |||||||
Investment Income: | | | | | | | |
Dividend income (net of witholding tax of $237, $18,394, and $955, respectively) | | $2,970,013 | | $1,504,962 | | $123,388 | |
Securities lending income, net (Note 5) | | 15,302 | | 87,477 | | — | |
Interest income | | 10,861 | | 4,192 | | 27,050 | |
Total investment income | | 2,996,176 | | 1,596,631 | | 150,438 | |
| | | | | | | |
Expenses: | | | | | | | |
Management fees (Note 4) | | 1,153,174 | | 471,111 | | 116,655 | |
Administration expense | | — | | — | | 3,506 | |
Broker interest expense | | — | | — | | 1,146 | |
Dividend expense | | — | | — | | 24,527 | |
Registration expense | | — | | — | | 2,377 | |
Printing and mailing expense | | — | | — | | 2,322 | |
Legal expense | | — | | — | | 2,125 | |
Audit expense | | — | | — | | 1,902 | |
Transfer agent fees | | — | | — | | 1,568 | |
Custody expense | | — | | — | | 476 | |
Directors expense | | — | | — | | 164 | |
Insurance expense | | — | | — | | 95 | |
Other expenses | | — | | — | | 1,163 | |
Total expenses | | 1,153,174 | | 471,111 | | 158,026 | |
Less: Management fee waiver (Note 4) | | (266,117 | ) | (108,718 | ) | (15,695 | ) |
Net expenses | | 887,057 | | 362,393 | | 142,331 | |
Net investment income (loss) | | 2,109,119 | | 1,234,238 | | 8,107 | |
| | | | | | | |
Realized and Unrealized Gain (Loss) | | | | | | | |
Net realized gain (loss): | | | | | | | |
Investments | | 13,252,837 | | 9,549,424 | | 2,974,376 | |
Foreign currency transactions | | — | | 2 | | 127 | |
Forward contracts | | — | | — | | (1 | ) |
Swaps | | — | | — | | (1,353,426 | ) |
Change in net unrealized appreciation/depreciation on: | | | | | | | |
Investments | | 59,014,356 | | 17,653,182 | | (114,175 | ) |
Foreign currency translation | | — | | — | | 14 | |
Swaps | | — | | — | | (1,921,091 | ) |
Net realized and unrealized gain (loss) | | 72,267,193 | | 27,202,608 | | (414,176 | ) |
Net increase (decrease) in net assets resulting from operations | | $74,376,312 | | $28,436,846 | | $(406,069 | ) |
(1)The Fund reorganized into Tidal ETF Trust on November 6th, 2023. The Fund converted from a mutual fund to an exchange traded fund upon reorganization. See Note 1 in the Notes to Financial Statements for additional information about the reorganization.
Gotham Enhanced 500 ETF
33 |
The accompanying notes are an integral part of these financial statements.
|
| Six-Months Ended |
| Year Ended September 30, 2023 | |
| |||||
Increase (Decrease) in Net Assets From: | | | | | |
| |||||
Operations: | | | | | |
Net investment income (loss) | | $2,109,119 | | $3,797,835 | |
Net realized gain (loss) | | 13,252,837 | | 1,696,811 | |
Change in net unrealized appreciation/depreciation | | 59,014,356 | | 49,766,835 | |
Net increase (decrease) in net assets resulting from operations | | 74,376,312 | | 55,261,481 | |
| | | | | |
Distributions to Shareholders: | | | | | |
Distributions to shareholders | | (3,836,259 | ) | (3,481,219 | ) |
| | | | | |
Capital Share Transactions: | | | | | |
Net increase (decrease) in net assets derived from net change in outstanding shares(1) | | 38,620,741 | | (20,553,987 | ) |
Total increase (decrease) in net assets | | 109,160,794 | | 31,226,275 | |
| | | | | |
Net Assets: | | | | | |
Beginning of period/year | | 293,490,175 | | 262,263,900 | |
End of period/year | | $402,650,969 | | $293,490,175 | |
(1)Summary of share transactions is as follows:
| | Six-Months Ended | | Year Ended | | ||||
| | Shares | | Value | | Shares | | Value | |
Shares sold | | 2,625,000 | | $65,600,555 | | 1,400,000 | | $33,201,310 | |
Shares redeemed | | (1,000,000 | ) | (26,980,972 | ) | (2,350,000 | ) | (53,755,310 | ) |
Variable Fees | | | 1,158 | | | 13 | | ||
Net increase (decrease) | | 1,625,000 | | $38,620,741 | | (950,000 | ) | $(20,553,987 | ) |
Gotham 1000 Value ETF
34 |
The accompanying notes are an integral part of these financial statements.
STATEMENTS OF CHANGES IN NET ASSETS |
|
| Six-Months Ended |
| Year Ended September 30, 2023 | |
| |||||
Increase (Decrease) in Net Assets From: | | | | | |
| |||||
Operations: | | | | | |
Net investment income (loss) | | $1,234,238 | | $1,989,766 | |
Net realized gain (loss) | | 9,549,426 | | 2,212,107 | |
Change in net unrealized appreciation/depreciation | | 17,653,182 | | 6,866,544 | |
Net increase (decrease) in net assets resulting from operations | | 28,436,846 | | 11,068,417 | |
| | | | | |
Distributions to Shareholders: | | | | | |
Distributions to shareholders | | (2,397,237 | ) | (432,542 | ) |
| | | | | |
Capital Share Transactions: | | | | | |
Net increase (decrease) in net assets derived from net change in outstanding shares(1) | | 2,029,645 | | 92,348,935 | |
Total increase (decrease) in net assets | | 28,069,254 | | 102,984,810 | |
| | | | | |
Net Assets: | | | | | |
Beginning of period/year | | 136,353,001 | | 33,368,191 | |
End of period/year | | $164,422,255 | | $136,353,001 | |
(1)Summary of share transactions is as follows:
| | Six-Months Ended | | Year Ended | | ||||
| | Shares | | Value | | Shares | | Value | |
Shares sold | | 900,000 | | $19,372,030 | | 5,750,000 | | $111,175,695 | |
Shares redeemed | | (800,000 | ) | (17,342,385 | ) | (950,000 | ) | (18,826,760 | ) |
Variable fees | | — | | — | | — | | — | |
Net increase (decrease) | | 100,000 | | $2,029,645 | | 4,800,000 | | $92,348,935 | |
Gotham Short Strategies ETF
35 |
The accompanying notes are an integral part of these financial statements.
