| AltShares Merger Arbitrage ETF | Portfolio of Investments |
| February 28, 2022 (unaudited) |
| Shares | Value | ||||||||
| COMMON STOCKS - 98.20% | |||||||||
| Aerospace & Defense - 2.09% | |||||||||
| Meggitt Plc(a) | 117,418 | $ | 1,189,248 | ||||||
| Ultra Electronics Holdings Plc | 10,356 | 445,952 | |||||||
| 1,635,200 | |||||||||
| Auto Parts & Equipment - 2.33% | |||||||||
| Veoneer, Inc.(a)(b) | 51,286 | 1,818,089 | |||||||
| Banks - 4.47% | |||||||||
| Atlantic Capital Bancshares, Inc.(a) | 14,818 | 479,214 | |||||||
| Flagstar Bancorp, Inc.(b) | 30,557 | 1,392,788 | |||||||
| Old National Bancorp | 35,020 | 640,166 | |||||||
| TriState Capital Holdings, Inc.(a)(b) | 29,319 | 973,391 | |||||||
| 3,485,559 | |||||||||
| Biotechnology - 4.41% | |||||||||
| Arena Pharmaceuticals, Inc.(a)(b) | 25,456 | 2,417,556 | |||||||
| Swedish Orphan Biovitrum AB(a) | 49,788 | 1,022,078 | |||||||
| 3,439,634 | |||||||||
| Chemicals - 8.48% | |||||||||
| Atotech Ltd.(a)(b) | 53,110 | 1,273,047 | |||||||
| Ferro Corp.(a)(b) | 42,100 | 914,833 | |||||||
| GCP Applied Technologies, Inc.(a) | 29,597 | 934,673 | |||||||
| Kraton Corp.(a) | 29,344 | 1,354,226 | |||||||
| Rogers Corp.(a)(b) | 7,841 | 2,140,593 | |||||||
| 6,617,372 | |||||||||
| Commercial Services - 5.74% | |||||||||
| GreenSky, Inc., Class A(a)(b) | 92,060 | 911,394 | |||||||
| MoneyGram International, Inc.(a) | 170,823 | 1,834,639 | |||||||
| S&P Global, Inc. | 4,623 | 1,737,007 | |||||||
| 4,483,040 | |||||||||
| Computers & Computer Services - 3.95% | |||||||||
| Avast Plc(c) | 144,646 | 1,219,752 | |||||||
| McAfee Corp., Class A(b) | 71,825 | 1,866,732 | |||||||
| 3,086,484 | |||||||||
| Construction Materials - 0.54% | |||||||||
| Forterra, Inc.(a) | 17,772 | 418,708 | |||||||
| Diversified Financial Services - 2.62% | |||||||||
| Intertrust N.V.(a)(c) | 76,464 | 1,656,405 | |||||||
| Sanne Group Plc | 32,020 | 392,177 | |||||||
| 2,048,582 | |||||||||
| Electronics - 2.10% | |||||||||
| Coherent, Inc.(a)(b) | 6,216 | 1,643,013 | |||||||
| Entertainment - 0.61% | |||||||||
| DraftKings, Inc., Class A(a) | 20,119 | 476,418 | |||||||
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| February 28, 2022 (unaudited) |
| Shares | Value | ||||||||
| COMMON STOCKS - 98.20% (Continued) | |||||||||
| Environmental Control - 2.40% | |||||||||
| US Ecology, Inc.(a) | 39,417 | $ | 1,869,942 | ||||||
| Food - 1.56% | |||||||||
| Sanderson Farms, Inc.(b) | 6,801 | 1,214,591 | |||||||
| Forest Products & Paper - 1.18% | |||||||||
| Verso Corp., Class A | 34,772 | 921,806 | |||||||
| Healthcare - Products - 2.35% | |||||||||
| Apria, Inc.(a)(b) | 37,745 | 1,409,398 | |||||||
| Intersect ENT, Inc.(a)(b) | 15,705 | 427,176 | |||||||
| 1,836,574 | |||||||||
| Healthcare - Services - 0.57% | |||||||||
| SOC Telemed, Inc.(a)(b) | 150,226 | 441,664 | |||||||
| Insurance - 1.73% | |||||||||
| American National Group, Inc.(b) | 4,853 | 917,363 | |||||||
| State Auto Financial Corp.(b) | 8,298 | 431,579 | |||||||
| 1,348,942 | |||||||||
| Internet - 2.94% | |||||||||
| Mimecast Ltd.(a)(b) | 28,843 | 2,293,884 | |||||||
| Leisure Time - 1.76% | |||||||||
| Accell Group N.V.(a) | 21,284 | 1,374,605 | |||||||
| Machinery - Diversified - 4.76% | |||||||||
| SPX FLOW, Inc. | 21,568 | 1,852,476 | |||||||
| Welbilt, Inc.(a) | 77,489 | 1,831,840 | |||||||
| Zardoya Otis SA | 3,568 | 28,124 | |||||||
| 3,712,440 | |||||||||
| Media - 1.11% | |||||||||
| Shaw Communications, Inc., Class B | 29,014 | 870,077 | |||||||
| Oil & Gas Services - 0.55% | |||||||||
| FTS International, Inc., Class A(a)(b) | 16,288 | 431,143 | |||||||
| Pharmaceuticals - 5.99% | |||||||||
| BioDelivery Sciences International, Inc.(a) | 246,698 | 1,376,575 | |||||||
