N-CSR 1 fp0066613_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: April 30

 

Date of reporting period: April 30, 2021

 

 

 

Item 1. Reports to Stockholders.

 

(a)

  

 

Annual Report

 

April 30, 2021

 

Aptus Collared Income Opportunity ETF

Ticker: ACIO

Aptus Defined Risk ETF

Ticker: DRSK

Aptus Drawdown Managed Equity ETF

Ticker: ADME

Opus Small Cap Value ETF

Ticker: OSCV

 

 

 

Aptus ETFs

 

TABLE OF CONTENTS

 

 

Page

Shareholder Letters

1

Performance Summaries

9

Portfolio Allocations

13

Schedules of Investments

15

Schedules of Written Options

17

Statements of Assets and Liabilities

28

Statements of Operations

29

Statements of Changes in Net Assets

30

Financial Highlights

34

Notes to Financial Statements

38

Report of Independent Registered Public Accounting Firm

48

Trustees and Officers

50

Expense Examples

52

Review of Liquidity Risk Management Program

54

Approval of Advisory Agreement and Board Considerations

55

Federal Tax Information

58

Information About Portfolio Holdings

58

Information About Proxy Voting

58

Frequency Distribution of Premiums and Discounts

58

 

 

Aptus Collared Income Opportunity ETF

 

Shareholder Letter
(Unaudited)

 

 

Dear ACIO Shareholders,

 

Thank you for your investment in the Aptus Collared Income Opportunity ETF, referred to herein as “ACIO” or the “Fund”. The information presented in this letter relates to ACIO’s performance from May 1, 2020 through April 30, 2021 (the “current fiscal period”).

 

The Fund is an actively-managed exchange traded fund (“ETF”) that seeks to achieve its investment objective principally by investing in a portfolio of large capitalization U.S.-listed equity securities and an options collar (i.e., a mix of written (sold) call options and long (bought) put options on the same underlying equity securities or on an index tracking the large capitalization segment of the U.S. equity market (a “U.S. Large Cap Index”)). The equity securities and options held by the Fund must be listed on a U.S.-exchange, and the equity securities may include common stocks of U.S. companies, American Depositary Receipts (“ADRs”) (i.e., receipts evidencing ownership of foreign equity securities), and real estate investment trusts (“REITs”). The Fund will typically limit investments in ADRs to approximately 20% of the Fund’s net assets.

 

For the current fiscal period, ACIO was up 24.50% at market and 24.57% at net asset value (“NAV”). Over the same period, the S&P 500® Index was up 45.98%.

 

The largest positive equity contributor to return for the current fiscal period was Apple, Inc. (AAPL), gaining 62.56% and adding 3.86% to the return of ACIO. The second largest contributor was Alphabet, Inc. – Class A (GOOGL), gaining 82.50% and adding 2.36% to the return of ACIO. The third largest contributor was Microsoft Corporation (MSFT), gaining 45.93% and adding 2.36% to the return of ACIO.

 

The largest negative equity contributor to the return for the current fiscal period was Merck & Company, Inc. (MRK), down 10.67% and detracting 0.19% from the return of ACIO. The second largest negative contributor was Northrop Grumman Corporation (NOC), down 6.32% and detracting 0.18% from the return of ACIO. The third largest negative contributor was Automated Data Processing, Inc. (ADP), down 0.16% and detracting 0.12% from the return of ACIO.

 

We are excited about the opportunity to give our investors access to the Aptus Collared Income Opportunity ETF. We think its possible future returns from a traditional 60/40 portfolio may be well below recent history, at risk of being insufficient to meet the income needs of today’s retirees. We believe we can help the math with a focus on global dividend growers. With overall valuations high, and growth difficult to project, we place great emphasis on sustainable yield in building return assumptions. The ACIO screening process takes approximately 50 stocks from across the globe that a) meet the filter, b) provide diversified exposure, and c) maintain an active options market from which we can sell call options on the individual names along with buying puts on the broad market index to more efficiently collar the equity portfolio. The powerful combination of a high dividend paying basket of approximately 50 stocks with a collar strategy aims to deliver consistent and repeatable yield and minimal drawdown.

 

We appreciate your interest in ACIO. If we can elaborate on the underlying Aptus Collared Income Opportunity strategy, please don’t hesitate to ask as we would love an opportunity to discuss. Thanks again for your interest.

 

Sincerely,

 

JD Gardner
Founder and Managing Member
Aptus Capital Advisors, Adviser to the Fund

 

 

1

 

 

Aptus Collared Income Opportunity ETF

 

Shareholder Letter
(Unaudited) (Continued)

 

 

Past performance does not guarantee future performance. Investing involves risk. Principal loss is possible. The Fund is non-diversified, meaning it may concentrate its assets in fewer individual holdings than diversified funds. Therefore, the Fund is more exposed to individual stock or ETF volatility than diversified funds. The Fund’s use of call and put options can lead to losses because of adverse movements in the price or value of the underlying security, which may be magnified by certain features of the options. The Fund’s use of options may reduce the Fund’s ability to profit from increases in the value of the underlying securities. Derivatives, such as the options in which the Fund invests, can be volatile and involve various types and degrees of risks. Derivatives may entail 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 underlying security, or if the Fund is unable to purchase or liquidate a position because of an illiquid secondary market. Investments in ETFs are subject to additional risks that do not apply to conventional mutual funds, including the risks that the market price of the shares may trade at a discount to the net asset value (“NAV”), an active secondary trading market may not develop or be maintained, or trading may be halted by the exchange in which they trade, which may impact a fund’s ability to sell its shares.

 

Call options give the owner the right to buy the underlying security at the specified price within a specific time period. Put options give the owner the right to sell the underlying security at the specified price within a specific time period. A collar is an options strategy constructed by holding shares of the underlying stock while simultaneously buying put options and selling call options against that holding

 

Shares of an ETF are bought and sold at market price (rather than NAV) and are not individually redeemed from the Fund. Brokerage commissions will reduce returns. Market returns are based on the daily composite close price from all active exchanges at 4:00pm Eastern Time (when NAV is normally determined for most ETFs), and do not represent the returns you would receive if you traded shares at other times.

 

Must be preceded or accompanied by a prospectus.

 

Fund holdings and sector allocations are subject to change and are not recommendations to buy or sell any security. Please refer to the Schedule of Investments and Schedule of Written Options in this report for complete holdings information.

 

Definitions:

 

S&P 500® Index - a market capitalization weighted index of the 500 largest U.S. publicly traded companies by market value. The total return index is a type of equity index that tracks both the capital gains of a group of stocks over time, and assumes that any cash distributions, such as dividends, are reinvested back into the index.

 

Aptus Capital Advisors, LLC is the adviser to the Aptus Collared Income Opportunity ETF, which is distributed by Quasar Distributors, LLC.

 

2

 

 

Aptus Defined Risk ETF

 

Shareholder Letter
(Unaudited)

 

 

Dear DRSK Shareholders,

 

Thank you for your investment in the Aptus Defined Risk ETF, referred to herein as “DRSK” or the “Fund”. The information presented in this letter relates to DRSK’s performance from May 1, 2020 through April 30, 2021 (the “current fiscal period”).

 

The Fund is an actively managed exchange traded fund (“ETF”) that seeks to achieve its objective through a hybrid fixed income and equity strategy. The Fund typically invests approximately 75% to 95% of its assets to obtain exposure to investment-grade corporate bonds (the “Fixed Income Strategy”) and invests the remainder of its assets to obtain exposure to U.S. stocks, while limiting downside risk (the “Equity Strategy”)

 

For the current fiscal period, DRSK was up 5.22% at market and 5.62% at net asset value (“NAV”). Over the same period, the Bloomberg Barclays US Aggregate Bond Index was down 0.27%.

 

The largest positive contributor to return for the current fiscal period was JP Morgan Chase & Company (JPM), gaining 136.46% and adding 0.53% to the return of DRSK. The second largest contributor was an option position in UnitedHealth Group, Inc. (UNH), gaining 93.97% and adding 0.49% to the return of DRSK. The third largest contributor was Alphabet, Inc. – Class A (GOOGL), gaining 27.89% and adding 0.39% to the return of DRSK.

 

The largest negative contributor to the return for the current fiscal period was an option position in Chevron Corporation (CVX), down 52.36% and detracting 0.43% from the return of DRSK. The second largest negative contributor was an option position in Microsoft Corporation (MSFT), down 30.85% and detracting 0.39% from the return of DRSK. The third largest negative contributor was an option position in Visa, Inc. - Class A (V), down 36.82% and detracting 0.28% from the return of DRSK.

 

We are excited about the opportunity to give our investors access to the Aptus Defined Risk ETF. We see income generation as a major issue for investors in a low interest rate environment and extending maturities or accepting poorer credit bring added risk. Our “income plus” approach utilizes call options that allows for significant upside capture in a rising market and defined risk in a declining market. The powerful combination of laddered bonds over a short duration and asymmetric payoff opportunity of the call options aims to give investors expected returns not typically seen in the traditional fixed income space.

 

We appreciate your interest in DRSK. If we can elaborate on the underlying Aptus Defined Risk strategy, please don’t hesitate to ask as we would love an opportunity to discuss. Thanks again for your interest.

 

Sincerely,

 

JD Gardner
Founder and Managing Member
Aptus Capital Advisors, Adviser to the Fund

 

 

3

 

 

Aptus Defined Risk ETF

 

Shareholder Letter
(Unaudited) (Continued)

 

 

Past Performance does not guarantee future performance. Investing involves risk. Principal loss is possible. The Fund invests indirectly in fixed income securities through investments in bond ETFs, which involve certain risks. The Fund’s use of put options can lead to losses because of adverse movements in the price or value of the underlying security, which may be magnified by certain features of the options. The Fund’s use of options may reduce the Fund’s ability to profit from increases in the value of the underlying securities. Derivatives, such as the options in which the Fund invests, can be volatile and involve various types and degrees of risks. Derivatives may entail 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 underlying security, or if the Fund is unable to purchase or liquidate a position because of an illiquid secondary market. Investments in ETFs are subject to additional risks that do not apply to conventional mutual funds, including the risks that the market price of the shares may trade at a discount to the net asset value (“NAV”), an active secondary trading market may not develop or be maintained, or trading may be halted by the exchange in which they trade, which may impact a fund’s ability to sell its shares.

 

Shares of an ETF are bought and sold at market price (rather than NAV) and are not individually redeemed from the fund. Brokerage commissions will reduce returns. Market returns are based on the daily composite close price from all active exchanges at 4:00pm Eastern Time (when NAV is normally determined for most ETFs), and do not represent the returns you would receive if you traded shares at other times.

 

Must be preceded or accompanied by a prospectus.

 

Fund holdings and sector allocations are subject to change and are not recommendations to buy or sell any security. Please see the Schedule of Investments or Schedule of Written Options for a complete list of Fund holdings.

 

Definitions:

 

Bloomberg Barclays US Aggregate Bond Index – a flagship measure of global investment grade debt from twenty-four local currency markets. This multi-currency benchmark includes treasury, government related, corporate and securitized fixed-rate bonds from both developed and emerging market issuers. One cannot invest directly in an index.

 

Call Option: Call options are 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.

 

Put Option: A put option is a contract giving the owner the right, but not the obligation, to sell–or sell short–a specified amount of an underlying security at a pre-determined price within a specified time frame.

 

Aptus Capital Advisors, LLC is the adviser to the Aptus Defined Risk ETF, which is distributed by Quasar Distributors, LLC.

 

4

 

 

Aptus Drawdown Managed Equity ETF

 

Shareholder Letter
(Unaudited)

 

 

Dear ADME Shareholders,

 

Thank you for your investment in the Aptus Drawdown Managed Equity ETF, referred to herein as “ADME” or the “Fund”. The information presented in this letter relates to ADME’s performance from May 1, 2020 through April 30, 2021 (the “current fiscal period”).

 

The Fund is an actively managed exchange traded fund (“ETF”) that seeks to achieve its objective principally by investing in a portfolio of U.S.-listed equity securities, while limiting downside risk by purchasing exchange-listed options or writing call options on one or more broad-based indexes, or ETFs that track the performance of the U.S. equity market. Under normal circumstances, at least 80% of the Fund’s net assets (plus borrowings for investment purposes) will be invested in equity securities.

 

For the current fiscal period, ADME gained 28.57% at market and 28.59% at net asset value (“NAV”). Over the same period, the S&P 500® Index was up 45.98%.

 

The largest positive equity contributor to return for the current fiscal period was Apple, Inc. (AAPL) gaining 83.31% and adding 4.18% to the return of ADME. The second largest contributor was Microsoft Corporation (MSFT) gaining 45.93% and adding 2.48% to the return of ADME. The third largest contributor was Alphabet, Inc. – Class A (GOOGL) gaining 82.50% and adding 2.47% to the return of ADME.

 

The largest negative equity contributor to the return for the current fiscal period was MGM Resorts International (MGM) down 31.05% and detracting 0.20% from the return of ADME. The second largest negative contributor was Brigham Minerals, Inc. – Class A (MNRL) down 25.77% and detracting 0.16% from the return of ADME. The third largest negative contributor was Wells Fargo & Company (WFC) down 21.19% and detracting 0.13% from the return of ADME.

 

We are excited about the opportunity to give our investors access to the Aptus Drawdown Managed Equity ETF. Historically, a small group of big winners have comprised most of each year’s market gains. Rather than diluting with hundreds of mediocre holdings, we prefer to focus on 50-60 large cap names. We build from a Yield + Growth framework, tilting holdings to favor companies with solid fundamentals and reasonable valuations while avoiding those with negative price momentum. We believe there’s an upside to less downside behaviorally and mathematically. Rather than try to time the markets, we actively hedge our holdings in an effort to mitigate downside risk. We build a portfolio that attempts to capture market upside, with a fraction of the downside.