STATEMENTS OF CHANGES IN NET ASSETS |
|
| Six-Months Ended |
| Year Ended September 30, 2023 | |
| |||||
Increase (Decrease) in Net Assets From: | | | | | |
| |||||
Operations: | | | | | |
Net investment income (loss) | | $8,107 | | $11,088 | |
Net realized gain (loss) | | 1,621,076 | | (1,802,059 | ) |
Change in net unrealized appreciation/depreciation | | (2,035,252 | ) | (224,677 | ) |
Net increase (decrease) in net assets resulting from operations | | (406,069 | ) | (2,015,648 | ) |
| | | | | |
Distributions to Shareholders: | | | | | |
Distributions to shareholders | | (46,249 | ) | — | |
| | | | | |
Capital Share Transactions: | | | | | |
Net increase (decrease) in net assets derived from net change in outstanding shares (1) | | (3,763,491 | ) | 2,401,622 | |
Total increase (decrease) in net assets | | (4,215,809 | ) | 385,974 | |
| | | | | |
Net Assets: | | | | | |
Beginning of period/year | | 19,125,157 | | 18,739,183 | |
End of period/year | | $14,909,348 | | $19,125,157 | |
(1)Summary of share transactions is as follows:
(2)The Fund reorganized into Tidal ETF Trust on November 6th, 2023. The Fund converted from a Mutual Fund to an ETF upon reorganization. See Note 1 in the Notes to Financial Statements for additional information about the reorganization.
(3)Includes redemption fees of $7,497.
| | Six-Months Ended | | Year Ended | | ||||
| | Shares | | Value | | Shares | | Value | |
Shares sold | | 130,773 | | $1,104,538 | | 3,327,047 | | $27,711,384 | |
Shares redeemed | | (591,932 | ) | (4,868,029 | ) | (3,100,145 | ) | (25,309,762 | )(3) |
Net increase (decrease) | | (461,159 | ) | $(3,763,491 | ) | 226,902 | | $2,401,622 | |
Gotham Enhanced 500 ETF
36 |
The accompanying notes are an integral part of these financial statements.
|
| Six-Months Ended |
| Year Ended |
| Year Ended |
| Period Ended | |
| |||||||||
Net asset value, beginning of period/year | | $23.72 | | $19.68 | | $23.10 | | $20.00 | |
| |||||||||
Income (Loss) from Investment Operations: | | | | | | | | | |
Net investment income (loss)(2) | | 0.15 | | 0.30 | | 0.28 | | 0.19 | |
Net realized and unrealized gain (loss) on investments(3) | | 5.17 | | 4.00 | | (3.64) | | 2.91 | |
Total from investment operations | | 5.32 | | 4.30 | | (3.36) | | 3.10 | |
| | | | | | | | | |
Less Distributions: | | | | | | | | | |
From net investment income | | (0.28) | | (0.26) | | (0.06) | | — | |
Total distributions | | (0.28) | | (0.26) | | (0.06) | | — | |
| | | | | | | | | |
Net asset value, end of period/year | | $28.76 | | $23.72 | | $19.68 | | $23.10 | |
Total Return(5) | | 22.56 | %(4) | 22.01 | % | (14.62 | )% | 15.53 | %(4) |
| | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | |
Net assets, end of period/year (millions) | | $402.7 | | $293.5 | | $262.3 | | $87.8 | |
Ratio of expenses to average net assets | | | | | | | | | |
Before management fees waived | | 0.65 | %(7) | 0.65 | % | 0.65 | % | 0.65 | %(7) |
After management fees waived | | 0.50 | %(7) | 0.50 | % | 0.50 | % | 0.50 | %(7) |
Ratio of net investment income (loss) to average net assets | | | | | | | | | |
Before management fees waived | | 1.04 | %(7) | 1.17 | % | 1.05 | % | 0.92 | %(7) |
After management fees waived | | 1.19 | %(7) | 1.32 | % | 1.20 | % | 1.07 | %(7) |
Portfolio turnover rate(6) | | 75 | %(4) | 134 | % | 59 | % | 36 | %(4) |
(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)Net realized and unrealized gain (loss) per share in the caption are balancing amounts necessary to reconcile the change in the net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statements of Operations due to share transactions for the period.
(4)Not annualized.
(5)The total return is based on the Fund’s net asset value.
(6)Excludes the impact of in-kind transactions.
(7)Annualized.
Gotham 1000 Value ETF
37 |
The accompanying notes are an integral part of these financial statements.
FINANCIAL HIGHLIGHTS |
|
| Six-Months Ended |
| Year Ended |
| Period Ended | |
| |||||||
Net asset value, beginning of period/year | | $20.05 | | $16.68 | | $20.00 | |
| | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | |
Net investment income (loss)(2) | | 0.18 | | 0.35 | | 0.13 | |
Net realized and unrealized gain (loss) on investments(3) | | 3.95 | | 3.20 | | (3.45 | ) |
Total from investment operations | | 4.13 | | 3.55 | | (3.32 | ) |
| | | | | | | |
Less Distributions: | | | | | | | |
From net investment income | | (0.35 | ) | (0.18 | ) | — | |
Total distributions | | (0.35 | ) | (0.18 | ) | — | |
| | | | | | | |
Net asset value, end of period/year | | $23.83 | | $20.05 | | $16.68 | |
Total Return(5) | | 20.76 | %(4) | 21.37 | % | (16.58 | )%(4) |
| | | | | | | |
Ratios/Supplemental Data: | | | | | | | |
Net assets, end of period/year (millions) | | $164.4 | | $136.4 | | $33.4 | |
Ratio of expenses to average net assets | | | | | | | |
Before management fees waived | | 0.65 | %(7) | 0.65 | % | 0.65 | %(7) |
After management fees waived | | 0.50 | %(7) | 0.50 | % | 0.50 | %(7) |
Ratio of net investment income (loss) to average net assets | | | | | | | |
Before management fees waived | | 1.55 | %(7) | 1.63 | % | 2.07 | %(7) |
After management fees waived | | 1.70 | %(7) | 1.78 | % | 2.22 | %(7) |
Portfolio turnover rate(6) | | 90 | %(4) | 155 | % | 52 | %(4) |
(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)Net realized and unrealized gain (loss) per share in the caption are balancing amounts necessary to reconcile the change in the net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statements of Operations due to share transactions for the period.
(4)Not annualized.
(5)The total return is based on the Fund’s net asset value.
(6)Excludes the impact of in-kind transactions.
(7)Annualized.
Gotham Short Strategies ETF
38 |
The accompanying notes are an integral part of these financial statements.
