0001398344-19-004293.txt : 20190306 0001398344-19-004293.hdr.sgml : 20190306 20190306170709 ACCESSION NUMBER: 0001398344-19-004293 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 13 CONFORMED PERIOD OF REPORT: 20181231 FILED AS OF DATE: 20190306 DATE AS OF CHANGE: 20190306 EFFECTIVENESS DATE: 20190306 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ETF Series Solutions CENTRAL INDEX KEY: 0001540305 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1112 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-22668 FILM NUMBER: 19663322 BUSINESS ADDRESS: STREET 1: 615 EAST MICHIGAN ST CITY: MILWAUKEE STATE: WI ZIP: 53202 BUSINESS PHONE: 414-287-3700 MAIL ADDRESS: STREET 1: 615 EAST MICHIGAN ST CITY: MILWAUKEE STATE: WI ZIP: 53202 0001540305 S000061427 LHA Market State U.S. Tactical ETF C000198934 LHA Market State U.S. Tactical ETF MSUS N-CSR 1 fp0039861_ncsr.htm

As filed with the U.S. Securities and Exchange Commission on March 6, 2019

 

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 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: December 31

 

Date of reporting period: December 31, 2018

 

 

 

Item 1. Reports to Stockholders.

 

 

 

Annual Report

December 31, 2018

 

LHA Market StateTM U.S. Tactical ETF

Ticker: MSUS

 

Beginning on March 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the Fund’s reports from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

 

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. Please contact your financial intermediary to elect to receive shareholder reports and other Fund communications electronically.

 

You may elect to receive all future reports in paper free of charge. Please contact your financial intermediary to inform them that you wish to continue receiving paper copies of shareholder reports and for details about whether your election to receive reports in paper will apply to all funds held with your financial intermediary.

 

 

LHA Market StateTM U.S. Tactical ETF

 

TABLE OF CONTENTS

 

 

Page

Letter to Shareholders

1

Performance Summary

5

Portfolio Allocation

7

Schedule of Investments

8

Schedule of Open Futures Contracts

9

Statement of Assets and Liabilities

10

Statement of Operations

11

Statement of Changes in Net Assets

12

Financial Highlights

13

Notes to Financial Statements

14

Report of Independent Registered Public Accounting Firm

24

Trustees and Officers

26

Expense Example

28

Federal Tax Information

29

Information About Portfolio Holdings

29

Information About Proxy Voting

29

Frequency Distribution of Premiums and Discounts

29

 

 

 

Dear Shareholder,

 

The Little Harbor Advisors, LLC (“LHA”) team is pleased to provide you with the 2018 Annual Report for the LHA MarketTM State U.S. Tactical ETF (the “Fund”, Ticker Symbol: MSUS). MSUS launched on April 3, 2018. This report reflects the Fund’s performance for the period of inception through December 31, 2018.

 

The mission of MSUS is to participate in market rallies, and more importantly, to cushion market downturns. In 2018, MSUS did not deliver on expectations, as the S&P 500 (TR) declined by 2.68% during the period 4/3/18 and 12/31/181, while the Market Value of the MSUS fell by 11.46% and the NAV declined 11.71%. The vast majority of the MSUS’ decline occurred in December, when the fund declined by 10.00%, buffeted by rapidly changing price regimes and large swings in volatility.

 

Another way to view December’s activity is the daily fluctuations of the CBOE Volatility Index (VIX). The VIX is generally viewed as an indicator of investor-attitudes; rising as pessimism increases and falling as optimism rises. December was an emotional roller coaster, with dramatic day-to-day swings in the VIX between 13 and 38 in the quarter. As we pen this note, the VIX has further retreated to about 19.1 from 25.4 where it ended the year.2

 

The chart below illustrates the market’s behavior and MSUS’s net exposure in 2018 since inception. Most telling is the huge difference between Q4 and the rest of the period with respect to the scale describing the performance of the S&P 500 (TR). During the interval prior to the fourth quarter, there were few price moves (up or down) of greater than 1%. However, for Q4, fluctuations of greater than +/- 2% were fairly common. The rapid and violent daily changes in investor sentiment between fear and greed, followed by relative calm periods is one in which it was difficult, if not impossible, to successfully decipher a “regime”.

 

 

Little Harbor Advisors, LLC | 30 Doaks Lane ● Marblehead, MA 01945 | www.LittleHarborAdvisors.com

 

 

 

The statistics of the price distribution in the S&P 500 (TR) clearly kept MSUS on the defensive since its inception, with an average net exposure to the S&P of approximately 68%. Unfortunately, even with that posture, the Fund endured a difficult year end and often found itself on the wrong side of a precipitous change in investor sentiment.

 

Alpha generation in MSUS is predicated upon two factors: the underlying performance of the VictoryShares US 500 Volatility Wtd ETF (Ticker: CFA), and the ability to correctly model the current return environment and effectively increase or decrease market exposure around the approximate 80% allocation to CFA.

 

As to the first factor, during the same 4/3/18 – 12/31/18 time period, CFA declined by 8.00%, underperforming the S&P 500 (TR) by 5.32%.3 This current underperformance by CFA was attributable to the market domination of the super-cap tech sector which continues to drive capitalization-weighted indexes like the S&P 500 (TR). We have previously examined the historic out-performance of equal weighted indexes versus their capitalization-weighted brethren and will not give a repeat here, other than to reiterate our belief that a return to historic norms is highly likely. Such an occurrence should have an obvious benefit to MSUS.

 

Trade wars, oil prices, Washington chaos, Federal Reserve proclamations and technology sector revaluations all contributed to a difficult year and a most difficult December. As noted above, such negative moves on the part of MSUS are not without precedent. If we examine the LHA Market State Tactical U.S. Equity Index (LHAMSTI) for historical perspective, we gain a more optimistic outlook. Double digit drawdowns have occurred in the past but have laid the seeds for prolonged up-periods.