| Clinigen Group Plc | 94,340 | 1,164,958 | |||||||
| Vifor Pharma AG | 12,132 | 2,131,798 | |||||||
| 4,673,331 | |||||||||
| Pipelines - 1.54% | |||||||||
| Phillips 66 Partners LP(a) | 28,465 | 1,200,369 | |||||||
| Real Estate Investment Trusts - 4.09% | |||||||||
| CyrusOne, Inc.(b) | 25,568 | 2,310,069 | |||||||
| MGM Growth Properties LLC, Class A(b) | 23,411 | 886,574 | |||||||
| 3,196,643 | |||||||||
| Retail - 2.25% | |||||||||
| Del Taco Restaurants, Inc.(b) | 73,473 | 916,943 | |||||||
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| February 28, 2022 (unaudited) |
| Shares | Value | ||||||||
| COMMON STOCKS - 98.20% (Continued) | |||||||||
| Retail - 2.25% (Continued) | |||||||||
| Vivo Energy Plc(c) | 465,654 | $ | 843,311 | ||||||
| 1,760,254 | |||||||||
| Savings & Loans - 2.37% | |||||||||
| Investors Bancorp, Inc.(b) | 110,755 | 1,854,039 | |||||||
| Semiconductors - 2.39% | |||||||||
| CMC Materials, Inc. | 10,042 | 1,862,088 | |||||||
| Software - 16.20% | |||||||||
| Activision Blizzard, Inc.(b) | 21,340 | 1,739,210 | |||||||
| Bottomline Technologies DE, Inc.(a)(b) | 32,502 | 1,840,913 | |||||||
| Cerner Corp.(b) | 25,102 | 2,340,762 | |||||||
| Citrix Systems, Inc.(b) | 22,431 | 2,299,178 | |||||||
| Nuance Communications, Inc.(a)(b) | 41,448 | 2,301,193 | |||||||
| Zynga, Inc., Class A(a)(b) | 233,567 | 2,120,788 | |||||||
| 12,642,044 | |||||||||
| Telecommunications - 5.12% | |||||||||
| NeoPhotonics Corp.(a)(b) | 59,972 | 918,171 | |||||||
| Resonant, Inc.(a) | 210,161 | 922,607 | |||||||
| Vonage Holdings Corp.(a)(b) | 105,971 | 2,153,331 | |||||||
| 3,994,109 | |||||||||
| Total Investments - 98.20% | |||||||||
| (Cost $76,618,933) | 76,650,644 | ||||||||
| Other Assets in Excess of Liabilities - 1.80%(d) | 1,407,164 | ||||||||
| NET ASSETS - 100.00% | $ | 78,057,808 | |||||||
Portfolio Footnotes
| (a) | Non-income-producing security. |
| (b) | Security, or a portion of security, is being held as collateral for short sales or forward foreign currency exchange contracts. At February 28, 2022, the aggregate fair market value of those securities was $15,616,245, representing 20.01% of net assets. |
| (c) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of February 28, 2022, these securities had a total value of $3,719,468 or 4.77% of net assets. |
| (d) | Includes cash held as collateral for short sales. |
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| February 28, 2022 (unaudited) |
EQUITY SWAP CONTRACTS
| Swap Counterparty/ Payment Frequency | Reference Obligation | Rate Paid/Received by the Fund | Termination Date | Upfront Payments Paid | Upfront Payments Received | Market Value | Notional | Unrealized Appreciation | ||||||||||||||||||
| Morgan Stanley & Co./ Monthly | New York Community Bancorp, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 05/06/2022 | $ | — | $ | — | $ | — | USD | 609,981 | $ | — | |||||||||||||
| Morgan Stanley & Co./ Monthly | New York Community Bancorp, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 05/06/2022 | — | — | — | USD | 805,861 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | Citizens Financial Group, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 05/06/2022 | — | — | — | USD | 1,724,303 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | DraftKings, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 05/06/2022 | — | — | — | USD | 476,418 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | MKS Instruments, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 05/06/2022 | — | — | — | USD | 442,312 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | NortonLifeLock, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 05/06/2022 | — | — | — | USD | 108,443 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | Meggitt Plc | Paid 1 Month SONIA Plus 58 bps (1.025%) | 07/08/2022 | — | — | — | GBP | 142,521 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | Goldman Sachs Group, Inc. (The) | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 05/06/2022 | — | — | — | USD | 942,643 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | South State Corp. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 05/06/2022 | — | — | — | USD | 480,060 | — | |||||||||||||||||
