NPORT-EX 2 quantifiednport.htm QUANTIFIED NQ 3.31.21
QUANTIFIED MANAGED INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2021

 

Shares      Fair Value 
     COMMON STOCKS — 10.0%     
     AEROSPACE & DEFENSE - 1.1%     
 2,456   General Dynamics Corporation  $445,911 
 1,470   Northrop Grumman Corporation   475,751 
 32,958   Park Aerospace Corporation   435,705 
         1,357,367 
     BEVERAGES - 0.3%     
 8,657   Coca-Cola Company(a)   456,310 
           
     BIOTECH & PHARMA - 1.6%     
 1,825   Amgen, Inc.   454,078 
 2,373   Eli Lilly and Company   443,324 
 2,660   Johnson & Johnson   437,171 
 5,631   Merck & Company, Inc.   434,094 
 12,686   Pfizer, Inc.   459,614 
         2,228,281 
     CHEMICALS - 0.3%     
 1,163   NewMarket Corporation   442,126 
           
     DATA CENTER REIT - 0.3%     
 3,679   CoreSite Realty Corporation   440,928 
           
     DIVERSIFIED INDUSTRIALS - 0.3%     
 2,288   3M Company   440,852 
           
     E-COMMERCE DISCRETIONARY - 0.3%     
 7,604   eBay, Inc.   465,669 
           
     FOOD - 1.1%     
 7,318   General Mills, Inc.   448,741 
 4,882   John B Sanfilippo & Son, Inc.   441,186 
 7,011   Kellogg Company(a)   443,796 
         1,333,723 
     HOUSEHOLD PRODUCTS - 0.3%     
 2,398   Clorox Company   462,526 

 

 

QUANTIFIED MANAGED INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
March 31, 2021

 

Shares      Fair Value 
     INSURANCE - 0.3%     
 4,656   Progressive Corporation  $445,160 
           
     MACHINERY - 0.3%     
 4,204   Toro Company   433,601 
           
     RETAIL - CONSUMER STAPLES - 0.7%     
 2,234   Dollar General Corporation   452,653 
 2,401   Target Corporation(a)   475,566 
         928,219 
     RETAIL - DISCRETIONARY - 0.4%     
 2,693   Tractor Supply Company   476,876 
           
     SOFTWARE - 0.4%     
 3,252   Citrix Systems, Inc.   456,450 
           
     TECHNOLOGY HARDWARE - 0.3%     
 3,614   Apple, Inc.   441,450 
           
     TECHNOLOGY SERVICES - 0.3%     
 2,925   Broadridge Financial Solutions, Inc.   447,818 
           
     TELECOMMUNICATIONS - 0.3%     
 7,921   Verizon Communications, Inc.   460,606 
           
     TRANSPORTATION & LOGISTICS - 1.1%     
 4,667   CH Robinson Worldwide, Inc.(a)   445,372 
 2,734   United Parcel Service, Inc., Class B   464,753 
 9,484   Werner Enterprises, Inc.(a)   447,360 
         1,357,485 
     TRANSPORTATION EQUIPMENT - 0.3%     
 4,866   PACCAR, Inc.   452,149 
           
     TOTAL COMMON STOCKS (Cost $12,617,891)   13,527,596 
           
     EXCHANGE-TRADED FUNDS — 75.3%(a)     
     EQUITY - 6.2%     
 53,613   Alerian MLP ETF(a)   1,635,197 
 59,520   WisdomTree US LargeCap Dividend Fund   6,825,753 
         8,460,950 

 

 

QUANTIFIED MANAGED INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
March 31, 2021

 

Shares      Fair Value 
     FIXED INCOME - 69.1%     
 205,506   Invesco Fundamental High Yield Corporate Bond ETF(a)  $3,976,541 
 214,229   Invesco Senior Loan ETF(a)   4,740,888 
 338,357   iShares 1-3 Year Treasury Bond ETF(a)   29,183,292 
 43,265   iShares 7-10 Year Treasury Bond ETF(a)   4,885,916 
 43,368   iShares Core U.S. Aggregate Bond ETF   4,936,579 
 45,800   iShares iBoxx High Yield Corporate Bond ETF(a)   3,992,844 
 38,579   iShares TIPS Bond ETF   4,841,665 
 68,545   PIMCO 0-5 Year High Yield Corporate Bond Index ETF(a)   6,798,293 
 366,167   ProShares Short 20+ Year Treasury(a)   6,634,946 
 19,883   SPDR Bloomberg Barclays Convertible Securities ETF(a)   1,657,248 
 111,236   SPDR Bloomberg Barclays High Yield Bond ETF(a)   12,102,477 
 102,414   SPDR Doubleline Total Return Tactical ETF   4,937,379 
 58,285   Vanguard Total Bond Market ETF   4,937,905 
         93,625,973 
           
     TOTAL EXCHANGE-TRADED FUNDS (Cost $102,357,708)   102,086,923 
           
     SHORT-TERM INVESTMENTS — 13.5%     
     MONEY MARKET FUNDS - 13.5%     
 9,168,850   Fidelity Government Portfolio, Institutional Class, 0.01%(b)   9,168,850 
 9,168,850   First American Government Obligations Fund, Class Z, 0.03%(b)   9,168,850 
     TOTAL MONEY MARKET FUNDS (Cost $18,337,700)   18,337,700 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $18,337,700)   18,337,700 
           
     COLLATERAL FOR SECURITIES LOANED — 33.0%     
 44,719,333   Mount Vernon Liquid Assets Portfolio, LLC - 0.12% (b)(c)     
     TOTAL COLLATERAL FOR SECURITIES LOANED (Cost $44,719,333)   44,719,333 
           
     TOTAL INVESTMENTS — 131.8% (Cost $178,032,632)  $178,671,552 
     LIABILITIES IN EXCESS OF OTHER ASSETS — (31.8)%   (43,075,174)
     NET ASSETS - 100.0%  $135,596,378 

 

 

QUANTIFIED MANAGED INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
March 31, 2021

 

OPEN FUTURES CONTRACTS 
Number of         Notional Amount   Unrealized 
Contracts   Open Long Futures Contracts  Expiration  at March 31, 2021   (Depreciation)(d) 
 90   CME Ultra Long Term US Treasury Bond Futures  06/21/2021  $16,309,710   $(490,228)

 

OPEN FUTURES CONTRACTS 
Number of         Notional Amount   Unrealized 
Contracts   Open Short Futures Contracts  Expiration  at March 31, 2021   (Depreciation)(e) 
 49   CME E-Mini Standard & Poor’s 500 Index Futures  06/18/2021  $9,720,130   $(34,495)
                   
     TOTAL FUTURES CONTRACTS          $(524,723)

 

ETF - Exchange-Traded Fund

 

REIT - Real Estate Investment Trust

 

TIPS - Treasury Inflation-Protected Securities

 

(a)All or a portion of the security is on loan. Total loaned securities had a value of $43,830,393 at March 31, 2021.

 

(b)Rate disclosed is the seven day effective yield as of March 31, 2021.

 

(c)Security purchased with cash proceeds of securities lending collateral.

 

(d)Amounts subject to interest rate risk exposure

 

(e)Amounts subject to equity risk exposure.

