N-CSR 1 fp0077282_ncsr.htm

 

As filed with the U.S. Securities and Exchange Commission on July 11, 2022

 

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, 2022

 

 

 

 

Item 1. Reports to Stockholders.

 

(a)

 

 

 

Annual Report

 

April 30, 2022

 

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

 

International Drawdown Managed Equity ETF

Ticker: IDME

 

 

 

Aptus ETFs

 

TABLE OF CONTENTS

 

 

Page

Shareholder Letters

1

Performance Summaries

11

Portfolio Allocations

16

Schedules of Investments and Schedules of Written Options

18

Statements of Assets and Liabilities

32

Statements of Operations

33

Statements of Changes in Net Assets

34

Financial Highlights

39

Notes to Financial Statements

44

Report of Independent Registered Public Accounting Firm

56

Trustees and Officers

58

Expense Examples

60

Review of Liquidity Risk Management Program

62

Approval of Advisory Agreement and Board Considerations

63

Federal Tax Information

68

Information About Portfolio Holdings

68

Information About Proxy Voting

68

Frequency Distribution of Premiums and Discounts

69

 

 

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 period from May 1, 2021 through April 30, 2022 (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 1.84% at market and up 1.78% at net asset value (“NAV”). Over the same period, the S&P 500® Index was up 0.21%.

 

The largest positive equity contributor to return for the current fiscal period was a put option position expiring in February 2022 on the S&P 500 Index (SPX), gaining 325.99% and adding 2.30% to the return of ACIO. The second largest contributor was a put option position expiring during May 2022 on the S&P 500 Index (SPX), gaining 156.62% and adding 2.17% to the return of ACIO. The third largest contributor was another put option position expiring during May 2022 on the S&P 500 Index (SPX), gaining 93.62% and adding 1.71% to the return of ACIO.

 

The largest negative contributor to the return for the current fiscal period was a put option position expiring in February 2022 on the S&P 500 Index (SPX), down 78.18% and detracting 1.19% from the return of ACIO. The second largest negative contributor was a put option position expiring in November 2021 on the S&P 500 Index (SPX), down 82.71% and detracting 1.18% from the return of ACIO. The third largest negative contributor was Amazon.com, lnc. (AMZN), down 28.31% and detracting 1.12% 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 that 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 large capitalization U.S.-listed equity securities 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 large capitalization U.S.-listed equity securities 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 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, 2021 through April 30, 2022 (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 down 5.79% at market and down 5.73% at net asset value (“NAV”). Over the same period, the Bloomberg US Aggregate Bond Index was down 8.51%.

 

The largest positive contributor to return for the current fiscal period was a call option position expiring in January 2022 on Merck & Company, Inc. (MRK), gaining 293.86% and adding 1.13% to the return of DRSK. The second largest contributor was a call option position expiring in November 2021 on the S&P 500 Index (SPX), gaining 242.93% and adding 0.88% to the return of DRSK. The third largest contributor was a call option position expiring in October 2021 on NIKE, Inc. (NKE), gaining 227.32% and adding 0.86% to the return of DRSK.

 

The largest negative contributor to the return for the current fiscal period was a call option position expiring in January 2022 on the S&P 500 Index (SPX), down 55.71% and detracting 1.51% from the return of DRSK. The second largest negative contributor was iShares iBonds Dec 2026 Term Corporate ETF (IBDR), down 8.39% and detracting 1.29% from the return of DRSK. The third largest negative contributor was iShares iBonds Dec 2025 Term Corporate ETF (IBDQ), down 6.00% and detracting 1.27% 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 upside capture in a rising market and defined risk in a declining market. The powerful combination of laddered bonds over a short-term maturities 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. Options enable the Fund to purchase exposure that is significantly greater than the premium paid. Consequently, the value of such options can be volatile, and a small investment in options can have a large impact on the performance of the Fund. Because the Fund only purchases options (as opposed to writing/selling options), the Fund’s losses from its exposure to options are limited to the amount of premiums paid.

 

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 and 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.

 

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 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, 2021 through April 30, 2022 (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 put options on one or more of such equity securities or on 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 was down 1.05% at market and down 1.23% at net asset value (“NAV”). Over the same period, the S&P 500® Index was up 0.21%.

 

The largest positive equity contributor to return for the current fiscal period was a put option position expiring in February 2022 on the S&P 500 Index (SPX), gaining 325.99% and adding 1.88% to the return of ADME. The second largest contributor was a put option position expiring during May 2022 on the S&P 500 Index (SPX), gaining 279.72% and adding 1.45% to the return of ADME. The third largest contributor was a put option position expiring during June 2022 on the S&P 500 Index (SPX), gaining 178.67% and adding 1.28% to the return of ADME.

 

The largest negative equity contributor to the return for the current fiscal period was a put option position expiring in February 2022 on the S&P 500 Index (SPX), down 78.18% and detracting 1.13% from the return of ADME. The second largest negative contributor was Amazon.com, Inc. (AMZN), down 28.31% and detracting 1.12% from the return of ADME. The third largest negative contributor was a put option position expiring in November 2021 on the S&P 500 Index (SPX), down 82.71% and detracting 1.00% 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:

 

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.

 

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 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, 2021 through April 30, 2022 (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. The Fund’s equity securities primarily include common stocks, real estate investment trusts (“REITs”), and American Depositary Receipts (“ADRs”) representing the stock of a foreign company. The Fund will generally limit its investments in ADRs to 20% of its total assets. The Fund may invest in securities offered in an initial public offering (“IPO”) or in companies that have recently completed an IPO.

 

For the current fiscal period, OSCV was down 4.09% at market and down 4.25% at net asset value (“NAV”). Over the same period, the Russell 2000® Value Index was down 6.59%.

 

The largest positive equity contributor to return for the current fiscal period was Helmerich & Payne, Inc. (HP), gaining 86.11% and adding 0.86% to the return of OSCV. The second largest contributor was, Viper Energy Partners LP (VNOM) gaining 79.87% and adding 0.72% to the return of OSCV. The third largest contributor was Brigham Minerals, Inc.-Class A (MNRL) gaining 55.74% and adding 0.61% to the return of OSCV.

 

The largest negative equity contributor to the return for the current fiscal period was MKS Instruments, Inc. (MKSI) down 36.01% and detracting 0.54% from the return of OSCV. The second largest negative contributor was Western Alliance Bancorp (WAL) down 26.64% and detracting 0.51% from the return of OSCV. The third largest negative contributor was Shutterstock, Inc. (SSTK) down 33.20% and detracting 0.50% 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 ETF 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 is the adviser to the Opus Small Cap Value ETF, which is distributed by Quasar Distributors, LLC.

 

8

 

 

International Drawdown Managed Equity ETF

 

Shareholder Letter
(Unaudited)

 

 

Dear IDME Shareholders,

 

Thank you for your investment in the International Drawdown Managed Equity ETF, referred to herein as “IDME” or the “Fund”. The information presented in this letter relates to IDME’s performance period from inception on July 22, 2021 through April 30, 2022 (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 other ETFs that invest in equity securities of non-U.S. (international) companies in developed and emerging markets throughout the world, while purchasing and/or writing (selling) exchange-listed call or put options on one or more broad-based indexes or ETFs that track the performance of equity markets outside of the United States to (i) limit downside (“drawdown”) risk, (ii) create additional equity exposure, and/or (iii) generate premiums from writing call options on the Fund’s equity investments.

 

For the current fiscal period, IDME was down 12.36% at market and down -13.46% at net asset value (“NAV”). Over the same period, the MSCI All Cap World Index ex USA Net (USD) was down 11.32%.

 

The largest positive contributor to return for the current fiscal period was a put option position expiring in February 2022 on iShares MSCI EAFE ETF (EFA), gaining 406.00% and adding 0.82% to the return of IDME. The second largest contributor was a put option position expiring in February 2022 on iShares MSCI EAFE ETF (EFA), gaining 1,003.45% and adding 0.74% to the return of IDME. The third largest contributor was a put option position expiring in March 2022 on iShares MSCI Emerging Markets ETF (EEM), gaining 669.01% and adding 0.71% to the return of IDME.

 

The largest negative contributor to the return for the current fiscal period was SPDR Portfolio Developed World ex-US ETF (SPDW), down 12.87% and detracting 9.34% from the return of IDME. The second largest negative contributor was Vanguard Emerging Markets Stock Index Fund (VWO), down 13.18% and detracting 2.88% from the return of IDME. The third largest negative contributor was a call option position expiring in March 2022 on Vanguard European Stock Index Fund (VGK), down 80.00% and detracting 1.02% from the return of IDME.     

 

We are excited about the opportunity to give our investors access to International Drawdown Managed Equity ETF. We believe, IDME is able to capture the upside potential of investing in an All Cap World Index ex-U.S., but with structurally less downside potential. Using cost efficient and liquid passive index ETFs, we believe Aptus has created a portfolio intended to look very much like All Cap World Index (ACWX) on the way up but offer notionally hedged protection on the way down. We believe there is upside in capturing less downside, both behaviorally and mathematically. Rather than try to time the markets, we actively hedge our holdings in an effort to mitigate downside risk. We believe IDME provides a solution to every Investor’s foreign equity exposures that helps mitigate geopolitical economic risks in an ever-growing divide between Developed and Emerging markets.

 

We appreciate your interest in IDME. If we can elaborate on the underlying International 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

 

9

 

 

International Drawdown Managed Equity 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 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 refer to the schedule of investments in this report for complete holdings information.

 

Definitions:

 

MSCI All Cap World Index ex USA Net (USD) - captures large and mid-cap representation across 22 of 23 Developed Markets (DM) countries (excluding the US) and 27 Emerging Markets (EM) countries. With 2,350 constituents, the index covers approximately 85% of the global equity opportunity set outside the U.S.

 

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

 

10

 

 

Aptus Collared Income Opportunity ETF

 

Performance Summary
(Unaudited)

 

 

Growth of $10,000

 

 

Average Annualized Returns
April 30, 2022

1 Year

Since Inception
(7/9/2019)

Aptus Collared Income Opportunity ETF — NAV

1.78%

7.97%

Aptus Collared Income Opportunity ETF — Market

1.84%

8.04%

S&P 500® Index

0.21%

14.19%

 

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.

 

The total operating expenses as stated in the fee table to the Fund’s prospectus dated August 31, 2021, is 0.79%.

