N-CSR 1 fp0081668-3_ncsr.htm

 

As filed with the U.S. Securities and Exchange Commission on March 9, 2023

 

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) 516-1645

Registrant's telephone number, including area code

 

Date of fiscal year end: December 31

 

Date of reporting period: December 31, 2022

 

 

Item 1. Reports to Stockholders.

 

(a)

 

 

Annual Report

 

December 31, 2022

 

Defiance Quantum ETF

Ticker: QTUM

 

Defiance Next Gen Connectivity ETF

Ticker: FIVG

 

Defiance Next Gen H2 ETF

Ticker: HDRO

 

Defiance Hotel, Airline, and Cruise ETF

Ticker: CRUZ

 

Defiance Digital Revolution ETF

Ticker: NFTZ

 

Defiance Daily Short Digitizing the Economy ETF

Ticker: IBIT

 

 

Defiance ETFs

 

TABLE OF CONTENTS

 

 

Page

Message to Investors

1

Letters to Shareholders

3

Fund Performance

14

Portfolio Allocations

20

Schedules of Investments

23

Schedule of Securities Sold Short

32

Statements of Assets and Liabilities

33

Statements of Operations

35

Statements of Changes in Net Assets

37

Financial Highlights

43

Notes to Financial Statements

49

Report of Independent Registered Public Accounting Firm

61

Trustees and Officers

63

Expense Examples

65

Review of Liquidity Risk Management Program

67

Approval of Advisory Agreements and Board Considerations

68

Federal Tax Information

71

Information About Portfolio Holdings

71

Information About Proxy Voting

72

Frequency Distribution of Premiums and Discounts

72

 

 

Defiance ETFs

 

Message to Investors
(Unaudited)

 

 

December 31, 2022

 

Dear Investor,

 

2022 was a challenging year for investors. Inflation remained stubbornly high, recession fears took the spotlight and we saw significant pull backs in major indices, particularly amongst technology darlings who relinquished their throne. Hawkish fed, rising correlations, recession fears, reduced liquidity and an aggressive rate-hikes gave us no reprise. Investors who were accustomed to a decade-long bull market, and enjoyed the post covid liquidity parade, faced a bitter truth with major indices crashing and ending the year in bear market territory.

 

The themes of 2022 are dripping into the new year. Inflation remains, a projected recession is feared in US, and there remains great uncertainty about the direction of markets. This year is largely expected to be a down, or flat year with the majority of analysts predicting a retest of June lows. The S&P 500® may retest those June lows, but a pivot from the Fed, or at least a halt in the hikes may push the market above the 4500 range into 2023. Whether or not we experience that recession, will matter too. The last GDP print suggests that the economy is holding up, though it is backward looking. Earnings season is off to a good start with 69% of names beating so far, telling us that consensus pessimism may have been overdone. Corporations have cut either workers, inventories or spending, to reduce costs to improve their bottom line. Investments in technologies and digitalization will help lead to more efficient profit outcomes in the future, and this is something that we can expect to see starting to play out towards the end of next year. All of this will have to play out, and until it does, I suspect that investors will await on the sidelines without much conviction.

 

Where do we go from here? The good news is that inflation is actually abating. CPI is down from a high of 9.1% in June to 7.1% in November, and continuing downwards, rather quickly. We see prices falling in several areas of the market outside of services, but those are also likely heading south as consumer pricing power will weaken and disallow continuous inflation. One of the major sticking points for the Fed is wage growth and strong employment. Employment data as we know, is backward looking. Hearing the top firms in the market talk about layoffs and hiring pauses is very likely to impact the bargaining power that employees have had over the years. Tech will also replace some of the jobs that were lost. If labor begins to budge, inflation falls, wages fall and the market eats its valuations as it has to date, we have to think that the Fed will have more reason to pause, gasp and pivot then to continue holding higher for longer beyond 2023. If we do not see a stop on hikes at the 5% level, there is a far larger risk of an impactful recession, and not the slow and steady growth or rolling recession that we are expecting now.

 

History tells us over the past 100 years or so, that markets recover 3-6 months before a recession ends. If you look back to the 1950s, each time that we had peak inflation, 12 years later the S&P 500® returned 12% or more. The annualized performance of the S&P 500® is 10%. The challenges we face right now shall pass. We may get a recession this year, or may sit in a purgatory soft landing, slow down. I do not expect a massive pullback simply given the day-to-day news we are getting from the largest companies in America, holding up well, including a resilient consumer. However, in the meantime we urge investors that calling bottoms or recessions is difficult. We often suggest that investors should not wait for earnings or the markets to bottom out. We may get there, it might be worse, or it may never happen. At this stage, the hangover from the Fed’s intervention continues, and what that does is open up investment opportunities for those investors who can look beyond the current year or two as a potentially bad memory when markets recover. Valuations are more attractive, the sheer pace of tightening cannot continue, and at some point, in 2023 markets are likely to recharge. If you can allocate cash for a year and forget about it, this may just be where your value creation begins.

 

In terms of Defiance’s focus on the markets and relevant opportunities in our funds, we continue to speak to investors about the pros, cons and opportunities that we see across various sectors. In terms of the growth of 5G and Quantum computing, we are keying on recent activities of Microsoft and IBM, on open ai, machine learning and quantum computing. We believe that this is the next opportunity for investors to embrace, and a potentially lucrative one. The important point is that innovation takes time, and this may be a longer-term dollar cost average trade to diversify exposure to the future of tech. In terms of what is working, or could be interesting in the near term. The flood of investment, r&d and political attention on hydrogen and alternative energy is a compelling tailwind for our hydrogen etf. Whether it’s the inflation reduction act, contracts signed by amazon and Microsoft to power their warehouses efficiently, or global goals to replace energy sources for carbon neutral by 2050, HDRO is perfectly suited to participate. In terms of CRUZ, our travel related etf the near-term earnings results and CEO out looks for each airline, cruise and hotel and the continued spend and pricing power allow us to highlight this alternative. With the ongoing crypto will it or won’t it survive, coupled with scandals FTX, collapses Terra Luna, having a short fund in the market gives investors access to an interesting trading tool.

 

1

 

 

Defiance ETFs

 

Message to Investors
(Unaudited) (Continued)

 

 

We remain committed to our clients and investors, and believe that Defiance will continue to weather these markets. We’ve existed amongst two of the worst market pullbacks in history, and remain dedicated to continuing to pivot, adapt and providing important information about investment opportunities. Time in the market, versus timing the market has prevailed historically.

 

Sincerely,

 

Sylvia Jablonski, Chief Executive Officer
Defiance ETFs LLC, Adviser to the Fund

 

2

 

 

Defiance Quantum ETF

 

Letters to Shareholders
(Unaudited)

 

 

Dear Shareholders,

 

On behalf of the entire team, we want to express our appreciation for the confidence you have placed in the Defiance Quantum ETF (“QTUM” or the “Fund”). The following information pertains to the fiscal period of January 1, 2022 through December 31, 2022 (the “current fiscal period”).

 

The Fund seeks to track the total return performance, before fees and expenses, of the BlueStar Quantum Computing and Machine Learning Index® (the “Index”). The Index is a rules-based index that tracks the performance of a group of globally-listed stocks of companies involved in a range of industries, collectively defined, by BlueStar Indexes, as quantum computing and machine learning companies. Index components are reviewed semi-annually for eligibility, and the weights are re-set accordingly.

 

The Fund had negative performance during the current fiscal period. The market price for QTUM decreased -28.79% and the NAV decreased -28.56%, while the S&P 500®, a broad market index, decreased -18.11% over the same period. The Fund’s Index decreased -28.37%. Meanwhile, outstanding shares ended the period at 2,600,000.

 

For the current fiscal period, the largest positive contributor to return was Northrop Grumman Corporation, adding 0.49% to the return of the Fund, gaining 42.99% with an average weighting of 1.69%. The second largest contributor to return was Lockheed Martin Corporation, adding 0.45% to the return of the Fund, gaining 40.43% with an average weighting of 1.68%. The third largest contributor to return was Booz Allen Hamilton Holding Corporation, adding 0.30% to the return of the Fund, gaining 25.70% with an average weighting of 1.65%.

 

For the current fiscal period, the largest negative contributor to return was IonQ, Inc., detracting -1.30% from the return of the Fund, declining -79.34% with an average weighting of 1.40%. The security contributing second-most negatively Advanced Micro Devices, Inc., detracting -1.28% from the return of the Fund, and declining -54.99% with an average weighting of 1.79%. The third largest negative contributor to return was Atos SE, detracting -1.26% from the return of the Fund, and declining -77.75% with an average weight of 0.96%.

 

We look forward to keeping you well informed as things progress.

 

Sincerely,

 

Sylvia Jablonski, Chief Executive Officer
Defiance ETFs LLC, Adviser to the Fund

 

Sylvia Jablonski is registered with Foreside Fund Services, LLC which is not affiliated with Defiance ETFs, LLC or its affiliates.

 

Important Disclosures:

 

Fund holdings and sector allocations are subject to change at any time and should not be considered recommendations to buy or sell any security.

 

The Fund’s investment objectives, risks, charges, and expenses must be considered carefully before investing. The prospectus contains this and other important information about the investment company. Please read it carefully before investing. A hard copy of the prospectus can be requested by calling 833.333.9383 or at defianceetfs.com.

 

Investing involves risk. Principal loss is possible. As an ETF, the Fund may trade at a premium or discount to NAV. Shares of any ETF are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. The Fund is not actively managed and would not sell a security due to current or projected under performance unless that security is removed from the Index or is required upon a reconstitution of the Index. A portfolio concentrated in a single industry or country, may be subject to a higher degree of risk. The value of stocks of information technology companies are particularly vulnerable to rapid changes in technology product cycles, rapid product obsolescence, government regulation and competition. The Fund is considered to be non-diversified, so it may invest more of its assets in the securities of a single issuer or a smaller number of issuers. Investments in foreign securities involve certain risks including risk of loss due to foreign currency fluctuations or to political or economic instability. This risk is magnified in emerging markets. Small and mid-cap companies are subject to greater and more unpredictable price changes than securities of large-cap companies.

 

3

 

 

Defiance Quantum ETF

 

Letters to Shareholders
(Unaudited) (Continued)

 

 

The possible applications of quantum computing are only in the exploration stages, and the possibility of returns is uncertain and may not be realized in the near future.

 

The “BlueStar Quantum Computing and Machine Learning Index”, “BQTUM Index” (collectively “Quantum Computing and Machine Learning Index”), is the exclusive property and a trademark of BlueStar Global Investors LLC d/b/a BlueStar Indexes® and has been licensed for use for certain purposes by Defiance ETFs LLC. Products based on the Quantum Computing and Machine Learning Index are not sponsored, endorsed, sold, or promoted by BlueStar Global Investors, LLC or BlueStar Indexes®, and BlueStar Global Investors, LLC and BlueStar Indexes® makes no representation regarding the advisability of trading in such product(s). It is not possible to invest directly in an index.

 

Total return represents changes to the NAV and accounts for distributions from the Fund.

 

Median 30-Day Spread is a calculation of Fund’s median bid-ask spread, expressed as a percentage rounded to the nearest hundredth, computed by: identifying the Fund’s national best bid and national best offer as of the end of each 10 second interval during each trading day of the last 30 calendar days; dividing the difference between each such bid and offer by the midpoint of the national best bid and national best offer; and identifying the median of those values.

 

Diversification does not ensure a profit nor protect against loss in a declining market.

 

Commissions may be charged on trades.

 

Go to defianceetfs.com/QTUM to read more about QTUM including current performance and holdings information. Fund holdings are subject to change and should not be considered recommendations to buy or sell any securities.

 

QTUM is distributed by Foreside Fund Services, LLC.

 

4

 

 

Defiance Next Gen Connectivity ETF

 

Letters to Shareholders
(Unaudited) (Continued)

 

 

Dear Shareholders,

 

On behalf of the entire team, we want to express our appreciation for the confidence you have placed in the Defiance Next Gen Connectivity ETF (“FIVG” or the “Fund”). The following information pertains to the fiscal period of January 1, 2022 through December 31, 2022 (the “current fiscal period”).

 

The Fund seeks to track the total return performance, before fees and expenses, of the BlueStar 5G Communications IndexTM (the “Index”). The Index is a rules-based index that tracks the performance of a group of US-listed stocks, of global companies that are involved in the development of, or are otherwise instrumental in the rollout of 5G networks. Index components are reviewed semi-annually for eligibility, and the weights are re-set accordingly.

 

The Fund had negative performance during the current fiscal period. The market price for FIVG decreased -27.27% and the NAV decreased -27.20%, while the S&P 500®, a broad market index, decreased -18.11% over the same period. The Fund’s Index decreased -27.29%. Meanwhile, outstanding shares ended the period at 23,100,000.

 

For the current fiscal period, the largest positive contributor to return was Resonant, Inc., adding 0.65% to the return of the Fund, gaining 161.99% with an average weighting of 0.18%. The second largest contributor to return was T-Mobile US, Inc., adding 0.49% to the return of the Fund, gaining 20.71% with an average weighting of 3.03%. The third largest contributor to return was Amdocs, Ltd., adding 0.31% to the return of the Fund, gaining 23.76% with an average weighting of 1.74%.