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| February 28, 2022 (unaudited) |
| Swap Counterparty/ Payment Frequency | Reference Obligation | Rate Paid/Received by the Fund | Termination Date | Upfront Payments Paid | Upfront Payments Received | Market Value | Notional Amount | Unrealized Appreciation | ||||||||||||||||||
| Morgan Stanley & Co./ Monthly | Vici Properties, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 05/06/2022 | $ | — | $ | — | $ | — | USD | 894,692 | $ | — | |||||||||||||
| Morgan Stanley & Co./ Monthly | Zardoya Otis SA | Paid 1 Month ESTR Plus 125 bps (0.683%) | 01/05/2024 | — | — | — | EUR | 8,176 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | Old National Bancorp | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 05/06/2022 | — | — | — | USD | 639,508 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | Phillips 66 | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 05/06/2022 | — | — | — | USD | 1,198,735 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | Raymond James Financial, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 05/06/2022 | — | — | — | USD | 809,765 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | Agnico Eagle Mines Ltd. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 05/06/2022 | — | — | — | USD | 2,582 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | Nobina AB | Paid 1 Month STIBOR Plus 150 bps (1.435%) | 01/04/2024 | — | — | 148 | SEK | 1,512,000 | 148 | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | Entegris, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 05/06/2022 | — | — | — | USD | 588,987 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | Take-Two Interactive Software, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 05/06/2022 | — | — | — | USD | 1,445,526 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | Advanced Micro Devices, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 05/06/2022 | — | — | — | USD | 136,691 | — | |||||||||||||||||
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| February 28, 2022 (unaudited) |
| Swap Counterparty/ Payment Frequency | Reference Obligation | Rate Paid/Received by the Fund | Termination Date | Upfront Payments Paid | Upfront Payments Received | Market Value | Notional Amount | Unrealized Appreciation | ||||||||||||||||||
| Morgan Stanley & Co./ Monthly | II-VI, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 05/06/2022 | $ | — | $ | — | $ | — | USD | 390,851 | $ | — | |||||||||||||
| Morgan Stanley & Co./ Monthly | S&P Global, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 05/06/2022 | — | — | — | USD | 1,743,999 | — | |||||||||||||||||
| $ | 148 | $ | 148 | |||||||||||||||||||||||
| Swap Counterparty/ Payment Frequency | Reference Obligation | Rate Paid/Received by the Fund | Termination Date | Upfront Payments Paid | Upfront Payments Received | Market Value | Notional Amount | Unrealized Depreciation | ||||||||||||||||||
| Morgan Stanley & Co./ Monthly | National Express Group Plc | Received 1 Month SONIA Minus 35 bps (-0.120%) | 07/08/2022 | $ | — | $ | — | $ | (32 | ) | GBP | 2,858 | $ | (32 | ) | |||||||||||
| $ | (32 | ) | $ | (32 | ) | |||||||||||||||||||||