FINANCIAL HIGHLIGHTS |
| Six Months |
| Year Ended |
| Year Ended |
| Year Ended |
| Year Ended |
| Year Ended | | |
| |||||||||||||
Net asset value, beginning of period/year | $8.30 | | | $9.02 | | $5.90 | | $7.42 | | $8.78 | | $9.05 | |
| | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | |
Net investment income (loss)(4) | — | | | 0.00 | (2) | 0.01 | | (0.02 | ) | 0.01 | | 0.03 | |
Net realized and unrealized gain (loss) | (0.19 | ) | (0.72 | ) | 3.22 | | (1.50 | ) | (1.35 | ) | (0.09 | ) | |
Total from investment operations | (0.19 | ) | (0.72 | ) | 3.23 | | (1.52 | ) | (1.34 | ) | (0.06 | ) | |
| | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | |
From net investment income | (0.02 | ) | — | | (0.12 | ) | (0.00 | )(3) | (0.02 | ) | — | | |
Net realized capital gains | — | | | — | | — | | — | | — | | (0.21 | ) |
Return of capital | — | | | — | | — | | — | | (0.00 | )(3) | — | |
Total dividends & distributions | (0.02 | ) | — | | (0.12 | ) | (0.00 | )(3) | (0.02 | ) | (0.21 | ) | |
| | | | | | | | | | | | | |
Redemption fees | — | | | 0.00 | (2) | 0.01 | | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) |
| | | | | | | | | | | | | |
Net asset value, end of period/year | $8.09 | | | $8.30 | | $9.02 | | $5.90 | | $7.42 | | $8.78 | |
Total Return(6) | (2.26 | )%(7) | (7.98 | )% | 55.96 | % | (20.47 | )% | (15.27 | )% | (0.81 | )% | |
| | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | |
Net assets, end of period/year (millions) | $14.9 | | | $19.1 | | $18.7 | | $1.5 | | $37.6 | | $32.1 | |
Ratio of expenses to average net assets | | | | | | | | | | | | | |
Before management fees waived | 1.83 | %(8)(10)(11) | 2.23 | %(8) | 3.52 | %(8) | 2.92 | %(8) | 1.88 | %(8) | 2.20 | %(8) | |
After management fees waived | 1.65 | %(8)(10)(11) | 1.35 | %(8) | 1.35 | %(8) | 1.35 | %(8) | 1.35 | %(8) | 1.35 | %(8) | |
Ratio of net investment income (loss) to average net assets | | | | | | | | | | | | | |
Before management fees waived(13) | (0.09 | )%(8)(10)(12) | | | | | | | | | | ||
After management fees waived | 0.09 | %(8)(10) | 0.05 | %(8) | 0.09 | %(8) | (0.25 | )%(8) | 0.12 | %(8) | 0.39 | %(8) | |
Portfolio turnover rate | 207 | %(7)(9) | 670 | % | 717 | % | 459 | % | 692 | % | 616 | % |
(1)The Fund reorganized into Tidal ETF Trust on November 6th, 2023. The Fund converted from a mutual fund to an ETF upon reorganization. See Note 1 in the Notes to Financial Statements for additional information about the reorganization.
(2)Amount is less than $0.005 per share.
(3)Amount is less than $(0.005) per share.
(4)Calculated using average shares outstanding method.
(5)Net realized and unrealized gain (loss) per share in the caption are balancing amounts necessary to reconcile the change in the net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statements of Operations due to share transactions for the period.
(6)The total return is based on the Fund’s net asset value.
(7)Not annualized.
(8)During the period, certain fees were reduced. If such fee reductions had not occurred, the ratios would have been as shown.
(9)Does not include in-kind transactions, when applicable.
(10)Annualized.
(11)The ratio of expenses to average net assets includes dividends and broker interest on swap agreements. The expense ratio excluding dividends and broker interest on swap agreements before and after management fees waived were 1.53% and 1.35%, respectively.
(12)The ratio of net investment income (loss) to average net assets includes dividends and broker interest on swap agreements.
(13)The fund did not report this ratio in the audited financial highlights of previous fiscal year end annual reports.
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Gotham ETFs
NOTE 1 – ORGANIZATION |
The Gotham Enhanced 500 ETF, Gotham 1000 Value ETF, and Gotham Short Strategies 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”). Tidal Investments LLC (f/k/a Toroso Investments, LLC) (“Tidal Investments” 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 Short Strategies ETF became a series of the Trust pursuant to a reorganization that took place after the close of business on November 3, 2023 (the “Reorganization”), which resulted in the conversion of the Gotham Short Strategies Fund (the “Predecessor Fund”), a series of FundVantage Trust organized as a mutual fund, to the Gotham Short Strategies ETF. The Gotham Short Strategies ETF was established as a “shell” fund organized solely in connection with the Reorganization for the purpose of acquiring the assets and liabilities of the Predecessor Fund and continuing the operations of the Predecessor Fund as an ETF. The Gotham Short Strategies ETF had no performance history prior to the Reorganization. The Predecessor Fund was deemed to be the accounting survivor of the Reorganization for financial reporting purposes and as a result, the financial statements of the Gotham Short Strategies ETF reflect the operations of the Predecessor Fund for the period prior to the Reorganization. The Gotham Short Strategies ETF commenced operations as a series of the Trust on November 6, 2023.
The Reorganization was accomplished by a tax-free exchange of shares (with an exception for fractional mutual fund shares) of the Predecessor Fund for shares of the Gotham Short Strategies ETF of equivalent aggregate net asset value. Fees and expenses incurred to affect the Reorganization were borne by Gotham. The Reorganization did not result in a material change to the Predecessor Fund’s investment portfolio as compared to the Gotham Short Strategies ETF. There are no material differences in accounting policies of the Predecessor Fund as compared to the Gotham Short Strategies ETF. The Gotham Short Strategies ETF did not purchase or sell securities following the Reorganization for purposes of realigning its investment portfolio. Accordingly, the acquisition of the Predecessor Fund did not affect the Gotham Short Strategies ETF’s portfolio turnover ratios for the period ended March 31, 2024.
The Gotham Enhanced 500 ETF commenced operations on December 28, 2020, the Gotham 1000 Value ETF commenced operations on June 7, 2022, and the Gotham Short Strategies ETF commenced operations on January 31, 2008.
The investment objective of each of the Gotham Enhanced 500 ETF and the Gotham 1000 Value ETF is to seek long-term capital appreciation. The investment objective of the Gotham Short Strategies ETF is to seek long-term capital appreciation and to provide positive returns in down markets.
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.
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Gotham ETFs
Swap contracts, such as credit default swaps, total return swaps, interest rate swaps, currency swaps and swaptions, are priced by an approved independent pricing service. The independent pricing service includes observable market data inputs in an evaluated valuation methodology.
Under Rule 2a-5 of the 1940 Act, a fair value will be determined for securities for which quotations are not readily available 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 Fund may cause the net asset value (“NAV”) of its shares to differ significantly from the NAV 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. |
Level 3 – | Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Funds’ 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, 2024:
| | Gotham Enhanced 500 ETF | | ||||||
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Assets: | | | | | | | | | |
Common Stocks(a) | | $399,460,107 | | $— | | $— | | $399,460,107 | |
Real Estate Investment Trusts | | 2,681,336 | | — | | — | | 2,681,336 | |
Investments Purchased with Proceeds from | | — | | — | | — | | 12,894,685 | |
Money Market Funds | | 214,698 | | — | | — | | 214,698 | |
Total Assets | | $402,356,141 | | $— | | $— | | $415,250,826 | |
| | Gotham 1000 Value ETF | | ||||||
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Assets: | | | | | | | | | |
Common Stocks(a) | | $164,268,214 | | $— | | $— | | $164,268,214 | |
Investments Purchased with Proceeds from | | — | | — | | — | | 19,566,232 | |
Total Assets | | $164,268,214 | | $— | | $— | | $183,834,446 | |
NOTES TO FINANCIAL STATEMENTS March 31, 2024 (Unaudited) (Continued) |
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Gotham ETFs
| | Gotham Short Strategies ETF | | ||||||
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Assets: | | | | | | | | | |
Common Stocks(a) | | $13,012,985 | | $— | | $— | | $13,012,985 | |
Total Assets | | $13,012,985 | | $— | | $— | | $13,012,985 | |
| | | | | | | | | |
Other Financial Instruments(c): | | | | | | | | | |
Assets: | | | | | | | | | |
Total Return Swaps | | $315,166 | | $— | | $— | | $315,166 | |
Total Assets | | $315,166 | | $— | | $— | | $315,166 | |
| | | | | | | | | |
Liabilities: | | | | | | | | | |
Total Return Swaps | | $(1,500,005 | ) | $— | | $— | | $(1,500,005 | ) |
Total Liabilities | | $(1,500,005 | ) | $— | | $— | | $(1,500,005 | ) |
(a)See Schedule of Investments for the industry breakout.
