N-CSR 1 alphaarchitect_arx093023.htm N-CSR Document

 
 
 
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 811-22961
 

EA Series Trust
(Exact name of registrant as specified in charter)
 
19 E. Eagle Road
Havertown, PA 19083
(Address of principal executive offices) (Zip code)
 
19 E. Eagle Road
Havertown, PA 19083
(Name and address of agent for service)
 


215-882-9983

Registrant’s telephone number, including area code
















 
Date of fiscal year end: September 30, 2023

 
Date of reporting period: September 30, 2023
 
 
 





 
Item 1. Reports to Stockholders.
 
 
 
image_0.jpg
 
 
Alpha Architect U.S. Quantitative Value ETF
 
Alpha Architect International Quantitative Value ETF
 
Alpha Architect U.S. Quantitative Momentum ETF
 
Alpha Architect International Quantitative Momentum ETF
 
Alpha Architect Value Momentum Trend ETF
 
Alpha Architect High Inflation and Deflation ETF

Alpha Architect Tail Risk ETF
 
 
 
Annual Report
 
September 30, 2023
 
 
 
 



 
ALPHA ARCHITECT ETFs

 
TABLE OF CONTENTS
 

 


 


ALPHA ARCHITECT ETFs

LETTER TO SHAREHOLDERS
SEPTEMBER 30, 2023

Dear Alpha Architect Family of Funds Shareholders,

Thank you for your investment in the Alpha Architect U.S. Quantitative Value ETF (“QVAL”), Alpha Architect International Quantitative Value ETF (“IVAL”), Alpha Architect U.S. Quantitative Momentum ETF (“QMOM”), Alpha Architect International Quantitative Momentum ETF (“IMOM”), Alpha Architect Value Momentum Trend ETF (“VMOT”), Alpha Architect High Inflation and Deflation ETF ("HIDE”) and Alpha Architect Tail Risk ETF ("CAOS”), collectively referred to as the “Funds”. The information presented in this letter relates to the operations of the Funds for the fiscal year ended September 30, 2023 (“FY 2023”).

VMOT is structured as a “fund of funds” ETF that seeks to invest in value and momentum securities (using QVAL and IVAL ETFs for value investments, and QMOM and IMOM for momentum investments) as well as applying hedging rules to the U.S. (QVAL and QMOM) and International (IVAL and IMOM) allocations based on a monthly assessment. VMOT seeks to provide long term capital appreciation while attempting to minimize market drawdowns. .

The investment strategies and approaches used in managing the Funds generally remain the same, regardless of market conditions. QVAL seeks to identify cheap, high-quality stocks in the domestic (U.S.) market. IVAL seeks to identify cheap, high-quality stocks in international markets. QMOM seeks to identify stocks with the highest quality momentum in the domestic (U.S.) market. IMOM seeks to identify stocks with the highest quality momentum in international markets. HIDE seeks to deliver portfolio protection during high inflation or deflationary regimes. CAOS seeks to earn positive returns during significant market drawdowns. VMOT seeks to identify Value (QVAL and IVAL) and Momentum (QMOM and IMOM) securities in both the domestic (U.S.) market and international markets (through the fund-of-funds structure) while also applying hedging rules based on a monthly assessment. All Funds target mid and large cap equities, either directly (QVAL, IVAL, QMOM, IMOM) or indirectly (VMOT, which holds shares of QVAL, QMOM, IVAL, and IMOM). The standalone Funds (QVAL, QMOM, IVAL, and IMOM) generally hold 50 or fewer positions. QVAL, IVAL, QMOM, and IMOM are diversified funds. HIDE and VMOT hold shares of other ETFs and are considered diversified on a look-through basis. In addition, CAOS generally holds options on the S&P 500 Index and is considered diversified on a look-through basis.

The primary headline for FY 2023 was a shift in the market from being a growth-driven market to a value-driven market, much of which was tied to a dramatic change in inflation expectations and interest rates. Due to strong value tilts, two of the four Alpha Architect factor funds (QVAL and IVAL) experienced strong relative performance in the year versus their respective benchmarks.

Despite the volatility of financial markets in FY 2023, we continue to follow the quantitative methodologies behind each of the Funds. At times like these, we like to highlight that concentrated factor strategies focused on a specific style (e.g., value, growth, momentum, and so forth) can deviate greatly from traditional capitalization-weighted portfolios. This deviation from standard passive benchmarks is often more pronounced when factor style portfolios are more concentrated, which is the case for our factor funds, QVAL, IVAL, QMOM, IMOM, and VMOT.

The individual fund performance drivers during the most recent fiscal year/period are outlined below.

QVAL

For FY 2023, QVAL was up 30.11% at its market price and up 30.39% at net asset value (NAV). The best and worst securities listed below are based on their contribution to the fund’s return, taking into consideration the weighting of each security.

The best performing security in the Fund’s portfolio during the period was Alpha Metallurgical Resource, which was up 72.53%. The second best performing security was Consol Energy Inc, which was up 55.29% for the period. The third best performing security for the period was Pbf Energy Inc-Class A, which was up 55.13% for the period.

The worst performing security in the Fund’s portfolio during the period was Comstock Resources Inc., which was down 39.13%. The second worst performing security was Mosaic Co/The, which was down 26.74% for the period. The third worst performing security was Cf Industries Holdings Inc., which was down 24.38% for the period.
1

ALPHA ARCHITECT ETFs

LETTER TO SHAREHOLDERS
SEPTEMBER 30, 2023

For FY 2023, QVAL outperformed the Solactive GBS United States 1000 NTR Index, which was up 20.60%.