 

The performance data represents past performance & does not guarantee future results. Investment return & principal value of an investment will fluctuate so that an investor’s shares may be worth more or less than their original cost when sold or redeemed. Current performance may be higher or lower than the performance quoted. Returns for periods greater than one year are annualized. Short term performance in particular is not a good indication of the fund’s future performance and an investment should not be made based solely on returns. For performance data current to the most recent month end, please call (251) 517-7198, or visit www.aptusetfs.com.

 

Shares of any ETF are bought and sold at Market Price (not NAV) and are not individually redeemed from the fund. Brokerage commissions will reduce returns. Market returns are based upon the midpoint of the bid/ask spread 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.

 

11

 

 

Aptus Defined Risk ETF

 

Performance Summary
(Unaudited)

 

 

Growth of $10,000

 

 

Average Annualized Returns
April 30, 2022

1 Year

3 Years

Since Inception
(8/7/2018)

Aptus Defined Risk ETF — NAV

-5.73%

4.35%

5.96%

Aptus Defined Risk ETF — Market

-5.79%

4.33%

5.95%

Bloomberg US Aggregate Bond Index

-8.51%

0.38%

1.53%

 

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.

 

The total operating expenses as stated in the fee table to the Fund’s prospectus dated August 31, 2021, is 0.79%.

 

The performance data represents past performance & does not guarantee future results. Investment return & principal value of an investment will fluctuate so that an investor’s shares may be worth more or less than their original cost when sold or redeemed. Current performance may be higher or lower than the performance quoted. Returns for periods greater than one year are annualized. Short term performance in particular is not a good indication of the fund’s future performance and an investment should not be made based solely on returns. For performance data current to the most recent month end, please call (251) 517-7198, or visit www.aptusetfs.com.

 

Shares of any ETF are bought and sold at Market Price (not NAV) and are not individually redeemed from the fund. Brokerage commissions will reduce returns. Market returns are based upon the midpoint of the bid/ask spread 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.

 

12

 

 

Aptus Drawdown Managed Equity ETF

 

Performance Summary
(Unaudited)

 

 

Growth of $10,000

 

 

Average Annualized Returns
April 30, 2022

1 Year

3 Years

5 Years

Since Inception
(6/8/2016)

Aptus Drawdown Managed Equity ETF — NAV

-1.23%

9.11%

8.08%

8.05%

Aptus Drawdown Managed Equity ETF — Market

-1.05%

9.18%

8.12%

8.08%

S&P 500® Index

0.21%

13.85%

13.66%

14.08%

 

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.

 

The total operating expenses as stated in the fee table to the Fund’s prospectus dated August 31, 2021, is 0.79%.

 

The performance data represents past performance & does not guarantee future results. Investment return & principal value of an investment will fluctuate so that an investor’s shares may be worth more or less than their original cost when sold or redeemed. Current performance may be higher or lower than the performance quoted. Returns for periods greater than one year are annualized. Short term performance in particular is not a good indication of the fund’s future performance and an investment should not be made based solely on returns. For performance data current to the most recent month end, please call (251) 517-7198, or visit www.aptusetfs.com.

 

Shares of any ETF are bought and sold at Market Price (not NAV) and are not individually redeemed from the fund. Brokerage commissions will reduce returns. Market returns are based upon the midpoint of the bid/ask spread 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.

 

13

 

 

Opus Small Cap Value ETF

 

Performance Summary
(Unaudited)

 

 

Growth of $10,000

 

 

Average Annualized Returns
April 30, 2022

1 Year

3 Years

Since Inception
(7/17/2018)

Opus Small Cap Value ETF — NAV

-4.25%

9.35%

7.72%

Opus Small Cap Value ETF — Market

-4.09%

9.30%

7.70%

Russell 2000® Value Index

-6.59%

8.38%

5.00%

 

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.

 

The total operating expenses as stated in the fee table to the Fund’s prospectus dated August 31, 2021, is 0.79%.

 

The performance data represents past performance & does not guarantee future results. Investment return & principal value of an investment will fluctuate so that an investor’s shares may be worth more or less than their original cost when sold or redeemed. Current performance may be higher or lower than the performance quoted. Returns for periods greater than one year are annualized. Short term performance in particular is not a good indication of the fund’s future performance and an investment should not be made based solely on returns. For performance data current to the most recent month end, please call (251) 517-7198, or visit www.aptusetfs.com.

 

Shares of any ETF are bought and sold at Market Price (not NAV) and are not individually redeemed from the fund. Brokerage commissions will reduce returns. Market returns are based upon the midpoint of the bid/ask spread 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.

 

14

 

 

International Drawdown Managed Risk ETF

 

Performance Summary
(Unaudited)

 

 

Growth of $10,000

 

 

Cumulative Returns
April 30, 2022

Since Inception
(7/22/2021)

International Drawdown Managed Equity ETF — NAV

-13.46%

International Drawdown Managed Equity ETF — Market

-12.36%

MSCI AC World Index ex USA Net

-11.32%

 

This chart illustrates the performance of a hypothetical $10,000 investment made on July 22, 2021 and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The chart assumes reinvestment of capital gains and dividends.

 

The total operating expenses as stated in the fee table to the Fund’s prospectus dated July 31, 2021, is 0.65%.

 

The performance data represents past performance & does not guarantee future results. Investment return & principal value of an investment will fluctuate so that an investor’s shares may be worth more or less than their original cost when sold or redeemed. Current performance may be higher or lower than the performance quoted. Returns for periods greater than one year are annualized. Short term performance in particular is not a good indication of the fund’s future performance and an investment should not be made based solely on returns. For performance data current to the most recent month end, please call (251) 517-7198, or visit www.aptusetfs.com.

 

Shares of any ETF are bought and sold at Market Price (not NAV) and are not individually redeemed from the fund. Brokerage commissions will reduce returns. Market returns are based upon the midpoint of the bid/ask spread 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.

 

15

 

 

Aptus ETFs

 

Portfolio Allocations

As of April 30, 2022 (Unaudited)

 

 

Aptus Collared Income Opportunity ETF

 

Sector

Percentage of
Net Assets

Technology (a)

26.3%

Consumer, Non-cyclical

18.9

Financial

14.5

Consumer, Cyclical

9.8

Communications

8.5

Industrial

6.7

Energy

4.7

Basic Materials

4.1

Purchased Options

3.6

Utilities

2.5

Other Assets in Excess of Liabilities

0.4

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.

 

Aptus Defined Risk ETF

 

Sector

Percentage of
Net Assets

Investment Grade Corporate Bonds

92.4%

Other Assets in Excess of Liabilities

6.0

Purchased Options

1.6

Total

100.0%

 

Aptus Drawdown Managed Equity ETF

 

Sector

Percentage of
Net Assets

Technology

24.5%

Consumer, Non-cyclical

18.6

Financial

16.3

Consumer, Cyclical

11.8

Communications

8.9

Industrial

7.1

Energy

3.6

Basic Materials

3.5

Purchased Options

3.0

Utilities

2.5

Other Assets in Excess of Liabilities

0.2

Total

100.0%

 

 

16

 

 

Aptus ETFs

 

Portfolio Allocations

As of April 30, 2022 (Unaudited) (Continued)

 

 

Opus Small Cap Value ETF

 

Sector

Percentage of
Net Assets

Financial (a)

31.4%

Industrial

18.5

Energy

13.6

Consumer, Cyclical

12.1

Consumer, Non-cyclical

11.9

Basic Materials

3.5

Other Assets in Excess of Liabilities

3.3

Technology

3.3

Utilities

1.3

Communications

1.1

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.

 

International Drawdown Managed Equity ETF

 

Sector

Percentage of
Net Assets

Developed Market Equity

70.5%

Emerging Market Equity

27.5

Purchased Options

1.1

Other Assets in Excess of Liabilities

0.9

Total

100.0%

 

17

 

 

Aptus Collared Income Opportunity ETF

 

Schedule of Investments
April 30, 2022

 

 

 

Shares

 

Security Description

 


Value

 
     

COMMON STOCKS — 96.0%

       
       

Basic Materials — 4.1%

       
    61,889  

BHP Group, Ltd. - ADR (a)

  $ 4,145,325  
    16,483  

Linde plc (a)

    5,142,037  
    63,368  

Mosaic Company (a)

    3,955,431  
    11,449  

Sherwin-Williams Company (a)

    3,148,017  
              16,390,810  
       

Communications — 8.5%

       
    6,519  

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

    14,989,332  
    4,853  

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

    12,062,762  
    50,118  

Comcast Corporation - Class A (a)

    1,992,692  
    25,338  

Meta Platforms, Inc. - Class A (a)(b)

    5,079,509  
              34,124,295  
       

Consumer, Cyclical — 9.8%

       
    31,986  

Darden Restaurants, Inc. (a)

    4,213,516  
    23,246  

Dollar General Corporation (a)

    5,521,622  
    61,816  

D.R. Horton, Inc. (a)

    4,301,775  
    19,415  

Home Depot, Inc. (a)

    5,832,266  
    29,090  

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

    5,164,057  
    26,715  

Target Corporation (a)

    6,108,385  
    4,591  

Tesla, Inc. (a)(b)

    3,997,659  
    29,037  

Walmart, Inc. (a)

    4,442,371  
              39,581,651  
       

Consumer, Non-cyclical — 18.9%

       
    28,599  

Abbott Laboratories (a)

    3,245,987  
    39,075  

AbbVie, Inc. (a)

    5,739,336  
    55,553  

Altria Group, Inc.

    3,087,080  
    14,269  

Anthem, Inc. (a)

    7,162,039  
    17,387  

Charles River Laboratories International, Inc. (a)(b)

    4,199,134  
    9,138  

Eli Lilly and Company (a)

    2,669,484  
    30,008  

Johnson & Johnson (a)

    5,415,244  
    49,948  

Medtronic plc (a)

    5,212,573  
    28,605  

Merck & Company, Inc. (a)

    2,536,977  
    30,139  

PepsiCo, Inc. (a)

    5,175,168  
    26,843  

Procter & Gamble Company (a)

    4,309,644  
    12,199  

S&P Global, Inc. (a)

    4,592,924  
    12,966  

Thermo Fisher Scientific, Inc. (a)

    7,169,161  
    8,520  

United Rentals, Inc. (a)(b)

    2,696,750  
    17,162  

UnitedHealth Group, Inc. (a)

    8,727,735  
    22,101  

Zoetis, Inc. (a)

    3,917,402  
              75,856,638  
       

Energy — 4.7%

       
    35,999  

Diamondback Energy, Inc. (a)

    4,544,154  
    70,824  

Exxon Mobil Corporation (a)

    6,037,746  
    103,938  

Halliburton Company (a)

    3,702,272  
       

COMMON STOCKS — 96.0% (Continued)

       

Energy — 4.7% (Continued)

       
    19,584  

Pioneer Natural Resources Company (a)

  4,552,692  
              18,836,864  
       

Financial — 14.5%

       
    126,789  

American Homes 4 Rent - Class A (a)

    5,022,112  
    131,650  

Bank of America Corporation (a)

    4,697,272  
    20,510  

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

    6,621,243  
    28,030  

Charles Schwab Corporation (a)

    1,859,230  
    19,148  

Chubb, Ltd.