(b)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.
(c)The fair value of the Total Return Swaps represents the net unrealized appreciation (depreciation) as of March 31, 2024.
B.Derivative Instruments. Total Return Swaps are a swap agreement in which one party makes payments based on a set rate, either fixed or variable, while the other party makes payments based on the return of an underlying asset, which includes both the income it generates and any capital gains. The Gotham Short Strategies ETF will generally enter into swap agreements on a net basis, which means the two payment streams that are to be made by the Fund and its counterparty with respect to a particular swap agreement are netted out, with the Fund receiving or paying, as the case may be, only the net difference in the two payments. The Fund’s obligations (or rights) under a swap agreement that is entered into on a net basis will generally be the net amount to be paid or received under the agreement based on the relative values of the obligations of each party upon termination of the agreement or at set valuation dates. The Fund will accrue its obligations under a swap agreement daily (offset by any amounts the counterparty owes the Fund). If the swap agreement does not provide for that type of netting, the full amount of the Fund’s obligations will be accrued on a daily basis.
The Fund has adopted financial reporting rules and regulations that require enhanced disclosure regarding derivatives and hedging activity intending to improve financial reporting of derivative instruments by enabling investors to understand how an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position. The following tables show the effects of derivative instruments on the Gotham Short Strategies ETF’s financial statements.
Statements of Assets & Liabilities
Fair value of derivative instruments as of March 31, 2024:
| | Asset Derivatives as of | | Liability Derivatives as of | ||||
Derivative Instruments | | Balance Sheet Location | | Fair Value | | Balance Sheet Location | | Fair Value |
Total Return Swaps | | Unrealized appreciation on swap agreements | | $315,166 | | Unrealized depreciation on swap agreements | | $1,500,005 |
NOTES TO FINANCIAL STATEMENTS March 31, 2024 (Unaudited) (Continued) |
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Gotham ETFs
Statements of Operations
The effect of derivative instruments on the Statements of Operations for the period ended March 31, 2024:
Derivative Instruments | | Location of Gain (Loss) on Derivatives Recognized in Income | | Realized Gain (Loss) on Derivatives Recognized in Income | | Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in Income |
Total Return Swaps | | Realized and Unrealized Gain (Loss) on Swaps | | $(1,353,426) | | $(1,921,091) |
C.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, 2024, 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.
D.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 Funds’ 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 of a Fund (“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.
E.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
NOTES TO FINANCIAL STATEMENTS March 31, 2024 (Unaudited) (Continued) |
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Gotham ETFs
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.
F.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.
G.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 and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
H.Share Valuation. The 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.
I.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.
J.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.
K.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.
L.Other Regulatory Matters. In October 2022, the SEC adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee information in Investment Company Advertisements. The rule and form amendments will, among other things, require the funds to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month transition period after the effective date of the amendment.
M.Derivatives Transactions. Pursuant to Rule 18f-4 under the 1940 Act, the SEC imposes limits on the amount of derivatives a fund can enter into, eliminates the asset segregation and cover framework arising from prior SEC guidance for covering derivatives and certain financial instruments currently used by funds to comply with Section 18 of the 1940 Act and treats derivatives as senior securities. Under Rule 18f-4, a fund’s derivatives exposure is limited through a value-at-risk test. Funds whose use of derivatives is more than a limited specified exposure amount are required to establish and maintain a comprehensive derivatives risk management program, subject to oversight by a fund’s board of trustees, and appoint a derivatives risk manager. The Gotham Short Strategies ETF has implemented a Rule 18f-4 Derivative Risk Management Program that complies with Rule 18f-4.
NOTES TO FINANCIAL STATEMENTS March 31, 2024 (Unaudited) (Continued) |
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Gotham ETFs
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, such as those held by the Funds, 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 strategies used by the Sub-Adviser, rely 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 Funds 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.
F.High Portfolio Turnover Risk. The Funds may actively and frequently trade all or a significant portion of the securities in its portfolio. A high portfolio turnover rate increases transaction costs, which may increase each 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 and Gotham Short Strategies 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.
NOTES TO FINANCIAL STATEMENTS March 31, 2024 (Unaudited) (Continued) |
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Gotham ETFs
J.Exchanged Traded Fund (“ETF”) Risks.
•Authorized Participants, Market Makers, and Liquidity Providers Concentration Risk. 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.
•Cash Redemption Risk (Gotham Short Strategies ETF Only). The Fund’s investment strategy may require it to redeem Shares for cash or to otherwise include cash as part of its redemption proceeds. For example, the Fund may not be able to redeem in-kind certain securities held by the Fund (e.g., swap agreements that cannot be broken up beyond certain minimum sizes needed for transfer and settlement). In such a case, the Fund may be required to sell or unwind portfolio investments to obtain the cash needed to distribute redemption proceeds. This may cause the Fund to recognize a capital gain that it might not have recognized if it had made a redemption in-kind. As a result, the Fund may pay out higher annual capital gain distributions than if the in-kind redemption process was used.
•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. Although Shares are listed on a national securities exchange, such as the NYSE Arca, Inc. (the “Exchange”), and 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 Fund’s 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.
K.Short Sale Risk (Gotham Short Strategies ETF Only). Short selling a security involves selling a borrowed security with the expectation that the value of that security will decline so that the security may be purchased at a lower price when returning the borrowed security. The risk for loss on short selling is greater than the original value of the securities sold short because the price of the borrowed security may rise, thereby increasing the price at which the security must be purchased. Any such loss is increased by the amount of premium or interest the Fund must pay to the lender of the security. Likewise, any gain will be decreased by the amount of premium or interest the Fund must pay to the lender of the security. Although the Fund’s gain is limited to the price at which it sold the security short, its potential loss is limited only by the maximum attainable price of the security, less the price at which the security was sold and may, theoretically, be unlimited. Government actions also may affect the Fund’s ability to engage in short selling. In addition, the Fund may be subject to expenses related to short sales that are not typically associated with investing in securities directly, such as costs of borrowing and margin account maintenance costs associated with the Fund’s open short positions. These types of short sales expenses (sometimes referred to as the “negative cost of carry”) negatively impact the performance of the Fund since these expenses tend to cause the Fund to lose money on a short sale even in instances where the price of the underlying security sold short does not change over the duration of the short sale. The Fund may not be able to borrow a security that it needs to deliver or it may not be able to close out a short position at an acceptable price and may have to sell long positions earlier than it had expected.