 

 

QUANTIFIED MARKET LEADERS FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2021

 

Shares      Fair Value 
     EXCHANGE-TRADED FUNDS — 88.5%     
     EQUITY - 88.5%     
 1,648,377   Financial Select Sector SPDR Fund  $56,127,237 
 294,521   iShares Russell 1000 Value ETF   44,634,658 
 567,245   iShares Russell 2000 Value ETF   90,458,559 
 105,800   iShares Russell Mid-Cap Value ETF(b)   11,563,940 
 849,502   SPDR S&P Regional Banking ETF(b)   56,355,963 
         259,140,357 
           
     TOTAL EXCHANGE-TRADED FUNDS (Cost $235,303,649)   259,140,357 
           
     SHORT-TERM INVESTMENTS — 11.2%     
     MONEY MARKET FUNDS - 11.2%     
 16,378,553   Fidelity Government Portfolio, Institutional Class, 0.01%(a)   16,378,554 
 16,378,553   First American Government Obligations Fund, Class Z, 0.03%(a)   16,378,553 
     TOTAL MONEY MARKET FUNDS (Cost $32,757,107)   32,757,107 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $32,757,107)   32,757,107 
           
     COLLATERAL FOR SECURITIES LOANED — 3.5%     
 10,251,100   Mount Vernon Liquid Assets Portfolio, LLC - 0.12% (a) (c)   10,251,100 
     TOTAL COLLATERAL FOR SECURITIES LOANED (Cost $10,251,100)     
           
     TOTAL INVESTMENTS — 103.2% (Cost $278,311,856)  $302,148,564 
     LABILITIES IN EXCESS OF OTHER ASSETS — (3.2)%   (9,460,487)
     NET ASSETS - 100.0%  $292,688,077 

 

ETF - Exchange-Traded Fund

 

(a)Rate disclosed is the seven day effective yield as of March 31, 2021.

 

(b)All or a portion of the security is on loan. Total loaned securities had a value of $9,930,016 at March 31, 2021.

 

(c)Security purchased with cash proceeds of securities lending collateral.

 

TOTAL RETURN SWAPS

 

                   Unrealized 
Number of     Notional Amount at      Termination     Appreciation 
Shares  Reference Entity  March 31, 2021   Interest Rate Payable (1)  Date  Counterparty  (Depreciation) 
Long Position:                      
17,390  iShares Russell 2000 Growth ETF  $5,229,869   1-Mth USD LIBOR plus 20 bp  04/22/2022  BRC  $181,772 
507,530  iShares Russell Mid-Cap Value ETF   55,473,029   1-Mth USD LIBOR plus 20 bp  04/22/2022  BRC   1,195,984 
1,158,070  Invesco Dynamic Leisure & Entertainment ETF   53,236,478   1-Mth USD LIBOR plus 20 bp  04/22/2022  BRC   (1,635,021)
                       
                 Total:  $(257,265)

 

BRC - Barclays Capital

 

LIBOR - London Interbank Offered Rate

 

(1)Interest rate is based upon predetermined notional amounts, which may be a multiple of the number of shares plus a specified spread.

 

 

QUANTIFIED ALTERNATIVE INVESTMENT FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2021

 

Shares      Fair Value 
     EXCHANGE-TRADED FUNDS — 49.2%     
     ALTERNATIVE - 6.4%     
 1,216   Hull Tactical US ETF  $36,942 
 16,505   WisdomTree Managed Futures Strategy Fund   643,182 
         680,124 
     EQUITY - 31.9%     
 1,074   Energy Select Sector SPDR Fund   52,690 
 1,197   First Trust Energy AlphaDEX Fund(b)   12,114 
 1,117   First Trust NASDAQ Clean Edge Green Energy Index   76,626 
 943   First Trust Natural Gas ETF (b)   12,080 
 310   First Trust Technology AlphaDEX Fund   35,225 
 3,366   FlexShares Global Upstream Natural Resources Index   121,816 
 1,148   Global X Lithium & Battery Tech ETF   67,112 
 1,109   Global X Social Media ETF   73,970 
 5,173   Global X SuperDividend ETF(b)   71,905 
 4,841   Hartford Multifactor Developed Markets ex-US ETF   143,778 
 216   Invesco Dynamic Leisure and Entertainment ETF   9,930 
 1,649   Invesco Dynamic Media ETF(b)   83,110 
 314   Invesco Dynamic Software ETF   48,924 
 338   Invesco Global Clean Energy ETF   10,816 
 505   Invesco S&P Spin-Off ETF   31,758 
 5,860   iShares Emerging Markets Dividend ETF(b)   229,594 
 2,175   iShares Global Consumer Discretionary ETF(b)   354,611 
 11,788   iShares Global Energy ETF   290,573 
 73   iShares Global Tech ETF   22,464 
 739   iShares Morningstar Growth ETF   213,179 
 5,533   iShares North American Natural Resources ETF   152,545 
 1,098   iShares North American Tech-Multimedia Networking   73,861 
 1,251   iShares U.S. Energy ETF   32,814 
 1,255   iShares U.S. Oil & Gas Exploration & Production(b)   61,093 
 149   ProShares Ultra Oil & Gas   17,761 
 6,593   Schwab Fundamental International Large Company(b)   211,635 
 371   SPDR NYSE Technology ETF   53,684 
 2,489   SPDR S&P Global Dividend ETF   164,561 
 1,955   SPDR S&P Metals & Mining ETF   78,044 
 182   SPDR S&P Semiconductor ETF   33,266 
 371   Technology Select Sector SPDR Fund   49,273 
 1,018   VanEck Vectors Low Carbon Energy ETF   159,980 
 169   VanEck Vectors Semiconductor ETF   41,160 
 1,343   VanEck Vectors Steel ETF   74,939 
 531   Vanguard Consumer Discretionary ETF   156,847 
 384   Vanguard Energy ETF   26,112 
 437   WisdomTree US SmallCap Fund   20,705 
         3,370,555 
     FIXED INCOME - 9.0%     
 6,429   iShares Convertible Bond ETF   631,457 
 3,807   SPDR Bloomberg Barclays Convertible Securities ETF   317,313 
         948,770 
     MIXED ALLOCATION - 1.9%     
 3,907   SPDR SSgA Global Allocation ETF   171,735 
 1,087   SPDR SSgA Multi-Asset Real Return ETF   28,969 
         200,704 
     TOTAL EXCHANGE-TRADED FUNDS (Cost $5,328,943)   5,200,153 

 

 

QUANTIFIED ALTERNATIVE INVESTMENT FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
March 31, 2021

 

Shares      Fair Value 
     OPEN END FUNDS — 15.5%     
     ALTERNATIVE - 14.0%     
 26,488   Alger Dynamic Opportunities Fund, Class A  $524,991 
 12,186   AlphaCentric Premium Opportunity Fund   319,892 
 21,711   Driehaus Event Driven Fund   311,550 
 28,568   Vivaldi Merger Arbitrage Fund, Class I   319,105 
         1,475,538 
     EQUITY - 1.5%     
 9,831   Bridgeway Managed Volatility Fund   161,916 
           
     TOTAL OPEN END FUNDS (Cost $1,665,600)   1,637,454 
           
     SHORT-TERM INVESTMENTS — 34.4%     
     MONEY MARKET FUNDS - 34.4%     
 1,819,348   Fidelity Government Portfolio, Institutional Class, 0.01%(a)   1,819,349 
 1,819,348   First American Government Obligations Fund, Class Z, 0.03%(a)   1,819,348 
     TOTAL MONEY MARKET FUNDS (Cost $3,638,697)   3,638,697 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $3,638,697)   3,638,697 
           
     COLLATERAL FOR SECURITIES LOANED — 8.7%     
 917,274   Mount Vernon Liquid Assets Portfolio, LLC - 0.12% (a) (c)   917,274 
     TOTAL COLLATERAL FOR SECURITIES LOANED (Cost $917,274)     
           
     TOTAL INVESTMENTS — 107.8% (Cost $11,550,514)  $11,393,578 
     LIABILITIES IN EXCESS OF OTHER ASSETS — (7.8)%   (823,398)
     NET ASSETS - 100.0%  $10,570,180 

 

OPEN FUTURES CONTRACTS 
Number of         Notional Amount   Unrealized 
Contracts   Open Long Futures Contracts  Expiration  at March 31, 2021   Appreciation(d) 
 2   CME E-Mini NASDAQ 100 Index Futures  06/18/2021  $523,592   $4,449 
                   
     TOTAL FUTURES CONTRACTS             

 

ETF - Exchange-Traded Fund

 

(a)Rate disclosed is the seven day effective yield as of March 31, 2021.