    3,953,105  
    6,637  

Equinix, Inc. (a)

    4,772,534  
    12,095  

Goldman Sachs Group, Inc. (a)

    3,694,902  
    35,020  

Intercontinental Exchange, Inc. (a)

    4,055,666  
    45,926  

JPMorgan Chase & Company (a)

    5,481,727  
    33,091  

Marsh & McLennan Companies, Inc. (a)

    5,350,815  
    11,173  

Mastercard, Inc. - Class A (a)

    4,060,045  
    31,148  

Prologis, Inc. (a)

    4,992,713  
    7,944  

SVB Financial Group (a)(b)

    3,873,812  
              58,435,176  
       

Industrial — 6.7%

       
    24,485  

Caterpillar, Inc. (a)

    5,155,072  
    44,880  

Emerson Electric Company (a)

    4,047,279  
    24,847  

L3Harris Technologies, Inc. (a)

    5,770,964  
    8,995  

Lockheed Martin Corporation (a)

    3,886,919  
    21,845  

Union Pacific Corporation (a)

    5,118,065  
    16,296  

United Parcel Service, Inc. - Class B

    2,932,954  
              26,911,253  
       

Technology — 26.3% (c)

       
    17,284  

Accenture plc - Class A (a)

    5,191,422  
    10,969  

Adobe, Inc. (a)(b)

    4,343,175  
    17,477  

Advanced Micro Devices, Inc. (a)(b)

    1,494,633  
    36,560  

Analog Devices, Inc. (a)

    5,644,133  
    174,565  

Apple, Inc. (a)

    27,520,172  
    10,459  

Broadcom, Inc. (a)

    5,798,365  
    27,289  

Broadridge Financial Solutions, Inc. (a)

    3,933,163  
    41,284  

Fidelity National Information Services, Inc. (a)

    4,093,309  
    10,265  

Intuit, Inc. (a)

    4,298,469  
    11,035  

Lam Research Corporation (a)

    5,139,662  
    84,100  

Microsoft Corporation (a)

    23,339,432  
    44,756  

Paychex, Inc. (a)

    5,671,928  
    24,398  

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

    4,292,584  
    29,956  

Texas Instruments, Inc. (a)

    5,100,010  
              105,860,457  

 

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

 

18

 

 

Aptus Collared Income Opportunity ETF

 

Schedule of Investments
April 30, 2022 (Continued)

 

 

 

Shares

 

Security Description

 


Value

 
       

COMMON STOCKS — 96.0% (Continued)

       

Utilities — 2.5%

       
    28,368  

American Water Works Company, Inc. (a)

  $ 4,370,941  
    80,160  

NextEra Energy, Inc. (a)

    5,692,963  
              10,063,904  
       

TOTAL COMMON STOCKS (Cost $359,310,954)

    386,061,048  

 

Contracts      Notional
Amount
     
     PURCHASED OPTIONS (d) — 3.6%          
     Put Options — 3.6%          
 1,000   S&P 500 Index, Expiration: 05/20/2022, Exercise Price: $4,200.00  $413,193,000    14,370,000 
     TOTAL PURCHASED OPTIONS (Cost $7,808,931)        14,370,000 
     Total Investments (Cost $367,119,885) — 99.6%        400,431,048 
     Other Assets in Excess of Liabilities — 0.4%        1,802,292 
     NET ASSETS — 100.0%       $402,233,340 

 

Percentages are stated as a percent of net assets.

   

ADR

American Depositary Receipt.

(a)

All or a portion of this security is held as collateral for the options written. At April 30, 2022, the value of these securities amount to $365,837,887 or 91.0% of net assets.

(b)

Non-income producing security.

(c)

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.

(d)

Exchange Traded.

 

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

 

19

 

 

Aptus Collared Income Opportunity ETF

 

Schedule of Written Options
April 30, 2022

 

 

 

Contracts

 

Security Description

 

Notional
Amount

   

Value

 
       

Written Options (a) — (0.6)%

       

Call Options — (0.2)%

    (169 )

Accenture plc - Class A, Expiration: 05/20/2022, Exercise Price: $360.00

  $ (5,076,084 )   $ (2,957 )
    (170 )

Advanced Micro Devices, Inc. - Class C, Expiration: 05/20/2022, Exercise Price: $115.00

    (1,453,840 )     (5,440 )
    (32 )

Alphabet, Inc. - Class C, Expiration: 05/20/2022, Exercise Price: $2,600.00

    (7,357,856 )     (23,040 )
    (32 )

Alphabet, Inc., Expiration: 05/20/2022, Exercise Price: $2,700.00

    (7,357,856 )     (11,760 )
    (270 )

Altria Group, Inc., Expiration: 05/20/2022, Exercise Price: $59.00

    (1,500,390 )     (7,425 )
    (48 )

Amazon.com, Inc., Expiration: 05/20/2022, Exercise Price: $2,950.00

    (11,931,024 )     (30,960 )
    (187 )

Analog Devices, Inc., Expiration: 05/20/2022, Exercise Price: $175.00

    (2,886,906 )     (11,220 )
    (170 )

Analog Devices, Inc., Expiration: 05/20/2022, Exercise Price: $180.00

    (2,624,460 )     (5,100 )
    (138 )

Anthem, Inc., Expiration: 05/20/2022, Exercise Price: $560.00

    (6,926,634 )     (10,350 )
       

Written Options (a) — (0.6)% (Continued)

       

Call Options — (0.2)% (Continued)

    (1,275 )

Apple, Inc., Expiration: 05/20/2022, Exercise Price: $175.00

    (20,100,375 )   (74,587 )
    (450 )

Apple, Inc., Expiration: 05/20/2022, Exercise Price: $182.50

    (7,094,250 )     (9,000 )
    (640 )

Bank of America Corporation, Expiration: 05/20/2022, Exercise Price: $44.00

    (2,283,520 )     (1,920 )
    (102 )

Broadcom, Inc., Expiration: 05/20/2022, Exercise Price: $660.00

    (5,654,778 )     (6,120 )
    (240 )

Caterpillar, Inc., Expiration: 05/20/2022, Exercise Price: $240.00

    (5,052,960 )     (13,920 )
    (170 )

Charles River Laboratories International, Inc., Expiration: 05/20/2022, Exercise Price: $340.00

    (4,105,670 )     (35,275 )
    (70 )

Chubb, Ltd., Expiration: 05/20/2022, Exercise Price: $230.00

    (1,445,150 )     (2,100 )
    (493 )

Comcast Corporation - Class A, Expiration: 05/20/2022, Exercise Price: $50.00

    (1,960,168 )     (1,479 )

 

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

 

20

 

 

Aptus Collared Income Opportunity ETF

 

Schedule of Written Options
April 30, 2022 (Continued)

 

 

 

Contracts

 

Security Description

 

Notional
Amount

   

Value

 
       

Written Options (a) — (0.6)% (Continued)

       

Call Options — (0.2)% (Continued)

    (312 )

Darden Restaurants, Inc., Expiration: 05/20/2022, Exercise Price: $145.00

  $ (4,109,976 )   $ (23,400 )
    (355 )

Diamondback Energy, Inc., Expiration: 05/20/2022, Exercise Price: $160.00

    (4,481,165 )     (18,637 )
    (115 )

Dollar General Corporation, Expiration: 05/20/2022, Exercise Price: $260.00

    (2,731,595 )     (7,475 )
    (115 )

Dollar General Corporation, Expiration: 05/20/2022, Exercise Price: $270.00

    (2,731,595 )     (2,300 )
    (604 )

D.R. Horton, Inc., Expiration: 05/20/2022, Exercise Price: $85.00

    (4,203,236 )     (10,570 )
    (89 )

Eli Lilly and Company, Expiration: 05/20/2022, Exercise Price: $320.00

    (2,599,957 )     (7,342 )
    (220 )

Emerson Electric Company, Expiration: 05/20/2022, Exercise Price: $100.00

    (1,983,960 )     (5,500 )
    (64 )

Equinix, Inc., Expiration: 05/20/2022, Exercise Price: $820.00

    (4,602,112 )     (15,360 )
       

Written Options (a) — (0.6)% (Continued)

       

Call Options — (0.2)% (Continued)

    (120 )

Goldman Sachs Group, Inc., Expiration: 05/20/2022, Exercise Price: $340.00

  (3,665,880 )   (10,620 )
    (1,023 )

Halliburton Company, Expiration: 05/20/2022, Exercise Price: $44.00

    (3,643,926 )     (14,322 )
    (189 )

Home Depot, Inc., Expiration: 05/20/2022, Exercise Price: $345.00

    (5,677,560 )     (14,175 )
    (140 )

Johnson & Johnson, Expiration: 05/20/2022, Exercise Price: $190.00

    (2,526,440 )     (8,190 )
    (242 )

L3Harris Technologies, Inc., Expiration: 05/20/2022, Exercise Price: $290.00

    (5,620,692 )     (24,200 )
    (108 )

Lam Research Corporation, Expiration: 05/20/2022, Exercise Price: $565.00

    (5,030,208 )     (13,878 )
    (161 )

Linde plc, Expiration: 05/20/2022, Exercise Price: $350.00

    (5,022,556 )     (9,257 )
    (45 )

Lockheed Martin Corporation, Expiration: 05/20/2022, Exercise Price: $480.00

    (1,944,540 )     (5,962 )

 

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

 

21

 

 

Aptus Collared Income Opportunity ETF

 

Schedule of Written Options
April 30, 2022 (Continued)

 

 

 

Contracts

 

Security Description

 

Notional
Amount

   

Value

 
       

Written Options (a) — (0.6)% (Continued)

       

Call Options — (0.2)% (Continued)

    (44 )

Lockheed Martin Corporation, Expiration: 05/20/2022, Exercise Price: $505.00

  $ (1,901,328 )   $ (1,980 )
    (284 )