NOTES TO FINANCIAL STATEMENTS March 31, 2024 (Unaudited) (Continued) |
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Gotham ETFs
NOTES TO FINANCIAL STATEMENTS March 31, 2024 (Unaudited) (Continued) |
L.Derivatives Risk (Gotham Short Strategies ETF Only). The Fund obtains portfolio exposure through the use of swap(s) referenced to a basket of short and/or long equity security positions selected by the Sub-Adviser. In general, with a derivative, the Fund will be exposed to additional risks that are separate from those associated with short sales. In general, a derivative contract such as a swap typically involves leverage (i.e., it provides exposure to potential gain or loss from a change in the market price of a security or group of securities in a notional amount that exceeds the amount of cash or assets required to establish or maintain the derivative contract). Swap agreements can be highly volatile, illiquid and difficult to value, and changes in the value of such instruments held by the Fund may not correlate with the underlying instrument or reference assets, or the Fund’s other investments. Although the value of swap agreements depends largely upon price movements in the underlying instrument or reference asset, there are additional risks associated with swap agreements that are possibly greater than the risks associated with investing directly in the underlying instruments or reference assets, including illiquidity risk, leveraging risk and counterparty credit risk. Any swap will be based on a notional amount agreed upon by the Sub-Adviser and a counterparty. The Sub-Adviser will retain the ability to adjust the notional exposure of the swap at its discretion, as well as the composition of the reference short securities basket. Generally, the fees and expenses of a swap are based on the notional value of the swap. The value of the swap typically includes a deduction for fees of the counterparty as well as costs typically associated with short sales of securities, such as dividend and interests expenses. As a result, the Fund’s return from such instrument will be net of such costs and expenses and any such costs and expenses will reduce the Fund’s return on the swap. A small position in swap agreements could have a potentially large impact on the Fund’s performance. Trading restrictions or limitations may be imposed by an exchange, and government regulations may restrict trading in swap agreements or any other derivative.
M.Counterparty Risk (Gotham Short Strategies ETF Only). Swaps and certain other derivative contracts entered into by the Fund involve exposure to counterparty credit risk, since contract performance depends in part on the financial condition of the counterparty. Relying on a counterparty exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. If a counterparty defaults on its payment obligations to the Fund, this default will cause the value of an investment in the Fund to decrease. In addition, to the extent the Fund deals with a limited number of counterparties, it will be more susceptible to the credit risks associated with those counterparties. The Fund is neither restricted from dealing with any particular counterparty nor from concentrating any or all of its transactions with one counterparty. The ability of the Fund to transact business with any one or number of counterparties and the absence of a regulated market to facilitate settlement may increase the potential for losses by the Fund.
N.Leverage Risk (Gotham Short Strategies ETF Only). The Fund utilizes leverage in its investment program. The use of leverage allows the Fund to make additional investments, thereby increasing its exposure to assets, such that its total assets may be greater than its capital. However, leverage also magnifies the volatility of changes in the value of the Fund’s portfolio. The effect of the use of leverage by the Fund in a market that moves adversely to its investments could result in substantial losses to the Fund, which would be greater than if the Fund were not leveraged.
O.Liquidity Risk (Gotham Short Strategies ETF Only). The Fund is subject to liquidity risk primarily due to its investments in derivatives. Investments in illiquid securities or derivative instruments involve the risk that the Fund may be unable to sell the security or derivative instrument or sell it at a reasonable price.
P.OTC Trading Risk (Gotham Short Strategies ETF Only). Certain of the derivatives in which the Fund invests may be traded (and privately negotiated) in the “over-the-counter” or “OTC” market. While the OTC derivatives market is the primary trading venue for many derivatives, it is largely unregulated. As a result and similar to other privately negotiated contracts, the Fund is subject to counterparty credit risk with respect to such derivative contracts.
Q.Small-Cap Securities Risk (Gotham Short Strategies ETF Only). In addition to large cap securities, the Fund also invests in small companies. Investments in small companies may be riskier than investments in larger, more established companies. The securities of smaller companies may trade less frequently and in smaller volumes, and as a result, may be less liquid than securities of larger companies. In addition, smaller companies may be more vulnerable to economic, market and industry changes. As a result, share price changes may be more sudden or erratic than the prices of other equity securities, especially over the short-term. Because smaller companies may have limited product lines, markets or financial resources or may depend on a few key employees, they may be more susceptible to particular economic events or competitive factors than large capitalization companies.
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Gotham ETFs
NOTES TO FINANCIAL STATEMENTS March 31, 2024 (Unaudited) (Continued) |
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, provides investment advice to the Funds and oversees the day-to-day operations of the Funds, subject to oversight of the Board. The Adviser provides oversight of the Sub-Adviser (defined below) and review of the Sub-Adviser’s performance. The Adviser is also responsible for trading portfolio securities for the Gotham Enhanced 500 ETF and the Gotham 1000 Value ETF, including selecting broker-dealers to execute purchase and sale transactions, subject to the supervision of the Board. With respect to the Gotham Short Strategies ETF, the Adviser is responsible for any trading of portfolio securities that may be required in connection with the issuance or redemption of Creation Units for the Fund, including selecting broker-dealers to execute purchase and sale transactions. The Adviser has, however, delegated trading authority in connection with the day-to-day management of the Gotham Short Strategies ETF’s portfolio to the Sub-Adviser, including selecting broker-dealers to execute purchase and sale transactions.
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% |
Gotham Short Strategies ETF | | 1.35% | | N/A* |
*Prior to reorganizing into the Gotham Short Strategies ETF, the Predecessor Fund waived expenses to an expense cap of 1.35% of average daily net assets during the period October 1, 2023 through November 3, 2023.
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, 2025 (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, 2024 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, or require the Sub-Adviser 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, 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”).The Management Fees incurred are paid monthly to the Adviser. Management Fees for the period ended March 31, 2024 are disclosed in the Statements of Operations.
The Sub-Adviser 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 Gotham Enhanced 500 ETF and Gotham 1000 Value ETF portfolios, including determining the securities purchased and sold by the Funds, subject to the supervision of the Adviser and the Board. The Adviser may retain responsibility for trading portfolio securities for the Gotham Short Strategies ETF or may delegate such authority to the Sub-Adviser. The Sub-Adviser currently exercises trading authority in connection with the day-to-day management of the Gotham Short Strategies ETF portfolio, including selecting broker-dealers to execute purchase and sale transactions; however, trading authority related to the issuance or redemption of creation units is currently being exercised by the Adviser. If the Adviser determines to retain trading authority, the Sub-Adviser will no longer trade the Gotham Short Strategies ETF’s portfolio securities. The Sub-Adviser is paid a fee by the Adviser, which is calculated and paid monthly, at an annual rate of 0.50% of average daily net assets for the Gotham Enhanced 500 ETF and Gotham 1000 Value ETF and 1.20% of average daily net assets for the Gotham Short Strategies ETF.