 

For the current fiscal period, the largest negative contributor to return was Advanced Micro Devices, Inc., detracting -3.79% from the return of the Fund, declining -54.99% with an average weighting of 5.19%. The security contributing second-most negatively Marvell Technology, Inc., detracting -2.24% from the return of the Fund, and declining -57.49% with an average weighting of 3.25%. The third largest negative contributor to return was QUALCOMM, Inc., detracting -1.93% from the return of the Fund, and declining -38.61% with an average weight of 4.77%.

 

We look forward to keeping you well informed as things progress.

 

Sincerely,

 

Sylvia Jablonski, Chief Executive Officer
Defiance ETFs LLC, Adviser to the Fund

 

Sylvia Jablonski is registered with Foreside Fund Services, LLC which is not affiliated with Defiance ETFs, LLC or its affiliates.

 

Important Disclosures:

 

Fund holdings and sector allocations are subject to change at any time and should not be considered recommendations to buy or sell any security.

 

The Fund’s investment objectives, risks, charges, and expenses must be considered carefully before investing. The prospectus contains this and other important information about the investment company. Please read carefully before investing. A hard copy of the prospectuses can be requested by calling 833.333.9383 or at defianceetfs.com.

 

Investing involves risk. Principal loss is possible. As an ETF, the Fund may trade at a premium or discount to NAV. Shares of any ETF are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. The Fund is not actively managed and would not sell a security due to current or projected under performance unless that security is removed from the Index or is required upon a reconstitution of the Index. A portfolio concentrated in a single industry or country, may be subject to a higher degree of risk. The value of stocks of information technology companies are particularly vulnerable to rapid changes in technology product cycles, rapid product obsolescence, government regulation and competition. The Fund is considered to be non-diversified, so it may invest more of its assets in the securities of a single issuer or a smaller number of issuers. Investments in foreign securities involve certain risks including risk of loss due to foreign currency fluctuations or to political or economic instability. This risk is magnified in emerging markets. Small and mid-cap companies are subject to greater and more unpredictable price changes than securities of large-cap companies.

 

The possible applications of 5G technologies are only in the exploration stages, and the possibility of returns is uncertain and may not be realized in the near future.

 

5

 

 

Defiance Next Gen Connectivity ETF

 

Letters to Shareholders
(Unaudited) (Continued)

 

 

The “BlueStar 5G Communications Index”, “BFIVGTR Index” (collectively “5G Communications Index”), is the exclusive property and a trademark of BlueStar Global Investors LLC d/b/a BlueStar Indexes® and has been licensed for use for certain purposes by Defiance ETFs LLC. Products based on the Global 5G Communications Index* are not sponsored, endorsed, sold or promoted by BlueStar Global Investors, LLC or BlueStar Indexes®, and BlueStar Global Investors, LLC and BlueStar Indexes® makes no representation regarding the advisability of trading in such product(s). It is not possible to invest directly in an index.

 

The Defiance Next Gen Connectivity ETF is the first ETF to emphasize securities whose products and services are predominantly tied to the development of 5G networking and communication technologies. The Fund does this by tracking The BlueStar 5G Communications Index. The Fund attempts to invest all, or substantially all, of its assets in the component securities that make up the Index.

 

Total return represents changes to the NAV and accounts for distributions from the Fund.

 

Median 30-Day Spread is a calculation of Fund’s median bid-ask spread, expressed as a percentage rounded to the nearest hundredth, computed by: identifying the Fund’s national best bid and national best offer as of the end of each 10 second interval during each trading day of the last 30 calendar days; dividing the difference between each such bid and offer by the midpoint of the national best bid and national best offer; and identifying the median of those values.

 

Diversification does not ensure a profit nor protect against loss in a declining market.

 

Commissions may be charged on trades.

 

Go to defianceetfs.com/FIVG to read more about FIVG including current performance and holdings information. Fund holdings are subject to change and should not be considered recommendations to buy or sell any securities.

 

FIVG is distributed by Foreside Fund Services, LLC.

 

6

 

 

Defiance Next Gen H2 ETF

 

Letters to Shareholders
(Unaudited) (Continued)

 

 

Dear Shareholders,

 

On behalf of the entire team, we want to express our appreciation for the confidence you have placed in the Defiance Next Gen H2 ETF (“HDRO” or the “Fund”). The following information pertains to the fiscal period of January 1, 2022 through December 31, 2022 (the “current fiscal period”).

 

The Fund seeks to track the total return performance, before fees and expenses, of the BlueStar Hydrogen & NextGen Fuel Cell Index (the “Index”). The index is a rules-based index that tracks the performance of a group of globally listed equities and of companies involved in the development of hydrogen-based energy sources and fuel cell technologies. Index components are reviewed quarterly for eligibility, and the weights are re-set accordingly.

 

The Fund had negative performance during the current fiscal period. The market price for HDRO decreased -50.89% and the NAV decreased -50.98%, while the S&P 500®, a broad market index, decreased -18.11% over the same period. The Fund’s Index decreased -50.99%. Meanwhile, outstanding shares ended the period at 4,050,000.

 

For the current fiscal period, the largest positive contributor to return was Air Products and Chemicals, Inc. adding 1.05% to the return of the Fund, gaining 30.34% with an average weighting of 2.48%. The second largest contributor to return was Linde plc, adding 0.14% to the return of the Fund, gaining 3.58% with an average weighting of 4.58%. The third largest contributor to return was Everfuel AS, adding 0.10% to the return of the Fund, despite a decline of 4.78% with an average weighting of 0.71%

 

For the current fiscal period, the largest negative contributor to return was ITM Power plc, detracting -5.60% from the return of the Fund, and declining -79.35% with an average weight of 5.27%. The security contributing second-most negatively was Advent Technologies Holdings, Inc., detracting -5.12% from the return of the Fund, and declining -81.87% with an average weighting of 2.27%. The third largest negative contributor to return was Ballard Power Systems, Inc., detracting -5.03% from the return of the Fund, declining -61.26% with an average weighting of 6.55%.”We look forward to keeping you well informed as things progress.

 

Sincerely,

 

Sylvia Jablonski, Chief Executive Officer
Defiance ETFs LLC, Adviser to the Fund

 

Sylvia Jablonski is registered with Foreside Fund Services, LLC which is not affiliated with Defiance ETFs, LLC or its affiliates.

 

Important Disclosures:

 

Fund holdings and sector allocations are subject to change at any time and should not be considered recommendations to buy or sell any security.

 

The Fund’s investment objectives, risks, charges, and expenses must be considered carefully before investing. The prospectus contains this and other important information about the investment company. Please read carefully before investing. A hard copy of the prospectuses can be requested by calling 833.333.9383 or at defianceetfs.com.

 

Investing involves risk. Principal loss is possible. As an ETF, the Fund may trade at a premium or discount to NAV. Shares of any ETF are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. The Fund is not actively managed and would not sell a security due to current or projected under performance unless that security is removed from the Index or is required upon a reconstitution of the Index. A portfolio concentrated in a single industry or country, may be subject to a higher degree of risk. Specifically, the Index (and as a result, the Fund) is expected to be concentrated in hydrogen and fuel cell companies. Such companies may depend largely on the availability of hydrogen gas, certain third-party key suppliers for components in their products, and a small number of customers for a significant portion of their business. The Fund is considered to be non-diversified, so it may invest more of its assets in the securities of a single issuer or a smaller number of issuers. Investments in foreign securities involve certain risks including risk of loss due to foreign currency fluctuations or to political or economic instability. This risk is magnified in emerging markets. Small and mid-cap companies are subject to greater and more unpredictable price changes than securities of large-cap companies.

 

The BlueStar Hydrogen & NextGen Fuel Cell Index is the exclusive property and a trademark of BlueStar Global Investors LLC d/b/a BlueStar Indexes® and has been licensed for use for certain purposes by Defiance ETFs LLC. Products based on the BlueStar Hydrogen & NextGen Fuel Cell Index are not sponsored, endorsed, sold or promoted by BlueStar Global Investors, LLC or BlueStar Indexes®, and BlueStar Global Investors, LLC and BlueStar Indexes® makes no representation regarding the advisability of trading in such product(s).

 

7

 

 

Defiance Next Gen H2 ETF

 

Letters to Shareholders
(Unaudited) (Continued)

 

 

Total return represents changes to the NAV and accounts for distributions from the Fund.

 

Median 30-Day Spread is a calculation of Fund’s median bid-ask spread, expressed as a percentage rounded to the nearest hundredth, computed by: identifying the Fund’s national best bid and national best offer as of the end of each 10 second interval during each trading day of the last 30 calendar days; dividing the difference between each such bid and offer by the midpoint of the national best bid and national best offer; and identifying the median of those values.

 

Commissions may be charged on trades.

 

Go to defianceetfs.com/HDRO to read more about HDRO including current performance and holdings information. Fund holdings are subject to change and should not be considered recommendations to buy or sell any securities.

 

HDRO is distributed by Foreside Fund Services, LLC

 

8

 

 

Defiance Hotel, Airline, and Cruise ETF

 

Letters to Shareholders
(Unaudited) (Continued)

 

 

Dear Shareholders,

 

On behalf of the entire team, we want to express our appreciation for the confidence you have placed in the Defiance Hotel, Airline, and Cruise ETF (“CRUZ” or the “Fund”). The following information pertains to the fiscal period of January 1, 2022 through December 31, 2022 (the “current fiscal period”).

 

The Fund seeks to track the total return performance, before fees and expenses, of the BlueStar Global Hotels, Airlines, and Cruises Index (the “Index”). The Index is a rules-based weighted index of companies primarily engaged in the passenger airline, hotel and cruise industries. The Index is reconstituted on a semi-annual basis and rebalanced quarterly.

 

The Fund had negative performance during the current fiscal period. The market price for CRUZ decreased -24.26% and the NAV decreased -23.80%, while the S&P 500®, a broad market index, decreased -18.11% over the same period. The Fund’s Index decreased -23.62%. Meanwhile, outstanding shares ended the period at 3,075,000.

 

For the current fiscal period, the largest positive contributor to return was H World Group, Ltd., adding 0.33% to the return of the Fund, gaining 14.33% with an average weighting of 1.98%. The second largest contributor to return was Deutsche Lufthansa AG, adding 0.32% to the return of the Fund, gaining 17.85% with an average weighting of 1.47%. The third largest contributor to return was Qantas Airways, Ltd., adding 0.26% to the return of the Fund, gaining 11.86% with an average weighting of 1.68%.

 

For the current fiscal period, the largest negative contributor to return was Carnival Corporation, detracting -5.17% from the return of the Fund, declining -59.94% with an average weighting of 6.22%. The security contributing second-most negatively was Norwegian Cruise Line Holdings, Inc., detracting -3.27% from the return of the Fund, and declining -40.98% with an average weighting of 4.63%. The third largest negative contributor to return was Royal Caribbean Cruises, Ltd., detracting -3.06% from the return of the Fund, and declining -35.72% with an average weight of 5.78%.

 

We look forward to keeping you well informed as things progress.

 

Sincerely,

 

Sylvia Jablonski, Chief Executive Officer
Defiance ETFs LLC, Adviser to the Fund

 

Sylvia Jablonski is registered with Foreside Fund Services, LLC which is not affiliated with Defiance ETFs, LLC or its affiliates.

 

Important Disclosures:

 

Fund holdings and sector allocations are subject to change at any time and should not be considered recommendations to buy or sell any security.

 

The Fund’s investment objectives, risks, charges, and expenses must be considered carefully before investing. The prospectus contains this and other important information about the investment company. Please read it carefully before investing. A hard copy of the prospectus can be requested by calling 833.333.9383 or at defianceetfs.com.

 

Investing involves risk. Principal loss is possible. As an ETF, the Fund may trade at a premium or discount to NAV. 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. The Fund is not actively managed and would not sell a security due to current or projected under performance unless that security is removed from the Index or is required upon a reconstitution of the Index.

 

A portfolio concentrated in a single industry or country, may be subject to a higher degree of risk. Specifically, the Index (and as a result, the Fund) is expected to be concentrated in passenger airline, hotel and resort, and cruise industries (“Travel Companies”). Travel Company revenues are heavily influenced by the condition of the U.S. and foreign economies and may be adversely affected by a downturn in economic conditions that can result in decreased demand for leisure and business travel. Travel Companies may be significantly affected by uncertainty in travel, including guest safety, security and privacy, changes in labor relations and insurance costs, issues affecting equipment reliability and longevity, changes in fuel prices, and shortages of experienced personnel.

 

9

 

 

Defiance Hotel, Airline, and Cruise ETF

 

Letters to Shareholders
(Unaudited) (Continued)

 

 

Beginning in the first quarter of 2020, financial markets in the United States and around the world experienced extreme volatility and severe losses due to the global pandemic caused by COVID-19, a novel coronavirus. The pandemic has resulted in a wide range of social and economic disruptions, including closed borders and reduced or prohibited domestic or international travel. Some sectors of the economy and individual issuers, including Travel Companies, have experienced particularly large losses. Such disruptions may continue for an extended period of time or reoccur in the future to a similar or greater extent.