 

We appreciate your interest in ADME. If we can elaborate on the underlying Aptus Drawdown Managed Equity strategy, please don’t hesitate to ask as we would love an opportunity to discuss. Thanks again for your interest.

 

Sincerely,

 

JD Gardner
Founder and Managing Member
Aptus Capital Advisors, Adviser to the Fund

 

 

5

 

 

Aptus Drawdown Managed Equity ETF

 

Shareholder Letter
(Unaudited) (Continued)

 

 

Past performance does not guarantee future performance. Investing involves risk. Principal loss is possible. The Fund’s use of put options can lead to losses because of adverse movements in the price or value of the underlying security, which may be magnified by certain features of the options. The Fund’s use of options may reduce the Fund’s ability to profit from increases in the value of the underlying securities. Derivatives, such as the options in which the Fund invests, can be volatile and involve various types and degrees of risks. Derivatives may entail 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 underlying security, or if the Fund is unable to purchase or liquidate a position because of an illiquid secondary market. Investments in ETFs are subject to additional risks that do not apply to conventional mutual funds, including the risks that the market price of the shares may trade at a discount to the net asset value (“NAV”), an active secondary trading market may not develop or be maintained, or trading may be halted by the exchange in which they trade, which may impact a fund’s ability to sell its shares.

 

Shares of an ETF are bought and sold at market price (rather than NAV) and are not individually redeemed from the fund. Brokerage commissions will reduce returns. Market returns are based on the daily composite close price from all active changes at 4:00pm Eastern Time (when NAV is normally determined for most ETFs), and do not represent the returns you would receive if you traded shares at other times.

 

Must be preceded or accompanied by a prospectus.

 

Fund holdings and sector allocations are subject to change and are not recommendations to buy or sell any security. Please see the Schedule of Investments and Schedule of Written Options for a complete list of Fund holdings.

 

Definitions:

 

S&P 500® Index - a market capitalization weighted index of the 500 largest U.S. publicly traded companies by market value. The total return index is a type of equity index that tracks both the capital gains of a group of stocks over time, and assumes that any cash distributions, such as dividends, are reinvested back into the index.

 

Aptus Capital Advisors, LLC is the adviser to the Aptus Drawdown Managed Equity ETF, which is distributed by Quasar Distributors, LLC.

 

6

 

 

Opus Small Cap Value ETF

 

Shareholder Letter
(Unaudited)

 

 

Dear OSCV Shareholders,

 

Thank you for your investment in the Opus Small Cap Value ETF, referred to herein as “OSCV” or the “Fund”. The information presented in this letter relates to OSCV’s performance from May 1, 2020 through April 30, 2021 (the “current fiscal period”).

 

The Fund is an actively managed exchange-traded fund (“ETF”) that invests, under normal circumstances, at least 80% of its net assets (plus any borrowings for investment purposes) in equity securities of small-capitalization U.S. companies. The Fund defines a small capitalization company as an issuer whose market capitalization at the time of purchase is in the range of those found in the Russell 2000® Index.

 

For the current fiscal period, OSCV was up 62.68% at market and 63.49% at net asset value (“NAV”). Over the same period, the Russell 2000® Value Index was up 78.96%.

 

The largest positive equity contributor to return for the current fiscal period was Ensign Group, Inc., (ENSG) gaining 130.27% and adding 2.60% to the return of OSCV. The second largest contributor was, Western Alliance Bancorp (WAL) gaining 199.65% and adding 2.46% to the return of OSCV. The third largest contributor was, Pool Corporation (POOL) gaining 116.36% and adding 2.18% to the return of OSCV.

 

The largest negative equity contributor to the return for the current fiscal period was, FirstCash, Inc. (FCFS) down 25.37% and detracting 0.37% from the return of OSCV. The second largest negative contributor was, BGSF, Inc. (BGSF) down 21.98% and detracting 0.33% from the return of OSCV. The third largest negative contributor was, Flir Systems, Inc. (FLIR) down 16.81% and detracting 0.27% from the return of OSCV.

 

We are excited about the opportunity to give our investors access to the Opus Small Cap Value ETF. OSCV selects stocks across a variety of sectors and industries by combining factor-based analysis with rigorous fundamental research to identify high-quality, growing companies that are believed to be undervalued. OSCV is focused on three core themes to identify companies: 1. higher quality companies with sound business models, higher returns on equity, strong balance sheets, and shareholder-friendly management, 2. higher growth companies that are well-positioned to grow sales, earnings, cash flows, and dividends, and 3. lower valuation companies whose valuations reflect lower price-to-earnings and higher yields than their peers. OSCV generally sells a stock when the company is no longer believed to be high quality, when its anticipated growth rate has significantly declined, when it is no longer considered undervalued, or when it is no longer considered a small-capitalization company after a significant period of time (e.g., more than one year).

 

We appreciate your interest in OSCV. If we can elaborate on the underlying Opus Small Cap Value strategy, please don’t hesitate to ask as we would love an opportunity to discuss. Thanks again for your interest.

 

Sincerely,

 

JD Gardner
Founder and Managing Member
Aptus Capital Advisors, Adviser to the Fund

 

7

 

 

Opus Small Cap Value ETF

 

Shareholder Letter
(Unaudited) (Continued)

 

 

Past performance does not guarantee future performance. Investing involves risk. Principal loss is possible. The Fund invests in the securities of small-capitalization companies. As a result, the Fund may be more volatile than funds that invest in larger, more established companies. The securities of small capitalization companies generally trade in lower volumes and are subject to greater and more unpredictable price changes than larger capitalization stocks or the stock market as a whole. Small capitalization companies may be particularly sensitive to changes in interest rates, government regulation, borrowing costs and earnings. The value investing style may over time go in and out of favor. At times when the value investing style is out of favor, the Fund may underperform other funds that use different investing styles. Investments in ETFs are subject to additional risks that do not apply to conventional mutual funds, including the risks that the market price of the shares may trade at a discount to the net asset value (“NAV”), an active secondary trading market may not develop or be maintained, or trading may be halted by the exchange in which they trade, which may impact a fund’s ability to sell its shares.

 

Investing involves risk. Principal loss is possible. Shares of an ETF are bought and sold at market price (rather than NAV) and are not individually redeemed from the fund. Brokerage commissions will reduce returns. Market returns are based on the daily composite close price from all active exchanges at 4:00pm Eastern Time (when NAV is normally determined for most ETFs), and do not represent the returns you would receive if you traded shares at other times.

 

Must be preceded or accompanied by a prospectus.

 

Fund holdings and sector allocations are subject to change and are not recommendations to buy or sell any security. Please see the Schedule of Investments for a complete list of Fund holdings.

 

Definitions:

 

Russell 2000® Value Index – The Russell 2000® Value Index measures the performance of Russell 2000® Index companies with lower price-to-book ratios and lower forecasted growth values.

 

Russell 2000® Index – The Russell 2000 index is an index measuring the performance of approximately 2,000 small-cap companies in the Russell 3000 Index, which is made up of 3,000 of the biggest U.S. stocks. The Russell 2000® serves as a benchmark for small-cap stocks in the United States.

 

Return on equity – a measure of financial performance calculated by dividing net income by shareholders’ equity (shareholders’ equity being a company’s assets minus its debt).

 

Cash flow – a measure of a company’s financial performance, calculated as operating cash flow minus capital expenditures.

 

Price-to-earnings – ratio for valuing a company that measures its current share price relative to its per-share earnings.

 

Aptus Capital Advisors, LLC is the adviser to the Opus Small Cap Value ETF, which is distributed by Quasar Distributors, LLC.

 

8

 

 

Aptus Collared Income Opportunity ETF

 

Performance Summary
(Unaudited)

 

 

Growth of $10,000

 

 

Average Annualized Returns
April 30, 2021

1 Year

Since Inception
(7/9/2019)

Aptus Collared Income Opportunity ETF — NAV

24.57%

11.56%

Aptus Collared Income Opportunity ETF — Market

24.50%

11.63%

S&P 500® Index

45.98%

22.73%

 

This chart illustrates the performance of a hypothetical $10,000 investment made on July 9, 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.

 

9

 

 

Aptus Defined Risk ETF

 

Performance Summary
(Unaudited)

 

 

Growth of $10,000

 

 

Average Annualized Returns
April 30, 2021

1 Year

Since Inception
(8/7/2018)

Aptus Defined Risk ETF — NAV

5.62%

10.61%

Aptus Defined Risk ETF — Market

5.22%

10.61%

Bloomberg Barclays US Aggregate Bond Index

-0.27%

5.48%

 

This chart illustrates the performance of a hypothetical $10,000 investment made on August 7, 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.

 

10

 

 

Aptus Drawdown Managed Equity ETF

 

Performance Summary
(Unaudited)

 

 

Growth of $10,000

 

 

Average Annualized Returns
April 30, 2021

1 Year

3 Years

Since Inception
(6/8/2016)

Aptus Drawdown Managed Equity ETF — NAV

28.59%

6.77%

10.05%

Aptus Drawdown Managed Equity ETF — Market

28.57%

6.73%

10.05%

S&P 500® Index

45.98%

18.67%

17.14%

 

This chart illustrates the performance of a hypothetical $10,000 investment made on June 8, 2016 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.

 

11

 

 

Opus Small Cap Value ETF

 

Performance Summary
(Unaudited)

 

 

Growth of $10,000

 

 

Average Annualized Returns
April 30, 2021

1 Year

Since Inception
(7/17/2018)

Opus Small Cap Value ETF — NAV

63.49%

12.37%

Opus Small Cap Value ETF — Market

62.68%

12.28%

Russell 2000® Value Index

78.96%

9.50%

 

This chart illustrates the performance of a hypothetical $10,000 investment made on July 17, 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.

 

12

 

 

Aptus ETFs

 

Portfolio Allocations

As of April 30, 2021 (Unaudited)

 

 

Aptus Collared Income Opportunity ETF

 

Sector

Percentage of
Net Assets

Technology

23.6%

Consumer, Non-cyclical

20.2

Financial

15.7

Communications

13.9

Consumer, Cyclical

12.1

Industrial

5.6

Utilities

3.0

Energy

2.8

Basic Materials

2.6

Purchased Options

0.5

Liabilities in Excess of Other Assets

(0.0) (a)

Total

100.0%

 

(a)

Represents less than 0.05% of net assets.

 

Aptus Defined Risk ETF

 

Sector

Percentage of
Net Assets

Investment Grade Corporate Bonds

90.7%

Purchased Options

4.7

Other Assets in Excess of Liabilities

4.6

Total

100.0%

 

 

13

 

 

Aptus ETFs

 

Portfolio Allocations

As of April 30, 2021 (Unaudited) (Continued)

 

 

Aptus Drawdown Managed Equity ETF

 

Sector

Percentage of
Net Assets

Technology (a)

25.8%

Consumer, Non-cyclical

19.7

Financial

15.1

Communications

13.5

Consumer, Cyclical

10.0

Industrial

7.4

Basic Materials

2.8

Energy

2.8

Utilities

2.1

Purchased Options

0.7

Other Assets in Excess of Liabilities

0.1

Total

100.0%

 

(a)

To the extent that 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 Notes to Financial Statements.

 

Opus Small Cap Value ETF

 

Sector

Percentage of
Net Assets

Financial (a)

29.8%

Consumer, Cyclical

17.6

Industrial

16.6

Consumer, Non-cyclical

14.7

Technology

7.9

Energy

7.4

Utilities

2.5

Basic Materials

1.9

Communications

1.3

Other Assets in Excess of Liabilities

0.3

Total

100.0%

 

(a)

To the extent that 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 Notes to Financial Statements.