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. Such expenses incurred by the Funds and paid by the Sub-Adviser include fees charged by Tidal (defined below), which is the Funds’ administrator and an affiliate of the Adviser. For assuming the payment obligations for the Funds, the Adviser has agreed to pay the Sub-Adviser the profits, if any, generated by each Fund’s Management Fee.
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Gotham ETFs
NOTES TO FINANCIAL STATEMENTS March 31, 2024 (Unaudited) (Continued) |
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 for the Gotham Enhanced 500 ETF and the Gotham 1000 Value ETF.
Foreside Fund Services, LLC (the “Distributor”) acts as the Funds’ principal underwriter in a continuous public offering of the Funds’ shares.
For the period October 1, 2023 through November 3, 2023, the investment adviser, fund administrator and custodian, transfer agent, and principal underwriter were Gotham Asset Management, LLC, The Bank of New York Mellon, BNY Mellon Investment Servicing (US) Inc., and Foreside Funds Distributors LLC, respectively, for the Predecessor Fund.
Certain officers and a trustee of the Trust are affiliated with the Adviser. Neither of the affiliated trustee or the Trust’s officers receive compensation from the Funds.
NOTE 5 – SECURITIES LENDING |
The Gotham Enhanced 500 ETF and Gotham 1000 Value ETF may lend up to 33 1/3% of the value of the securities in their 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 Gotham Enhanced 500 ETF and Gotham 1000 Value ETF. The Gotham Enhanced 500 ETF and Gotham 1000 Value ETF receive compensation in the form of fees and earned interest on the cash collateral. Due to timing issues of when 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 Gotham Enhanced 500 ETF and Gotham 1000 Value ETF 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 each Fund. The Gotham Enhanced 500 ETF and Gotham 1000 Value ETF have the right under the terms of the securities lending agreements to recall the securities from the borrower on demand. The Gotham Short Strategies ETF does not currently participate in securities lending.
As of March 31, 2024, 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 |
Gotham Enhanced 500 ETF | | $12,662,356 | | $12,894,685 | | 3.1% |
Gotham 1000 Value ETF | | 19,245,906 | | 19,566,232 | | 11.7% |
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 six-months ended March 31, 2024, 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 Schedules 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.
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Gotham ETFs
NOTES TO FINANCIAL STATEMENTS March 31, 2024 (Unaudited) (Continued) |
NOTE 6 – PURCHASE AND SALES OF SECURITIES |
For the six-months ended March 31, 2024, 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 | | $266,054,288 | | $263,117,220 |
Gotham 1000 Value ETF | | 129,928,876 | | 130,732,242 |
Gotham Short Strategies ETF | | 30,674,521 | | 39,277,925 |
For the six-months ended March 31, 2024, there were no purchases or sales of long-term U.S. government securities.
For the six-months ended March 31, 2024, in-kind transactions associated with creations and redemptions for the Funds were as follows:
Fund | | Purchases | | Sales |
Gotham Enhanced 500 ETF | | $60,230,755 | | $26,240,468 |
Gotham 1000 Value ETF | | 18,765,852 | | 17,087,333 |
Gotham Short Strategies ETF | | — | | 510,019 |
NOTE 7 – INCOME TAXES AND DISTRIBUTIONS TO SHAREHOLDERS |
The tax character of distributions paid during the periods ended March 31, 2024 (estimated) and the year ended September 30, 2023 were as follows:
Fund | | Distributions paid from: | | March 31, 2024 | | September 30, 2023 |
Gotham Enhanced 500 ETF | | Ordinary income | | $3,836,259 | | $3,481,219 |
Gotham 1000 Value ETF | | Ordinary income | | 2,397,237 | | 429,999 |
Gotham 1000 Value ETF | | Capital Gains | | — | | 2,543 |
Gotham Short Strategies ETF | | Ordinary income | | 46,249 | | — |
As of the most recent fiscal year ended September 30, 2023, the components of the distributable (accumulated) earnings (losses) on a tax basis were as follows:
| | Gotham | | Gotham | | Gotham Short Strategies ETF | |
Cost of investments(1) |
| $303,105,121 | | $158,690,930 | | $16,959,050 | |
Gross tax unrealized appreciation |
| 21,788,093 |
| 10,504,612 | | 2,650,388 | |
Gross tax unrealized depreciation |
| (25,013,306 | ) | (9,170,524 | ) | (3,287,028 | ) |
Net tax unrealized appreciation (depreciation) |
| (3,225,213 | ) | 1,334,088 | | (636,640 | ) |
Undistributed ordinary income (loss) |
| 2,759,253 |
| 1,827,933 | | 11,061 | |
Undistributed long-term capital gain (loss) |
| — |
| — | | — | |
Total distributable earnings |
| 2,759,253 |
| 1,827,933 | | 11,061 | |
Other accumulated gain (loss) | | (14,525,671 | ) | (967,762 | ) | — | |
Total distributable (accumulated) earnings (losses) |
| (14,991,631 | ) | 2,194,259 | | (625,579 | ) |
(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 (post-October losses) and net investment losses incurred after December 31 (late year losses), and within the taxable year, may be elected to be deferred to the first business day of each Fund’s next taxable year. As of September 30, 2023, the Funds had not elected to defer any late year losses or post-October losses and the Gotham Enhanced 500 ETF had short-term and long-term capital loss carryovers of $(8,693,476) and $(5,832,195), the Gotham Short Strategies ETF had capital loss carryovers of $(16,769,721), and the Gotham 1000 Value ETF had short-term capital loss carryovers of $967,762, which do not expire.
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Gotham ETFs
NOTES TO FINANCIAL STATEMENTS March 31, 2024 (Unaudited) (Continued) |
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.
Each Fund currently offers 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% 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, significant conflict between Israel and Hamas in the Middle East, and the impact of COVID-19. 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 have limited certain exports and imports to and from Russia. The war has contributed to recent market volatility and may continue to do so. The Middle East conflict has led to significant loss of life, damaged infrastructure and escalated tensions both in the region and globally. 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. As a result, the risk environment remains elevated.
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.
NOTE 11 – SPECIAL MEETING OF SHAREHOLDERS |
A Special Meeting of Shareholders of the Predecessor Fund, a series of FundVantage Trust, was held on October 13, 2023. The purpose of the meeting was to approve (1) an Agreement and Plan of Reorganization pursuant to which the assets and the liabilities of the Predecessor Fund will be acquired and assumed, respectively, by the Gotham Short Strategies ETF, a newly-created series of Tidal ETF Trust, in exchange solely for shares of the Gotham Short Strategies ETF, and (2) any adjournments of the meeting from time to time to solicit additional proxies if there are insufficient votes at the time of the meeting to constitute a quorum of to approve proposal 1.