 

The Fund is considered to be non-diversified, so it may invest more of its assets in the securities of a single issuer or a smaller number of issuers. To the extent the Fund is invested in companies of a single country or region, local political and economic conditions and changes in regulatory, tax, or economic policy could significantly affect the market in that country and in surrounding or related countries and have a negative impact on the Fund’s performance. Investments in foreign securities involve certain risks including risk of loss due to foreign currency fluctuations or to political or economic instability, and these risks are magnified in emerging markets. Small and mid-cap companies are subject to greater and more unpredictable price changes than securities of large-cap companies.

 

The BlueStar Global Hotels, Airlines, and Cruises Index (the “Index”) is a rules-based index that consists of globally-listed stocks of companies that derive at least 50% of their revenues from the passenger airline, hotel and resort, or cruise industries (“Travel Companies”) as determined by MV Index Solutions. The Index is a registered trademark of MV Index Solutions and is protected through various intellectual property rights and unfair competition and misappropriation laws and has been licensed for use for certain purposes by Defiance ETFs LLC. Products based on the Index are not sponsored, endorsed, sold or promoted by MV Index Solutions, no representation is made regarding the advisability of trading in such product(s). It is not possible to invest directly in an index.

 

CRUZ is distributed by Foreside Fund Services, LLC.

 

10

 

 

Defiance Digital Revolution ETF

 

Letters to Shareholders
(Unaudited) (Continued)

 

 

Dear Shareholders,

 

On behalf of the entire team, we want to express our appreciation for the confidence you have placed in the Defiance Next Gen Digital Revolution ETF (“NFTZ” or the “Fund”). The following information pertains to the fiscal period of January 1, 2022 through December 31, 2022 (the “current fiscal period”).

 

The Fund seeks to track the total return performance, before fees and expenses, The BITA NFT and Blockchain Select Index (the “Index”). The Index aims to track the performance of a portfolio of publicly listed companies with relevant thematic exposure to the NFT (Non-Fungible Tokens), blockchain and cryptocurrency ecosystems. The index is rebalanced on a quarterly basis.

 

The Fund had negative performance during the current fiscal period. The market price for NFTZ decreased -76.48% and the NAV decreased -76.11%, while the S&P 500, a broad market index, decreased -18.11% over the same period. The Fund’s Index decreased -76.01%. Meanwhile, outstanding shares ended the period at 900,000.

 

For the current fiscal period, the largest positive contributor to return was Nexon Company, Ltd., adding 0.63% to the return of the Fund, gaining 24.11% with an average weighting of 1.45%. The second largest contributor to return was International Business Machines Corporation, adding 0.29% to the return of the Fund, gaining 12.03% with an average weighting of 1.51%. The third largest contributor to return was Eqonex, Ltd., adding 0.03% to the return of the Fund, gaining 14.97% with an average weighting of 0.12%

 

For the current fiscal period, the largest negative contributor to return was Core Scientific, Inc., detracting -5.03% from the return of the Fund, and declining -97.79% with an average weight of 2.23%. The security contributing second-most negatively was Voyager Digital, Ltd., detracting -4.28% from the return of the Fund, and declining -97.95% with an average weighting of 1.43%. The third largest negative contributor to return was Bitfarms, Ltd./Canada, detracting -4.20% from the return of the Fund, declining -91.82% with an average weighting of 3.24%.

 

We look forward to keeping you well informed as things progress.

 

Sincerely,

 

Sylvia Jablonski, Chief Executive Officer
Defiance ETFs LLC, Adviser to the Fund

 

Sylvia Jablonski is registered with Foreside Fund Services, LLC which is not affiliated with Defiance ETFs, LLC or its affiliates.

 

Important Disclosures:

 

Fund holdings and sector allocations are subject to change at any time and should not be considered recommendations to buy or sell any security.

 

The Fund’s investment objectives, risks, charges, and expenses must be considered carefully before investing. The prospectus contains this and other important information about the investment company. Please read carefully before investing. A hard copy of the prospectuses can be requested by calling 833.333.9383 or at defianceetfs.com.

 

Investing involves risk. Principal loss is possible. As an ETF, the Fund may trade at a premium or discount to NAV. Shares of any ETF are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. The Fund is not actively managed and would not sell a security due to current or projected under-performance unless that security is removed from the Index or is required upon a reconstitution of the Index.

 

The Index, and consequently the Fund, is expected to concentrate its investments (i.e., hold more than 25% of its total assets) in the securities of Crypto and Blockchain Companies. As a result, the value of the Fund’s shares may rise and fall more than the value of shares of a fund that invests in securities of companies in a broader range of industries.

 

The mechanics of using blockchain technology to transact in digital or other types of assets, such as securities or derivatives, is relatively new and untested. There is no assurance that widespread adoption will occur. A lack of expansion in the usage of blockchain technology could adversely affect Crypto and Blockchain Companies. Transacting on a blockchain depends in part specifically on the use of cryptographic keys that are required to access a user’s account (or “wallet”). The theft, loss, or destruction of these keys could adversely affect a user’s ownership claims over an asset or a company’s business or operations if it was dependent on the blockchain.

 

11

 

 

Defiance Digital Revolution ETF

 

Letters to Shareholders
(Unaudited) (Continued)

 

 

The Fund is considered to be non-diversified, which means that it may invest more of its assets in the securities of a single issuer or a smaller number of issuers than if it were a diversified fund. As a result, the Fund may be more exposed to the risks associated with and developments affecting an individual issuer or a smaller number of issuers than a fund that invests more widely. This may increase the Fund’s volatility and cause the performance of a relatively smaller number of issuers to have a greater impact on the Fund’s performance.

 

Investments in non-U.S. securities involve certain risks that may not be present with investments in U.S. securities. For example, investments in non-U.S. securities may be subject to risk of loss due to foreign currency fluctuations or to political or economic instability. There may be less information publicly available about a non-U.S. issuer than a U.S. issuer.

 

The BITA NFT and Blockchain Select Index is a rules-based index that consists of the common stock (or depositary receipts) of companies that are building a platform for developing technology to use, or have at least one use or test case for using, NFT (Non-Fungible Token), cryptocurrency trading platforms, cryptocurrency mining, cryptocurrency banking or related services, or blockchain-related technology, as well as companies that have announced publicly that they intend to enter such space or have begun working on such products (collectively, “Crypto and Blockchain Companies”). The Index consists of companies listed on North American and European exchanges and aims to capture the potential upside generated by earnings related to the adoption of crypto- and blockchain-related technologies, including NFTs and cryptocurrency.

 

Neither the Fund nor its relative Index will invest directly in NFTs or any funds investing in NFTs. The Index, and as a result the Fund, are currently limited to investments in companies with exposure to the NFT ecosystem. As a result, the Fund’s price movement will not track individual or collections of NFTs. Since NFTs are an emerging technology, the Index is currently expected to consist of companies whose activities in the NFT ecosystem comprise a smaller portion of their revenues, profits, or investments relative to other activities or industries in which they engage. There can be no guarantee that a company’s activities in the NFT ecosystem will become significant for the company or that its economic fortunes will be tied to such activities in the future.

 

Go to defianceetfs.com/NFTZ to read more about NFTZ including current performance and holdings information. Fund holdings are subject to change and should not be considered recommendations to buy or sell any securities.

 

NFTZ is distributed by Foreside Fund Services, LLC.

 

12

 

 

Defiance Daily Short Digitizing the Economy ETF

 

Letters to Shareholders
(Unaudited) (Continued)

 

 

Dear Shareholders,

 

On behalf of the entire team, we want to express our appreciation for the confidence you have placed in the Defiance Daily Short Digitizing the Economy ETF (“IBIT” or the “Fund”). The following information pertains to the fiscal period from inception on September 7, 2022 through December 31, 2022 (the “current fiscal period”).

 

The Fund seeks to reflect the inverse performance of BLOK, the Amplify Transformational Data ETF, on a daily basis.

 

The Fund had positive performance during the current fiscal period. The market price for IBIT increased 25.58% and the NAV increased 25.82%, while the S&P 500®, a broad market index, decreased 2.99% over the same period. Meanwhile, outstanding shares ended the period at 30,000.

 

We look forward to keeping you well informed as things progress.

 

Sincerely,

 

Sylvia Jablonski, Chief Executive Officer
Defiance ETFs LLC, Adviser to the Fund

 

Sylvia Jablonski is registered with Foreside Fund Services, LLC which is not affiliated with Defiance ETFs, LLC or its affiliates.

 

Important Disclosures:

 

Fund holdings and sector allocations are subject to change at any time and should not be considered recommendations to buy or sell any security.

 

The Fund’s investment objectives, risks, charges, and expenses must be considered carefully before investing. The prospectus contains this and other important information about the investment company. Please read carefully before investing. A hard copy of the prospectuses can be requested by calling 833.333.9383 or at defianceetfs.com.

 

Investing involves risk. Principal loss is possible. As an ETF, the Fund may trade at a premium or discount to NAV. Shares of any ETF are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. The Fund is not actively managed and would not sell a security due to current or projected under-performance unless that security is removed from the Index or is required upon a reconstitution of the Index.

 

The Fund is considered to be non-diversified, which means that it may invest more of its assets in the securities of a single issuer or a smaller number of issuers than if it were a diversified fund. As a result, the Fund may be more exposed to the risks associated with and developments affecting an individual issuer or a smaller number of issuers than a fund that invests more widely. This may increase the Fund’s volatility and cause the performance of a relatively smaller number of issuers to have a greater impact on the Fund’s performance.

 

The Fund shorts the Amplify Transformational Data ETF (NYSE: “BLOK”), which invests in companies actively engaged in blockchain and crypto technology. Companies that rely heavily on technology are particularly vulnerable to rapid changes in technology product cycles, rapid product obsolescence, government regulation, competition, and cybersecurity incidents. Neither BLOK or IBIT invests directly into bitcoin or cryptocurrency.

 

IBIT is new with a limited operating history.

 

Total return represents changes to the NAV and accounts for distribution from the Fund.

 

Commissions may be charged on trades.

 

Go to defianceetfs.com/IBIT to read more about IBIT including current performance and holdings information. Fund holdings are subject to change and should not be considered recommendations to buy or sell any securities.

 

IBIT is distributed by Foreside Fund Services, LLC.

 

13

 

 

Defiance Quantum ETF

 

Performance Summary
(Unaudited)

 

 

Growth of $10,000

 

 

Average Annual Returns
Year Ended December 31, 2022

One Year

Three Years

Since Inception
(9/4/2018)

Defiance Quantum ETF - NAV

-28.56%

11.12%

11.91%

Defiance Quantum ETF - Market

-28.79%

11.01%

11.85%

BlueStar Quantum Computing and Machine Learning Index®

-28.37%

11.72%

12.46%

S&P 500® Index

-18.11%

7.66%

8.61%

 

This chart illustrates the performance of a hypothetical $10,000 investment made on September 4, 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 performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. For performance current to most recent month end please visit www.defianceetfs.com. The gross expense ratio from the April 30, 2022 prospectus is 0.40%.

 

14

 

 

Defiance Next Gen Connectivity ETF

 

Performance Summary
(Unaudited)

 

 

Growth of $10,000

 

 

Average Annual Returns
Year Ended December 31, 2022

One Year

Three Years

Since Inception
(3/4/2019)

Defiance Next Gen Connectivity ETF - NAV

-27.20%

5.88%

6.09%

Defiance Next Gen Connectivity ETF - Market

-27.27%

5.84%

6.07%

BlueStar 5G Communications IndexTM

-27.29%

6.07%

6.32%

S&P 500® Index

-18.11%

7.66%

10.54%

 

This chart illustrates the performance of a hypothetical $10,000 investment made on March 4, 2019, and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The chart assumes reinvestment of capital gains and dividends.

 

The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. For performance current to most recent month end please visit www.defianceetfs.com. The gross expense ratio from the April 30, 2022 prospectus is 0.30%.

 

15

 

 

Defiance Next Gen H2 ETF

 

Performance Summary
(Unaudited)

 

 

Growth of $10,000

 

 

Average Annual Returns
Year Ended December 31, 2022

One Year

Since Inception
(3/9/2021)

Defiance Next Gen H2 ETF - NAV

-50.98%

-44.41%

Defiance Next Gen H2 ETF - Market

-50.89%

-44.32%

BlueStar Hydrogen & NextGen Fuel Cell Index

-50.99%

-44.02%

S&P 500® Index

-18.11%

1.02%

 

This chart illustrates the performance of a hypothetical $10,000 investment made on March 9, 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 performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. For performance current to most recent month end please visit www.defianceetfs.com. The gross expense ratio from the April 30, 2022 prospectus is 0.30%.