 

14

 

 

Aptus Collared Income Opportunity ETF

 

Schedule of Investments
April 30, 2021

 

 

 

Shares

 

Security Description

 

Value

 
     

COMMON STOCKS — 99.5%

       
       

Basic Materials — 2.6%

       
    5,810  

Linde plc (a)

  $ 1,660,731  
    30,520  

Newmont Corporation (a)

    1,904,753  
    5,913  

Sherwin-Williams Company (a)

    1,619,393  
              5,184,877  
       

Communications — 13.9%

       
    3,344  

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

    8,059,441  
    2,378  

Amazon.com, Inc. (a)(b)

    8,245,525  
    35,852  

Comcast Corporation - Class A (a)

    2,013,090  
    14,430  

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

    4,690,904  
    2,490  

Netflix, Inc. (a)(b)

    1,278,540  
    49,725  

Verizon Communications, Inc. (a)

    2,873,608  
    4,908  

Walt Disney Company (a)(b)

    912,986  
              28,074,094  
       

Consumer, Cyclical — 12.1%

       
    7,680  

Costco Wholesale Corporation (a)

    2,857,651  
    6,644  

Darden Restaurants, Inc. (a)

    974,808  
    14,305  

Dollar General Corporation (a)

    3,071,999  
    60,420  

Fastenal Company (a)

    3,158,757  
    10,531  

Home Depot, Inc. (a)

    3,408,569  
    6,135  

Marriott International, Inc. - Class A (a)(b)

    911,170  
    26,379  

Starbucks Corporation (a)

    3,020,132  
    15,465  

Target Corporation (a)

    3,205,276  
    2,075  

Tesla, Inc. (a)(b)

    1,472,088  
    14,220  

United Continental Holdings, Inc. (a)(b)

    773,568  
    11,493  

Walmart, Inc. (a)

    1,607,985  
              24,462,003  
       

Consumer, Non-cyclical — 20.2%

       
    14,945  

Abbott Laboratories (a)

    1,794,596  
    29,170  

AbbVie, Inc. (a)

    3,252,455  
    7,871  

Anthem, Inc. (a)

    2,986,179  
    28,599  

Booz Allen Hamilton Holding Corporation (a)

    2,372,287  
    14,827  

Johnson & Johnson (a)

    2,412,798  
    25,396  

Medtronic plc (a)

    3,324,844  
    27,510  

Merck & Company, Inc. (a)

    2,049,495  
    17,534  

PepsiCo, Inc. (a)

    2,527,701  
    15,985  

Procter & Gamble Company (a)

    2,132,719  
    10,485  

S&P Global, Inc. (a)

    4,093,239  
    8,305  

Stryker Corporation (a)

    2,181,142  
    6,745  

Thermo Fisher Scientific, Inc. (a)

    3,171,701  
    10,295  

UnitedHealth Group, Inc. (a)

    4,105,646  
    11,105  

Verisk Analytics, Inc. (a)

    2,089,961  
    13,600  

Zoetis, Inc. (a)

    2,353,208  
              40,847,971  
       

Energy — 2.8%

       
    21,070  

Chevron Corporation (a)

  2,171,685  
    25,812  

Exxon Mobil Corporation (a)

    1,477,479  
    12,980  

Pioneer Natural Resources Company (a)

    1,996,713  
              5,645,877  
       

Financial — 15.7%

       
    8,510  

American Tower Corporation (a)

    2,168,093  
    63,635  

Bank of America Corporation (a)

    2,579,126  
    11,415  

Berkshire Hathaway, Inc. - Class B (a)(b)

    3,138,554  
    3,884  

BlackRock, Inc. (a)

    3,182,161  
    2,180  

Equinix, Inc. (a)

    1,571,257  
    21,574  

JPMorgan Chase & Company (a)

    3,318,297  
    18,790  

Marsh & McLennan Companies, Inc. (a)

    2,549,803  
    9,550  

Mastercard, Inc. - Class A (a)

    3,648,673  
    19,305  

Progressive Corporation (a)

    1,944,786  
    17,230  

Prologis, Inc. (a)

    2,007,812  
    28,546  

US Bancorp (a)

    1,694,205  
    16,610  

Visa, Inc. - Class A (a)

    3,879,432  
              31,682,199  
       

Industrial — 5.6%

       
    14,628  

Caterpillar, Inc. (a)

    3,336,793  
    9,550  

L3Harris Technologies, Inc. (a)

    1,998,147  
    7,990  

Lockheed Martin Corporation (a)

    3,040,674  
    12,861  

Union Pacific Corporation (a)

    2,856,300  
              11,231,914  
       

Technology — 23.6%

       
    10,614  

Accenture plc - Class A (a)

    3,077,742  
    15,542  

Activision Blizzard, Inc. (a)

    1,417,275  
    18,608  

Analog Devices, Inc. (a)

    2,850,001  
    89,070  

Apple, Inc. (a)

    11,709,142  
    6,135  

Broadcom, Inc. (a)

    2,798,787  
    16,505  

Broadridge Financial Solutions, Inc. (a)

    2,618,188  
    24,600  

Fidelity National Information Services, Inc. (a)

    3,761,340  
    5,623  

Lam Research Corporation (a)

    3,488,790  
    42,141  

Microsoft Corporation (a)

    10,627,117  
    28,960  

Paychex, Inc. (a)

    2,823,311  
    13,291  

Texas Instruments, Inc. (a)

    2,399,159  
              47,570,852  
       

Utilities — 3.0%

       
    15,780  

American Water Works Company, Inc. (a)

    2,461,522  
    46,925  

NextEra Energy, Inc. (a)

    3,637,157  
              6,098,679  
       

TOTAL COMMON STOCKS (Cost $155,902,568)

    200,798,466  

 

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

 

15

 

 

Aptus Collared Income Opportunity ETF

 

Schedule of Investments
April 30, 2021 (Continued)

 

 

 


Contracts

 


Security Description

 

Notional
Amount

   


Value

 
       

PURCHASED OPTIONS (c) — 0.5%

       

Put Options — 0.5%

    400  

S&P 500 Index, Expiration: 05/21/2021, Exercise Price: $4,050.00

  $ 167,246,800     $ 964,000  
       

TOTAL PURCHASED OPTIONS (Cost $1,377,932)

    964,000  
       

Total Investments (Cost $157,280,500) — 100.0%

    201,762,466  
       

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

    (20,530 )
       

TOTAL NET ASSETS — 100.0%

  $ 201,741,936  

 

Percentages are stated as a percent of net assets.

 

(a)

All or a portion of this security is held as collateral for the options written. At April 30, 2021, the value of these securities amount to $200,798,466 or 99.5% of net assets.

(b)

Non-income producing security.

(c)

Exchange traded.

(d)

Represents less than 0.05% of net assets.

 

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

 

16

 

 

Aptus Collared Income Opportunity ETF

 

Schedule of Written Options
April 30, 2021

 

 

 


Contracts

 


Security Description

 

Notional
Amount

   


Value

 
     

WRITTEN OPTIONS (a) — (0.5)%

       

Call Options — (0.4)%

    (149 )

Abbott Laboratories, Expiration: 05/21/2021, Exercise Price: $125.00

  $ (1,789,192 )   $ (8,195 )
    (289 )

AbbVie, Inc., Expiration: 05/21/2021, Exercise Price: $115.00

    (3,222,350 )     (21,964 )
    (105 )

Accenture plc - Class A, Expiration: 05/21/2021, Exercise Price: $300.00

    (3,044,685 )     (14,437 )
    (154 )

Activision Blizzard, Inc., Expiration: 05/07/2021, Exercise Price: $105.00

    (1,404,326 )     (4,004 )
    (33 )

Alphabet, Inc. - Class C, Expiration: 05/21/2021, Exercise Price: $2,600.00

    (7,953,396 )     (5,692 )
    (23 )

Amazon.com, Inc., Expiration: 05/21/2021, Exercise Price: $3,850.00

    (7,975,066 )     (13,512 )
    (84 )

American Tower Corporation, Expiration: 05/21/2021, Exercise Price: $260.00

    (2,140,068 )     (21,210 )
    (156 )

American Water Works Company, Inc., Expiration: 05/21/2021, Exercise Price: $165.00

    (2,433,444 )     (6,630 )
    (184 )

Analog Devices, Inc., Expiration: 05/21/2021, Exercise Price: $175.00

    (2,818,144 )     (3,220 )
    (78 )

Anthem, Inc., Expiration: 05/21/2021, Exercise Price: $390.00

  (2,959,242 )   (29,250 )
    (890 )

Apple, Inc., Expiration: 05/21/2021, Exercise Price: $140.00

    (11,699,940 )     (48,060 )
    (636 )

Bank of America Corporation, Expiration: 05/21/2021, Exercise Price: $43.00

    (2,577,708 )     (14,628 )
    (113 )

Berkshire Hathaway, Inc. - Class B, Expiration: 05/21/2021, Exercise Price: $285.00

    (3,106,935 )     (17,458 )
    (19 )

BlackRock, Inc., Expiration: 05/21/2021, Exercise Price: $840.00

    (1,556,670 )     (14,440 )
    (19 )

BlackRock, Inc., Expiration: 05/21/2021, Exercise Price: $850.00

    (1,556,670 )     (9,595 )
    (61 )

Broadcom, Inc., Expiration: 05/21/2021, Exercise Price: $485.00

    (2,782,820 )     (12,505 )
    (163 )

Broadridge Financial Solutions, Inc., Expiration: 05/21/2021, Exercise Price: $170.00

    (2,585,669 )     (11,817 )

 

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

 

17

 

 

Aptus Collared Income Opportunity ETF

 

Schedule of Written Options
April 30, 2021 (Continued)

 

 

 


Contracts

 


Security Description

 

Notional
Amount

   


Value

 
       

WRITTEN OPTIONS (a) — (0.5)% (Continued)

       

Call Options — (0.4)% (Continued)

    (76 )

Costco Wholesale Corporation, Expiration: 05/21/2021, Exercise Price: $390.00

  $ (2,827,884 )   $ (8,094 )
    (33 )

Darden Restaurants, Inc., Expiration: 05/21/2021, Exercise Price: $155.00

    (484,176 )     (4,042 )
    (32 )

Darden Restaurants, Inc., Expiration: 05/21/2021, Exercise Price: $160.00

    (469,504 )     (2,000 )
    (142 )

Dollar General Corporation, Expiration: 05/21/2021, Exercise Price: $230.00

    (3,049,450 )     (4,970 )
    (143 )

Facebook, Inc. - Class A, Expiration: 05/21/2021, Exercise Price: $350.00

    (4,648,644 )     (15,730 )
    (244 )

Fidelity National Information Services, Inc., Expiration: 05/21/2021, Exercise Price: $165.00

    (3,730,760 )     (30,500 )
    (104 )

Home Depot, Inc., Expiration: 05/21/2021, Exercise Price: $345.00

    (3,366,168 )     (12,168 )
    (214 )

JPMorgan Chase & Company, Expiration: 05/21/2021, Exercise Price: $170.00

    (3,291,534 )     (3,745 )
    (55 )

Lam Research Corporation, Expiration: 05/21/2021, Exercise Price: $700.00

  (3,412,475 )   (9,653 )
    (57 )

Linde plc, Expiration: 05/21/2021, Exercise Price: $310.00

    (1,629,288 )     (14,820 )
    (61 )

Marriott International, Inc. - Class A, Expiration: 05/21/2021, Exercise Price: $165.00

    (905,972 )     (5,155 )
    (187 )

Marsh & McLennan Companies, Inc., Expiration: 05/21/2021, Exercise Price: $135.00

    (2,537,590 )     (44,880 )
    (93 )

Mastercard, Inc. - Class A, Expiration: 05/21/2021, Exercise Price: $410.00

    (3,553,158 )     (11,579 )
    (253 )

Medtronic plc, Expiration: 05/21/2021, Exercise Price: $135.00

    (3,312,276 )     (17,584 )
    (421 )

Microsoft Corporation, Expiration: 05/21/2021, Exercise Price: $265.00

    (10,616,778 )     (37,259 )
    (174 )

PepsiCo, Inc., Expiration: 05/21/2021, Exercise Price: $150.00

    (2,508,384 )     (5,916 )

 

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

 

18

 

 

Aptus Collared Income Opportunity ETF

 

Schedule of Written Options
April 30, 2021 (Continued)

 

 

 


Contracts

 


Security Description

 

Notional
Amount

   


Value

 
       

WRITTEN OPTIONS (a) — (0.5)% (Continued)

       

Call Options — (0.4)% (Continued)

    (129 )

Pioneer Natural Resources Company, Expiration: 05/21/2021, Exercise Price: $170.00

  $ (1,984,407 )   $ (14,513 )
    (95 )

Progressive Corporation, Expiration: 05/21/2021, Exercise Price: $105.00

    (957,030 )     (3,563 )
    (172 )

Prologis, Inc., Expiration: 05/21/2021, Exercise Price: $120.00

    (2,004,316 )     (17,200 )
    (104 )

S&P Global, Inc., Expiration: 05/21/2021, Exercise Price: $410.00

    (4,060,056 )     (12,740 )
    (58 )

Sherwin-Williams Company, Expiration: 05/21/2021, Exercise Price: $290.00

    (1,588,446 )     (5,220 )
    (263 )

Starbucks Corporation, Expiration: 05/21/2021, Exercise Price: $120.00

    (3,011,087 )     (11,835 )
    (82 )

Stryker Corporation, Expiration: 05/21/2021, Exercise Price: $270.00

    (2,153,566 )     (21,115 )
    (153 )

Target Corporation, Expiration: 05/21/2021, Exercise Price: $230.00

    (3,171,078 )     (14,611 )
    (20 )

Tesla, Inc., Expiration: 05/21/2021, Exercise Price: $750.00

    (1,418,880 )     (35,750 )
    (142 )

United Airlines Holdings, Inc., Expiration: 05/21/2021, Exercise Price: $60.00

    (772,480 )     (7,242 )
    (102 )

UnitedHealth Group, Inc., Expiration: 05/21/2021, Exercise Price: $410.00

    (4,067,760 )     (33,507 )
    (283 )

US Bancorp, Expiration: 05/21/2021, Exercise Price: $61.00

    (1,679,605 )     (19,810 )
    (48 )

Walt Disney Company, Expiration: 05/21/2021, Exercise Price: $210.00

    (892,896 )     (3,240 )
                      (685,058 )
       

Put Options — (0.1)%

               
    (300 )

S&P 500 Index, Expiration: 05/21/2021, Exercise Price: $3,850.00

    (125,435,100 )     (243,000 )
       

TOTAL WRITTEN OPTIONS (Premiums Received $1,214,858)

  $ (928,058 )

 

(a)

Exchange traded.

