N-CSR 1 fp0069589_ncsr.htm

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 811-22668

 

ETF Series Solutions
(Exact name of registrant as specified in charter)

 

615 East Michigan Street

Milwaukee, WI 53202
(Address of principal executive offices) (Zip code)

 

Kristina R. Nelson

ETF Series Solutions

615 East Michigan Street

Milwaukee, WI 53202
(Name and address of agent for service)

 

(414) 765-6076

Registrant's telephone number, including area code

 

Date of fiscal year end: August 31

 

Date of reporting period: August 31, 2021

 

 

 

Item 1. Reports to Stockholders.

 

(a)

 

 

Annual Report

 

August 31, 2021

 

Nationwide ETFs

 

Nationwide Risk-Based U.S. Equity ETF | RBUS

 

Nationwide Risk-Based International Equity ETF | RBIN

 

Nationwide Maximum Diversification U.S. Core Equity ETF | MXDU

 

Nationwide Risk-Managed Income ETF | NUSI

 

 

 

This page intentionally left blank

 

 

Nationwide ETFs

 

 

Table of Contents

 

 

Page

Message to Investors

1

Fund Commentaries

3

Fund Performance

11

Portfolio Allocations

15

Schedules of Investments

16

Statements of Assets and Liabilities

35

Statements of Operations

36

Statements of Changes in Net Assets

37

Financial Highlights

41

Notes to Financial Statements

45

Report of Independent Registered Public Accounting Firm

57

Trustees and Officers

58

Expense Examples

60

Review of Liquidity Risk Management Program

62

Approval of Advisory Agreements and Board Considerations

63

Federal Tax Information

69

Foreign Tax Credit Pass Through

69

Information About Portfolio Holdings

70

Information About Proxy Voting

70

Frequency Distribution of Premiums and Discounts

70

 

 

 

Message to Investors (Unaudited)

 

 

August 31, 2021

 

Dear Investor,

 

During this unprecedented time of challenge and volatility, Nationwide continues to diligently care for our associates, communities and ultimately you, our investors. We remain steadfast in our commitment of protecting people, businesses, and futures with extraordinary care.

 

U.S. economic activity improved despite unprecedented challenges from COVID-19, though lasting implications remain unclear.

 

Equity markets were sharply higher during the annual reporting period ended August 31, 2021 as vaccine optimism, economic reopening and continued fiscal and monetary stimulus drove investor activity. Economic growth was unprecedented following the also unprecedented damage caused by the Covid-19 pandemic, with growth rates of 33.8%, 4.5%, 6.3% and 6.6% for the four calendar quarters of the reporting period respectively (3Q20-2Q21). Economists estimate continued growth of another 7% in the third quarter of 2021 and 6% in the fourth quarter of 2021, resulting in an estimated cumulative growth of 6% for the full calendar year, which would be the fastest growth since 1984. Corporate profits also saw a rebound through the period, reflected by the S&P 500® Index (“S&P 500”) showing a 7% decline during the third quarter of 2020, but rebounds of +1%, +47% and +87% through the remaining quarters as recovery intensified, and the comparisons eased. Continued growth is estimated up to 43% for the full year of 2021.

 

The S&P 500 was higher during nine of the twelve months of the reporting period.

 

Asset Class

 

Equity markets rallied sharply during the reporting period despite continued uncertainty and volatility, as investors flocked to equities markets as the economic and earnings outlook improved. The S&P 500 began the reporting period sluggish, as markets took a break after the unprecedented rally that followed the bear market in early 2020, with September and October 2020 registering losses of 3.8% and 2.7% respectively. As the economy continued its reopening efforts, political uncertainty began easing, and vaccine optimism surged, the S&P 500 rallied 10.9% and 3.8% in November and December 2020 respectively. The first eight months of 2021 saw steady gains, with a total return of 21.2%, with January as the only month reporting loss. Since the market low in March, the S&P 500 has returned a remarkable 105%. For the full reporting period, the S&P 500 finished with a return of 31.2%. Fixed income returns were mixed, with higher interest rates punishing long-dated bonds, but improving spreads aided credit-sensitive investments.

 

International markets participated in the risk-on environment, with the MSCI EAFE Index returning 26.7% and the MSCI Emerging Markets Index returning 21.1%. Global markets outperformed early in the reporting period, but the strong domestic recovery and vaccination progress leadership drove modest outperformance in domestic markets as the reporting period developed.

 

The market rally was notable for broad participation, compared with the narrow leadership of large-cap technology names over the past several years. Nearly all risk assets saw impressive gains, though value indexes outperformed growth indexes and small-cap indexes staged an impressive rebound versus large-cap indexes. Leading sectors for the period included Financials, Energy, and Communication Services, while Consumer Staples, Consumer Discretionary and Utilities lagged.

 

Fixed-income markets were mixed, with interest rates bouncing from record-low levels in the summer of 2020 offset by improving credit spreads. The Federal Reserve (“Fed”) continues to provide aggressive stimulus, with the Federal Funds target rate effectively 0% and the bond-buying program steady at $120 billion per month, though there are hints there will be tapering next year. The Federal Reserve’s balance sheet has nearly doubled during the past 18 months, with current assets at $8.3 trillion. Interest rates spiked in the first half of the reporting period, with the 10-year Treasury yield rising from 0.40% to 1.74% in March 2021 before falling to 1.30% by the end of the reporting period on fading inflation concerns. The 2-year yield rose modestly to 0.20% from 0.13%, as investors begin to bet that the Fed will raise interest rates next year. Credit spreads narrowed throughout the period as investors continued to search for yield.

 

1

 

 

 

Message to Investors (Unaudited) (Continued)

 

 

August 31, 2021

 

The market movement has been impressive, but substantial challenges remain to bring the economy back to a sense of normalcy and a self-sustaining position without use of aggressive fiscal and monetary policy. As volatility continues in the markets, it is important to remember that investing is a long-term process. While difficult, it is often wise to remain vigilant and informed during periods of stress and avoid the temptation to try to react emotionally, as it often leads to suboptimal outcomes. As always, we feel that the best way for you to reach your financial goals is to consistently adhere to a disciplined and patient investment strategy, based on sound asset allocations, a long-term perspective, and regular conversations with your financial professional.

 

At Nationwide, we continue to take a steady approach to seeking long-term growth. We remain confident in our ability to help investors navigate the markets for years to come. Thank you for investing with us. We deeply value your trust.

 

Sincerely,

 

 

Michael S. Spangler

 

President and CEO

 

Nationwide Fund Advisors

 

The following chart provides returns of various market segments for the annual reporting period ended August 31, 2021:

 

Index

Annual Total Return
(as of August 31, 2021)

Bloomberg Barclays Emerging Markets USD Aggregate Bond

3.73%

Bloomberg Barclays Municipal Bond

3.40%

Bloomberg Barclays U.S. 1-3 Year Government/Credit Bond

0.39%

Bloomberg Barclays U.S. 10-20 Year Treasury Bond

-6.70%

Bloomberg Barclays U.S. Aggregate Bond

-0.08%

Bloomberg Barclays U.S. Corporate High Yield

10.14%

MSCI EAFE

26.65%

MSCI Emerging Markets

21.12%

MSCI ACWI ex USA

24.87%

Russell 1000® Growth

28.53%

Russell 1000® Value

36.44%

Russell 2000®

47.08%

S&P 500®

31.17%

 

Source: Morningstar

 

Market Index Definitions

 

Bloomberg Emerging Markets USD Aggregate Bond Index: The Bloomberg Emerging Markets USD Aggregate Bond Index is a flagship hard currency Emerging Markets debt benchmark that includes fixed and floating-rate US dollar-denominated debt issued from sovereign, quasi-sovereign, and corporate EM issuers.

 

Bloomberg Municipal Bond Index: The Bloomberg Municipal Index covers the USD denominated long-term tax-exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds, and pre-refunded bonds.

 

Barclays Capital U.S. Intermediate Government/Credit Bond Index: Index measures the performance of U.S. Dollar denominated U.S. Treasuries, government-related and investment grade U.S. corporate securities that have a remaining maturity of greater than one year and less than ten years.

 

Barclays Capital U.S. 10-20 Year Treasury Bond Index: The index measures the performance of U.S. Treasury securities that have a remaining maturity of at least 10 years and less than 20 years.

 

Bloomberg Barclays U.S. Aggregate Bond Index: An unmanaged, market value-weighted index of U.S. dollar-denominated investment-grade, fixed-rate, taxable debt issues, which includes Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities and commercial mortgage-backed securities (agency and non-agency).

 

The Bloomberg US Corporate High Yield Bond Index: Measures the USD-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch and S&P is Ba1/BB+/BB+ or below.

 

MSCI EAFE Index: An unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure the performance of large-cap and mid-cap stocks in developed markets as determined by MSCI; excludes the United States and Canada.

 

MSCI Emerging Markets Index: An unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure the performance of large-cap and mid-cap stocks in emerging-country markets as determined by MSCI.

 

MSCI ACWI ex USA Growth: An unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure the performance of large-cap and mid-cap growth stocks in global developed and emerging markets as determined by MSCI; excludes the United States.

 

Russell 1000® Growth Index: An unmanaged index that measures the performance of the large-capitalization growth segment of the U.S. equity universe; includes those Russell 1000® Index companies with higher price-to-book ratios and higher forecasted growth values.

 

Russell 1000® Value Index: An unmanaged index that measures the performance of the large-capitalization value segment of the U.S. equity universe; includes those Russell 1000® Index companies with lower price-to-book ratios and lower forecasted growth values.

 

Russell 2000® Index: An unmanaged index that measures the performance of the small-capitalization segment of the U.S. equity universe.

 

S&P 500® Index: An unmanaged, market capitalization-weighted index of 500 stocks of leading large-cap U.S. companies in leading industries; gives a broad look at the U.S. equities market and those companies’ stock price performance.

 

2

 

 

 

Fund Commentaries (Unaudited)

Nationwide Risk-Based U.S. Equity ETF

 

August 31, 2021

 

The Nationwide Risk-Based U.S. Equity ETF (the “Fund”) experienced positive performance during the reporting period, returning 25.66% (net asset value (“NAV”)) during the reporting period from September 1, 2020 through August 31, 2021. For comparison, the Fund’s benchmark, the S&P 500® Index, returned 31.17% for the reporting period. The median return for the Fund’s Morningstar® peer category, US ETF Large Blend, was 31.14%. The Fund’s underlying index, the Rothschild & Co. Risk-Based US IndexSM, returned 26.12% over the same period.

 

The Fund did not hold derivatives during the reporting period.

 

The Fund underperformed the S&P 500® Index by 551 basis points during the reporting period. The underperformance was not surprising, as the Fund operates with a systematic bias toward owning stable and more defensive investments. During the reporting period, the U.S. equity market had a first quarter selloff, followed by very rapid recovery supported strong monetary policy assistance. Optimism fueled by economic reopening along with highly effective vaccines, rewarded risk seeking investments.

 

From a sector positioning perspective, the underperformance of the Fund can be primarily attributed to a significantly overweight allocation in Consumer Staples and a large underweighting in Financials. From a stock selection perspective, the Communication Services, Consumer Staples, Financials, and Industrial sectors were all large detractors.

 

Top individual detractors from relative Fund performance during the reporting period were the Fund’s underweight position in Alphabet, Inc. - Class A (GOOGL), which substantially outperformed during the period; an overweighted position in Clorox Company (CLX), which posted a return of -23.10%; and not owning NVIDIA Corporation (NVDA), which also significantly outperformed the index. The Fund continues to own Alphabet, Inc. - Class A and Clorox Company and has not purchased NVIDIA Corporation.

 

Conversely, top contributors from a sector positioning perspective were underweighting in the Information Technology and Consumer Discretionary sectors. Strong stock selection within these two sectors as well as the Health Care sector were top contributors to relative performance.

 

Top individual contributors to relative Fund performance during the reporting period were Moderna, Inc. (MRNA), which was up sharply due to optimism related to the company’s potential COVID-19 Vaccine; Zoom Video Communications, Inc. (ZM), a videotelephony services provider, which has benefitted from the pandemic-driven acceleration of teleconferencing and distance learning; and Roku, Inc. (ROKU), a video streaming company similarly benefited from the pandemic stay at home theme. As of August 31, 2021, the Fund continues to own Zoom Video Communications, Inc., but no longer owns shares in Roku, Inc. or Moderna, Inc.

 

Subadviser: Vident Investment Advisory, LLC

 

Portfolio Managers: Rafael Zayas, CFA and Austin Wen, CFA

 

Must be preceded or accompanied by a prospectus.

 

*Morningstar Rankings represent a fund’s total-return percentile rank relative to all funds that have the same Morningstar Category. The highest percentile rank is 1, and the lowest is 100. It is based on Morningstar total return, which includes both income and capital gains or losses and is not adjusted for sales charges or redemption fees. Past performance does not guarantee future results.

 

© 2021 Morningstar, Inc. All Rights Reserved. The information contained herein (1) is proprietary to Morningstar (2) may not be copied or distributed and (3) is not warranted to be accurate, complete, or timely. Neither Morningstar nor its content providers

 

3

 

 

 

Fund Commentaries (Unaudited) (Continued)

Nationwide Risk-Based U.S. Equity ETF

 

August 31, 2021

 

are responsible for any damages or losses arising from any use of this information.

 

Investing involves risk, including the possible loss of principal. Shares of any ETF are bought and sold at market price (not NAV), may trade at a discount or premium to NAV and are not individually redeemed from the Fund. Brokerage commissions will reduce returns. The Fund’s return may not match or achieve a high degree of correlation with the return of the underlying index. The Fund is subject to the risks of investing in equity securities. Please refer to the summary prospectus for a more detailed explanation of the Fund’s principal risks. There is no assurance that the investment objective of any Fund will be achieved. Diversification does not assure a profit or protect against a loss in a declining market. Fund holdings and/or sector allocations are subject to change at any time and are not recommendations to buy or sell any security. For a complete listing of the Fund’s holdings, please refer to the Schedule of Investments in this report.

 

Nationwide Fund Advisors (“NFA”) is the registered investment advisor to Nationwide ETFs, which are distributed by Quasar Distributors LLC. NFA is not affiliated with any distributor, subadvisor, or index provider contracted by NFA for the Nationwide ETFs. Nationwide is not an affiliate of third-party sources such as Morningstar, Inc. or MSCI. Representatives of the Nationwide ETF Sales Desk are registered with Nationwide Investment Services Corporation (“NISC”), member FINRA, Columbus, Ohio.

 

Definitions

 

Basis Point: A common unit of measure for interest rates and other percentages in finance. One basis point is equivalent to one hundredth of one percent. Accordingly, one hundred basis points is the equivalent of one percentage point.

 

Index Definitions

 

Indexes are unmanaged and have been provided for comparison purposes only. No fees or expenses have been reflected. Individuals cannot invest directly in an index.

 

S&P 500® Index: An unmanaged, market capitalization-weighted index of 500 stocks of leading large-cap U.S. companies in leading industries; gives a broad look at the U.S. equities market and those companies’ stock price performance. Indexes are unmanaged and have been provided for comparison purposes only. No fees or expenses have been reflected. Individuals cannot invest directly in an index.

 

The Rothschild & Co Risk-Based US IndexSM (“Index”) is a rules based; equal risk-weighted index that provides exposure to large cap U.S. listed companies. The Index seeks to lower volatility, reduce maximum drawdown, and enhance the Sharpe ratio, all without curtailing returns.

 

The Index is a product of, the marketing name for, and a licensed trademark of Rothschild Risk Based Investments LLC (collectively with its affiliates, “Rothschild”). “Rothschild®”, the Index, and “Rothschild Indexes” are trade and service marks of Rothschild and have been licensed for use for certain purposes by Nationwide Fund Advisors. Nationwide Risk-Based U.S. Equity ETF (“ETF”) is not sponsored or sold by Rothschild, and Rothschild makes no representation or warranty, express or implied, regarding the ETF to the owners of the ETF or any member of the public.

 

4

 

 

 

Fund Commentaries (Unaudited)

Nationwide Risk-Based International Equity ETF

 

August 31, 2021

 

The Nationwide Risk-Based International Equity ETF (the “Fund”) experienced positive performance during the reporting period from September 1, 2020 through August 31, 2021. The Fund returned 17.70% (net asset value (“NAV”)) versus 26.65% for the Fund’s benchmark, the MSCI EAFE Index. The median return of the Fund’s Morningstar® peer category, U.S. ETF Foreign Large Blend, was 26.35%. The Fund’s underlying index, the Rothschild & Co. Risk-Based International IndexSM, registered 18.79% over the same period.

 

The Fund did not hold derivatives during the reporting period.

 

The Fund underperformed the MSCI EAFE Index by 8.95% during the reporting period. This result was not surprising considering the Fund’s strategy generally takes a defensive stance, and the reporting period consisted of a massive post-COVID equity rally, sustained by the roll out of highly effective vaccines.

 

The sectors that detracted from performance relative to the benchmark were: Financials, Industrials, and Information Technology. For the Financials and Information Technology sectors, both their relative positioning as well as stock selection underperformed, whereas the industrials sector detractors were primarily due to stock selection.

 

Top individual detractors from relative Fund performance during the reporting period were underweighted positions held in: 1) ASML Holding NV (ASML NV), semi names in general had a strong rally during the reporting period; 2) Toyota Motor Corporation (7203 JP), the auto manufacturer rallied significantly after the Q1 selloff; and 3) Commonwealth Bank of Australia (CBA AU). The Fund currently only holds Toyota Motor Corporation (7203 JP) and has sold the holdings in ASML NV, and CBA AU.

 

The sectors that contributed to relative performance were Health Care and Real Estate. Within the Real Estate sector, positioning and stock selection contributed to positive performance. Within the Health Care sector, only stock selection contributed to relative performance.

 

Top individual contributors to relative Fund performance during the reporting period were the Fund’s overweighted positions in 1) Ajinomoto Company, Inc. (2802 JP), a large Japanese consumer staples company that benefited from global stay at home trends; 2) Shimano, Inc. (7309 JP), a leading manufacturer of bicycle components and other outdoor equipment given that bicycles were one of the most in demand products during the pandemic, creating a huge global shortage, catapulting Shimano’s stock price; and 3) Jardine Matheson Holdings, Ltd. (JM SP), a Singaporean industrial conglomerate operating in Southeast Asia. The Fund continues to hold all three stocks.

 

At a country level, the top detractors to relative Fund performance during the reporting period were allocations in Switzerland, France and the Netherlands, and the top contributors were allocations in Singapore, Belgium and Portugal.

 

Must be preceded or accompanied by a prospectus.

 

*Morningstar Rankings represent a fund’s total-return percentile rank relative to all funds that have the same Morningstar Category. The highest percentile rank is 1, and the lowest is 100. It is based on Morningstar total return, which includes both income and capital gains or losses and is not adjusted for sales charges or redemption fees. Past performance does not guarantee future results.

 

© 2021 Morningstar, Inc. All Rights Reserved. The information contained herein (1) is proprietary to Morningstar (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Investing involves risk, including the possible loss of principal. Shares of any ETF are bought and sold

 

5

 

 

 

Fund Commentaries (Unaudited) (Continued)

Nationwide Risk-Based International Equity ETF

 

August 31, 2021

 

at market price (not NAV), may trade at a discount or premium to NAV and are not individually redeemed from the Fund. Brokerage commissions will reduce returns. The Fund’s return may not match or achieve a high degree of correlation with the return of the underlying index.

 

The Fund is subject to the risks of investing in equity securities. The Fund also is subject to the risks of investing in foreign securities (which are volatile, harder to price and less liquid than U.S. securities). Please refer to the summary prospectus for a more-detailed explanation of the Fund’s principal risks. There is no assurance that the investment objective of any Fund will be achieved. Diversification does not assure a profit or protect against a loss in a declining market.

 

Fund holdings and/or sector allocations are subject to change at any time and are not recommendations to buy or sell any security. For a complete listing of the Fund’s holdings, please refer to the Schedules of Investments in this report. Nationwide Fund Advisors (“NFA”) is the registered investment advisor to Nationwide ETFs, which are distributed by Quasar Distributors LLC. NFA is not affiliated with any distributor, subadviser, or index provider contracted by NFA for the Nationwide ETFs. Nationwide is not an affiliate of third-party sources such as Morningstar, Inc. or MSCI. Representatives of the Nationwide ETF Sales Desk are registered with Nationwide Investment Services Corporation (“NISC”), member FINRA, Columbus, Ohio.

 

Index Definitions

 

Indexes are unmanaged and have been provided for comparison purposes only. No fees or expenses have been reflected. Individuals cannot invest directly in an index.

 

MSCI EAFE Index: An unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure the performance of large-cap and mid-cap stocks in developed markets as determined by MSCI; excludes the United States and Canada.

 

The Rothschild & Co Risk-Based International IndexSM (“Index”) is a rules-based, equal risk-weighted index that provides exposure to large-cap companies in developed markets, excluding North America. The Index seeks to lower volatility, reduce maximum drawdown, and enhance the Sharpe ratio, all without curtailing returns. The Index is a product of, the marketing name for, and a licensed trademark of Rothschild Risk Based Investments LLC (collectively with its affiliates, “Rothschild”). “Rothschild®”, the Index, and “Rothschild Indexes” are trade and service marks of Rothschild and have been licensed for use for certain purposes by Nationwide Fund Advisors. Nationwide Risk-Based International Equity ETF (“ETF”) is not sponsored or sold by Rothschild, and Rothschild makes no representation or warranty, express or implied, regarding the ETF to the owners of the ETF or any member of the public.

 

6

 

 

 

Fund Commentaries (Unaudited)

Nationwide Maximum Diversification U.S. Core Equity ETF

 

August 31, 2021

 

The Nationwide Maximum Diversification U.S. Core Equity ETF (“the Fund”) experienced positive performance during the reporting period, returning 26.54% (net asset value (“NAV”)) during the reporting period from September 1, 2020 through August 31, 2021. The Fund underperformed its benchmark, the MSCI USA Index by 532 basis points, which returned 31.86% during the reporting period. The Fund’s Morningstar® peer category, U.S. Large Blend, returned 31.14%. The Fund’s underlying index, the TOBAM Maximum Diversification® USA Index, returned 27.00% over the same period.

 

The Fund did not hold derivatives during the reporting period.

 

The underperformance relative to the benchmark over the period was the result of both sector positioning and stock selection. From a sector perspective, the Fund was hurt from an overweighting in the Consumer Staples, Consumer Discretionary, and Health Care sectors. Additionally, the Fund’s returns suffered from underweighting in the Financial and Industrial sectors. The inflation trade was beneficial for the Financials sectors, which was up 56% during the period. Conversely, the Fund experienced positive sector allocation from Information Technology, Real Estate, and Materials. Most notably, the Fund benefitted from a large underweight in the Information Technology sector.

 

At the stock selection level, the Fund experienced weak stock selection in the Information Technology, Consumer Staples, Materials, and Financial sectors. Within the Information Technology sector, the top individual detractors were Zoom Video Communications, Inc. (ZM), DocuSign, Inc. (DOCU), and RingCentral, Inc. (RNG), names that benefited from the stay-at-home trend in early 2020. Within Consumer Staples, Clorox Company (CLX), General Mills, Inc. (GIS), and Conagra Brands, Inc. (CAG) were the largest detractors. The Fund benefitted from strong stock selection within Communication Services, Health Care, and Real Estate sectors. Top Individual Contributors consisted of, Moderna, Inc. (MRNA), Snap, Inc. (SNAP), Roku, Inc. (ROKU), and Extra Space Storage, Inc. (EXR).

 

Sub-Adviser Vident Investment Advisory, LLC

 

Portfolio Managers Austin Wen, CFA, and Rafael Zayas, CFA, SVP, Head of Portfolio Management and Trading

 

Must be preceded or accompanied by a prospectus.

 

*Morningstar Rankings represent a fund’s total-return percentile rank relative to all funds that have the same Morningstar Category. The highest percentile rank is 1 and the lowest is 100. It is based on Morningstar total return, which includes both income and capital gains or losses and is not adjusted for sales charges or redemption fees. Past performance does not guarantee future results.

 

© 2021 Morningstar, Inc. All Rights Reserved. The information contained herein (1) is proprietary to Morningstar (2) may not be copied or distributed and (3) is not warranted to be accurate, complete, or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

 

Investing involves risk, including the possible loss of principal. Shares of any ETF are bought and sold at market price (not NAV), may trade at a discount or premium to NAV and are not individually redeemed from the Fund. Brokerage commissions will reduce returns. The Fund’s return may not match or achieve a high degree of correlation with the return of the underlying index. The Fund is subject to the risks of investing in equity securities. Please refer to the summary prospectus for a more-detailed explanation of the Fund’s principal risks. There is no assurance that the investment objective of any Fund will be achieved. Diversification does not assure a profit or protect against a loss in a declining market.

 

Fund holdings and/or sector allocations are subject to change at any time and are not recommendations to buy or sell any security. For a complete listing of the Fund’s holdings, please refer to the Schedules of Investments in this report. Nationwide Fund Advisors (“NFA”) is the registered investment advisor to Nationwide ETFs, which are distributed by Quasar Distributors LLC. NFA is not affiliated with any distributor, subadvisor, or index provider contracted by NFA for the Nationwide ETFs. Nationwide is not an affiliate of third-party sources such as Morningstar, Inc. or MSCI. Representatives of the Nationwide ETF Sales Desk are registered with Nationwide Investment Services Corporation (“NISC”), ember FINRA, Columbus, Ohio.

 

7

 

 

 

Fund Commentaries (Unaudited) (Continued)

Nationwide Maximum Diversification U.S. Core Equity ETF

 

August 31, 2021

 

Indexes are unmanaged and have been provided for comparison purposes only. No fees or expenses have been reflected. Individuals cannot invest directly in an index.

 

Definitions

 

Basis Point: A common unit of measure for interest rates and other percentages in finance. One basis point is equivalent to one hundredth of one percent. Accordingly, one hundred basis points is the equivalent of one percentage point.

 

Earnings per share (EPS): The portion of a company’s profit allocated to each share of common stock. Earnings per share serve as an indicator of a company’s profitability.

 

Funds from Operations (FFO): The figure used by real estate investment trusts (REITs) to define cash flow from their operations. FFO is calculated by adding depreciation and amortization to earnings and then subtracting any gains on sales.

 

Index Definitions

 

MSCI USA Index: An unmanaged index created by Morgan Stanley Capital International (“MSCI”) that measures the performance of the large- and mid-cap segments of the U.S. market. The index covers approximately 85% of the free float adjusted market capitalization in the United States. Indexes are unmanaged and have been provided for comparison purposes only. No fees or expenses have been reflected. Individuals cannot invest directly in an index. The TOBAM Maximum Diversification® USA Index (“Index”): A systematic, rules-based index that provides exposure to mid-and large-cap U.S. listed companies. TOBAM applies liquidity and socially responsible investment screens in determining the investable universe. The Index seeks to maximize a mathematical definition of diversification, the Diversification Ratio®, to provide investors with the most diversified portfolio possible in any given stock universe across global and domestic markets. The Diversification Ratio®: A proprietary metric based on the volatility of each index constituent and its correlation to the other index constituents. Constituents are weighted so that each effective risk factor evenly contributes to the risk of the portfolio, subject to active share constraints.