Marriott International, Inc. - Class A, Expiration: 05/20/2022, Exercise Price: $200.00

    (5,041,568 )     (36,210 )
    (323 )

Marsh & McLennan Companies, Inc., Expiration: 05/20/2022, Exercise Price: $185.00

    (5,222,910 )     (4,038 )
    (91 )

Mastercard, Inc. - Class A, Expiration: 05/20/2022, Exercise Price: $400.00

    (3,306,758 )     (19,156 )
    (280 )

Merck & Company, Inc., Expiration: 05/20/2022, Exercise Price: $91.00

    (2,483,320 )     (29,400 )
    (136 )

Meta Platforms, Inc. - Class A, Expiration: 05/20/2022, Exercise Price: $227.50

    (2,726,392 )     (22,712 )
    (112 )

Meta Platforms, Inc. - Class A, Expiration: 05/20/2022, Exercise Price: $235.00

    (2,245,264 )     (10,640 )
    (414 )

Microsoft Corporation, Expiration: 05/20/2022, Exercise Price: $310.00

    (11,489,328 )     (30,222 )
       

Written Options (a) — (0.6)% (Continued)

       

Call Options — (0.2)% (Continued)

    (411 )

Microsoft Corporation, Expiration: 05/20/2022, Exercise Price: $325.00

    (11,406,072 )     (13,563 )
    (628 )

Mosaic Company, Expiration: 05/06/2022, Exercise Price: $77.00

    (3,919,976 )     (20,096 )
    (223 )

Paychex, Inc., Expiration: 05/20/2022, Exercise Price: $145.00

    (2,826,079 )     (5,018 )
    (299 )

PepsiCo, Inc., Expiration: 05/20/2022, Exercise Price: $185.00

    (5,134,129 )     (11,362 )
    (100 )

Pioneer Natural Resources Company, Expiration: 05/20/2022, Exercise Price: $300.00

    (2,324,700 )     (3,500 )
    (263 )

Procter & Gamble Company, Expiration: 05/20/2022, Exercise Price: $170.00

    (4,222,465 )     (12,098 )
    (304 )

Prologis, Inc., Expiration: 05/20/2022, Exercise Price: $180.00

    (4,872,816 )     (8,360 )
    (119 )

S&P Global, Inc., Expiration: 05/20/2022, Exercise Price: $450.00

    (4,480,350 )     (9,818 )

 

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

 

22

 

 

Aptus Collared Income Opportunity ETF

 

Schedule of Written Options
April 30, 2022 (Continued)

 

 

 

Contracts

 

Security Description

 

Notional
Amount

   

Value

 
       

Written Options (a) — (0.6)% (Continued)

       

Call Options — (0.2)% (Continued)

    (239 )

salesforce.com, Inc., Expiration: 05/20/2022, Exercise Price: $207.50

  $ (4,204,966 )   $ (12,547 )
    (111 )

Sherwin-Williams Company, Expiration: 05/20/2022, Exercise Price: $290.00

    (3,052,056 )     (23,033 )
    (70 )

SVB Financial Group, Expiration: 05/20/2022, Exercise Price: $600.00

    (3,413,480 )     (12,425 )
    (261 )

Target Corporation, Expiration: 05/20/2022, Exercise Price: $270.00

    (5,967,765 )     (15,530 )
    (45 )

Tesla, Inc., Expiration: 05/06/2022, Exercise Price: $1,050.00

    (3,918,420 )     (5,805 )
    (297 )

Texas Instruments, Inc., Expiration: 05/20/2022, Exercise Price: $187.50

    (5,056,425 )     (15,890 )
    (216 )

Union Pacific Corporation, Expiration: 05/20/2022, Exercise Price: $260.00

    (5,060,664 )     (8,640 )
    (80 )

United Parcel Service, Inc. - Class B, Expiration: 05/20/2022, Exercise Price: $200.00

    (1,439,840 )     (3,720 )
    (59 )

United Rentals, Inc., Expiration: 05/20/2022, Exercise Price: $390.00

    (1,867,468 )     (3,393 )
       

Written Options (a) — (0.6)% (Continued)

       

Call Options — (0.2)% (Continued)

    (284 )

Walmart, Inc., Expiration: 05/20/2022, Exercise Price: $170.00

  (4,344,916 )   (7,526 )
                      (790,523 )
       

Put Options — (0.4)%

    (1,000 )

S&P 500 Index, Expiration: 05/20/2022, Exercise Price: $3,600.00

    (413,193,000 )     (1,710,000 )
       

TOTAL WRITTEN OPTIONS (Premiums Received $1,912,525)

  $ (2,500,523 )

 

Percentages are stated as a percent of net assets.

 

(a)

Exchange traded.

 

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

 

23

 

 

Aptus Defined Risk ETF

 

Schedule of Investments
April 30, 2022

 

 

 

Shares

 

Security Description

 


Value

 
       

EXCHANGE TRADED FUNDS — 92.4% (a)

       

Investment Grade Corporate Bonds — 92.4%

    1,240,620  

Invesco BulletShares 2024 Corporate Bond ETF

  $ 25,854,521  
    1,256,310  

Invesco BulletShares 2025 Corporate Bond ETF

    25,829,734  
    1,324,370  

Invesco BulletShares 2026 Corporate Bond ETF

    25,772,240  
    314,070  

Invesco BulletShares 2028 Corporate Bond ETF

    6,378,762  
    2,011,290  

iShares iBonds Dec 2023 Term Corporate ETF (b)

    50,583,944  
    7,246,009  

iShares iBonds Dec 2024 Term Corporate ETF (b)

    179,860,435  
    7,643,518  

iShares iBonds Dec 2025 Term Corporate ETF (b)

    190,017,857  
    7,611,322  

iShares iBonds Dec 2026 Term Corporate ETF (b)

    182,671,728  
    6,118,429  

iShares iBonds Dec 2027 Term Corporate ETF (b)

    147,698,876  
       

TOTAL EXCHANGE TRADED FUNDS (Cost $876,733,983)

    834,668,097  

 

Contracts      Notional
Amount
     
     PURCHASED OPTIONS (c) — 1.6%          
     Call Options — 1.1%          
 25,000   Fidelity National Information Services, Inc., Expiration: 07/15/2022, Exercise Price: $140.00  $247,875,000    562,500 
 850   S&P 500 Index, Expiration: 07/15/2022, Exercise Price: $4,300.00   351,214,050    9,481,750 
              10,044,250 

 

 

Contracts

 

Security Description

 

Notional
Amount

   

Value

 
       

PURCHASED OPTIONS (c) — 1.6% (Continued)

       

Put Options — 0.5%

    300  

S&P 500 Index, Expiration: 05/20/2022, Exercise Price: $4,200.00 (d)

  $ 123,957,900     $ 4,311,000  
       

TOTAL PURCHASED OPTIONS (Cost $14,616,490)

    14,355,250  
       

Total Investments (Cost $891,350,473) — 94.0%

    849,023,347  
       

Other Assets in Excess of Liabilities — 6.0%

    54,346,856  
       

NET ASSETS — 100.0%

  $ 903,370,203  

 

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)

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

(c)

Exchange traded.

(d)

Security is held in connection with a written option, see Schedule of Written Options for more details.

 

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

 

24

 

 

Aptus Defined Risk ETF

 

Schedule of Written Options
April 30, 2022

 

 

 

Contracts

 

Security Description

 

Notional
Amount

   

Value

 
       

Written Options (a) — (0.1)%

       

Put Options — (0.1)%

    (300 )

S&P 500 Index, Expiration: 05/20/2022, Exercise Price: $3,600.00

  $ (123,957,900 )   $ (513,000 )
       

TOTAL WRITTEN OPTIONS (Premiums Received $294,229)

  $ (513,000 )

 

Percentages are stated as a percent of net assets.

 

(a)

Exchange traded.

 

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

 

25

 

 

Aptus Drawdown Managed Equity ETF

 

Schedule of Investments
April 30, 2022

 

 

 


Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.8%

       
       

Basic Materials — 3.5%

       
    18,830  

Franco-Nevada Corporation

  $ 2,846,343  
    10,294  

Linde plc

    3,211,316  
    55,485  

Mosaic Company

    3,463,374  
    12,052  

Sherwin-Williams Company

    3,313,818  
              12,834,851  
       

Communications — 8.9%

       
    6,054  

Alphabet, Inc. - Class C (a)

    13,920,144  
    4,521  

Amazon.com, Inc. (a)

    11,237,533  
    67,847  

Comcast Corporation - Class A

    2,697,596  
    22,155  

Meta Platforms, Inc. - Class A (a)

    4,441,413  
              32,296,686  
       

Consumer, Cyclical — 11.8%

       
    1,682  

AutoZone, Inc. (a)

    3,289,101  
    33,766  

Copart, Inc. (a)

    3,837,506  
    4,966  

Costco Wholesale Corporation

    2,640,521  
    34,242  

Darden Restaurants, Inc.

    4,510,699  
    26,017  

Dollar General Corporation

    6,179,818  
    46,765  

D.R. Horton, Inc.

    3,254,376  
    29,265  

Hilton Worldwide Holdings, Inc. (a)

    4,544,562  
    17,377  

Home Depot, Inc.

    5,220,051  
    9,220  

Pool Corporation

    3,736,128  
    3,751  

Tesla, Inc. (a)

    3,266,221  
    16,916  

Walmart, Inc.

    2,587,979  
              43,066,962  
       

Consumer, Non-cyclical — 18.6%

       
    32,161  

Abbott Laboratories

    3,650,273  
    17,308  

AbbVie, Inc.

    2,542,199  
    44,462  

Altria Group, Inc.

    2,470,753  
    6,133  

Anthem, Inc.

    3,078,337  
    90,080  

Boston Scientific Corporation (a)

    3,793,269  
    9,327  

Chemed Corporation

    4,583,195  
    12,033  

Eli Lilly and Company

    3,515,200  
    14,290  

Intuitive Surgical, Inc. (a)

    3,419,597  
    18,209  

IQVIA Holdings, Inc. (a)

    3,969,380  
    26,919  

Johnson & Johnson

    4,857,803  
    24,205  

Merck & Company, Inc.

    2,146,741  
    30,097  

PepsiCo, Inc.

    5,167,956  
    23,584  

Procter & Gamble Company

    3,786,411  
    45,908  

Royalty Pharma plc - Class A

    1,954,763  
    6,682  

S&P Global, Inc.