 

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

 

19

 

 

Aptus Defined Risk ETF

 

Schedule of Investments
April 30, 2021

 

 

 


Shares

 


Security Description

 


Value

 
       

EXCHANGE TRADED FUNDS — 90.7% (a)

       

Investment Grade Corporate Bonds — (90.7%)

    2,662,662  

Invesco BulletShares 2021 Corporate Bond ETF

  $ 56,208,795  
    3,336,032  

iShares iBonds Dec 2021 Term Corporate ETF (c)

    82,766,954  
    4,168,857  

iShares iBonds Dec 2022 Term Corporate ETF (c)

    106,139,099  
    5,640,486  

iShares iBonds Dec 2023 Term Corporate ETF (c)

    147,385,899  
    3,862,394  

iShares iBonds Dec 2024 Term Corporate ETF (c)

    102,102,385  
    3,733,859  

iShares iBonds Dec 2025 Term Corporate ETF (c)

    100,739,516  
       

TOTAL EXCHANGE TRADED FUNDS (Cost $593,911,756)

    595,342,648  
 


Contracts

     

Notional
Amount

         
       

PURCHASED OPTIONS (b) — 4.7%

       

Call Options — 4.0%

    195  

Alphabet, Inc. - Class A, Expiration: 08/20/2021, Exercise Price: $2,400.00

  $ 45,893,250       2,208,375  
    150  

Amazon.com, Inc., Expiration: 08/20/2021, Exercise Price: $3,600.00

    52,011,300       2,400,750  
    2,100  

Apple, Inc., Expiration: 08/20/2021, Exercise Price: $135.00

    27,606,600       1,349,250  
    11,000  

Energy Select Sector SPDR Fund, Expiration: 08/20/2021, Exercise Price: $53.00

    54,329,000       1,892,000  
    10,000  

Financial Select Sector SPDR Fund, Expiration: 05/21/2021, Exercise Price: $37.00

    36,260,000       300,000  
    19,500  

Financial Select Sector SPDR Fund, Expiration: 08/20/2021, Exercise Price: $38.00

  70,707,000       1,530,750  
    4,250  

Materials Select Sector SPDR Fund, Expiration: 06/18/2021, Exercise Price: $83.00

    35,292,000       1,134,750  
    1,700  

Microsoft Corporation, Expiration: 08/20/2021, Exercise Price: $255.00

    42,870,600       2,086,750  
    5,000  

Raytheon Technologies Corporation, Expiration: 08/20/2021, Exercise Price: $85.00

    41,620,000       1,750,000  
    2,500  

SPDR S&P Metals & Mining ETF, Expiration: 06/18/2021, Exercise Price: $42.00

    10,115,000       400,000  
    4,000  

SPDR S&P Regional Banking ETF, Expiration: 08/20/2021, Exercise Price: $70.00

    27,356,000       1,298,000  
    4,500  

T-Mobile US, Inc., Expiration: 07/16/2021, Exercise Price: $135.00

    59,458,500       2,081,250  
    1,500  

UnitedHealth Group, Inc., Expiration: 08/20/2021, Exercise Price: $400.00

    59,820,000       2,913,750  

 

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

 

20

 

 

Aptus Defined Risk ETF

 

Schedule of Investments
April 30, 2021 (Continued)

 

 

 


Contracts

 


Security Description

 

Notional
Amount

   


Value

 
       

PURCHASED OPTIONS (b) — 4.7% (Continued)

       

Call Options — 4.0% (Continued)

    5,000  

VanEck Vectors Gold Miners ETF, Expiration: 06/18/2021, Exercise Price: $38.00

  $ 17,180,000     $ 232,500  
    1,300  

VanEck Vectors Semiconductor ETF, Expiration: 08/20/2021, Exercise Price: $250.00

    31,590,000       1,524,250  
    1,500  

Visa, Inc. - Class A, Expiration: 07/16/2021, Exercise Price: $235.00

    35,034,000       1,271,250  
    3,600  

Walmart, Inc., Expiration: 07/16/2021, Exercise Price: $140.00

    50,367,600       1,791,000  
                      26,164,625  
       

Put Options — 0.7%

               
    2,770  

Invesco QQQ Trust Series 1, Expiration: 06/18/2021, Exercise Price: $335.00

    93,623,230       2,502,695  
    2,000  

iShares 20+ Year Treasury Bond ETF, Expiration: 05/21/2021, Exercise Price: $138.00

    27,728,000       320,000  
    1,500  

iShares iBoxx $ Investment Grade Corporate Bond ETF, Expiration: 05/21/2021, Exercise Price: $129.00

    19,672,500       45,000  
    210  

S&P 500 Index, Expiration: 06/18/2021, Exercise Price: $4,140.00

    87,804,570     1,673,700  
                      4,541,395  
       

TOTAL PURCHASED OPTIONS (Cost $31,317,059)

    30,706,020  
       

Total Investments (Cost $625,228,815) — 95.4%

    626,048,668  
       

Other Assets in Excess of Liabilities — 4.6%

    30,314,806  
       

TOTAL NET ASSETS — 100.0%

  $ 656,363,474  

 

Percentages are stated as a percent of net assets.

 

(a)

The risks of investing in investment companies, such as the underlying ETFs, typically reflect the risks of the types of investments in which the investment companies invest. See Note 9 in Notes to Financial Statements.

(b)

Exchange traded.

(c)

Affiliated Exchange Traded Fund. See Note 5 in Notes to Financial Statements.

 

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

 

21

 

 

Aptus Defined Risk ETF

 

Schedule of Written Options
April 30, 2021

 

 

 


Contracts

 


Security Description

 

Notional
Amount

   


Value

 
       

WRITTEN OPTIONS (a) — (0.3)%

       

Call Options — (0.3)%

    (85 )

Alphabet, Inc. - Class A, Expiration: 08/20/2021, Exercise Price: $2,700.00

  $ (20,004,750 )   $ (255,425 )
    (65 )

Amazon.com, Inc., Expiration: 08/20/2021, Exercise Price: $3,900.00

    (22,538,230 )     (476,450 )
    (1,700 )

Microsoft Corporation, Expiration: 08/20/2021, Exercise Price: $300.00

    (42,870,600 )     (274,550 )
    (2,250 )

T-Mobile US, Inc., Expiration: 07/16/2021, Exercise Price: $150.00

    (29,729,250 )     (211,500 )
    (1,500 )

UnitedHealth Group, Inc., Expiration: 08/20/2021, Exercise Price: $440.00

    (59,820,000 )     (866,250 )
    (5,000 )

VanEck Vectors Gold Miners ETF, Expiration: 06/21/2021, Exercise Price: $43.00

    (17,180,000 )     (47,500 )
                      (2,131,675 )
       

Put Options — (0.0)% (b)

    (1,500 )

iShares iBoxx $ Investment Grade Corporate Bond ETF, Expiration: 05/21/2021, Exercise Price: $123.00

  (19,672,500 )     (18,750 )
       

TOTAL WRITTEN OPTIONS (Premiums Received $1,708,900)

  $ (2,150,425 )

 

(a)

Exchange traded.

(b)

Represents less than 0.05% of net assets.

 

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

 

22

 

 

Aptus Drawdown Managed Equity ETF

 

Schedule of Investments
April 30, 2021

 

 

 


Shares

 


Security Description

 


Value

 
       

COMMON STOCKS — 99.2%

       
       

Basic Materials — 2.8%

       
    3,936  

Linde plc

  $ 1,125,066  
    27,054  

Newmont Corporation

    1,688,440  
    12,417  

Rio Tinto plc - ADR

    1,056,190  
    8,763  

Sherwin-Williams Company

    2,399,923  
              6,269,619  
       

Communications — 13.5%

       
    3,651  

Alphabet, Inc. - Class C (a)

    8,799,348  
    2,648  

Amazon.com, Inc. (a)

    9,181,728  
    427  

Booking Holdings, Inc. (a)

    1,053,016  
    32,490  

Comcast Corporation - Class A

    1,824,314  
    15,020  

Facebook, Inc. - Class A (a)

    4,882,702  
    6,651  

Netflix, Inc. (a)

    3,415,089  
    1,223  

Trade Desk, Inc. - Class A (a)

    891,946  
              30,048,143  
       

Consumer, Cyclical — 10.0%

       
    840  

AutoZone, Inc. (a)

    1,229,861  
    30,534  

Carnival Corporation (a)

    853,731  
    17,963  

Dollar General Corporation

    3,857,554  
    4,438  

Domino’s Pizza, Inc.

    1,874,345  
    10,813  

Hilton Worldwide Holdings, Inc. (a)

    1,391,633  
    6,504  

Home Depot, Inc.

    2,105,150  
    564  

NVR, Inc. (a)

    2,830,208  
    8,106  

Pool Corporation

    3,424,947  
    1,741  

Tesla, Inc. (a)

    1,235,135  
    19,062  

United Continental Holdings, Inc. (a)

    1,036,973  
    10,149  

Walmart, Inc.

    1,419,946  
    8,157  

Wynn Resorts, Ltd. (a)

    1,047,359  
              22,306,842  
       

Consumer, Non-cyclical — 19.7%

       
    30,707  

Abbott Laboratories

    3,687,297  
    14,985  

Amgen, Inc.

    3,591,005  
    5,600  

Chemed Corporation

    2,669,016  
    5,933  

Cintas Corporation

    2,047,716  
    1,333  

CoStar Group, Inc. (a)

    1,138,955  
    25,064  

Edwards Lifesciences Corporation (a)

    2,394,113  
    8,175  

Eli Lilly & Company

    1,494,145  
    4,416  

Intuitive Surgical, Inc. (a)

    3,819,840  
    20,132  

Johnson & Johnson

    3,276,080  
    11,748  

PayPal Holdings, Inc. (a)

    3,081,383  
    21,110  

PepsiCo, Inc.

    3,043,218  
    15,773  

Procter & Gamble Company

    2,104,434  
    12,071  

ResMed, Inc.

    2,268,986  
    6,519  

S&P Global, Inc.

    2,544,952  
    4,391  

Thermo Fisher Scientific, Inc.

    2,064,780  
    11,610  

UnitedHealth Group, Inc.

    4,630,068  
              43,855,988  
       

Energy — 2.8%

       
    13,532  

Chevron Corporation

    1,394,743  
    15,685  

EOG Resources, Inc.

    1,155,043  
    28,209  

Exxon Mobil Corporation

    1,614,683  
    12,697  

Pioneer Natural Resources Company

    1,953,180  
              6,117,649  
       

Financial — 15.1%

       
    13,999  

American Tower Corporation

    3,566,525  
    60,386  

Bank of America Corporation

    2,447,445  
    12,330  

Berkshire Hathaway, Inc. - Class B (a)

    3,390,133  
    30,943  

Charles Schwab Corporation

    2,178,387  
    9,319  

Chubb, Ltd.

    1,599,047  
    12,091  

First Republic Bank/CA

    2,215,555  
    91,713  

Host Hotels & Resorts, Inc. (a)

    1,665,508  
    25,091  

JPMorgan Chase & Company

    3,859,247  
    11,098  

Mastercard, Inc. - Class A

    4,240,102  
    7,249  

PNC Financial Services Group, Inc.

    1,355,200  
    6,832  

Sun Communities, Inc.

    1,139,783  
    21,818  

Tradeweb Markets, Inc. - Class A

    1,773,367  
    17,898  

Visa, Inc. - Class A

    4,180,257  
              33,610,556  
       

Industrial — 7.4%

       
    44,716  

Carrier Global Corporation

    1,948,723  
    15,569  

Caterpillar, Inc.

    3,551,445  
    8,196  

FedEx Corporation

    2,379,381  
    8,723  

Lockheed Martin Corporation

    3,319,625  
    38,462  

Otis Worldwide Corporation

    2,995,036  
    14,307  

Raytheon Technologies Corporation

    1,190,915  
    4,528  

Union Pacific Corporation

    1,005,623  
              16,390,748  
       

Technology — 25.8% (b)

       
    6,288  

Accenture plc - Class A

    1,823,331  
    5,953  

Adobe, Inc. (a)

    3,026,148  
    98,452  

Apple, Inc.

    12,942,500  
    4,993  

ASML Holding NV - NY

    3,235,963  
    16,161  

Entegris, Inc.

    1,819,405  
    24,239  

Fidelity National Information Services, Inc.

    3,706,143  
    5,982  

Lam Research Corporation

    3,711,532  
    47,096  

Microsoft Corporation

    11,876,669  
    5,002  

MSCI, Inc.

    2,429,822  
    5,630  

NVIDIA Corporation

    3,380,139  

 

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

 

23

 

 

Aptus Drawdown Managed Equity ETF

 

Schedule of Investments
April 30, 2021 (Continued)

 

 

 


Shares

 


Security Description

 


Value

 
       

COMMON STOCKS — 99.2% (Continued)

       

Technology — 25.8% (b) (Continued)

    22,868  

Oracle Corporation

  $ 1,733,166  
    7,434  

Roper Technologies, Inc.

    3,318,835  
    6,105  

salesforce.com, Inc. (a)

    1,406,104  
    1,941  

ServiceNow, Inc. (a)

    982,864  
    11,526  

Take-Two Interactive Software, Inc. (a)

    2,021,430  
              57,414,051  
       

Utilities — 2.1%

       
    8,909  

American Water Works Company, Inc.

    1,389,715  
    42,368  

NextEra Energy, Inc.

    3,283,944  
              4,673,659  
       

TOTAL COMMON STOCKS (Cost $163,780,368)

    220,687,255  

 


Contracts

 

 

Notional
Amount

   

 
       

PURCHASED OPTIONS (c) — 0.7%

       

Call Options — 0.1%

    2,250  

Cboe Volatility Index, Expiration: 05/19/2021, Exercise Price: $25.00

  $ 4,187,250       247,500  
                         
       

Put Options — 0.6%

               
    1,500  

Invesco QQQ Trust Series 1, Expiration: 05/21/2021, Exercise Price: $335.00

    50,698,500       785,250  
    200  

S&P 500 Index, Expiration: 05/21/2021, Exercise Price: $4,050.00

    83,623,400       482,000  
                      1,267,250  
       

TOTAL PURCHASED OPTIONS (Cost $2,009,623)

    1,514,750  
       

Total Investments (Cost $165,789,991) — 99.9%

    222,202,005  
       

Other Assets in Excess of Liabilities — 0.1%

    131,370  
       

TOTAL NET ASSETS — 100.0%

  $ 222,333,375  

 

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 Notes to Financial Statements.