 

(b)All or a portion of the security is on loan. Total loaned securities had a value of $896,814 at March 31, 2021.

 

(c)Security purchased with cash proceeds of securities lending collateral.

 

(d)Amounts subject to equity risk exposure.

 

 

QUANTIFIED STF FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2021

 

Shares      Fair Value 
     EXCHANGE-TRADED FUNDS — 19.7%     
     EQUITY - 0.0%(a)     
 150   Invesco QQQ Trust Series 1  $47,870 
           
     FIXED INCOME - 19.7%     
 185,000   Invesco BulletShares 2021 Corporate Bond ETF   3,909,050 
 180,000   Invesco BulletShares 2022 Corporate Bond ETF   3,895,200 
 180,000   Invesco BulletShares 2024 Corporate Bond ETF   3,990,600 
 80,000   Invesco Ultra Short Duration ETF   4,038,400 
 35,000   iShares Short Treasury Bond ETF   3,867,850 
 125,000   SPDR Portfolio Short Term Corporate Bond ETF   3,913,750 
         23,614,850 
           
     TOTAL EXCHANGE-TRADED FUNDS (Cost $23,749,139)   23,662,720 

 

Principal      Coupon Rate       
Amount ($)      (%)  Maturity    
     BONDS & NOTES — 3.5%           
     BANKING   0.9%           
 1,000,000   Canadian Imperial Bank of Commerce(c)  3.1000  04/02/24   1,065,556 
                 
                 
     BIOTECH & PHARMA   0.8%           
 1,000,000   AbbVie, Inc.  2.3000  05/14/21   1,000,468 
                 
     INSTITUTIONAL FINANCIAL SERVICES   1.8%           
 1,000,000   Brookfield Finance, Inc.  4.0000  04/01/24   1,086,808 
 1,000,000   Goldman Sachs Group, Inc. (The)  0.8000  03/25/24   995,658 
               2,082,466 
                 
     TOTAL BONDS & NOTES (Cost $4,155,341)         4,148,490 
                 
     CERTIFICATE OF DEPOSIT — 4.2%           
     BANKING - 4.2%           
 1,000,000   Lafayette Federal Credit Union  1.7000  05/21/21   1,002,359 
 1,000,000   UBS Bank USA  1.6500  06/07/21   1,002,912 
 1,000,000   Wells Fargo Bank NA  1.9000  01/17/23   1,031,779 
 1,000,000   Wells Fargo National Bank West  1.9000  01/17/23   1,031,779 
 1,000,000   World’s Foremost Bank  1.7000  06/09/21   1,002,999 
               5,071,828 
                 
     TOTAL CERTIFICATE OF DEPOSIT (Cost $5,000,000)         5,071,828 

 

 

QUANTIFIED STF FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
March 31, 2021

 

Shares      Fair Value 
     SHORT-TERM INVESTMENTS — 43.5%     
     MONEY MARKET FUNDS - 43.5%     
 26,141,972   Fidelity Government Portfolio, Institutional Class, 0.01%(b)  $26,141,972 
 26,141,972   First American Government Obligations Fund, Class Z, 0.03%(b)   26,141,971 
     TOTAL MONEY MARKET FUNDS (Cost $52,283,943)   52,283,943 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $52,283,943)   52,283,943 
           
     COLLATERAL FOR SECURITIES LOANED – 0.4%     
 443,205   Mount Vernon Liquid Assets Portfolio, LLC - 0.12% (b) (d)   443,205 
     TOTAL COLLATERAL FOR SECURITIES LOANED (Cost $443,205)     
           
     TOTAL INVESTMENTS - 71.3% (Cost $85,631,628)  $85,610,186 
     OTHER ASSETS IN EXCESS OF LIABILITIES- 28.7%   34,550,233 
     NET ASSETS - 100.0%  $120,160,419 

 

OPEN FUTURES CONTRACTS 
Number of         Notional Amount   Unrealized 
Contracts   Open Long Futures Contracts  Expiration  at March 31, 2021   Appreciation(e) 
 461   CME E-Mini NASDAQ 100 Index Futures  06/18/2021  $120,687,956   $2,319,154 
                   
     TOTAL FUTURES CONTRACTS             

 

ETF - Exchange-Traded Fund

 

(a)Percentage rounds to less than 0.1%.

 

(b)Rate disclosed is the seven day effective yield as of March 31, 2021.

 

(c)All or a portion of the security is on loan. Total loaned securities had a value of $434,367 at March 31, 2021.

 

(d)Security purchased with cash proceeds of securities lending collateral.

 

(e)Amounts subject to equity risk exposure.

 

 

QUANTIFIED PATTERN RECOGNITION FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2021

 

Shares      Fair Value 
     EXCHANGE-TRADED FUNDS — 15.0%     
     EQUITY - 0.1%     
 100   SPDR S&P 500 ETF Trust  $39,633 
           
     FIXED INCOME - 14.9%     
 86,000   Invesco BulletShares 2021 Corporate Bond ETF   1,817,180 
 84,000   Invesco BulletShares 2022 Corporate Bond ETF   1,817,760 
 82,000   Invesco BulletShares 2024 Corporate Bond ETF   1,817,940 
 36,000   Invesco Ultra Short Duration ETF   1,817,280 
 16,000   iShares Short Treasury Bond ETF   1,768,160 
 58,000   SPDR Portfolio Short Term Corporate Bond ETF   1,815,980 
         10,854,300 
           
     TOTAL EXCHANGE-TRADED FUNDS (Cost $10,908,774)   10,893,933 

 

Principal      Coupon Rate       
Amount ($)      (%)  Maturity    
    CERTIFICATE OF DEPOSIT — 7.0%          
    BANKING - 7.0%          
 1,000,000   Morgan Stanley Bank NA  1.7500  04/19/21   1,000,905 
 1,000,000   Raymond James Bank NA  1.7000  11/08/21   1,010,042 
 1,000,000   Sallie Mae Bank  1.8500  11/07/22   1,027,749 
 1,000,000   Wells Fargo Bank NA  1.9500  10/18/21   1,010,503 
 1,000,000   Wells Fargo National Bank West  1.9000  01/17/23   1,031,779 
               5,080,978 
                 