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| February 28, 2022 (unaudited) |
OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||
| CAD | 310,100 | USD | 243,772 | Morgan Stanley & Co. | 03/15/2022 | $ | 898 | |||||
| USD | 397,409 | CAD | 503,480 | Morgan Stanley & Co. | 03/15/2022 | 162 | ||||||
| USD | 3,333,360 | EUR | 2,936,090 | Morgan Stanley & Co. | 03/15/2022 | 39,571 | ||||||
| GBP | 110,000 | USD | 147,089 | Morgan Stanley & Co. | 03/15/2022 | 492 | ||||||
| USD | 3,315,371 | GBP | 2,452,200 | Morgan Stanley & Co. | 03/15/2022 | 25,383 | ||||||
| SEK | 211,600 | USD | 22,278 | Morgan Stanley & Co. | 03/15/2022 | 69 | ||||||
| USD | 1,109,182 | SEK | 10,176,750 | Morgan Stanley & Co. | 03/15/2022 | 34,437 | ||||||
| $ | 101,012 | |||||||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Depreciation | ||||||||
| CAD | 672,150 | USD | 534,093 | Morgan Stanley & Co. | 03/15/2022 | $ | (3,767 | ) | ||||
| USD | 1,228,722 | CAD | 1,571,580 | Morgan Stanley & Co. | 03/15/2022 | (11,256 | ) | |||||
| USD | 22,308 | CHF | 20,600 | Morgan Stanley & Co. | 03/15/2022 | (165 | ) | |||||
| EUR | 147,110 | USD | 166,549 | Morgan Stanley & Co. | 03/15/2022 | (1,517 | ) | |||||
| GBP | 531,700 | USD | 718,654 | Morgan Stanley & Co. | 03/15/2022 | (5,301 | ) | |||||
| USD | 870,497 | GBP | 657,600 | Morgan Stanley & Co. | 03/15/2022 | (11,770 | ) | |||||
| SEK | 388,430 | USD | 42,241 | Morgan Stanley & Co. | 03/15/2022 | (1,219 | ) | |||||
| $ | (34,995 | ) | ||||||||||
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| February 28, 2022 (unaudited) |
The following is a summary of investments classified by country exposure:
| Country | % of Net Assets(a) | |||
| United States | 78.44 | % | ||
| United Kingdom | 6.80 | % | ||
| Netherlands | 3.88 | % | ||
| Sweden | 3.64 | % | ||
| Switzerland | 2.73 | % | ||
| Czech Republic | 1.56 | % | ||
| Canada | 1.11 | % | ||
| Spain | 0.04 | % | ||
| Other Assets in Excess of Liabilities | 1.80 | % | ||
| 100.00 | % | |||
| (a) | These percentages represent long positions only and are not net of short positions. |
Abbreviations: |
| AB - Aktiebolag is the Swedish term for a limited company. |
| AG - Aktiengesellschaft is a German term that refers to a corporation that is limited by shares, i.e., owned by shareholders. |
| bps - Basis Points. 100 Basis Points is equal to 1 percentage point. |
| CAD - Canadian dollar |
| CHF - Swiss franc |
| ESTR - Euro Short-term Rate |
| EUR - Euro |
| GBP - British pound |
| LLC - Limited Liability Company |
| LP - Limited Partnership |
| Ltd. - Limited |
| Plc - Public Limited Company |
| SA - Generally designates corporations in various countries, mostly those employing civil law. This translates literally in all languages mentioned as anonymous company. |
| SEK - Swedish krona |
| SONIA - Sterling OverNight Index Average |
| S&P - Standard & Poor's |
| STIBOR - Stockholm Interbank Offered Rate |
| USD - United States Dollar |
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| February 28, 2022 (unaudited) |
| Investments in Securities at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Assets | ||||||||||||||||
| Common Stocks* | $ | 76,650,644 | $ | — | $ | — | $ | 76,650,644 | ||||||||
| Other Financial Instruments** | ||||||||||||||||
| Assets | ||||||||||||||||
| Forward Foreign Currency Exchange Contracts | $ | — | $ | 101,012 | $ | — | $ | 101,012 | ||||||||
| Equity Swaps | 148 | — | — | 148 | ||||||||||||
| Liabilities | ||||||||||||||||
| Forward Foreign Currency Exchange Contracts | — | (34,995 | ) | — | (34,995 | ) | ||||||||||
| Equity Swaps | (32 | ) | — | — | (32 | ) | ||||||||||
| TOTAL | $ | 116 | $ | 66,017 | $ | — | $ | 66,133 | ||||||||