 

Index data copyright ©2020, TOBAM S.A.S. All rights reserved. Maximum Diversification is a registered trademark and service mark of TOBAM S.A.S. or its affiliates (“TOBAM”). The Nationwide ETFs (“ETFs”) are not sponsored, endorsed, issued, sold, or promoted by TOBAM S.A.S. (“TOBAM”), and TOBAM does not make any representation regarding the advisability of investing in the Funds. Nationwide licenses the use of Maximum Diversification® indexes and is not affiliated with TOBAM or its affiliates. For more details, visit nationwidefinancial.com/products/investments/etfs.

 

8

 

 

 

Fund Commentaries (Unaudited)

Nationwide Risk-Managed Income ETF

 

August 31, 2021

 

The Nationwide Risk-Managed Income ETF Fund experienced positive performance during the reporting period from September 1, 2020 through August 31, 2021, returning 9.61% (net asset value (“NAV)). The Fund underperformed its benchmark, the Cboe S&P 500® Zero-Cost Put Spread Collar Index (CLLZ) by 1,376 basis points. The benchmark returned 23.37% over the same period.

 

The Fund underperformance is directly attributed to the market environment in the final days of August leading into September 2020. Immediately following the rolling of positions following August options’ expiration, the Nasdaq-100® Index (“Nasdaq-100”) traded higher than expected by roughly 7%. This forced the short call options to be closed per the rules-based model. This occurred as the market topped out and proceeded to sell off by roughly 10%. The long puts, despite being 4% out-of-the-money when being purchased, were then greater than 10% out-of-the-money and remained irrelevant despite the material nature of the market contraction.

 

The Fund typically consists of an equity portfolio that is a full replication of the Nasdaq 100 holdings with an options collar consisting of a short Nasdaq 100 call option and a long Nasdaq 100 put option. The options collar is rolled monthly with the expiration one month out. Per the SEC, in order to be considered a derivative, a financial instrument must involve a future payment or asset delivery obligation. The put option used in the collar, for which the fund has paid a single, non-refundable premium, is not a “derivative”. Although the covered call used in the collar creates neither liquidity nor leverage risks, the call option however does create a future delivery obligation, which makes it a “derivative”.

 

On a weighted basis, the top contributing equity holdings during the reporting period were Microsoft Corporation (MSFT), Moderna, Inc. (MRNA), and Alphabet, Inc. - Class C (GOOG), returning 3.35%, 3.25%, and 3.10% respectively during the reporting period. Conversely, the top detractors from Fund performance were Amgen, Inc. (AMGN), Vertex Pharmaceuticals, Inc. (VRTX), and Zoom Video Communications, Inc. (ZM), returning -0.11%, -0.11% and -0.07% respectively. The Fund continues to hold these securities as the Fund replicates the Nasdaq 100 Index and they are still a part of the Index.

 

At the sector level, Technology, Communication Services, and Consumer Discretionary provided the largest positive allocation effect during the reporting period returning 11%, 10.86%, and 6.16% respectively. The Fund’s exposure to Utilities, Industrials, and Consumer Staples diminished relative performance over the same period returning 0.16%, 0.43%, and 1.52% respectively.

 

The Fund has continued to distribute 0.65% on a monthly basis while bringing in new assets month over month during the reporting period.

 

There were no liquidity events during the reporting period.

 

Subadviser: Harvest Volatility Management, LLC

 

Portfolio Managers: Troy Cates, Garrett Paolella, and Curt Brockelman

 

Must be preceded or accompanied by a prospectus.

 

Investing involves risk, including the possible loss of principal. Shares of any ETF are bought and sold at market price (not NAV), may trade at a discount or premium to NAV and are not individually redeemed from the Fund. Brokerage commissions will reduce returns.

 

KEY RISKS: The Fund is subject to the risks of investing in equity securities, including tracking stock (a class of common stock that “tracks” the performance of a unit or division within a larger company). A tracking stock’s value may decline even if the larger company’s stock increases in value. The Fund is subject to the risks of investing in foreign securities (currency fluctuations, political risks, differences in accounting and limited availability of information, all of which are magnified in emerging markets). The Fund may invest in more-aggressive investments such as derivatives (which create investment leverage and illiquidity and are highly volatile). The Fund employs a collared options strategy (using call and put options is speculative and can lead to losses because of adverse movements in the price or value of the reference asset). The success of the Fund’s investment strategy may depend on the effectiveness of the subadviser’s quantitative tools for screening securities and on data provided by third parties.

 

The Fund expects to invest a portion of its assets to replicate the holdings of an index. Correlation between Fund performance and index performance may be affected by Fund expenses and because the Fund may not be invested fully in the securities of the index or may hold securities not included in the index. The Fund frequently may buy and sell portfolio securities and other assets to rebalance its exposure to various market sectors. Higher portfolio turnover may result in higher levels of transaction costs paid by the Fund and greater tax liabilities for shareholders. The Fund may concentrate on specific sectors

 

9

 

 

 

Fund Commentaries (Unaudited) (Continued)

Nationwide Risk-Managed Income ETF

 

August 31, 2021

 

or industries, subjecting it to greater volatility than that of other ETFs. The Fund may hold large positions in a small number of securities, and an increase or decrease in the value of such securities may have a disproportionate impact on the Fund’s value and total return. Although the Fund intends to invest in a variety of securities and instruments, the Fund will be considered nondiversified. Additional Fund risk includes: Collared options strategy risk, correlation risk, derivatives risk, foreign investment risk, and industry concentration risk.

 

The Fund’s return may not match or achieve a high degree of correlation with the return of the underlying index. The Fund is subject to the risks of investing in equity securities. Please refer to the summary prospectus for a more detailed explanation of the Fund’s principal risks. There is no assurance that the investment objective of any fund will be achieved. Diversification does not assure a profit or protect against a loss in a declining market. Fund holdings and/or sector allocations are subject to change at any time and are not recommendations to buy or sell any security. For a complete listing of the Fund’s holdings, please refer to the Schedule of Investments in this report.

 

Nasdaq® and the Nasdaq-100® are registered trademarks of Nasdaq, Inc. (which with its affiliates is referred to as the “Corporations”) and are licensed for use by Nationwide Fund Advisors. The Product has not been passed on by the Corporations as to their legality or suitability. The Product is not issued, endorsed, sold, or promoted by the Corporations. The Corporations make no warranties and bear no liability with respect to the product.

 

Nationwide Fund Advisors (“NFA”) is the registered investment advisor to Nationwide ETFs, which are distributed by Quasar Distributors LLC. NFA is not affiliated with any distributor, subadvisor, or index provider contracted by NFA for the Nationwide ETFs. Nationwide is not an affiliate of third-party sources such as Morningstar, Inc. or MSCI. Representatives of the Nationwide ETF Sales Desk are registered with Nationwide Investment Services Corporation (“NISC”), member FINRA, Columbus, Ohio. Indexes are unmanaged and have been provided for comparison purposes only. No fees or expenses have been reflected. Individuals cannot invest directly in an index.

 

Definitions

 

Annualized Distribution Yield: Calculated by annualizing the most recent distribution and dividing by the most recent fund NAV. The yield represents a single distribution from the fund and does not represent total return of the fund.

 

Basis Point: A common unit of measure for interest rates and other percentages in finance. One basis point is equivalent to one hundredth of one percent. Accordingly, one hundred basis points is the equivalent of one percentage point.

 

Call options: Financial contracts that give the option buyer the right, but not the obligation, to buy a stock, bond, commodity, or other asset or instrument at a specified price within a specific time period.

 

Out-of-the-money: When the market price of an instrument on which you hold an option is not close to the strike price.

 

Options Collar: A collar is an options strategy that involves buying a downside put and selling an upside call that is implemented to protect against large losses, but which also limits large upside gains. The protective collar strategy involves two strategies known as a protective put and covered call.

 

Put: An option that gives the right, but not the obligation, to sell a certain amount of the underlying asset at a set price within a specific time.

 

Rolling positions: An effective way to increase trade duration and gives you more time to be right with assumptions and let the probabilities work.

 

Topping out: Denoting a market or a security that is at the end of a period of rising prices and can now be expected to stay on a plateau or even to decline.

 

Index Definitions

 

Cboe NASDAQ-100 Buywrite V2® Index (“BXNT”): The BXNT is a benchmark index that measures the performance of a theoretical portfolio that owns a portfolio of the stocks included in the NASDAQ-100® Index (“NDX”), and “writes” (or sells) NDX covered call options.

 

Cboe S&P 500® Zero-Cost Put Spread Collar Index (“CLLZ”): An unmanaged index designed to track the performance of a hypothetical option trading strategy that 1) holds a long position indexed to the S&P 500® Index; 2) on a monthly basis buys a 2.5% - 5% S&P 500 Index (“SPX”) put option spread, and; 3) sells a monthly out-of-the-money (“OTM”) SPX call option to cover the cost of the put spread. Market index performance is provided by a third-party source Nationwide Funds Group deems to be reliable Morningstar).

 

Cboe Volatility® Index (“VIX”): The first benchmark index to measure the market’s expectation of future volatility. The VIX Index is based on options of the S&P 500® Index, considered the leading indicator of the broad U.S. stock market. The VIX Index is recognized as the world’s premier gauge of U.S. equity market volatility.

 

NASDAQ-100® Index (“NDX”): An unmanaged, market capitalization weighted index of equity securities issued by 100 of the largest non-financial companies, with certain rules capping the influence of the largest components. It is based on exchange, and it is not an index of U.S.-based companies.

 

S&P 500® Index (“SPX”): An unmanaged, market capitalization-weighted index of 500 stocks of leading large-cap U.S. companies in leading industries; gives a broad look at the U.S. equities market and those companies’ stock price performance.

 

10

 

 

 

Fund Performance (Unaudited)

Nationwide Risk-Based U.S. Equity ETF

 

 

Growth of $10,000

 

 

Average Annual Returns
August 31, 2021

One Year

Three Years

Since
Inception
(9/15/2017)

Nationwide Risk-Based U.S. Equity ETF — NAV

25.66%

15.21%

14.48%

Nationwide Risk-Based U.S. Equity ETF — Market

25.56%

15.19%

14.49%

Rothschild & Co Risk-Based US IndexSM

26.12%

15.56%

14.86%

S&P 500® Index

31.17%

18.07%

18.31%

 

This chart illustrates the performance of a hypothetical $10,000 investment made on September 15, 2017 and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The chart assumes reinvestment of capital gains and dividends.

 

The performance data quoted represents past performance; Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. To obtain the most recent month-end performance, go to etf.nationwide.com or call 800-617-0004. The gross expense ratio as of the most recent prospectus is 0.30%.

 

11

 

 

 

Fund Performance (Unaudited)

Nationwide Risk-Based International Equity ETF

 

 

Growth of $10,000

 

 

Average Annual Returns
August 31, 2021

One Year

Three Years

Since
Inception
(9/15/2017)

Nationwide Risk-Based International Equity ETF — NAV

17.70%

6.46%

6.03%

Nationwide Risk-Based International Equity ETF — Market

18.04%

6.49%

5.99%

Rothschild & Co Risk-Based International IndexSM

18.79%

7.35%

6.96%

MSCI EAFE Index

26.65%

9.50%

7.93%

 

This chart illustrates the performance of a hypothetical $10,000 investment made on September 15, 2017 and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The chart assumes reinvestment of capital gains and dividends.

 

The performance data quoted represents past performance; Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. To obtain the most recent month-end performance, go to etf.nationwide.com or call 800-617-0004. The gross expense ratio as of the most recent prospectus is 0.42%.

 

12

 

 

 

Fund Performance (Unaudited)

Nationwide Maximum Diversification U.S. Core Equity ETF

 

 

Growth of $10,000

 

 

Average Annual Returns
August 31, 2021

One Year

Three Years

Since
Inception
(9/15/2017)

Nationwide Maximum Diversification U.S. Core Equity ETF — NAV

26.54%

14.24%

15.65%

Nationwide Maximum Diversification U.S. Core Equity ETF — Market

26.78%

14.15%

15.64%

TOBAM Maximum Diversification® USA Index

27.00%

14.63%

16.05%

MSCI USA Index

31.86%

18.82%

18.89%

 

This chart illustrates the performance of a hypothetical $10,000 investment made on September 15, 2017 and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The chart assumes reinvestment of capital gains and dividends.

 

The performance data quoted represents past performance; Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. To obtain the most recent month-end performance, go to etf.nationwide.com or call 800-617-0004. The gross expense ratio as of the most recent prospectus is 0.34%.

 

13

 

 

 

Fund Performance (Unaudited)

Nationwide Risk-Managed Income ETF

 

 

Growth of $10,000

 

 

Average Annual Returns
August 31, 2021

One Year

Since
Inception
(12/19/2019)

Nationwide Risk-Managed Income ETF — NAV

9.61%

17.32%

Nationwide Risk-Managed Income ETF — Market

9.54%

17.37%

Cboe S&P 500 Zero-Cost Put Spread Collar Index

23.37%

13.50%

 

This chart illustrates the performance of a hypothetical $10,000 investment made on December 19, 2019 and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The chart assumes reinvestment of capital gains and dividends.

 

The performance data quoted represents past performance; Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. To obtain the most recent month-end performance, go to etf.nationwide.com or call 800-617-0004. The gross expense ratio as of the most recent prospectus is 0.68%.

 

14

 

 

 

Portfolio Allocations

Nationwide ETFs

 

As of August 31, 2021 (Unaudited)

 

Nationwide Risk-Based U.S. Equity ETF

Sector

Percentage
of Net
Assets

Health Care

22.5%

Consumer Staples

12.7

Industrials

12.5

Utilities

10.5

Consumer Discretionary

10.5

Financials

9.8

Information Technology

8.7

Communication Services

8.6

Materials

3.1

Energy

0.8

Short-Term Investments and Other Assets and Liabilities

0.3

Total

100.0%

 

Nationwide Risk-Based International Equity ETF

Sector

Percentage
of Net
Assets

Industrials

16.6%

Health Care

14.7

Consumer Staples

12.9

Financials

12.4

Consumer Discretionary

9.3

Communication Services

8.9

Information Technology

7.1

Utilities

7.1

Materials

6.9

Real Estate

2.8

Energy

0.7

Short-Term Investments and Other Assets and Liabilities

0.6

Total

100.0%

 

Nationwide Maximum Diversification U.S. Core Equity ETF

Sector

Percentage
of Net
Assets

Health Care

25.1%(a)

Consumer Discretionary

13.5

Information Technology

13.1

Communication Services

12.6

Consumer Staples

12.4

Financials

5.7

Industrials

5.2

Real Estate

5.0

Utilities

2.8

Materials

2.6

Energy

1.8

Short-Term Investments and Other Assets and Liabilities

0.2

Total

100.0%

 

Nationwide Risk-Managed Income ETF

Sector

Percentage
of Net
Assets

Information Technology

48.7%(a)

Communication Services

19.6

Consumer Discretionary

16.5

Health Care

6.5

Consumer Staples

4.7

Industrials

2.7

Utilities

0.9

Short-Term Investments and Other Assets and Liabilities

0.3

Purchased Options

0.1

Total

100.0%

 

(a)

To the extent that the Fund invests more heavily in particular sectors or the economy, its performance will be especially sensitive to developments that significantly affect those sectors. See Note 9 in the Notes to Financial Statements.

 

15

 

 

 

Schedules of Investments

 

August 31, 2021

 

Nationwide Risk-Based U.S. Equity ETF

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.7%

       

Communication Services — 8.6%

    4,840  

Activision Blizzard, Inc. (b)

  $ 398,671  
    149  

Alphabet, Inc. - Class A (a)

    431,198  
    17,283  

AMC Entertainment Holdings, Inc. - Class A (a)(b)

    814,548  
    31,860  

AT&T, Inc.

    873,601  
    730  

Charter Communications, Inc. - Class A (a)(b)

    596,162  
    7,366  

Comcast Corporation - Class A

    446,969  
    22,057  

Discovery, Inc. - Series A (a)(b)

    636,123  
    3,589  

Electronic Arts, Inc.

    521,159  
    1,012  

Facebook, Inc. - Class A (a)

    383,933  
    12,769  

Fox Corporation - Class A (b)

    478,071  
    3,102  

Liberty Broadband Corporation - Class A (a)

    576,258  
    42,562  

Lumen Technologies, Inc. (b)

    523,513  
    848  

Netflix, Inc. (a)

    482,673  
    5,671  

Omnicom Group, Inc. (b)

    415,231  
    3,018  

Take-Two Interactive Software, Inc. (a)

    486,562  
    2,974  

T-Mobile US, Inc. (a)

    407,497  
    16,668  

Verizon Communications, Inc.

    916,740  
    14,985  

ViacomCBS, Inc. - Class B

    621,128  
    3,000  

Walt Disney Company (a)

    543,900  
    16,679  

Warner Music Group Corporation - Class A

    633,802  
              11,187,739  
       

Consumer Discretionary — 10.5%

    2,257  

Advance Auto Parts, Inc.

    457,832  
    111  

Amazon.com, Inc. (a)

    385,258  
    359  

AutoZone, Inc. (a)

    556,146  
    3,277  

Best Buy Company, Inc.

    381,803  
    6,175  

Chewy, Inc. - Class A (a)(b)

    544,141  
    283  

Chipotle Mexican Grill, Inc. (a)(b)

    538,642  
    2,464  

Dollar General Corporation

    549,250  
    5,143  

Dollar Tree, Inc. (a)

    465,647  
    2,144  

Domino’s Pizza, Inc. (b)

    1,108,212  
    6,195  

eBay, Inc. (b)

    475,404  
    2,312  

Ferrari NV

    502,629  
    2,757  

Garmin, Ltd.

    480,903  
    3,342  

Genuine Parts Company

    408,359  
    1,391  

Home Depot, Inc.

    453,716  
    1,887  

Lowe’s Companies, Inc.

    384,740  
    2,539  

McDonald’s Corporation

    602,911  
    3,359  

NIKE, Inc. - Class B

    553,362  
    69  

NVR, Inc. (a)(b)

    357,416  
    987  

O’Reilly Automotive, Inc. (a)

    586,358  
    3,273  

Peloton Interactive, Inc. - Class A (a)(b)

  327,922  
    860  

Pool Corporation

    425,098  
    3,891  

Starbucks Corporation

    457,154  
    2,372  

Target Corporation

    585,837  
    2,277  

Tractor Supply Company

    442,307  
    1,707  

Whirlpool Corporation (b)

    378,152  
    9,013  

Yum China Holdings, Inc.

    554,840  
    4,573  

Yum! Brands, Inc.

    599,200  
              13,563,239  
       

Consumer Staples — 12.7%

    11,334  

Altria Group, Inc.

    569,307  
    8,407  

Archer-Daniels-Midland Company

    504,420  
    5,458  

Brown-Forman Corporation - Class B

    383,261  
    7,535  

Church & Dwight Company, Inc.

    630,378  
    5,651  

Clorox Company (b)

    949,650  
    10,043  

Coca-Cola Company

    565,521  
    8,436  

Colgate-Palmolive Company

    657,586  
    15,934  

Conagra Brands, Inc. (b)

    527,734  
    1,895  

Constellation Brands, Inc. - Class A

    400,110  
    1,507  

Costco Wholesale Corporation

    686,423  
    1,435  

Estee Lauder Companies, Inc. - Class A

    488,603  
    10,556  

General Mills, Inc.

    610,242  
    3,461  

Hershey Company

    615,020  
    11,834  

Kellogg Company (b)

    747,199  
    15,965  

Keurig Dr Pepper, Inc.

    569,471  
    6,317  

Kimberly-Clark Corporation (b)

    870,546  
    11,569  

Kraft Heinz Company (b)

    416,368  
    23,489  

Kroger Company (b)

    1,081,199  
    5,458  

McCormick & Company, Inc.

    470,971  
    8,523  

Mondelez International, Inc. - Class A

    529,023  
    4,650  

Monster Beverage Corporation (a)

    453,701  
    3,605  

PepsiCo, Inc.

    563,786  
    6,647  

Philip Morris International, Inc.

    684,641  
    4,827  

Procter & Gamble Company

    687,317  
    8,252  

Tyson Foods, Inc. - Class A

    647,947  
    9,418  

Walgreens Boots Alliance, Inc.

    477,964  
    4,913  

Walmart, Inc.

    727,615  
              16,516,003  
       

Energy — 0.8%

    7,274  

Cheniere Energy, Inc. (a)

    636,184  
    25,685  

Kinder Morgan, Inc.

    417,895  
              1,054,079  

 

The accompanying notes are an integral part of these financial statements.

 

16

 

 

 

Schedules of Investments (Continued)

 

August 31, 2021

 

Nationwide Risk-Based U.S. Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.7% (Continued)

       

Financials — 9.8%

    4,200  

Allstate Corporation

  $ 568,176  
    2,161  

Aon plc - Class A

    619,904  
    7,341  

Ares Management Corporation - Class A

    566,578  
    3,680  

Arthur J. Gallagher & Company

    528,522  
    10,764  

Bank of New York Mellon Corporation

    594,387  
    1,910  

Berkshire Hathaway, Inc. - Class B (a)

    545,821  
    4,582  

Blackstone, Inc. (b)

    576,095  
    3,119  

Chubb, Ltd.

    573,646  
    3,679  

Cincinnati Financial Corporation

    453,989  
    2,515  

CME Group, Inc.

    507,326  
    2,545  

First Republic Bank/CA (b)

    506,302  
    1,376  

Goldman Sachs Group, Inc.

    568,990  
    7,559  

Hartford Financial Services Group, Inc.

    508,116  
    3,917  

Intercontinental Exchange, Inc.

    468,199  
    347  

Markel Corporation (a)

    440,777  
    903  

MarketAxess Holdings, Inc. (b)

    429,756  
    3,597  

Marsh & McLennan Companies, Inc.

    565,448  
    1,158  

Moody’s Corporation

    440,932  
    716  

MSCI, Inc.

    454,359  
    2,279  

Nasdaq, Inc.

    446,183  
    5,408  

Progressive Corporation

    521,007  
    1,033  

S&P Global, Inc.

    458,466  
    4,368  

Tradeweb Markets, Inc. - Class A

    380,060  
    2,986  

Travelers Companies, Inc.

    476,894  
    1,991  

Willis Towers Watson plc

    439,454  
              12,639,387  
       

Health Care — 22.5%

    4,181  

Abbott Laboratories

    528,353  
    5,095  

AbbVie, Inc.

    615,374  
    1,355  

ABIOMED, Inc. (a)

    493,166  
    2,735  

Agilent Technologies, Inc.

    479,910  
    2,574  

Alnylam Pharmaceuticals, Inc. (a)(b)

    518,481  
    3,930  

AmerisourceBergen Corporation

    480,285  
    1,915  

Amgen, Inc.

    431,890  
    1,095  

Anthem, Inc.

    410,767  
    11,419  

Avantor, Inc. (a)

    450,365  
    9,514  

Baxter International, Inc.

    725,157  
    2,899  

Becton Dickinson and Company

    729,678  
    1,211  

Biogen, Inc. (a)

    410,420  
    4,935  

BioMarin Pharmaceutical, Inc. (a)(b)

    415,576  
    603  

Bio-Rad Laboratories, Inc. - Class A (a)

  485,306  
    10,022  

Boston Scientific Corporation (a)

    452,493  
    8,462  

Bristol-Myers Squibb Company

    565,769  
    6,951  

Cardinal Health, Inc.

    364,858  
    6,379  

Centene Corporation (a)

    401,749  
    6,576  

Cerner Corporation

    502,077  
    1,741  

Cigna Corporation (b)

    368,483  
    1,262  

Cooper Companies, Inc.

    568,796  
    6,857  

CVS Health Corporation

    592,376  
    1,868  

Danaher Corporation

    605,531  
    3,971  

Edwards Lifesciences Corporation (a)

    465,322  
    13,821  

Elanco Animal Health, Inc. (a)

    461,345  
    2,688  

Eli Lilly & Company

    694,284  
    4,041  

Exact Sciences Corporation (a)(b)

    421,800  
    9,070  

Gilead Sciences, Inc.

    660,115  
    6,851  

Hologic, Inc. (a)

    542,257  
    1,106  

Humana, Inc.

    448,395  
    2,299  

ICON plc (a)

    588,016  
    530  

IDEXX Laboratories, Inc. (a)

    357,093  
    5,209  

Incyte Corporation (a)

    398,436  
    3,680  

Johnson & Johnson

    637,118  
    2,411  

Laboratory Corporation of America Holdings (a)

    731,449  
    2,074  

McKesson Corporation

    423,386  
    3,727  

Medtronic plc

    497,480  
    9,014  

Merck & Company, Inc.

    687,678  
    298  

Mettler-Toledo International, Inc. (a)

    462,743  
    2,739  

PerkinElmer, Inc.

    506,167  
    19,264  

Pfizer, Inc.

    887,492  
    6,192  

Quest Diagnostics, Inc.

    946,324  
    706  

Regeneron Pharmaceuticals, Inc. (a)

    475,420  
    1,898  

ResMed, Inc.

    551,426  
    11,664  

Royalty Pharma plc - Class A

    450,814  
    2,803  

Seagen, Inc. (a)

    469,783  
    2,409  

STERIS plc

    517,959  
    863  

Teleflex, Inc.

    341,282  
    906  

Thermo Fisher Scientific, Inc.

    502,785  
    1,126  

UnitedHealth Group, Inc.

    468,720  
    1,158  

Veeva Systems, Inc. - Class A (a)

    384,433  
    2,395  

Vertex Pharmaceuticals, Inc. (a)

    479,695  
    29,514  

Viatris, Inc.

    431,790  
    1,519  

Waters Corporation (a)

    628,897  
    1,153  

West Pharmaceutical Services, Inc.

    520,718  

 

The accompanying notes are an integral part of these financial statements.

 

17

 

 

 

Schedules of Investments (Continued)

 

August 31, 2021

 

Nationwide Risk-Based U.S. Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.7% (Continued)

       

Health Care — 22.5% (Continued)

    2,430  

Zoetis, Inc.

  $ 497,081  
              29,134,563  
       

Industrials — 12.5%

    2,848  

3M Company

    554,619  
    2,359  

Caterpillar, Inc.

    497,442  
    2,931  

Copart, Inc. (a)

    423,002  
    4,242  

CoStar Group, Inc. (a)

    359,467  
    13,561  

CSX Corporation (b)

    441,139  
    1,967  

Cummins, Inc.

    464,173  
    2,742  

Dover Corporation (b)

    478,095  
    1,580  

Equifax, Inc.

    430,171  
    3,450  

Expeditors International of Washington, Inc.

    430,008  
    7,103  

Fastenal Company

    396,703  
    6,024  

Fortive Corporation

    444,993  
    2,522  

General Dynamics Corporation

    505,182  
    1,904  

IDEX Corporation (b)

    426,496  
    3,874  

IHS Markit, Ltd.

    467,204  
    1,947  

Illinois Tool Works, Inc.

    453,378  
    2,922  

Jacobs Engineering Group, Inc.

    394,353  
    3,082  

JB Hunt Transport Services, Inc.