     TOTAL CERTIFICATE OF DEPOSIT (Cost $5,000,000)   5,080,978 
                 
Shares               
     SHORT-TERM INVESTMENTS — 60.8%           
     MONEY MARKET FUNDS — 60.8%           
 22,110,800   Fidelity Government Portfolio, Institutional Class, 0.01%(a)   22,110,800 
 22,110,800   First American Government Obligations Fund, Class Z, 0.03%(a)   22,110,800 
     TOTAL MONEY MARKET FUNDS (Cost $44,221,600)   44,221,600 
                 
     TOTAL SHORT-TERM INVESTMENTS (Cost $44,221,600)   44,221,600 
           
     TOTAL INVESTMENTS - 82.8% (Cost $60,130,374)  $60,196,511 
     OTHER ASSETS IN EXCESS OF LIABILITIES- 17.2%   12,482,647 
     NET ASSETS - 100.0%  $72,679,158 

 

 

QUANTIFIED PATTERN RECOGNITION FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
March 31, 2021

 

OPEN FUTURES CONTRACTS   
Number of         Notional Amount   Unrealized 
Contracts   Open Long Futures Contracts  Expiration  at March 31, 2021   Appreciation(b) 
 695   CME E-Mini Standard & Poor’s 500 Index Futures  06/18/2021  $137,867,150   $1,394,565 
                   
     TOTAL FUTURES CONTRACTS             

 

ETF - Exchange-Traded Fund

 

(a)Rate disclosed is the seven day effective yield as of March 31, 2021.

 

(b)Amounts subject to equity risk exposure.

 

 

QUANTIFIED TACTICAL FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2021

 

Shares      Fair Value 
     EXCHANGE-TRADED FUNDS — 15.0%     
     FIXED INCOME - 15.0%     
 205,000   Invesco BulletShares 2021 Corporate Bond ETF  $4,331,650 
 200,000   Invesco BulletShares 2022 Corporate Bond ETF   4,328,000 
 195,000   Invesco BulletShares 2024 Corporate Bond ETF   4,323,150 
 85,000   Invesco Ultra Short Duration ETF   4,290,800 
 600   iShares 20+ Year Treasury Bond ETF   81,270 
 39,000   iShares Short Treasury Bond ETF   4,309,890 
 140,000   SPDR Portfolio Short Term Corporate Bond ETF   4,383,400 
         26,048,160 
           
     TOTAL EXCHANGE-TRADED FUNDS (Cost $26,152,163)   26,048,160 

 

Principal      Coupon Rate       
Amount ($)      (%)  Maturity    
    CERTIFICATE OF DEPOSIT — 5.2%          
    BANKING - 5.2%          
 1,000,000   Ally Bank  1.8000  10/25/21   1,010,017 
 1,000,000   Flagstar Bank FSB  1.7500  11/15/21   1,010,674 
 1,000,000   Lafayette Federal Credit Union  1.7000  05/21/21   1,002,359 
 1,000,000   Morgan Stanley Bank NA  1.7500  04/19/21   1,000,905 
 1,000,000   Morgan Stanley Private Bank NA  1.8500  01/09/23   1,030,565 
 1,000,000   Raymond James Bank NA  1.7000  11/08/21   1,010,042 
 1,000,000   Stearns Bank NA  1.6000  07/08/21   1,004,259 
 1,000,000   Wells Fargo Bank NA  1.9500  10/18/21   1,010,503 
 1,000,000   Wells Fargo National Bank West  1.7500  06/30/21   1,004,287 
               9,083,611 
                 
     TOTAL CERTIFICATE OF DEPOSIT (Cost $9,000,000)   9,083,611 
                 
Shares               
     SHORT-TERM INVESTMENTS — 57.1%           
     MONEY MARKET FUNDS — 57.1%           
 49,693,133   Fidelity Government Portfolio, Institutional Class, 0.01%(a)   49,693,133 
 49,693,133   First American Government Obligations Fund, Class Z, 0.03%(a)   49,693,133 
     TOTAL MONEY MARKET FUNDS (Cost $99,386,266)   99,386,266 
                 
     TOTAL SHORT-TERM INVESTMENTS (Cost $99,386,266)   99,386,266 
                 
     TOTAL INVESTMENTS - 77.3% (Cost $134,538,429)  $134,518,037 
     OTHER ASSETS IN EXCESS OF LIABILITIES- 22.7%   39,396,605 
     NET ASSETS - 100.0%  $173,914,642 

 

 

QUANTIFIED TACTICAL FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
March 31, 2021

 

OPEN FUTURES CONTRACTS   
Number of         Notional Amount   Unrealized 
Contracts   Open Long Futures Contracts  Expiration  at March 31, 2021   (Depreciation) (b) 
 958   CME Ultra Long Term US Treasury Bond Futures  06/21/2021  $173,607,802   $(5,471,089)
                   
     TOTAL FUTURES CONTRACTS             

 

ETF - Exchange-Traded Fund

 

(a)Rate disclosed is the seven day effective yield as of March 31, 2021.

 

(b)Amounts subject to interest rate risk exposure.

 

 

QUANTIFIED EVOLUTION PLUS FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2021

 

Shares      Fair Value 
     EXCHANGE-TRADED FUNDS — 15.8%     
     EQUITY - 0.9%     
 750   Invesco QQQ Trust Series 1  $239,348 
 50   iShares Russell 2000 ETF   11,047 
 250   iShares U.S. Real Estate ETF   22,985 
 200   SPDR S&P 500 ETF Trust   79,266 
         352,646 
     FIXED INCOME - 14.9%     
 49,100   Invesco BulletShares 2021 Corporate Bond ETF   1,037,483 
 48,000   Invesco BulletShares 2022 Corporate Bond ETF   1,038,720 
 47,000   Invesco BulletShares 2024 Corporate Bond ETF   1,041,989 
 20,000   Invesco Ultra Short Duration ETF   1,009,600 
 9,000   iShares Short Treasury Bond ETF   994,590 
 33,000   SPDR Portfolio Short Term Corporate Bond ETF   1,033,230 
         6,155,612 
           
     TOTAL EXCHANGE-TRADED FUNDS (Cost $6,521,990)   6,508,258 

 

Principal      Coupon Rate       
Amount ($)      (%)  Maturity    
    CERTIFICATE OF DEPOSIT — 5.0%          
    BANKING - 5.0%          
 1,000,000   Raymond James Bank NA  1.7000  11/08/21   1,010,042 
 1,000,000   Sallie Mae Bank  1.8500  11/07/22   1,027,748 
               2,037,790 
                 
     TOTAL CERTIFICATE OF DEPOSIT (Cost $2,000,000)   2,037,790 
                 
Shares               
     SHORT-TERM INVESTMENTS — 41.0%           
     MONEY MARKET FUNDS — 41.0%           
 6,922,793   Fidelity Government Portfolio, Institutional Class, 0.01%(a)   6,922,793 
 2,980,374   First American Government Obligations Fund, Class X, 0.04%(a)   2,980,374 
 6,922,793   First American Government Obligations Fund, Class Z, 0.03%(a)   6,922,793 
     TOTAL MONEY MARKET FUNDS (Cost $16,825,960)   16,825,960 
                 
     TOTAL SHORT-TERM INVESTMENTS (Cost $16,825,960)   16,825,960 
                 
     TOTAL INVESTMENTS - 61.8% (Cost $25,347,950)  $25,372,008 
     OTHER ASSETS IN EXCESS OF LIABILITIES- 38.2%   15,678,391 
     NET ASSETS - 100.0%  $41,050,399 

 

 

QUANTIFIED EVOLUTION PLUS FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
March 31, 2021

 

OPEN FUTURES CONTRACTS   
Number of         Notional Amount   Unrealized Appreciation 
Contracts   Open Long Futures Contracts  Expiration  at March 31, 2021   (Depreciation)(c) 
 137   CBOT Dow Jones US Real Estate Futures  06/18/2021  $4,903,230   $(30,695)
 87   CME E-Mini NASDAQ 100 Index Futures  06/18/2021   22,776,252    194,993 
 22   CME E-mini Russell 2000 Index Futuress  06/18/2021   2,444,750    74,060 
 178   CME E-Mini Standard & Poor’s 500 Index Futures  06/18/2021   35,309,860    232,977 
     TOTAL FUTURES CONTRACTS          $471,335 

 

ETF - Exchange-Traded Fund

 

(a)Rate disclosed is the seven day effective yield as of March 31, 2021.