 

We continue to have confidence that the past is indeed prologue and that the coming months will validate our faith and yours in MSUS. We wish you all a very happy, healthy and prosperous 2019 and if January of 2019 is any indication, we believe MSUS has the potential to experience a much more successful 12 months to come.

 

We appreciate your continued interest in MSUS.

 

Sincerely,

 

 

Jeff Landle, CFA
Chief Investment Officer

 

Past performance does not guarantee future results.

 

Little Harbor Advisors, LLC | 30 Doaks Lane ● Marblehead, MA 01945 | www.LittleHarborAdvisors.com

 

 

 

Investing involves risk. Principal loss is possible. 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 will use future contracts. The potential loss of principal in regard to futures contracts can be in amounts greater than the initial amount invested in the futures contract. Because the Fund may “turn over” some or all of its portfolio as frequently as daily, the Fund may incur high levels of transaction costs, which could reduce shareholder returns. The Fund will invest in other ETFs that may invest in small- and mid-cap companies which involves additional risks such as limited liquidity and greater volatility.

 

The Standard & Poor’s 500 (TR) Index is an unmanaged index containing common stocks of 500 industrial, transportation, utility, and financial companies, regarded as generally representative of the U.S. stock market. The index return reflects the reinvestment of income dividends and capital gain distributions, if any, but does not reflect fees, brokerage commissions, or other expenses of investing. The Cboe Volatility Index® (VIX® Index) is a leading measure of market expectations of near-term volatility conveyed by S&P 500 Index® (SPX) option prices. It is not possible to invest directly in an index.

 

“Alpha” generally refers to the excess return of an investment relative to the return of a benchmark index.

 

VictoryShares US 500 Volatility Wtd ETF (Ticker Symbol: CFA) offers exposure to large-cap US stocks, without subjecting investors to the inherent limitations of traditional market-cap weighting. It seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap 500 Volatility Weighted Index before fees and expenses. As of 12/31/18, CFA represented 80.08% of MSUS’s net assets. Fund holdings and allocations are subject to change and should not be considered recommendations to buy or sell any security. References to other mutual funds or products should not be interpreted as an offer of those securities.

 

LHA Market State Tactical U.S. Equity Index (LHAMSTI) combines an allocation to the U.S. Equity Market, as represented by the S&P 500 Index, with an artificial intelligence derived quantitative beta management program that seeks to profit or preserve capital by increasing net-exposure in periods when the market is rallying, and to reduce net-exposure when the market is in retreat. The index is designed to react to changes in market conditions, varying net-long exposure to the S&P 500 between 0% and 160%.

 

Opinions expressed are subject to change at any time, are not guaranteed, and should not be considered investment advice.

 

Must be preceded or accompanied by a current prospectus.

 

Little Harbor Advisors, LLC | 30 Doaks Lane ● Marblehead, MA 01945 | www.LittleHarborAdvisors.com

 

 

 

MSUS is distributed by Quasar Distributors, LLC. No other products mentioned are distributed by Quasar Distributors, LLC.

 

 

1.

https://us.spindices.com/indices/equity/sp-500

 

2.

https://finance.yahoo.com/quote/%5EVIX?p=^VIX&.tsrc=fin-srch

 

3.

https://finance.yahoo.com/quote/CFA/history?p=CFA&.tsrc=fin-srch-v1

 

Little Harbor Advisors, LLC | 30 Doaks Lane ● Marblehead, MA 01945 | www.LittleHarborAdvisors.com

 

 

LHA Market StateTM U.S. Tactical ETF

 

PERFORMANCE SUMMARY
(Unaudited)

 

 

 

This chart illustrates the performance of a hypothetical $10,000 investment made on April 3, 2018, 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. It is not possible to invest directly in an index.

 

Cumulative Returns
For the Period Ended December 31, 2018

Since
Inception
(a)

LHA Market StateTM U.S Tactical ETF - NAV

-11.71%

LHA Market StateTM U.S Tactical ETF - Market

-11.46%

LHA Market StateTM Tactical U.S. Equity Index (b) (c)

-4.16%

S&P 500 Total Return Index (b) (d)

-2.68%

 

The Performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The total operating expenses as stated in the fee table to the Fund’s prospectus dated March 28, 2018, is 1.25%. For performance information current to the most recent month-end, please call 1-800-617-0004.

 

(a)

Inception date is April 3, 2018.

 

(b)

Indexes are unmanaged statistical composites and their returns do not include fees an investor would pay to purchase the securities they represent. Such costs would lower performance. It is not possible to invest directly in an index.

 

5

 

 

LHA Market StateTM U.S. Tactical ETF

 

PERFORMANCE SUMMARY
(Unaudited) (Continued)

 

 

(c)

The LHA Market StateTM Tactical U.S. Equity Index combines an allocation to the U.S. Equity Market, as represented by the S&P 500 Index, with an artificial intelligence derived quantitative beta management program that seeks to profit or preserve capital by increasing net-exposure in periods when the market is rallying, and to reduce net-exposure when the market is in retreat. The index is designed to react to changes in market conditions, varying net-long exposure to the S&P 500 between 0% and 160%. The index may adjust net exposure by rebalancing as frequently as daily, but does not necessarily do so. The Fund does not seek to replicate the performance of a specified index.

 

(d)

The Standard & Poor’s 500 Total Return Index (S&P 500) is an unmanaged index containing common stocks of 500 industrial, transportation, utility, and financial companies, regarded as generally representative of the U.S. stock market. The index return reflects the reinvestment of income dividends and capital gain distributions, if any, but does not reflect fees, brokerage commissions, or other expenses of investing.