| * | Refer to Portfolio of Investments for sector information. |
| ** | Other financial instruments are instruments such as securities sold short, equity swaps and forward foreign currency exchange contracts. |
| AltShares Event-Driven ETF | Portfolio of Investments |
| February 28, 2022 (unaudited) |
| Shares | Value | ||||||||
| COMMON STOCKS - 92.51% | |||||||||
| Auto Parts & Equipment - 4.06% | |||||||||
| Meritor, Inc.(a) | 841 | $ | 29,948 | ||||||
| Tenneco, Inc., Class A(a) | 762 | 14,691 | |||||||
| Veoneer, Inc.(a) | 2,278 | 80,755 | |||||||
| 125,394 | |||||||||
| Banks - 3.06% | |||||||||
| First Horizon Corp. | 1,622 | 38,085 | |||||||
| TriState Capital Holdings, Inc.(a)(b) | 1,695 | 56,274 | |||||||
| 94,359 | |||||||||
| Biotechnology - 1.12% | |||||||||
| Arena Pharmaceuticals, Inc.(a) | 364 | 34,569 | |||||||
| Chemicals - 9.81% | |||||||||
| Ferro Corp.(a)(b) | 1,368 | 29,727 | |||||||
| GCP Applied Technologies, Inc.(a) | 997 | 31,485 | |||||||
| Kraton Corp.(a) | 2,278 | 105,130 | |||||||
| Rogers Corp.(a) | 500 | 136,500 | |||||||
| 302,842 | |||||||||
| Commercial Services - 7.44% | |||||||||
| Bakkt Holdings, Inc.(a)(c) | 2,490 | 14,218 | |||||||
| Moneylion, Inc.(a)(c) | 10,452 | 25,189 | |||||||
| PayPal Holdings, Inc.(a) | 182 | 20,371 | |||||||
| S&P Global, Inc. | 452 | 169,958 | |||||||
| 229,736 | |||||||||
| Electronics - 3.41% | |||||||||
| Coherent, Inc.(a)(b) | 398 | 105,199 | |||||||
| Energy - Alternate Sources - 1.27% | |||||||||
| Renewable Energy Group, Inc.(a) | 638 | 39,237 | |||||||
| Entertainment - 2.87% | |||||||||
| Cineplex, Inc.(a) | 8,115 | 88,609 | |||||||
| Environmental Control - 1.77% | |||||||||
| US Ecology, Inc.(a) | 1,150 | 54,556 | |||||||
| Food - 1.98% | |||||||||
| Sanderson Farms, Inc.(b) | 277 | 49,469 | |||||||
| Stryve Foods, Inc., Class A(a)(c) | 4,198 | 11,545 | |||||||
| 61,014 | |||||||||
| Forest Products & Paper - 1.65% | |||||||||
| Verso Corp., Class A | 1,920 | 50,899 | |||||||
| Healthcare - Products - 2.42% | |||||||||
| Apria, Inc.(a)(b) | 2,000 | 74,680 | |||||||
| Healthcare - Services - 0.08% | |||||||||
| UpHealth, Inc.(a)(c) | 1,176 | 2,622 | |||||||
| Insurance - 6.42% | |||||||||
| American National Group, Inc. | 160 | 30,245 | |||||||
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| February 28, 2022 (unaudited) |
| Shares | Value | ||||||||
| COMMON STOCKS - 92.51% (Continued) | |||||||||
| Insurance - 6.42% (Continued) | |||||||||
| Hartford Financial Services Group, Inc. (The)(b) | 819 | $ | 56,904 | ||||||
| Willis Towers Watson Plc | 500 | 111,150 | |||||||
| 198,299 | |||||||||
| Internet - 2.48% | |||||||||
| Mimecast Ltd.(a)(b) | 686 | 54,558 | |||||||
| Pinterest, Inc., Class A(a) | 819 | 21,908 | |||||||
| 76,466 | |||||||||
| Machinery - Diversified - 3.50% | |||||||||
| SPX FLOW, Inc. | 526 | 45,178 | |||||||
| Welbilt, Inc.(a) | 2,668 | 63,072 | |||||||
| 108,250 | |||||||||
| Media - 3.09% | |||||||||
| Discovery, Inc., Class A(a)(b) | 1,678 | 47,068 | |||||||
| Houghton Mifflin Harcourt Co.(a) | 2,305 | 48,290 | |||||||
| 95,358 | |||||||||
| Pharmaceuticals - 1.55% | |||||||||
| BioDelivery Sciences International, Inc.(a) | 1,412 | 7,879 | |||||||
| Paratek Pharmaceuticals, Inc.(a) | 11,396 | 40,114 | |||||||
| 47,993 | |||||||||
| Real Estate Investment Trusts - 5.35% | |||||||||
| Bluerock Residential Growth REIT, Inc.(b) | 1,200 | 31,860 | |||||||
| CyrusOne, Inc.(b) | 898 | 81,134 | |||||||
| Healthcare Trust of America, Inc., Class A | 1,174 | 34,504 | |||||||
| Preferred Apartment Communities, Inc. | 704 | 17,783 | |||||||
| 165,281 | |||||||||
| Retail - 1.01% | |||||||||
| Del Taco Restaurants, Inc. | 2,507 | 31,287 | |||||||
| Savings & Loans - 0.98% | |||||||||