 

(b)All or part of this instrument is a holding of QEPF Fund Limited.

 

(c)Amounts subject to equity risk exposure.

 

TOTAL RETURN SWAPS

 

Number of     Notional Amount at            Unrealized 
Shares  Reference Entity  March 31, 2021   Interest Rate Payable (1)  Termination Date  Counterparty  (Depreciation) 
Long Position:                      
308,800  iShares MSCI Emerging Market ETF  $16,471,392   1-Mth USD LIBOR plus 20 bp  10/14/2021 - 10/29/2021  BRC  $(1,342,747)

 

BRC - Barclays Capital

 

LIBOR - London Interbank Offered Rate

 

(1)Interest rate is based upon predetermined notional amounts, which may be a multiple of the number of shares plus a specified spread.

 

 

QUANTIFIED COMMON GROUND FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2021

 

Shares      Fair Value 
     COMMON STOCKS — 97.0%     
     APPAREL & TEXTILE PRODUCTS - 1.5%     
 14,567   Tapestry, Inc.  $600,306 
           
     ASSET MANAGEMENT - 2.6%     
 40,535   Invesco Ltd.   1,022,293 
           
     AUTOMOTIVE - 6.0%     
 33,230   BorgWarner, Inc.(a)   1,540,543 
 7,442   Cooper Tire & Rubber Company   416,603 
 23,122   Goodyear Tire & Rubber Company (b)   406,254 
         2,363,400 
     BANKING - 3.8%     
 3,021   SVB Financial Group(b)   1,491,347 
           
     BIOTECH & PHARMA - 18.5%     
 9,442   AbbVie, Inc.   1,021,813 
 19,194   Arrowhead Pharmaceuticals, Inc.(b)   1,272,754 
 2,130   Emergent BioSolutions, Inc.(b)   197,898 
 68,276   Halozyme Therapeutics, Inc.(b)   2,846,427 
 3,785   Regeneron Pharmaceuticals, Inc.(b)   1,790,835 
 913   Vertex Pharmaceuticals, Inc.(b)   196,195 
         7,325,922 
     CONSUMER SERVICES - 4.8%     
 10,878   Adtalem Global Education, Inc.(b)   430,116 
 13,510   Grand Canyon Education, Inc.(b)   1,446,921 
         1,877,037 
     ELECTRIC UTILITIES - 3.6%     
 37,304   NRG Energy, Inc.   1,407,480 
           
     FORESTRY, PAPER & WOOD PRODUCTS - 4.3%     
 8,449   Louisiana-Pacific Corporation   468,582 
 13,176   Trex Company, Inc.(b)   1,206,131 
         1,674,713 
     HEALTH CARE FACILITIES & SERVICES - 11.3%     
 10,466   Catalent, Inc.(b)   1,102,174 

 

 

QUANTIFIED COMMON GROUND FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
March 31, 2021

 

Shares      Fair Value 
 65,448   Community Health Systems, Inc. (a) (b)  $ 884,857 
 5,591   HCA Healthcare, Inc.   1,053,009 
 1,002   Molina Healthcare, Inc.(b)   234,228 
 22,127   Tenet Healthcare Corporation(b)   1,150,604 
         4,424,872 
     HOME CONSTRUCTION - 0.6%     
 5,278   KB Home   245,585 
           
     INSURANCE - 2.8%     
 21,642   Aflac, Inc.   1,107,638 
           
     OIL & GAS SERVICES & EQUIPMENT - 1.1%     
 15,987   Schlumberger N.V.   434,687 
           
     RENEWABLE ENERGY - 3.5%     
 8,318   First Solar, Inc.(a)(b)   726,160 
 10,424   Sunrun, Inc.(a) (b)   630,444 
         1,356,604 
     RETAIL - DISCRETIONARY - 2.7%     
 22,588   American Eagle Outfitters, Inc. (a)   660,473 
 17,030   Guess?, Inc.(a)   400,205 
         1,060,678 
     SEMICONDUCTORS - 7.5%     
 10,003   Advanced Micro Devices, Inc. (a)(b)   785,235 
 4,358   Cree, Inc. (a)(b)   471,231 
 14,280   Kulicke & Soffa Industries, Inc.   701,291 
 1,686   Lam Research Corporation   1,003,574 
         2,961,331 
     SOFTWARE - 6.6%     
 17,475   Omnicell, Inc.(b)   2,269,478 
 8,180   Teradata Corporation(b)   315,257 
         2,584,735 
     SPECIALTY FINANCE - 6.1%     
 6,285   Alliance Data Systems Corporation   704,486 
 20,034   First American Financial Corporation   1,134,925 
 30,308   SLM Corporation   544,635 
         2,384,046 
     TECHNOLOGY HARDWARE - 0.8%     
 6,173   Jabil, Inc.   321,984 

 

 

QUANTIFIED COMMON GROUND FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
March 31, 2021

 

Shares      Fair Value 
     TECHNOLOGY SERVICES - 6.2%     
 12,910   Cognizant Technology Solutions Corporation, Class A   $1,008,530 
 6,458   Fiserv, Inc.(b)   768,760 
 25,327   Unisys Corporation(b)   643,812 
         2,421,102 
     TIMBER REIT - 1.3%     
 14,462   Weyerhaeuser Company   514,847 
           
     WHOLESALE - CONSUMER STAPLES - 1.4%     
 17,021   United Natural Foods, Inc.(b)   560,672 
           
     TOTAL COMMON STOCKS (Cost $37,583,297)   38,141,279 
           
     SHORT-TERM INVESTMENTS — 3.1%     
     MONEY MARKET FUNDS - 3.1%     
 605,842   Fidelity Government Portfolio, Institutional Class, 0.01%(c)   605,842 
 605,842   First American Government Obligations Fund, Class Z, 0.03%(c)   605,842 
     TOTAL MONEY MARKET FUNDS (Cost $1,211,684)   1,211,684 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $1,211,684)   1,211,684 
           
     COLLATERAL FOR SECURITIES LOANED — 11.3%     
 4,461,050   Mount Vernon Liquid Assets Portfolio, LLC - 0.12% (c) (d)   4,461,050 
     TOTAL COLLATERAL FOR SECURITIES LOANED (Cost $4,461,050)     
           
           
     TOTAL INVESTMENTS - 111.4% (Cost $43,256,031)  $43,814,013 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (11.4)%   (4,491,532)
     NET ASSETS - 100.0%  $39,322,481 

 

LTD - Limited Company

 

NV - Naamioze Vennootschap

 

REIT - Real Estate Investment Trust

 

(a)All or a portion of the security is on loan. Total loaned securities had a value of $4,443,008 at March 31, 2021.