    546,747  
    6,215  

Johnson Controls International plc

    464,882  
    1,806  

Kansas City Southern

    506,890  
    2,248  

L3Harris Technologies, Inc.

    523,806  
    4,187  

Leidos Holdings, Inc.

    410,787  
    1,398  

Lockheed Martin Corporation

    503,000  
    6,832  

Masco Corporation

    414,839  
    1,677  

Norfolk Southern Corporation

    425,187  
    1,611  

Northrop Grumman Corporation

    592,365  
    1,618  

Old Dominion Freight Line, Inc. (b)

    467,149  
    6,037  

Otis Worldwide Corporation

    556,733  
    4,895  

PACCAR, Inc.

    400,754  
    4,524  

Republic Services, Inc.

    561,564  
    828  

Roper Technologies, Inc.

    400,156  
    2,013  

Union Pacific Corporation

    436,499  
    1,967  

United Parcel Service, Inc. - Class B

    384,804  
    2,253  

Verisk Analytics, Inc.

    454,565  
    979  

W.W. Grainger, Inc.

    424,592  
    3,502  

Waste Management, Inc.

    543,195  
              16,184,939  
       

Information Technology — 8.7%

    613  

Adobe, Inc. (a)

    406,848  
    3,635  

Akamai Technologies, Inc. (a)

    411,664  
    2,214  

Atlassian Corporation plc - Class A (a)

  812,672  
    2,434  

Automatic Data Processing, Inc.

    508,803  
    2,415  

Broadridge Financial Solutions, Inc.

    415,911  
    7,615  

Cisco Systems, Inc.

    449,437  
    3,953  

Citrix Systems, Inc.

    406,645  
    6,105  

Cognizant Technology Solutions Corporation - Class A

    465,873  
    2,799  

Fidelity National Information Services, Inc. (b)

    357,628  
    5,675  

GoDaddy, Inc. - Class A (a)

    416,034  
    3,185  

International Business Machines Corporation (b)

    446,983  
    2,885  

Keysight Technologies, Inc. (a)

    517,511  
    1,278  

Microsoft Corporation

    385,803  
    1,845  

Motorola Solutions, Inc.

    450,586  
    21,624  

NortonLifeLock, Inc.

    574,333  
    6,062  

Oracle Corporation

    540,306  
    3,516  

Paychex, Inc.

    402,477  
    2,073  

RingCentral, Inc. - Class A (a)

    522,935  
    5,501  

Seagate Technology Holdings plc

    481,833  
    828  

Tyler Technologies, Inc. (a)

    402,160  
    2,144  

VeriSign, Inc. (a)

    463,661  
    2,539  

VMware, Inc. - Class A (a)(b)

    377,981  
    1,320  

Zoom Video Communications, Inc. - Class A (a)

    382,140  
    2,472  

Zscaler, Inc. (a)(b)

    688,056  
              11,288,280  
       

Materials — 3.1%

    1,529  

Air Products and Chemicals, Inc.

    412,081  
    34,619  

Amcor plc

    444,854  
    5,680  

Ball Corporation

    545,053  
    2,835  

International Flavors & Fragrances, Inc.

    429,503  
    1,253  

Linde plc

    394,181  
    6,864  

Newmont Corporation

    398,043  
    2,411  

PPG Industries, Inc.

    384,675  
    1,690  

Sherwin-Williams Company

    513,202  
    2,719  

Vulcan Materials Company

    505,544  
              4,027,136  
       

Utilities — 10.5%

    10,258  

Alliant Energy Corporation

    623,584  
    7,237  

Ameren Corporation

    634,830  
    8,155  

American Electric Power Company, Inc. (b)

    730,443  
    3,056  

American Water Works Company, Inc.

    556,956  

 

The accompanying notes are an integral part of these financial statements.

 

18

 

 

 

Schedules of Investments (Continued)

 

August 31, 2021

 

Nationwide Risk-Based U.S. Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.7% (Continued)

       

Utilities — 10.5% (Continued)

    16,870  

CenterPoint Energy, Inc. (b)

  $ 423,268  
    9,554  

CMS Energy Corporation

    612,698  
    9,217  

Consolidated Edison, Inc.

    695,422  
    8,489  

Dominion Energy, Inc.

    660,784  
    5,131  

DTE Energy Company (b)

    617,465  
    6,565  

Duke Energy Corporation

    687,093  
    9,207  

Edison International

    532,533  
    4,574  

Entergy Corporation (b)

    505,930  
    10,587  

Evergy, Inc.

    724,680  
    6,071  

Eversource Energy

    550,822  
    8,764  

Exelon Corporation

    429,611  
    22,046  

FirstEnergy Corporation

    856,928  
    5,790  

NextEra Energy, Inc.

    486,302  
    18,660  

PPL Corporation

    547,671  
    8,192  

Public Service Enterprise Group, Inc.

    523,796  
    3,617  

Sempra Energy

    478,746  
    9,372  

Southern Company

    616,022  
    6,408  

WEC Energy Group, Inc.

    605,428  
    7,432  

Xcel Energy, Inc.

    510,950  
              13,611,962  
       

TOTAL COMMON STOCKS (Cost $113,458,493)

    129,207,327  
                 
       

SHORT-TERM INVESTMENTS — 0.1%

       

Money Market Funds — 0.1%

    196,342  

Invesco Government & Agency Portfolio - Institutional Class, 0.03% (c)

    196,342  
       

TOTAL SHORT-TERM INVESTMENTS (Cost $196,342)

    196,342  

 

 

Units

 

Security Description

 

Value

 
       

INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING — 14.6%

       

Private Funds — 14.6%

    18,887,845  

Mount Vernon Liquid Assets Portfolio, LLC, 0.09% (c)

  $ 18,887,845  
       

TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $18,887,845)

    18,887,845  
                 
       

Total Investments (Cost $132,542,680) — 114.4%

    148,291,514  
       

Liabilities in Excess of Other Assets — (14.4)%

    (18,704,743 )
       

TOTAL NET ASSETS — 100.0%

  $ 129,586,771  

 

Percentages are stated as a percent of net assets.

(a)

Non-income producing security.

(b)

All or a portion of this security is on loan as of August 31, 2021. The total value of securities on loan is $18,599,101.

(c)

Rate shown is the annualized seven-day yield as of August 31, 2021.

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

 

The accompanying notes are an integral part of these financial statements.

 

19

 

 

 

Schedules of Investments (Continued)

 

August 31, 2021

 

Nationwide Risk-Based International Equity ETF

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.4%

       

AUSTRALIA — 5.5%

       

Communication Services — 0.4%

    214,763  

Telstra Corporation, Ltd.

  $ 602,725  
       

Consumer Discretionary — 0.4%

    12,231  

Wesfarmers, Ltd.

    535,895  
       

Consumer Staples — 0.9%

    48,509  

Coles Group, Ltd.

    640,987  
    20,208  

Woolworths Group, Ltd. (a)

    616,606  
              1,257,593  
       

Financials — 1.0%

    12,110  

ASX, Ltd.

    776,817  
    28,516  

Westpac Banking Corporation

    538,112  
              1,314,929  
       

Health Care — 1.2%

    2,376  

Cochlear, Ltd.

    404,952  
    2,312  

CSL, Ltd.

    527,093  
    20,633  

Sonic Healthcare, Ltd.

    654,456  
              1,586,501  
       

Industrials — 0.5%

    77,237  

Brambles, Ltd.

    683,594  
       

Materials — 1.1%

    35,154  

Fortescue Metals Group, Ltd.

    539,538  
    23,785  

Newcrest Mining, Ltd.

    430,062  
    5,949  

Rio Tinto, Ltd.

    487,217  
              1,456,817  
              7,438,054  
       

AUSTRIA — 0.4%

       

Materials — 0.4%

    12,745  

Voestalpine AG

    577,725  
              577,725  
       

BELGIUM — 1.3%

       

Financials — 0.4%

    1,084  

Sofina SA

    479,088  
       

Health Care — 0.3%

    4,037  

UCB SA

    461,682  
       

Real Estate — 0.6%

    3,519  

VGP NV

    839,113  
              1,779,883  
       

CHINA — 2.8%

       

Communication Services — 0.4%

    8,900  

Tencent Holdings, Ltd.

    550,661  
       

Financials — 2.4%

    2,476,000  

Agricultural Bank of China, Ltd. - H-Shares

    830,921  
    2,749,000  

Bank of China, Ltd. - H-Shares

    964,952  
    1,033,000  

China Construction Bank Corporation - H-Shares

    746,457  
    93,000  

Ping An Insurance Group Company of China, Ltd. - H-Shares

  722,252  
              3,264,582  
              3,815,243  
       

CURACAO — 0.5%

       

Financials — 0.5%

    3,841  

HAL Trust

    685,561  
              685,561  
       

DENMARK — 3.2%

       

Financials — 0.4%

    21,274  

Tryg AS

    526,628  
       

Health Care — 1.5%

    10,982  

Ambu AS - Series B

    347,074  
    3,865  

Coloplast AS - Series B

    669,336  
    821  

Genmab AS (b)

    388,616  
    6,053  

Novo Nordisk AS - Series B

    603,105  
              2,008,131  
       

Materials — 1.0%

    7,801  

Chr Hansen Holding AS

    719,691  
    8,240  

Novozymes AS - Series B

    665,494  
              1,385,185  
       

Utilities — 0.3%

    2,568  

Orsted AS

    408,036  
              4,327,980  
       

FINLAND — 1.5%

       

Financials — 0.4%

    48,387  

Nordea Bank Abp

    568,076  
       

Industrials — 0.4%

    6,418  

Kone Oyj - Series B

    532,150  
       

Information Technology — 0.3%

    72,219  

Nokia Oyj (b)

    433,077  
       

Materials — 0.4%

    12,879  

UPM-Kymmene Oyj

    523,443  
              2,056,746  
       

FRANCE — 6.3%

       

Communication Services — 1.0%

    61,829  

Orange SA

    702,129  
    15,711  

Vivendi SE (a)

    599,412  
              1,301,541  
       

Consumer Discretionary — 0.8%

    2,766  

EssilorLuxottica SA

    542,863  
    338  

Hermes International

    496,548  
              1,039,411  
       

Consumer Staples — 1.9%

    43,887  

Carrefour SA

    872,944  
    8,357  

Danone SA

    610,352  
    1,140  

L’Oreal SA

    533,309  

 

The accompanying notes are an integral part of these financial statements.

 

20

 

 

 

Schedules of Investments (Continued)

 

August 31, 2021

 

Nationwide Risk-Based International Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.4% (Continued)

       

FRANCE — 6.3% (Continued)

       

Consumer Staples — 1.9% (Continued)

    2,621  

Pernod Ricard SA

  $ 550,573  
              2,567,178  
       

Health Care — 0.8%

    5,209  

Sanofi

    538,775  
    804  

Sartorius Stedim Biotech

    487,451  
              1,026,226  
       

Industrials — 1.1%

    10,760  

Alstom SA

    462,342  
    3,961  

Legrand SA

    453,177  
    1,293  

Teleperformance

    571,458  
              1,486,977  
       

Information Technology — 0.3%

    8,526  

Dassault Systemes SE

    486,170  
       

Materials — 0.4%

    2,852  

Air Liquide SA

    511,127  
              8,418,630  
       

GERMANY — 11.5%

       

Communication Services — 0.9%

    30,983  

Deutsche Telekom AG

    658,626  
    6,803  

Scout24 AG

    571,782  
              1,230,408  
       

Consumer Discretionary — 1.3%

    2,149  

Delivery Hero SE (b)

    311,012  
    4,572  

HelloFresh SE (b)

    492,642  
    4,518  

Puma SE

    548,263  
    3,052  

Zalando SE (b)

    337,938  
              1,689,855  
       

Consumer Staples — 0.5%

    5,021  

Beiersdorf AG

    609,007  
       

Financials — 0.9%

    2,997  

Deutsche Boerse AG

    516,877  
    3,816  

Hannover Rueck SE

    702,496  
              1,219,373  
       

Health Care — 2.7%

    9,895  

Bayer AG

    550,683  
    2,460  

Carl Zeiss Meditec AG

    543,324  
    7,936  

Fresenius Medical Care AG & Company KGaA

    609,301  
    10,790  

Fresenius SE & Company KGaA

    561,070  
    2,492  

Merck KGaA

    591,869  
    11,804  

Siemens Healthineers AG

    820,718  
              3,676,965  
       

Industrials — 1.9%

    5,824  

Brenntag SE

    587,398  
    6,190  

Deutsche Post AG

    435,353  
    17,125  

GEA Group AG

  790,621  
    6,600  

Knorr-Bremse AG

    791,957  
              2,605,329  
       

Information Technology — 0.6%

    2,621  

SAP SE

    394,358  
    12,416  

TeamViewer AG (b)

    413,461  
              807,819  
       

Materials — 0.4%

    4,214  

Symrise AG

    599,918  
       

Real Estate — 1.4%

    9,119  

Deutsche Wohnen SE

    565,786  
    4,868  

LEG Immobilien SE

    775,772  
    8,827  

Vonovia SE

    595,601  
              1,937,159  
       

Utilities — 0.9%

    49,294  

E.ON SE

    650,441  
    12,993  

RWE AG

    507,523  
              1,157,964  
              15,533,797  
       

HONG KONG — 1.4%

       

Industrials — 1.4%

    35,900  

Jardine Matheson Holdings, Ltd.

    1,950,088  
              1,950,088  
       

IRELAND — 1.9%

       

Consumer Discretionary — 0.4%

    2,648  

Flutter Entertainment plc (b)

    514,396  
       

Consumer Staples — 0.6%

    5,424  

Kerry Group plc - Series A

    795,227  
       

Industrials — 0.9%

    9,327  

Experian plc

    411,276  
    7,166  

Kingspan Group plc

    818,676  
              1,229,952  
              2,539,575  
       

ITALY — 2.8%

       

Financials — 0.5%

    32,006  

FinecoBank Banca Fineco SpA (b)

    589,961  
       

Health Care — 0.4%

    2,447  

DiaSorin SpA

    558,217  
       

Industrials — 0.4%

    14,543  

Prysmian SpA

    547,124  
       

Information Technology — 0.3%

    20,883  

Nexi SpA (b)

    434,975  
       

Utilities — 1.2%

    45,346  

Enel SpA

    413,083  
    100,442  

Snam SpA

    593,311  
    73,690  

Terna - Rete Elettrica Nazionale

    582,471  
              1,588,865  
              3,719,142  

 

The accompanying notes are an integral part of these financial statements.

 

21

 

 

 

Schedules of Investments (Continued)

 

August 31, 2021

 

Nationwide Risk-Based International Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.4% (Continued)

       

JAPAN — 28.4% (c)

       

Communication Services — 3.1%

    19,700  

KDDI Corporation

  $ 604,305  
    29,800  

Nexon Company, Ltd.

    545,221  
    1,200  

Nintendo Company, Ltd.

    577,826  
    25,100  

Nippon Telegraph & Telephone Corporation

    670,796  
    88,200  

Softbank Corporation

    1,182,985  
    98,600  

Z Holdings Corporation

    643,511  
              4,224,644  
       

Consumer Discretionary — 5.1%

    7,700  

Bandai Namco Holdings, Inc.

    535,552  
    13,500  

Bridgestone Corporation

    622,283  
    800  

Fast Retailing Company, Ltd. (a)

    528,090  
    3,800  

Nitori Holdings Company, Ltd.

    711,852  
    4,500  

Oriental Land Company, Ltd. (a)

    682,414  
    58,600  

Rakuten Group, Inc.

    614,483  
    28,000  

Sekisui House, Ltd.

    558,930  
    5,100  

Shimano, Inc.

    1,499,453  
    5,600  

Sony Group Corporation

    579,064  
    6,700  

Toyota Motor Corporation

    584,985  
              6,917,106  
       

Consumer Staples — 3.7%

    31,900  

Ajinomoto Company, Inc.

    941,959  
    49,300  

Japan Tobacco, Inc.

    956,965  
    10,800  

Kao Corporation

    653,348  
    36,700  

Kirin Holdings Company, Ltd.

    666,118  
    12,900  

Seven & i Holdings Company, Ltd. (a)

    565,388  
    7,400  

Shiseido Company, Ltd.

    491,245  
    14,900  

Unicharm Corporation

    665,116  
              4,940,139  
       

Energy — 0.4%

    152,400  

ENEOS Holdings, Inc.

    591,094  
       

Financials — 1.9%

    22,600  

Japan Exchange Group, Inc. (a)

    538,771  
    78,700  

Japan Post Holdings Company, Ltd.

    676,465  
    19,800  

MS&AD Insurance Group Holdings, Inc. (a)

    640,715  
    142,600  

Nomura Holdings, Inc.

    692,621  
              2,548,572  
       

Health Care — 4.1%

    29,300  

Astellas Pharma, Inc.

    495,268  
    12,600  

Chugai Pharmaceutical Company, Ltd.

    494,091  
    5,100  

Eisai Company, Ltd.

    421,797  
    4,200  

Hoya Corporation

    679,738  
    5,900  

M3, Inc.

  397,469  
    12,900  

Otsuka Holdings Company, Ltd.

    549,653  
    10,900  

Shionogi & Company, Ltd.

    689,758  
    4,600  

Sysmex Corporation

    524,231  
    19,100  

Takeda Pharmaceutical Company, Ltd.

    639,622  
    13,200  

Terumo Corporation

    552,343  
              5,443,970  
       

Industrials — 4.8%

    34,400  

ANA Holdings, Inc. (b)

    815,849  
    20,800  

ITOCHU Corporation

    626,878  
    39,200  

Japan Airlines Company, Ltd. (b)

    835,311  
    26,000  

Mitsubishi Corporation

    783,597  
    40,300  

Mitsubishi Electric Corporation

    552,264  
    4,000  

Nidec Corporation

    459,494  
    7,700  

Secom Company, Ltd.

    584,894  
    17,100  

SG Holdings Company, Ltd.

    465,713  
    19,200  

Toshiba Corporation (a)

    834,517  
    20,400  

Yamato Holdings Company, Ltd.

    519,934  
              6,478,451  
       

Information Technology — 4.4%

    30,800  

Canon, Inc.

    732,152  
    7,900  

FUJIFILM Holdings Corporation

    652,077  
    2,600  

Fujitsu, Ltd.

    480,430  
    1,000  

Keyence Corporation

    601,948  
    9,300  

Kyocera Corporation

    579,536  
    6,100  

Murata Manufacturing Company, Ltd

    506,334  
    10,000  

NEC Corporation

    526,124  
    19,700  

Nomura Research Institute, Ltd.

    741,484  
    3,200  

Obic Company, Ltd.

    610,231  
    4,200  

TDK Corporation

    442,327  
              5,872,643  
       

Materials — 0.9%

    77,300  

Mitsubishi Chemical Holdings Corporation

    679,559  
    7,400  

Nitto Denko Corporation

    563,117  
              1,242,676  
              38,259,295  
       

LUXEMBOURG — 0.4%

       

Health Care — 0.4%

    3,736  

Eurofins Scientific SE

    529,575  
              529,575  
       

NETHERLANDS — 3.8%

       

Consumer Discretionary — 0.6%

    4,371  

Just Eat Takeaway.com NV (b)

    395,858  
    4,420  

Prosus NV

    390,800  
              786,658  

 

The accompanying notes are an integral part of these financial statements.

 

22

 

 

 

Schedules of Investments (Continued)

 

August 31, 2021

 

Nationwide Risk-Based International Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.4% (Continued)

       

NETHERLANDS — 3.8% (Continued)

       

Consumer Staples — 1.0%

    4,552  

Heineken NV

  $ 498,118  
    25,432  

Koninklijke Ahold Delhaize NV

    857,710  
              1,355,828  
       

Financials — 0.4%

    4,996  

Euronext NV

    579,435  
       

Health Care — 0.6%

    1,131  

Argenx SE (b)

    381,570  
    8,007  

Koninklijke Philips NV

    369,003  
              750,573  
       

Industrials — 0.4%

    5,152  

Wolters Kluwer NV

    592,480  
       

Materials — 0.8%

    3,836  

Akzo Nobel NV

    472,747  
    2,705  

Koninklijke DSM NV

    575,562  
              1,048,309  
              5,113,283  
       

NORWAY — 1.1%

       

Communication Services — 0.4%

    31,320  

Telenor ASA

    548,123  
       

Consumer Staples — 0.4%

    17,799  

Mowi ASA

    476,188  
       

Energy — 0.3%

    22,127  

Equinor ASA

    469,567  
              1,493,878  
       

PORTUGAL — 1.5%

       

Consumer Staples — 0.6%

    38,074  

Jeronimo Martins SGPS SA

    806,757  
       

Utilities — 0.9%

    72,683  

EDP - Energias de Portugal SA

    399,137  
    273,498  

REN - Redes Energeticas Nacionais SGPS SA

    800,675  
              1,199,812  
              2,006,569  
       

SINGAPORE — 3.1%

       

Communication Services — 0.6%

    509,000  

Singapore Telecommunications NPV

    877,912  
       

Financials — 1.7%

    90,700  

Oversea-Chinese Banking Corporation, Ltd.

    770,724  
    88,300  

Singapore Exchange, Ltd.

    649,892  
    44,300  

United Overseas Bank, Ltd.

    842,461  
              2,263,077  
       

Real Estate — 0.8%

    351,600  

CapitaLand, Ltd.

    1,045,574  
              4,186,563  
       

SPAIN — 2.8%

       

Communication Services — 0.5%

    9,715  

Cellnex Telecom SA

  665,152  
       

Health Care — 0.3%

    18,447  

Grifols SA

    450,543  
       

Utilities — 2.0%

    14,377  

EDP Renovaveis SA

    382,196  
    20,990  

Endesa SA

    504,476  
    42,575  

Iberdrola SA

    527,457  
    20,838  

Naturgy Energy Group SA

    536,244  
    34,458  

Red Electrica Corporation SA

    687,021  
              2,637,394  
              3,753,089  
       

SWEDEN — 2.3%

       

Financials — 1.1%

    16,539  

Investor AB - Series B

    395,160  
    48,799  

Svenska Handelsbanken AB - Series A

    548,284  
    25,951  

Swedbank AB - Series A

    500,536  
              1,443,980  
       

Industrials — 0.9%

    13,518  

Assa Abloy AB - Series B

    431,580  
    15,454  

Epiroc AB - Series A

    338,735  
    32,077  

NIBE Industrier AB - Series B

    446,697  
              1,217,012  
       

Information Technology — 0.3%

    30,828  

Telefonaktiebolaget LM Ericsson - Series B

    365,069  
              3,026,061  
       

SWITZERLAND — 4.1%

       

Consumer Staples — 0.5%

    5,628  

Nestle SA

    711,080  
       

Health Care — 1.3%

    649  

Lonza Group AG

    549,069  
    6,786  

Novartis AG

    628,115  
    1,512  

Roche Holding AG

    606,995  
              1,784,179  
       

Industrials — 1.3%

    749  

Geberit AG

    625,659  
    1,580  

Kuehne + Nagel International AG

    577,979  
    1,577  

Schindler Holding AG

    509,226  
              1,712,864  
       

Information Technology — 0.2%

    2,979  

Logitech International SA

    304,518  
       

Materials — 0.8%

    119  

Givaudan SA

    596,916  
    1,377  

Sika AG

    496,204  
              1,093,120  
              5,605,761  

 

The accompanying notes are an integral part of these financial statements.

 

23

 

 

 

Schedules of Investments (Continued)

 

August 31, 2021

 

Nationwide Risk-Based International Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.4% (Continued)

       

UNITED KINGDOM — 12.8%

       

Communication Services — 1.6%

    47,175  

Auto Trader Group plc

  $ 408,377  
    228,126  

BT Group plc (b)

    533,103  
    57,106  

Pearson plc

    603,275  
    317,100  

Vodafone Group plc

    532,246  
              2,077,001  
       

Consumer Discretionary — 0.7%

    16,153  

Entain plc (b)

    429,718  
    101,966  

Kingfisher plc

    491,580  
              921,298  
       

Consumer Staples — 2.8%

    14,443  

British American Tobacco plc

    542,450  
    11,024  

Diageo plc

    530,104  
    24,669  

Imperial Brands plc

    523,352  
    13,451  

Ocado Group plc (b)

    372,646  
    7,048  

Reckitt Benckiser Group plc

    537,274  
    220,691  

Tesco plc

    774,959  
    9,559  

Unilever plc

    532,276  
              3,813,061  
       

Financials — 0.8%

    14,053  

Admiral Group plc

    698,385  
    3,909  

London Stock Exchange Group plc

    428,015  
              1,126,400  
       

Health Care — 1.1%

    5,014  

AstraZeneca plc

    587,512  
    27,406  

GlaxoSmithKline plc

    551,432  
    19,547  

Smith & Nephew plc

    375,278  
              1,514,222  
       

Industrials — 2.6%

    66,560  

BAE Systems plc

    520,674  
    14,996  

Bunzl plc

    544,026  
    3,161  

Ferguson plc

    457,003  
    5,526  

Intertek Group plc

    400,793  
    17,147  

RELX plc

    514,922  
    62,722  

Rentokil Initial plc

    501,009  
    2,442  

Spirax-Sarco Engineering plc

    541,427  
              3,479,854  
       

Information Technology — 0.7%

    9,884  

Halma plc

    408,495  
    46,054  

Sage Group plc

    470,421  
              878,916  
       

Materials — 0.7%

    4,603  

Croda International plc

    579,516  
    5,644  

Rio Tinto plc

    418,051  
              997,567  
       

Utilities — 1.8%

    52,315  

National Grid plc

  677,724  
    16,951  

Severn Trent plc

    644,344  
    21,735  

SSE plc

    488,328  
    40,879  

United Utilities Group plc

    594,947  
              2,405,343  
              17,213,662  
       

TOTAL COMMON STOCKS (Cost $120,245,299)

    134,030,160  
                 
       

SHORT-TERM INVESTMENTS — 0.1%

       

Money Market Funds — 0.1%

    192,800  

Invesco Government & Agency Portfolio - Institutional Class, 0.03% (d)

    192,800  
       

TOTAL SHORT-TERM INVESTMENTS (Cost $192,800)

    192,800  
 

Units

           
       

INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING — 3.7%

       
       

Private Funds — 0.4%

       
    533,379  

Mount Vernon Liquid Assets Portfolio, LLC, 0.09% (d)

    533,379  
              533,379  

 

 

Principal
Amount

           
       

Repurchase Agreements — 3.3%

       
  $ 1,022,112  

Citigroup Global Markets, Inc. - 0.06%, dated 8/31/2021, matures 9/01/2021, repurchase price $1,022,114 (collateralized by various U.S. government obligations: Total Value $1,042,554)

    1,022,112  
    1,022,112  

Daiwa Capital Markets America — 0.05%, dated 8/31/2021, matures 9/01/2021, repurchase price $1,022,113 (collateralized by various U.S. government obligations: Total Value $1,042,554)

    1,022,112  

 

The accompanying notes are an integral part of these financial statements.