 

16

 

 

Defiance Hotel, Airline, and Cruise ETF

 

Performance Summary
(Unaudited)

 

 

Growth of $10,000

 

 

Average Annual Returns
Year Ended December 31, 2022

One Year

Since Inception
(6/3/2021)

Defiance Hotel, Airline, and Cruise ETF - NAV

-23.80%

-23.00%

Defiance Hotel, Airline, and Cruise ETF - Market

-24.26%

-23.13%

BlueStar Global Hotels, Airlines, and Cruises Index

-23.62%

-22.86%

S&P 500® Index

-18.11%

-3.97%

 

This chart illustrates the performance of a hypothetical $10,000 investment made on June 3, 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 performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. For performance current to most recent month end please visit www.defianceetfs.com. The gross expense ratio from the April 30, 2022 prospectus is 0.45%.

 

17

 

 

Defiance Digital Revolution ETF

 

Performance Summary
(Unaudited)

 

 

Growth of $10,000

 

 

Average Annual Returns
Year Ended December 31, 2022

One Year

Since Inception
(12/1/2021)

Defiance Digital Revolution ETF - NAV

-76.11%

-79.32%

Defiance Digital Revolution ETF - Market

-76.48%

-79.57%

BITA NFT and Blockchain Select Index

-76.01%

-79.25%

S&P 500® Index

-18.11%

-12.47%

 

This chart illustrates the performance of a hypothetical $10,000 investment made on December 1, 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 performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. For performance current to most recent month end please visit www.defianceetfs.com. The gross expense ratio from the April 30, 2022 prospectus is 0.65%.

 

18

 

 

Defiance Daily Short Digitizing the Economy ETF

 

Performance Summary
(Unaudited)

 

 

Growth of $10,000

 

 

Cumulative Returns
Period Ended December 31, 2022

Since Inception
(9/7/2022)

Defiance Daily Short Digitizing the Economy ETF - NAV

25.82%

Defiance Daily Short Digitizing the Economy ETF - Market

25.58%

S&P 500® Index

-2.99%

 

This chart illustrates the performance of a hypothetical $10,000 investment made on September 7, 2022, and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The chart assumes reinvestment of capital gains and dividends.

 

The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. For performance current to most recent month end please visit www.defianceetfs.com. The gross expense ratio from the September 2, 2022 prospectus is 4.70%.

 

19

 

 

Defiance ETFs

 

Portfolio Allocations

As of December 31, 2022 (Unaudited)

 

 

Defiance Quantum ETF

 

Country

Percentage of
Net Assets

United States

56.8%

Japan

13.3

Taiwan

5.5

China

4.5

Netherlands

4.2

France

3.0

Switzerland

2.9

Israel

1.4

Italy

1.4

Finland

1.4

India

1.4

Germany

1.4

Ireland

1.4

Canada

1.1

Short-Term Investments and Other Assets and Liabilities

0.3

Total

100.0%

 

Defiance Next Gen Connectivity ETF

 

Sector

Percentage of
Net Assets

Information Technology (a)

71.1%

Communication Services

18.0

Real Estate

9.1

Consumer Discretionary

1.0

Short-Term Investments and Other Assets and Liabilities

0.8

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 8 in Notes to Financial Statements.

 

 

20

 

 

Defiance ETFs

 

Portfolio Allocations

As of December 31, 2022 (Unaudited) (Continued)

 

 

Defiance Next Gen H2 ETF

 

Country

Percentage of
Net Assets

United States

27.0%

Republic of Korea

19.8

United Kingdom

15.6

France

7.9

Norway

6.7

Sweden

6.2

Canada

6.0

Germany

4.6

Italy

4.2

Japan

1.1

Short-Term Investments and Other Assets and Liabilities

0.9

Total

100.0%

 

Defiance Hotel, Airline, and Cruise ETF

 

Country

Percentage of
Net Assets

United States

62.8%

United Kingdom

7.3

Japan

5.1

China

3.8

Ireland

3.2

France

2.5

Germany

1.9

Singapore

1.9

Taiwan

1.8

Republic of Korea

1.8

Australia

1.5

Thailand

1.3

Hong Kong

1.2

Canada

1.1

Short-Term Investments and Other Assets and Liabilities

0.8

Panama

0.6

Switzerland

0.6

Mexico

0.4

Brazil

0.4

Total

100.0%

 

 

21

 

 

Defiance ETFs

 

Portfolio Allocations

As of December 31, 2022 (Unaudited) (Continued)

 

 

Defiance Digital Revolution ETF

 

Country

Percentage of
Net Assets

United States

64.5%

Republic of Korea

13.5

Canada

9.2

Japan

5.1

China

3.8

Australia

1.5

United Kingdom

1.0

Germany

0.7

Short-Term Investments and Other Assets and Liabilities

0.7

Total

100.0%

 

Defiance Daily Short Digitizing the Economy ETF

 

Investment Type

Percentage of
Net Assets

U.S. Treasury Bills

79.0%

Other Assets and Liabilities

19.9

Money Market Funds

1.1

Total

100.0%

 

22

 

 

Defiance Quantum ETF

 

Schedule of Investments
December 31, 2022

 

 

 

Shares

 

Security Description

 

Value

 
     

COMMON STOCKS — 99.7%

       
       

Communication Services — 7.3%

       
    15,895  

Alphabet, Inc. - Class A (a)

  $ 1,402,416  
    13,171  

Baidu, Inc. - ADR (a)

    1,506,499  
    484,894  

Koninklijke KPN NV

    1,495,580  
    55,500  

Nippon Telegraph & Telephone Corporation

    1,582,409  
    154,145  

Orange SA - ADR (b)

    1,522,953  
              7,509,857  
       

Consumer Discretionary — 1.5%

       
    17,085  

Alibaba Group Holding, Ltd. - ADR (a)

    1,505,018  
                 
       

Industrials — 15.0%

       
    48,838  

ABB, Ltd. - ADR (b)

    1,487,605  
    13,254  

Airbus SE

    1,570,411  
    14,203  

Booz Allen Hamilton Holding Corporation

    1,484,497  
    29,000  

Hitachi, Ltd.

    1,470,605  
    7,070  

Honeywell International, Inc.

    1,515,101  
    3,136  

Lockheed Martin Corporation

    1,525,633  
    155,500  

Mitsubishi Electric Corporation

    1,547,988  
    2,793  

Northrop Grumman Corporation (b)

    1,523,889  
    15,237  

Raytheon Technologies Corporation

    1,537,718  
    46,800  

Toshiba Corporation

    1,632,653  
              15,296,100  
       

Information Technology — 74.5% (c)

       
    5,264  

Accenture plc - Class A

    1,404,646  
    21,515  

Advanced Micro Devices, Inc. (a)

    1,393,527  
    54,000  

Alchip Technologies, Ltd.

    1,384,458  
    35,119  

Alteryx, Inc. - Class A (a)

    1,779,480  
    19,783  

Ambarella, Inc. (a)

    1,626,756  
    9,090  

Analog Devices, Inc.

    1,491,033  
    14,222  

Applied Materials, Inc.

    1,384,938  
    2,510  

ASML Holding NV - NY

    1,371,464  
    170,000  

Asustek Computer, Inc.

    1,485,090  
    345,327  

BlackBerry, Ltd. (a)(b)

    1,125,766  
    9,397  

Cadence Design Systems, Inc. (a)

    1,509,534  
    20,382  

Cirrus Logic, Inc. (a)

    1,518,051  
    29,026  

Elastic NV (a)

    1,494,839  
    11,200  

Fujitsu, Ltd.

    1,495,229  
    93,965  

Hewlett Packard Enterprise Company

    1,499,681  
    46,549  

Infineon Technologies AG

    1,412,382  
    53,268  

Intel Corporation

    1,407,873  
    10,247  

International Business Machines Corporation

    1,443,700  
    346,915  

IonQ, Inc. (a)(b)

    1,196,857  
    47,203  

Juniper Networks, Inc.

    1,508,608  
    3,888  

KLA Corporation

    1,465,893  
       

COMMON STOCKS — 99.7% (Continued)

       

Information Technology — 74.5% (c) (Continued)

    3,397  

Lam Research Corporation

  $ 1,427,759  
    21,729  

Lattice Semiconductor Corporation (a)(b)

    1,409,777  
    37,344  

Marvell Technology, Inc.

    1,383,222  
    65,000  

MediaTek, Inc.

    1,321,761  
    20,060  

Microchip Technology, Inc.

    1,409,215  
    28,039  

Micron Technology, Inc.

    1,401,389  
    6,175  

Microsoft Corporation

    1,480,888  
    18,464  

MKS Instruments, Inc. (b)

    1,564,455  
    38,595  

National Instruments Corporation (b)

    1,424,155  
    43,800  

NEC Corporation

    1,538,618  
    313,087  

Nokia Corporation - ADR

    1,452,724  
    100,600  

NTT Data Corporation

    1,473,032  
    20,770  

NVE Corporation

    1,344,857  
    9,362  

NVIDIA Corporation

    1,368,163  
    9,205  

NXP Semiconductors NV

    1,454,666  
    21,515  

ON Semiconductor Corporation (a)(b)

    1,341,891  
    19,867  

Onto Innovation, Inc. (a)

    1,352,744  
    12,766  

QUALCOMM, Inc.

    1,403,494  
    161,900  

Renesas Electronics Corporation (a)

    1,452,186  
    12,759  

Reply SpA

    1,457,020  
    1,509,081  

Rigetti Computing, Inc. (a)(b)

    1,100,422  
    5,341,000  

SenseTime Group, Inc. - Class B (a)(d)

    1,519,167  
    18,025  

Splunk, Inc. (a)

    1,551,772  
    40,039  

STMicroelectronics NV - NY (b)

    1,424,187  
    15,177  

Synaptics, Inc. (a)(b)

    1,444,243  
    4,661  

Synopsys, Inc. (a)

    1,488,211  
    19,044  

Taiwan Semiconductor Manufacturing Company, Ltd. - ADR

    1,418,588  
    45,674  

Teradata Corporation (a)

    1,537,387  
    16,518  

Teradyne, Inc. (b)

    1,442,847  
    8,685  

Texas Instruments, Inc.

    1,434,936  
    33,738  

Tower Semiconductor, Ltd. (a)

    1,457,482  
    307,976  

Wipro, Ltd. - ADR (b)

    1,435,168  
              76,116,231  
       

Materials — 1.4%

       
    71,600  

JSR Corporation

    1,404,379  
                 
       

TOTAL COMMON STOCKS (Cost $118,042,117)

    101,831,585  
                 

 

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

 

23

 

 

Defiance Quantum ETF

 

Schedule of Investments
December 31, 2022 (Continued)

 

 

 

Shares

 

Security Description

 

Value

 
       

SHORT-TERM INVESTMENTS — 0.2%

    241,886  

First American Government Obligations Fund - Class X, 4.09% (e)

  $ 241,886  
       

TOTAL SHORT-TERM INVESTMENTS (Cost $241,886)

    241,886  
 

Units

           
       

INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING — 11.8%

    11,999,146  

Mount Vernon Liquid Assets Portfolio, LLC, 4.56% (e)(f)

    11,999,146  
       

TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $11,999,146)

    11,999,146  
                 
       

TOTAL INVESTMENTS — 111.7% (Cost $130,283,149)

    114,072,617  
       

Liabilities in Excess of Other Assets — (11.7)%

    (11,964,626 )
       

NET ASSETS — 100.0%

  $ 102,107,991  

 

Percentages are stated as a percent of net assets.

 

ADR

American Depositary Receipt.

NY

New York Registry Shares.

(a)

Non-income producing security.

(b)

All or part of this security is on loan as of December 31, 2022. The total value of securities on loan is $11,552,426.

(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 8 in Notes to Financial Statements.

(d)

Restricted security as defined in Rule 144(a) under the Securities Act of 1933. Resale to the public may require registration or may extend only to qualified institutional buyers. At December 31, 2022, the market value of these securities total $1,519,167, which represents 1.5% of total net assets.

(e)

Rate shown is the annualized seven-day yield as of December 31, 2022.

(f)

Privately offered liquidity fund. See Note 4 in Notes to Financial Statements.

 

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

 

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

 

24

 

 

Defiance Next Gen Connectivity ETF

 

Schedule of Investments
December 31, 2022

 

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.2%

       
       

Communication Services — 18.0%

       
    916,732  

Altice USA, Inc. - Class A (a)

  $ 4,216,967  
    1,097,240  

AT&T, Inc.

    20,200,188  
    242,026  

BCE, Inc. (b)

    10,637,043  
    26,185  

Charter Communications, Inc. - Class A (a)

    8,879,334  
    135,546  

Chunghwa Telecom Company, Ltd. - ADR

    4,959,628  
    248,729  

KT Corporation - ADR

    3,357,842  
    648,794  

Lumen Technologies, Inc. (a)(b)

    3,386,705  
    556,844  

Orange SA - ADR

    5,501,619  
    105,811  

Rogers Communications, Inc. - Class B (b)

    4,956,187  
    166,647  

SK Telecom Company, Ltd. - ADR

    3,431,262  
    1,631,242  

Telefonica SA - ADR

    5,823,534  
    142,325  

T-Mobile US, Inc. (a)

    19,925,500  
    569,721  

Verizon Communications, Inc.

    22,447,007  
    630,952  

Vodafone Group plc - ADR

    6,385,234  
              124,108,050  
       

Consumer Discretionary — 1.0%

       
    79,806  

Amazon.com, Inc. (a)

    6,703,704  
                 
       

Information Technology — 71.1% (c)

       
    184,401  

A10 Networks, Inc.