(c)

Exchange traded.

 

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

 

24

 

 

Aptus Drawdown Managed Equity ETF

 

Schedule of Written Options
April 30, 2021

 

 

 


Contracts

 


Security Description

 

Notional
Amount

   


Value

 
       

WRITTEN OPTIONS (a) — (0.1)%

       

Call Options — (0.0)% (b)

    (1,500 )

Cboe Volatility Index, Expiration: 05/19/2021, Exercise Price: $50.00

  $ (2,791,500 )   $ (33,750 )
                         
       

Put Options — (0.1)%

    (1,100 )

Invesco QQQ Trust Series 1, Expiration: 05/21/2021, Exercise Price: $315.00

    (37,178,900 )     (152,350 )
    (170 )

S&P 500 Index, Expiration: 05/21/2021, Exercise Price: $3,850.00

    (71,079,890 )     (137,700 )
                      (290,050 )
       

TOTAL WRITTEN OPTIONS (Premiums Received $551,726)

  $ (323,800 )

 

(a)

Exchange traded.

(b)

Represents less than 0.05% of net assets.

 

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

 

25

 

 

Opus Small Cap Value ETF

 

Schedule of Investments
April 30, 2021

 

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.7%

       
       

Basic Materials — 1.9%

       
    6,966  

Reliance Steel & Aluminum Company

  $ 1,116,719  
    27,972  

Valvoline, Inc.

    878,321  
              1,995,040  
       

Communications — 1.3%

       
    43,290  

AudioCodes, Ltd.

    1,333,765  
                 
       

Consumer, Cyclical — 17.6%

       
    3,412  

Allegiant Travel Company (a)

    804,311  
    23,135  

Boyd Gaming Corporation (a)

    1,530,380  
    6,865  

Churchill Downs, Inc.

    1,451,947  
    10,591  

Columbia Sportswear Company

    1,154,525  
    15,868  

Dolby Laboratories, Inc. - Class A

    1,610,126  
    32,852  

Interface, Inc.

    421,820  
    1,390  

Lithia Motors, Inc. - Class A

    534,288  
    5,064  

Marriott Vacations Worldwide Corporation (a)

    899,518  
    21,911  

MDC Holdings, Inc.

    1,285,299  
    3,628  

Pool Corporation

    1,532,903  
    10,665  

RCI Hospitality Holdings, Inc.

    776,519  
    26,744  

Ruth’s Hospitality Group, Inc. (a)

    698,286  
    13,350  

Six Flags Entertainment Corporation (a)

    627,183  
    16,691  

SkyWest, Inc. (a)

    828,875  
    11,766  

Texas Roadhouse, Inc.

    1,259,197  
    9,767  

Travel + Leisure Company

    630,265  
    6,530  

Watsco, Inc.

    1,912,376  
    35,678  

Wendy’s Company

    805,252  
              18,763,070  
       

Consumer, Non-cyclical — 14.7%

       
    17,000  

Booz Allen Hamilton Holding Corporation

    1,410,150  
    4,903  

Chemed Corporation

    2,336,819  
    16,770  

Encompass Health Corporation

    1,423,102  
    23,148  

Ensign Group, Inc.

    1,987,256  
    27,642  

EVERTEC, Inc.

    1,102,916  
    10,253  

Hill-Rom Holdings, Inc.

    1,130,085  
    18,428  

ICF International, Inc.

    1,678,054  
    32,158  

Kforce, Inc.

    1,802,134  
    28,014  

Turning Point Brands, Inc.

    1,367,643  
    12,886  

U.S. Physical Therapy, Inc.

    1,449,031  
              15,687,190  
       

Energy — 7.4%

       
    53,286  

Atlantica Sustainable Infrastructure plc

    2,054,175  
    70,599  

Brigham Minerals, Inc. - Class A

    1,210,067  
    181,642  

Falcon Minerals Corporation

    806,491  
    43,104  

Helmerich & Payne, Inc.

    1,104,756  
    17,840  

NextEra Energy Partners LP

    1,329,972  
    929  

Texas Pacific Land Corporation

    1,430,799  
              7,936,260  
       

Financial — 29.8% (b)

       
    37,754  

Americold Realty Trust

    1,524,884  
    31,781  

CareTrust REIT, Inc.

    768,465  
    52,776  

City Office REIT, Inc.

    576,842  
    15,966  

Community Healthcare Trust, Inc.

    812,989  
    13,206  

CyrusOne, Inc.

    961,793  
    8,683  

EastGroup Properties, Inc.

    1,377,645  
    17,417  

Enterprise Financial Services Corporation

    855,697  
    47,998  

Essential Properties Realty Trust, Inc.

    1,257,068  
    13,218  

First Interstate BancSystem, Inc. - Class A

    620,849  
    26,740  

Four Corners Property Trust, Inc.

    771,984  
    34,000  

German American Bancorp, Inc.

    1,473,220  
    22,864  

Hannon Armstrong Sustainable Infrastructure Capital, Inc.

    1,198,074  
    8,127  

Hanover Insurance Group, Inc.

    1,124,045  
    6,603  

Hingham Institution for Savings

    2,008,236  
    27,348  

Home BancShares, Inc./AR

    761,095  
    17,913  

Independent Bank Corporation

    1,467,075  
    58,194  

Ladder Capital Corporation

    691,927  
    23,739  

Lakeland Financial Corporation

    1,548,495  
    25,418  

National Storage Affiliates Trust

    1,154,994  
    20,258  

NexPoint Residential Trust, Inc.

    1,016,141  
    23,034  

Preferred Bank

    1,509,648  
    6,358  

Primerica, Inc.

    1,015,818  
    24,222  

ServisFirst Bancshares, Inc.

    1,531,799  
    24,460  

Stock Yards Bancorp, Inc.

    1,251,374  
    22,651  

Washington Trust Bancorp, Inc.

    1,156,333  
    62,721  

West BanCorp, Inc.

    1,647,053  
    16,276  

Western Alliance Bancorp

    1,710,119  
              31,793,662  
       

Industrial — 16.6%

       
    10,965  

AptarGroup, Inc.

    1,653,632  
    28,156  

Arcosa, Inc.

    1,697,525  
    7,869  

Carlisle Companies, Inc.

    1,508,094  
    15,242  

Comfort Systems USA, Inc.

    1,255,331  
    18,784  

Forward Air Corporation

    1,658,439  
    7,224  

Hubbell, Inc.

    1,387,080  
    9,546  

Kadant, Inc.

    1,699,475  
    19,900  

Owens Corning

    1,926,519  
    11,801  

Tetra Tech, Inc.

    1,506,162  

 

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

 

26

 

 

Opus Small Cap Value ETF

 

Schedule of Investments
April 30, 2021 (Continued)

 

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.7% (Continued)

       

Industrial — 16.6% (Continued)

       
    15,127  

Toro Company

  $ 1,733,554  
    19,905  

UFP Industries, Inc.

    1,672,816  
              17,698,627  
       

Technology — 7.9%

       
    19,304  

Entegris, Inc.

    2,173,244  
    89,412  

Magic Software Enterprises, Ltd.

    1,465,463  
    8,789  

MKS Instruments, Inc.

    1,574,198  
    47,888  

Sapiens International Corporation NV

    1,549,656  
    16,657  

TTEC Holdings, Inc.

    1,694,516  
              8,457,077  
       

Utilities — 2.5%

       
    83,513  

Algonquin Power & Utilities Corporation

    1,347,900  
    22,400  

California Water Service Group

    1,316,000  
              2,663,900  
       

TOTAL COMMON STOCKS (Cost $84,223,817)

    106,328,591  
       

Total Investments (Cost $84,223,817) — 99.7%

    106,328,591  
       

Other Assets in Excess of Liabilities — 0.3%

    331,285  
       

TOTAL NET ASSETS — 100.0%

  $ 106,659,876  

 

Percentages are stated as a percent of net assets.

 

(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 Notes to Financial Statements.

 

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

 

27

 

 

Aptus ETFs

 

Statements of Assets and Liabilities

April 30, 2021

 

 

   

Aptus Collared
Income
Opportunity ETF

   

Aptus Defined
Risk ETF

   

Aptus Drawdown
Managed
Equity ETF

   

Opus Small Cap
Value ETF

 

ASSETS

                               

Investments in unaffiliated securities, at value*

  $ 201,762,466     $ 86,914,815     $ 222,202,005     $ 106,328,591  

Investments in affiliated securities, at value*

          539,133,853              

Cash

    342,762       20,483,331       160,857       340,451  

Restricted cash for options

    391,253                    

Receivable for securities sold

          9,086,425       331,531        

Receivable for capital shares sold

                      835,930  

Dividends receivable

    178,359             74,109       52,153  

Deposit at broker for options

    122,683       10,864,758       28,968        

Total assets

    202,797,523       666,483,182       222,797,470       107,557,125  
                                 

LIABILITIES

                               

Written options, at value (premiums received, $1,214,858, $1,708,900, $551,726 and $0)

    928,058       2,150,425       323,800        

Payable for securities purchased

          7,605,192             830,601  

Management fees payable

    127,529       364,091       140,295       66,648  

Total liabilities

    1,055,587       10,119,708       464,095       897,249  
                                 

NET ASSETS

  $ 201,741,936     $ 656,363,474     $ 222,333,375     $ 106,659,876  
                                 

Net Assets Consist of:

                               

Paid-in capital

  $ 175,001,026     $ 643,375,843     $ 209,910,453     $ 88,085,705  

Total distributable earnings (accumulated deficit)

    26,740,910       12,987,631       12,422,922       18,574,171  

Net assets

  $ 201,741,936     $ 656,363,474     $ 222,333,375     $ 106,659,876  
                                 

Net Asset Value:

                               

Net assets

  $ 201,741,936     $ 656,363,474     $ 222,333,375     $ 106,659,876  

Shares outstanding^

    6,800,000       22,350,000       5,741,755       3,225,000  

Net asset value, offering and redemption price per share

  $ 29.67     $ 29.37     $ 38.72     $ 33.07  
                                 

* Identified Cost:

                               

Investments in unaffiliated securities

  $ 157,280,500     $ 87,955,004     $ 165,789,991     $ 84,223,817  

Investments in affiliated securities

          537,273,811              

 

^

No par value, unlimited number of shares authorized.

 

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

 

28

 

 

Aptus ETFs

 

Statements of Operations

For the Year Ended April 30, 2021

 

 

   

Aptus Collared
Income
Opportunity ETF

   

Aptus Defined
Risk ETF

   

Aptus Drawdown
Managed
Equity ETF

   

Opus Small Cap
Value ETF

 

INCOME

                               

Dividends from unaffiliated investments (1)

  $ 2,782,356     $ 1,332,063     $ 1,906,251     $ 1,011,988  

Dividends from affiliated investments

          7,028,721              

Total investment income

    2,782,356       8,360,784       1,906,251       1,011,988  
                                 

EXPENSES

                               

Management fees

    1,231,736       3,267,559       1,395,458       511,449  

Interest expense

    1,135       28,011       599        

Total expenses

    1,232,871       3,295,570       1,396,057       511,449  

Net investment income (loss)

    1,549,485       5,065,214       510,194       500,539  
                                 

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

                               

Net realized gain (loss) on:

                               

Investments in unaffiliated securities

    (19,168,013 )     14,315,331       (16,461,019 )     4,133,180  

Investments in affiliated securities

          683,321              

Capital gain distributions from unaffiliated underlying exchange traded funds

          107,910              

Capital gain distributions from affiliated underlying exchange traded funds

          73,181              

Written options

    9,078,365       94,130       11,867,181        
                                 

Change in unrealized appreciation (depreciation) on:

                               

Investments in unaffiliated securities

    43,574,339       (2,244,727 )     47,428,684       27,115,173  

Investments in affiliated securities

          87,160              

Written options

    (1,230,864 )     (441,525 )     464,157        

Net realized and unrealized gain (loss) on investments

    32,253,827       12,674,781       43,299,003       31,248,353  

Net increase (decrease) in net assets resulting from operations

  $ 33,803,312     $ 17,739,995     $ 43,809,197     $ 31,748,892  

 

(1)

Net of foreign taxes withheld of $0, $0, $1,458 and $20,501, respectively.

 

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

 

29

 

 

Aptus Collared Income Opportunity ETF

 

Statements of Changes in Net Assets

 

 

   

Year Ended
April 30, 2021

   

Period Ended
April 30, 2020
(1)

 

OPERATIONS

               

Net investment income (loss)

  $ 1,549,485     $ 1,626,943  

Net realized gain (loss) on investments and written options

    (10,089,648 )     (5,899,827 )

Change in unrealized appreciation (depreciation) on investments and written options

    42,343,475       2,425,291  

Net increase (decrease) in net assets resulting from operations

    33,803,312       (1,847,593 )
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Net distributions to shareholders

    (1,454,907 )     (1,518,391 )

Total distributions to shareholders

    (1,454,907 )     (1,518,391 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    65,756,530       116,335,650  

Payments for shares redeemed

    (9,332,665 )      

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

    56,423,865       116,335,650  

Net increase (decrease) in net assets

  $ 88,772,270     $ 112,969,666  
                 

NET ASSETS

               

Beginning of year/period

  $ 112,969,666     $  

End of year/period

  $ 201,741,936     $ 112,969,666  

 

(a)

A summary of capital share transactions is as follows:

 

   

Shares

   

Shares

 

Subscriptions

    2,450,000       4,700,000  

Redemptions

    (350,000 )      

Net increase (decrease)

    2,100,000       4,700,000  

 

(1)

Fund commenced operations on July 9, 2019. The information presented is for the period from July 9, 2019 to April 30, 2020.