 

24

 

 

 

Schedules of Investments (Continued)

 

August 31, 2021

 

Nationwide Risk-Based International Equity ETF (Continued)

 

 

Principal
Amount

 

Security Description

 

Value

 
       

INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING — 3.7% (Continued)

       

Repurchase Agreements — 3.3% (Continued)

  $ 1,022,112  

Deutsche Bank Securities, Inc. - 0.05%, dated 8/31/2021, matures 9/01/2021, repurchase price $1,022,113 (collateralized by various U.S. government obligations: Total Value $1,042,555)

  $ 1,022,112  
    303,007  

Morgan, Stanley & Company, LLC — 0.05%, dated 8/31/2021, matures 9/01/2021, repurchase price $303,007 (collateralized by various U.S. government obligations: Total Value $309,067)

    303,007  
    1,022,112  

RBC Dominion Securities, Inc. - 0.05%, dated 8/31/2021, matures 9/01/2021, repurchase price $1,022,113 (collateralized by various U.S. government obligations: Total Value $1,042,554)

    1,022,112  
              4,391,455  
       

TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $4,924,834)

    4,924,834  
                 
       

Total Investments (Cost $125,362,933) — 103.2%

    139,147,794  
       

Liabilities in Excess of Other Assets — (3.2)%

    (4,337,054 )
       

TOTAL NET ASSETS — 100.0%

  $ 134,810,740  

 

Percentages are stated as a percent of net assets.

(a)

All or a portion of this security is on loan as of August 31, 2021. The total value of securities on loan is $4,682,031.

(b)

Non-income producing security.

(c)

To the extent the Fund invests a significant portion of its assets in the securities of companies of a single country or region, it is more likely to be impacted be events or conditions affecting that country or region. See Note 9 in Notes to Financial Statements.

(d)

Rate shown is the annualized seven-day yield as of August 31, 2021.

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

 

The accompanying notes are an integral part of these financial statements.

 

25

 

 

 

Schedules of Investments (Continued)

 

August 31, 2021

 

Nationwide Maximum Diversification U.S. Core Equity ETF

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.8%

       

Communication Services — 12.6%

    2,273  

Activision Blizzard, Inc. (b)

  $ 187,227  
    645  

Altice USA, Inc. - Class A (a)(b)

    17,699  
    29,265  

AMC Entertainment Holdings, Inc. - Class A (a)(b)

    1,379,258  
    21,081  

AT&T, Inc.

    578,041  
    17  

Cable One, Inc. (b)

    35,693  
    362  

Charter Communications, Inc. - Class A (a)(b)

    295,631  
    13,465  

Comcast Corporation - Class A

    817,056  
    18,596  

Discovery, Inc. - Class C (a)(b)

    513,064  
    842  

Electronic Arts, Inc.

    122,267  
    5,202  

Facebook, Inc. - Class A (a)

    1,973,535  
    7,205  

Fox Corporation - Class A (b)

    269,755  
    1,146  

Interpublic Group of Companies, Inc.

    42,666  
    448  

Liberty Broadband Corporation - Class C (a)

    85,711  
    1,014  

Liberty Global plc - Class C (a)

    29,386  
    585  

Liberty Media Corporation-Liberty Formula One - Class C (a)

    29,566  
    428  

Live Nation Entertainment, Inc. (a)

    37,108  
    48,196  

Lumen Technologies, Inc. (b)

    592,811  
    1,106  

Match Group, Inc. (a)

    152,009  
    1,604  

Netflix, Inc. (a)

    912,981  
    1,145  

News Corporation - Class A

    25,728  
    631  

Omnicom Group, Inc. (b)

    46,202  
    1,606  

Pinterest, Inc. - Class A (a)

    89,245  
    4,179  

Roku, Inc. (a)(b)

    1,472,679  
    28,181  

Snap, Inc. - Class A (a)(b)

    2,144,855  
    4,828  

Spotify Technology SA (a)

    1,131,394  
    492  

Take-Two Interactive Software, Inc. (a)

    79,320  
    2,298  

Twitter, Inc. (a)

    148,221  
    12,680  

Verizon Communications, Inc.

    697,400  
    6,540  

ViacomCBS, Inc. - Class B

    271,083  
    5,365  

Walt Disney Company (a)

    972,675  
    484  

Zillow Group, Inc. - Class C (a)(b)

    46,353  
    7,530  

Zynga, Inc. - Class A (a)

    66,641  
              15,263,260  
       

Consumer Discretionary — 13.5%

    193  

Advance Auto Parts, Inc.

    39,150  
    527  

Amazon.com, Inc. (a)

    1,829,107  
    12,911  

Aramark (b)

    449,174  
    172  

Autoliv, Inc.

    15,203  
    72  

AutoZone, Inc. (a)

    111,539  
    5,507  

Bath & Body Works, Inc.

  371,612  
    121  

Booking Holdings, Inc. (a)

    278,260  
    706  

BorgWarner, Inc. (b)

    30,133  
    178  

Bright Horizons Family Solutions, Inc. (a)

    25,945  
    196  

Burlington Stores, Inc. (a)(b)

    58,700  
    481  

CarMax, Inc. (a)(b)

    60,226  
    16,658  

Carnival Corporation (a)(b)

    402,124  
    123  

Carvana Company (a)(b)

    40,351  
    8,168  

Chegg, Inc. (a)(b)

    679,741  
    393  

Chipotle Mexican Grill, Inc. (a)(b)

    748,009  
    979  

D.R. Horton, Inc.

    93,612  
    386  

Darden Restaurants, Inc. (b)

    58,151  
    82  

Deckers Outdoor Corporation (a)

    34,313  
    869  

Dollar General Corporation

    193,709  
    9,196  

Dollar Tree, Inc. (a)

    832,606  
    2,300  

Domino’s Pizza, Inc.

    1,188,847  
    1,209  

DraftKings, Inc. - Class A (a)

    71,682  
    1,939  

eBay, Inc.

    148,799  
    602  

Etsy, Inc. (a)(b)

    130,189  
    415  

Expedia Group, Inc. (a)

    59,968  
    4,787  

Farfetch, Ltd. - Class A (a)(b)

    200,384  
    11,555  

Ford Motor Company (a)

    150,562  
    3,510  

GameStop Corporation - Class A (a)

    766,022  
    165  

Garmin, Ltd.

    28,781  
    3,879  

General Motors Company (a)

    190,109  
    713  

Gentex Corporation

    21,960  
    424  

Genuine Parts Company

    51,809  
    381  

Hasbro, Inc.

    37,456  
    809  

Hilton Worldwide Holdings, Inc. (a)

    101,012  
    1,280  

Las Vegas Sands Corporation (a)(b)

    57,101  
    176  

Lear Corporation

    28,149  
    802  

Lennar Corporation - Class A

    86,063  
    87  

Lithia Motors, Inc. (b)

    28,823  
    764  

LKQ Corporation (a)(b)

    40,255  
    108  

Lululemon Athletica, Inc. (a)

    43,218  
    1,201  

Marriott International, Inc. - Class A (a)

    162,303  
    2,205  

McDonald’s Corporation

    523,599  
    133  

MercadoLibre, Inc. (a)

    248,371  
    169  

Mohawk Industries, Inc. (a)

    33,421  
    1,120  

Newell Brands, Inc.

    28,459  
    2,188  

NIKE, Inc. - Class B

    360,451  
    1,084  

Norwegian Cruise Line Holdings, Ltd. (a)(b)

    28,011  

 

The accompanying notes are an integral part of these financial statements.

 

26

 

 

 

Schedules of Investments (Continued)

 

August 31, 2021

 

Nationwide Maximum Diversification U.S. Core Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.8% (Continued)

       

Consumer Discretionary — 13.5% (Continued)

    12  

NVR, Inc. (a)(b)

  $ 62,159  
    203  

O’Reilly Automotive, Inc. (a)

    120,598  
    15,485  

Peloton Interactive, Inc. - Class A (a)(b)

    1,551,442  
    115  

Pool Corporation

    56,844  
    1,034  

Ross Stores, Inc.

    122,426  
    5,152  

Royal Caribbean Cruises, Ltd. (a)

    426,225  
    484  

Service Corporation International

    30,376  
    821  

Tapestry, Inc. (a)

    33,103  
    2,037  

Target Corporation

    503,098  
    3,304  

TJX Companies, Inc.

    240,267  
    339  

Tractor Supply Company

    65,851  
    187  

Ulta Beauty, Inc. (a)

    72,427  
    958  

V.F. Corporation (b)

    73,258  
    118  

Vail Resorts, Inc. (a)(b)

    35,972  
    1,836  

Victoria’s Secret & Company (a)

    121,727  
    219  

Wayfair, Inc. - Class A (a)(b)

    61,484  
    220  

Williams-Sonoma, Inc. (b)

    41,074  
    310  

Wynn Resorts, Ltd. (a)(b)

    31,524  
    22,039  

Yum China Holdings, Inc.

    1,356,720  
    879  

Yum! Brands, Inc.

    115,175  
              16,289,219  
       

Consumer Staples — 12.4%

    679  

Archer-Daniels-Midland Company

    40,740  
    543  

Boston Beer Company, Inc. - Class A (a)(b)

    309,624  
    892  

Brown-Forman Corporation - Class B

    62,636  
    403  

Bunge, Ltd.

    30,511  
    11,910  

Campbell Soup Company (b)

    497,004  
    6,899  

Church & Dwight Company, Inc.

    577,170  
    7,389  

Clorox Company (b)

    1,241,722  
    11,421  

Coca-Cola Company

    643,116  
    2,493  

Colgate-Palmolive Company

    194,329  
    27,786  

Conagra Brands, Inc. (b)

    920,272  
    468  

Constellation Brands, Inc. - Class A

    98,814  
    1,305  

Costco Wholesale Corporation

    594,414  
    475  

Darling Ingredients, Inc. (a)

    35,388  
    637  

Estee Lauder Companies, Inc. - Class A

    216,892  
    23,881  

General Mills, Inc.

    1,380,560  
    431  

Hershey Company

    76,589  
    10,931  

Hormel Foods Corporation (b)

    497,798  
    6,103  

J.M. Smucker Company (b)

    754,758  
    15,084  

Kellogg Company (b)

  952,404  
    4,916  

Keurig Dr Pepper, Inc.

    175,354  
    1,554  

Kimberly-Clark Corporation (b)

    214,157  
    17,412  

Kraft Heinz Company (b)

    626,658  
    41,625  

Kroger Company (b)

    1,915,999  
    759  

Lamb Weston Holdings, Inc.

    49,449  
    729  

McCormick & Company, Inc.

    62,905  
    1,191  

Molson Coors Beverage Company - Class B (b)

    56,608  
    4,113  

Mondelez International, Inc. - Class A

    255,294  
    684  

Monster Beverage Corporation (a)

    66,738  
    4,077  

PepsiCo, Inc.

    637,602  
    7,175  

Procter & Gamble Company

    1,021,648  
    1,415  

Sysco Corporation

    112,705  
    6,003  

Tyson Foods, Inc. - Class A

    471,356  
    4,036  

Walgreens Boots Alliance, Inc.

    204,827  
              14,996,041  
       

Energy — 1.8%

    2,124  

Baker Hughes Company

    48,385  
    693  

Cheniere Energy, Inc. (a)

    60,610  
    1,341  

Chevron Corporation

    129,769  
    3,983  

ConocoPhillips

    221,176  
    1,983  

Devon Energy Corporation (b)

    58,598  
    10,744  

Diamondback Energy, Inc.

    828,791  
    1,720  

EOG Resources, Inc.

    116,134  
    836  

Hess Corporation

    57,475  
    5,742  

Kinder Morgan, Inc.

    93,422  
    2,578  

Occidental Petroleum Corporation

    66,229  
    1,309  

ONEOK, Inc.

    68,749  
    644  

Pioneer Natural Resources Company

    96,387  
    4,126  

Schlumberger NV

    115,693  
    1,205  

Valero Energy Corporation

    79,904  
    3,582  

Williams Companies, Inc.

    88,440  
              2,129,762  
       

Financials — 5.7%

    1,838  

Aflac, Inc.

    104,178  
    1,539  

AGNC Investment Corporation (b)

    25,101  
    41  

Alleghany Corporation (a)

    27,744  
    863  

Allstate Corporation

    116,747  
    1,084  

Ally Financial, Inc.

    57,344  
    489  

American Express Company

    81,154  
    219  

American Financial Group, Inc.

    30,209  
    906  

American International Group, Inc.

    49,431  

 

The accompanying notes are an integral part of these financial statements.

 

27

 

 

 

Schedules of Investments (Continued)

 

August 31, 2021

 

Nationwide Maximum Diversification U.S. Core Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.8% (Continued)

       

Financials — 5.7% (Continued)

    48,549  

Annaly Capital Management, Inc.

  $ 421,891  
    639  

Aon plc - Class A

    183,304  
    619  

Arch Capital Group, Ltd. (a)

    25,441  
    604  

Arthur J. Gallagher & Company

    86,746  
    2,472  

Bank of America Corporation (b)

    103,206  
    2,369  

Bank of New York Mellon Corporation

    130,816  
    1,716  

Berkshire Hathaway, Inc. - Class B (a)

    490,381  
    691  

Brown & Brown, Inc.

    40,113  
    4,048  

Cboe Global Markets, Inc. (b)

    510,654  
    4,461  

Charles Schwab Corporation

    324,984  
    1,145  

Chubb, Ltd.

    210,588  
    457  

Cincinnati Financial Corporation (b)

    56,394  
    1,253  

Citizens Financial Group, Inc.

    54,869  
    1,040  

CME Group, Inc.

    209,789  
    408  

Comerica, Inc.

    30,155  
    316  

Commerce Bancshares, Inc./MO (b)

    22,348  
    1,946  

Credicorp, Ltd. (a)

    207,502  
    416  

East West Bancorp, Inc.

    30,509  
    117  

Everest Re Group, Ltd.

    30,993  
    813  

Fidelity National Financial, Inc.

    39,699  
    517  

First Republic Bank/CA

    102,852  
    865  

Franklin Resources, Inc. (b)

    28,061  
    2,951  

Huntington Bancshares, Inc.

    45,829  
    1,646  

Intercontinental Exchange, Inc.

    196,746  
    1,553  

JPMorgan Chase & Company

    248,402  
    2,853  

KeyCorporation (b)

    57,973  
    692  

M&T Bank Corporation (b)

    96,887  
    731  

MarketAxess Holdings, Inc. (b)

    347,898  
    1,487  

Marsh & McLennan Companies, Inc.

    233,757  
    579  

Northern Trust Corporation

    68,623  
    381  

PNC Financial Services Group, Inc.

    72,809  
    1,724  

Progressive Corporation

    166,090  
    287  

Raymond James Financial, Inc.

    40,151  
    2,399  

Regions Financial Corporation

    49,012  
    198  

Reinsurance Group of America, Inc.

    22,932  
    381  

SEI Investments Company

    23,931  
    167  

Signature Bank (b)

    43,308  
    969  

State Street Corporation

    90,030  
    741  

Travelers Companies, Inc.

    118,345  
    3,954  

Truist Financial Corporation

  225,615  
    3,938  

U.S. Bancorp

    226,002  
    356  

Voya Financial, Inc.

    23,133  
    401  

W.R. Berkley Corporation

    30,199  
    12,197  

Wells Fargo & Company

    557,404  
    378  

Willis Towers Watson plc

    83,432  
              6,901,711  
       

Health Care — 25.1% (c)

    4,537  

10X Genomics, Inc. - Class A (a)

    798,149  
    4,335  

Abbott Laboratories

    547,814  
    5,139  

AbbVie, Inc.

    620,688  
    2,610  

ABIOMED, Inc. (a)

    949,936  
    189  

Align Technology, Inc. (a)

    134,001  
    6,484  

Alnylam Pharmaceuticals, Inc. (a)(b)

    1,306,072  
    94  

Amedisys, Inc. (a)

    17,244  
    438  

AmerisourceBergen Corporation

    53,528  
    1,695  

Amgen, Inc.

    382,273  
    722  

Anthem, Inc.

    270,844  
    1,478  

Avantor, Inc. (a)

    58,292  
    1,484  

Baxter International, Inc.

    113,110  
    1,131  

Becton Dickinson and Company

    284,673  
    6,005  

Biogen, Inc. (a)

    2,035,155  
    2,499  

BioMarin Pharmaceutical, Inc. (a)(b)

    210,441  
    62  

Bio-Rad Laboratories, Inc. - Class A (a)

    49,899  
    115  

Bio-Techne Corporation (b)

    57,401  
    4,188  

Boston Scientific Corporation (a)

    189,088  
    6,502  

Bristol-Myers Squibb Company

    434,724  
    855  

Cardinal Health, Inc.

    44,879  
    1,683  

Centene Corporation (a)

    105,995  
    889  

Cerner Corporation

    67,875  
    1,011  

Cigna Corporation (b)

    213,978  
    145  

Cooper Companies, Inc.

    65,353  
    3,878  

CVS Health Corporation

    335,021  
    1,870  

Danaher Corporation

    606,179  
    642  

DENTSPLY SIRONA, Inc.

    39,611  
    2,076  

DexCom, Inc. (a)(b)

    1,099,075  
    1,822  

Edwards Lifesciences Corporation (a)

    213,502  
    1,386  

Elanco Animal Health, Inc. (a)

    46,265  
    3,459  

Eli Lilly & Company

    893,425  
    287  

Encompass Health Corporation

    22,515  
    2,607  

Exact Sciences Corporation (a)(b)

    272,119  
    16,980  

Gilead Sciences, Inc.

    1,235,804  

 

The accompanying notes are an integral part of these financial statements.

 

28

 

 

 

Schedules of Investments (Continued)

 

August 31, 2021

 

Nationwide Maximum Diversification U.S. Core Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.8% (Continued)

       

Health Care — 25.1% (c) (Continued)

    279  

Guardant Health, Inc. (a)

  $ 35,508  
    779  

HCA Healthcare, Inc.

    197,071  
    410  

Henry Schein, Inc. (a)

    30,992  
    749  

Hologic, Inc. (a)

    59,283  
    2,047  

Horizon Therapeutics plc (a)

    221,260  
    377  

Humana, Inc.

    152,843  
    155  

ICON plc (a)

    39,644  
    250  

IDEXX Laboratories, Inc. (a)

    168,440  
    430  

Illumina, Inc. (a)

    196,579  
    676  

Incyte Corporation (a)

    51,707  
    2,925  

Insulet Corporation (a)

    871,094  
    174  

Jazz Pharmaceuticals plc (a)

    22,918  
    7,840  

Johnson & Johnson

    1,357,339  
    287  

Laboratory Corporation of America Holdings (a)

    87,070  
    150  

Masimo Corporation (a)

    40,731  
    468  

McKesson Corporation

    95,538  
    3,972  

Medtronic plc

    530,183  
    7,428  

Merck & Company, Inc.

    566,682  
    68  

Mettler-Toledo International, Inc. (a)

    105,592  
    8,337  

Moderna, Inc. (a)

    3,140,464  
    172  

Molina Healthcare, Inc. (a)

    46,228  
    2,821  

Neurocrine Biosciences, Inc. (a)

    268,559  
    4,360  

Novavax, Inc. (a)(b)

    1,040,034  
    1,555  

Novocure, Ltd. (a)(b)

    208,697  
    536  

Penumbra, Inc. (a)(b)

    147,373  
    331  

PerkinElmer, Inc.

    61,169  
    16,868  

Pfizer, Inc.

    777,109  
    385  

Quest Diagnostics, Inc.

    58,840  
    1,202  

Regeneron Pharmaceuticals, Inc. (a)

    809,427  
    151  

Repligen Corporation (a)

    42,730  
    426  

ResMed, Inc.

    123,766  
    3,803  

Seagen, Inc. (a)

    637,383  
    252  

STERIS plc

    54,183  
    8,256  

Teladoc Health, Inc. (a)(b)

    1,192,332  
    138  

Teleflex, Inc.

    54,573  
    1,160  

Thermo Fisher Scientific, Inc.

    643,742  
    2,798  

UnitedHealth Group, Inc.

    1,164,724  
    222  

Universal Health Services, Inc. - Class B

    34,579  
    406  

Veeva Systems, Inc. - Class A (a)

    134,784  
    764  

Vertex Pharmaceuticals, Inc. (a)

    153,022  
    39,523  

Viatris, Inc.

    578,221  
    181  

Waters Corporation (a)

    74,938  
    217  

West Pharmaceutical Services, Inc.

  98,002  
    616  

Zimmer Biomet Holdings, Inc.

    92,677  
    582  

Zoetis, Inc.

    119,054  
              30,362,012  
       

Industrials — 5.2%

    1,711  

3M Company

    333,200  
    736  

A.O. Smith Corporation

    53,522  
    265  

Allegion plc

    38,157  
    7,729  

American Airlines Group, Inc. (a)(b)

    154,116  
    188  

Axon Enterprise, Inc. (a)

    34,192  
    2,440  

C.H. Robinson Worldwide, Inc. (b)

    219,746  
    153  

Carlisle Companies, Inc.

    32,243  
    2,567  

Carrier Global Corporation

    147,859  
    1,616  

Caterpillar, Inc.

    340,767  
    4,091  

Clarivate plc (a)(b)

    103,053  
    280  

Copart, Inc. (a)

    40,410  
    1,160  

CoStar Group, Inc. (a)

    98,298  
    426  

Cummins, Inc.

    100,527  
    598  

Deere & Company

    226,062  
    1,884  

Delta Air Lines, Inc. (a)

    76,189  
    1,760  

Emerson Electric Company

    185,680  
    359  

Equifax, Inc.

    97,741  
    497  

Expeditors International of Washington, Inc.

    61,946  
    1,692  

Fastenal Company

    94,498  
    725  

FedEx Corporation

    192,625  
    183  

Generac Holdings, Inc. (a)

    79,967  
    3,198  

General Electric Company

    337,101  
    217  

HEICO Corporation - Class A

    24,790  
    1,152  

Howmet Aerospace, Inc.

    36,576  
    224  

IDEX Corporation (b)

    50,176  
    213  

Illinois Tool Works, Inc.

    49,599  
    1,146  

Ingersoll-Rand, Inc. (a)

    60,761  
    249  

JB Hunt Transport Services, Inc.

    44,173  
    2,113  

Johnson Controls International plc

    158,053  
    102  

Lennox International, Inc. (b)

    34,188  
    778  

Lyft, Inc. - Class A (a)(b)

    37,041  
    747  

Masco Corporation

    45,358  
    308  

Old Dominion Freight Line, Inc. (b)

    88,925  
    1,268  

Otis Worldwide Corporation

    116,935  
    1,007  

PACCAR, Inc.

    82,443  
    9,521  

Plug Power, Inc. (a)(b)

    248,118  
    407  

Quanta Services, Inc.

    41,555  
    620  

Republic Services, Inc.

    76,961  

 

The accompanying notes are an integral part of these financial statements.

 

29

 

 

 

Schedules of Investments (Continued)

 

August 31, 2021

 

Nationwide Maximum Diversification U.S. Core Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.8% (Continued)

       

Industrials — 5.2% (Continued)

    343  

Rockwell Automation, Inc. (b)

  $ 111,629  
    235  

Roper Technologies, Inc.

    113,571  
    158  

Snap-on, Inc. (b)

    35,542  
    1,741  

Southwest Airlines Company (a)

    86,667  
    584  

Sunrun, Inc. (a)

    25,842  
    135  

Teledyne Technologies, Inc. (a)

    62,556  
    314  

Toro Company

    34,521  
    704  

Trane Technologies plc

    139,744  
    3,763  

Uber Technologies, Inc. (a)

    147,283  
    227  

Union Pacific Corporation

    49,223  
    955  

United Airlines Holdings, Inc. (a)

    44,417  
    2,137  

United Parcel Service, Inc. - Class B

    418,062  
    376  

Verisk Analytics, Inc.

    75,862  
    129  

W.W. Grainger, Inc.

    55,947  
    1,246  

Waste Management, Inc.

    193,266  
    1,153  

Watsco, Inc. (b)

    321,019  
    524  

Westinghouse Air Brake Technologies Corporation

    47,050  
    529  

Xylem, Inc. (b)

    72,108  
              6,277,860  
       

Information Technology — 13.1%

    2,401  

Advanced Micro Devices, Inc. (a)

    265,839  
    473  

Akamai Technologies, Inc. (a)

    53,567  
    378  

Amdocs, Ltd.

    29,117  
    5,973  

Apple, Inc.

    906,881  
    166  

Arista Networks, Inc. (a)

    61,342  
    200  

Aspen Technology, Inc. (a)(b)

    25,900  
    1,313  

Atlassian Corporation plc - Class A (a)

    481,950  
    244  

Avalara, Inc. (a)(b)

    43,847  
    953  

Bill.com Holdings, Inc. (a)(b)

    261,494  
    448  

Black Knight, Inc. (a)

    33,900  
    341  

Broadridge Financial Solutions, Inc.

    58,727  
    300  

Check Point Software Technologies, Ltd. (a)

    37,689  
    382  

Ciena Corporation (a)

    21,824  
    1,757  

Cisco Systems, Inc.

    103,697  
    3,439  

Citrix Systems, Inc.

    353,770  
    10,613  

Cloudflare, Inc. - Class A (a)

    1,281,414  
    216  

Coupa Software, Inc. (a)

    52,879  
    2,213  

Crowdstrike Holdings, Inc. - Class A (a)

    621,853  
    1,909  

Datadog, Inc. - Class A (a)(b)

    263,060  
    765  

Dell Technologies, Inc. - Class C (a)

    74,557  
    7,144  

DocuSign, Inc. (a)

  2,116,338  
    560  

Dynatrace, Inc. (a)

    38,489  
    1,234  

Enphase Energy, Inc. (a)

    214,383  
    175  

F5 Networks, Inc. (a)(b)

    35,625  
    472  

Five9, Inc. (a)

    74,685  
    241  

FleetCor Technologies, Inc. (a)

    63,450  
    220  

Fortinet, Inc. (a)

    69,331  
    248  

Gartner, Inc. (a)

    76,568  
    245  

GoDaddy, Inc. - Class A (a)

    17,961  
    248  

Guidewire Software, Inc. (a)(b)

    29,378  
    3,205  

Hewlett Packard Enterprise Company

    49,549  
    3,676  

HP, Inc.

    109,324  
    2,910  

Intel Corporation

    157,315  
    2,638  

International Business Machines Corporation (b)

    370,217  
    218  

Jack Henry & Associates, Inc. (b)

    38,451  
    957  

Juniper Networks, Inc. (b)

    27,734  
    239  

Keysight Technologies, Inc. (a)

    42,872  
    171  

MongoDB, Inc. (a)(b)

    67,003  
    656  

NetApp, Inc.

    58,338  
    32,882  

NortonLifeLock, Inc.

    873,346  
    420  

Okta, Inc. (a)(b)

    110,712  
    5,138  

Oracle Corporation

    457,950  
    281  

Palo Alto Networks, Inc. (a)(b)

    129,552  
    2,601  

QUALCOMM, Inc.

    381,540  
    2,840  

RingCentral, Inc. - Class A (a)

    716,418  
    631  

salesforce.com, Inc. (a)

    167,385  
    623  

Seagate Technology Holdings plc

    54,569  
    149  

SolarEdge Technologies, Inc. (a)(b)

    43,177  
    165  

Splunk, Inc. (a)

    25,224  
    2,903  

Twilio, Inc. - Class A (a)

    1,036,255  
    119  

Tyler Technologies, Inc. (a)

    57,798  
    234  

VMware, Inc. - Class A (a)(b)

    34,836  
    1,201  

Western Union Company (b)

    25,990  
    162  

Wix.com, Ltd. (a)

    35,977  
    420  

Workday, Inc. - Class A (a)

    114,727  
    546  

Xilinx, Inc.