| Investors Bancorp, Inc.(b) | 1,815 | 30,383 | |||||||
| Semiconductors - 6.24% | |||||||||
| Advanced Micro Devices, Inc.(a) | 666 | 82,144 | |||||||
| CMC Materials, Inc. | 506 | 93,828 | |||||||
| Magnachip Semiconductor Corp.(a)(b) | 913 | 16,617 | |||||||
| 192,589 | |||||||||
| Software - 16.45% | |||||||||
| Activision Blizzard, Inc. | 842 | 68,623 | |||||||
| Bottomline Technologies DE, Inc.(a) | 1,113 | 63,040 | |||||||
| Cerner Corp. | 788 | 73,481 | |||||||
| Change Healthcare, Inc.(a)(b) | 1,060 | 22,705 | |||||||
| Citrix Systems, Inc. | 550 | 56,375 | |||||||
| Five9, Inc.(a)(b) | 500 | 55,000 | |||||||
| Kaleyra, Inc.(a) | 3,021 | 23,353 | |||||||
| Momentive Global, Inc.(a) | 1,500 | 23,580 | |||||||
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| February 28, 2022 (unaudited) |
| Shares | Value | ||||||||
| COMMON STOCKS - 92.51% (Continued) | |||||||||
| Software - 16.45% (Continued) | |||||||||
| Nuance Communications, Inc.(a)(b) | 2,196 | $ | 121,922 | ||||||
| 508,079 | |||||||||
| Telecommunications - 3.14% | |||||||||
| NeoPhotonics Corp.(a) | 2,094 | 32,059 | |||||||
| Vonage Holdings Corp.(a) | 3,191 | 64,841 | |||||||
| 96,900 | |||||||||
| Transportation - 1.36% | |||||||||
| Canadian Pacific Railway Ltd.(b) | 600 | 42,168 | |||||||
| TOTAL COMMON STOCKS (Cost $3,019,446) | 2,856,769 | ||||||||
| Maturity Date | Rate | Principal Amount | Value | ||||||||||||
| CONVERTIBLE CORPORATE BONDS - 6.08% | |||||||||||||||
| Auto Manufacturers - 0.91% | |||||||||||||||
| Lightning eMotors, Inc.(d) | 05/15/2024 | 7.500 | % | $ | 35,553 | $ | 28,127 | ||||||||
| Healthcare - Services - 2.39% | |||||||||||||||
| UpHealth, Inc.(d) | 06/15/2026 | 6.250 | % | 87,000 | 73,822 | ||||||||||
| Software - 2.78% | |||||||||||||||
| Kaleyra, Inc.(d) | 06/01/2026 | 6.125 | % | 87,000 | 85,970 | ||||||||||
| TOTAL CONVERTIBLE CORPORATE BONDS (Cost $209,577) | 187,919 | ||||||||||||||
| Shares | Value | ||||||||
| WARRANTS(a) - 0.11% | |||||||||
| Auto Manufacturers - 0.10% | |||||||||
| Lightning eMotors, Inc., Exercise Price $11.50, Expires 05/18/2025(c) | 3,391 | $ | 3,171 | ||||||
| Commercial Services - 0.01% | |||||||||
| Moneylion, Inc., Exercise Price $11.50, Expires 09/22/2026 | 440 | 160 | |||||||
| Healthcare - Services - 0.00%(e) | |||||||||
| UpHealth, Inc., Exercise Price $11.50, Expires 07/01/2024(c) | 117 | 38 | |||||||
| TOTAL WARRANTS (Cost $0) | 3,369 | ||||||||
| PRIVATE INVESTMENTS(a)(c)(f)(g) - 0.08% | |||||||||
| Fast Capital LLC | 400 | 400 | |||||||
| Fuse LLC | 1,100 | 1,919 | |||||||
| Fuse Sponsor Capital, Z2 Shares | 110 | 258 | |||||||
| TOTAL PRIVATE INVESTMENTS (Cost $1,530) | 2,577 | ||||||||
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| February 28, 2022 (unaudited) |
| Maturity Date | Rate | Principal Amount | Value | ||||||||||||
| CORPORATE BONDS - 1.44% | |||||||||||||||
| Entertainment - 1.00% | |||||||||||||||
| Peninsula Pacific Entertainment LLC / Peninsula Pacific Entertainment Finance In(d) | 11/15/2027 | 8.500 | % | $ | 28,000 | $ | 31,001 | ||||||||
| Packaging & Containers - 0.44% | |||||||||||||||
| Flex Acquisition Co., Inc.(d) | 07/15/2026 | 7.875 | % | 13,000 | 13,406 | ||||||||||
| TOTAL CORPORATE BONDS (Cost $44,527) | 44,407 | ||||||||||||||
| Yield | Shares | Value | |||||||||||
| SHORT-TERM INVESTMENTS - 3.38% | |||||||||||||
| Money Market Funds | |||||||||||||
| Morgan Stanley Institutional Liquidity Fund - Government Portfolio | 0.026 | %(h) | 52,121 | $ | 52,121 | ||||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class | 0.099 | %(h) | 52,122 | 52,122 | |||||||||
| 104,243 | |||||||||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $104,243) | 104,243 | ||||||||||||