 

6

 

 

LHA Market StateTM U.S. Tactical ETF

 

PORTFOLIO ALLOCATION
As of December 31, 2018 (Unaudited)

 

 

Security Type

Percentage of
Net Assets

Exchange-Traded Funds

80.1%

Short-Term Investments

0.5%

Other Assets in Excess of Liabilities

19.4%

Total

100.0%

 

7

 

 

 

LHA Market StateTM U.S. Tactical ETF

 

SCHEDULE OF INVESTMENTS
December 31, 2018

 

 

Shares

   

Security Description

 

Value

 
       

EXCHANGE-TRADED FUNDS — 80.1% (a)

       
  110,195    

VictoryShares US 500 Volatility Wtd ETF (b)

  $ 4,846,376  
       

TOTAL EXCHANGE-TRADED FUNDS (Cost $5,380,235)

    4,846,376  
                 
       

SHORT-TERM INVESTMENTS — 0.5%

       
       

Money Market Funds — 0.5%

       
  15,543    

First American Government Obligations Fund, Class X, 2.36% (c)

    15,543  
  15,542    

First American Treasury Obligations Fund, Class X, 2.40% (c)

    15,542  
       

TOTAL SHORT-TERM INVESTMENTS (Cost $31,085)

    31,085  
                 
       

TOTAL INVESTMENTS — 80.6% (Cost $5,411,320)

    4,877,461  
       

Other Assets in Excess of Liabilities — 19.4%

    1,174,507  
       

NET ASSETS — 100.0%

  $ 6,051,968  

 

Percentages are stated as a percentage of net assets.

 

(a)

To the extent that the Fund invests more heavily in underlying investment companies of certain sectors or strategies, its performance will be especially sensitive to developements that significantly affect those sectors or strategies.

(b)

Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov.

(c)

Annualized seven-day yield as of December 31, 2018.

 

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

 

8

 

 

 

LHA Market StateTM U.S. Tactical ETF

 

SCHEDULE OF OPEN FUTURES CONTRACTS
December 31, 2018

 

 

Number
of Short
Contracts

 

Description

 

Expiration
Month

   

Notional
Value

   

Unrealized
Appreciation
(Depreciation)

 
    (10)  

S&P 500 E-Mini Future

    March 2019     $ (1,252,600 )   $ (9,870 )

 

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

 

9

 

 

LHA Market StateTM U.S. Tactical ETF

 

STATEMENT OF ASSETS AND LIABILITIES
December 31, 2018

 

ASSETS

       

Investments in Securities, at Value*

  $ 4,877,461  

Segregated Cash Held at Broker for Futures

    79,765  

Deposits at Broker for Futures

    1,147,980  

Interest Receivable

    1,376  

Total Assets

    6,106,582  
         

LIABILITIES

       

Payable for Investment Securities Purchased

    21,868  

Payable for Distribution to Shareholders

    17,895  

Variation Margin Payable

    9,600  

Management Fees Payable

    5,251  

Total Liabilities

    54,614  
         

NET ASSETS

  $ 6,051,968  
         

NET ASSETS CONSIST OF:

       

Paid-in Capital

  $ 6,900,194  

Total Distributable Earnings/(Accumulated Deficit)

    (848,226 )

Net Assets

  $ 6,051,968  
         

Net Asset Value:

       

Net Assets

  $ 6,051,968  

Shares Outstanding (a)

    275,000  

Net Asset Value, Offering and Redemption Price per Share

  $ 22.01  
         

* Identified Cost:

       

Investments in Securities

  $ 5,411,320  

 

(a)

No par value, unlimited number of shares authorized.

 

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

 

10

 

 

LHA Market StateTM U.S. Tactical ETF

 

STATEMENT OF OPERATIONS
Period Ended December 31, 2018 (a)

 

INVESTMENT INCOME

       

Dividends

  $ 55,672  

Interest

    5,413  

Total Investment Income

    61,085  
         

EXPENSES

       

Management Fees

    42,717  

Total Expenses

    42,717  
         

Net Investment Income (Loss)

    18,368  
         

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

       

Net Realized Gain (Loss) on:

       

Payment from Affiliate (See Note 5)

    158  

Investments in Securities

    111  

Futures

    (300,642 )

Net Change in Unrealized Appreciation (Depreciation) of:

       

Investments in Securities

    (533,859 )

Futures

    (9,870 )

Net Realized and Unrealized Gain (Loss) on Investments

    (844,102 )

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ (825,734 )

 

(a)

The Fund commenced operations on April 3, 2018. The information presented is for the period from April 3, 2018 to December 31, 2018.

 

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

 

11

 

 

LHA Market StateTM U.S. Tactical ETF

 

STATEMENT OF CHANGES IN NET ASSETS

 

 

   

Period Ended
December 31,
2018
(a)

 

OPERATIONS

       

Net Investment Income (Loss)

  $ 18,368  

Net Realized Gain (Loss) on Investments and Futures Contracts

    (300,373 )

Change in Unrealized Appreciation (Depreciation) of Investments and Futures Contracts

    (543,729 )

Net Increase (Decrease) in Net Assets Resulting from Operations

    (825,734 )
         

DISTRIBUTIONS TO SHAREHOLDERS

       

Net Distributions to Shareholders

    (17,895 )

Total Distributions to Shareholders

    (17,895 )
         

CAPITAL SHARE TRANSACTIONS

       

Proceeds from Shares Sold

    7,525,195  

Payments for Shares Redeemed

    (629,598 )

Net Increase (Decrease) in Net Assets Derived from Capital Share Transactions (b)

    6,895,597  

Net Increase (Decrease) in Net Assets

    6,051,968  
         

NET ASSETS

       

Beginning of Period

  $  

End of Period

  $ 6,051,968  

 

(a)

The Fund commenced operations on April 3, 2018. The information presented is for the period from April 3, 2018 to December 31, 2018.