    3,066,589  
    185,272  

ADTRAN Holdings, Inc.

    3,481,261  
    503,198  

Advanced Micro Devices, Inc. (a)

    32,592,134  
    203,847  

Akamai Technologies, Inc. (a)

    17,184,302  
    1,014,200  

Akoustis Technologies, Inc. (a)(b)

    2,860,044  
    138,485  

Amdocs, Ltd.

    12,588,286  
    212,603  

Analog Devices, Inc.

    34,873,270  
    50,088  

Apple, Inc.

    6,507,934  
    55,694  

Arista Networks, Inc. (a)

    6,758,467  
    13,623  

Broadcom, Inc.

    7,617,028  
    79,903  

Calix, Inc. (a)

    5,467,762  
    165,711  

Cambium Networks Corporation (a)(b)

    3,590,957  
    719,595  

Casa Systems, Inc. (a)(b)

    1,964,494  
    265,272  

CEVA, Inc. (a)(b)

    6,785,658  
    178,125  

Ciena Corporation (a)(b)

    9,080,812  
    146,511  

Cisco Systems, Inc.

    6,979,784  
    34,109  

Clearfield, Inc. (a)(b)

    3,211,021  
    101,835  

Coherent Corporation (a)(b)

    3,574,408  
    450,185  

CommScope Holding Company, Inc. (a)

    3,308,860  
    278,351  

Comtech Telecommunications Corporation

    3,379,181  
    183,327  

Corning, Inc.

    5,855,464  
    61,566  

CSG Systems International, Inc.

    3,521,575  
       

COMMON STOCKS — 99.2% (Continued)

       

Information Technology — 71.1% (c) (Continued)

    88,227  

CTS Corporation (b)

  $ 3,477,908  
    168,394  

Dell Technologies, Inc. - Class C

    6,772,807  
    319,127  

DZS, Inc. (a)(b)

    4,046,530  
    2,714,933  

Edgio, Inc. (a)

    3,067,874  
    180,544  

Extreme Networks, Inc. (a)

    3,305,761  
    61,759  

F5, Inc. (a)

    8,863,034  
    166,990  

Focus Universal, Inc. (a)(b)

    1,070,406  
    201,109  

GDS Holdings, Ltd. - ADR (a)(b)

    4,146,868  
    439,534  

Hewlett Packard Enterprise Company

    7,014,963  
    552,338  

Infinera Corporation (a)(b)

    3,722,758  
    249,169  

Intel Corporation

    6,585,537  
    146,369  

InterDigital, Inc.

    7,242,338  
    39,562  

IPG Photonics Corporation (a)(b)

    3,745,335  
    220,809  

Juniper Networks, Inc.

    7,057,056  
    119,183  

Keysight Technologies, Inc. (a)

    20,388,636  
    181,174  

Lattice Semiconductor Corporation (a)(b)

    11,754,569  
    68,280  

Lumentum Holdings, Inc. (a)(b)

    3,562,168  
    52,588  

MACOM Technology Solutions Holdings, Inc. (a)(b)

    3,311,992  
    724,277  

Marvell Technology, Inc.

    26,827,220  
    101,806  

MaxLinear, Inc. (a)(b)

    3,456,314  
    90,272  

National Instruments Corporation (b)

    3,331,037  
    99,843  

NetScout Systems, Inc. (a)

    3,245,896  
    6,442,102  

Nokia Corporation - ADR

    29,891,353  
    43,801  

NVIDIA Corporation

    6,401,078  
    215,288  

NXP Semiconductors NV

    34,021,963  
    132,795  

Qorvo, Inc. (a)

    12,036,539  
    59,719  

QUALCOMM, Inc.

    6,565,507  
    174,726  

Radware, Ltd. (a)

    3,450,838  
    1,561,687  

Ribbon Communications, Inc. (a)

    4,357,107  
    242,502  

Sierra Wireless, Inc. (a)

    7,030,133  
    45,910  

Silicom, Ltd. (a)

    1,935,107  
    195,361  

Skyworks Solutions, Inc.

    17,803,248  
    3,946,160  

Telefonaktiebolaget LM Ericsson - ADR

    23,045,574  
    12,518  

Ubiquiti, Inc. (b)

    3,424,049  
    331,097  

Viavi Solutions, Inc. (a)(b)

    3,479,829  
    59,743  

VMware, Inc. - Class A (a)

    7,334,051  
              491,022,674  
       

Real Estate — 9.1%

       
    100,310  

American Tower Corporation

    21,251,677  
    86,042  

Crown Castle, Inc.

    11,670,737  
    47,487  

Digital Realty Trust, Inc.

    4,761,521  
    277,254  

DigitalBridge Group, Inc. (b)

    3,033,159  
    18,620  

Equinix, Inc.

    12,196,659  
                 

 

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

 

25

 

 

Defiance Next Gen Connectivity ETF

 

Schedule of Investments
December 31, 2022 (Continued)

 

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.2% (Continued)

       

Real Estate — 9.1% (Continued)

       
    23,874  

SBA Communications Corporation

  $ 6,692,121  
    580,980  

Uniti Group, Inc.

    3,212,819  
              62,818,693  
       

TOTAL COMMON STOCKS (Cost $787,428,954)

    684,653,121  
                 
       

SHORT-TERM INVESTMENTS — 0.9%

       
    6,431,933  

First American Government Obligations Fund - Class X, 4.09% (d)

    6,431,933  
       

TOTAL SHORT-TERM INVESTMENTS (Cost $6,431,933)

    6,431,933  
 

Units

           
       

INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING — 7.4%

    50,652,640  

Mount Vernon Liquid Assets Portfolio, LLC, 4.56% (d)(e)

    50,652,640  
       

TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $50,652,640)

    50,652,640  
                 
       

TOTAL INVESTMENTS — 107.5% (Cost $844,513,527)

    741,737,694  
       

Liabilities in Excess of Other Assets — (7.5)%

    (51,559,988 )
       

NET ASSETS — 100.0%

  $ 690,177,706  

 

Percentages are stated as a percent of net assets.

 

ADR

American Depositary Receipt.

(a)

Non-income producing security.

(b)

All or part of this security is on loan as of December 31, 2022. The total value of securities on loan is $49,458,383.

(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 8 in Notes to Financial Statements.

(d)

Rate shown is the annualized seven-day yield as of December 31, 2022.

(e)

Privately offered liquidity fund. See Note 4 in Notes to Financial Statements.

 

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

 

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

 

26

 

 

Defiance Next Gen H2 ETF

 

Schedule of Investments
December 31, 2022

 

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.1%

       
       

Consumer Discretionary — 4.4%

       
    70,172  

Iljin Hysolus Company, Ltd. (a)

  $ 1,656,492  
                 
       

Consumer Staples — 0.8%

       
    32,943  

Pungkuk Ethanol Company, Ltd.

    313,929  
                 
       

Energy — 4.8%

       
    87,322  

Bumhan Fuel Cell Company, Ltd. (a)

    1,802,376  
                 
       

Industrials — 71.7% (b)

       
    871,710  

Advent Technologies Holdings, Inc. (a)

    1,577,795  
    2,159,993  

AFC Energy plc (a)

    480,680  
    424,899  

Ballard Power Systems, Inc. (a)

    2,035,266  
    122,700  

Bloom Energy Corporation - Class A (a)

    2,346,024  
    174,647  

Cell Impact AB (a)

    183,539  
    498,600  

Ceres Power Holdings plc (a)

    2,103,390  
    92,075  

Doosan Fuel Cell Company, Ltd. (a)

    2,137,130  
    66,732  

First Hydrogen Corporation (a)

    230,985  
    723,797  

FuelCell Energy, Inc. (a)

    2,012,156  
    68,045  

Hexagon Purus ASA (a)

    142,984  
    1,613,306  

ITM Power plc (a)

    1,778,417  
    112,866  

McPhy Energy SA (a)

    1,470,767  
    1,711,860  

NEL ASA (a)

    2,407,656  
    222,004  

Plug Power, Inc. (a)

    2,746,189  
    191,531  

PowerCell Sweden AB (a)

    2,188,374  
    65,397  

SFC Energy AG (a)

    1,751,849  
    99,584  

S-Fuelcell Company, Ltd.

    1,598,699  
    1,244,898  

Xebec Adsorption, Inc. (a)(c)(d)(e)

    0  
              27,191,900  
       

Materials — 17.4%

       
    10,849  

Air Liquide SA

    1,533,002  
    4,988  

Air Products and Chemicals, Inc.

    1,537,601  
    4,749  

Linde plc

    1,549,029  
    28,300  

Nippon Sanso Holdings Corporation

    410,950  
    83,711  

SOL SpA

    1,581,324  
              6,611,906  
       

TOTAL COMMON STOCKS (Cost $56,681,640)

    37,576,603  
                 
       

SHORT-TERM INVESTMENTS — 1.3%

       
    490,435  

First American Government Obligations Fund - Class X, 4.09% (f)

  $ 490,435  
       

TOTAL SHORT-TERM INVESTMENTS (Cost $490,435)

    490,435  
                 
       

TOTAL INVESTMENTS — 100.4% (Cost $57,172,075)

    38,067,038  
       

Liabilities in Excess of Other Assets — (0.4)%

    (157,602 )
       

NET ASSETS — 100.0%

  $ 37,909,436  

 

Percentages are stated as a percent of net assets.

 

(a)

Non-income producing security.

(b)

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 8 in Notes to Financial Statements.

(c)

Represents less than 0.05% of net assets.

(d)

Value determined using significant unobservable inputs. Classified as Level 3 in the fair value hierarchy.

(e)

This security has been deemed illiquid according to the Fund’s liquidity guidelines. The value of this security is $0, which represents 0.00% of net assets.

(f)

Rate shown is the annualized seven-day yield as of December 31, 2022.

 

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

 

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

 

27

 

 

Defiance Hotel, Airline, and Cruise ETF

 

Schedule of Investments
December 31, 2022

 

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 98.8%

       
       

Consumer Discretionary — 46.3% (a)

       
    34,420  

Accor SA (b)

  $ 857,754  
    333,500  

Carnival Corporation (b)

    2,688,010  
    5,202  

Choice Hotels International, Inc.

    585,953  
    35,352  

H World Group, Ltd. - ADR

    1,499,632  
    30,994  

Hilton Worldwide Holdings, Inc.

    3,916,402  
    5,745  

Hyatt Hotels Corporation - Class A (b)

    519,635  
    26,533  

InterContinental Hotels Group plc - ADR

    1,547,935  
    26,469  

Marriott International, Inc. - Class A

    3,940,969  
    713,200  

Minor International pcl - NVDR (b)

    664,088  
    116,907  

Norwegian Cruise Line Holdings, Ltd. (b)

    1,430,942  
    18,500  

Resorttrust, Inc.

    329,353  
    53,653  

Royal Caribbean Cruises, Ltd. (b)

    2,652,068  
    472,000  

Shangri-La Asia, Ltd. (b)

    387,037  
    32,950  

Whitbread plc

    1,018,639  
    12,590  

Wyndham Hotels & Resorts, Inc.

    897,793  
              22,936,210  
       

Industrials — 42.9% (a)

       
    37,786  

Air Canada (b)

    540,736  
    444,000  

Air China, Ltd. - H-Shares (b)

    395,364  
    282,718  

Air France-KLM (b)

    371,430  
    20,896  

Alaska Air Group, Inc. (b)

    897,274  
    3,050  

Allegiant Travel Company (b)

    207,370  
    97,717  

American Airlines Group, Inc. (b)

    1,242,960  
    32,800  

ANA Holdings, Inc. (b)

    696,048  
    184,000  

Cathay Pacific Airways, Ltd. (b)

    200,857  
    653,000  

China Airlines, Ltd.

    403,670  
    23,068  

Controladora Vuela Cia de Aviacion SAB de CV - ADR (b)

    192,848  
    3,577  

Copa Holdings SA - Class A (b)

    297,499  
    98,574  

Delta Air Lines, Inc. (b)

    3,239,142  
    116,186  

Deutsche Lufthansa AG (b)

    962,854  
    86,423  

easyJet plc (b)

    337,450  
    556,000  

Eva Airways Corporation

    509,229  
    6,513  

Hanjin Kal Corporation (b)

    192,892  
       

COMMON STOCKS — 98.8% (Continued)

       

Industrials — 42.9% (a) (Continued)

    489,904  

International Consolidated Airlines Group SA (b)

  $ 727,021  
    30,200  

Japan Airlines Company, Ltd. (b)

    616,840  
    59,364  

JetBlue Airways Corporation (b)

    384,679  
    37,477  

Korean Air Lines Company, Ltd. (b)

    680,188  
    186,665  

Qantas Airways, Ltd. (b)

    760,787  
    21,265  

Ryanair Holdings plc - ADR (b)

    1,589,771  
    224,200  

Singapore Airlines, Ltd.

    924,415  
    9,362  

SkyWest, Inc. (b)

    154,567  
    68,709  

Southwest Airlines Company

    2,313,432  
    19,406  

Spirit Airlines, Inc.