At the meeting, the proposal was passed. No other business was transacted at the meeting with respect to the Predecessor Fund.
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Gotham ETFs
NOTES TO FINANCIAL STATEMENTS March 31, 2024 (Unaudited) (Continued) |
The results of the voting at the meeting are as follows:
1.To approve an Agreement and Plan of Reorganization into Tidal ETF Trust:
For | | % Voted For | | % For of Outstanding Shares |
1,393,423 | | 100.00% | | 54.36% |
Against | | % Voted Against | | % Against of Outstanding Shares |
0 | | 0.00% | | 0.00% |
Abstain | | % Voted Abstain | | % Abstain of Outstanding Shares |
0 | | 0.00% | | 0.00% |
2.To approve any adjournments of the meeting from time to time:
For | | % Voted For | | % For of Outstanding Shares |
1,393,423 | | 100.00% | | 54.36% |
Against | | % Voted Against | | % Against of Outstanding Shares |
0 | | 0.00% | | 0.00% |
Abstain | | % Voted Abstain | | % Abstain of Outstanding Shares |
0 | | 0.00% | | 0.00% |
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Gotham ETFs
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including brokerage commissions paid on purchases and sales of the Fund’s shares, and (2) ongoing costs, including management fees of the Funds. The example is 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, 2023 to March 31, 2024.
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 Example 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 | | $1,225.60 | | $2.78 | |
Hypothetical (5% annual return before expenses) | | $1,000.00 | | $1,022.50 | | $2.53 | |
(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 183/366 (to reflect the most recent six-month period).
| | Gotham 1000 Value ETF | | ||||
| | Beginning | | Ending | | Expenses Paid | |
Actual | | $1,000.00 | | $1,207.60 | | $2.76 | |
Hypothetical (5% annual return before expenses) | | $1,000.00 | | $1,022.50 | | $2.53 | |
(2)Expenses are equal to the Fund’s annualized net expense ratio for the most recent period of 0.50% (fee waivers in effect), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the most recent six-month period).
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EXPENSE EXAMPLES For the Six-Months Ended March 31, 2024 (Unaudited) (Continued) |
| | Gotham Short Strategies ETF | | ||||
| | Beginning | | Ending | | Expenses Paid | |
Actual | | $1,000.00 | | $ 977.40 | | $8.16 | |
Hypothetical (5% annual return before expenses) | | $1,000.00 | | $1,016.75 | | $8.32 | |
(3)Expenses are equal to the Fund’s annualized expense ratio for the most recent period of 1.65%, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the most recent six-month period).
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Gotham ETFs
The Board of Trustees (the “Board” or the “Trustees”) of Tidal ETF Trust (the “Trust”) met at a meeting held on October 4, 2023 to consider the initial approval of the Investment Advisory Agreement (the “Advisory Agreement”) between the Trust, on behalf of the Gotham Short Strategies ETF (the “Fund”), a proposed series of the Trust, and Tidal Investments LLC (formerly, Toroso Investments, LLC), the Fund’s proposed investment adviser (the “Adviser”). Prior to this meeting, the Board requested and received materials to assist them in considering the approval 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 approval 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 Advisory Agreement for an initial two-year term.
Discussion of Factors Considered
In considering the approval 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 to be Provided. The Board considered the nature, extent and quality of the Adviser’s overall services to be provide 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 will 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 to be employed by the Fund.
The Board also considered other services to be 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 at the Fund’s inception, the Sub-Adviser will be responsible for trade execution for the Fund, subject to the supervision of the Adviser; however, the Adviser anticipates assuming responsibility for trade execution shortly after the Fund commences operations. The Board also noted that 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 service to be 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 noted that the Fund had not yet commenced operations and, therefore, concluded that performance of the Fund was not a relevant factor for consideration. The Trustees considered the performance of the Gotham Short Strategies Fund, a series of FundVantage Trust (the “Predecessor Fund”), that will reorganize with and into the Fund (the “Reorganization”). The Trustees noted that the Fund will not commence operations until after the closing of the Reorganization, at which time the Fund will adopt the performance history of the Predecessor Fund. The Board also considered that because the portfolio investment decision-making for the Predecessor Fund was performed by the Sub-Adviser, the performance of the Predecessor Fund was not relevant to the consideration of the approval of the Advisory Agreement. The Board also considered that because, on a going forward basis, the portfolio decision-making for the Fund would be performed by the Sub-Adviser, the Fund’s performance would not be the direct result of investment decisions made by the
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Gotham ETFs
Adviser. Consequently, with respect to the Fund’s performance, the Board in the future would focus on the Adviser’s services, including the extent to which the Fund’s performance was achieving its investment objective, as well as the Adviser’s oversight of the Sub-Adviser’s services.
3.Cost of Services to be Provided and Profits to be Realized by the Adviser. The Board considered the cost of services and the structure of the Adviser’s proposed 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 would pay 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 agreed to pay all other expenses incurred by the Fund, subject to the Sub-Adviser’s contractual agreement to assume such obligations in exchange for the profits, if any, generated by the Fund’s unitary fee. The Board considered comparative information prepared by U.S. Bank Global Fund Services utilizing data provided by Morningstar Direct relating to the cost structure of the Fund relative to a peer group. The Board noted that the Fund was compared to a peer group of ETFs in the U.S. fund trading- inverse equity category (the “Morningstar category”). The Board also considered comparative information prepared by Tidal Fund Services, LLC, the Fund’s administrator, in partnership with AltaVista Research, LLC, comparing the Fund’s cost structure to additional peer groups within the broader Morningstar category based on select criteria.
The Board concluded that the Fund’s proposed expense ratio and the advisory fee to be paid to the Adviser were fair and reasonable in light of the comparative expense information and the investment management services to be provided to the Fund by the Adviser given the nature of the Fund’s strategy. The Board also evaluated, based on information provided by the Adviser, the compensation and benefits expected to be received by the Adviser and its affiliates from their relationship with the Fund, taking into account an analysis of the Adviser’s expected profitability with respect to the Fund. The Board further concluded that 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 considered the potential economies of scale that the Fund might realize under the structure of the proposed advisory fee. The Board noted 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 to be 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 will provide to the Fund; and (c) the approval of the Advisory Agreement for an initial term of two years was in the best interests of the Fund and its shareholders.
At the meeting held on October 4, 2023, the Board also considered the initial approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) for the Fund, proposed to be entered into between the Adviser and Gotham. Prior to this meeting, the Board requested and received materials to assist them in considering the approval 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 approval 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 Sub-Advisory Agreement for an initial two-year term.