(b)

Summary of capital share transactions is as follows:

 

   Shares 
Subscriptions   300,000 
Redemptions   (25,000)
Net Increase (Decrease)   275,000 

 

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

 

12

 

 

LHA Market StateTM U.S. Tactical

 

ETF  FINANCIAL HIGHLIGHTS
For a capital share outstanding throughout the period

 

   

Period Ended
December 31,
2018
(a)

 

Net Asset Value, Beginning of Period

  $ 25.00  
         

Income (Loss) from Investment Operations:

       

Net Investment Income (Loss) (b)

    0.08  

Net Realized and Unrealized Gain (Loss) on Investments

    (3.00 )(c)

Total from Investment Operations

    (2.92 )
         

Distributions to Shareholders

       

Net Investment Income

    (0.07 )

Total Distributions

    (0.07 )
         

Net Asset Value, End of Period

  $ 22.01  
         

Total Return

    -11.71 %(d)(e)
         

Supplemental Data:

       

Net Assets at End of Period (000's)

  $ 6,052  
         

Ratios to Average Net Assets:

       

Expenses to Average Net Assets (f)

    0.97 %(g)

Net Investment Income (Loss) to Average Net Assets (h)

    0.42 %(g)

Portfolio Turnover Rate (i)

    2 %(d)

 

(a)

Commencement of operations on April 3, 2018.

(b)

Calculated based on average shares outstanding during the period.

(c)

Includes a less than $0.01 gain per share derived from payment from an affiliate. See Note 4.

(d)

Not annualized.

(e)

Before payment from affiliate for the loss resulting from trade error, the total return for the period would have been -11.71%. See Note 4.

(f)

Does not include expenses of investment companies in which the Fund invests.

(g)

Annualized.

(h)

Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the underlying investment companies in which the Fund invests.

(i)

Excludes impact of in-kind transactions.

 

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

 

13

 

 

LHA Market StateTM U.S. Tactical ETF

 

NOTES TO FINANCIAL STATEMENTS
December 31, 2018

 

 

NOTE 1 – ORGANIZATION

 

LHA Market StateTM U.S. Tactical ETF (the “Fund”) is a diversified series 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 Fund’s shares is registered under the Securities Act of 1933, as amended (the “Securities Act”). The Fund is an actively-managed exchange-traded fund (“ETF”) and seeks to provide investment results that exceed the total return performance of the broader U.S. equity market on a risk-adjusted basis by investing in (i) one or more other ETFs that principally invests in large cap U.S. equity securities (“Underlying ETFs”) or the constituent stocks of such Underlying ETFs and (ii) long or short futures contracts on one or more U.S. equity market indexes. The Fund commenced operations on April 3, 2018.

 

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

 

The Fund is an investment company and accordingly follows 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 Fund. These policies are in conformity with accounting principles generally accepted in the United States of America (“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 Exchange® (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.

 

14

 

 

LHA Market StateTM U.S. Tactical ETF

 

NOTES TO FINANCIAL STATEMENTS
December 31, 2018 (Continued)

 

 

Futures contracts will be valued at the last reported sale price from the exchange on which they are traded.

 

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

 

Short-term securities that have maturities of less than 60 days at the time of purchase, are valued at amortized cost, which, when combined with accrued interest, approximates fair value.

 

Securities for which quotations are not readily available are valued at their respective fair values in accordance with pricing procedures adopted by the Fund’s 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 Fund may cause the NAV of its shares to differ significantly from NAV that would be calculated without regard to such considerations.

 

As described above, the Fund utilizes various methods to measure the fair value of its investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuations methods. The three levels of inputs are:

 

 

Level 1 –

Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

 

 

Level 2 –

Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment 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 Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that

 

15

 

 

LHA Market StateTM U.S. Tactical ETF

 

NOTES TO FINANCIAL STATEMENTS
December 31, 2018 (Continued)

 

 

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 Fund’s investments as of December 31, 2018:

 

Category

                               

Investments in Securities

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Assets

                               

Exchange-Traded Funds

  $ 4,846,376     $     $     $ 4,846,376  

Short-Term Investments

    31,085                   31,085  

Total Investments in Securities

  $ 4,877,461     $     $     $ 4,877,461  
                                 

Other Financial Instruments

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Liabilitiesa

                               

Futures Contracts

  $ 9,870     $     $     $ 9,870  

 

a

Other Financial Instruments are derivative instruments not reflected in the Schedule of Investments, such as futures contracts, which are reflected at the unrealized depreciation on the instrument.

 

For the period ended December 31, 2018, the Fund did not recognize any transfers to or from Level 3.

 

 

B.

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

 

16

 

 

LHA Market StateTM U.S. Tactical ETF

 

NOTES TO FINANCIAL STATEMENTS
December 31, 2018 (Continued)

 

 

The Fund recognizes the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained. Management has analyzed the 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 Fund recognizes interest and penalties, if any, related to unrecognized tax benefits on uncertain positions as income tax expenses in the Statement of Operations. During the most recently completed period end, the Fund did not incur any interest or penalties.

 

 

C.

Security Transactions and Investment Income. Investment securities transactions are accounted for on the trade date. Gains and losses realized from sales of securities are determined on a specific identification basis. Dividend income is recorded on the ex-dividend date. Withholding taxes on foreign dividends have been provided for in accordance with the Fund’s understanding of the applicable tax rules and regulations. Interest income is recorded on an accrual basis.

 

 

D.

Distributions to Shareholders. Distributions to shareholders from net investment income and net realized gains on securities are declared and paid at least on an annual basis. Distributions are recorded on the ex-dividend date.

 

 

E.

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.

 

 

F.

Share Valuation. The NAV per share of the Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash and other assets, minus all liabilities (including estimated accrued expenses) by the total number of shares outstanding of the Fund. The Fund’s shares will not be priced on the days on which the New York Stock Exchange (“NYSE”) is closed for trading. The offering and redemption price per share of the Fund is equal to the Fund’s NAV per share.

 

 

G.

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.

 

17

 

 

LHA Market StateTM U.S. Tactical ETF

 

NOTES TO FINANCIAL STATEMENTS
December 31, 2018 (Continued)

 

 

These timing differences are primarily due to differing book and tax treatments for in-kind transactions. For the period ended December 31, 2018, following table shows the reclassifications made:

 

Distributable
Earnings/
(Accumulated
Deficit)

Paid-In
Capital

$(4,597)

$4,597

 

During the period ended December 31, 2018, the Fund realized $4,597 in net capital gains from in-kind redemptions, in which shareholders exchanged Fund shares for securities held by the Fund rather than for cash. Because such gains are not taxable to the Fund, and are not distributed to shareholders, they have been reclassified from distributable earnings/(accumulated deficit) to paid-in capital.