    378,029  
    46,750  

United Airlines Holdings, Inc. (b)

    1,762,475  
    11,933  

Wizz Air Holdings plc (b)

    273,377  
              21,253,204  
       

Real Estate — 9.6%

       
    30,535  

Apple Hospitality REIT, Inc.

    481,842  
    25,627  

DiamondRock Hospitality Company

    209,885  
    78,789  

Host Hotels & Resorts, Inc.

    1,264,563  
    1,094  

Invincible Investment Corporation

    422,858  
    754  

Japan Hotel REIT Investment Corporation

    442,874  
    30,447  

Park Hotels & Resorts, Inc.

    358,970  
    18,649  

Pebblebrook Hotel Trust

    249,710  
    23,424  

RLJ Lodging Trust

    248,060  
    7,116  

Ryman Hospitality Properties, Inc.

    581,947  
    27,430  

Service Properties Trust

    199,965  
    31,447  

Sunstone Hotel Investors, Inc.

    303,778  
              4,764,452  
       

TOTAL COMMON STOCKS (Cost $59,236,029)

    48,953,866  
                 
       

PREFERRED STOCKS — 0.4%

       
       

Industrials — 0.4%

       
    28,963  

Azul SA - ADR (b)

    176,964  
       

TOTAL PREFERRED STOCKS (Cost $310,967)

    176,964  
                 

 

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

 

28

 

 

Defiance Hotel, Airline, and Cruise ETF

 

Schedule of Investments
December 31, 2022 (Continued)

 

 

 

Shares

 

Security Description

 

Value

 
       

SHORT-TERM INVESTMENTS — 0.7%

       
    330,150  

First American Government Obligations Fund - Class X, 4.09% (c)

  $ 330,150  
       

TOTAL SHORT-TERM INVESTMENTS (Cost $330,150)

    330,150  
                 
       

TOTAL INVESTMENTS — 99.9% (Cost $59,877,146)

    49,460,980  
       

Other Assets in Excess of Liabilities — 0.1%

    62,323  
       

NET ASSETS — 100.0%

  $ 49,523,303  

 

Percentages are stated as a percent of net assets.

 

ADR

American Depositary Receipt.

NVDR

Non-Voting Depositary Receipt.

(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 8 in Notes to Financial Statements.

(b)

Non-income producing security.

(c)

Rate shown is the annualized seven-day yield as of December 31, 2022.

 

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

 

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

 

29

 

 

Defiance Digital Revolution ETF

 

Schedule of Investments
December 31, 2022

 

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.3%

       
       

Communication Services — 18.6%

       
    4,414  

Kakao Corporation

  $ 185,357  
    1,354  

NAVER Corporation

    190,063  
    8,900  

Nexon Company, Ltd.

    199,794  
    6,351  

Wemade Company, Ltd.

    158,461  
              733,675  
       

Consumer Discretionary — 19.0%

       
    12,431  

DraftKings, Inc. - Class A (a)

    141,589  
    4,260  

eBay, Inc.

    176,662  
    18,322  

Funko, Inc. - Class A (a)

    199,893  
    6,997  

GameStop Corporation - Class A (a)

    129,165  
    36,919  

PLBY Group, Inc. (a)

    101,527  
              748,836  
       

Financials — 14.0%

       
    83,192  

Bakkt Holdings, Inc. (a)

    98,998  
    1,570  

Bitcoin Group SE

    29,691  
    4,039  

Coinbase Global, Inc. - Class A (a)

    142,940  
    19,276  

Robinhood Markets, Inc. - Class A (a)

    156,907  
    7,269  

Silvergate Capital Corporation - Class A (a)

    126,481  
              555,017  
       

Information Technology — 47.7% (b)

       
    2,568  

Advanced Micro Devices, Inc. (a)

    166,329  
    60,119  

Applied Digital Corporation (a)

    110,619  
    510,160  

Argo Blockchain plc (a)

    38,662  
    241,912  

Bitfarms, Ltd. (a)

    106,441  
    2,830  

Block, Inc. (a)

    177,837  
    73,497  

Canaan, Inc. - ADR (a)

    151,404  
    72,658  

Cleanspark, Inc. (a)

    148,222  
    3,981  

Cloudflare, Inc. - Class A (a)

    179,981  
    8,784  

CompoSecure, Inc. (a)

    43,129  
    86,446  

HIVE Blockchain Technologies, Ltd. (a)

    124,410  
    155,293  

Hut 8 Mining Corporation (a)

    132,950  
    1,295  

International Business Machines Corporation

    182,453  
    46,371  

Iris Energy, Ltd. (a)

    57,964  
    27,867  

Marathon Digital Holdings, Inc. (a)

    95,305  
    38,823  

Riot Blockchain, Inc. (a)

    131,610  
    52,138  

Terawulf, Inc. (a)

    34,703  
              1,882,019  
       

TOTAL COMMON STOCKS (Cost $9,089,765)

    3,919,547  
                 
       

RIGHTS — 0.0% (c)

       
       

Consumer Discretionary — 0.0% (c)

    29,661  

PLBY Group, Inc. Rights (a)(d)

  $ 0  
       

TOTAL RIGHTS (Cost $17,686)

    0  
                 
       

SHORT-TERM INVESTMENTS — 0.6%

       
    24,991  

First American Government Obligations Fund - Class X, 4.09% (e)

    24,991  
       

TOTAL SHORT-TERM INVESTMENTS (Cost $24,991)

    24,991  
                 
       

TOTAL INVESTMENTS — 99.9% (Cost $9,132,442)

    3,944,538  
       

Other Assets in Excess of Liabilities — 0.1%

    1,876  
       

NET ASSETS — 100.0%

  $ 3,946,414  

 

Percentages are stated as a percent of net assets.

 

ADR

American Depositary Receipt.

(a)

Non-income producing security.

(b)

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 8 in Notes to Financial Statements.

(c)

Represents less than 0.05% of net assets.

(d)

This security has been deemed illiquid according to the Fund’s liquidity guidelines. The value of this security is $0, which represents 0.00% of net assets.

(e)

Rate shown is the annualized seven-day yield as of December 31, 2022.

 

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

 

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

 

30

 

 

Defiance Daily Short Digitizing the Economy ETF

 

Schedule of Investments
December 31, 2022

 

 

 

Par

 

Security Description

 

Effective Yield

   

Maturity

   

Value

 
       

SHORT-TERM INVESTMENTS — 80.1%

                       
       

U.S. Treasury Bills — 79.0%

                       
  $ 750,000  

United States Treasury Bill (a)

    4.08%       02/21/2023     $ 745,762  
                                 
 

Shares

                           
       

Money Market Funds — 1.1%

                       
    10,553  

First American Government Obligations Fund - Class X, 4.09% (b)

                    10,553  
       

TOTAL SHORT-TERM INVESTMENTS (Cost $756,296)

                    756,315  
                                 
       

TOTAL INVESTMENTS — 80.1% (Cost $756,296)

                    756,315  
       

Other Assets in Excess of Liabilities — 19.9%

                    187,315  
       

NET ASSETS — 100.0%

                  $ 943,630  

 

Percentages are stated as a percent of net assets.

(a)

Zero coupon bond.

(b)

Rate shown is the annualized seven-day yield as of December 31, 2022.

 

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

 

31

 

 

Defiance Daily Short Digitizing the Economy ETF

 

Schedule of Securities Sold Short

December 31, 2022

 

 

 

Shares

 

Security Description

 

Value

 
       

EXCHANGE TRADED FUNDS - (99.7)%

       
    (62,200 )

Amplify Transformational Data Sharing ETF (a)

  $ (940,464 )
       

TOTAL EXCHANGE TRADED FUNDS (Proceeds $1,175,516)

  $ (940,464 )

 

Percentages are stated as a percent of net assets.

(a)

Non-income producing security.

 

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

 

32

 

 

Defiance ETFs

 

Statements of Assets and Liabilities

December 31, 2022

 

 

   

Defiance
Quantum
ETF

   

Defiance
Next Gen
Connectivity
ETF

   

Defiance
Next Gen H2
ETF

 

ASSETS

                       

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

  $ 114,072,617     $ 741,737,694     $ 38,067,038  

Foreign currency, at value*

                 

Dividends and interest receivable

    37,662       1,123,803       17,581  

Reclaims receivable

    26,777       140,093       7,851  

Securities lending income receivable

    6,172       28,526        

Transaction fees receivable

    12              

Deposits at broker for securities sold short

                 

Receivable for securities sold

                 

Total assets

    114,143,240       743,030,116       38,092,470  
                         

LIABILITIES

                       

Collateral received for securities loaned (Note 4)

    11,999,146       50,652,640        

Management fees payable

    36,103       187,372       10,233  

Foreign currency due to Custodian, at value*

                172,801  

Payable for securities purchased

          2,012,398        

Securities sold short, at value *

                 

Broker interest and fees payable

                 

Total liabilities

    12,035,249       52,852,410       183,034  
                         

NET ASSETS

  $ 102,107,991     $ 690,177,706     $ 37,909,436  
                         

Net Assets Consist of:

                       

Paid-in capital

  $ 128,337,842     $ 853,023,194     $ 90,848,124  

Total distributable earnings (accumulated deficit)

    (26,229,851 )     (162,845,488 )     (52,938,688 )

Net assets

  $ 102,107,991     $ 690,177,706     $ 37,909,436  
                         

Net Asset Value:

                       

Net assets

  $ 102,107,991     $ 690,177,706     $ 37,909,436  

Shares outstanding ^

    2,600,000       23,100,000       4,050,000  

Net asset value, offering and redemption price per share

  $ 39.27     $ 29.88     $ 9.36  
                         

* Identified cost:

                       

Investments in securities

  $ 130,283,149     $ 844,513,527     $ 57,172,075  

Foreign currency

                (177,930 )

Securities sold short

                 

+ Includes loaned securities with a value of

  $ 11,552,426     $ 49,458,383     $  

 

^

No par value, unlimited number of shares authorized.

 

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

 

33

 

 

Defiance ETFs

 

Statements of Assets and Liabilities

December 31, 2022 (Continued)

 

 

   

Defiance
Hotel, Airline,
and Cruise
ETF

   

Defiance
Digital
Revolution
ETF

   

Defiance
Daily Short
Digitizing the
Economy
ETF

 

ASSETS

                       

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

  $ 49,460,980     $ 3,944,538     $ 756,315  

Foreign currency, at value*

    27,353       1,162        

Dividends and interest receivable

    52,334       3,041       21  

Reclaims receivable

    506       19        

Securities lending income receivable

                 

Transaction fees receivable

                 

Deposits at broker for securities sold short

                1,189,071  

Receivable for securities sold

                1,511  

Total assets

    49,541,173       3,948,760       1,946,918  
                         

LIABILITIES

                       

Collateral received for securities loaned (Note 4)

                 

Management fees payable

    17,870       2,346       729  

Foreign currency due to Custodian, at value*

                 

Payable for securities purchased

                60,680  

Securities sold short, at value *

                940,464  

Broker interest and fees payable

                1,415  

Total liabilities

    17,870       2,346       1,003,288  
                         

NET ASSETS

  $ 49,523,303     $ 3,946,414     $ 943,630  
                         

Net Assets Consist of:

                       

Paid-in capital

  $ 63,962,433       17,426,983       749,769  

Total distributable earnings (accumulated deficit)

    (14,439,130 )     (13,480,569 )     193,861  

Net assets

  $ 49,523,303     $ 3,946,414     $ 943,630  
                         

Net Asset Value:

                       

Net assets

  $ 49,523,303     $ 3,946,414     $ 943,630  

Shares outstanding ^

    3,075,000       900,000       30,000  

Net asset value, offering and redemption price per share

  $ 16.11     $ 4.38     $ 31.45  
                         

* Identified cost (proceeds):

                       

Investments in securities

  $ 59,877,146     $ 9,132,442     $ 756,296  

Foreign currency

    27,203       1,135     $  

Securities sold short

              $ (1,175.516 )

+ Includes loaned securities with a value of

  $     $     $  

 

^

No par value, unlimited number of shares authorized.