    2,515,773  
    9,381  

Thermo Fisher Scientific, Inc.

    5,186,943  
    13,531  

UnitedHealth Group, Inc.

    6,881,190  
    23,205  

Zoetis, Inc.

    4,113,086  
              67,632,869  
       

COMMON STOCKS — 96.8% (Continued)

       

Energy — 3.6%

       
    28,014  

Chevron Corporation

  4,388,953  
    29,114  

Diamondback Energy, Inc.

    3,675,060  
    21,136  

Pioneer Natural Resources Company

    4,913,486  
              12,977,499  
       

Financial — 16.3%

       
    100,596  

Bank of America Corporation

    3,589,265  
    18,567  

Berkshire Hathaway, Inc. - Class B (a)

    5,993,985  
    34,046  

Blackstone, Inc.

    3,458,052  
    26,546  

Charles Schwab Corporation

    1,760,796  
    20,545  

Chubb, Ltd.

    4,241,515  
    17,921  

Extra Space Storage, Inc.

    3,404,990  
    20,150  

First Republic Bank/CA

    3,006,783  
    247,284  

Host Hotels & Resorts, Inc.

    5,032,230  
    40,719  

Intercontinental Exchange, Inc.

    4,715,667  
    36,555  

JPMorgan Chase & Company

    4,363,205  
    11,355  

Mastercard, Inc. - Class A

    4,126,180  
    12,037  

PNC Financial Services Group, Inc.

    1,999,346  
    24,758  

Progressive Corporation

    2,658,019  
    26,591  

Sun Communities, Inc.

    4,668,582  
    29,833  

Visa, Inc. - Class A

    6,358,307  
              59,376,922  
       

Industrial — 7.1%

       
    25,908  

Caterpillar, Inc.

    5,454,670  
    11,625  

Lockheed Martin Corporation

    5,023,395  
    64,080  

Otis Worldwide Corporation

    4,667,587  
    19,871  

Raytheon Technologies Corporation

    1,885,957  
    165,775  

Tenaris SA - ADR

    5,003,089  
    15,957  

Union Pacific Corporation

    3,738,566  
              25,773,264  
       

Technology — 24.5%

       
    18,194  

Accenture plc - Class A

    5,464,750  
    6,283  

Adobe, Inc. (a)

    2,487,754  
    33,558  

Advanced Micro Devices, Inc. (a)

    2,869,880  
    162,112  

Apple, Inc.

    25,556,957  
    3,886  

ASML Holding NV - NY

    2,190,810  
    8,106  

Broadcom, Inc.

    4,493,885  
    38,665  

Fidelity National Information Services, Inc.

    3,833,635  
    9,415  

Lam Research Corporation

    4,385,131  
    78,368  

Microsoft Corporation

    21,748,687  
    25,910  

NVIDIA Corporation

    4,805,528  
    12,464  

Roper Technologies, Inc.

    5,857,083  
    19,415  

salesforce.com, Inc. (a)

    3,415,875  
    4,424  

ServiceNow, Inc. (a)

    2,115,114  
              89,225,089  

 

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

 

26

 

 

Aptus Drawdown Managed Equity ETF

 

Schedule of Investments
April 30, 2022 (Continued)

 

 

 


Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.8% (Continued)

       

Utilities — 2.5%

       
    22,730  

American Water Works Company, Inc.

  $ 3,502,239  
    77,920  

NextEra Energy, Inc.

    5,533,878  
              9,036,117  
       

TOTAL COMMON STOCKS (Cost $317,492,398)

    352,220,259  

 

 

Contracts

     

Notional
Amount

         
       

PURCHASED OPTIONS (b) — 3.0%

       

Put Options — 3.0%

               
    1,100  

S&P 500 Index, Expiration: 05/06/2022, Exercise Price: $4,000.00 (c)

  $ 454,512,300       3,421,000  
    2,400  

S&P 500 Index, Expiration: 06/17/2022, Exercise Price: $3,500.00 (c)

    991,663,200       7,608,000  
       

TOTAL PURCHASED OPTIONS (Cost $3,508,902)

    11,029,000  
       

Total Investments (Cost $321,001,300) — 99.8%

    363,249,259  
       

Other Assets in Excess of Liabilities — 0.2%

    769,875  
       

NET ASSETS — 100.0%

  $ 364,019,134  

 

Percentages are stated as a percent of net assets.

 

ADR

American Depositary Receipt.

NY

New York Registry Shares.

(a)

Non-income producing security.

(b)

Exchange traded.

(c)

Security is held in connection with a written option, see Schedule of Written Options for more details.

 

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

 

27

 

 

Aptus Drawdown Managed Equity ETF

 

Schedule of Written Options
April 30, 2022

 

 

 

Contracts

 

Security Description

 

Notional
Amount

   

Value

 
       

Written Options (a) — (1.0)%

       

Put Options — (1.0)%

    (1,100 )

S&P 500 Index, Expiration: 05/06/2022, Exercise Price: $3,600.00

  $ (454,512,300 )   $ (550,000 )
    (2,400 )

S&P 500 Index, Expiration: 06/17/2022, Exercise Price: $3,000.00

    (991,663,200 )     (2,916,000 )
       

TOTAL WRITTEN OPTIONS (Premiums Received $2,101,251)

  $ (3,466,000 )

 

Percentages are stated as a percent of net assets.

 

(a)

Exchange traded.

 

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

 

28

 

 

Opus Small Cap Value ETF

 

Schedule of Investments
April 30, 2022

 

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.7%

       
       

Basic Materials — 3.5%

       
    129,389  

Hudbay Minerals, Inc.

  $ 828,090  
    15,762  

Reliance Steel & Aluminum Company

    3,124,816  
    85,652  

Valvoline, Inc.

    2,589,260  
              6,542,166  
       

Communications — 1.1%

       
    26,374  

Shutterstock, Inc.

    1,997,039  
                 
       

Consumer, Cyclical — 12.1%

       
    42,825  

Boyd Gaming Corporation

    2,594,339  
    12,744  

Churchill Downs, Inc.

    2,586,267  
    20,126  

Columbia Sportswear Company

    1,653,552  
    103,871  

KB Home

    3,368,537  
    18,927  

Marriott Vacations Worldwide Corporation

    2,826,369  
    47,262  

Patrick Industries, Inc.

    2,942,060  
    36,204  

RCI Hospitality Holdings, Inc.

    2,243,200  
    31,313  

Texas Roadhouse, Inc.

    2,577,999  
    6,790  

Watsco, Inc.

    1,811,436  
              22,603,759  
       

Consumer, Non-cyclical — 11.9%

       
    9,083  

Chemed Corporation

    4,463,295  
    39,805  

Ensign Group, Inc.

    3,197,536  
    51,182  

EVERTEC, Inc.

    2,016,571  
    34,048  

ICF International, Inc.

    3,364,283  
    59,548  

Kforce, Inc.

    4,171,337  
    29,516  

US Physical Therapy, Inc.

    3,062,875  
    11,020  

WD-40 Company

    2,027,460  
              22,303,357  
       

Energy — 13.6%

       
    98,716  

Atlantica Sustainable Infrastructure plc

    3,050,324  
    141,543  

Brigham Minerals, Inc. - Class A

    3,507,436  
    79,844  

Helmerich & Payne, Inc.

    3,675,219  
    176,295  

Kimbell Royalty Partners LP

    2,967,045  
    33,020  

NextEra Energy Partners LP

    2,201,113  
    19,466  

Oasis Petroleum, Inc.

    2,582,360  
    112,286  

Patterson-UTI Energy, Inc.

    1,845,982  
    1,955  

Texas Pacific Land Corporation

    2,671,703  
    107,663  

Viper Energy Partners LP

    3,093,158  
              25,594,340  
       

Financial — 31.4% (a)

       
    134,004  

City Office REIT, Inc.

    1,988,619  
    29,496  

Community Healthcare Trust, Inc.

    1,086,043  
    16,053  

EastGroup Properties, Inc.

    3,009,937  
    59,642  

Enterprise Financial Services Corporation

    2,634,387  
       

COMMON STOCKS — 96.7% (Continued)

       

Financial — 31.4% (a) (Continued)

    88,918  

Essential Properties Realty Trust, Inc.

  2,134,032  
    49,510  

Four Corners Property Trust, Inc.

    1,359,545  
    62,930  

German American Bancorp, Inc.

    2,208,843  
    62,650  

Gladstone Land Corporation

    2,280,460  
    106,086  

Global Medical REIT, Inc.

    1,565,829  
    42,334  

Hannon Armstrong Sustainable Infrastructure Capital, Inc.

    1,692,937  
    22,198  

Hanover Insurance Group, Inc.

    3,259,110  
    12,213  

Hingham Institution for Savings

    3,945,654  
    50,668  

Home BancShares, Inc./AR

    1,095,442  
    10,023  

Innovative Industrial Properties, Inc.

    1,449,226  
    107,804  

Ladder Capital Corporation

    1,227,887  
    37,896  

Lakeland Financial Corporation

    2,759,587  
    28,215  

National Storage Affiliates Trust

    1,596,969  
    30,420  

NexPoint Residential Trust, Inc.

    2,712,247  
    143,758  

Old Second Bancorp, Inc.

    1,979,548  
    42,614  

Preferred Bank

    2,860,252  
    11,748  

Primerica, Inc.

    1,522,071  
    92,133  

Seacoast Banking Corporation of Florida

    2,994,322  
    45,250  

Stock Yards Bancorp, Inc.

    2,365,670  
    81,430  

UMH Properties, Inc.

    1,915,234  
    41,901  

Washington Trust Bancorp, Inc.

    1,966,833  
    100,491  

West BanCorp, Inc.

    2,512,275  
    36,627  

Western Alliance Bancorp

    2,787,681  
              58,910,640  
       

Industrial — 18.5%

       
    20,315  

AptarGroup, Inc.

    2,332,771  
    52,136  

Arcosa, Inc.

    2,790,840  
    13,694  

Carlisle Companies, Inc.

    3,551,676  
    22,482  

Comfort Systems USA, Inc.

    1,897,930  
    21,490  

Encore Wire Corporation

    2,424,287  
    71,312  

Federal Signal Corporation

    2,426,747  
    34,734  

Forward Air Corporation

    3,368,156  
    13,384  

Hubbell, Inc.

    2,614,698  
    11,958  

Kadant, Inc.

    2,212,230  
    23,622  

Landstar System, Inc.