 

 

H.

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

 

 

I.

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 December 31, 2018, that materially impacted the amounts or disclosures in the Fund’s financial statements.

 

 

J.

New Accounting Pronouncements. In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management has evaluated ASU 2018-13 and has adopted the disclosure framework.

 

18

 

 

LHA Market StateTM U.S. Tactical ETF

 

NOTES TO FINANCIAL STATEMENTS
December 31, 2018 (Continued)

 

 

NOTE 3 – FUTURES CONTRACTS

 

The Fund may invest in futures contracts to hedge or manage risks associated with the Fund’s investments in securities or to gain exposure to certain asset classes or markets. The Fund may purchase or sell futures contracts only if the Fund’s liabilities for the futures position are “covered” by an offsetting position in a futures contract or by the Fund segregating liquid assets equal to the Fund’s liabilities on the futures contract. Upon entering into a financial futures contract, a Fund is required to pledge to the broker an amount of cash, U.S. government securities or other assets, equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as “variation margin,” are made or received by the Fund on an as needed basis. The Fund records an unrealized gain or loss by marking each futures contract to market. A realized gain or loss is recorded when the contract is closed. Should market conditions move unexpectedly, the Fund may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying assets. Futures contracts may have off-balance sheet risk. Off-balance sheet risk exists when the maximum potential loss on a particular financial instrument is greater than the value of such financial instrument, as reflected in the Schedule of Open Futures Contracts.

 

Positions in futures contracts may be closed out only on an exchange that provides a secondary market for such futures. However, there can be no assurance that a liquid secondary market will exist for any particular futures contract at any specific time. Thus, it may not be possible to close a futures position. In the event of adverse price movements, the Fund may be required to make cash payments to maintain their required margin. In such situations, if the Fund had insufficient cash, they might have to sell portfolio securities to meet margin requirements at a time when it would be disadvantageous to do so. In addition, the Fund might be required to make delivery of the underlying instruments of futures contracts they hold. The inability to close positions in futures could also have an adverse impact on the Fund’s ability to hedge or manage risks effectively. The collateral held by the Fund is presented on the Statement of Assets and Liabilities under segregated cash held at broker for futures.

 

The following table represents a summary of the value of derivative instruments as of December 31, 2018, and the effect of derivative instruments on the Statement of Assets and Liabilities as of December 31, 2018.

 

 

Liability Derivatives

Derivatives

Location

Value

Equity Contracts - Futures

Variation Margin Payable

$9,600

 

19

 

 

LHA Market StateTM U.S. Tactical ETF

 

NOTES TO FINANCIAL STATEMENTS
December 31, 2018 (Continued)

 

 

The effect of Derivative Instruments on the Statement of Operations for the period ended December 31, 2018:

 

Derivatives

Realized Gain (Loss)
on Derivatives
Recognized in Income

Change in Unrealized
Appreciation
(Depreciation) on
Derivatives
Recognized in Income

Equity Contracts - Futures

$(300,642)

$(9,870)

 

The average monthly volume of short and long futures during the period ended December 31, 2018 were $(1,094,878) and $890,689, respectively.

 

Offsetting of Financial Assets and Derivatives Assets:

 

During the ordinary course of business, the Fund may enter into transactions subject to enforceable netting agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows the Fund to offset any exposure to a specific counterparty with any collateral received or delivered to that counterparty based on the terms of the agreement. Generally, the Fund manages its cash collateral and securities collateral on a counterparty basis. As of December 31, 2018, the Fund was not subject to any netting agreements.

 

The following table provides a summary of offsetting financial liabilities and derivatives and the effect of derivative instruments on the Statement of Assets and Liabilities as of December 31, 2018.

 

Liabilities  Gross     Gross
Amounts
Offset in the
Statement
   Net
Amounts
Presented
in the
Statement
   Gross Amounts not
offset in the Statement
of Assets and Liabilities
    
Description /
Counterparty
  Amounts of
Recognized
Liabilities
  of Assets
and
Liabilities
   of Assets
and
Liabilities
   Financial
Instruments
  Collateral
Pledged
   Net
Amount
 
Futures Contracts                              
Interactive Brokers, LLC  $9,600   $    $ 9,600    $   $(9,600)  $ 

 

In some instances, the collateral amounts disclosed in the tables were adjusted due to the requirement to limit the collateral amounts to avoid the effect of overcollateralization. Actual collateral received/pledged may be more than the amounts disclosed herein.

 

20

 

 

LHA Market StateTM U.S. Tactical ETF

 

NOTES TO FINANCIAL STATEMENTS
December 31, 2018 (Continued)

 

 

NOTE 4 – COMMITMENTS AND OTHER RELATED PARTY TRANSACTIONS

 

Little Harbor Advisors, LLC (“the Adviser”), serves as the investment adviser to the Fund. Pursuant to an Investment Advisory Agreement (“Advisory Agreement”) between the Trust, on behalf of the Fund, and the Adviser, the Adviser provides investment advice to the Fund and oversees the day-to-day operations of the Fund, subject to the direction and control of the Board and the officers of the Trust. Under the Advisory Agreement, the Adviser is also responsible for arranging transfer agency, custody, fund administration, and all other related services necessary for the Fund to operate. Under the Advisory Agreement, the Adviser has agreed to pay all expenses incurred by the Fund, 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 Fund, the Fund pays the Adviser 0.97% at an annual rate based on the Fund’s average daily net assets.