 

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

 

34

 

 

Defiance ETFs

 

Statements of Operations

For the Year/Period Ended December 31, 2022

 

 

   

Defiance
Quantum
ETF

   

Defiance
Next Gen
Connectivity
ETF

   

Defiance
Next Gen H2
ETF

 

INCOME

                       

Dividends*

  $ 1,950,741     $ 15,199,474     $ 117,781  

Securities lending income, net (Note 4)

    206,629       632,932        

Interest

    6,003       52,193       2,234  

Total investment income

    2,163,373       15,884,599       120,015  
                         

EXPENSES

                       

Management fees

    524,093       2,874,137       144,537  

Broker interest expense

                 

Total expenses

    524,093       2,874,137       144,537  

Net investment income (loss)

    1,639,280       13,010,462       (24,522 )
                         

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

                       

Net realized gain (loss) on:

                       

Investments

    (3,683,097 )     14,932,830       (27,378,579 )

Foreign currency

    (11,340 )     4,047       (107,824 )

Securities sold short

                 

Change in unrealized appreciation (depreciation) on:

                       

Investments

    (46,653,460 )     (366,992,927 )     (9,935,824 )

Foreign currency

    987       (2,389 )     4,877  

Securities sold short

                 

Net realized and unrealized gain (loss) on investments

    (50,346,910 )     (352,058,439 )     (37,417,350 )

Net increase (decrease) in net assets resulting from operations

  $ (48,707,630 )   $ (339,047,977 )   $ (37,441,872 )
                         

* Net of foreign taxes withheld of:

  $ 203,050     $ 782,665     $ 9,502  

 

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

 

35

 

 

Defiance ETFs

 

Statements of Operations

For the Year/Period Ended December 31, 2022 (Continued)

 

 

   

Defiance
Hotel, Airline,
and Cruise ETF

   

Defiance
Digital
Revolution
ETF

   

Defiance
Daily Short
Digitizing the
Economy
ETF
(1)

 

INCOME

                       

Dividends*

  $ 208,639     $ 12,030     $  

Securities lending income, net (Note 4)

                 

Interest

    1,782       288       7,969  

Total investment income

    210,421       12,318       7,969  
                         

EXPENSES

                       

Management fees

    171,786       51,662       2,466  

Broker interest expense

                5,734  

Total expenses

    171,786       51,662       8,200  

Net investment income (loss)

    38,635       (39,344 )     (231 )
                         

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

                       

Net realized gain (loss) on:

                       

Investments

    (4,795,950 )     (7,911,311 )      

Foreign currency

    (10,112 )     (3,518 )      

Securities sold short

                (41,210 )

Change in unrealized appreciation (depreciation) on:

                       

Investments

    (9,864,012 )     (3,741,229 )     19  

Foreign currency

    240       46        

Securities sold short

                235,052  

Net realized and unrealized gain (loss) on investments

    (14,669,834 )     (11,656,012 )     193,861  

Net increase (decrease) in net assets resulting from operations

  $ (14,631,199 )   $ (11,695,356 )   $ 193,630  
                         

* Net of foreign taxes withheld of:

  $ 6,183     $ 1,108     $  

 

(1)

The Fund commenced operations on September 7, 2022. The information presented is for the period from September 7, 2022 to December 31, 2022.

 

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

 

36

 

 

Defiance Quantum ETF

 

Statements of Changes in Net Assets

 

 

   

Year
Ended
December 31,
2022

   

Year
Ended
December 31,
2021

 

OPERATIONS

               

Net investment income (loss)

  $ 1,639,280     $ 708,611  

Net realized gain (loss) on investments

    (3,694,437 )     10,846,560  

Change in unrealized appreciation (depreciation) on investments

    (46,652,473 )     19,161,190  

Net increase (decrease) in net assets resulting from operations

    (48,707,630 )     30,716,361  
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Net distributions to shareholders

    (1,612,524 )     (690,361 )

Total distributions to shareholders

    (1,612,524 )     (690,361 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    6,663,645       117,576,090  

Payments for shares redeemed

    (32,664,740 )     (25,162,790 )

Transaction fees (Note 7)

    10,869       38,397  

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

    (25,990,226 )     92,451,697  

Net increase (decrease) in net assets

  $ (76,310,380 )   $ 122,477,697  
                 

NET ASSETS

               

Beginning of year

  $ 178,418,371     $ 55,940,674  

End of year

  $ 102,107,991     $ 178,418,371  

 

(a)

A summary of capital share transactions is as follows:

 

   

Shares

   

Shares

 

Shares sold

    150,000       2,350,000  

Shares redeemed

    (750,000 )     (500,000 )

Net increase (decrease)

    (600,000 )     1,850,000  

 

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

 

37

 

 

Defiance Next Gen Connectivity ETF

 

Statements of Changes in Net Assets

 

 

   

Year
Ended
December 31,
2022

   

Year
Ended
December 31,
2021

 

OPERATIONS

               

Net investment income (loss)

  $ 13,010,462     $ 15,732,899  

Net realized gain (loss) on investments

    14,936,877       125,188,423  

Change in unrealized appreciation (depreciation) on investments

    (366,995,316 )     129,987,506  

Net increase (decrease) in net assets resulting from operations

    (339,047,977 )     270,908,828  
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Net distributions to shareholders

    (13,051,189 )     (15,735,900 )

Tax return of capital to shareholders

          (525,022 )

Total distributions to shareholders

    (13,051,189 )     (16,260,922 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    13,902,540       561,836,190  

Payments for shares redeemed

    (355,360,330 )     (323,041,080 )

Transaction fees (Note 7)

    18        

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

    (341,457,772 )     238,795,110  

Net increase (decrease) in net assets

  $ (693,556,938 )   $ 493,443,016  
                 

NET ASSETS

               

Beginning of year

  $ 1,383,734,644     $ 890,291,628  

End of year

  $ 690,177,706     $ 1,383,734,644  

 

(a)

A summary of capital share transactions is as follows:

 

   

Shares

   

Shares

 

Shares sold

    400,000       15,150,000  

Shares redeemed

    (10,500,000 )     (8,450,000 )

Net increase (decrease)

    (10,100,000 )     6,700,000  

 

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

 

38

 

 

Defiance Next Gen H2 ETF

 

Statements of Changes in Net Assets

 

 

   

Year
Ended
December 31,
2022

   

Period
Ended
December 31,
2021
(1)

 

OPERATIONS

               

Net investment income (loss)

  $ (24,522 )   $ (48,530 )

Net realized gain (loss) on investments

    (27,486,403 )     (7,975,136 )

Change in unrealized appreciation (depreciation) on investments

    (9,930,947 )     (9,169,203 )

Net increase (decrease) in net assets resulting from operations

    (37,441,872 )     (17,192,869 )
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Net distributions to shareholders

           

Tax return of capital to shareholders

          (6,902 )

Total distributions to shareholders

          (6,902 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    15,932,298       83,719,170  

Payments for shares redeemed

    (6,490,913 )     (654,260 )

Transaction fees (Note 7)

    27,115       17,669  

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

    9,468,500       83,082,579  

Net increase (decrease) in net assets

  $ (27,973,372 )   $ 65,882,808  
                 

NET ASSETS

               

Beginning of year/period

  $ 65,882,808     $  

End of year/period

  $ 37,909,436     $ 65,882,808  

 

(a)

A summary of capital share transactions is as follows:

 

   

Shares

   

Shares

 

Shares sold

    1,175,000       3,475,000  

Shares redeemed

    (575,000 )     (25,000 )

Net increase (decrease)

    600,000       3,450,000  

 

(1)

The Fund commenced operations on March 9, 2021. The information presented is for the period from March 9, 2021 to December 31, 2021.

 

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

 

39

 

 

Defiance Hotel, Airline, and Cruise ETF

 

Statements of Changes in Net Assets

 

 

   

Year
Ended
December 31,
2022

   

Period
Ended
December 31,
2021
(1)

 

OPERATIONS

               

Net investment income (loss)

  $ 38,635     $ (27,031 )

Net realized gain (loss) on investments

    (4,806,062 )     (538,962 )

Change in unrealized appreciation (depreciation) on investments

    (9,863,772 )     (552,121 )

Net increase (decrease) in net assets resulting from operations

    (14,631,199 )     (1,118,114 )
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Net distributions to shareholders

    (63,540 )      

Total distributions to shareholders

    (63,540 )      
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    54,684,580       25,848,695  

Payments for shares redeemed

    (13,225,180 )     (1,981,580 )

Transaction fees (Note 7)

    7,742       1,899  

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

    41,467,142       23,869,014  

Net increase (decrease) in net assets

  $ 26,772,403     $ 22,750,900  
                 

NET ASSETS

               

Beginning of year/period

  $ 22,750,900     $  

End of year/period

  $ 49,523,303     $ 22,750,900  

 

(a)

A summary of capital share transactions is as follows:

 

   

Shares

   

Shares

 

Shares sold

    2,800,000       1,175,000  

Shares redeemed

    (800,000 )     (100,000 )

Net increase (decrease)

    2,000,000       1,075,000  

 

(1)

The Fund commenced operations on June 3, 2021. The information presented is for the period from June 3, 2021 to December 31, 2021.

 

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

 

40

 

 

Defiance Digital Revolution ETF

 

Statements of Changes in Net Assets

 

 

   

Year
Ended
December 31,
2022

   

Period
Ended
December 31,
2021
(1)

 

OPERATIONS

               

Net investment income (loss)

  $ (39,344 )   $ (4,094 )

Net realized gain (loss) on investments

    (7,914,829 )     (415,538 )

Change in unrealized appreciation (depreciation) on investments

    (3,741,183 )     (1,446,675 )

Net increase (decrease) in net assets resulting from operations

    (11,695,356 )     (1,866,307 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    6,048,013       11,777,934  

Payments for shares redeemed

    (317,955 )      

Transaction fees (Note 7)

    85        

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

    5,730,143       11,777,934  

Net increase (decrease) in net assets

  $ (5,965,213 )   $ 9,911,627  
                 

NET ASSETS

               

Beginning of year/period

  $ 9,911,627     $  

End of year/period

  $ 3,946,414     $ 9,911,627  

 

(a)

A summary of capital share transactions is as follows:

 

   

Shares

   

Shares

 

Shares sold

    410,000       540,000  

Shares redeemed

    (50,000 )      

Net increase (decrease)

    360,000       540,000  

 

(1)

The Fund commenced operations on December 1, 2021. The information presented is for the period from December 1, 2021 to December 31, 2021.

 

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

 

41

 

 

Defiance Daily Short Digitizing the Economy ETF

 

Statements of Changes in Net Assets

 

 

   

Period
Ended
December 31,
2022
(1)

 

OPERATIONS

       

Net investment income (loss)

  $ (231 )

Net realized gain (loss) on securities sold short

    (41,210 )

Change in unrealized appreciation (depreciation) on investments and securities sold short

    235,071  

Net increase (decrease) in net assets resulting from operations

    193,630  
         

CAPITAL SHARE TRANSACTIONS

       

Proceeds from shares sold

    750,000  

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

    750,000  

Net increase (decrease) in net assets

  $ 943,630  
         

NET ASSETS

       

Beginning of period

  $  

End of period

  $ 943,630  

 

(a)

A summary of capital share transactions is as follows:

 

   

Shares

 

Shares sold

    30,000  

Net increase (decrease)

    30,000  

 

(1)

The Fund commenced operations on September 7, 2022. The information presented is for the period from September 7, 2022 to December 31, 2022.

 

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

 

42

 

 

Defiance Quantum ETF

 

Financial Highlights

For a capital share outstanding throughout the year/period

 

 

   

Year Ended December 31,

   

Period
Ended
December 31,

 
   

2022

   

2021

   

2020

   

2019

   

2018 (1)

 

Net asset value, beginning of year/period

  $ 55.76     $ 41.44     $ 29.37     $ 19.96     $ 25.00  
                                         

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

                                       

Net investment income (loss) (2)

    0.56       0.31       0.22       0.22       0.05  

Net realized and unrealized gain (loss) on investments (8)

    (16.48 )     14.26       12.06       9.36       (5.05 )

Total from investment operations

    (15.92 )     14.57       12.28       9.58       (5.00 )
                                         

DISTRIBUTIONS TO SHAREHOLDERS:

                                       

Distributions from:

                                       

Net investment income

    (0.57 )     (0.24 )     (0.19 )     (0.18 )     (0.03 )

Realized gains

          (0.03 )     (0.02 )            

Tax return of capital to shareholders

                            (0.01 )

Total distributions to shareholders

    (0.57 )     (0.27 )     (0.21 )     (0.18 )     (0.04 )
                                         

CAPITAL SHARE TRANSACTIONS

                                       

Transaction fees (Note 7)

    0.00 (3)      0.02       0.00 (3)      0.01       0.00 (3) 
                                         

Net asset value, end of year/period

  $ 39.27     $ 55.76     $ 41.44     $ 29.37     $ 19.96  
                                         

Total return

    -28.56 %     35.27 %     42.01 %     48.20 %     -20.01 %(4)
                                         

SUPPLEMENTAL DATA:

                                       

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

  $ 102,108     $ 178,418     $ 55,941     $ 20,558     $ 2,993  
                                         

RATIOS TO AVERAGE NET ASSETS:

                                       

Expenses to average net assets

    0.40 %     0.40 %     0.40 %     0.40 %(5)     0.65 %(6)

Net investment income (loss) to average net assets

    1.25 %     0.61 %     0.71 %     0.87 %     0.70 %(6)

Portfolio turnover rate (7)

    24 %     35 %     40 %     45 %     22 %(4)

 

(1)

Commencement of operations on September 4, 2018.

(2)

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

(3)

Less than $0.005.

(4)

Not annualized.

(5)

Effective January 14, 2019, the Adviser reduced its management fee from 0.65% to 0.40%.

(6)

Annualized.

(7)

Excludes the impact of in-kind transactions.

(8)

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 Statement of Operations due to share transactions for the period.