    3,659,048  
    24,688  

Owens Corning

    2,244,880  
    21,811  

Tetra Tech, Inc.

    3,037,836  
    26,345  

UFP Industries, Inc.

    2,038,313  
              34,599,412  
       

Technology — 3.3%

       
    119,331  

Magic Software Enterprises, Ltd.

    2,060,846  
    16,269  

MKS Instruments, Inc.

    1,854,341  
    30,847  

TTEC Holdings, Inc.

    2,276,817  
              6,192,004  

 

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

 

29

 

 

Opus Small Cap Value ETF

 

Schedule of Investments
April 30, 2022 (Continued)

 

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.7% (Continued)

       

Utilities — 1.3%

    46,628  

California Water Service Group

  $ 2,418,594  
       

TOTAL COMMON STOCKS (Cost $175,221,243)

    181,161,311  
       

Total Investments (Cost $175,221,243) — 96.7%

    181,161,311  
       

Other Assets in Excess of Liabilities — 3.3%

    6,261,474  
       

NET ASSETS — 100.0%

  $ 187,422,785  

 

Percentages are stated as a percent of net assets.

 

(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.

 

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

 

30

 

 

International Drawdown Managed Equity ETF

 

Schedule of Investments
April 30, 2022

 

 

 

Shares

 

Security Description

 


Value

 
       

EXCHANGE TRADED FUNDS — 98.0% (a)

       

Developed Market Equity — 70.5%

    3,141,571  

SPDR Portfolio Developed World ex-US ETF (b)

  $ 100,090,452  
                 
       

Emerging Market Equity — 27.5% (b)

       
    897,778  

Vanguard FTSE Emerging Markets ETF (b)

    38,999,477  
       

TOTAL EXCHANGE TRADED FUNDS (Cost $160,392,920)

    139,089,929  
                         
 

Contracts

     

Notional
Amount

         
       

PURCHASED OPTIONS (c) — 1.1%

       
       

Call Options — 0.0% (d)

       
    1,500  

iShares MSCI Brazil ETF, Expiration: 05/20/2022, Exercise Price: $35.00

  $ 4,915,500       58,500  

 

 

Contracts

 

Security Description

 

Notional
Amount

   

Value

 
       

PURCHASED OPTIONS (c) — 1.1% (Continued)

       

Put Options — 1.1%

               
    5,000  

iShares MSCI Emerging Markets ETF, Expiration: 05/20/2022, Exercise Price: $40.00

  $ 21,190,000     $ 235,000  
    13,000  

iShares MSCI EAFE ETF, Expiration: 05/20/2022, Exercise Price: $67.00

    89,232,000       1,300,000  
                      1,535,000  
       

TOTAL PURCHASED OPTIONS (Cost $1,658,804)

    1,593,500  
       

Total Investments (Cost $162,051,724) - 99.1%

    140,683,429  
       

Other Assets in Excess of Liabilities - 0.9%

    1,225,325  
       

NET ASSETS — 100.0%

  $ 141,908,754  

 

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)

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

(c)

Exchange traded.

(d)

Represents less than 0.05% of net assets.

 

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

 

31

 

 

Aptus ETFs

 

Statements of Assets and Liabilities

April 30, 2022

 

 

   

Aptus Collared
Income
Opportunity ETF

   

Aptus Defined
Risk ETF

   

Aptus Drawdown
Managed
Equity ETF

   

Opus Small Cap
Value ETF

   

International
Drawdown
Managed
Equity ETF

 

ASSETS

                                       

Investments in unaffiliated securities, at value*

  $ 400,431,048     $ 148,774,451     $ 363,249,259     $ 181,161,311     $ 140,683,429  

Investments in affiliated securities, at value*

          700,248,896                    

Cash

    699,164       42,430,157       680,447       6,250,783       390,985  

Receivable for capital shares sold

    3,001,740                         1,080,665  

Deposit at broker for options

    2,364,503       12,929,295       3,664,512             870,015  

Restricted cash for options

    932,394                          

Dividends and interest receivable

    241,672             245,190       135,142        

Receivable for securities sold

    214,954             3,862,048              

Total assets

    407,885,475       904,382,799       371,701,456       187,547,236       143,025,094  
                                         

LIABILITIES

                                       

Written options, at value (premiums received, $1,912,525, $294,229, $2,101,251, $0, and $0)

    2,500,523       513,000       3,466,000              

Payable for securities purchased

    2,888,372             3,969,562             1,045,753  

Management fees payable

    263,240       499,596       246,760       124,451       70,587  

Total liabilities

    5,652,135       1,012,596       7,682,322       124,451       1,116,340  
                                         

NET ASSETS

  $ 402,233,340     $ 903,370,203     $ 364,019,134     $ 187,422,785     $ 141,908,754  
                                         

Net Assets Consist of:

                                       

Paid-in capital

  $ 385,037,906     $ 964,972,970     $ 369,621,961     $ 183,199,911     $ 163,819,681  

Total distributable earnings (accumulated deficit)

    17,195,434       (61,602,767 )     (5,602,827 )     4,222,874       (21,910,927 )

Net assets

  $ 402,233,340     $ 903,370,203     $ 364,019,134     $ 187,422,785     $ 141,908,754  
                                         

Net Asset Value:

                                       

Net assets

  $ 402,233,340     $ 903,370,203     $ 364,019,134     $ 187,422,785     $ 141,908,754  

Shares outstanding ^

    13,400,000       33,450,000       9,541,755       5,975,000       6,650,000  

Net asset value, offering and redemption price per share

  $ 30.02     $ 27.01     $ 38.15     $ 31.37     $ 21.34  
                                         

* Identified cost:

                                       

Investments in unaffiliated securities

  $ 367,119,885     $ 150,586,314     $ 321,001,300     $ 175,221,243     $ 162,051,724  

Investment in affiliated securities

          740,764,159                    

 

^

No par value, unlimited number of shares authorized.

 

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

 

32

 

 

Aptus ETFs

 

Statements of Operations

For the Year/Period Ended April 30, 2022

 

 

   

Aptus Collared
Income
Opportunity ETF

   

Aptus Defined
Risk ETF

   

Aptus Drawdown
Managed
Equity ETF

   

Opus Small Cap
Value ETF

   

International
Drawdown
Managed
Equity ETF
(1)

 

INCOME

                                       

Dividends from unaffiliated investments*

  $ 4,302,330     $ 128,574     $ 3,175,181     $ 2,265,642     $ 2,062,437  

Dividends from affiliated investments

          11,756,162                    

Total investment income

    4,302,330       11,884,736       3,175,181       2,265,642       2,062,437  
                                         

EXPENSES

                                       

Management fees

    2,444,002       5,524,175       2,364,545       1,227,928       481,680  

Interest expense

    3,957       61,528       2,274             531  

Total expenses

    2,447,959       5,585,703       2,366,819       1,227,928       482,211  

Net investment income (loss)

    1,854,371       6,299,033       808,362       1,037,714       1,580,226  
                                         

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

                                       

Net realized gain (loss) on:

                                       

Investments in unaffiliated securities

    (432,235 )     (10,564,973 )     (5,420,608 )     4,954,649       (148,022 )

Investments in affiliated securities

          (7,987,539 )                  

Capital gain distributions from affiliated underlying exchange traded funds

          982,174                    

Written options

    7,936,482       1,374,279       6,252,857             (209,745 )

Change in unrealized appreciation (depreciation) on:

                                       

Investments in unaffiliated securities

    (11,170,803 )     98,625       (14,164,055 )     (16,164,706 )     (21,368,295 )

Investments in affiliated securities

          (43,245,604 )                  

Written options

    (874,797 )     222,754       (1,592,675 )            

Foreign currency translation

                      (169 )      

Net realized and unrealized gain (loss) on investments

    (4,541,353 )     (59,120,284 )     (14,924,481 )     (11,210,226 )     (21,726,062 )

Net increase (decrease) in net assets resulting from operations

  $ (2,686,982 )   $ (52,821,251 )   $ (14,116,119 )   $ (10,172,512 )   $ (20,145,836 )

 

*

Net of foreign withholding taxes  $   $   $12,729   $22,015   $ 

 

(1)

The Fund commenced operations on July 22, 2021. The information presented is from July 22, 2021 to April 30, 2022.

 

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

 

33

 

 

Aptus Collared Income Opportunity ETF

 

Statements of Changes in Net Assets

 

 

   

Year Ended
April 30, 2022

   

Year Ended
April 30, 2021

 

OPERATIONS

               

Net investment income (loss)

  $ 1,854,371     $ 1,549,485  

Net realized gain (loss) on investments and written options

    7,504,247       (10,089,648 )

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

    (12,045,600 )     42,343,475  

Net increase (decrease) in net assets resulting from operations

    (2,686,982 )     33,803,312  
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Net distributions to shareholders

    (1,918,599 )     (1,454,907 )

Total distributions to shareholders

    (1,918,599 )     (1,454,907 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    222,153,030       65,756,530  

Payments for shares redeemed

    (17,056,045 )     (9,332,665 )

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

    205,096,985       56,423,865  

Net increase (decrease) in net assets

  $ 200,491,404     $ 88,772,270  
                 

NET ASSETS

               

Beginning of year

  $ 201,741,936     $ 112,969,666  

End of year

  $ 402,233,340     $ 201,741,936  

 

(a)

A summary of capital share transactions is as follows:

 

    

Shares

    

Shares

 
Shares sold   7,150,000    2,450,000 
Shares redeemed   (550,000)   (350,000)
Net increase (decrease)   6,600,000    2,100,000 

 

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

 

34

 

 

Aptus Defined Risk ETF

 

Statements of Changes in Net Assets

 

 

   

Year Ended
April 30, 2022

   

Year Ended
April 30, 2021

 

OPERATIONS

               

Net investment income (loss)

  $ 6,299,033     $ 5,065,214  

Net realized gain (loss) on investments and written options

    (16,196,059 )     15,273,873  

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

    (42,924,225 )     (2,599,092 )

Net increase (decrease) in net assets resulting from operations

    (52,821,251 )     17,739,995  
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Net distributions to shareholders

    (20,526,380 )     (27,066,131 )

Total distributions to shareholders

    (20,526,380 )     (27,066,131 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    389,698,415       425,007,540  

Payments for shares redeemed

    (69,344,055 )     (19,346,640 )

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

    320,354,360       405,660,900  

Net increase (decrease) in net assets

  $ 247,006,729     $ 396,334,764  
                 

NET ASSETS

               