 

(b)Non-income producing security.

 

(c)Rate disclosed is the seven day effective yield as of March 31, 2021.

 

(d)Security purchased with cash proceeds of securities lending collateral.

 

 

QUANTIFIED TACTICAL SECTORS FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2021

 

Shares      Fair Value 
     EXCHANGE-TRADED FUNDS — 74.6%     
     EQUITY - 74.6%     
 371,034   Financial Select Sector SPDR Fund  $12,633,708 
 260,440   Invesco Dynamic Leisure and Entertainment ETF   11,972,427 
 194,745   SPDR S&P Regional Banking ETF   12,919,383 
         37,525,518 
           
     TOTAL EXCHANGE-TRADED FUNDS (Cost $37,468,111)   37,525,518 
           
     SHORT-TERM INVESTMENTS — 24.8%     
     MONEY MARKET FUNDS - 24.8%     
 6,255,317   Fidelity Government Portfolio, Institutional Class, 0.01%(a)   6,255,317 
 6,255,317   First American Government Obligations Fund, Class Z, 0.03%(a)   6,255,317 
     TOTAL MONEY MARKET FUNDS (Cost $12,510,634)   12,510,634 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $12,510,634)   12,510,634 
           
     TOTAL INVESTMENTS - 99.4% (Cost $49,978,745)  $50,036,152 
     OTHER ASSETS IN EXCESS OF LIABILITIES- 0.6%   315,276 
     NET ASSETS - 100.0%  $50,351,428 

 

ETF - Exchange-Traded Fund

 

(a)Rate disclosed is the seven day effective yield as of March 31, 2021.

 

TOTAL RETURN SWAPS

 

                  Unrealized 
Number of     Notional Amount at     Termination     Appreciation 
Shares  Reference Entity  March 31, 2021  Interest Rate Payable  Date  Counterparty  (Depreciation) 
 Long Position:                     
 370,370  Financial Select Sector SPDR Fund  $12,611,099  1-Mth USD LIBOR plus 30 bp  04/22/2022  BRC  $230,412 
 261,100  Invesco Dynamic Leisure & Entertainment ETF   12,002,767  1-Mth USD LIBOR plus 30 bp  04/22/2022  BRC   (368,997)
 178,310  SPDR S&P Regional Banking ETF   11,829,085  1-Mth USD LIBOR plus 30 bp  04/08/2022  BRC   (464,597)
                       
                 Total:  $(603,182)

 

BRC - Barclays Capital

 

LIBOR - London Interbank Offered Rate

 

Interest rate is based upon predetermined notional amounts, which may be a multiple of the number of shares plus a specified spread.

 

 

Quantified Funds
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
March 31, 2021

 

The following is a summary of significant accounting policies followed by each Fund. The policies are in conformity with U.S. generally accepted accounting principles (“GAAP”). Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies” including FASB Accounting Standard Update ASU 2013-08.

 

Securities Valuation – Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the primary exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ at the NASDAQ Official Closing Price (“NOCP”). In the absence of a sale, such securities shall be valued at the mean between the current bid and ask prices on the day of valuation. Futures are valued at the final settled price or, in the absence of a settled price, at the last sale price on the day of valuation. Investments in open-end investment companies are valued at net asset value. Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Board of Trustees (the “Board”) based on methods which include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions or market quotations from a major market maker in the securities. Short-term debt obligations with remaining maturities in excess of sixty days are valued at current market prices by an independent pricing service approved by the Board. The independent pricing service does not distinguish between smaller-sized bond positions known as “odd lots” and larger institutional-sized bond positions known as “round lots”. The Funds may fair value a particular bond if the advisor does not believe that the round lot value provided by the independent pricing service reflects fair value of the Funds’ holding. Total return swaps on exchange-listed securities shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the current bid and ask prices. Exchange listed swaps shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the current bid and ask prices. Investments valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services. Short-term debt obligations having sixty days or less remaining until maturity, at time of purchase, may be valued at amortized cost which approximates fair value.

 

Each Fund may hold securities, such as private investments, interests in commodity pools, other non-traded securities or temporarily illiquid securities, for which market quotations are not readily available or are determined to be unreliable. These securities will be valued at their fair value as determined using the “fair value” procedures approved by the Board. The Board has delegated execution of these procedures to a fair value committee composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) advisor and/or sub-advisor. The committee may also enlist third party consultants such as a valuation specialist at a public accounting firm, valuation consultant or financial officer of a security issuer on an as-needed basis to assist in determining a security specific fair value. The Board reviews and ratifies the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results

 

Fair Valuation Process – As noted above, the committee is composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) advisor and/or sub-advisor. The applicable investments are valued collectively via inputs from each of these groups. For example, fair value determinations are required for the following securities: (i) securities for which market quotations are insufficient or not readily available on a particular business day (including securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source) and (ii) securities for which, in the judgment of the advisor, the prices or values available do not represent the fair value of the instrument. Factors which may cause the advisor and/or sub-advisor to make such a judgment include, but are not limited to, the following: only a bid price or an asked price is available; the spread between bid and asked prices is substantial; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securities markets, such as the suspension or limitation of trading; (iii) securities determined to be illiquid; (iv) securities with respect to which an event that will affect the value thereof has occurred (a “significant event”) since the closing prices were established on the principal exchange on which they are traded, but prior to eacha Fund’s calculation of its net asset value. Specifically, interests in commodity pools or managed futures pools are valued on a daily basis by reference to the closing market prices of each futures contract or other asset held by a pool, as adjusted for pool expenses. Restricted or illiquid securities, such as private investments or non-traded securities are valued via inputs from the advisor based upon the current bid for the security from two or more independent dealers or other parties reasonably familiar with the facts and circumstances of the security (who should take into consideration all relevant factors as may be appropriate under the circumstances). If the advisor and/or sub-advisor is unable to obtain a current bid from such independent dealers or other independent parties, the fair value committee shall determine the fair value of such security using the following factors: (i) the type of security; (ii) the cost at date of purchase; (iii) the size and nature of the Fund’s holdings; (iv) the discount from market value of unrestricted securities of the same class at the time of purchase and subsequent thereto; (v) information as to any transactions or offers with respect to the security; (vi) the nature and duration of restrictions on disposition of the security and the existence of any registration rights; (vii) how the yield of the security compares to similar securities of companies of similar or equal creditworthiness; (viii) the level of recent trades of similar or comparable securities; (ix) the liquidity characteristics of the security; (x) current market conditions; and (xi) the market value of any securities into which the security is convertible or exchangeable.

 

Valuation of Fund of Funds – Unadjusted Each Fund may invest in portfolios of open-end or closed-end investment companies (the “Underlying Funds”). The Underlying Funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value to the methods established by the board of directors of the Underlying Funds.

 

 

Quantified Funds
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
March 31, 2021

 

Open-ended investment companies are valued at their respective net asset values as reported by such investment companies. The shares of many closed-end investment companies, after their initial public offering, frequently trade at a price per share, which is different than the net asset value per share. The difference represents a market premium or market discount of such shares. There can be no assurances that the market discount or market premium on shares of any closed-end investment company purchased by each Fund will not change

 

The Funds utilizes various methods to measure the fair value of all of its their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:

 

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Fund has the ability to access.