 

 

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

 

30

 

 

Aptus Defined Risk ETF

 

Statements of Changes in Net Assets

 

 

   

Year Ended
April 30, 2021

   

Year Ended
April 30, 2020

 

OPERATIONS

               

Net investment income (loss)

  $ 5,065,214     $ 3,281,911  

Net realized gain (loss) on investments and written options

    15,273,873       19,665,686  

Change in unrealized appreciation (depreciation) on investments and written options

    (2,599,092 )     551,982  

Net increase (decrease) in net assets resulting from operations

    17,739,995       23,499,579  
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Net distributions to shareholders

    (27,066,131 )     (5,108,936 )

Total distributions to shareholders

    (27,066,131 )     (5,108,936 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    425,007,540       139,592,880  

Payments for shares redeemed

    (19,346,640 )     (2,649,850 )

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

    405,660,900       136,943,030  

Net increase (decrease) in net assets

  $ 396,334,764     $ 155,333,673  
                 

NET ASSETS

               

Beginning of year

  $ 260,028,710     $ 104,695,037  

End of year

  $ 656,363,474     $ 260,028,710  

 

(a)

A summary of capital share transactions is as follows:

 

   

Shares

   

Shares

 

Subscriptions

    14,150,000       5,000,000  

Redemptions

    (650,000 )     (100,000 )

Net increase (decrease)

    13,500,000       4,900,000  

 

 

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

 

31

 

 

Aptus Drawdown Managed Equity ETF

 

Statements of Changes in Net Assets

 

 

   

Year Ended
April 30, 2021

   

Year Ended
April 30, 2020

 

OPERATIONS

               

Net investment income (loss)

  $ 510,194     $ 820,895  

Net realized gain (loss) on investments and written options

    (4,593,838 )     (3,873,335 )

Change in unrealized appreciation (depreciation) on investments and written options

    47,892,841       4,899,298  

Net increase (decrease) in net assets resulting from operations

    43,809,197       1,846,858  
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Dividends from net investment income

    (604,958 )     (807,008 )

Return of capital

    (49,223 )      

Total distributions to shareholders

    (654,181 )     (807,008 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    58,663,075       86,081,430  

Proceeds from shares issued in connection with reorganization (1)

          28,903,875  

Payments for shares redeemed

    (10,734,185 )     (54,841,165 )

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

    47,928,890       60,144,140  

Net increase (decrease) in net assets

  $ 91,083,906     $ 61,183,990  
                 

NET ASSETS

               

Beginning of year

  $ 131,249,469     $ 70,065,479  

End of year

  $ 222,333,375     $ 131,249,469  

 

(a)

A summary of capital share transactions is as follows:

 

   

Shares

   

Shares

 

Subscriptions

    1,700,000       2,850,000  

Shares issued in connection with reorganization (1)

          941,755  

Redemptions

    (300,000 )     (1,800,000 )

Net increase (decrease)

    1,400,000       1,991,755  

 

(1)

Shares of Aptus Fortified Value ETF converted into shares of the Fund on December 27, 2019.

 

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

 

32

 

 

Opus Small Cap Value ETF

 

Statements of Changes in Net Assets

 

 

   

Year Ended
April 30, 2021

   

Year Ended
April 30, 2020

 

OPERATIONS

               

Net investment income (loss)

  $ 500,539     $ 958,963  

Net realized gain (loss) on investments

    4,133,180       (3,582,828 )

Change in unrealized appreciation (depreciation) on investments

    27,115,173       (6,332,849 )

Net increase (decrease) in net assets resulting from operations

    31,748,892       (8,956,714 )
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Dividends from net investment income

    (500,479 )     (1,046,349 )

Return of capital

    (88,541 )     (99,490 )

Total distributions to shareholders

    (589,020 )     (1,145,839 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    34,911,667       37,380,300  

Payments for shares redeemed

    (3,804,595 )     (29,762,332 )

Transaction fees (Note 8)

          548  

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

    31,107,072       7,618,516  

Net increase (decrease) in net assets

  $ 62,266,944     $ (2,484,037 )
                 

NET ASSETS

               

Beginning of year

  $ 44,392,932     $ 46,876,969  

End of year

  $ 106,659,876     $ 44,392,932  

 

(a)

A summary of capital share transactions is as follows:

 

   

Shares

   

Shares

 

Subscriptions

    1,225,000       1,475,000  

Redemptions

    (175,000 )     (1,175,000 )

Net increase (decrease)

    1,050,000       300,000  

 

 

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

 

33

 

 

Aptus Collared Income Opportunity ETF

 

Financial Highlights

For a capital share outstanding throughout the year/period

 

 

   

Year
Ended
April 30,
2021

   

Period
Ended
April 30,
2020
(1)

 

Net asset value, beginning of year/period

  $ 24.04     $ 25.00  
                 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

               

Net investment income (loss) (2)

    0.27       0.49  

Net realized and unrealized gain (loss) on investments

    5.61       (1.01 )

Total from investment operations

    5.88       (0.52 )
                 

DISTRIBUTIONS TO SHAREHOLDERS:

               

Distributions from:

               

Net investment income

    (0.25 )     (0.44 )

Total distributions

    (0.25 )     (0.44 )

Net asset value, end of year/period

  $ 29.67     $ 24.04  

Total return

    24.57 %     -2.14 %(3)
                 

SUPPLEMENTAL DATA:

               

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

  $ 201,742     $ 112,970  
                 

RATIOS TO AVERAGE NET ASSETS:

               

Expenses to average net assets

    0.79 %     0.79 %(4)

Net investment income (loss) to average net assets

    0.99 %     2.46 %(4)

Portfolio turnover rate (5)

    46 %     170 %(3)

 

(1)

Commencement of operations on July 9, 2019.

(2)

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

(3)

Not annualized.

(4)

Annualized.

(5)

Excludes the impact of in-kind transactions.

 

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

 

34

 

 

Aptus Defined Risk ETF

 

Financial Highlights
For a capital share outstanding throughout the year/period

 

 

   

Year
Ended
April 30,
2021

   

Year
Ended
April 30,
2020

   

Period
Ended
April 30,
2019
(1)

 

Net asset value, beginning of year/period

  $ 29.38     $ 26.51     $ 25.00  
                         

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

                       

Net investment income (loss) (2)(3)

    0.32       0.55       0.35  

Net realized and unrealized gain (loss) on investments

    1.31 (4)      3.14       1.90  

Total from investment operations

    1.63       3.69       2.25  
                         

DISTRIBUTIONS TO SHAREHOLDERS:

                       

Distributions from:

                       

Net investment income

    (0.33 )     (0.50 )     (0.27 )

Net realized gain

    (1.31 )     (0.32 )     (0.47 )

Total distributions

    (1.64 )     (0.82 )     (0.74 )

Net asset value, end of year/period

  $ 29.37     $ 29.38     $ 26.51  

Total return

    5.62 %     14.12 %     9.23 %(5)
                         

SUPPLEMENTAL DATA:

                       

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

  $ 656,363     $ 260,029     $ 104,695  
                         

RATIOS TO AVERAGE NET ASSETS:

                       

Expenses to average net assets (6)

    0.70 %(7)     0.69 %     0.69 %(8)

Net investment income (loss) to average net assets (3)

    1.07 %     1.97 %     1.86 %(8)

Portfolio turnover rate (9)

    28 %     78 %     21 %(5)

 

(1)

Commencement of operations on August 7, 2018.

(2)

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

(3)

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.

(4)

Realized and unrealized gains per share are balancing amounts necessary to reconcile the change in net asset value per share for the period and may not reconcile with the aggregate gains and losses in the Statement of Operations due to share transactions for the period.

(5)

Not annualized.

(6)

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

(7)

Includes broker interest expense of 0.01%

(8)

Annualized.

(9)

Excludes the impact of in-kind transactions.

 

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

 

35

 

 

Aptus Drawdown Managed Equity ETF

 

Financial Highlights
For a capital share outstanding throughout the year/period

 

 

   

Year
Ended
April 30,
2021

   

Year
Ended
April 30,
2020

   

Year
Ended
April 30,
2019

   

Year
Ended
April 30,
2018

   

Period
Ended
April 30,
2017
(1)

 

Net asset value, beginning of year/period

  $ 30.23     $ 29.82     $ 32.49     $ 26.57     $ 25.00  
                                         

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

                                       

Net investment income (loss) (2)

    0.10       0.28       0.29       0.05       0.28  

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

    8.52       0.39       (2.72 )     5.97       1.47  

Total from investment operations

    8.62       0.67       (2.43 )     6.02       1.75  
                                         

DISTRIBUTIONS TO SHAREHOLDERS:

                                       

Distributions from:

                                       

Net investment income

    (0.12 )     (0.26 )     (0.24 )     (0.10 )     (0.18 )

Return of capital

    (0.01 )                        

Total distributions

    (0.13 )     (0.26 )     (0.24 )     (0.10 )     (0.18 )

Net asset value, end of year/period

  $ 38.72     $ 30.23     $ 29.82     $ 32.49     $ 26.57  

Total return

    28.59 %     2.27 %     -7.46 %     22.68 %     7.01 %(4)
                                         

SUPPLEMENTAL DATA:

                                       

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

  $ 222,333     $ 131,249     $ 70,065     $ 56,866     $ 33,214  
                                         

RATIOS TO AVERAGE NET ASSETS:

                                       

Expenses to average net assets

    0.79 %     0.79 %     0.79 %     0.79 %     0.79 %(5)

Net investment income (loss) to average net assets

    0.29 %     0.94 %     0.91 %     0.17 %     1.21 %(5)

Portfolio turnover rate (6)

    48 %     230 %     321 %     124 %     144 %(4)

 

(1)

Commencement of operations on June 8, 2016.

(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.

 

36

 

 

Opus Small Cap Value ETF

 

Financial Highlights
For a capital share outstanding throughout the year/period

 

 

   

Year
Ended
April 30,
2021

   

Year
Ended
April 30,
2020

   

Period
Ended
April 30,
2019
(1)

 

Net asset value, beginning of year/period

  $ 20.41     $ 25.00     $ 25.00  
                         

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

                       

Net investment income (loss) (2)

    0.21       0.48       0.38  

Net realized and unrealized gain (loss) on investments

    12.69       (4.53 )     (0.08 )(3)

Total from investment operations

    12.90       (4.05 )     0.30  
                         

DISTRIBUTIONS TO SHAREHOLDERS:

                       

Distributions from:

                       

Net investment income

    (0.20 )     (0.49 )     (0.30 )

Return of capital

    (0.04 )     (0.05 )      

Total distributions

    (0.24 )     (0.54 )     (0.30 )
                         

CAPITAL SHARE TRANSACTIONS:

                       

Transaction fees

          0.00 (4)      0.00 (4) 
                         

Net asset value, end of year/period

  $ 33.07     $ 20.41     $ 25.00  

Total return

    63.49 %     -16.46 %     1.34 %(5)
                         

SUPPLEMENTAL DATA:

                       

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

  $ 106,660     $ 44,393     $ 46,877  
                         

RATIOS TO AVERAGE NET ASSETS:

                       

Expenses to average net assets

    0.79 %     0.79 %     0.79 %(6)

Net investment income (loss) to average net assets

    0.77 %     1.94 %     2.01 %(6)

Portfolio turnover rate (7)

    65 %     56 %     31 %(5)

 

(1)

Commencement of operations on July 17, 2018.

(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. See Note 8.

(5)

Not annualized.

(6)

Annualized.

(7)

Excludes the impact of in-kind transactions.

 

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

 

37

 

 

Aptus ETFs

 

Notes to Financial Statements

April 30, 2021

 

 

NOTE 1 – ORGANIZATION

 

Aptus Collared Income Opportunity ETF is a non-diversified series and Aptus Defined Risk ETF, Aptus Drawdown Managed Equity ETF and Opus Small Cap Value ETF are each a 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”).

 

Aptus Collared Income Opportunity ETF commenced operations on July 9, 2019, and its investment objective is to seek current income and capital appreciation. Aptus Drawdown Managed Equity ETF commenced operations on June 8, 2016, and its investment objective is to seek capital appreciation with downside protection. Aptus Defined Risk ETF commenced operations on August 7, 2018, and its investment objective is to seek current income and capital appreciation. Opus Small Cap Value ETF commenced operations on July 17, 2018, and its investment objective is to seek capital appreciation.

 

The end of the reporting period for the Funds is April 30, 2021 and the period covered by these Notes to Financial Statements is the fiscal period from May 1, 2020 to April 30, 2021 (the “current fiscal period”).

 

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

 

The Funds are each an investment company 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 generally accepted accounting principles 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® 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.

 

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.

 

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 valuation methods. The three levels of inputs are:

 

 

Level 1 –

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

 

38

 

 

Aptus ETFs

 

Notes to Financial Statements
April 30, 2021 (Continued)

 

 

 

Level 2 –

Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

 

 

Level 3 –

Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

The following is a summary of the inputs used to value the Funds’ investments as of the end of the current fiscal period:

 

Aptus Collared Income Opportunity ETF

 

Assets^

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks

  $ 200,798,466     $     $     $ 200,798,466  

Purchased Options

          964,000             964,000  

Total Investments in Securities

  $ 200,798,466     $ 964,000     $     $ 201,762,466  

 

Liabilities^

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Written Options

  $     $ 928,058     $     $ 928,058  

Total Written Options

  $     $ 928,058     $     $ 928,058  

 

^

See Schedule of Investments and Schedule of Written Options for further disaggregation of investment categories.