 

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

 

43

 

 

Defiance Next Gen Connectivity ETF

 

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

 

 

   

Year Ended December 31,

   

Period
Ended
December 31,

 
   

2022

   

2021

   

2020

   

2019 (1)

 

Net asset value, beginning of year/period

  $ 41.68       $33.60       $26.20     $ 25.00  
                                 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

                               

Net investment income (loss) (2)

    0.46       0.48       0.38       0.25  

Net realized and unrealized gain (loss) on investments (7)

    (11.77 )     8.09       7.35       1.15  

Total from investment operations

    (11.31 )     8.57       7.73       1.40  
                                 

DISTRIBUTIONS TO SHAREHOLDERS:

                               

Distributions from:

                               

Net investment income

    (0.49 )     (0.47 )     (0.31 )     (0.20 )

Tax return of capital to shareholders

          (0.02 )     (0.02 )      

Total distributions to shareholders

    (0.49 )     (0.49 )     (0.33 )     (0.20 )
                                 

CAPITAL SHARE TRANSACTIONS

                               

Transaction fees (Note 7)

    0.00 (3)            0.00 (3)       
                                 

Net asset value, end of year/period

  $ 29.88     $ 41.68     $ 33.60     $ 26.20  
                                 

Total return

    -27.20 %     25.63 %     29.77 %     5.64 %(4)
                                 

SUPPLEMENTAL DATA:

                               

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

  $ 690,178     $ 1,383,735     $ 890,292     $ 162,461  
                                 

RATIOS TO AVERAGE NET ASSETS:

                               

Expenses to average net assets

    0.30 %     0.30 %     0.30 %     0.30 %(5)

Net investment income (loss) to average net assets

    1.36 %     1.29 %     1.35 %     1.22 %(5)

Portfolio turnover rate (6)

    25 %     24 %     28 %     54 %(4)

 

(1)

Commencement of operations on March 4, 2019.

(2)

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

(3)

Less than $0.005.

(4)

Not annualized.

(5)

Annualized.

(6)

Excludes the impact of in-kind transactions.

(7)

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 Statement of Operations due to share transactions for the period.

 

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

 

44

 

 

Defiance Next Gen H2 ETF

 

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

 

 

   

Year
Ended
December 31,
2022

   

Period
Ended
December 31,
2021
(1)

 

Net asset value, beginning of year/period

  $ 19.10     $ 27.16  
                 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

               

Net investment income (loss) (2)

    (0.01 )     (0.03 )

Net realized and unrealized gain (loss) on investments (7)

    (9.74 )     (8.04 )

Total from investment operations

    (9.75 )     (8.07 )
                 

DISTRIBUTIONS TO SHAREHOLDERS:

               

Distributions from:

               

Net investment income

    (0.00 )(3)      

Tax return of capital to shareholders

          (0.00 )(3)

Total distributions to shareholders

    (0.00 )(3)     (0.00 )(3)
                 

CAPITAL SHARE TRANSACTIONS

               

Transaction fees (Note 7)

    0.01       0.01  
                 

Net asset value, end of year/period

  $ 9.36     $ 19.10  
                 

Total return

    -50.98 %     -29.68 %(4)
                 

SUPPLEMENTAL DATA:

               

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

  $ 37,909     $ 65,883  
                 

RATIOS TO AVERAGE NET ASSETS:

               

Expenses to average net assets

    0.30 %     0.30 %(5)

Net investment income (loss) to average net assets

    -0.05 %     -0.15 %(5)

Portfolio turnover rate (6)

    81 %     69 %(4)

 

(1)

Commencement of operations on March 9, 2021.

(2)

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

(3)

Less than $0.005.

(4)

Not annualized.

(5)

Annualized.

(6)

Excludes the impact of in-kind transactions.

(7)

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 Statement of Operations due to share transactions for the period.

 

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

 

45

 

 

Defiance Hotel, Airline, and Cruise ETF

 

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

 

 

   

Year
Ended
December 31,
2022

   

Period
Ended
December 31,
2021
(1)

 

Net asset value, beginning of year/period

  $ 21.16     $ 24.36  
                 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

               

Net investment income (loss) (2)

    0.02       (0.05 )

Net realized and unrealized gain (loss) on investments (7)

    (5.05 )     (3.15 )

Total from investment operations

    (5.03 )     (3.20 )
                 

DISTRIBUTIONS TO SHAREHOLDERS:

               

Distributions from:

               

Net investment income

    (0.02 )      

Total distributions to shareholders

    (0.02 )      
                 

CAPITAL SHARE TRANSACTIONS

               

Transaction fees (Note 7)

    0.00 (3)      0.00 (3) 
                 

Net asset value, end of year/period

  $ 16.11     $ 21.16  
                 

Total return

    -23.80 %     -13.12 %(4)
                 

SUPPLEMENTAL DATA:

               

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

  $ 49,523     $ 22,751  
                 

RATIOS TO AVERAGE NET ASSETS:

               

Expenses to average net assets

    0.45 %     0.45 %(5)

Net investment income (loss) to average net assets

    0.10 %     -0.37 %(5)

Portfolio turnover rate (6)

    32 %     26 %(4)

 

(1)

Commencement of operations on June 3, 2021.

(2)

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

(3)

Less than $0.005.

(4)

Not annualized.

(5)

Annualized.

(6)

Excludes the impact of in-kind transactions.

(7)

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 Statement of Operations due to share transactions for the period.

 

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

 

46

 

 

Defiance Digital Revolution ETF

 

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

 

 

   

Year
Ended
December 31,
2022

   

Period
Ended
December 31,
2021
(1)

 

Net asset value, beginning of year/period

  $ 18.35     $ 24.13  
                 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

               

Net investment income (loss) (2)

    (0.04 )     (0.01 )

Net realized and unrealized gain (loss) on investments (7)

    (13.93 )     (5.77 )

Total from investment operations

    (13.97 )     (5.78 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Transaction fees (Note 7)

    0.00 (3)       
                 

Net asset value, end of year/period

  $ 4.38     $ 18.35  
                 

Total return

    -76.11 %     -23.93 %(4)
                 

SUPPLEMENTAL DATA:

               

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

  $ 3,946     $ 9,912  
                 

RATIOS TO AVERAGE NET ASSETS:

               

Expenses to average net assets

    0.65 %     0.65 %(5)

Net investment income (loss) to average net assets

    -0.50 %     -0.65 %(5)

Portfolio turnover rate (6)

    81 %     17 %(4)

 

(1)

Commencement of operations on December 1, 2021.

(2)

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

(3)

Less than $0.005.

(4)

Not annualized.

(5)

Annualized.

(6)

Excludes the impact of in-kind transactions.

(7)

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 Statement of Operations due to share transactions for the period.

 

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

 

47

 

 

Defiance Daily Short Digitizing the Economy ETF

 

Financial Highlights
For a capital share outstanding throughout the period

 

 

   

Period
Ended
December 31,
2022
(1)

 

Net asset value, beginning of period

  $ 25.00  
         

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

       

Net investment income (loss) (2)

    (0.01 )

Net realized and unrealized gain (loss) on investments (6)

    6.46  

Total from investment operations

    6.45  
         

DISTRIBUTIONS TO SHAREHOLDERS:

       

Distributions from:

       

Net investment income

     

Realized gains

     

Total distributions to shareholders

     
         

CAPITAL SHARE TRANSACTIONS

       

Transaction fees (Note 7)

     
         

Net asset value, end of period

  $ 31.45  
         

Total return

    25.82 %(3)
         

SUPPLEMENTAL DATA:

       

Net assets at end of period (000’s)

  $ 944  
         

RATIOS TO AVERAGE NET ASSETS:

       

Expenses to average net assets

    3.16 %(4)

Expenses excluding interest expense to average net assets

    0.95 %(4)

Net investment income (loss) to average net assets

    -0.09 %(4)

Net investment income excluding interest expense to average net assets

    2.12 %(4)

Portfolio turnover rate (5)

    269 %(3)

 

(1)

Commencement of operations on September 7, 2022.

(2)

Calculated based on average shares outstanding during the period.

(3)

Not annualized.

(4)

Annualized.

(5)

Excludes the impact of in-kind transactions.

(6)

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 Statement of Operations due to share transactions for the period.

 

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

 

48

 

 

Defiance ETFs

 

Notes to Financial Statements

December 31, 2022

 

 

NOTE 1 – ORGANIZATION

 

Defiance Quantum ETF and Defiance Next Gen Connectivity ETF are each a diversified series and Defiance Next Gen H2 ETF, Defiance Hotel, Airline, and Cruise ETF, Defiance Digital Revolution ETF, and Defiance Daily Short Digitizing the Economy ETF are each a non-diversified series (individually each a “Fund” or collectively the “Funds”) of ETF Series Solutions (“ESS” or the “Trust”). The Trust is an open-end management investment company consisting of multiple investment series, organized as a Delaware statutory trust on February 9, 2012. The Trust is registered with the Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and the offering of the Funds’ shares is registered under the Securities Act of 1933, as amended (the “Securities Act”). The investment objective of Defiance Quantum ETF is to track the total return performance, before fees and expenses, of the BlueStar Quantum Computing and Machine Learning Index®. The investment objective of Defiance Next Gen Connectivity ETF is to track the total return performance, before fees and expenses, of the BlueStar 5G Communications Index™. The investment objective of Defiance Next Gen H2 ETF is to track the total return performance, before fees and expenses, of the BlueStar Hydrogen & NextGen Fuel Cell Index. The investment objective of Defiance Hotel, Airline, and Cruise ETF is to track the total return performance, before fees and expenses, of the BlueStar Global Hotels, Airlines, and Cruises Index. The investment objective of Defiance Digital Revolution ETF is to track the total return performance, before fees and expenses, of the BITA NFT and Blockchain Select Index. The investment objective of Defiance Daily Short Digitizing the Economy ETF is to provide investment results that are approximately the inverse (or opposite) of, before fees and expenses, the daily price and yield performance of the Amplify Transformational Data Sharing ETF (“Amplify ETF”). The table below shows the date each fund commenced operations:

 

Fund

Date of Commencement

 

Defiance Quantum ETF

September 4, 2018

Defiance Next Gen Connectivity ETF

March 4, 2019

Defiance Next Gen H2 ETF

March 9, 2021

Defiance Hotel, Airline, and Cruise ETF

June 3, 2021

Defiance Digital Revolution ETF

December 1, 2021

Defiance Daily Short Digitizing the Economy ETF

September 7, 2022

 

The end of the reporting period for the Funds is December 31, 2022, and the period covered by these Notes to Financial Statements is the period from January 1, 2022 through December 31, 2022 (the “current fiscal period”) for all Funds except Defiance Daily Short Digitizing the Economy ETF. The period covered by these Notes to Financial Statements for Defiance Daily Short Digitizing the Economy is the period from September 7, 2022 through December 31, 2022 (“current fiscal period”).

 

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

 

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

 

The following is a summary of significant accounting policies consistently followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”).

 

 

A.

Security Valuation. All equity securities, including domestic and foreign common stocks, preferred stocks, and exchange-traded funds, that are traded on a national securities exchange, except those listed on the Nasdaq Global Market®, Nasdaq Global Select Market® and the Nasdaq Capital Market® 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.

 

49

 

 

Defiance ETFs

 

Notes to Financial Statements
December 31, 2022 (Continued)

 

 

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

 

Securities for which quotations are not readily available are valued at their respective fair values in accordance with pricing procedures adopted by the Funds’ Board of Trustees (the “Board”). When a security is “fair valued,” consideration is given to the facts and circumstances relevant to the particular situation, including a review of various factors set forth in the pricing procedures adopted by the Board. The use of fair value pricing by the Funds may cause the NAV of their shares to differ significantly from the NAV that would be calculated without regard to such considerations.

 

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

 

 

Level 1 –

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

 

 

Level 2 –

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

 

 

Level 3 –

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

 

Defiance Quantum ETF

 

Assets^

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks

  $ 101,831,585     $     $     $ 101,831,585  

Short-Term Investments

    241,886                   241,886  

Investments Purchased with Proceeds from Securities Lending

          11,999,146             11,999,146  

Total Investments in Securities, at value

  $ 102,073,471     $ 11,999,146     $     $ 114,072,617  

 

Defiance Next Gen Connectivity ETF

 

Assets^

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks

  $ 684,653,121     $     $     $ 684,653,121  

Short-Term Investments

    6,431,933                   6,431,933  

Investments Purchased with Proceeds from Securities Lending

          50,652,640             50,652,640  

Total Investments in Securities, at value

  $ 691,085,054     $ 50,652,640     $     $ 741,737,694  

 

50

 

 

Defiance ETFs

 

Notes to Financial Statements
December 31, 2022 (Continued)

 

 

Defiance Next Gen H2 ETF

 

Assets^

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks

  $ 37,576,603     $     $ 0 (1)    $ 37,576,603  

Short-Term Investments

    490,435                   490,435  

Total Investments in Securities, at value

  $ 38,067,038     $     $ 0 (1)    $ 38,067,038  

 

Defiance Hotel, Airline, and Cruise ETF

 

Assets^

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks

  $ 48,953,866     $     $     $ 48,953,866  

Preferred Stocks

    176,964                   176,964  

Short-Term Investm