Beginning of year

  $ 656,363,474     $ 260,028,710  

End of year

  $ 903,370,203     $ 656,363,474  

 

(a)

A summary of capital share transactions is as follows:

 

   Shares   Shares 
Shares sold   13,500,000    14,150,000 
Shares redeemed   (2,400,000)   (650,000)
Net increase (decrease)   11,100,000    13,500,000 

 

 

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

 

35

 

 

Aptus Drawdown Managed Equity ETF

 

Statements of Changes in Net Assets

 

 

   

Year Ended
April 30, 2022

   

Year Ended
April 30, 2021

 

OPERATIONS

               

Net investment income (loss)

  $ 808,362     $ 510,194  

Net realized gain (loss) on investments and written options

    832,249       (4,593,838 )

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

    (15,756,730 )     47,892,841  

Net increase (decrease) in net assets resulting from operations

    (14,116,119 )     43,809,197  
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Net distributions to shareholders

    (772,332 )     (604,958 )

Tax return of capital to shareholders

          (49,223 )

Total distributions to shareholders

    (772,332 )     (654,181 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    166,728,365       58,663,075  

Payments for shares redeemed

    (10,154,155 )     (10,734,185 )

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

    156,574,210       47,928,890  

Net increase (decrease) in net assets

  $ 141,685,759     $ 91,083,906  
                 

NET ASSETS

               

Beginning of year

  $ 222,333,375     $ 131,249,469  

End of year

  $ 364,019,134     $ 222,333,375  

 

(a)

A summary of capital share transactions is as follows:

 

   Shares   Shares 
Shares sold   4,050,000    1,700,000 
Shares redeemed   (250,000)   (300,000)
Net increase (decrease)   3,800,000    1,400,000 

 

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

 

36

 

 

Opus Small Cap Value ETF

 

Statements of Changes in Net Assets

 

 

   

Year Ended
April 30, 2022

   

Year Ended
April 30, 2021

 

OPERATIONS

               

Net investment income (loss)

  $ 1,037,714     $ 500,539  

Net realized gain (loss) on investments

    4,954,649       4,133,180  

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

    (16,164,875 )     27,115,173  

Net increase (decrease) in net assets resulting from operations

    (10,172,512 )     31,748,892  
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Net distributions to shareholders

    (1,560,722 )     (500,479 )

Tax return of capital to shareholders

          (88,541 )

Total distributions to shareholders

    (1,560,722 )     (589,020 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    102,346,398       34,911,667  

Payments for shares redeemed

    (9,850,255 )     (3,804,595 )

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

    92,496,143       31,107,072  

Net increase (decrease) in net assets

  $ 80,762,909     $ 62,266,944  
                 

NET ASSETS

               

Beginning of year

  $ 106,659,876     $ 44,392,932  

End of year

  $ 187,422,785     $ 106,659,876  

 

(a)

A summary of capital share transactions is as follows:

 

   Shares   Shares 
Shares sold   3,050,000    1,225,000 
Shares redeemed   (300,000)   (175,000)
Net increase (decrease)   2,750,000    1,050,000 

 

 

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

 

37

 

 

International Drawdown Managed Equity ETF

 

Statement of Changes in Net Assets

 

 

   

Period Ended
April 30, 2022
(1)

 

OPERATIONS

       

Net investment income (loss)

  $ 1,580,226  

Net realized gain (loss) on investments and written options

    (357,767 )

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

    (21,368,295 )

Net increase (decrease) in net assets resulting from operations

    (20,145,836 )
         

DISTRIBUTIONS TO SHAREHOLDERS

       

Net distributions to shareholders

    (1,732,695 )

Total distributions to shareholders

    (1,732,695 )
         

CAPITAL SHARE TRANSACTIONS

       

Proceeds from shares sold

    166,218,085  

Payments for shares redeemed

    (2,430,800 )

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

    163,787,285  

Net increase (decrease) in net assets

  $ 141,908,754  
         

NET ASSETS

       

Beginning of period

  $  

End of period

  $ 141,908,754  

 

(a)

A summary of capital share transactions is as follows:

 

   Shares 
Shares sold   6,750,000 
Shares redeemed   (100,000)
Net increase (decrease)   6,650,000 

 

(1)

The Fund commenced operations on July 22, 2021. The information presented is from July 22, 2021 to April 30, 2022.

 

 

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

 

38

 

 

Aptus Collared Income Opportunity ETF

 

Financial Highlights

For a capital share outstanding throughout the year/period

 

 

   Year Ended April 30,  

Period
Ended
April 30,

 
    2022    2021    2020(1) 
Net asset value, beginning of year/period  $29.67   $24.04   $25.00 
                
INCOME (LOSS) FROM INVESTMENT OPERATIONS:               

Net investment income (loss) (2)

   0.19    0.27    0.49 

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

   0.34    5.61    (1.01)
Total from investment operations   0.53    5.88    (0.52)
                
DISTRIBUTIONS TO SHAREHOLDERS:               
From net investment income   (0.18)   (0.25)   (0.44)
Total distributions to shareholders   (0.18)   (0.25)   (0.44)
                
Net asset value, end of year/period  $30.02   $29.67   $24.04 
                
Total return   1.78%   24.57%   -2.14%(4)
                
SUPPLEMENTAL DATA:               
Net assets at end of year/period (000’s)  $402,233   $201,742   $112,970 
                
RATIOS TO AVERAGE NET ASSETS:               
Expenses to average net assets   0.79%   0.79%   0.79%(5)
Net investment income (loss) to average net assets   0.60%   0.99%   2.46%(5)

Portfolio turnover rate (6)

   48%   46%   170%(4)

 

(1)

Commencement of operations on July 9, 2019.

(2)

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

(3)

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

 

39

 

 

Aptus Defined Risk ETF

 

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

 

 

   Year Ended April 30,  

Period
Ended
April 30,

 
    2022    2021    2020    2019(1) 
Net asset value, beginning of year/period  $29.37   $29.38   $26.51   $25.00 
                     
INCOME (LOSS) FROM INVESTMENT OPERATIONS:                    

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

   0.23    0.32    0.55    0.35 

Net realized and unrealized gain (loss) on investments (4)

   (1.86)   1.31    3.14    1.90 
Total from investment operations   (1.63)   1.63    3.69    2.25 
                     
DISTRIBUTIONS TO SHAREHOLDERS:                    
From net investment income   (0.20)   (0.33)   (0.50)   (0.27)
From realized gains   (0.53)   (1.31)   (0.32)   (0.47)
Total distributions to shareholders   (0.73)   (1.64)   (0.82)   (0.74)
                     
Net asset value, end of year/period  $27.01   $29.37   $29.38   $26.51 
                     
Total return   -5.73%   5.62%   14.12%   9.23%(5)
                     
SUPPLEMENTAL DATA:                    
Net assets at end of year/period (000’s)  $903,370   $656,363   $260,029   $104,695 
                     
RATIOS TO AVERAGE NET ASSETS:                    

Expenses to average net assets (6)

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

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

   0.79%(8)   1.07%(8)   1.97%   1.86%(7)

Portfolio turnover rate (9)

   69%   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)

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 Statements 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)

Annualized

(8)

Includes broker interest expense of 0.01%.

(9)

Excludes the impact of in-kind transactions.

 

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

 

40

 

 

Aptus Drawdown Managed Equity ETF

 

Financial Highlights
For a capital share outstanding throughout the year

 

 

   

Year Ended April 30,

 
   

2022

   

2021

   

2020

   

2019

   

2018

 

Net asset value, beginning of year

  $ 38.72     $ 30.23     $ 29.82     $ 32.49     $ 26.57  
                                         

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

                                       

Net investment income (loss) (1)

    0.11       0.10       0.28       0.29       0.05  

Net realized and unrealized gain (loss) on investments (2)

    (0.58 )     8.52       0.39       (2.72 )     5.97  

Total from investment operations

    (0.47 )     8.62       0.67       (2.43 )     6.02  
                                         

DISTRIBUTIONS TO SHAREHOLDERS:

                                       

From net investment income

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

Tax return of capital to shareholders

          (0.01 )                  

Total distributions to shareholders

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

Net asset value, end of year

  $ 38.15     $ 38.72     $ 30.23     $ 29.82     $ 32.49  
                                         

Total return

    -1.23 %     28.59 %     2.27 %     -7.46 %     22.68 %
                                         

SUPPLEMENTAL DATA:

                                       

Net assets at end of year (000’s)

  $ 364,019     $ 222,333     $ 131,249     $ 70,065     $ 56,866  
                                         

RATIOS TO AVERAGE NET ASSETS:

                                       

Expenses to average net assets

    0.79 %     0.79 %     0.79 %     0.79 %     0.79 %

Net investment income (loss) to average net assets

    0.27 %     0.29 %     0.94 %     0.91 %     0.17 %

Portfolio turnover rate (3)

    43 %     48 %     230 %     321 %     124 %

 

(1)

Calculated based on average shares outstanding during the year.

(2)

Realized and unrealized gains and losses 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 gains and losses in the Statements of Operations due to share transactions for the period.

(3)

Excludes the impact of in-kind transactions.

 

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

 

41

 

 

Opus Small Cap Value ETF

 

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

 

 

   Year Ended April 30,  

Period
Ended
April 30,

 
    2022    2021    2020    2019(1)  
Net asset value, beginning of year/period  $33.07   $20.41   $25.00   $25.00 
                     
INCOME (LOSS) FROM INVESTMENT OPERATIONS:                    

Net investment income (loss) (2)

   0.22    0.21    0.48    0.38 

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

   (1.59)   12.69    (4.53)   (0.08)
Total from investment operations   (1.37)   12.90    (4.05)   0.30 
                     
DISTRIBUTIONS TO SHAREHOLDERS:                    
From net investment income   (0.21)   (0.20)   (0.49)   (0.30)
From realized gains   (0.12)            
Tax return of capital to shareholders       (0.04)   (0.05)    
Total distributions to shareholders   (0.33)   (0.24)   (0.54)   (0.30)
                     
CAPITAL SHARE TRANSACTIONS                    
Transaction fees (Note 8)           0.00(4)   0.00(4)
                     
Net asset value, end of year/period  $31.37   $33.07   $20.41   $25.00 
                     
Total return   -4.25%   63.49%   -16.46%   1.34%(5)
                     
SUPPLEMENTAL DATA:                    
Net assets at end of year/period (000’s)  $187,423   $106,660   $44,393   $46,877 
                     
RATIOS TO AVERAGE NET ASSETS:                    
Expenses to average net assets   0.79%   0.79%   0.79%   0.79%(6)
Net investment income (loss) to average net assets   0.67%   0.77%   1.94%   2.01%(6)

Portfolio turnover rate (7)

   45%   65%   56%   31%(5)

 

(1)

Commencement of operations on July 17, 2018.