| Total Investments - 103.60% (Cost $3,379,323) | 3,199,284 | ||||||||||||
| Liabilities in Excess of Other Assets - (3.60)%(i) | (111,237 | ) | |||||||||||
| NET ASSETS - 100.00% | $ | 3,088,047 | |||||||||||
Portfolio Footnotes
| (a) | Non-income-producing security. |
| (b) | Security, or a portion of security, is being held as collateral for short sales or forward foreign currency exchange contracts. At February 28, 2022, the aggregate fair market value of those securities was $733,088, representing 23.7% of net assets. |
| (c) | Restricted securities (including private placements) - The Fund may own investment securities that have other legal or contractual limitations. At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $59,360 or 1.92% of net assets. |
| Restricted Security | Acquisition Date | Acquisition Cost | ||||
| Bakkt Holdings, Inc. | 10/06/2021 | $ | 24,900 | |||
| Fast Capital LLC | 08/18/2020 | 414 | ||||
| Fuse LLC | 06/19/2020 | 1,014 | ||||
| Fuse Sponsor Capital, Z2 Shares | 06/19/2020 | 102 | ||||
| Lightning eMotors, Inc., Exercise Price $11.50, Expires 05/18/2025 | 04/28/2021 | — | ||||
| Moneylion, Inc. | 09/14/2021 | 91,912 | ||||
| Stryve Foods, Inc. | 07/09/2021 | 41,980 | ||||
| UpHealth, Inc. | 05/25/2021 | 11,760 | ||||
| UpHealth, Inc., Exercise Price $11.50, Expires 07/01/2024 | 04/06/2021 | — | ||||
| Total | $ | 172,082 | ||||
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| February 28, 2022 (unaudited) |
| (d) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of February 28, 2022, these securities had a total value of $232,326 or 7.52% of net assets. |
| (e) | Less than 0.005% of net assets. |
| (f) | Represents a holding that is a direct investment into a private company and is not a listed or publicly traded entity. |
| (g) | Security fair valued using significant unobservable inputs and classified as a Level 3 security. As of February 28, 2022, the total fair market value of these securities was $2,577, representing 0.08% of net assets. |
| (h) | Rate shown is the 7-day effective yield as of February 28, 2022. |
| (i) | Includes cash held as collateral for short sales. |
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| February 28, 2022 (unaudited) |
| SCHEDULE OF SECURITIES SOLD SHORT | Shares | Value | |||||||
| COMMON STOCKS SOLD SHORT - (0.99%) | |||||||||
| Real Estate Investment Trusts - (0.99%) | |||||||||
| Healthcare Realty Trust, Inc. | (1,174 | ) | $ | (30,618 | ) | ||||
| TOTAL COMMON STOCKS | |||||||||
| (Proceeds $30,801) | (30,618 | ) | |||||||
| TOTAL SECURITIES SOLD SHORT (Proceeds $30,801) | $ | (30,618 | ) | ||||||
EQUITY SWAP CONTRACTS
| Swap Counterparty/ Payment Frequency | Reference Obligation | Rate Paid/Received by the Fund | Termination Date | Upfront Payments Paid | Upfront Payments Received | Market Value | Notional Amount | Unrealized Appreciation | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | Citizens Financial Group, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 10/06/2023 | $ | — | $ | — | $ | — | USD | 28,254 | $ | — | ||||||||||||
| Morgan Stanley & Co./ Monthly | Raymond James Financial, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 10/06/2023 | — | — | — | USD | 46,382 | — | ||||||||||||||||
| Morgan Stanley & Co./ Monthly | Entegris, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 10/06/2023 | — | — | — | USD | 29,749 | — | ||||||||||||||||
| Morgan Stanley & Co./ Monthly | II-VI, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 10/06/2023 | — | — | — | USD | 25,075 | — | ||||||||||||||||
| Morgan Stanley & Co./ Monthly | S&P Global, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 10/06/2023 | — | — | — | USD | 169,441 | — | ||||||||||||||||
| $ | — | $ | — | ||||||||||||||||||||||