 

Aptus Defined Risk ETF

 

Assets^

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Exchange Traded Funds

  $ 595,342,648     $     $     $ 595,342,648  

Purchased Options

          30,706,020             30,706,020  

Total Investments in Securities

  $ 595,342,648     $ 30,706,020     $     $ 626,048,668  

 

Liabilities^

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Written Options

  $     $ 2,150,425     $     $ 2,150,425  

Total Written Options

  $     $ 2,150,425     $     $ 2,150,425  

 

^

See Schedule of Investments and Schedule of Written Options for further disaggregation of investment categories.

 

 

39

 

 

Aptus ETFs

 

Notes to Financial Statements
April 30, 2021 (Continued)

 

 

Aptus Drawdown Managed Equity ETF

 

Assets^

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks

  $ 220,687,255     $     $     $ 220,687,255  

Purchased Options

          1,514,750             1,514,750  

Total Investments in Securities

  $ 220,687,255     $ 1,514,750     $     $ 222,202,005  

 

Liabilities^

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Written Options

  $     $ 323,800     $     $ 323,800  

Total Written Options

  $     $ 323,800     $     $ 323,800  

 

^

See Schedule of Investments and Schedule of Written Options for further disaggregation of investment categories.

 

Opus Small Cap Value ETF

 

Assets^

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks

  $ 106,328,591     $     $     $ 106,328,591  

Total Investments in Securities

  $ 106,328,591     $     $     $ 106,328,591  

 

^

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

 

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

 

 

B.

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. The Funds plan to file U.S. Federal and applicable 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.

 

 

C.

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 basis. Withholdings taxes on foreign dividends, if any, 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.

 

 

D.

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

 

40

 

 

Aptus ETFs

 

Notes to Financial Statements
April 30, 2021 (Continued)

 

 

 

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 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 (“NYSE”) is closed for trading. The offering and redemption price per share of each Fund is equal to each Fund’s NAV per share.

 

 

G.

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 against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

 

 

H.

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.

 

The permanent differences primarily relate to differing book and tax treatment for redemptions in-kind. During the current fiscal period, the following table shows the reclassifications made:

 

   

Distributable
Earnings
(Accumulated
Deficit)

   

Paid-In Capital

 

Aptus Collared Income Opportunity ETF

  $ (2,241,599 )   $ 2,241,599  

Aptus Defined Risk ETF

    (702,319 )     702,319  

Aptus Drawdown Managed Equity ETF

    (3,196,937 )     3,196,937  

Opus Small Cap Value ETF

    (421,941 )     421,941  

 

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

 

   

Gains/(Losses)
from In-Kind
Redemptions

 

Aptus Collared Income Opportunity ETF

  $ 2,241,599  

Aptus Defined Risk ETF

    702,319  

Aptus Drawdown Managed Equity ETF

    3,196,923  

Opus Small Cap Value ETF

    421,941  

 

 

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 the end of the current fiscal period that materially impacted the amounts or disclosures in the Funds’ financial statements.

 

41

 

 

Aptus ETFs

 

Notes to Financial Statements
April 30, 2021 (Continued)

 

 

NOTE 3 – COMMITMENTS AND OTHER RELATED PARTY TRANSACTIONS

 

Aptus Capital Advisors, LLC (the “Adviser”), serves as the investment adviser to the Funds. Pursuant to the Investment Advisory Agreement (the “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 has agreed to pay all expenses incurred by 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, distribution (12b-1) fees and expenses. For services provided to the Funds, Aptus Drawdown Managed Equity ETF, Aptus Collared Income Opportunity ETF, and Opus Small Cap Value ETF each pay the Adviser an annual rate of 0.79% based on each Fund’s average daily net assets. Aptus Defined Risk ETF pays the Adviser an annual rate of 0.69% based on the Fund’s average daily net assets.

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services, LLC (“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 Fund, including regulatory compliance monitoring and financial reporting; prepares reports and materials to be supplied to the Board; monitors the activities of the Funds’ Custodian, transfer agent, and fund 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.

 

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

 

NOTE 4 – PURCHASES AND SALES OF SECURITIES

 

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

 

   

Purchases

   

Sales

 

Aptus Collared Income Opportunity ETF

  $ 71,185,888     $ 83,550,624  

Aptus Defined Risk ETF

    120,498,938       121,597,102  

Aptus Drawdown Managed Equity ETF

    82,700,673       97,447,295  

Opus Small Cap Value ETF

    44,041,159       41,450,052  

 

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

 

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

 

   

In-Kind
Purchases

   

In-Kind
Sales

 

Aptus Collared Income Opportunity ETF

  $ 64,874,087     $ 9,254,405  

Aptus Defined Risk ETF

    384,606,589       17,474,911  

Aptus Drawdown Managed Equity ETF

    57,933,823       10,654,985  

Opus Small Cap Value ETF

    34,535,410       3,701,459  

 

 

42

 

 

Aptus ETFs

 

Notes to Financial Statements
April 30, 2021 (Continued)

 

 

NOTE 5 – TRANSACTIONS WITH AFFILIATED SECURITIES

 

Investments in issuers considered to be affiliate(s) of the Funds during the year ended April 30, 2021 for purposes of Section 2(a)(3) of the 1940 Act were as follows:

 

Aptus Defined Risk ETF

                               

Affiliated Issuer

 

Value at
4/30/2020

   

Purchases
at Cost

   

Proceeds
from Sales

   

Net Realized
Gain (Loss)

   

Change in
Unrealized
Appreciation
(Depreciation)

   

Value at
4/30/2021

 

iShares iBonds Dec 2021 Term Corporate ETF

  $ 32,685,332     $ 53,120,605     $ (2,414,260 )   $ 70,132     $ (694,855 )   $ 82,766,954  

iShares iBonds Dec 2022 Term Corporate ETF

    32,867,168       76,490,847       (3,017,331 )     165,268       (366,853 )     106,139,099  

iShares iBonds Dec 2023 Term Corporate ETF

    33,209,016       117,403,566       (3,538,878 )     286,151       26,045       147,385,899  

iShares iBonds Dec 2024 Term Corporate ETF

    31,824,291       72,120,781       (2,891,117 )     102,082       946,348       102,102,385  

iShares iBonds Dec 2025 Term Corporate ETF

          103,416,016       (2,912,663 )     59,688       176,475       100,739,516  
    $ 130,585,807                     $ 683,321     $ 87,160     $ 539,133,853  

 

Affiliated Issuer (Continued)

 

Shares
Held at
4/30/2021

   

Dividend
Income

   

Capital Gain
Distributions
from
Underlying
Funds

 

iShares iBonds Dec 2021 Term Corporate ETF

    3,336,032     $ 1,098,180     $ 23,886  

iShares iBonds Dec 2022 Term Corporate ETF

    4,168,857       1,392,993        

iShares iBonds Dec 2023 Term Corporate ETF

    5,640,486       1,697,613        

iShares iBonds Dec 2024 Term Corporate ETF

    3,862,394       1,447,243        

iShares iBonds Dec 2025 Term Corporate ETF

    3,733,859       1,392,692       49,295  
            $ 7,028,721     $ 73,181  

 

NOTE 6 – INCOME TAX INFORMATION

 

The components of distributable earnings (accumulated deficit) and cost basis of investments for federal income tax purposes as of April 30, 2021 were as follows:

 

   

Aptus Collared
Income
Opportunity ETF

   

Aptus Defined
Risk ETF

   

Aptus Drawdown
Managed
Equity ETF

   

Opus Small Cap
Value ETF

 

Tax cost of investments

  $ 157,982,302     $ 625,306,538     $ 165,644,447     $ 84,256,779  

Gross tax unrealized appreciation

  $ 46,327,117     $ 5,150,725     $ 57,411,847     $ 22,908,850  

Gross tax unrealized depreciation

    (2,460,526 )     (4,850,120 )     (767,537 )     (837,038 )

Net tax unrealized appreciation (depreciation)

    43,866,591       300,605       56,644,310       22,071,812  

Undistributed ordinary Income

    120,814       12,687,026              

Undistributed long-term capital gains

                       

Other accumulated gain (loss)

    (17,246,495 )           (44,221,388 )     (3,497,641 )

Distributable earnings (accumulated deficit)

  $ 26,740,910     $ 12,987,631     $ 12,422,922     $ 18,574,171  

 

43

 

 

Aptus ETFs

 

Notes to Financial Statements
April 30, 2021 (Continued)

 

 

The difference between the cost basis for financial statement and federal income tax purposes was primarily due to the tax deferral of losses from wash sales.

 

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 December 31, respectively. For the taxable year ended April 30, 2021, the Funds did not elect to defer any post-October capital losses or late-year ordinary losses.

 

As of April 30, 2021, the Funds had the following capital loss carryforwards with no expiration date:

 

   

Short-Term

   

Long-Term

 

Aptus Collared Income Opportunity ETF

  $ 2,171,578     $ 7,557,894  

Aptus Defined Risk ETF

           

Aptus Drawdown Managed Equity ETF

    35,470,960       8,750,428  

Opus Small Cap Value ETF

    2,213,390       1,284,351  

 

During the current fiscal period, Opus Small Cap Value ETF utilized $3,007,989 of short-term and $736,160 of long-term capital loss carryforward that was available as of April 30, 2020. Utilization of capital loss carryforwards acquired by Aptus Drawdown Managed Equity ETF in connection with the reorganization during the fiscal year ended April 30, 2020 will be subject to limitations because of an ownership change. Because of these limitations, the capital losses of the acquired fund may expire without being utilized. Additionally, for five years beginning after the closing date of the reorganization, the Fund will not be allowed to offset certain pre-reorganization built-in gains attributable to the acquired fund (if any) with capital loss carryforwards attributable to the Fund.

 

The tax character of distributions paid by the Funds during year ended April 30, 2021 and year/period ended April 30, 2020 was as follows:

 

   

Year Ended
April 30, 2021

   

Year/Period(1) Ended
April 30, 2020

 
   

Ordinary
Income

   

Long-Term
Capital Gain

   

Return of
Capital

   

Ordinary
Income

   

Return of
Capital

 

Aptus Collared Income Opportunity ETF

  $ 1,454,907     $     $     $ 1,518,391     $  

Aptus Defined Risk ETF

    24,142,128       2,924,003             5,108,936        

Aptus Drawdown Managed Equity ETF

    604,958             49,223       807,008        

Opus Small Cap Value ETF

    500,479             88,541       1,046,349       99,490  

 

(1)

Information for Aptus Collared Income Opportunity ETF is for the period from July 9, 2019 to April 30, 2020.

 

NOTE 7 – 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.

 

The Funds may purchase put options on individual stocks, on an index tracking a portfolio of U.S. equity securities, or on one or more other ETFs that principally invest in U.S. equity securities, purchase call options on the Cboe Volatility Index®, or utilize a combination of purchased and written (sold) put options (known as a “spread”) to limit the Funds’ exposure to equity market declines. The Funds may write (sell) call options on individual stocks, on an index tracking a portfolio of U.S. equity securities, or on one or more other ETFs that principally invest in U.S. equity securities, or utilize a combination of purchased and written (sold) call options (spread) to generate premium from such options. Aptus Defined Risk ETF seeks exposure to small-, mid-, and large-capitalization U.S. stocks by purchasing exchange-listed call options on individual stocks or on one or more other ETFs that principally invest in U.S. equity securities, or by utilizing a combination of purchased and written (sold) call options (spread). Aptus Collared Income Opportunity ETF may buy put options or an options collar (i.e., a mix of written (sold) call options and long (bought) put options) on the same underlying equity securities or on an index tracking a portfolio of large capitalization U.S. equity securities to generate premium from such options, while

 

44

 

 

Aptus ETFs

 

Notes to Financial Statements
April 30, 2021 (Continued)

 

 

mitigating the downside risk associated with owning equity securities. Aptus Drawdown Managed Equity ETF seeks to limit the Fund’s exposure to equity market declines primarily by purchasing exchange-listed put options on individual equity securities or on one or more equity indexes or ETFs (each a “reference asset”) that track a portfolio of U.S. equity securities (“Equity Puts”).

 

When the Funds purchase a call or put option, an amount equal to the premium paid is included in the Statements 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 Funds exercise a call option, the cost of the security acquired is increased by the premium paid for the call. If the Funds exercise 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.

 

A written (sold) put option gives the seller the obligation to buy shares of the underlying asset at a specified price (“strike price”) at a specified date (“expiration date”). The writer (seller) of the put option receives an amount (premium) for writing (selling) the option. In the event the underlying asset depreciates below the strike price as of the expiration date, the writer (seller) of the put option pays 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 appreciates in value, the put option may end up worthless and the writer (seller) of the call option retains the premium.

 

When the Funds write an option, an amount equal to the premium received by the Funds 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 Funds on the expiration date as realized gains from options written. 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 Funds have realized a gain or loss. The Funds, as a writer of an option, bear the market risk of an unfavorable change in the price of the security underlying the written option.

 

For financial statement purposes, cash held at the broker for options is included in the Statements of Assets and Liabilities as deposits at broker for written options. Broker interest paid by the Funds, if any, is included as interest expense in the Statements of Operations. As collateral for its written options, the Aptus Collared Income Opportunity ETF maintains segregated assets consisting of cash, cash equivalents, or liquid securities (e.g. Permissible Assets). Segregated cash is included as restricted cash for options in the Statement of Assets and Liabilities. The Adviser may earmark or instruct the Fund’s custodian to segregate Permissible Assets in an amount at least equal to the market value, calculated on a daily basis, of the written options. Alternatively, a written call option contract can be “covered” through (a) ownership of the underlying instruments or (b) ownership of an option on such instruments at an exercise price equal to or lower than the exercise price of the short option, and a written put option contract can be “covered” (a) through ownership of a put option with an exercise price at least equal to the Fund’s delivery or purchase obligation or (b) through selling short the underlying instrument at a price at least equal to the Fund’s purchase obligation.