    84,952  
    5,115  

Zoom Video Communications, Inc. - Class A (a)

    1,480,792  
    4,550  

Zscaler, Inc. (a)(b)

    1,266,447  
              15,787,965  
       

Materials — 2.6%

    231  

Air Products and Chemicals, Inc.

    62,257  
    344  

Albemarle Corporation

    81,439  
    193  

AptarGroup, Inc.

    26,016  

 

The accompanying notes are an integral part of these financial statements.

 

30

 

 

 

Schedules of Investments (Continued)

 

August 31, 2021

 

Nationwide Maximum Diversification U.S. Core Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.8% (Continued)

       

Materials — 2.6% (Continued)

    244  

Avery Dennison Corporation

  $ 54,995  
    964  

Ball Corporation

    92,506  
    2,166  

Corteva, Inc.

    95,239  
    1,569  

DuPont de Nemours, Inc.

    116,137  
    365  

Eastman Chemical Company

    41,303  
    217  

Ecolab, Inc.

    48,903  
    736  

International Flavors & Fragrances, Inc.

    111,504  
    1,154  

International Paper Company

    69,344  
    601  

Linde plc

    189,069  
    183  

Martin Marietta Materials, Inc.

    69,769  
    1,018  

Mosaic Company

    32,759  
    24,073  

Newmont Corporation

    1,395,992  
    878  

Nucor Corporation

    103,218  
    277  

Packaging Corporation of America

    42,021  
    700  

PPG Industries, Inc.

    111,685  
    115  

Scotts Miracle-Gro Company

    18,035  
    709  

Sherwin-Williams Company

    215,303  
    592  

Steel Dynamics, Inc.

    39,954  
    581  

Vulcan Materials Company

    108,025  
    774  

WestRock Company

    40,279  
              3,165,752  
       

Real Estate — 5.0%

    229  

Alexandria Real Estate Equities, Inc.

    47,259  
    1,337  

American Tower Corporation

    390,631  
    411  

AvalonBay Communities, Inc.

    94,357  
    421  

Boston Properties, Inc.

    47,569  
    286  

Camden Property Trust

    42,911  
    951  

CBRE Group, Inc. - Class A (a)

    91,581  
    1,272  

Crown Castle International Corporation

    247,646  
    832  

Digital Realty Trust, Inc.

    136,373  
    264  

Equinix, Inc.

    222,671  
    493  

Equity LifeStyle Properties, Inc.

    41,940  
    1,070  

Equity Residential

    89,955  
    192  

Essex Property Trust, Inc.

    63,502  
    7,798  

Extra Space Storage, Inc.

    1,457,525  
    2,431  

Federal Realty Investment Trust (b)

    296,023  
    1,482  

Healthpeak Properties, Inc.

    53,352  
    9,946  

Host Hotels & Resorts, Inc. (a)(b)

    164,706  
    845  

Iron Mountain, Inc. (b)

    40,349  
    149  

Jones Lang LaSalle, Inc. (a)

    36,122  
    337  

Mid-America Apartment Communities, Inc.

  64,829  
    516  

National Retail Properties, Inc.

    24,567  
    693  

Omega Healthcare Investors, Inc.

    23,236  
    2,821  

Public Storage

    912,904  
    1,102  

Realty Income Corporation (b)

    79,586  
    6,696  

Regency Centers Corporation

    459,480  
    320  

SBA Communications Corporation

    114,870  
    3,182  

Simon Property Group, Inc.

    427,820  
    325  

Sun Communities, Inc.

    65,484  
    870  

UDR, Inc.

    46,997  
    1,102  

Ventas, Inc.

    61,646  
    2,181  

Vornado Realty Trust (b)

    91,340  
    1,232  

Welltower, Inc.

    107,837  
    520  

WP Carey, Inc. (b)

    40,622  
              6,085,690  
       

Utilities — 2.8%

    535  

American Water Works Company, Inc.

    97,504  
    384  

Atmos Energy Corporation (b)

    37,444  
    852  

CMS Energy Corporation

    54,639  
    15,201  

Consolidated Edison, Inc.

    1,146,914  
    2,377  

Dominion Energy, Inc.

    185,026  
    1,121  

Edison International

    64,839  
    725  

Essential Utilities, Inc.

    35,982  
    1,012  

Eversource Energy

    91,819  
    5,786  

NextEra Energy, Inc.

    485,966  
    1,154  

NiSource, Inc.

    28,446  
    88,773  

PG&E Corporation (a)

    814,048  
    332  

Pinnacle West Capital Corporation

    25,531  
    1,292  

PPL Corporation

    37,920  
    1,491  

Public Service Enterprise Group, Inc.

    95,335  
    894  

Sempra Energy

    118,330  
    613  

UGI Corporation (b)

    28,388  
              3,348,131  
       

TOTAL COMMON STOCKS (Cost $89,317,911)

    120,607,403  
                 

 

The accompanying notes are an integral part of these financial statements.

 

31

 

 

 

Schedules of Investments (Continued)

 

August 31, 2021

 

Nationwide Maximum Diversification U.S. Core Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

SHORT-TERM INVESTMENTS — 0.1%

       

Money Market Funds — 0.1%

    142,422  

Invesco Government & Agency Portfolio - Institutional Class, 0.03% (d)

  $ 142,422  
       

TOTAL SHORT-TERM INVESTMENTS (Cost $142,422)

    142,422  
 

Units

           
       

INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING — 24.1%

       

Private Funds — 24.1%

    29,094,505  

Mount Vernon Liquid Assets Portfolio, LLC, 0.09% (d)

    29,094,505  
       

TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $29,094,505)

    29,094,505  
                 
       

Total Investments (Cost $118,554,838) — 124.0%

    149,844,330  
       

Liabilities in Excess of Other Assets — (24.0)%

    (28,975,849 )
       

TOTAL NET ASSETS — 100.0%

  $ 120,868,481  

 

Percentages are stated as a percent of net assets.

(a)

Non-income producing security.

(b)

All or a portion of this security is on loan as of August 31, 2021. The total value of securities on loan is $28,705,291.

(c)

To the extent the Fund invests more heavily in particular sectors of the economy, its performance will be especially sensitive to developments that significantly affect those sectors. See Note 9 in the Notes to Financial Statements.

(d)

Rate shown is the annualized seven-day yield as of August 31, 2021.

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.    

 

The accompanying notes are an integral part of these financial statements.

 

32

 

 

 

Schedules of Investments (Continued)

 

August 31, 2021

 

Nationwide Risk-Managed Income ETF

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.6%

       

Communication Services — 19.6%

    30,609  

Activision Blizzard, Inc.

  $ 2,521,263  
    7,727  

Alphabet, Inc. - Class A (a)

    22,361,552  
    8,352  

Alphabet, Inc. - Class C (a)

    24,297,972  
    10,206  

Baidu, Inc. - ADR (a)

    1,602,546  
    7,367  

Charter Communications, Inc. - Class A (a)

    6,016,334  
    180,596  

Comcast Corporation - Class A

    10,958,565  
    11,223  

Electronic Arts, Inc.

    1,629,692  
    62,024  

Facebook, Inc. - Class A (a)

    23,530,665  
    12,822  

Fox Corporation - Class A

    480,056  
    9,947  

Fox Corporation - Class B

    344,465  
    10,638  

Match Group, Inc. (a)

    1,462,087  
    11,852  

NetEase, Inc. - ADR

    1,154,622  
    17,431  

Netflix, Inc. (a)

    9,921,551  
    161,175  

Sirius XM Holdings, Inc.

    1,010,567  
    49,107  

T-Mobile US, Inc. (a)

    6,728,641  
              114,020,578  
       

Consumer Discretionary — 16.5%

    13,037  

Amazon.com, Inc. (a)

    45,248,689  
    1,609  

Booking Holdings, Inc. (a)

    3,700,169  
    9,118  

Dollar Tree, Inc. (a)

    825,544  
    26,810  

eBay, Inc.

    2,057,399  
    31,753  

JD.com, Inc. - ADR (a)

    2,494,516  
    4,890  

Lululemon Athletica, Inc. (a)

    1,956,831  
    12,780  

Marriott International, Inc. - Class A (a)

    1,727,089  
    1,964  

MercadoLibre, Inc. (a)

    3,667,672  
    2,748  

O’Reilly Automotive, Inc. (a)

    1,632,532  
    10,588  

Peloton Interactive, Inc. - Class A (a)

    1,060,812  
    14,906  

Pinduoduo, Inc. - ADR (a)

    1,490,898  
    13,992  

Ross Stores, Inc.

    1,656,653  
    46,398  

Starbucks Corporation

    5,451,301  
    30,817  

Tesla, Inc. (a)

    22,672,683  
    20,692  

Trip.com Group, Ltd. - ADR (a)

    630,899  
              96,273,687  
       

Consumer Staples — 4.7%

    17,403  

Costco Wholesale Corporation

    7,926,892  
    55,816  

Keurig Dr Pepper, Inc.

    1,990,957  
    48,129  

Kraft Heinz Company

    1,732,163  
    55,336  

Mondelez International, Inc. - Class A

    3,434,705  
    20,818  

Monster Beverage Corporation (a)

    2,031,212  
    54,379  

PepsiCo, Inc.

    8,504,332  
    33,998  

Walgreens Boots Alliance, Inc.

  1,725,399  
              27,345,660  
       

Health Care — 6.5%

    3,051  

Align Technology, Inc. (a)

    2,163,159  
    22,586  

Amgen, Inc.

    5,093,821  
    5,923  

Biogen, Inc. (a)

    2,007,364  
    11,853  

Cerner Corporation

    904,977  
    3,760  

DexCom, Inc. (a)

    1,990,619  
    49,414  

Gilead Sciences, Inc.

    3,596,351  
    3,320  

IDEXX Laboratories, Inc. (a)

    2,236,883  
    5,706  

Illumina, Inc. (a)

    2,608,555  
    8,658  

Incyte Corporation (a)

    662,250  
    4,603  

Intuitive Surgical, Inc. (a)

    4,849,537  
    15,796  

Moderna, Inc. (a)

    5,950,194  
    4,089  

Regeneron Pharmaceuticals, Inc. (a)

    2,753,533  
    7,134  

Seagen, Inc. (a)

    1,195,658  
    10,199  

Vertex Pharmaceuticals, Inc. (a)

    2,042,758  
              38,055,659  
       

Industrials — 2.7%

    4,100  

Cintas Corporation

    1,622,657  
    9,267  

Copart, Inc. (a)

    1,337,413  
    89,504  

CSX Corporation

    2,911,565  
    22,583  

Fastenal Company

    1,261,261  
    27,310  

Honeywell International, Inc.

    6,333,462  
    13,616  

PACCAR, Inc.

    1,114,742  
    6,366  

Verisk Analytics, Inc.

    1,284,404  
              15,865,504  
       

Information Technology — 48.7% (b)

    18,831  

Adobe, Inc. (a)

    12,498,135  
    47,866  

Advanced Micro Devices, Inc. (a)

    5,299,724  
    14,528  

Analog Devices, Inc.

    2,367,338  
    3,381  

ANSYS, Inc. (a)

    1,235,282  
    432,083  

Apple, Inc.

    65,603,162  
    35,953  

Applied Materials, Inc.

    4,858,329  
    3,062  

ASML Holding NV - NY

    2,550,768  
    5,289  

Atlassian Corporation plc - Class A (a)

    1,941,380  
    8,663  

Autodesk, Inc. (a)

    2,686,310  
    16,713  

Automatic Data Processing, Inc.

    3,493,686  
    16,085  

Broadcom, Inc.

    7,997,623  
    10,897  

Cadence Design Systems, Inc. (a)

    1,781,442  
    5,518  

CDW Corporation

    1,106,966  

 

 

The accompanying notes are an integral part of these financial statements.

 

33

 

 

 

Schedules of Investments (Continued)

 

August 31, 2021

 

Nationwide Risk-Managed Income ETF (Continued)

 

         
Shares   Security Description  Value 
     COMMON STOCKS — 99.6% (Continued)     
    

Information Technology — 48.7% (b) (Continued)

     
 5,289  

Check Point Software Technologies, Ltd. (a)

  $664,457 
 166,010   Cisco Systems, Inc.   9,797,910 
 20,781   Cognizant Technology Solutions Corporation - Class A   1,585,798 
 4,668  

Crowdstrike Holdings, Inc. - Class A (a)

   1,311,708 
 7,627  

DocuSign, Inc. (a)

   2,259,422 
 26,271  

Fiserv, Inc. (a)

   3,094,461 
 159,047   Intel Corporation   8,598,081 
 10,735   Intuit, Inc.   6,077,191 
 6,011   KLA Corporation   2,043,500 
 5,596   Lam Research Corporation   3,384,573 
 32,257   Marvell Technology, Inc.   1,973,806 
 10,743   Microchip Technology, Inc.   1,690,518 
 44,137  

Micron Technology, Inc. (a)

   3,252,897 
 194,985   Microsoft Corporation   58,862,072 
 98,158   NVIDIA Corporation   21,972,667 
 10,815   NXP Semiconductors NV   2,326,631 
 4,888  

Okta, Inc. (a)

   1,288,477 
 14,184   Paychex, Inc.   1,623,642 
 46,282  

PayPal Holdings, Inc. (a)

   13,359,762 
 44,420   QUALCOMM, Inc.   6,515,970 
 6,464   Skyworks Solutions, Inc.   1,185,885 
 6,425  

Splunk, Inc. (a)

   982,190 
 5,988  

Synopsys, Inc. (a)

   1,989,453 
 36,331   Texas Instruments, Inc.   6,935,951 
 4,415  

VeriSign, Inc. (a)

   954,788 
 7,377  

Workday, Inc. - Class A (a)

   2,015,101 
 9,637   Xilinx, Inc.   1,499,421 
 9,257  

Zoom Video Communications, Inc. - Class A (a)

   2,679,902 
         283,346,379 
     Utilities — 0.9%     
 19,675   American Electric Power Company, Inc.   1,762,290 
 38,488   Exelon Corporation   1,886,682 
 21,200   Xcel Energy, Inc.   1,457,500 
         5,106,472 
     TOTAL COMMON STOCKS (Cost $481,841,312)   580,013,939 

 

 

Contracts

 

Security
Description

 

Notional
Amount

   

Value

 
       

PURCHASED OPTIONS (c) — 0.1%

    372  

Nasdaq 100 Index Put, Expiration: 9/17/2021, Exercise Price: $14,225.00

  $ 579,669,372     $ 814,680  
       

TOTAL PURCHASED OPTIONS (Cost $5,046,964)

    814,680  
                         
 

Shares

                   
       

SHORT-TERM INVESTMENTS — 0.3%

       

Money Market Funds — 0.3%

    1,430,855  

Invesco Government & Agency Portfolio - Institutional Class, 0.03% (d)

    1,430,855  
       

TOTAL SHORT-TERM INVESTMENTS (Cost $1,430,855)

    1,430,855  
                         
       

Total Investments (Cost $488,319,131) — 100.0%

    582,259,474  
       

Other Assets in Excess of Liabilities — 0.0% (e)

    40,990  
       

TOTAL NET ASSETS — 100.0%

  $ 582,300,464  

 

Percentages are stated as a percent of net assets.

ADR

American Depositary Receipt.

NY

New York Registry Shares.

(a)

Non-income producing security.

(b)

To the extent the Fund invests more heavily in particular sectors of the economy, its performance will be especially sensitive to developments that significantly affect those sectors. See Note 9 in the Notes to Financial Statements.

(c)

Exchange traded.

(d)

Rate shown is the annualized seven-day yield as of August 31, 2021.

(e)

Represents less than 0.05% of net assets.

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

 

The accompanying notes are an integral part of these financial statements.

 

34

 

 

 

Statements of Assets and Liabilities

 

August 31, 2021

 

   

Nationwide
Risk-Based
U.S. Equity
ETF

   

Nationwide
Risk-Based
International
Equity ETF

   

Nationwide
Maximum
Diversification
U.S. Core
Equity ETF

   

Nationwide
Risk-Managed
Income ETF

 

ASSETS

                               

Investments in securities, at value*+ (Note 2)

  $ 148,291,514     $ 139,147,794     $ 149,844,330     $ 582,259,474  

Dividends and interest receivable

    213,437       280,805       151,880       348,082  

Securities lending income receivable

    1,647       439       1,414        

Reclaims receivable

    828       354,997              

Total Assets

    148,507,426       139,784,035       149,997,624       582,607,556  
                                 

LIABILITIES

                               

Collateral received for securities loaned (Note 4)

    18,887,845       4,924,834       29,094,505        

Management fees payable

    32,810       47,674       34,638       307,092  

Foreign currency due to Custodian, at value*

          787              

Total Liabilities

    18,920,655       4,973,295       29,129,143       307,092  
                                 

NET ASSETS

  $ 129,586,771     $ 134,810,740     $ 120,868,481     $ 582,300,464  
                                 

Net Assets Consist of:

                               

Paid-in capital

  $ 117,845,643     $ 133,317,101     $ 91,766,929     $ 549,891,399  

Total distributable earnings (accumulated deficit)

    11,741,128       1,493,639       29,101,552       32,409,065  

Net assets

  $ 129,586,771     $ 134,810,740     $ 120,868,481     $ 582,300,464  
                                 
                                 

Net asset value:

                               

Net assets

  $ 129,586,771     $ 134,810,740     $ 120,868,481     $ 582,300,464  

Shares outstanding ^

    3,225,000       4,625,000       2,875,000       20,350,000  

Net asset value, offering and redemption price per share

  $ 40.18     $ 29.15     $ 42.04     $ 28.61  

*Identified Cost:

                               

Investments in securities

  $ 132,542,680     $ 125,362,933     $ 118,554,838     $ 488,319,131  

Foreign currency

          (789 )            

 

^

No par value, unlimited number of shares authorized.

+

Including securities on loan of $18,599,101, $4,682,031, $28,705,291, and $0, respectively.

 

The accompanying notes are an integral part of these financial statements.

 

35

 

 

 

Statements of Operations

 

For the Year Ended August 31, 2021

 

   

Nationwide
Risk-Based
U.S. Equity
ETF

   

Nationwide
Risk-Based
International
Equity ETF

   

Nationwide
Maximum
Diversification
U.S. Core
Equity ETF

   

Nationwide
Risk-Managed
Income ETF

 

INCOME

                               

Dividends (1)

  $ 1,660,503     $ 3,012,403     $ 1,512,977     $ 1,934,534  

Interest

    38       43       33       362  

Securities lending income, net (Note 4)

    12,679       5,662       15,338        

Total investment income

    1,673,220       3,018,108       1,528,348       1,934,896  
                                 

EXPENSES

                               

Management fees

    344,386       505,717       376,082       1,745,618  

Total expenses

    344,386       505,717       376,082       1,745,618  

Net investment income (loss)

    1,328,834       2,512,391       1,152,266       189,278  
                                 

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

                               

Net realized gain (loss) on:

                               

Investments

    28,869,109       13,931,276       12,985,252       (19,096,955 )

Written options

                      (17,738,573 )

Foreign currency transactions

    (4 )     (19,524 )            

Change in unrealized appreciation (depreciation) on:

                               

Investments

    (3,944,816 )     2,799,210       11,683,009       70,848,932  

Foreign currency translation

          (10,136 )            

Net realized and unrealized gain (loss) on investments

    24,924,289       16,700,826       24,668,261       34,013,404  

Net increase (decrease) in net assets resulting from operations

  $ 26,253,123     $ 19,213,217     $ 25,820,527     $ 34,202,682  

 

(1)

Net of foreign taxes withheld of $2,528, $274,648, $224 and $2,096, respectively.

 

The accompanying notes are an integral part of these financial statements.

 

36

 

 

 

Statements of Changes in Net Assets

 

 

Nationwide Risk-Based U.S. Equity ETF

 

   

Year Ended
August 31,
2021

   

Year Ended
August 31,
2020

 

OPERATIONS

               

Net investment income (loss)

  $ 1,328,834     $ 1,819,257  

Net realized gain (loss) on investments and foreign currency

    28,869,105       5,715,880  

Change in unrealized appreciation (depreciation) on investments and foreign currency

    (3,944,816 )     6,474,171  

Net increase (decrease) in net assets resulting from operations

    26,253,123       14,009,308  
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Net distributions to shareholders

    (1,476,799 )     (2,223,675 )

Total distributions to shareholders

    (1,476,799 )     (2,223,675 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    78,243,633       26,310,995  

Payments for shares redeemed

    (81,181,680 )     (44,985,528 )

Net increase (decrease) in net assets derived from capital share transactions (a)

    (2,938,047 )     (18,674,533 )

Net increase (decrease) in net assets

  $ 21,838,277     $ (6,888,900 )
                 

NET ASSETS

               

Beginning of year

  $ 107,748,494     $ 114,637,394  

End of year

  $ 129,586,771     $ 107,748,494  

 

(a)

A summary of capital share transactions is as follows:

   

Shares

   

Shares

 

Subscriptions

    2,075,000       875,000  

Redemptions

    (2,175,000 )     (1,475,000 )

Net increase (decrease)

    (100,000 )     (600,000 )

 

 

The accompanying notes are an integral part of these financial statements.

 

37

 

 

 

Statements of Changes in Net Assets (Continued)

 

 

Nationwide Risk-Based International Equity ETF

 

   

Year Ended
August 31,
2021

   

Year Ended
August 31,
2020

 

OPERATIONS

               

Net investment income (loss)

  $ 2,512,391     $ 2,144,027  

Net realized gain (loss) on investments and foreign currency

    13,911,752       (7,445,853 )

Change in unrealized appreciation (depreciation) on investments and foreign currency

    2,789,074       10,276,495  

Net increase (decrease) in net assets resulting from operations

    19,213,217       4,974,669  
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Net distributions to shareholders

    (2,149,338 )     (3,226,899 )

Total distributions to shareholders

    (2,149,338 )     (3,226,899 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    46,707,375       5,166,260  

Payments for shares redeemed

    (41,140,420 )     (11,445,127 )

Transaction fees (Note 8)

    1,865       37  

Net increase (decrease) in net assets derived from capital share transactions (a)

    5,568,820       (6,278,830 )

Net increase (decrease) in net assets

  $ 22,632,699     $ (4,531,060 )
                 

NET ASSETS

               

Beginning of year

  $ 112,178,041     $ 116,709,101  

End of year

  $ 134,810,740     $ 112,178,041  

 

(a)

A summary of capital share transactions is as follows:

   

Shares

   

Shares

 

Subscriptions

    1,625,000       200,000  

Redemptions

    (1,450,000 )     (475,000 )

Net increase (decrease)

    175,000       (275,000 )

 

 

The accompanying notes are an integral part of these financial statements.

 

38

 

 

 

Statements of Changes in Net Assets (Continued)

 

 

Nationwide Maximum Diversification U.S. Core Equity ETF

 

   

Year Ended
August 31,
2021

   

Year Ended
August 31,
2020

 

OPERATIONS

               

Net investment income (loss)

  $ 1,152,266     $ 2,177,743  

Net realized gain (loss) on investments and foreign currency

    12,985,252       4,448,472  

Change in unrealized appreciation (depreciation) on investments and foreign currency

    11,683,009       10,938,372  

Net increase (decrease) in net assets resulting from operations

    25,820,527       17,564,587  
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Net distributions to shareholders

    (1,901,945 )     (1,874,283 )

Total distributions to shareholders

    (1,901,945 )     (1,874,283 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    16,434,355       6,293,710  

Payments for shares redeemed

    (20,102,342 )     (27,064,745 )

Net increase (decrease) in net assets derived from capital share transactions (a)

    (3,667,987 )     (20,771,035 )

Net increase (decrease) in net assets

  $ 20,250,595     $ (5,080,731 )
                 

NET ASSETS

               

Beginning of year

  $ 100,617,886     $ 105,698,617  

End of year

  $ 120,868,481     $ 100,617,886  

 

(a)

A summary of capital share transactions is as follows:

   

Shares

   

Shares

 

Subscriptions

    450,000       225,000  

Redemptions

    (550,000 )     (875,000 )

Net increase (decrease)

    (100,000 )     (650,000 )

 

 

The accompanying notes are an integral part of these financial statements.

 

39

 

 

 

Statements of Changes in Net Assets (Continued)

 

 

Nationwide Risk-Managed Income ETF

 

   

Year Ended
August 31,
2021

   

Period Ended
August 31,
2020
(1)

 

OPERATIONS

               

Net investment income (loss)

  $ 189,278     $ 87,560  

Net realized gain (loss) on investments and written options

    (36,835,528 )     (12,771,743 )

Change in unrealized appreciation (depreciation) on investments

    70,848,932       23,091,411  

Net increase (decrease) in net assets resulting from operations

    34,202,682       10,407,228  
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Net distributions to shareholders

    (189,278 )     (87,560 )

Tax return of capital to shareholders

    (20,717,538 )     (3,039,555 )

Total distributions to shareholders

    (20,906,816 )     (3,127,115 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    468,649,890       135,658,245  

Payments for shares redeemed

    (27,653,610 )     (14,930,040 )

Net increase (decrease) in net assets derived from capital share transactions (a)

    440,996,280       120,728,205  

Net increase (decrease) in net assets

  $ 454,292,146     $ 128,008,318  
                 

NET ASSETS

               

Beginning of year/period

  $ 128,008,318     $  

End of year/period

  $ 582,300,464     $ 128,008,318  

 

(a)

A summary of capital share transactions is as follows:

   

Shares

   

Shares

 

Subscriptions

    16,850,000       5,100,000  

Redemptions

    (1,050,000 )     (550,000 )

Net increase (decrease)

    15,800,000       4,550,000  

 

(1)

Inception date of December 19, 2019. The information presented is for the period from December 19, 2019 to August 31, 2020.

 

The accompanying notes are an integral part of these financial statements.

 

40

 

 

 

Financial Highlights

 

For a capital share outstanding throughout the year/period

 

Nationwide Risk-Based U.S. Equity ETF

 

   

Year Ended August 31,

   

Period Ended
August 31,
2018
(1)

 
   

 

2021

   

2020

   

2019

     

Net asset value, beginning of year/period

  $ 32.41     $ 29.21     $ 27.79     $ 25.00  
                                 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

                               

Net investment income (loss) (2)

    0.42       0.48       0.53       0.51  

Net realized and unrealized gain (loss) on investments and foreign currency (3)

    7.82       3.28       1.49       2.41  

Total from investment operations

    8.24       3.76       2.02       2.92  
                                 

DISTRIBUTIONS TO SHAREHOLDERS:

                               

From net investment income

    (0.47 )     (0.56 )     (0.60 )     (0.11 )

From realized gains

                      (0.02 )

Total distributions to shareholders

    (0.47 )     (0.56 )     (0.60 )     (0.13 )
                                 

Net asset value, end of year/period

  $ 40.18     $ 32.41     $ 29.21     $ 27.79  
                                 

Total return

    25.66 %     13.00 %     7.70 %     11.70 %(4)
                                 

SUPPLEMENTAL DATA:

                               

Net assets at end of year/period (000’s)

  $ 129,587     $ 107,748     $ 114,637     $ 118,101  
                                 

RATIOS TO AVERAGE NET ASSETS:

                               

Expenses to average net assets

    0.30 %     0.30 %     0.30 %     0.30 %(5)

Net investment income to average net assets

    1.16 %     1.64 %     1.95 %     2.03 %(5)
                                 

Portfolio turnover rate (6)

    57 %     73 %     76 %     87 %(4)

 

(1)

Inception date of September 15, 2017.