 

U.S. Bancorp Fund Services, LLC (“Fund Services” or “Administrator”), doing business as U.S. Bank Global Fund Services, acts as the Fund’s Administrator and, in that capacity, performs various administrative and accounting services for the Fund. The Administrator prepares various federal and state regulatory filings, reports and returns for the Fund, including regulatory compliance monitoring and financial reporting; prepares reports and materials to be supplied to the board; monitors the activities of the Fund’s Custodian, transfer agent and fund accountant. Fund Services also serves as the transfer agent and fund accountant to the Fund. U.S. Bank N.A. (the “Custodian”), an affiliate of Fund Services, serves as the Fund’s Custodian.

 

Quasar Distributors, LLC, (the “Distributor”) acts as the Fund’s principal underwriter in a continuous public offering of the Fund’s shares. The Distributor is an affiliate of the Administrator.

 

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

 

During the period ended December 31, 2018, the Fund had two trade errors resulting in a loss to the Fund of $158, which was subsequently reimbursed to the Fund by an affiliate.

 

NOTE 5 – PURCHASES AND SALES OF SECURITIES

 

During the period ended December 31, 2018, purchases and sales of securities by the Fund, excluding short-term securities and in-kind transactions, were $97,919 and $290,748, respectively.

 

During the period ended December 31, 2018, there were no purchases or sales of U.S. Government securities.

 

21

 

 

LHA Market StateTM U.S. Tactical ETF

 

NOTES TO FINANCIAL STATEMENTS
December 31, 2018 (Continued)

 

 

During the period ended December 31, 2018, in-kind transactions associated with creations and redemptions were $6,082,767 and $509,814, respectively.

 

NOTE 6 – INCOME TAX INFORMATION

 

The components of distributable earnings/(accumulated deficit) and cost basis of investments for federal income tax purposes as of December 31, 2018 in the Fund, were as follows:

 

Tax cost of investments

  $ 5,416,710  

Gross tax unrealized appreciation

  $  

Gross tax unrealized depreciation

    (539,249 )

Net tax unrealized appreciation/(depreciation)

    (539,249 )

Undistributed ordinary income

    473  

Undistributed long-term capital gain

     

Accumulated gain/(loss)

    473  

Other accumulated gain/(loss)

    (309,450 )

Distributable earnings/(accumulated deficit)

  $ (848,226 )

 

The difference between book and tax-basis cost is attributable to wash sales.

 

As of December 31, 2018, the Fund deferred, on a tax basis, no post-October losses and no late-year ordinary losses.

 

As of December 31, 2018, the Fund had the following capital loss carryforwards:

 

Short-Term

Long-Term

Expires

$123,143

$186,307

Indefinite

 

The tax character of distributions paid by the Fund during the period ended December 31, 2018, was as follows:

 

Ordinary
Income

$17,895

 

NOTE 7 – SHARE TRANSACTIONS

 

Shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc. (“Cboe”). Market prices for the shares may be different from their NAV. The Fund issues and redeems shares on a continuous basis at NAV generally in blocks of 25,000 shares, called “Creation Units.” Creation Units are issued and redeemed principally in-kind

 

22

 

 

LHA Market StateTM U.S. Tactical ETF

 

NOTES TO FINANCIAL STATEMENTS
December 31, 2018 (Continued)

 

 

for securities included in a specified universe. Once created, shares generally trade in the secondary market at market prices that change throughout the day. Except when aggregated in Creation Units, shares are not redeemable securities of the Fund. Shares of the Fund 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 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 Fund. 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 Fund currently offers one class of shares, which has no front end sales load, no deferred sales charge, and no redemption fee. A fixed transaction fee is imposed for the transfer and other transaction costs associated with the creation or redemption of Creation Units. The standard fixed creation and redemption transaction fee for the Fund is $250 payable to the Custodian. The fixed transaction fee may be waived on certain orders if the Fund’s 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 received by the Fund are displayed in the Capital Shares Transactions section of the Statement of Changes in Net Assets. There were no variable fees received during the period. The Fund may issue an unlimited number of shares of beneficial interest, with no par value. All shares of the Fund have equal rights and privileges.

 

NOTE 8 – PRINCIPAL RISK

 

The risks of investing in investment companies, such as the Underlying ETFs, typically reflect the risks of the types of instruments in which the investment companies invest. By investing in another investment company, the Fund becomes a shareholder of that investment company and bears its proportionate share of the fees and expenses of the other investment company. The Fund may be subject to statutory limits with respect to the amount it can invest in other ETFs, which may adversely affect the Fund’s ability to achieve its investment objective. Investments in ETFs are also subject to the following risks: (i) the market price of an ETF’s shares may trade above or below their NAV; (ii) an active trading market for an ETF’s shares may not develop or be maintained; and (iii) trading of an ETF’s shares may be halted for a number of reasons.

 

23

 

 

LHA Market StateTM U.S. Tactical ETF

 

Report of Independent Registered Public Accounting Firm
December 31, 2018

 

 

To the Shareholders of LHA Market StateTM U.S. Tactical ETF and
Board of Trustees of ETF Series Solutions

 

Opinion on the Financial Statements

 

We have audited the accompanying statement of assets and liabilities, including the schedules of investments and open futures contracts, of LHA Market StateTM U.S. Tactical ETF (the “Fund”), a series of ETF Series Solutions, as of December 31, 2018, and the related statements of operations and changes in net assets and the financial highlights for the period April 3, 2018 (commencement of operations) to December 31, 2018, including the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2018, the results of its operations, the changes in its net assets and the financial highlights for the period indicated above, in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

 

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audit. 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 Fund 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 audit 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 audit 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 December 31, 2018, by correspondence with the custodian and brokers. Our audit also included evaluating

 

24

 

 

LHA Market StateTM U.S. Tactical ETF

 

Report of Independent Registered Public Accounting Firm
December 31, 2018 (Continued)

 

 

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 audit provides a reasonable basis for our opinion.

 

We have served as the Fund’s auditor since 2018.

 

COHEN & COMPANY, LTD.
Milwaukee, Wisconsin
February 28, 2019

 

25

 

 

LHA Market StateTM U.S. Tactical ETF

 

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. The Fund’s 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.