(2)

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

(3)

Realized and unrealized gains and losses 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 gains and losses in the Statements of Operations due to share transactions for the period.

(4)

Less than $0.005.

(5)

Not annualized.

(6)

Annualized

(7)

Excludes the impact of in-kind transactions.

 

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

 

42

 

 

International Drawdown Managed Equity ETF

 

Financial Highlights
For a capital share outstanding throughout the period

 

 

   

Period
Ended
April 30,
2022
(1)

 

Net asset value, beginning of period

  $ 25.00  
         

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

       

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

    0.36  

Net realized and unrealized gain (loss) on investments (4)

    (3.68 )

Total from investment operations

    (3.32 )
         

DISTRIBUTIONS TO SHAREHOLDERS:

       

From net investment income

    (0.34 )

Total distributions to shareholders

    (0.34 )
         

Net asset value, end of period

  $ 21.34  
         

Total return

    (13.46 )%(5)
         

SUPPLEMENTAL DATA:

       

Net assets at end of period (000’s)

  $ 141,909  
         

RATIOS TO AVERAGE NET ASSETS:

       

Expenses to average net assets (6)

    0.59 %(7)

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

    1.93 %(7)

Portfolio turnover rate (8)

    2 %(5)

 

(1)

Commencement of operations on July 22, 2021.

(2)

Calculated based on average shares outstanding during the 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 and losses 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 gains and losses in the Statements 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)

Annualized

(8)

Excludes the impact of in-kind transactions.

 

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

 

43

 

 

Aptus ETFs

 

Notes to Financial Statements

April 30, 2022

 

 

NOTE 1 – ORGANIZATION

 

Aptus Collared Income Opportunity ETF and International Drawdown Managed Equity ETF are each 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. International Drawdown Managed Equity ETF commenced operations on July 22, 2021, and its investment objective is to seek capital appreciation with downside protection.

 

The end of the reporting period for the Funds is April 30, 2022 and the period covered by these Notes to Financial Statements is the fiscal year from May 1, 2021 to April 30, 2022 for Aptus Collared Income Opportunity ETF, Aptus Defined Risk ETF, Aptus Drawdown Equity ETF, and Opus Small Cap Value ETF and the period from July 22, 2021 to April 30, 2022 for International Drawdown Managed Equity ETF (each, respectively, 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:

 

44

 

 

Aptus ETFs

 

Notes to Financial Statements
April 30, 2022 (Continued)

 

 

 

Level 1 –

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

 

 

Level 2 –

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

 

 

Level 3 –

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

 

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

 

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

 

The following is a summary of the inputs used to value 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

  $ 386,061,048     $     $     $ 386,061,048  

Purchased Options

          14,370,000             14,370,000  

Total Investments in Securities

  $ 386,061,048     $ 14,370,000     $     $ 400,431,048  

 

Liabilities^

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Written Options

  $     $ 2,500,523     $     $ 2,500,523  

Total Written Options

  $     $ 2,500,523     $     $ 2,500,523  

 

^

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

  $ 834,668,097     $     $     $ 834,668,097  

Purchased Options

          14,355,250             14,355,250  

Total Investments in Securities

  $ 834,668,097     $ 14,355,250     $     $ 849,023,347  

 

Liabilities^

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Written Options

  $     $ 513,000     $     $ 513,000  

Total Written Options

  $     $ 513,000     $     $ 513,000  

 

^

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

 

45

 

 

Aptus ETFs

 

Notes to Financial Statements
April 30, 2022 (Continued)

 

 

Aptus Drawdown Managed Equity ETF

 

Assets^

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks

  $ 352,220,259     $     $     $ 352,220,259  

Purchased Options

          11,029,000             11,029,000  

Total Investments in Securities

  $ 352,220,259     $ 11,029,000     $     $ 363,249,259  

 

Liabilities^

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Written Options

  $     $ 3,466,000     $     $ 3,466,000  

Total Written Options

  $     $ 3,466,000     $     $ 3,466,000  

 

^

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

  $ 181,161,311     $     $     $ 181,161,311  

Total Investments in Securities

  $ 181,161,311     $     $     $ 181,161,311  

 

^

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

 

International Drawdown Managed Equity ETF

 

Assets^

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Exchange Traded Funds

  $ 139,089,929     $     $     $ 139,089,929  

Purchased Options

          1,593,500             1,593,500  

Total Investments in Securities

  $ 139,089,929     $ 1,593,500     $     $ 140,683,429  

 

^

See Schedule of Investments for further disaggregation of investment categories.

 

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. Non-cash dividends included in dividend income or separately disclosed, if any, are recorded at the fair value of the security received. 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.

 

46

 

 

Aptus ETFs

 

Notes to Financial Statements
April 30, 2022 (Continued)

 

 

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

 

 

E.

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

 

 

F.

Share Valuation. The NAV per share of 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 fiscal year ended April 30, 2022, the following table shows the reclassifications made:

 

   

Distributable
Earnings
(Accumulated
Deficit)

   

Paid-In Capital

 

Aptus Collared Income Opportunity ETF

  $ (4,939,895 )   $ 4,939,895  

Aptus Defined Risk ETF

    (1,242,767 )     1,242,767  

Aptus Drawdown Managed Equity ETF

    (3,137,298 )     3,137,298  

Opus Small Cap Value ETF

    (2,618,063 )     2,618,063  

International Drawdown Managed Equity

    (32,396 )     32,396  

 

47

 

 

Aptus ETFs

 

Notes to Financial Statements
April 30, 2022 (Continued)

 

 

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

  $ 4,939,895  

Aptus Defined Risk ETF

    1,242,767  

Aptus Drawdown Managed Equity ETF

    3,137,298  

Opus Small Cap Value ETF

    2,618,063  

International Drawdown Managed Equity ETF

    32,709  

 

 

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.

 

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, and distribution (12b-1) fees and expenses. For services provided to the Funds, Aptus Collared Income Opportunity ETF, Aptus Drawdown Managed Equity 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. International Drawdown Managed Equity ETF pays the Adviser an annual rate of 0.59% 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.

 

48

 

 

Aptus ETFs

 

Notes to Financial Statements
April 30, 2022 (Continued)

 

 

NOTE 4 – PURCHASES AND SALES OF SECURITIES

 

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

 

   

Purchases

   

Sales

 

Aptus Collared Income Opportunity ETF

  $ 148,542,769     $ 152,343,523  

Aptus Defined Risk ETF

    503,466,431       505,094,908  

Aptus Drawdown Managed Equity ETF

    128,211,638       134,471,551  

Opus Small Cap Value ETF

    68,477,474       72,796,510  

International Drawdown Managed Equity ETF

    3,017,471       2,337,208  

 

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

  $ 218,383,609     $ 16,843,629  

Aptus Defined Risk ETF

    356,010,317       63,023,143  

Aptus Drawdown Managed Equity ETF

    164,516,798       9,545,147  

Opus Small Cap Value ETF

    101,018,766       9,746,972  

International Drawdown Managed Equity ETF

    162,288,999       2,407,376  

 

NOTE 5 – TRANSACTIONS WITH AFFILIATED SECURITIES

 

Investments in issuers considered to be affiliate(s) of the Funds during the current fiscal period for purposes of Section 2(a)(3) of the 1940 Act were as follows:

 

Aptus Defined Risk ETF

                               

Affiliated Issuer

 

Value at
4/30/2021

   

Purchases
at Cost

   

Proceeds
from Sales

   

Net Realized
Gain (Loss)

   

Change in
Unrealized
Appreciation
(Depreciation)

   

Value at
4/30/2022

 

iShares iBonds Dec 2021 Term Corporate ETF

  $ 82,766,954     $ 24,026,447     $ (106,439,353 )   $ (677,504 )   $ 323,456     $  

iShares iBonds Dec 2022 Term Corporate ETF

    106,139,099       59,032,887       (162,863,190 )     (2,120,171 )     (188,625 )      

iShares iBonds Dec 2023 Term Corporate ETF*

    147,385,899       105,633,598       (195,313,211 )     (5,403,114 )     (1,719,228 )     50,583,944 *

iShares iBonds Dec 2024 Term Corporate ETF

    102,102,385       99,935,966       (12,137,753 )     202,686       (10,242,849 )     179,860,435  

iShares iBonds Dec 2025 Term Corporate ETF

    100,739,516       116,835,202       (13,303,839 )     42,646       (14,295,668 )     190,017,857  

iShares iBonds Dec 2026 Term Corporate ETF

          203,076,783       (7,087,197 )     (27,818 )     (13,290,040 )     182,671,728  

iShares iBonds Dec 2027 Term Corporate ETF

          152,112,495       (576,705 )     (4,264 )     (3,832,650 )     147,698,876  
    $ 539,133,853                     $ (7,987,539 )   $ (43,245,604 )   $ 750,832,840  

 

*

As of April 30, 2022, no longer considered to be affiliate of the Fund.

 

49

 

 

Aptus ETFs

 

Notes to Financial Statements
April 30, 2022 (Continued)

 

 

Affiliated Issuer (Continued)   

Shares
Held at
4/30/2022

    

Dividend
Income

    

Capital Gain
Distributions
from
Underlying
Funds

 
iShares iBonds Dec 2021 Term Corporate ETF      $363,523   $ 
iShares iBonds Dec 2022 Term Corporate ETF       1,798,671    206,852 
iShares iBonds Dec 2023 Term Corporate ETF*   2,011,290    3,058,876    510,831 
iShares iBonds Dec 2024 Term Corporate ETF   7,246,009    2,466,683     
iShares iBonds Dec 2025 Term Corporate ETF   7,643,518    2,647,193    264,491 
iShares iBonds Dec 2026 Term Corporate ETF   7,611,322    1,258,458     
iShares iBonds Dec 2027 Term Corporate ETF   6,118,429    162,758     
        $11,756,162   $982,174 

 

*

As of April 30, 2022, no longer considered to be affiliate of the Fund.

 

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, 2022 were as follows:

 

   

Aptus Collared
Income
Opportunity ETF

   

Aptus Defined
Risk ETF

   

Aptus Drawdown
Managed
Equity ETF

   

Opus Small Cap
Value ETF