(2)

Calculated based on average shares outstanding during the year/period.

(3)

Net realized and unrealized gain (loss) per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statement of Operations due to share transactions for the period.

(4)

Not annualized.

(5)

Annualized.

(6)

Excludes the impact of in-kind transactions.

 

 

The accompanying notes are an integral part of these financial statements.

 

41

 

 

 

Financial Highlights (Continued)

 

For a capital share outstanding throughout the year/period

 

Nationwide Risk-Based International Equity ETF

 

   

Year Ended August 31,

   

Period Ended
August 31,
2018
(1)

 
   

2021

   

2020

   

 

2019

     

Net asset value, beginning of year/period

  $ 25.21     $ 24.70     $ 25.99     $ 25.00  
                                 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

                               

Net investment income (loss) (2)

    0.57       0.46       0.68       0.59  

Net realized and unrealized gain (loss) on investments and foreign currency (3)

    3.86       0.73       (1.30 )     0.53  

Total from investment operations

    4.43       1.19       (0.62 )     1.12  
                                 

DISTRIBUTIONS TO SHAREHOLDERS:

                               

From net investment income

    (0.49 )     (0.68 )     (0.67 )     (0.11 )

From realized gains

                      (0.02 )

Total distributions to shareholders

    (0.49 )     (0.68 )     (0.67 )     (0.13 )
                                 

CAPITAL SHARE TRANSACTIONS

                               

Transaction fees (Note 8)

    0.00 (4)      0.00 (4)            0.00 (4) 
                                 

Net asset value, end of year/period

  $ 29.15     $ 25.21     $ 24.70     $ 25.99  
                                 

Total return

    17.70 %     4.77 %     -2.14 %     4.48 %(5)
                                 

SUPPLEMENTAL DATA:

                               

Net assets at end of year/period (000’s)

  $ 134,811     $ 112,178     $ 116,709     $ 119,550  
                                 

RATIOS TO AVERAGE NET ASSETS:

                               

Expenses to average net assets

    0.42 %     0.42 %     0.42 %     0.42 %(6)

Net investment income to average net assets

    2.09 %     1.89 %     2.74 %     2.36 %(6)
                                 

Portfolio turnover rate (7)

    66 %     78 %     98 %     145 %(5)

 

(1)

Inception date of September 15, 2017.

(2)

Calculated based on average shares outstanding during the year/period.

(3)

Net realized and unrealized gain (loss) per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statement of Operations due to share transactions for the period.

(4)

Represents less than $0.005.

(5)

Not annualized.

(6)

Annualized.

(7)

Excludes the impact of in-kind transactions.

 

The accompanying notes are an integral part of these financial statements.

 

42

 

 

 

Financial Highlights (Continued)

 

For a capital share outstanding throughout the year/period

 

Nationwide Maximum Diversification U.S. Core Equity ETF

 

   

Year Ended August 31,

   

Period Ended
August 31,
2018
(1)

 
   

2021

   

2020

   

 

2019

     

Net asset value, beginning of year/period

  $ 33.82     $ 29.16     $ 29.69     $ 25.00  
                                 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

                               

Net investment income (loss) (2)

    0.39       0.64       0.49       0.35  

Net realized and unrealized gain (loss) on investments and foreign currency (3)

    8.49       4.54       (0.60 )     4.46  

Total from investment operations

    8.88       5.18       (0.11 )     4.81  
                                 

DISTRIBUTIONS TO SHAREHOLDERS:

                               

From net investment income

    (0.66 )     (0.52 )     (0.42 )     (0.12 )

From realized gains

                      (0.00 )(4)

Total distributions to shareholders

    (0.66 )     (0.52 )     (0.42 )     (0.12 )
                                 

CAPITAL SHARE TRANSACTIONS

                               

Transaction fees (Note 8)

                0.00 (4)       
                                 

Net asset value, end of year/period

  $ 42.04     $ 33.82     $ 29.16     $ 29.69  
                                 

Total return

    26.54 %     17.96 %     -0.11 %     19.27 %(5)
                                 

SUPPLEMENTAL DATA:

                               

Net assets at end of year/period (000’s)

  $ 120,868     $ 100,618     $ 105,699     $ 114,298  
                                 

RATIOS TO AVERAGE NET ASSETS:

                               

Expenses to average net assets

    0.34 %     0.34 %     0.34 %     0.34 %(6)

Net investment income to average net assets

    1.04 %     2.11 %     1.75 %     1.35 %(6)
                                 

Portfolio turnover rate (7)

    35 %     40 %     37 %     26 %(5)

 

(1)

Inception date of September 15, 2017.

(2)

Calculated based on average shares outstanding during the year/period.

(3)

Net realized and unrealized gain (loss) per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statement of Operations due to share transactions for the period.

(4)

Represents less than $0.005.

(5)

Not annualized.

(6)

Annualized.

(7)

Excludes the impact of in-kind transactions.

 

The accompanying notes are an integral part of these financial statements.

 

43

 

 

 

Financial Highlights (Continued)

 

For a capital share outstanding throughout the year/period

 

Nationwide Risk-Managed Income ETF

 

   

Year Ended
August 31,
2021

   

Period Ended
August 31,
2020
(1)

 

Net asset value, beginning of year/period

  $ 28.13     $ 25.00  
                 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

               

Net investment income (loss) (2)

    0.02       0.05  

Net realized and unrealized gain (loss) on investments (3)

    2.59       4.61  

Total from investment operations

    2.61       4.66  
                 

DISTRIBUTIONS TO SHAREHOLDERS:

               

From net investment income

    (0.02 )     (0.04 )

Tax return of capital to shareholders

    (2.11 )     (1.49 )

Total distributions to shareholders

    (2.13 )     (1.53 )
                 

Net asset value, end of year/period

  $ 28.61     $ 28.13  
                 

Total return

    9.61 %(5)     19.72 %(4)(5)
                 

SUPPLEMENTAL DATA:

               

Net assets at end of year/period (000’s)

  $ 582,300     $ 128,008  
                 

RATIOS TO AVERAGE NET ASSETS:

               

Expenses to average net assets

    0.68 %     0.68 %(6)

Net investment income to average net assets

    0.07 %     0.25 %(6)
                 

Portfolio turnover rate (7)

    10 %     11 %(4)

 

(1)

Inception date of December 19, 2019.

(2)

Calculated based on average shares outstanding during the year/period.

(3)

Net realized and unrealized gain (loss) per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statement of Operations due to share transactions for the period.

(4)

Not annualized.

(5)

The return reflects the actual performance for the period and does not include the impact of adjustments made in accordance with generally accepted accounting principles in the United States of America (“U.S. GAAP”). Had the adjustments been included, the total return for the periods ended August 31, 2021 and 2020 would have been 9.96% and 19.33%, respectively.

(6)

Annualized.

(7)

Excludes the impact of in-kind transactions.

 

 

The accompanying notes are an integral part of these financial statements.

 

44

 

 

 

Notes to Financial Statements

 

August 31, 2021

 

NOTE 1 – ORGANIZATION

 

Nationwide Risk-Based U.S. Equity ETF, Nationwide Risk-Based International Equity ETF and Nationwide Maximum Diversification U.S. Core Equity ETF are diversified series and Nationwide Risk-Managed Income ETF is a non-diversified series (individually each a “Fund” or collectively the “Funds”) of ETF Series Solutions (“ESS” or the “Trust”), an open-end management investment company consisting of multiple investment series, organized as a Delaware statutory trust on February 9, 2012. The Trust is registered with the Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and the offering of the Funds’ shares is registered under the Securities Act of 1933, as amended (the “Securities Act”). The investment objective of the Nationwide Risk-Based U.S. Equity ETF is to track the performance of the Rothschild & Co Risk-Based US IndexSM. The investment objective of the Nationwide Risk-Based International Equity ETF is to track the performance of the Rothschild & Co Risk-Based International IndexSM. The investment objective of the Nationwide Maximum Diversification U.S. Core Equity ETF is to track the performance of the TOBAM Maximum Diversification® USA Index. The investment objective of the Nationwide Risk-Managed Income ETF is to seek current income with downside protection. The inception date for the Nationwide Risk-Based U.S. Equity ETF, Nationwide Risk-Based International Equity ETF and Nationwide Maximum Diversification U.S. Core Equity ETF (“Index ETFs”) is September 15, 2017. The inception date for the Nationwide Risk-Managed Income ETF is December 19, 2019.

 

The end of the reporting period for the Funds is August 31, 2021, and the period covered by these Notes to Financial Statements is the fiscal year ended August 31, 2021 (the “current fiscal period”).

 

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

 

The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 Financial Services-Investment Companies.

 

The following is a summary of significant accounting policies consistently followed by the Funds. These policies are in conformity with U.S. GAAP.

 

A.

Security Valuation. All equity securities, including domestic and foreign common stocks, preferred stocks and exchange traded funds that are traded on a national securities exchange, except those listed on the Nasdaq Global Market®, Nasdaq Global Select Market® and the Nasdaq Capital Market® exchanges (collectively, “Nasdaq”) are valued at the last reported sale price on the exchange on which the security is principally traded. Securities traded on Nasdaq will be valued at the Nasdaq Official Closing Price (“NOCP”). If, on a particular day, an exchange-traded or Nasdaq security does not trade, then the mean between the most recent quoted bid and asked prices will be used. All equity securities that are not traded on a listed exchange are valued at the last sale price in the over-the-counter market. If a non-exchange traded security does not trade on a particular day, then the mean between the last quoted closing bid and asked price will be used. Prices denominated in foreign currencies are converted to U.S. dollar equivalents at the current exchange rate, which approximates fair value.

 

Investments in mutual funds, including money market funds, are valued at their net asset value (“NAV”) per share.

 

Debt securities, including short-term debt instruments, are valued in accordance with prices provided by a pricing service. Pricing services may use various valuation methodologies such as the mean between the bid and asked prices, matrix pricing and other analytical pricing models as well as market transactions and dealer quotations.

 

Exchange traded options are valued at the composite mean price, which calculates the mean of the highest bid price and lowest asked price across the exchanges where the option is principally traded. On the last trading day prior to expiration, expiring options will be priced at intrinsic value. The Trust’s valuation committee may also use other valuation methods in certain instances.

 

Units of Mount Vernon Liquid Assets Portfolio, LLC are not traded on an exchange and are valued at the investment company’s NAV per share as provided by the underlying fund’s administrator. These shares are generally classified as Level 2 Investments.

 

45

 

 

 

Notes to Financial Statements (Continued)

 

August 31, 2021

 

Securities for which quotations are not readily available are valued at their respective fair values in accordance with pricing procedures adopted by the Funds’ Board of Trustees (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 pricing procedures adopted by the Board. The use of fair value pricing by the Funds may cause the NAV of their 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 valuations 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 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 the Funds’ investments as of the end of the current fiscal period:

 

Nationwide Risk-Based U.S. Equity ETF

 

Assets^

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks

  $ 129,207,327     $     $     $ 129,207,327  

Short-Term Investments

    196,342                   196,342  

Investments Purchased with Proceeds from Securities Lending

          18,887,845             18,887,845  

Total Investments in Securities, at value

  $ 129,403,669     $ 18,887,845     $     $ 148,291,514  

 

Nationwide Risk-Based International Equity ETF

 

Assets*

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks

  $ 134,030,160     $     $     $ 134,030,160  

Short-Term Investments

    192,800                   192,800  

Investments Purchased with Proceeds from Securities Lending

          4,924,834             4,924,834  

Total Investments in Securities, at value

  $ 134,222,960     $ 4,924,834     $     $ 139,147,794  

 

46

 

 

 

Notes to Financial Statements (Continued)

 

August 31, 2021

 

Nationwide Maximum Diversification U.S. Core Equity ETF

 

Assets^

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks

  $ 120,607,403     $     $     $ 120,607,403  

Short-Term Investments

    142,422                   142,422  

Investments Purchased with Proceeds from Securities Lending

          29,094,505             29,094,505  

Total Investments in Securities, at value

  $ 120,749,825     $ 29,094,505     $     $ 149,844,330  

 

Nationwide Risk-Managed Income ETF

 

Assets#

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks

  $ 580,013,939     $     $     $ 580,013,939  

Purchased Options

          814,680             814,680  

Short-Term Investments

    1,430,855                   1,430,855  

Total Investments in Securities, at value

  $ 581,444,794     $ 814,680     $     $ 582,259,474  

 

 

^

See Schedule of Investments for breakout of investments by sector classification.

 

*

See Schedule of Investments for breakout of investments by country and sector classifications.

 

#

See Schedule of Investments for breakout of investments by sector classification and contract type.

 

During the current fiscal period, the Funds did not recognize any transfers to or from Level 3.

 

B.

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 and currency gains or losses realized between the trade and settlement dates on securities transactions 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 foreign currency transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

 

C.

Federal Income Taxes. The Funds’ policy is to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of their net investment income and net capital gains to shareholders. Therefore, no federal income tax provision is required. Each Fund plans to file U.S. Federal and various state and local tax returns.

 

Each Fund recognizes the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained. Management has analyzed each Fund’s uncertain tax positions and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions.

 

Management is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next 12 months. Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits on uncertain tax positions as income tax expenses in the Statements of Operations. During the current fiscal period, the Funds did not incur any interest or penalties.

 

D.

Security 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. Dividend income is recorded on the ex-dividend date. Interest income is recorded on an accrual

 

47

 

 

 

Notes to Financial Statements (Continued)

 

August 31, 2021

 

basis. Withholding taxes on foreign dividends have been provided for in accordance with the Funds’ understanding of the applicable tax rules and regulations.

 

Distributions received from the Funds’ investments in real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain, or a return of capital. The proper characterization of REIT distributions is generally not known until after the end of each calendar year. As such, the Funds must use estimates in reporting the character of their income and distributions received during the current calendar year for financial statement purposes. The actual character of distributions to the Funds’ shareholders will be reflected on the Form 1099 received by shareholders after the end of the calendar year. Due to the nature of REIT investments, a portion of the distributions received by the Funds’ shareholders may represent a return of capital.

 

E.

Distributions to Shareholders. Distributions to shareholders from net investment income and net realized gains on securities are declared and paid on an annual basis for Nationwide Risk-Based U.S. Equity ETF, Nationwide Risk-Based International Equity ETF and Nationwide Maximum Diversification U.S. Core Equity ETF. Distributions to shareholders from net investment income are declared and paid monthly by Nationwide Risk-Managed Income ETF and realized gains on securities are declared and paid by the Fund on an annual basis. Distributions are recorded on the ex-dividend date.

 

F.

Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

 

G.

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 and other assets, minus all liabilities (including estimated accrued expenses) by the total number of outstanding shares for each Fund, rounded to the nearest cent. The Funds’ shares will not be priced on the days on which the New York Stock Exchange, Inc. (“NYSE”) is closed for trading. The offering and redemption price per share of each Fund is equal to each Fund’s NAV per share.

 

H.

Guarantees and Indemnifications. In the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

 

I.

Reclassification of Capital Accounts. U.S. GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or NAV per share and are primarily due to differing book and tax treatments for in-kind transactions. For the fiscal year ended August 31, 2021, the following table shows the reclassifications made:

 

 

 

Distributable
Earnings
(Accumulated
Deficit)

   

Paid-In Capital

 

Nationwide Risk-Based U.S. Equity ETF

  $ (21,477,156 )   $ 21,477,156  

Nationwide Risk-Based International Equity ETF

    (8,539,996 )     8,539,996  

Nationwide Maximum Diversification U.S. Core Equity ETF

    (8,117,220 )     8,117,220  

Nationwide Risk-Managed Income ETF

    (7,715,699 )     7,715,699  

 

 

48

 

 

 

Notes to Financial Statements (Continued)

 

August 31, 2021

 

During the fiscal year ended August 31, 2021, the Funds realized the following net capital gains resulting from in-kind redemptions, in which shareholders exchanged Fund shares for securities held by the Funds rather than for cash. Because such gains are not taxable to the Funds, and are not distributed to shareholders, they have been reclassified from distributable earnings (accumulated deficit) to paid-in capital.

 

Nationwide Risk-Based U.S. Equity ETF

  $ 21,477,156  

Nationwide Risk-Based International Equity ETF

    8,539,996  

Nationwide Maximum Diversification U.S. Core Equity ETF

    8,117,220  

Nationwide Risk-Managed Income ETF

    7,715,699  

 

J.

Subsequent Events. In preparing these financial statements, management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued. There were no events or transactions that occurred during the period subsequent to the end of the current fiscal period that materially impacted the amounts or disclosures in the Funds’ financial statements.

 

K.

Regulatory Updates. In October 2020, the SEC adopted new regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). Rule 18f-4 will impose limits on the amount of derivatives a Fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, and require funds whose use of derivatives is greater than a limited specified amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager. Funds will be required to comply with Rule 18f-4 by August 19, 2022. It is not currently clear what impact, if any, Rule 18f-4 will have on the availability, liquidity or performance of derivatives. Management is currently evaluating the potential impact of Rule 18f-4 on the Funds. When fully implemented, Rule 18f-4 may require changes in how a Fund uses derivatives, adversely affect the Fund’s performance and increase costs related to the Fund’s use of derivatives.

 

In December 2020, the SEC adopted a new rule providing a framework for fund valuation practices (“Rule 2a-5”). Rule 2a-5 establishes requirements for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit fund boards to designate certain parties to perform fair value determinations, subject to board oversight and certain other conditions. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. In connection with Rule 2a-5, the SEC also adopted related recordkeeping requirements and is rescinding previously issued guidance, including with respect to the role of a board in determining fair value and the accounting and auditing of fund investments. The Funds will be required to comply with the rules by September 8, 2022. Management is currently assessing the potential impact of the new rules on the Funds’ financial statements.

 

NOTE 3 – COMMITMENTS AND OTHER RELATED PARTY TRANSACTIONS

 

Nationwide Fund Advisors (“NFA” or the “Adviser”) serves as the investment adviser to the Funds. Pursuant to an Investment Advisory Agreement (“Advisory Agreement”) between the Trust, on behalf of the Funds, and the Adviser, the Adviser provides investment advice to the Funds and oversees the day-to-day operations of the Funds, subject to the direction and control of the Board and the officers of the Trust. Under the Advisory Agreement, the Adviser is responsible for arranging, in consultation with each Fund’s respective sub-adviser: transfer agency, custody, fund administration and accounting, and all other related services necessary for the Funds to operate. Vident Investment Advisory, LLC serves as the sub-adviser for the Nationwide Risk-Based U.S. Equity ETF, Nationwide Risk-Based International Equity ETF and Nationwide Maximum Diversification U.S. Core Equity ETF and Harvest Volatility Management, LLC serves as the sub-adviser for Nationwide Risk-Managed Income ETF (each, respectively, the “Sub-Adviser”). Under the Advisory Agreement, the Adviser has agreed to pay all expenses of the Funds, except for: the fee paid to the Adviser pursuant to the Advisory Agreement, interest charges on any borrowings, dividends and other expenses on securities sold short, taxes, brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, accrued deferred tax liability, extraordinary expenses and distribution (12b-1) fees and expenses. For services provided to the Funds, Nationwide Risk-Based U.S. Equity ETF pays the Adviser 0.30%, Nationwide Risk-Based International Equity ETF pays the Adviser 0.42%, Nationwide Maximum Diversification U.S. Core Equity ETF pays the Adviser

 

49

 

 

 

Notes to Financial Statements (Continued)

 

August 31, 2021

 

0.34% and Nationwide Risk-Managed Income ETF pays the Adviser 0.68%, at an annual rate based on each Fund’s average daily net assets.

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services” or “Administrator”) acts as the Funds’ Administrator and, in that capacity, performs various administrative and accounting services for the Funds. The Administrator 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, transfer agent and accountant. Fund Services also serves as the transfer agent and fund accountant to the Funds. U.S. Bank N.A. (the “Custodian”), an affiliate of Fund Services, serves as the Funds’ Custodian.

 

The Custodian and Bank of New York Mellon (“BNY” or the “Sub-Custodian”) act as the securities lending agents (the “Securities Lending Agents”) for the Nationwide Risk-Based International Equity ETF. The Custodian acts as the securities lending agent for the Nationwide Risk-Based U.S. Equity ETF and the Nationwide Maximum Diversification U.S. Core Equity ETF. Nationwide Risk-Managed Income ETF is not a party to either securities lending agreement, therefore did not participate.

 

A Trustee and all officers of the Trust are affiliated with the Administrator and Custodian.

 

NOTE 4 – SECURITIES LENDING

 

The Funds may lend up to 33⅓% of the value of the securities in their portfolios to brokers, dealers and financial institutions (but not individuals) under terms of participation in a securities lending program administered by the securities lending agents. The securities lending agreements require that loans are collateralized at all times in an amount equal to at least 102% of the value of any domestic loaned securities at the time of the loan plus accrued interest. The use of loans of foreign securities, which are denominated and payable in U.S. dollars, shall be collateralized in an amount equal to 105% of the value of any loaned securities at the time of the loan plus accrued interest. The Funds receive compensation in the form of fees and earn interest on the non-cash and cash collateral. The amount of fees depends on a number of factors including the type of security and length of the loan. The Funds continue to receive interest payments or dividends on the securities loaned during the borrowing period. Gain or loss in the value of securities loaned that may occur during the term of the loan will be for the account of the Funds. The Funds have the right under the terms of the securities lending agreements to recall the securities from the borrower on demand.

 

The securities lending agreements provide that, in the event of a borrower’s material default, the securities lending agent shall take all actions the securities lending agent deems appropriate to liquidate the collateral, purchase replacement securities at the securities lending agent’s expense, or pay the Fund an amount equal to the market value of the loaned securities, subject to certain limitations which are set forth in detail in the securities lending agreements between the Funds and the securities lending agents.

 

As of the end of the current fiscal period, the Nationwide Risk-Based International Equity ETF, the Nationwide Risk-Based U.S. Equity ETF and the Nationwide Maximum Diversification U.S. Core Equity ETF had loaned securities that were collateralized by cash equivalents. The cash collateral is invested by the Securities Lending Agents in accordance with approved investment guidelines. Those guidelines require the cash collateral to be invested in readily marketable, high quality, short-term obligations; however, such investments are subject to risk of payment delays or default on the part of the issuer or counterparty or otherwise may not generate sufficient interest to support the costs associated with securities lending. The Funds could also experience delays in recovering their securities and possible loss of income or value if the borrower fails to return the borrowed securities, although the Funds are indemnified from this risk by contract with the Securities Lending Agents.

 

50

 

 

 

Notes to Financial Statements (Continued)

 

August 31, 2021

 

As of the end of the current fiscal period, the values of the securities on loan and payable for collateral due to the Securities Lending Agents were as follows:

 

Fund

 

Value of
Securities
on Loan

   

Payable for
Collateral Received

 

Nationwide Risk-Based U.S. Equity ETF

  $ 18,599,101     $ 18,887,845 *

Nationwide Risk-Based International Equity ETF

    4,682,031       4,924,834 *^

Nationwide Maximum Diversification U.S. Core Equity ETF

    28,705,291       29,094,505 *

Nationwide Risk-Managed Income ETF

           

 

*

The cash collateral received was invested in the Mount Vernon Liquid Assets Portfolio, LLC as shown on the Schedules of Investments, a short-term investment portfolio with an overnight and continuous maturity. The investment objective is to seek to maximize current income to the extent consistent with the preservation of capital and liquidity and maintain a stable NAV of $1.00 per unit.

^

The cash collateral received was invested in repurchase agreements collateralized by various U.S. government obligations, short-term investments with an overnight and continuous maturity.

 

The Nationwide Risk-Based International Equity ETF receives cash and non-cash collateral in return for securities loaned as part of the securities lending program. The cash collateral is invested in various repurchase agreements with selected commercial banks and broker-dealers, under which the Fund acquires U.S. government obligations as collateral subject to an obligation of the counterparty to repurchase and the Fund to resell the securities at an agreed upon time and price. The Fund, through the Sub-Custodian, receives delivery of the underlying securities collateralizing repurchase agreements. The Fund requires the Sub-Custodian to take possession of all securities held as collateral for repurchase agreements. The Fund and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction and it is the Fund’s policy that the fair value of the collateral be at least equal to 102% of the repurchase price. The value of the related collateral that the Fund received for repurchase agreements exceeded the value of the repurchase agreements at the end of the current fiscal period. The Schedule of Investments for the Fund includes investments purchased with particular cash collateral holdings as of the end of the reporting period. There was no non-cash collateral received by the Nationwide Risk-Based International Equity ETF at the end of the current fiscal period.

 

The interest income earned by the Funds on non-cash collateral and investments of cash collateral received from borrowers for the securities loaned to them (“Securities Lending Income”) is reflected in the Funds’ Statements of Operations. Fees and interest income earned on collateral investments and recognized by the Funds during the current fiscal period were as follows:

 

Fund

 

Fees and
Interest Earned

 

Nationwide Risk-Based U.S. Equity ETF

  $ 12,679  

Nationwide Risk-Based International Equity ETF

    5,662  

Nationwide Maximum Diversification U.S. Core Equity ETF

    15,338  

Nationwide Risk-Managed Income ETF

     

 

Due to the absence of a master netting agreement related to the Funds’ participation in securities lending, no offsetting disclosures have been made on behalf of the Funds.

 

51

 

 

 

Notes to Financial Statements (Continued)

 

August 31, 2021

 

NOTE 5 – PURCHASES AND SALES OF SECURITIES

 

During the current fiscal period, purchases and sales of securities by the Funds, excluding short-term securities, options, and in-kind transactions were as follows:

 

Fund

 

Purchases

   

Sales

 

Nationwide Risk-Based U.S. Equity ETF

  $ 66,079,046     $ 65,703,595  

Nationwide Risk-Based International Equity ETF

    80,363,865       78,699,553  

Nationwide Maximum Diversification U.S. Core Equity ETF

    38,074,845       38,776,851  

Nationwide Risk-Managed Income ETF

    25,792,627       87,094,138  

 

During the current fiscal period, there were no purchases or sales of U.S. Government securities.

 

During the current fiscal period, the in-kind security transactions associated with creations and redemptions were as follows:

 

Fund

 

In-Kind
Purchases

   

In-Kind
Sales

 

Nationwide Risk-Based U.S. Equity ETF

  $ 78,288,691     $ 81,307,499  

Nationwide Risk-Based International Equity ETF

    45,204,176       41,116,618  

Nationwide Maximum Diversification U.S. Core Equity ETF

    16,360,583       20,117,837  

Nationwide Risk-Managed Income ETF

    463,562,308       27,280,204  

 

NOTE 6 – ADDITIONAL DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS

 

The following disclosures provide information on the Funds’ use of derivatives. The location and value of these instruments on the Statements of Assets and Liabilities and the realized gains and losses and changes in unrealized appreciation and depreciation on the Statements of Operations are included in the following tables.