 

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).

45

Independent Trustee, Managed Portfolio Series (38 portfolios).

David A. Massart
Born: 1967

Trustee

Indefinite term; since 2012

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

45

Independent Trustee, Managed Portfolio Series (38 portfolios).

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).

45

Independent Trustee, PPM Funds (9 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).

45

None

 

26

 

 

LHA Market StateTM U.S. Tactical ETF

 

TRUSTEES AND OFFICERS

(Unaudited) (Continued)

 

 

The Officers of the Trust conduct and supervise its daily business. The address of each officer of the Trust is c/o U.S. Bank Global Fund Services, 615 E. Michigan Street, Milwaukee, WI 53202. Additional information about the Trust’s officers is as follows:

 

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

Vice President, U.S. Bancorp Fund Services, LLC (since 2014); Assistant Vice President, U.S. Bancorp Fund Services, LLC (2013–2014).

Michael D. Barolsky Esq.
Born: 1981

Vice President and Secretary

Indefinite term; since 2014 (other roles since 2013)

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

James R. Butz
Born: 1982

Chief Compliance Officer

Indefinite term; since 2015

Senior Vice President, U.S. Bancorp Fund Services, LLC (since 2015); Vice President, U.S. Bancorp Fund Services, LLC (2014–2015); Assistant Vice President, U.S. Bancorp Fund Services, LLC (2011–2014).

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).

Brett M. Wickmann
Born: 1982

Assistant Treasurer

Indefinite term; since 2017

Vice President, U.S. Bancorp Fund Services, LLC (since 2017); Assistant Vice President, U.S. Bancorp Fund Services, LLC (2012–2017).

Elizabeth A. Winske
Born: 1983

Assistant Treasurer

Indefinite term; since 2017

Assistant Vice President, U.S. Bancorp Fund Services, LLC (since 2016); Officer, U.S. Bancorp Fund Services, LLC (2012–2016).

 

27

 

 

LHA Market StateTM U.S. Tactical ETF

 

EXPENSE EXAMPLE
For the Six-Months Ended December 31, 2018 (Unaudited)

 

 

As a shareholder of the Fund 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 Fund and to compare these costs with the ongoing costs of investing in other funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.

 

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 Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund 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.

 

 

Beginning
Account Value
July 1, 2018
(a)

Ending
Account Value
December 31, 2018

Expenses
Paid During
the Period
(a)

Annualized
Expense
Ratio

Actual

$1,000.00

$ 882.90

$4.60

0.97%

Hypothetical (5% annual return before expenses)

$1,000.00

$ 1,020.32

$4.94

0.97%

 

(a)

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

 

28

 

 

LHA Market StateTM U.S. Tactical ETF

 

FEDERAL TAX INFORMATION
(Unaudited)

 

 

QUALIFIED DIVIDEND INCOME/DIVIDENDS RECEIVED DEDUCTION

 

For the period ended December 31, 2018, certain dividends paid by the Fund 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 100.00%.

 

For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the period ended December 31, 2018 was 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) was 0.00%.

 

INFORMATION ABOUT PORTFOLIO HOLDINGS
(Unaudited)

 

 

The Fund files its complete schedules of portfolio holdings for its first and third fiscal quarters with the SEC on Form N-Q. The Fund’s Form N-Q is available without charge, upon request, by calling toll-free at (800) 617-0004. Furthermore, you may obtain the Form N-Q on the SEC’s website at www.sec.gov. The Fund’s portfolio holdings are posted on its website at www.lhafunds.com daily.

 

INFORMATION ABOUT PROXY VOTING
(Unaudited)

 

 

A description of the policies and procedures the Fund uses 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 Fund’s website at www.lhafunds.com.

 

When available, information regarding how the Fund voted proxies relating to portfolio securities during the twelve-months ending June 30 will be (1) available by calling toll-free at (800) 617-0004 and (2) the SEC’s website at www.sec.gov.

 

FREQUENCY DISTRIBUTION OF PREMIUMS AND DISCOUNTS
(Unaudited)

 

 

Information regarding how often shares of the Fund trade on the exchange at a price above (i.e., at a premium) or below (i.e., at a discount) its daily net asset value (NAV) is available, without charge, on the Fund’s website at www.lhafunds.com.

 

29

 

 

Adviser

Little Harbor Advisors, LLC

30 Doaks Lane

Marblehead, MA 01945

 

Distributor

Quasar Distributors, LLC

777 East Wisconsin Avenue, 6th Floor

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, WI 53202

 

Legal Counsel

Morgan, Lewis & Bockius LLP

1111 Pennsylvania Avenue, NW

Washington, DC 20004-2541

 

LHA Market StateTM U.S. Tactical ETF

Symbol – MSUS

CUSIP – 26922A487

 

 

 

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 substantive 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/directors] 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 two fiscal years. “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 each of the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.

 

  FYE 12/31/2018
Audit Fees 15,000
Audit-Related Fees N/A
Tax Fees 3,000
All Other Fees N/A

 

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:

 

  FYE 12/31/2018
Audit-Related Fees 0%
Tax Fees 0%
All Other Fees 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. (If more than 50 percent of the accountant’s hours were spent to audit the registrant's financial statements for the most recent fiscal year, state how many hours were attributed to work performed by persons other than the principal accountant's full-time, permanent employees.)

 

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.

 

Non-Audit Related Fees FYE 12/31/2018
Registrant N/A
Registrant’s Investment Adviser N/A

 

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 second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.

 

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

 

Not applicable to open-end investment companies.

 

Item 13. Exhibits.

 

(a)(1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. 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 the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.

 

(b)Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith.