 

Level 2 – Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

 

Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the 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 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 or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of March 31, 2021 for each Fund’s assets and liabilities measured at fair value:

 

Quantified Managed Income Fund                
                 
Assets *  Level 1   Level 2   Level 3   Total 
Investments                
Common Stocks  $13,527,596   $—   $—   $13,527,596 
Exchange Traded Funds   102,086,923    —    —    102,086,923 
Short-Term Investments   18,337,700    —    —    18,337,700 
Collateral for Securities Loaned   44,719,333    —    —    44,719,333 
Total Assets  $178,671,552   $—   $—   $178,671,552 
Liabilities*                    
Derivatives                    
Futures Contracts  $(524,723)  $—   $—   $(524,723)
Total Liabilities  $(524,723)  $—   $—   $(524,723)
                     
Quantified Market Leaders Fund                
                 
Assets *  Level 1   Level 2   Level 3   Total 
Investments                
Exchange Traded Funds  $259,140,357   $—   $—   $259,140,357 
Short-Term Investments   32,757,107    —    —    32,757,107 
Collateral for Securities Loaned   10,251,100    —    —    10,251,100 
Total Assets  $302,148,564   $—   $—   $302,148,564 
Derivatives                    
Total Return Swaps  $1,377,756   $—   $—   $1,377,756 
Total Assets  $303,526,320   $—   $—   $303,526,320 
Liabilities*                    
Derivatives:                    
Total Return Swaps  $(1,635,021)  $—   $—   $(1,635,021)
Total Liabilities  $(1,635,021)  $—   $—   $(1,635,021)

 

 

Quantified Funds
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
March 31, 2021

 

Quantified Alternative Investment Fund                
                 
Assets *  Level 1   Level 2   Level 3   Total 
Investments                
Exchange Traded Funds  $5,200,153   $—   $—   $5,200,153 
Open-End Funds   1,637,454    —    —    1,637,454 
Short-Term Investments   3,638,697    —    —    3,638,697 
Collateral for Securities Loaned   917,274    —    —    917,274 
Total  $11,393,578   $—   $—   $11,393,578 
Derivatives                    
Futures Contracts   4,449    —    —    4,449 
Total Assets  $11,398,027   $—   $—   $11,398,027 
                     
Quantified STF Fund                
                 
Assets *  Level 1   Level 2   Level 3   Total 
Investments                
Bonds & Notes  $—   $4,148,490   $—   $4,148,490 
Certificate of Deposit   —    5,071,828    —    5,071,828 
Exchange Traded Funds   23,662,720    —    —    23,662,720 
Short-Term Investments   52,283,943    —    —    52,283,943 
Collateral for Securities Loaned   443,205    —    —    443,205 
Total  $76,389,868   $9,220,318   $—   $85,610,186 
Derivatives                    
Futures Contracts  $2,319,154   $—   $—   $2,319,154 
Total Assets  $78,709,022   $9,220,318   $—   $87,929,340 
                     
Quantified Pattern Recognition Fund                
                 
Assets *  Level 1   Level 2   Level 3   Total 
Investments                
Certificate of Deposit  $—   $5,080,978   $—   $5,080,978 
Exchange Traded Funds   10,893,933    —    —    10,893,933 
Short-Term Investments   44,221,600    —    —    44,221,600 
Total  $55,115,533   $5,080,978   $—   $60,196,511 
Derivatives                    
Futures Contracts   1,394,565    —    —    1,394,565 
Total Assets  $56,510,098   $5,080,978   $—   $61,591,076 
                     
Quantified Tactical Fixed Income Fund                
                 
Assets *  Level 1   Level 2   Level 3   Total 
Investments                
Certificate of Deposit  $—   $9,083,611   $—   $9,083,611 
Exchange Traded Funds   26,048,160    —    —    26,048,160 
Short-Term Investments   99,386,266    —    —    99,386,266 
Total  $125,434,426   $9,083,611   $—   $134,518,037 
Liabilities                    
Derivatives:                    
Futures Contracts  $(5,471,089)  $—   $—   $(5,471,089)
Total Liabilities  $(5,471,089)  $—   $—   $(5,471,089)
                     
Quantified Evolution Plus Fund                
                 
Assets *  Level 1   Level 2   Level 3   Total 
Investments                
Certificate of Deposit  $—   $2,037,790   $—   $2,037,790 
Exchange Traded Funds   6,508,258    —    —    6,508,258 
Short-Term Investments   16,825,960    —    —    16,825,960 
Derivatives:                    
Futures Contracts   502,030    —    —    502,030 
Total Assets  $23,836,248   $2,037,790   $—   $25,874,038 
Liabilities                    
Derivatives:                    
Futures Contracts  $(30,695)  $—   $—   $(30,695)
Total Return Swaps   (1,342,747)   —    —   $(1,342,747)
Total Liabilities  $(1,373,442)  $—   $—   $(1,373,442)
                     
Quantified Common Ground Fund                
                 
Assets *  Level 1   Level 2   Level 3   Total 
Investments                    
Common Stocks  $38,141,279   $—   $—   $38,141,279 
Short-Term Investments   1,211,684    —    —    1,211,684 
Collateral for Securities Loaned   4,461,050    —    —    4,461,050 
Total Assets  $43,814,013   $—   $—   $43,814,013 
                     
Quantified Tactical Sectors Fund                
                 
Assets *  Level 1   Level 2   Level 3   Total 
Investments                
Exchange Traded Funds  $37,525,518   $—   $—   $37,525,518 
Short-Term Investments   12,510,634    —    —    12,510,634 
Total  $50,036,152   $—   $—   $50,036,152 
Derivatives                    
Total Return Swaps   230,412    —    —    230,412 
Total Assets  $50,266,564   $—   $—   $50,266,564 
Liabilities                    
Derivatives:                    
Total Return Swaps  $(833,594)  $—   $—   $(833,594)
Total Liabilities  $(833,594)  $—   $—   $(833,594)

 

*Refer to the Portfolio of Investments for industry classification.

 

The Funds did not hold any Level 3 securities during the period.

 

 

Quantified Funds
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
March 31, 2021

 

Futures Contracts – Each Fund may be subject to the change in value of equity and interest rate risk in the normal course of pursuing its investment objective. Each Fund may purchase or sell futures contracts to gain exposure to, or hedge against, changes in the value of equities and interest rates. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral for the account of the broker (each Fund’s agent in acquiring the futures position). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the market value of the contracts at the end of each day’s trading. When the contracts are closed, each Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and each Fund’s basis in the contract. If the Funds were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, each Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Each Fund segregates cash having a value at least equal to the amount of the current obligation under any open futures contract. Risks may exceed amounts recorded in the Statements of Assets and Liabilities. With futures, there is minimal counterparty credit risk to each Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.

 

Risks of Futures Contracts – The risks inherent in the use of futures contracts include 1) adverse changes in the value of such instruments; 2) imperfect correlation between the price of futures contracts and movements in the price of the underlying securities or index; 3) the possible absence of a liquid secondary market for any particular instrument at any time; 4) the possible need to defer closing out certain positions to avoid adverse tax consequences; and 5) the possible nonperformance by the counterparty under the terms of the contract. The Funds designate all cash, cash equivalents and liquid securities as collateral for futures contracts.

 

The notional value of the derivative instruments outstanding as of September 30, 2020 as disclosed in each Fund’s Portfolio of Investments serve as indicators of the volume of derivative activity for each Fund.