 

Options Contracts. Nationwide Risk-Managed Income ETF may purchase call and put options. The Fund may also write options. When the Fund purchases a call or put option, an amount equal to the premium paid is included in the Statement of Assets and Liabilities as an investment and is subsequently adjusted to reflect the value of the option. If an option expires on the stipulated expiration date or if the Fund enters into a closing sale transaction, a gain or loss is realized. If the Fund exercises a call option, the cost of the security acquired is increased by the premium paid for the call. If the Fund exercises a put option, a gain or loss is realized from the sale of the underlying security, and the proceeds from such a sale are decreased by the premium originally paid. The risk associated with purchasing options is limited to the loss of the premium paid.

 

A written (sold) call option gives the seller the obligation to sell shares of the underlying asset at a specified price (“strike price”) at a specified date (“expiration date”). The writer (seller) of the call option receives an amount (premium) for writing (selling) the option. In the event the underlying asset appreciates above the strike price as of the expiration date, the writer (seller) of the call option will have to pay the difference between the value of the underlying asset and the strike price (which loss is offset by the premium initially received), and in the event the underlying asset declines in value, the call option may end up worthless and the writer (seller) of the call option retains the premium. When the Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current fair value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gains from written options. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or, if the premium is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Fund has realized a gain or loss. The Fund, as a writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option.

 

52

 

 

 

Notes to Financial Statements (Continued)

 

August 31, 2021

 

The average monthly volume of derivative activity during the current fiscal period was as follows:

 

   

Average Monthly Value

 

Fund

 

Purchased Options

   

Written Options

 

Nationwide Risk-Managed Income ETF

  $ 1,898,073     $ (2,819,742 )

 

The effect of derivative instruments on the Statements of Assets and Liabilities for the current fiscal period is as follows:

 

   

Asset Derivatives*

Fund

Derivatives Not Accounted
for as Hedging Instruments

Location

 

Value

 

Nationwide Risk-Managed Income ETF

Equity Contracts - Purchased Options

Investments in securities, at value

  $ 814,680  

 

The effect of derivative instruments on the Statements of Operations for the current fiscal period is as follows:

 

Fund

Derivatives Not Accounted
for as Hedging Instruments

 

Net Realized
Gain (Loss)

   

Change in
Unrealized
Appreciation
(Depreciation)

 

Nationwide Risk-Managed Income ETF

Equity Contracts - Purchased Options

  $ (24,214,169 )*   $ (3,085,675 )**

Nationwide Risk-Managed Income ETF

Equity Contracts - Written Options

    (17,738,573 )      

 

*

Included in net realized gain (loss) on investments as reported in the Statements of Operations.

**

Included in net change in unrealized appreciation (depreciation) on investments as reported in the Statements of Operations.

 

NOTE 7 – INCOME TAX INFORMATION

 

The components of tax basis cost of investments and distributable earnings (accumulated deficit) for federal income tax purposes at August 31, 2021, was as follows:

 

 

 

Nationwide
Risk-Based U.S.
Equity ETF

   

Nationwide
Risk-Based
International
Equity ETF

   

Nationwide
Maximum
Diversification U.S.
Core Equity ETF

   

Nationwide
Risk-Managed
Income ETF

 

Tax cost of investments

  $ 133,245,702     $ 126,559,508     $ 119,267,749     $ 488,379,911  

Gross tax unrealized appreciation

  $ 17,774,262     $ 18,053,885     $ 35,745,648     $ 106,168,381  

Gross tax unrealized depreciation

    (2,728,450 )     (5,464,809 )     (5,169,067 )     (12,288,818 )

Net tax unrealized appreciation (depreciation)

    15,045,812       12,589,076       30,576,581       93,879,563  

Undistributed ordinary income

    824,473       2,255,483       748,114        

Undistributed long-term capital gains

                       

Other accumulated gain (loss)

    (4,129,157 )     (13,350,920 )     (2,223,143 )     (61,470,498 )

Distributed earnings (accumulated deficit)

  $ 11,741,128     $ 1,493,639     $ 29,101,552     $ 32,409,065  

 

The difference between book and tax-basis cost is due primarily to timing differences in recognizing wash sale losses in security transactions, tax treatment of certain derivatives and tax treatment of passive foreign investment companies.

 

A regulated investment company may elect for any taxable year to treat any portion of any qualified late year loss as arising on the first day of the next taxable year. Qualified late year losses are certain capital and ordinary losses which occur during the portion of the Funds’ taxable year subsequent to October 31 and

 

53

 

 

 

Notes to Financial Statements (Continued)

 

August 31, 2021

 

December 31, respectively. For the taxable year ended August 31, 2021, the Funds did not elect to defer any post-October capital losses or late-year ordinary losses.

 

As of August 31, 2021, the Funds had the following capital loss carryforward available for federal income tax purposes, with an indefinite expiration:

 

 

 

Short-Term

   

Long-Term

 

Nationwide Risk-Based U.S. Equity ETF

  $ 2,234,945     $ 1,894,212  

Nationwide Risk-Based International Equity ETF

    5,880,909       7,479,330  

Nationwide Maximum Diversification U.S. Core Equity ETF

          2,223,143  

Nationwide Risk-Managed Income ETF

    23,878,496       37,592,002  

 

During the current fiscal period, the Funds utilized the following capital loss carryforward that was available as of August 31, 2020:

 

 

 

Short-Term

   

Long-Term

 

Nationwide Risk-Based U.S. Equity ETF

  $ 5,475,158     $ 1,776,109  

Nationwide Risk-Based International Equity ETF

    4,109,797       1,135,199  

Nationwide Maximum Diversification U.S. Core Equity ETF

    3,002,082       2,089,610  

Nationwide Risk-Managed Income ETF

           

 

The tax character of distributions declared by the Funds during the year ended August 31, 2021 and year/period ended August 31, 2020 was as follows:

 

   

Year Ended August 31, 2021

 

Fund

 

Ordinary
Income

   

Long Term
Capital Gain

   

Return of
Capital

 

Nationwide Risk-Based U.S. Equity ETF

  $ 1,476,799     $     $  

Nationwide Risk-Based International Equity ETF

    2,149,338              

Nationwide Maximum Diversification U.S. Core Equity ETF

    1,901,945              

Nationwide Risk-Managed Income ETF

    189,278             20,717,538  

 

   

Year/Period Ended August 31, 2020

 

Fund

 

Ordinary
Income

   

Long Term
Capital Gain

   

Return of
Capital

 

Nationwide Risk-Based U.S. Equity ETF

  $ 2,223,675     $     $  

Nationwide Risk-Based International Equity ETF

    3,226,899              

Nationwide Maximum Diversification U.S. Core Equity ETF

    1,874,283              

Nationwide Risk-Managed Income ETF

    87,560             3,039,555  

 

NOTE 8 – SHARE TRANSACTIONS

 

Shares of the Funds are listed and traded on New York Stock Exchange Arca, Inc. (“NYSE Arca”). Market prices for the shares may be different from their NAV. Nationwide Risk-Based U.S. Equity ETF, Nationwide Risk-Based International Equity ETF and Nationwide Maximum Diversification U.S. Core Equity ETF issue and redeem shares on a continuous basis at NAV generally in blocks of 25,000 shares. Nationwide Risk-Managed Income ETF issues and redeems shares on a continuous basis at NAV generally in blocks of 50,000 shares. The general blocks of shares issued or redeemed are called “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 a Fund. Creation Units may only be purchased or redeemed by certain financial institutions (“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

 

54

 

 

 

Notes to Financial Statements (Continued)

 

August 31, 2021

 

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 shares directly from the Funds. Rather, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.

 

The Funds each currently offer one class of shares, which has no front-end sales load, no deferred sales charge, and no redemption fee. A fixed transaction fee is imposed for the transfer and other transaction costs associated with the purchase or sale of Creation Units. The standard fixed transaction fee for Nationwide Risk-Based U.S. Equity ETF, Nationwide Maximum Diversification U.S. Core Equity ETF and Nationwide Risk-Managed Income ETF is $500, payable to the Custodian. The standard fixed transaction fee for Nationwide Risk-Based International Equity ETF is $4,000, 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% as a percentage of the value of the Creation Units subject to the transaction. Variable fees are imposed to compensate the Funds for the transaction costs associated with the cash transactions. Variable fees received by each Fund, if any, are displayed in the Capital Shares Transactions section of each Statement of Changes in Net Assets. The Funds may issue an unlimited number of shares of beneficial interest, with no par value. Shares of the Funds have equal rights and privileges.

 

NOTE 9 – RISKS

 

COVID-19 Risk. The recent global outbreak of COVID-19 has disrupted economic markets and the prolonged economic impact is uncertain. The operational and financial performance of the issuers of securities in which the Funds invest depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn impact the value of the Funds’ investments.

 

Derivatives Risk (Risk-Managed Fund only). The Fund invests in options that derive their performance from the performance of an underlying reference asset. Derivatives, such as the options in which the Fund invests, can be volatile and involve various types and degrees of risks, depending upon the characteristics of a particular derivative. Derivatives may have investment exposures that are greater than their cost would suggest, meaning that a small investment in a derivative could have a substantial impact on the performance of the Fund. The Fund could experience a loss if its derivatives do not perform as anticipated, the derivatives are not correlated with the performance of their reference asset, or if the Fund is unable to purchase or liquidate a position because of an illiquid secondary market. The market for many derivatives is, or suddenly can become, illiquid. Changes in liquidity may result in significant, rapid, and unpredictable changes in the prices for derivatives.

 

Foreign Securities Risk (International Fund only). Investments in non-U.S. securities involve certain risks that may not be present with investments in U.S. securities. For example, investments in non-U.S. securities may be subject to risk of loss due to foreign currency fluctuations or to political or economic instability. Investments in non-U.S. securities also may be subject to withholding or other taxes and may be subject to additional trading, settlement, custodial, and operational risks. These and other factors can make investments in the International Fund more volatile and potentially less liquid than other types of investments.

 

Sector Risk. To the extent the Funds invest more heavily in particular sectors of the economy, their performance will be especially sensitive to developments that significantly affect those sectors.

 

55

 

 

 

Notes to Financial Statements (Continued)

 

August 31, 2021

 

NOTE 10 – BENEFICIAL OWNERSHIP

 

The beneficial ownership, either directly or indirectly, of 25% or more of the voting securities of a fund creates a presumption of control of a fund, under section 2(a)(9) of the Investment Company Act of 1940. As of the end of the current fiscal period, ownership by affiliated funds and the parent company of the Adviser was as follows:

 

Fund

 

Shares Owned

   

Percentage of Total
Shares Outstanding

 

Nationwide Risk-Based U.S. Equity ETF

    3,203,800       99.34 %

Nationwide Risk-Based International Equity ETF

    4,536,600       98.09 %

Nationwide Maximum Diversification U.S. Core Equity ETF

    2,757,016       95.90 %

 

56

 

 

 

Report of Independent Registered Public Accounting Firm

 

 

To the Shareholders of Nationwide ETFs and
Board of Trustees of ETF Series Solutions

 

Opinion on the Financial Statements

 

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Nationwide Risk-Based U.S. Equity ETF, Nationwide Risk-Based International Equity ETF, Nationwide Maximum Diversification U.S. Core Equity ETF, and Nationwide Risk-Managed Income ETF (the “Funds”), each a series of ETF Series Solutions, as of August 31, 2021, the related statements of operations, the statements of changes in net assets, the related notes, and the financial highlights for each of the periods indicated below (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of August 31, 2021, the results of their operations, the changes in their net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.

 

Fund Name

Statements of
Operations

Statements of
Changes in Net Assets

Financial
Highlights

Nationwide Risk-Based U.S. Equity ETF, Nationwide Risk-Based International Equity ETF, and Nationwide Maximum Diversification U.S. Core Equity ETF

For the year ended August 31, 2021

For the years ended August 31, 2021 and 2020

For the years ended August 31, 2021, 2020 and 2019 and for the period from September 15, 2017 (commencement of operations) through August 31, 2018

Nationwide Risk-Managed Income ETF

For the year ended August 31, 2021

For the year ended August 31, 2021 and for the period from December 19, 2019 (commencement of operations) through August 31, 2020

 

Basis for Opinion

 

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2021, by correspondence with the custodian and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

 

We have served as the Funds’ auditor since 2017.

 

 

COHEN & COMPANY, LTD.
Milwaukee, Wisconsin
October 15, 2021

 

57

 

 

 

Trustees and Officers (Unaudited)

 

 

Additional information about each Trustee of the Trust is set forth below. The address of each Trustee of the Trust is c/o U.S. Bank Global Fund Services, 615 E. Michigan Street, Milwaukee, WI 53202.

 

Name and
Year of Birth

Position
Held with
the Trust

Term of
Office and
Length of
Time Served

Principal Occupation(s)
During Past 5 Years

Number of
Portfolios
in Fund
Complex
Overseen
by Trustee

Other
Directorships
Held by Trustee
During Past 5 Years

Independent Trustees

Leonard M. Rush, CPA Born: 1946

Lead Independent Trustee and Audit Committee Chairman

Indefinite term;
since 2012

Retired; formerly Chief Financial Officer, Robert W. Baird & Co. Incorporated (wealth management firm) (2000–2011).

51

Independent Trustee, Managed Portfolio Series (33 portfolios) (since 2011).

David A. Massart

Born: 1967

Trustee

Indefinite term;
since 2012

Co-Founder, President, and Chief Investment Strategist, Next Generation Wealth Management, Inc. (since 2005).

51

Independent Trustee, Managed Portfolio Series (33 portfolios) (since 2011).

Janet D. Olsen

Born: 1956

Trustee

Indefinite term;
since 2018

Retired; formerly Managing Director and General Counsel, Artisan Partners Limited Partnership (investment adviser) (2000–2013); Executive Vice President and General Counsel, Artisan Partners Asset Management Inc. (2012–2013); Vice President and General Counsel, Artisan Funds, Inc. (investment company) (2001–2012).

51

Independent Trustee, PPM Funds
(3 portfolios)
(since 2018).

Interested Trustee

Michael A. Castino

Born: 1967

Trustee and Chairman

Indefinite term; Trustee since 2014; Chairman since 2013

Senior Vice President, U.S. Bancorp Fund Services, LLC (since 2013); Managing Director of Index Services, Zacks Investment Management (2011–2013).

51

None

 

 

58

 

 

 

Trustees and Officers (Unaudited) (Continued)

 

 

Name and
Year of Birth

Position(s)
Held with
the Trust

Term of Office
and Length of
Time Served

Principal Occupation(s)
During Past 5 Years

Principal Officers of the Trust

Kristina R. Nelson
Born: 1982

President

Indefinite term;
since 2019

Senior Vice President, U.S. Bancorp Fund Services, LLC (since 2020); Vice President, U.S. Bancorp Fund Services, LLC (2014–2020).

Michael D. Barolsky

Born: 1981

Vice President and Secretary

Indefinite term;
since 2014 (other roles since 2013)

Senior Vice President, U.S. Bancorp Fund Services, LLC (since 2019); Vice President, U.S. Bancorp Fund Services, LLC (2012-2019); Associate, Thompson Hine LLP (law firm) (2008–2012).

Elizabeth B. Scalf
Born: 1985

Chief Compliance Officer and Anti-Money Laundering Officer

Indefinite term;
since 2021

Senior Vice President, U.S. Bancorp Fund Services, LLC (since 2017); Vice President and Assistant CCO, Heartland Advisors, Inc. (2016–2017); Vice President and CCO, Heartland Group, Inc. (2016).

Kristen M. Weitzel, CPA

Born: 1977

Treasurer

Indefinite term;
since 2014 (other roles since 2013)

Vice President, U.S. Bancorp Fund Services, LLC (since 2015); Assistant Vice President, U.S. Bancorp Fund Services, LLC (2011–2015); Manager, PricewaterhouseCoopers LLP (accounting firm) (2005–2011).

Jessica L. Vorbeck

Born: 1984

Assistant Treasurer

Indefinite term;
since 2020

Officer, U.S. Bancorp Fund Services, LLC (since 2018, 2014-2017).

Elizabeth A. Winske

Born: 1983

Assistant Treasurer

Indefinite term;
since 2017

Vice President, U.S. Bancorp Fund Services, LLC (since 2020); Assistant Vice President, U.S. Bancorp Fund Services, LLC (2016–2020).

Jason E. Shlensky
Born: 1987

Assistant Treasurer

Indefinite term;
since 2019

Assistant Vice President, U.S. Bancorp Fund Services, LLC (since 2019); Officer, U.S. Bancorp Fund Services, LLC (2014–2019).

Isabella K. Zoller
Born: 1994

Assistant Secretary

Indefinite term;
since 2020

Assistant Vice President, U.S. Bancorp Fund Services, LLC (since 2021), Regulatory Administration Attorney, U.S. Bancorp Fund Services, LLC (since 2019), Regulatory Administration Intern, U.S. Bancorp Fund Services, LLC (2018-2019) and Law Student (2016-2019).

Cynthia L. Andrae
Born: 1971

Deputy Chief Compliance Officer

Indefinite term;
Since 2021

Vice President, U.S. Bancorp Fund Services, LLC (since 2019); Compliance Officer, U.S. Bancorp Fund Services, LLC (2015-2019).

 

The Statement of Additional Information (“SAI”) includes additional information about the Trustees and is available without charge, upon request, by calling toll free at (800) 617-0004, or by accessing the SEC’s website at www.sec.gov, or by accessing the Funds’ website at www.etf.nationwide.com.

 

59

 

 

 

Expense Examples

 

For the Six-Months Ended August 31, 2021 (Unaudited)

 

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of Fund shares, and (2) ongoing costs, including management fees and other Fund expenses. This 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 six-month period as indicated in the following Expense Example tables.

 

Actual Expenses

 

The first line of the table provides information about actual account values based on actual returns and actual 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 table provides information about hypothetical account values based on a hypothetical return and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. 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 table 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 table 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.

 

Nationwide Risk-Based U.S. Equity ETF

 

 

Beginning
Account Value
March 1, 2021

Ending
Account Value
August 31, 2021

Expenses Paid
During the
Period
(1)

Actual

$1,000.00

$ 1,153.60

$1.63

Hypothetical (5% annual return before expenses)

$1,000.00

$ 1,023.69

$1.53

 

(1)

The dollar amounts shown as expenses paid during the period are equal to the annualized expense ratio, 0.30%, multiplied by the average account value during the six-month period, multiplied by 184/365, to reflect the one-half year period.

 

Nationwide Risk-Based International Equity ETF

 

 

Beginning
Account Value
March 1, 2021

Ending
Account Value
August 31, 2021

Expenses Paid
During the
Period
(2)

Actual

$1,000.00

$ 1,104.00

$2.23

Hypothetical (5% annual return before expenses)

$1,000.00

$ 1,023.09

$2.14

 

(2)

The dollar amounts shown as expenses paid during the period are equal to the annualized expense ratio, 0.42%, multiplied by the average account value during the six-month period, multiplied by 184/365, to reflect the one-half year period.

 

60

 

 

 

Expense Examples (Continued)

 

For the Six-Months Ended August 31, 2021 (Unaudited)

 

Nationwide Maximum Diversification U.S. Core Equity ETF

 

 

Beginning
Account Value
March 1, 2021

Ending
Account Value
August 31, 2021

Expenses Paid
During the
Period
(3)

Actual

$1,000.00

$ 1,111.50

$1.81

Hypothetical (5% annual return before expenses)

$1,000.00

$ 1,023.49

$1.73

 

(3)

The dollar amounts shown as expenses paid during the period are equal to the annualized expense ratio, 0.34%, multiplied by the average account value during the six-month period, multiplied by 184/365, to reflect the one-half year period.

 

Nationwide Risk-Managed Income ETF

 

 

Beginning
Account Value
March 1, 2021

Ending
Account Value
August 31, 2021

Expenses Paid
During the
Period
(4)

Actual

$1,000.00

$ 1,088.70

$3.58

Hypothetical (5% annual return before expenses)

$1,000.00

$ 1,021.78

$3.47

 

(4)

The dollar amounts shown as expenses paid during the period are equal to the annualized expense ratio, 0.68%, multiplied by the average account value during the six-month period, multiplied by 184/365, to reflect the one-half year period.

 

61

 

 

 

Review of Liquidity Risk Management Program (Unaudited)

 

 

Pursuant to Rule 22e-4 under the Investment Company Act of 1940, the Trust, on behalf of the series of the Trust covered by this shareholder report (the “Series”), has adopted a liquidity risk management program to govern the Trust’s approach to managing liquidity risk. Rule 22e-4 seeks to promote effective liquidity risk management, thereby reducing the risk that a fund will be unable to meet its redemption obligations and mitigating dilution of the interests of fund shareholders. The Trust’s liquidity risk management program is tailored to reflect the Series’ particular risks, but not to eliminate all adverse impacts of liquidity risk, which would be incompatible with the nature of such Series.

 

The investment adviser to the Series has adopted and implemented its own written liquidity risk management program (the “Program”) tailored specifically to assess and manage the liquidity risk of the Series.

 

At a recent meeting of the Board of Trustees of the Trust, the Trustees received a report pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the period ended December 31, 2020. The report concluded that the Program is reasonably designed to assess and manage the Series’ liquidity risk and has operated adequately and effectively to manage such risk. The report reflected that there were no liquidity events that impacted the Series’ ability to timely meet redemptions without dilution to existing shareholders. The report further noted that no material changes have been made to the Program since its implementation.

 

There can be no assurance that the Program will achieve its objectives in the future. Please refer to the prospectus for more information regarding the Series’ exposure to liquidity risk and other principal risks to which an investment in the Series may be subject.

 

62

 

 

 

Approval of Advisory Agreements and Board Considerations (Unaudited)

 

 

Nationwide Risk-Based U.S. Equity ETF
Nationwide Risk-Based International Equity ETF
Nationwide Maximum Diversification U.S. Core Equity ETF
Nationwide Risk-Managed Income ETF

 

APPROVAL OF ADVISORY AGREEMENTS AND BOARD CONSIDERATIONS

 

Pursuant to Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), at a meeting held on July 21-22, 2021 (the “Meeting”), the Board of Trustees (the “Board”) of ETF Series Solutions (the “Trust”) considered the approval of the continuation of the Investment Advisory Agreement (the “Advisory Agreement”) between Nationwide Fund Advisors (the “Adviser”) and the Trust, on behalf of the Nationwide Risk-Based U.S. Equity ETF, the Nationwide Risk-Based International Equity ETF, the Nationwide Maximum Diversification U.S. Core Equity ETF, and the Nationwide Risk-Managed Income ETF (each, a “Fund,” and collectively, the “Funds”). The Board also considered the approval of the continuation of the Investment Sub-Advisory Agreement (the “Sub-Advisory Agreement”) (together, the “Agreements”) between Harvest Volatility Management, LLC (the “Sub-Adviser”), the Adviser, and the Trust, on behalf of the Nationwide Risk-Managed Income ETF.

 

Prior to the Meeting, the Board, including the Trustees who are not parties to the Agreements or “interested persons” of any party thereto, as defined in the 1940 Act (the “Independent Trustees”), reviewed written materials from the Adviser and the Sub-Adviser (the “Materials”) regarding, among other things: (i) the nature, extent, and quality of the services provided by the Adviser and Sub-Adviser; (ii) the historical performance of each Fund; (iii) the cost of the services provided and the profits realized by the Adviser and Sub-Adviser from services rendered to each applicable Fund; (iv) comparative fee and expense data for each Fund and other investment companies with similar investment objectives; (v) the extent to which any economies of scale realized by the Adviser or Sub-Adviser in connection with their services to each Fund are shared with its respective Fund shareholders; and (vi) other factors the Board deemed to be relevant.

 

The Board also considered that the Adviser and Sub-Adviser, along with other service providers of the Funds, presented written information to help the Board evaluate the Adviser’s and Sub-Adviser’s fees and other aspects of the Agreements. Additionally, representatives from the Adviser and Sub-Adviser provided an oral overview of each applicable Fund’s strategy, the services provided to each Fund by the Adviser and Sub-Adviser, and additional information about the Adviser’s and Sub-Adviser’s personnel and operations. The Board then discussed the written materials and oral presentations that it had received and any other information that the Board received at the Meeting and deliberated on the approval of the Agreements in light of this information.

 

Approval of the Continuation of the Advisory Agreement with the Adviser

 

Nature, Extent, and Quality of Services Provided. The Trustees considered the scope of services provided under the Advisory Agreement, noting that the Adviser would continue to provide investment management services to the Funds. In considering the nature, extent, and quality of the services provided by the Adviser, the Board considered the quality of the Adviser’s compliance program and past reports from the Trust’s Chief Compliance Officer (“CCO”). The Board also considered its previous experience with the Adviser providing investment management services to the Funds. The Board noted that it had previously received a copy of the Adviser’s registration form, as well as the response of the Adviser to a detailed series of questions which included, among other things, information about the background and experience of the firm’s key personnel, the firm’s cybersecurity program, and the services provided by the Adviser.

 

The Board also considered other services currently provided by the Adviser to the Funds, such as monitoring adherence to the Fund’s investment restrictions, oversight of each Fund’s respective sub-adviser, monitoring compliance with various policies and procedures and with applicable securities regulations, and monitoring the extent to which each Fund achieved its investment objective. The Board further considered the oral information provided by the Adviser with respect to the impact of the COVID-19 pandemic on the Adviser’s operations.

 

Historical Performance. The Board noted that information regarding each Fund’s performance for various time periods had been included in the Materials. The Board considered each Fund’s past investment performance, including for periods ended March 31, 2021, unless otherwise indicated below. Because each Fund except the

 

63

 

 

 

Approval of Advisory Agreements and Board Considerations (Unaudited) (Continued)

 

 

Nationwide Risk-Managed Income ETF is designed to track the performance of an index, the Board considered the extent to which each such Fund tracked its respective index before fees and expenses.

 

Additionally, the Board considered the performance of each Fund relative to a peer group of the Fund’s most direct competitors (each, a “Selected Peer Group”), which were identified by the Adviser based on a combination of quantitative and qualitative considerations, including a fund’s classification as a strategic beta solution (i.e., tracking an index based on factors other than market capitalization); the comparability of the fund’s investment objectives, strategy, and geographic coverage; the comparability of the issuer’s distribution and operating model, brand recognition as an ETF issuer, and ETF market share; and correlations with a fund’s historical net flows, total expense ratio, and overall ETF market share.

 

Nationwide Risk-Based U.S. Equity ETF: The Board noted that, for the three-year and since inception periods, the Fund performed in line with its underlying index, before fees and expenses, although the Fund underperformed its underlying index for the one-year period. The Board also considered that, for the one-year, three-year, and since inception periods, the Fund underperformed the S&P 500 Total Return Index. The Board further noted that, for the one-year period, the Fund underperformed the median of index-based funds in the U.S. Large Blend ETF category as reported by Morningstar (the “Category Peer Group”).