 

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

 

Purchased Options

 

Average Value

 

Aptus Collared Income Opportunity ETF

  $ 1,538,751  

Aptus Defined Risk ETF

    25,894,536  

Aptus Drawdown Managed Equity ETF

    2,223,501  

 

Written Options

       

Aptus Collared Income Opportunity ETF

  $ (1,527,176 )

Aptus Defined Risk ETF

    (404,610 )

Aptus Drawdown Managed Equity ETF

    (587,005 )

 

45

 

 

Aptus ETFs

 

Notes to Financial Statements
April 30, 2021 (Continued)

 

 

Due to the absence of a master netting agreement related to the Funds’ participation in purchasing and writing options, no additional offsetting disclosures have been made on behalf of the Funds.

 

As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

 

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

 

           

Asset Derivatives

 

Fund

 

Derivatives Investment Type

   

Statement of Assets and
Liabilities Location

   

Value

 

Aptus Collared Income Opportunity ETF

Equity Contracts - Purchased Options

Investments in unaffiliated securities, at value

  $ 964,000  

Aptus Defined Risk ETF

Equity Contracts - Purchased Options

Investments in unaffiliated securities, at value

    30,706,020  

Aptus Drawdown Managed Equity ETF

Equity Contracts - Purchased Options

Investments in unaffiliated securities, at value

    1,514,750  

 

           

Liability Derivatives

 

Fund

 

Derivatives Investment Type

   

Statement of Assets and
Liabilities Location

   

Value

 

Aptus Collared Income Opportunity ETF

Equity Contracts - Written Options

Written options, at value

  $ (928,058 )

Aptus Defined Risk ETF

Equity Contracts - Written Options

Written options, at value

    (2,150,425 )

Aptus Drawdown Managed Equity ETF

Equity Contracts - Written Options

Written options, at value

    (323,800 )

 

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

 

Fund

 

Derivatives Investment Type

   

Net Realized
Gain (Loss)

   

Change in
Unrealized
Appreciation
(Depreciation)

 

Aptus Collared Income Opportunity ETF

Equity Contracts - Purchased Options

  $ (23,590,538 )*   $ 958,389 **

Aptus Collared Income Opportunity ETF

Equity Contracts - Written Options

    9,078,365       (1,230,864 )

Aptus Defined Risk ETF

Equity Contracts - Purchased Options

    14,803,421 *     (1,999,313 )**

Aptus Defined Risk ETF

Equity Contracts - Written Options

    94,130       (441,525 )

Aptus Drawdown Managed Equity ETF

Equity Contracts - Purchased Options

    (29,367,168 )*     (907,124 )**

Aptus Drawdown Managed Equity ETF

Equity Contracts - Written Options

    11,867,181       464,157  

 

*

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

**

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

 

46

 

 

Aptus ETFs

 

Notes to Financial Statements
April 30, 2021 (Continued)

 

 

NOTE 8 – SHARE TRANSACTIONS

 

Shares of the Funds are listed and traded on the Cboe BZX Exchange, Inc. (“Cboe”). Market prices for the shares may be different from their NAV. Aptus Collared Income Opportunity ETF, Aptus Defined Risk ETF, and Aptus Drawdown Managed Equity ETF issue and redeem shares on a continuous basis at NAV generally in blocks of 50,000 shares, called “Creation Units.” Opus Small Cap Value ETF issues and redeems shares on a continuous basis at NAV generally in blocks of 25,000 shares. Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, shares generally trade in the secondary market at market prices that change throughout the day. Except when aggregated in Creation Units, shares are not redeemable securities of the Funds. Creation Units may only be purchased or redeemed by 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 the shares directly from the Funds. Rather, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.

 

The Funds 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 each Fund is $250, payable to the Custodian. The fixed creation 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 fees. Variable fees received by each Fund, if any, are displayed in the Capital Share Transactions section of the Statements of Changes in Net Assets.

 

NOTE 9 – RISKS

 

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

 

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.

 

Other Investment Companies Risk. The risks of the Aptus Defined Risk ETF investing in investment companies, such as the bond 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) an ETF’s shares may trade at a market price 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.

 

47

 

 

Aptus ETFs

 


Report of Independent Registered Public Accounting Firm

 

 

To the Shareholders of Aptus 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 and written options (as applicable), of Aptus Collared Income Opportunity ETF, Aptus Defined Risk ETF, Aptus Drawdown Managed Equity ETF and Opus Small Cap Value ETF (the “Funds”), each a series of ETF Series Solutions, as of April 30, 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 April 30, 2021, the results of their operations, the changes in 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

Aptus Collared Income Opportunity ETF

For the year ended April 30, 2021

For the year ended April 30, 2021 and for the period from July 9, 2019 (commencement of operations) through April 30, 2020

Aptus Defined Risk ETF

For the year ended April 30, 2021

For the years ended April 30, 2021 and 2020

For the years ended April 30, 2021 and 2020 and for the period from August 7, 2018 (commencement of operations) through April 30, 2019

Aptus Drawdown Managed Equity ETF

For the year ended April 30, 2021

For the years ended April 30, 2021 and 2020

For the years ended April 30, 2021, 2020, 2019 and 2018 and for the period from June 8, 2016 (commencement of operations) through April 30, 2017

Opus Small Cap Value ETF

For the year ended April 30, 2021

For the years ended April 30, 2021 and 2020

For the years ended April 30, 2021 and 2020 and for the period from July 17, 2018 (commencement of operations) through April 30, 2019

 

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.

 

48

 

 

Aptus ETFs

 

Report of Independent Registered Public Accounting Firm
(Continued)

 

 

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 April 30, 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 2016.

 

 

COHEN & COMPANY, LTD.
Milwaukee, Wisconsin
June 28, 2021

 

49

 

 

Aptus ETFs

 

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).

47

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).

47

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).

47

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).

47

None

 

 

50

 

 

Aptus ETFs

 

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

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).

James R. Butz
Born: 1982

Chief Compliance Officer

Indefinite term; since 2015

Senior Vice President, U.S. Bancorp Fund Services, LLC (since 2015).

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 Funds Services, LLC (since 2020); Assistant Vice President, U.S. Bancorp Fund Services, LLC (since 2016); Officer, U.S. Bancorp Fund Services, LLC (2012–2016).

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

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).

 

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, by accessing the SEC’s website at www.sec.gov, or by accessing the Funds’ website at www.aptusetfs.com or www.opusetfs.com.

 

51

 

 

Aptus ETFs

 

Expense Examples

For the Six-Months Ended April 30, 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 each 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 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 each 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.

 

Aptus Collared Income Opportunity ETF

 

 

Beginning
Account Value
November 1, 2020

Ending
Account Value
April 30, 2021

Expenses
Paid During
the Period
(1)

Actual

$1,000.00

$1,142.60

$4.20

Hypothetical (5% annual return before expenses)

$1,000.00

$1,020.88

$3.96

 

Aptus Defined Risk ETF

 

 

Beginning
Account Value
November 1, 2020

Ending
Account Value
April 30, 2021

Expenses
Paid During
the Period
(2)

Actual

$1,000.00

$1,021.30

$3.46

Hypothetical (5% annual return before expenses)

$1,000.00

$1,021.37

$3.46

 

 

52

 

 

Aptus ETFs

 

Expense Examples
For the Six-Months Ended April 30, 2021 (Unaudited) (Continued)

 

 

Aptus Drawdown Managed Equity ETF

 

 

Beginning
Account Value
November 1, 2020

Ending
Account Value
April 30, 2021

Expenses
Paid During
the Period
(1)

Actual

$1,000.00

$1,176.50

$4.26

Hypothetical (5% annual return before expenses)

$1,000.00

$1,020.88

$3.96

 

Opus Small Cap Value ETF

 

 

Beginning
Account Value
November 1, 2020

Ending
Account Value
April 30, 2021

Expenses
Paid During
the Period
(1)

Actual

$1,000.00

$1,404.80

$4.71

Hypothetical (5% annual return before expenses)

$1,000.00

$1,020.88

$3.96

 

(1)

The dollar amounts shown as expenses paid during the period are equal to the annualized expense ratio, 0.79%, multiplied by the average account value during the six-month period, multiplied by 181/365, to reflect the one-half year period.

(2)

The dollar amounts shown as expenses paid during the period are equal to the annualized expense ratio, 0.69%, multiplied by the average account value during the six-month period, multiplied by 181/365, to reflect the one-half year period.

 

53

 

 

Aptus ETFs

 

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.

 

54

 

 

Aptus ETFs

 

Approval of Advisory Agreement and Board Considerations

(Unaudited)

 

 

Pursuant to Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), at a meeting held on January 27-28, 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 Aptus Capital Advisors, LLC (the “Adviser”) and the Trust, on behalf of the Aptus Drawdown Managed Equity ETF, Aptus Defined Risk ETF, Aptus Collared Income Opportunity ETF, and Opus Small Cap Value ETF (each, a “Fund”, and collectively, the “Funds”).

 

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 Adviser (the “Materials”) regarding, among other things: (i) the nature, extent, and quality of the services provided by the Adviser; (ii) the historical performance of each Fund; (iii) the cost of the services provided and the profits realized by the Adviser from services rendered to the Funds; (iv) comparative fee and expense data for each Fund and other investment companies with similar investment objectives; (v) the extent to which the advisory fee for each Fund reflects economies of scale shared with the applicable Fund shareholders; and (vi) other factors the Board deemed to be relevant.

 

The Board also considered that the Adviser, along with other service providers of the Funds, presented written information to help the Board evaluate the Adviser’s fees and other aspects of the Agreement. Additionally, representatives from the Adviser provided an oral overview of each Fund’s strategy, the services provided to the Funds by the Adviser, and additional information about the 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. In its deliberations, the Board did not identify any single piece of information discussed below that was all-important or controlling.

 

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 infrastructure 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 received a copy of the Adviser’s registration form (“Form ADV”), 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 policy, 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 each Fund’s investment restrictions, monitoring compliance with various policies and procedures and with applicable securities regulations, and monitoring the extent to which each Fund achieved its investment objective as an actively-managed fund. 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 it had received information regarding each Fund’s performance for various time periods in the Materials and primarily considered each Fund’s performance for periods ended September 30, 2020, unless otherwise indicated below.

 

Aptus Drawdown Managed Equity ETF: The Board noted that the Fund had performed, before fees and expenses, roughly in line with the S&P 500 Index for the one-year period ended December 31, 2020, but for the one-year, three-year, and since inception periods ended September 30, 2020, the Fund underperformed the S&P 500 Index. The Board further noted that, for the one-year period, the Fund had outperformed the median for funds in the universe of actively-managed options-based ETFs as reported by Morningstar (the “Category Peer Group”). Additionally, the Board noted that the Fund’s performance for the one- and three-year period was within the range of returns for the Fund’s ETF competitors identified by the Adviser that have a similar objective and strategy of seeking capital appreciation from U.S. equity securities with downside protection (the “Selected Peer Group”). The Board noted that performance returns for the three-year and since inception periods include performance of the Fund’s prior investment objective as an index-based fund and, as such, may not be fully reflective of the current investment strategy. The Board also considered that, due to the Fund’s hedging strategy, the Fund’s performance can be expected to lag the performance of the broader equity markets as measured by indices such as the Fund’s benchmark index, the S&P 500, during periods of rising or strong positive performance.

 

55

 

 

Aptus ETFs

 

Approval of Advisory Agreement and Board Considerations

(Unaudited) (Continued)

 

 

Aptus Defined Risk ETF: The Board noted that, for the one-year period, the Fund significantly outperformed the Bloomberg Barclays US Aggregate Bond Index and also outperformed such benchmark since inception. The Board further noted that, for the one-year period, the Fund had significantly outperformed the median for funds in the universe of actively-managed options-based ETFs as reported by Morningstar (the “Category Peer Group”). Additionally, the Board noted that the Fund outperformed the Fund’s most direct competitors with a fixed income strategy of investing in short- and intermediate-term investment grade bonds as identified by the Adviser (the “Selected Peer Group”). However, the Board noted that the Selected Peer Group was not a direct comparison to the Fund because of the Fund’s unique combination of fixed-income and equity exposures. The Board also considered that, due to the Fund’s exposure to both fixed-income and equity markets, the Fund’s performance can be expected to deviate, positively or negatively, from the performance of the broader fixed income market as measured by indices such as the Fund’s benchmark index, the Bloomberg Barclays US Aggregate Bond Index.

 

Aptus Collared Income Opportunity ETF: The Board noted that, for the one-year and since inception periods, the Fund underperformed the S&P 500 Index, but for the one-year period outperformed the median for funds in the universe of actively managed options-based ETFs as reported by Morningstar (the “Category Peer Group”). Additionally, the Board noted that the Fund outperformed the Fund’s most direct competitors with a covered-call strategy with U.S. equity exposure as identified by the Adviser (the “Selected Peer Group”). However, the Board noted that the Selected Peer Group was not a direct comparison to the Fund because of the Fund’s unique use of written call options on individual equity securities, as well as the use of put options on a basket of equity securities. The Board also considered that, due to the Fund’s hedging strategy, the Fund’s performance can be expected to lag the performance of the broader equity markets as measured by indices such as the Fund’s benchmark index, the S&P 500, during periods of rising or strong positive performance.

 

Opus Small Cap Value ETF: The Board noted that, for the one-year and since inception periods, the Fund outperformed the Russell 2000 Value Total Return Index. The Board further noted that, for the one-year period, the Fund had underperformed the median for funds in the universe of US Small Blend ETFs as reported by Morningstar (the “Category Peer Group”). Additionally, the Board noted that the Fund significantly