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| February 28, 2022 (unaudited) |
OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||
| CAD | 153,650 | USD | 120,402 | Morgan Stanley & Co. | 03/15/2022 | $ | 828 | |||||
| USD | 10,966 | CAD | 13,810 | Morgan Stanley & Co. | 03/15/2022 | 70 | ||||||
| $ | 898 | |||||||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Depreciation | ||||||||
| CAD | 11,030 | USD | 8,755 | Morgan Stanley & Co. | 03/15/2022 | $ | (53 | ) | ||||
| USD | 204,452 | CAD | 261,320 | Morgan Stanley & Co. | 03/15/2022 | (1,729 | ) | |||||
| $ | (1,782 | ) | ||||||||||
The following is a summary of investments classified by country exposure:
| Country | % of Net Assets(a) | |||
| United States | 91.86 | % | ||
| Canada | 4.23 | % | ||
| United Kingdom | 3.60 | % | ||
| Sweden | 2.61 | % | ||
| Italy | 0.76 | % | ||
| Republic of Korea | 0.54 | % | ||
| Liabilities in Excess of Other Assets | (3.60 | )% | ||
| 100.00 | % | |||
| (a) | These percentages represent long positions only and are not net of short positions. |
Abbreviations: |
| bps - Basis Points. 100 Basis Points is equal to 1 percentage point. |
| CAD - Canadian dollar |
| ETF - Exchange-Traded Fund |
| EUR - Euro |
| LLC - Limited Liability Company |
| Ltd. - Limited |
| Plc - Public Limited Company |
| REIT - Real Estate Investment Trust |
| S&P - Standard & Poor's |
| USD - United States Dollar |
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| February 28, 2022 (unaudited) |
| Investments in Securities at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Assets | ||||||||||||||||
| Common Stocks* | $ | 2,856,769 | $ | — | $ | — | $ | 2,856,769 | ||||||||
| Convertible Corporate Bonds* | — | 187,919 | — | 187,919 | ||||||||||||
| Warrants* | 3,369 | — | — | 3,369 | ||||||||||||
| Private Investments | — | — | 2,577 | 2,577 | ||||||||||||
| Corporate Bonds* | — | 44,407 | — | 44,407 | ||||||||||||
| Short-Term Investments | 104,243 | — | — | 104,243 | ||||||||||||
| TOTAL | $ | 2,964,381 | $ | 232,326 | $ | 2,577 | $ | 3,199,284 | ||||||||
| Other Financial Instruments** | ||||||||||||||||
| Assets | ||||||||||||||||
| Forward Foreign Currency Exchange Contracts | $ | — | $ | 898 | $ | — | $ | 898 | ||||||||
| Equity Swaps | 0 | — | — | 0 | ||||||||||||
| Liabilities | ||||||||||||||||
| Common Stocks* | (30,618 | ) | — | — | (30,618 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts | — | (1,782 | ) | — | (1,782 | ) | ||||||||||
| TOTAL | $ | (30,618 | ) | $ | (884 | ) | $ | — | $ | (31,502 | ) | |||||
| * | Refer to Portfolio of Investments for sector information. |
| ** | Other financial instruments are instruments such as securities sold short, equity swaps and forward foreign currency exchange contracts. |
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund’s assets and liabilities during the period ended February 28, 2022:
| Investments in Securities | Balance as of May 31, 2021 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales Proceeds | Transfers into Level 3 | Transfers out of Level 3 | Balance as of February 28, 2022 | Net change in Unrealized Appreciation (Depreciation) from investments still held as of February 28, 2022 | |||||||||||||||||||||||||||
| Common Stock | $ | - | $ | - | $ | 41 | $ | 77,099 | $ | (77,140 | ) | $ | - | $ | - | $ | - | $ | - | |||||||||||||||||
| Convertible Corporate Bonds | 156,815 | - | 7,900 | - | - | - | (164,715 | ) | - | - | ||||||||||||||||||||||||||
| Private Investments | 1,500 | - | 1,047 | 30 | - | - | - | 2,577 | 2,697 | |||||||||||||||||||||||||||
| Total | $ | 158,315 | $ | - | $ | 8,988 | $ | 77,129 | $ | (77,140 | ) | $ | - | $ | (164,715 | ) | $ | 2,577 | $ | 2,697 | ||||||||||||||||