 

Exchange Traded Funds – Each Fund may invest in ETFs. ETFs are a type of index fund bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities designed to track the performance and dividend yield of a particular domestic or foreign market index. Each Fund may purchase an ETF to temporarily gain exposure to a portion of the U.S. or a foreign market. The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, although the lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.

 

Consolidation of Subsidiaries – The consolidated portfolio of investments of the Quantified Evolution Plus Fund include the accounts of QEPF Fund Ltd. (“QEPF Ltd.”), a wholly-owned subsidiary. All inter-company accounts and transactions have been eliminated in consolidation. The Fund may invest up to 25% of its total assets in QEPF Ltd., which acts as an investment vehicle in order to affect certain investments consistent with the Fund’s investment objectives and policies. The subsidiary commenced operations on December 30, 2019 and is an exempted Cayman Islands company with limited liability.

 

A summary of the Fund’s investment in QEPF Ltd. is as follows:

 

           
      QEPF Ltd. Net    
   Inception Date  Assets at March 31,   % of Net Assets at
   of QEPF Ltd.  2021   March 31, 2021
QEPF Ltd.  12/31/2020  $2,980,458   7.26%

 

Commodity Risk – The Fund’s exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments, commodity-based exchange traded trusts and commodity-based exchange traded funds and notes may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or sectors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs, and international economic, political and regulatory developments. Commodity interest contracts are typically traded on margin. This means that a small amount of capital can be used to invest in contracts of much greater total value. The resulting leverage means that a relatively small change in the market price of a contract can produce a substantial loss. Like other leveraged investments, any purchase or sale of a contract may result in losses in excess of the amount invested in that contract. The Subsidiary may lose more than its initial margin deposits on a trade but the Fund will hold an allocation to cash that is equal to the amount of any leverage created by the use of minimum margin in the Subsidiary. As such, while the Subsidiary may lose more than its initial margin deposit, cash or cash equivalents will be available to move into the Subsidiary to support the trade.

 

Exchange Traded Funds (“ETFs”), Mutual Fund and Exchange Traded Notes (“ETNs”) Risk: ETFs, mutual funds and ETNs are subject to investment advisory or management and other expenses, which will be indirectly paid by the Funds. Each is subject to specific risks, depending on investment strategy. Also, each may be subject to leverage risk, which will magnify losses. ETNs are subject to default risks.

 

Swap Contracts – Each Fund is subject to equity price risk, interest rate risk, credit risk and counterparty risk in the normal coure of pursuing its investment objective. Each Fund may enter into various swap transactions for investment purposes or to manage interest rate, equity or credit risk. These would be two-party contracts entered into primarily to exchange the returns (or differntials in rates of returns) earned or realized on particular pre-determined investments or instruments.

 

Standard equity swap contracts are between two parties that agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments. The gross amount to be exchanged is calculated with respect to a “notional amount” (i.e. the return on or increase in value of a particular dollar amount invested in a “basket” of securities representing a particular index or industry sector). Most equity swap agreements entered into by the Fund calculate the obligations of the parties on a “net basis”. Consequently, a Fund’s current obligations under a swap agreement generally will be equal to the net amount to be paid or received under the agreement based on the relative value of the positions held by each party. The Fund’s obligations are accrued daily (offset by any amounts owed to the Fund).

 

A Fund may enter into swap contracts that provide the opposite return of the particular benchmark or security (“short” the index or security). The operations are similar to that of the swaps disclosed above except that the counterparty pays interest to the Fund on the notional amount outstanding and the dividends on the underlying securities reduce the return of the swap. However, in certain instances, market factors such as the interest rate environment and the demand to borrow the securities underlying the swap agreement can cause a scenario in which the Fund pays the counterparty interest. These amounts are netted with any unrealized appreciation or depreciation to determine the value of the swap. The Fund will typically enter into equity swap agreements in instances where the Advisor believes that it may be more cost effective or practical than buying a security or the securities represented by a particular index.

 

The amounts to be exchanged or “swapped” between parties are calculated with respect to the notional amount. Changes in the value of swap agreements are recognized as unrealized gains or losses in the Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statement of Assets and Liabilities and may be referred to as upfront payments. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Statement of Operations. The maximum pay-outs for these contracts are limited to the notional amount of each swap. CDS may involve greater risks than if the Fund had invested in the referenced obligation directly and are subject to general market risk, liquidity risk, counterparty risk and credit risk. Open swaps contracts are subject to equity risk.

 

A Fund collateralizes swap agreements with cash and certain securities if indicated on the Portfolio of Investments of the Fund, respectively. Such collateral is held for the benefit of the counterparty in a segregated account at the Custodian to protect the counterparty against non-payment by the Fund. The Fund does not net collateral. In the event of a default by the counterparty, the Fund will seek return of this collateral and may incur certain costs exercising their rights with respect to the collateral. Amounts expected to be owed to the Fund are regularly collateralized either directly with the Fund or in a segregated account at the Custodian.

 

A Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty to the extent that posted collateral is insufficient. The Fund will enter into swap agreements only with large, well-capitalized and established financial institutions. The creditworthiness of each of the firms that is counterparty to a swap agreement is monitored by the Advisor. The financial statements of these counterparties may be available by accessing the SEC’s website, at www.sec.gov.

 

 

Quantified Funds
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
March 31, 2021

 

International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) govern OTC financial derivative transactions entered into by a Fund and those counterparties. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreements. Any election to early terminate could be material to the financial statements.

 

The identified cost of investments in securities owned by the Funds for federal income tax purposes and their respective gross unrealized appreciation and depreciation at March 31, 2021, were as follows:

 

               Net Unrealized 
       Gross Unrealized   Gross Unrealized   Appreciation/ 
   Tax Cost   Appreciation   (Depreciation)   (Depreciation) 
Quantified Managed Income Fund  $178,198,695   $1,589,317   $(1,116,460)  $472,857 
Quantified Market Leaders Fund   278,918,379    23,836,708    (606,523)   23,230,185 
Quantified Alternative Investment Fund   11,635,482    23,892    (265,796)   (241,904)
Quantified STF Fund   85,665,816    73,150    (128,780)   (55,630)
Quantified Pattern Recognition Fund   60,152,211    80,978    (36,678)   44,300 
Quantified Tactical Fixed Income Fund   134,597,233    83,611    (162,807)   (79,196)
Quantified Evolution Plus Fund   25,448,905    41,174    (118,071)   (76,897)
Quantified Common Ground Fund   43,289,064    1,366,363    (841,414)   524,949 
Quantified Tactical Sectors Fund   49,978,745    430,826    (373,419)   57,407 

 

The following Funds currently invest a portion of their assets in the corresponding investments. The Funds may redeem their investment from the investments at any time if the Adviser determines that it is in the best interest of the Funds and their shareholders to do so. The performance of the Funds will be directly affected by the performance of the investments. The financial statements of the investments, including their portfolio of investments, can be found at the Securities and Exchange Commission’s website www.sec.gov and should be read in conjunction with the Funds’ financial statements.

 

      Percentage of Net
Fund  Investment  Assets
Quantified Market Leaders Fund  iShares Russell 2000 Value ETF  30.9%
Quantified Pattern Recognition Fund  Fidelity Government Portfolio  30.4%
   First American Government Obligations Fund  30.4%
Quantified Tactical Fixed Income Fund  Fidelity Government Portfolio  28.6%
   First American Government Obligations Fund  28.6%
Quantified Tactical Sectors Fund  Financial Select Sector SPDR Fund  25.1%
   SPDR S&P Regional Banking ETF  25.7%