 

 

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
       
(Registrant) ETF Series Solutions    
       
By (Signature and Title)* /s/ Kristina R. Nelson  
    Kristina R. Nelson, President (principal executive officer)  
       
Date 2/27/19    
       
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 2/27/19    
       
By (Signature and Title)* /s/ Kristen M. Weitzel  
    Kristen M. Weitzel, Treasurer (principal financial officer)  
       
Date 2/27/19    

 

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

 

EX-99.CODE ETH 2 fp0039861_ex99code.htm

EX.99.CODE ETH

 

ETF Series Solutions

 

Code of Ethics

For Principal Executive Officer & Principal Financial Officer

 

This Code of Ethics is designed to comply with Section 406 of the Sarbanes-Oxley Act of 2002 and the rules promulgated by the Securities and Exchange Commission (the “SEC”) thereunder. This Code of Ethics is in addition to, not in replacement of, the ETF Series Solutions (the “Trust”) Code of Ethics for access persons (the “Investment Company Code of Ethics”), adopted pursuant to Rule 17j-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”). The persons covered by this Code of Ethics may also be subject to the Investment Company Code of Ethics.

 

The Trust requires its Principal Executive Officer, Principal Financial Officer, or other Trust officers performing similar functions (the “Principal Officers”), to maintain the highest ethical and legal standards while performing their duties and responsibilities to the Trust and each of its series (each a “Fund,” collectively the “Funds”), with particular emphasis on those duties that relate to the preparation and reporting of the financial information of the Funds. The following principles and responsibilities shall govern the professional conduct of the Principal Officers:

 

1. HONEST AND ETHICAL CONDUCT.

 

The Principal Officers shall act with honesty and integrity, avoiding actual or apparent conflicts of interest in personal and professional relationships, and shall report any material transaction or relationship that reasonably could be expected to give rise to such conflict between their interests and those of a Fund to the Audit Committee, the full Board of Trustees of the Trust, and, in addition, to any other appropriate person or entity that may reasonably be expected to deal with any conflict of interest in timely and expeditious manner.

 

The Principal Officers shall act in good faith, responsibly, with due care, competence and diligence, without misrepresenting material facts or allowing their independent judgment to be subordinated or compromised.

 

2. FINANCIAL RECORDS AND REPORTING

 

The Principal Officers shall provide full, fair, accurate, timely and understandable disclosure in the reports and/or other documents to be filed with or submitted to the Securities and Exchange Commission or other applicable body by a Fund, or that is otherwise publicly disclosed or communicated. The Principal Officers shall comply with applicable rules and regulations of federal, state, and local governments, and other appropriate private and public regulatory agencies.

 

The Principal Officers shall respect the confidentiality of information acquired in the course of their work and shall not disclose such information except when authorized or legally obligated to disclose. The Principal Officers will not use confidential information acquired in the course of their duties as Principal Officers.

 

 

 

The Principal Officers shall share knowledge and maintain skills important and relevant to the Trust’s needs; shall proactively promote ethical behavior of the Trust’s employees and with industry peers and associates; and shall maintain control over and responsibly manage assets and resources employed or entrusted to them by the Trust.

 

3. COMPLIANCE WITH LAWS, RULES AND REGULATIONS

 

The Principal Officers shall establish and maintain mechanisms to oversee the compliance of the Funds with applicable federal, state or local law, regulation or administrative rule, and to identify, report and correct in a swift and certain manner, any detected deviations from applicable federal, state or local law regulation or rule.

 

4. COMPLIANCE WITH THIS CODE OF ETHICS

 

The Principal Officers shall promptly report any violations of this Code of Ethics to the Audit Committee as well as the full Board of Trustees of the Trust and shall be held accountable for strict adherence to this Code of Ethics. A proven failure to uphold the standards stated herein shall be grounds for such sanctions as shall be reasonably imposed by the Board of Trustees of the Trust.

 

5. AMENDMENT AND WAIVER

 

This Code of Ethics may only be amended or modified by approval of the Board of Trustees. Any substantive amendment that is not technical or administrative in nature or any material waiver, implicit or otherwise, of any provision of this Code of Ethics, shall be communicated publicly in accordance with Item 2 of Form N-CSR under the Investment Company Act of 1940.

 

Adopted: March 27, 2012

EX-99.CERT 3 fp0039861_ex99cert.htm

EX.99.CERT

 

CERTIFICATIONS

 

I, Kristina R. Nelson, certify that:

 

1.I have reviewed this report on Form N-CSR of ETF Series Solutions;

 

2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4.The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

(a)Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b)Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c)Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

(d)Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of 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; and

 

5.The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

(a)All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

(b)Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: 2/27/19   /s/ Kristina R. Nelson  
    Kristina R. Nelson  
    President (principal executive officer)  
    ETF Series Solutions  

 

 

 

EX.99.CERT

 

CERTIFICATIONS

 

I, Kristen M. Weitzel, certify that:

 

1.I have reviewed this report on Form N-CSR of ETF Series Solutions;

 

2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4.The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

(a)Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b)Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c)Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

(d)Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of 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; and

 

5.The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

(a)All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

(b)Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: 2/27/19   /s/ Kristen M. Weitzel  
    Kristen M. Weitzel  
    Treasurer (principal financial officer)  
    ETF Series Solutions  

 

EX-99.906 CERT 4 fp0039861_ex99906cert.htm

EX.99.906CERT

 

Certification Pursuant to Section 906 of the Sarbanes-Oxley Act

 

Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, each of the undersigned officers of the ETF Series Solutions, does hereby certify, to such officer’s knowledge, that the report on Form N-CSR of the ETF Series Solutions for the period ended December 31, 2018 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable, and that the information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the ETF Series Solutions for the stated period.

 

/s/ Kristina R. Nelson   /s/ Kristen M. Weitzel  
Kristina R. Nelson   Kristen M. Weitzel  
President (principal executive officer)   Treasurer (principal financial officer)  
ETF Series Solutions   ETF Series Solutions  
       
Dated: 2/27/19   Dated: 2/27/19  

 

This statement accompanies this report on Form N-CSR pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and shall not be deemed as filed by ETF Series Solutions for purposes of Section 18 of the Securities Exchange Act of 1934.

 

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