BASIS FOR TRUSTEES’ APPROVAL OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS (Unaudited) (Continued) |
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Gotham ETFs
Discussion of Factors Considered
In considering the approval 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 to be Provided. The Board considered the nature, extent and quality of the Sub-Adviser’s overall services to be provided to the Fund as well as its specific responsibilities in all 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 will each serve as a portfolio manager for the Fund, as well as the responsibilities of other key personnel of the Sub-Adviser to be involved in the day-to-day activities of the Fund. The Board reviewed the due diligence information provided by the Sub-Adviser, including information regarding the Sub-Adviser’s compliance program, its compliance personnel and compliance record, as well as the Sub-Adviser’s cybersecurity program and business continuity plan. The Board noted that the Sub-Adviser currently serves as the investment adviser to the Predecessor Fund, managed with the same investment objective and substantially similar investment strategies as the Fund, noting that the Fund will not commence operations until after the closing of the reorganization of the Predecessor Fund with and into the Fund, at which time the Fund will adopt the performance history of the Predecessor Fund.
The Board also considered other services to be 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 the Sub-Adviser would be responsible for selecting the Fund’s investments and trade execution at the Fund’s inception, subject to oversight by the Adviser. The Board also noted that the Sub-Adviser intends to transition responsibility for trade execution to the Adviser after some period of time following the Fund’s commencement of operations.
The Board concluded that the Sub-Adviser had sufficient quality and depth of personnel, resources, investment methods and compliance policies and procedures essential to performing its duties under the Sub-Advisory Agreement and managing the Fund and that the nature, overall quality and extent of the management services to be provided to the Fund, as well as the Sub-Adviser’s compliance program, were satisfactory.
2.Investment Performance of the Fund and the Sub-Adviser. The Board noted that the Fund had not yet commenced operations. Because the Fund had not yet commenced operations and did not have its own performance history, the Trustees considered the performance of the Predecessor Fund which was managed by the same portfolio managers from the Sub-Adviser that will serve as portfolio managers to the Fund.
The Trustees compared the performance of the Predecessor Fund to its benchmark index (the S&P 500 Total Return Index) and to the returns of a 50% inverse version of the Fund’s benchmark index that was representative of the Fund’s principal investment strategies over the one-year, three-year, five-year, ten-year and since inception periods ended June 30, 2023, and in comparison to a peer group of funds in the Predecessor Fund’s current Morningstar category as constructed by data presented by Morningstar Direct (a peer group of U.S. fund trading-inverse equity funds) (the “Morningstar Peer Group”), for the year-to-date, one-year, three-year and five- year periods ended August 31, 2023. The Board noted that the Predecessor Fund had underperformed the benchmark index across all periods and outperformed the 50% inverse of the benchmark index across all periods. The Board also noted that the Fund had outperformed the Morningstar Peer Group average across all periods and was in the first percentile of the Morningstar Peer Group over the three-year and five-year periods.
After considering all of the information, the Board concluded that the performance of the Predecessor 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 the Sub-Adviser’s management.
3.Cost of Services to be Provided and Profits to be Realized by the Sub-Adviser. The Board considered the structure of the proposed sub-advisory fee to be paid by the Adviser to the Sub- Adviser under the Sub-Advisory Agreement. The Board noted that the Adviser represented to the Board that the sub-advisory fee payable under the Sub-Advisory Agreement was reasonable in light of the services to be performed by the Sub-Adviser. Since the sub-advisory fee is to be paid by the Adviser, the overall advisory fee paid by the Fund is not directly affected by the sub- advisory fees paid to the Sub-Adviser. Consequently, the Board did not consider the cost of services provided by the Sub-Adviser or the potential profitability of its relationship with the Fund to
BASIS FOR TRUSTEES’ APPROVAL OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS (Unaudited) (Continued) |
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Gotham ETFs
BASIS FOR TRUSTEES’ APPROVAL OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS (Unaudited) (Continued) |
be material factors for consideration given that the Sub-Adviser is not affiliated with the Adviser and, therefore, the sub-advisory fees to be paid to the Sub-Adviser were negotiated on an arm’s- length basis. Based on all of these factors, the Board concluded that the sub-advisory fees to be paid to the Sub-Adviser by the Adviser reflected an appropriate allocation of the advisory fees and was reasonable in light of the services to be provided by the Sub-Adviser.
4.Extent of Economies of Scale as the Fund Grows. Since the sub-advisory fees payable to the Sub-Adviser are not paid by the Fund, the Board did not consider whether the sub-advisory fees should reflect any potential economies of scale that might be realized as the Fund’s assets increase.
5.Benefits to be Derived from the Relationship with the Fund. The Board considered the direct and indirect benefits that could be received by the Sub-Adviser from its association with the Fund. The Board concluded that the benefits the Sub-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 Sub-Advisory Agreement are fair and reasonable; (b) the sub-advisory fees are reasonable in light of the services that the Sub-Adviser will provide to the Fund; and (c) the approval of the Sub-Advisory Agreement for an initial term of two years was in the best interests of the Fund and its shareholders.
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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 Short Strategies ETF (the “Fund”), has adopted and implemented a liquidity risk management program (the “Program”). The Program seeks to promote effective liquidity risk management for the Fund and to protect the Fund’s shareholders from dilution of their interests. The Trust’s Board of Trustees (the “Board”) has approved the designation of Tidal Investments LLC (f/k/a Toroso Investments, LLC) the Fund’s investment adviser, as the program administrator (the “Program Administrator”). The Program Administrator has further delegated administration of the Program to a member of its compliance team. The Program Administrator has also delegated certain responsibilities under the Program to the investment sub-adviser of the Fund; 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 August 24, 2023, the Board reviewed the Program Administrator’s written annual report for the period October 1, 2022 through June 30, 2023 (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, Inc., a third-party vendor, to provide daily portfolio investment classification services to assist in the Program Administrator’s assessment. The Report noted that no highly liquid investment minimum is required for the Fund because the Fund qualifies as a primarily highly liquid fund (as defined under Rule 22e-4). The Program Administrator determined that the Program complies with the requirements of Rule 22e-4 and is reasonably designed and operating effectively.
The Fund converted into the Trust on November 6, 2023 and was not part of the Report but has adopted the Program upon conversion date.
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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 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
Tidal Investments LLC
(f/k/a Toroso Investments, LLC)
234 West Florida Street, Suite 203
Milwaukee, Wisconsin 53204
Investment Sub-Adviser
Gotham Asset Management, LLC
825 Third Avenue, Suite 1750
New York, New York 10022
Independent Registered Public Accounting Firm
Tait, Weller & Baker LLP
Two Liberty Place 50 South 16th Street, 29th Floor
Philadelphia, Pennsylvania 19102
Legal Counsel
Godfrey & Kahn, S.C.
833 East Michigan Street, Suite 1800
Milwaukee, Wisconsin 53202
Custodian
U.S. Bank N.A.
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 |
Gotham Short Strategies ETF | | SHRT | | 886364264 |
(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.
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. |
(2) A separate certification for each principal executive officer and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(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. |
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, 2024 |
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, 2024 |
By (Signature and Title)* | /s/ Aaron J. Perkovich | ||
Aaron J. Perkovich, Treasurer/Principal Financial Officer |
Date | June 7, 2024 |
* Print the name and title of each signing officer under his or her signature.