 

Additionally, the Board considered the performance of the Fund relative to a peer group of the Fund’s most direct competitors, which were identified by the Adviser based on a combination of quantitative and qualitative considerations, including a fund’s classification as a strategic beta solution (i.e., tracking an index based on factors other than market capitalization); the comparability of the fund’s investment objectives, strategy, and geographic coverage; the comparability of the issuer’s distribution and operating model, brand recognition as an ETF issuer, and ETF market share; and correlations with a fund’s historical net flows, total expense ratio, and overall ETF market share (the “Selected Smart Beta Peer Group”). The Board noted that the Fund generally performed within range of the Selected Peer Group for the one- and three-year periods.

 

Nationwide Risk-Based International Equity ETF: The Board noted that, for the one-year, three-year, and since inception periods, the Fund underperformed its underlying index, before fees and expenses. The Board also considered that, for the one-year, three-year, and since inception periods, the Fund underperformed the MSCI EAFE Index. The Board further noted that, for the one-year period, the Fund underperformed the median of index-based funds in the Foreign Large Blend ETF category as reported by Morningstar (the “Category Peer Group”). The Board also considered the Fund’s performance relative to the Fund’s Selected Smart Beta Peer Group. The Board noted that the Fund generally performed within range of the Selected Smart Beta Peer Group for the one- and three-year periods ended March 31, 2021.

 

Nationwide Maximum Diversification U.S. Core Equity ETF: The Board noted that, for the one-year period, the Fund underperformed its underlying index, before fees and expenses, and for the three-year and since inception periods, the Fund performed in line with its underlying index, before fees and expenses. The Board also considered that, for the one-year, three-year, and since inception periods, the Fund underperformed the MSCI USA Index. The Board further noted that, for the one-year period, the Fund underperformed the median of index-based funds in the U.S. Large Blend ETF category as reported by Morningstar (the “Category Peer Group”). The Board also considered the Fund’s performance relative to the Fund’s Selected Smart Beta Peer Group. The Board noted that the Fund generally performed within range of the Selected Smart Beta Peer Group for the one- and three-year periods.

 

Nationwide Risk-Managed Income ETF: The Board noted that the Fund underperformed the CBOE S&P 500 Zero-Cost Put Spread Collar Index (the “Benchmark Index”) for the one-year period but outperformed the Benchmark Index for the since inception period. The Board further noted that, for the one-year period, the Fund performed within the range of funds in the Options Trading and Derivatives Income ETF categories as reported by Morningstar (together, the “Category Peer Group”). However, the Board noted that the Category Peer Group was comprised primarily of funds with strategies that were significantly different than that of the Fund.

 

Additionally, the Board considered the performance of the Fund relative to a peer group of the Fund’s most direct competitors, which were identified by the Adviser based on a combination of quantitative and qualitative considerations, including the comparability of the fund’s investment objectives and strategy; the fund’s adherence

 

64

 

 

 

Approval of Advisory Agreements and Board Considerations (Unaudited) (Continued)

 

 

to a managed distribution program similar to that of the Fund; and correlations with a fund’s historical net flows, total expense ratio, and overall ETF market share (the “Selected Peer Group”). The Board noted that the Fund performed at the lower end of the range of the Selected Peer Group for the one-year period.

 

The Board also considered that the Fund commenced operations on December 19, 2019 and thus had been operating for less than two years, which was a relatively short period of time over which to evaluate the Fund’s performance and draw meaningful conclusions.

 

Cost of Services Provided and Economies of Scale. The Board reviewed the expense ratio for each of the Funds, the full amount of which was the “unified fee” described below, and compared each Fund’s expense ratio to its respective peer groups as follows:

 

Nationwide Risk-Based U.S. Equity ETF: The Board noted that the expense ratio for the Fund was higher than the median but within the range of its Category Peer Group. The Board further noted that the expense ratio for the Fund was within the range of expense ratios of the Selected Peer Group.

 

Nationwide Risk-Based International Equity ETF: The Board noted that the expense ratio for the Fund was higher than the median but within the range of its Category Peer Group. The Board further noted that the expense ratio for the Fund was within the range of expense ratios of the Selected Peer Group.

 

Nationwide Maximum Diversification U.S. Core Equity ETF: The Board noted that the expense ratio for the Fund was higher than the median but within the range of its Category Peer Group. The Board further noted that the expense ratio for the Fund was within the range of expense ratios of the Selected Peer Group.

 

Nationwide Risk-Managed Income ETF: The Board noted that the expense ratio for the Fund was lower than the median of its Category Peer Group and within the range of expense ratios of the Selected Peer Group.

 

The Board took into consideration that the Adviser would continue to charge a “unified fee,” meaning each Fund pays no expenses other than the advisory fee and, if applicable, certain other costs such as interest, brokerage, acquired fund fees and expenses, extraordinary expenses, and, to the extent it is implemented, fees pursuant to a Distribution and/or Shareholder Servicing (12b-1) Plan. The Board noted that the Adviser continued to be responsible for compensating the Trust’s other service providers and paying each Fund’s other expenses out of its own fee and resources. The Board also evaluated the compensation and benefits received by the Adviser from its relationship with the Funds, taking into account analyses of the Adviser’s profitability with respect to each Fund.

 

The Board expressed the view that it currently appeared that the Adviser might realize economies of scale in managing the Funds as assets grow in size. The Board noted that, should the Adviser realize economies of scale in the future, the amount and structure of each Fund’s unitary fee might result in a sharing of those economies with the applicable Fund shareholders. The Board noted its intention to monitor fees as each Fund grows in size and assess whether fee breakpoints may be warranted.

 

Conclusion. No single factor was determinative of the Board’s decision to approve the continuation of the Advisory Agreement; rather, the Board based its determination on the total mix of information available to it. Based on a consideration of all the factors in their totality, the Board, including a majority of the Independent Trustees, determined that the Advisory Agreement, including the compensation payable under the agreement, was fair and reasonable to each Fund. The Board, including a majority of the Independent Trustees, therefore determined that the approval of the continuation of the Advisory Agreement was in the best interests of each Fund and its respective shareholders.

 

Approval of the Continuation of the Sub-Advisory Agreement with the Sub-Adviser

 

Nature, Extent, and Quality of Services Provided. The Board considered the scope of services provided to the Nationwide Risk-Managed Income ETF under the Sub-Advisory Agreement, noting the Sub-Adviser would continue to provide investment management services to the Fund. The Board noted the responsibilities that the Sub-Adviser has as the Fund’s investment sub-adviser, including: responsibility for the general management of the day-to-day investment and reinvestment of the assets of the Fund; determining the daily baskets of deposit securities and cash components; executing portfolio security trades for purchases and redemptions of

 

65

 

 

 

Approval of Advisory Agreements and Board Considerations (Unaudited) (Continued)

 

 

the Fund’s shares conducted on a cash-in-lieu basis; oversight of general portfolio compliance with securities laws, regulations, and investment restrictions; responsibility for daily monitoring of portfolio exposures and quarterly reporting to the Board; and implementation of Board directives as they relate to the Fund.

 

In considering the nature, extent, and quality of the services provided by the Sub-Adviser, the Board considered reports of the Trust’s CCO with respect to the Sub-Adviser’s compliance program, the Sub-Adviser’s experience providing investment management services to mutual funds and separately managed accounts, and its personnel’s experience with ETFs. The Sub-Adviser’s Form ADV was provided to the Board, as was the response of the Sub-Adviser to a detailed series of questions which included, among other things, information about the background and experience of the portfolio managers primarily responsible for the day-to-day management of the Fund. The Board further considered information provided by the Sub-Adviser with respect to the impact of the COVID-19 pandemic on the Sub-Adviser’s operations.

 

Historical Performance. The Board noted that the Fund underperformed the CBOE S&P 500 Zero-Cost Put Spread Collar Index (the “Benchmark Index”) for the one-year period but outperformed the Benchmark Index for the since inception period. The Board further noted that, for the one-year period, the Fund performed within the range of funds in the Options Trading and Derivatives Income ETF categories as reported by Morningstar (together, the “Category Peer Group”). However, the Board noted that the Category Peer Group was comprised primarily of funds with strategies that were significantly different than that of the Fund.

 

Additionally, the Board considered the performance of the Fund relative to a peer group of the Fund’s most direct competitors, which were identified by the Adviser based on a combination of quantitative and qualitative considerations, including the comparability of the fund’s investment objectives and strategy; the fund’s adherence to a managed distribution program similar to that of the Fund; and correlations with a fund’s historical net flows, total expense ratio, and overall ETF market share (the “Selected Peer Group”). The Board noted that the Fund performed at the lower end of the range of the Selected Peer Group for the one-year period.

 

The Board also considered that the Fund commenced operations on December 19, 2019 and thus had been operating for less than two years, which was a relatively short period of time over which to evaluate the Fund’s performance and draw meaningful conclusions.

 

Costs of Services Provided and Economies of Scale. The Board reviewed the sub-advisory fees paid by the Adviser to the Sub-Adviser for its services to the Nationwide Risk-Manage Income ETF. The Board considered that the fees paid to the Sub-Adviser are paid by the Adviser and noted that the fee reflected an arm’s-length negotiation between the Adviser and the Sub-Adviser. The Board further determined that the fee reflected an appropriate allocation of the advisory fee paid to each firm given the work performed by each firm and noted that the fees were generally in line with those charged by the Sub-Adviser in connection with other funds managed by the Sub-Adviser. The Board also took into account analyses of the Sub-Adviser’s profitability with respect to the Fund.

 

The Board expressed the view that it currently appeared that the Sub-Adviser might realize economies of scale in managing the Fund as assets grow in size. The Board further noted that because the Fund pays the Adviser a unified fee, any benefits from breakpoints in the sub-advisory fee schedule would accrue to the Adviser, rather than the Fund’s shareholders. Consequently, the Board determined that it would monitor fees as the Fund grows to determine whether economies of scale were being effectively shared with the Nationwide Risk-Managed Income ETF and its shareholders.

 

Conclusion. No single factor was determinative of the Board’s decision to approve the Sub-Advisory Agreement; rather, the Board based its determination on the total mix of information available to it. Based on a consideration of all the factors in their totality, the Board, including a majority of the Independent Trustees, determined that the Sub-Advisory Agreement, including the compensation payable under the agreement, was fair and reasonable to the Fund. The Board, including a majority of the Independent Trustees, therefore determined that the approval of the continuation of the Sub-Advisory Agreement was in the best interests of the Nationwide Risk-Managed Income ETF and its shareholders.

 

 

66

 

 

 

Approval of Advisory Agreements and Board Considerations (Unaudited) (Continued)

 

 

Nationwide Risk-Based U.S. Equity ETF
Nationwide Risk-Based International Equity ETF
Nationwide Maximum Diversification U.S. Core Equity ETF

 

APPROVAL OF SUB-ADVISORY AGREEMENT AND BOARD CONSIDERATION

 

Pursuant to Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), at a meeting held April 20-21, 2021 (the “Meeting”), the Board of Trustees (the “Board”) of ETF Series Solutions (the “Trust”) considered the approval of the continuation of the Investment Sub-Advisory Agreement (the “Agreement”) between the Trust, on behalf of Nationwide Risk-Based U.S. Equity ETF, Nationwide Risk-Based International Equity, and Nationwide Maximum Diversification U.S. Core Equity ETF (each, a “Fund”, and together, the “Funds”), Nationwide Fund Advisors (the “Adviser”), and Vident Investment Advisory, LLC (the “Sub-Adviser”).

 

Prior to the Meeting, the Board, including the Trustees who are not parties to the Agreement or “interested persons” of any party thereto, as defined in the 1940 Act (the “Independent Trustees”), reviewed written materials from the Sub-Adviser (the “Materials”) regarding, among other things: (i) the nature, extent, and quality of the services provided by the Sub-Adviser; (ii) the historical performance of each Fund; (iii) the cost of the services provided and the profits realized by the Sub-Adviser from services rendered to each Fund; (iv) the extent to which any economies of scale realized by the Sub-Adviser in connection with its services to each Fund are shared with such Fund’s respective shareholders; and (v) other factors the Board deemed to be relevant.

 

The Board also considered that the Sub-Adviser, along with other service providers of the Funds, presented written information to help the Board evaluate the Sub-Adviser’s fees and other aspects of the Agreement. Additionally, representatives from the Sub-Adviser provided an oral overview of the services provided to the Funds by the Sub-Adviser and additional information about the Sub-Adviser’s personnel and operations. The Board then discussed the written materials and oral presentation that it had received and any other information that the Board received at the Meeting and deliberated on the approval of the Agreement in light of this information.

 

Nature, Extent, and Quality of Services Provided. The Board considered the scope of services to be provided to each Fund under the Agreement, noting the Sub-Adviser would continue to provide investment management services to the Funds. The Board noted the responsibilities that the Sub-Adviser has as each Fund’s investment sub-adviser, including: responsibility for the general management of the day-to-day investment and reinvestment of the assets of each Fund; determining the daily baskets of deposit securities and cash components; executing portfolio security trades for purchases and redemptions of each Fund’s shares conducted on a cash-in-lieu basis; oversight of general portfolio compliance with applicable securities laws, regulations, and investment restrictions; responsibility for quarterly reporting to the Board; and implementation of Board directives as they relate to the Funds.

 

In considering the nature, extent, and quality of the services provided by the Sub-Adviser, the Board considered reports of the Trust’s Chief Compliance Officer with respect to the Sub-Adviser’s compliance program and the Sub-Adviser’s experience providing investment management services to other ETFs, including other series of the Trust. The Board also considered the Sub-Adviser’s resources and capacity with respect to portfolio management, compliance, and operations given the number of funds for which it provides sub-advisory services. The Board further considered information provided by the Sub-Adviser with respect to the impact of the COVID-19 pandemic on the Sub-Adviser’s operations.

 

Historical Performance. The Board noted that information regarding each Fund’s performance for various time periods had been included in the Materials. The Board considered each Fund’s past investment performance, including for periods ended December 31, 2020. Because each Fund is designed to track the performance of an index, the Board considered the extent to which each Fund tracked its index before fees and expenses. Unless otherwise noted, the discussion below relates to periods ended December 31, 2020.

 

Nationwide Risk-Based U.S. Equity ETF: The Board noted that the Fund performed in line with its underlying index before fees and expenses for the one-year, three-year, and since inception periods.

 

67

 

 

 

Approval of Advisory Agreements and Board Considerations (Unaudited) (Continued)

 

 

Nationwide Risk-Based International Equity ETF: The Board noted that the Fund underperformed its underlying index before fees and expenses for the one-year, three-year, and since inception periods. The Board noted that the Sub-Adviser attributed such underperformance primarily to taxes withheld on capital gains in certain countries that affect the Fund but are not reflected in the returns of the underlying index.

 

Nationwide Maximum Diversification U.S. Core Equity ETF: The Board noted that the Fund performed in line with its underlying index before fees and expenses for the one-year, three-year, and since inception periods.

 

Costs of Services Provided and Economies of Scale. The Board reviewed the sub-advisory fees paid by the Adviser to the Sub-Adviser for its services to the Funds. The Board considered that the fees paid to the Sub-Adviser are paid by the Adviser and noted that the fee reflected an arm’s-length negotiation between the Adviser and the Sub-Adviser. The Board further determined that the fees reflected an appropriate allocation of the advisory fee paid to each firm given the work performed by each firm and noted that the fees were generally in line with those charged by the Sub-Adviser in connection with other funds managed by the Sub-Adviser. The Board also took into account analyses of the Sub-Adviser’s profitability with respect to each Fund.

 

The Board expressed the view that the Sub-Adviser might realize economies of scale in managing the Funds as assets grow in size. The Board further noted that because each Fund pays the Adviser a unified fee, any benefits from breakpoints in the sub-advisory fee schedule would accrue to the Adviser, rather than such Fund’s respective shareholders. Consequently, the Board determined that it would monitor fees as the Fund grows to determine whether economies of scale were being effectively shared with the Fund and its shareholders.

 

Conclusion. No single factor was determinative of the Board’s decision to approve the Sub-Advisory Agreement; rather, the Board based its determination on the total mix of information available to it. Based on a consideration of all the factors in their totality, the Board, including a majority of the Independent Trustees, determined that the Sub-Advisory Agreement, including the compensation payable under the agreement, was fair and reasonable to each Fund. The Board, including a majority of the Independent Trustees, therefore determined that the approval of the continuation of the Sub-Advisory Agreement was in the best interests of each Fund and its shareholders.

 

68

 

 

 

Federal Tax Information (Unaudited)

 

 

For the fiscal year ended August 31, 2021, certain dividends paid by the Funds may be subject to a maximum tax rate of 23.8% as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The percentage of dividends declared from ordinary income designated as qualified dividend income was as follows:

 

Nationwide Risk-Based U.S. Equity ETF

100.00%

Nationwide Risk-Based International Equity ETF

97.71%

Nationwide Maximum Diversification U.S. Core Equity ETF

98.78%

Nationwide Risk-Managed Income ETF

100.00%

 

For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the year ended August 31, 2021 was as follows:

 

Nationwide Risk-Based U.S. Equity ETF

100.00%

Nationwide Risk-Based International Equity ETF

0.00%

Nationwide Maximum Diversification U.S. Core Equity ETF

97.05%

Nationwide Risk-Managed Income ETF

100.00%

 

The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(C) for each Fund were as follows:

 

Nationwide Risk-Based U.S. Equity ETF

0.00%

Nationwide Risk-Based International Equity ETF

0.00%

Nationwide Maximum Diversification U.S. Core Equity ETF

0.00%

Nationwide Risk-Managed Income ETF

0.00%

 

Foreign Tax Credit Pass Through (Unaudited)

 

 

Pursuant to Section 853 of the Internal Revenue code, the Funds designate the following amounts as foreign taxes paid for the fiscal year ended August 31, 2021. Foreign taxes paid for purposes of Section 853 may be less than actual foreign taxes paid for financial statement purposes.

 

 

 

Creditable
Foreign Tax
Credit Paid

   

Per Share
Amount

   

Portion of
Ordinary Income
Distribution Derived
from Foreign
Sourced Income

 

Nationwide Risk-Based U.S. Equity ETF

  $     $        

Nationwide Risk-Based International Equity ETF

    273,375       0.0591081       100.00 %

Nationwide Maximum Diversification U.S. Core Equity ETF

                 

Nationwide Risk-Managed Income ETF

                 

 

Foreign taxes paid or withheld should be included in taxable income with an offsetting deduction from gross income or as a credit for taxes paid to foreign governments.

 

Above figures may differ from those cited elsewhere in this report due to differences in the calculation of income and gains under U.S. GAAP purposes and Internal Revenue Service purposes.

 

Shareholders are strongly advised to consult their own tax advisers with respect to the tax consequences of their investments in the Funds.

 

69

 

 

 

Information About Portfolio Holdings (Unaudited)

 

 

The Funds file their complete schedules of portfolio holdings for their first and third fiscal quarters with the SEC on Part F of Form N-PORT. The Funds’ Part F of Form N-PORT is available without charge, upon request, by calling toll-free at (800) 617-0004 or by accessing the Funds’ website at www.etf.nationwide.com. Furthermore, you may obtain the Part F of Form N-PORT on the SEC’s website at www.sec.gov. Each Fund’s portfolio holdings are posted on their website at www.etf.nationwide.com daily.

 

Information About Proxy Voting (Unaudited)

 

 

A description of the policies and procedures the Funds use to determine how to vote proxies relating to portfolio securities is provided in the SAI. The SAI is available without charge, upon request, by calling toll-free at (800) 617-0004, by accessing the SEC’s website at www.sec.gov, or by accessing the Funds’ website at www.etf.nationwide.com.

 

Information regarding how the Funds voted proxies relating to portfolio securities during the twelve-months ending June 30 is available by calling toll-free at (800) 617-0004 or by accessing 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 an exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Funds is available, without charge, on the Funds’ website at www.etf.nationwide.com.

 

70

 

 

 

This page intentionally left blank

 

 

This page intentionally left blank

 

 

Adviser

Nationwide Fund Advisors
One Nationwide Plaza
Columbus, Ohio 43215

 

Sub-Adviser (Index ETFs)

Vident Investment Advisory, LLC
1125 Sanctuary Parkway, Suite 515
Alpharetta, Georgia 30009

 

Sub-Adviser (Risk-Managed Income ETF)

Harvest Volatility Management, LLC
420 Lexington Avenue, Suite 2620
New York, New York, 10170

 

Index Provider (Risk-Based ETFs)

Rothschild Risk Based Investments LLC
1251 Avenue of the Americas
New York, New York 10020

 

Index Provider (Maximum Diversification ETF)

TOBAM S.A.S.
49/53 Avenue Des Champs-Elysees
Paris, France 75008

 

Distributor

Quasar Distributors, LLC
111 East Kilbourn Avenue, Suite 2200
Milwaukee, Wisconsin 53202

 

Custodian

U.S. Bank National Association
1555 North Rivercenter Drive, Suite 302
Milwaukee, Wisconsin 53212

 

Transfer Agent

U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, Wisconsin 53202

 

Independent Registered Public Accounting Firm

Cohen & Company, Ltd.
342 North Water Street, Suite 830
Milwaukee, Wisconsin 53202

 

Legal Counsel

Morgan, Lewis & Bockius LLP
1111 Pennsylvania Ave, NW
Washington, DC 20004

 

Nationwide Risk-Based U.S. Equity ETF

Symbol – RBUS

CUSIP – 26922A677

 

Nationwide Risk-Based International Equity ETF

Symbol – RBIN

CUSIP – 26922A669

 

Nationwide Maximum Diversification U.S. Core Equity ETF

Symbol – MXDU

CUSIP – 26922A651

 

Nationwide Risk-Managed Income ETF

Symbol – NUSI

CUSIP – 26922A172

 

 

AR-ETF (10/21)

 

 

 

 

(b) Not applicable.

 

Item 2. Code of Ethics.

 

The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. The registrant has not made any amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.

 

A copy of the registrant’s Code of Ethics is filed herewith.

 

Item 3. Audit Committee Financial Expert.

 

The registrant’s board of trustees has determined that there is at least one audit committee financial expert serving on its audit committee. Mr. Leonard Rush is the “audit committee financial expert” and is considered to be “independent” as each term is defined in Item 3 of Form N-CSR.

 

Item 4. Principal Accountant Fees and Services.

 

The registrant has engaged its principal accountant to perform audit services, audit-related services, tax services and other services during the past fiscal year. “Audit services” refer to performing an audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. “Audit-related services” refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. “Tax services” refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. There were no “Other services” provided by the principal accountant. The following table details the aggregate fees billed or expected to be billed for the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.

 

Nationwide Risk-Based U.S. Equity ETF

 

  FYE 8/31/2021 FYE 8/31/2020
Audit Fees $14,000 $14,000
Audit-Related Fees $0 $0
Tax Fees $ 3,500 $ 3,000
All Other Fees $0 $0

 

Nationwide Risk-Based International Equity ETF

 

  FYE 8/31/2021 FYE 8/31/2020
Audit Fees $14,500 $14,500
Audit-Related Fees $0 $0
Tax Fees $ 3,500 $ 3,000
All Other Fees $0 $0

 

 

 

Nationwide Maximum Diversification U.S. Core Equity ETF

 

  FYE 8/31/2021 FYE 8/31/2020
Audit Fees $14,000 $14,000
Audit-Related Fees $0 $0
Tax Fees $ 3,500 $ 3,000
All Other Fees $0 $0

 

Nationwide Risk-Managed Income ETF

 

  FYE 8/31/2021 FYE 8/31/2020
Audit Fees $14,500 $14,500
Audit-Related Fees $0 $0
Tax Fees $ 3,500 $ 3,000
All Other Fees $0 $0

 

The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.

 

The percentage of fees billed by Cohen & Company, Ltd. applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:

 

Nationwide Risk-Based U.S. Equity ETF

 

  FYE 8/31/2021 FYE 8/31/2020
Audit-Related Fees 0% 0%
Tax Fees 0% 0%
All Other Fees 0% 0%

 

Nationwide Risk-Based International Equity ETF

 

  FYE 8/31/2021 FYE 8/31/2020
Audit-Related Fees 0% 0%
Tax Fees 0% 0%
All Other Fees 0% 0%

 

Nationwide Maximum Diversification U.S. Core Equity ETF

 

  FYE 8/31/2021 FYE 8/31/2020
Audit-Related Fees 0% 0%
Tax Fees 0% 0%
All Other Fees 0% 0%

 

Nationwide Risk-Managed Income ETF

 

  FYE 8/31/2021 FYE 8/31/2020
Audit-Related Fees 0% 0%
Tax Fees 0% 0%
All Other Fees 0% 0%

 

All of the principal accountant’s hours spent on auditing the registrant’s financial statements were attributed to work performed by full-time permanent employees of the principal accountant.

 

 

 

The following table indicates the non-audit fees billed or expected to be billed by the registrant’s accountant for services to the registrant and to the registrant’s investment adviser (and any other controlling entity, etc.—not sub-adviser) for the last two years. The audit committee of the board of trustees/directors has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser is compatible with maintaining the principal accountant's independence and has concluded that the provision of such non-audit services by the accountant has not compromised the accountant’s independence.

 

Nationwide Risk-Based U.S. Equity ETF

 

Non-Audit Related Fees FYE 8/31/2021 FYE 8/31/2020
Registrant N/A N/A
Registrant’s Investment Adviser N/A N/A

 

Nationwide Risk-Based International Equity ETF

 

Non-Audit Related Fees FYE 8/31/2021 FYE 8/31/2020
Registrant N/A N/A
Registrant’s Investment Adviser N/A N/A

 

Nationwide Maximum Diversification U.S. Core Equity ETF

 

Non-Audit Related Fees FYE 8/31/2021 FYE 8/31/2020
Registrant N/A N/A
Registrant’s Investment Adviser N/A N/A

 

Nationwide Risk-Managed Income ETF

 

Non-Audit Related Fees FYE 8/31/2021 FYE 8/31/2020
Registrant N/A N/A
Registrant’s Investment Adviser N/A N/A

 

The registrant has not been identified by the U.S. Securities and Exchange Commission as having filed an annual report issued by a registered public accounting firm branch or office that is located in a foreign jurisdiction where the Public Company Accounting Oversight Board is unable to inspect or completely investigate because of a position taken by an authority in that jurisdiction.

 

The registrant is not a foreign issuer.

 

Item 5. Audit Committee of Listed Registrants.

 

The registrant is an issuer as defined in Rule 10A-3 under the Securities Exchange Act of 1934, (the “Act”) and has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Act. The independent members of the committee are as follows: Leonard M. Rush, David A. Massart, and Janet D. Olsen.

 

Item 6. Investments.

 

Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.

 

 

 

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 has materially affected, or is 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. Filed herewith.

 

(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 registrant’s independent public accountant. There was no change in the registrant’s 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) ETF Series Solutions  
     
By (Signature and Title /s/ Kristina R. Nelson  
  Kristina R. Nelson, President (principal executive officer)  
     
Date 10/25/2021  

 

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/ Kristina R. Nelson  
  Kristina R. Nelson, President (principal executive officer)  
     
Date 10/25/2021  
     
By (Signature and Title)* /s/ Kristen M. Weitzel  
  Kristen M. Weitzel, Treasurer (principal financial officer)  
     
Date 10/25/2021  

 

*Print the name and title of each signing officer under his or her signature.