QVAL distributed income to shareholders on a quarterly basis.

IVAL

For FY 2023, IVAL was up 30.73% at its market price and up 30.86% at NAV. The best and worst securities listed below are based on their contribution to the Fund’s return, taking into consideration the weighting of each security.

The best performing security in the Fund’s portfolio during the period was Aurubis Ag, which was up 92.99%. The second best performing security was Screen Holdings Co Ltd., which was up 91.37% for the period. The third best performing security for the period was Shinko Electric Industries, which was up 86.43% for the period.

The worst performing security in the Fund’s portfolio during the period was Harbour Energy Plc, which was down 39.57%. The second worst performing security was Icl Group Ltd., which was down 28.75% for the period. The third worst performing security was Boliden Ab, which was down 22.1% for the period.

For FY 2023, IVAL outperformed the Solactive GBS Developed Markets ex N.A. Large & Mid Cap NTR Index (USD), which was up 25.22%.

IVAL distributed income to shareholders on an quarterly basis.

QMOM

For FY 2023, QMOM was down 0.82% at its market price and down 0.71% at NAV. The best and worst securities listed below are based on their contribution to the Fund’s return, taking into consideration the weighting of each security.

The best performing security in the Fund’s portfolio during the period was Super Micro Computer Inc., which was up 202.97%. The second best performing security was Elf Beauty Inc., which was up 48.04% for the period. The third best performing security for the period was Sylvamo Corp., which was up 61.68% for the period.

The worst performing security in the Fund during the period was Sage Therapeutics Inc., which was down 59.06%. The second worst performing security was Impinj Inc., which was down 48.36% for the period. The third worst performing security was Texas Pacific Land Corp., which was down 47.88% for the period.

For FY 2023, QMOM underperformed the Solactive GBS United States 1000 NTR Index, which was up 20.60%.

QMOM distributed income to shareholders on an annual basis.

IMOM

For FY 2023, IMOM was up 13.88% at its market price and up 13.50% at NAV. The best and worst securities listed below are based on their contribution to the fund’s return, taking into consideration the weighting of each security.

The best performing security in the Fund’s portfolio during the period was Centrica Plc, which was up 91.89%. The second best performing security was Rheinmetall Ag, which was up 68.19% for the period. The third best performing security for the period was Commerzbank Ag, which was up 55.38% for the period.

The worst performing security in the Fund’s portfolio during the period was Sosei Group Corp., which was down 49.35%. The second worst performing security was Delek Group Ltd., which was down 37.9% for the period. The third worst performing security was Whitehaven Coal Ltd., which was down 31.42% for the period.

For FY 2023, IMOM underperformed the Solactive GBS Developed Markets ex N.A. Large & Mid Cap NTR Index (USD), which was up 25.22%.
2

ALPHA ARCHITECT ETFs

LETTER TO SHAREHOLDERS
SEPTEMBER 30, 2023

IMOM distributed income to shareholders on an annual basis.

VMOT

For FY 2023, VMOT was down 7.68% at its market price and down 7.75% at NAV.

At times, VMOT will employ hedging when the trend-following signals are “triggered”. During FY 2023, these rules were triggered for much of the year in both domestic and international markets. These hedging signals prevented the portfolio from suffering the full extent of the broad market sell-off and lead to strong outperformance during FY 2023.

For FY 2023, VMOT outperformed a portfolio of 70% World Developed Stocks and 30% U.S. Treasury Bills[1], which was up 17.50%.

VMOT distributed income to shareholders on an annual basis.


[1] 35% Solactive GBS United States 1000 NTR Index, 35% Solactive GBS Developed Markets ex North America Large & Mid Cap NTR Index, 30% Solactive 1-3 month US T-Bill Index

HIDE

For FY 2023, HIDE was up 0.67% at its market price and up 0.69% at NAV. We are using the Since Inception (11/16/2023) performance because the fund is launched less than one year.

The best performing security in the Fund’s portfolio during the period was Schwab Intermediate-Term US, which was down 3.22%. The second best performing security was Vanguard Real Estate ETF, which was down 3.63% for the period. The third best performing security for the period was Graniteshares Bcom Broad Str, which was down 5.81% for the period.

The worst performing security in the Fund’s portfolio during the period was Graniteshares Bcom Broad Str, which was down 5.81% for the period. The second worst performing security was Vanguard Real Estate ETF, which was down 3.63% for the period. The third worst performing security was Schwab Intermediate-Term US, which was down 3.22% for the period.

For FY 2023, HIDE outperformed the Solactive US Aggregate Bond Index, which was down 1.13%.

HIDE distributed income to shareholders on an annual basis.


CAOS

For FY 2023, CAOS was up 7.31% at its market price and up 7.32% at NAV.

For FY 2023, CAOS underperformed the S&P 500 TR, which was up 9.04%.

CAOS distributed income to shareholders on an annual basis.








[1] 35% Solactive GBS United States 1000 NTR Index, 35% Solactive GBS Developed Markets ex North America Large & Mid Cap NTR Index, 30% Solactive 1-3 month US T-Bill Index


3

ALPHA ARCHITECT ETFs

LETTER TO SHAREHOLDERS
SEPTEMBER 30, 2023

Please note, returns of the best/worst performers cited above reflect the returns of the stocks during the time period held by the Funds, not necessary for the entire fiscal year.

We appreciate your continued investment in the Funds.

Sincerely,

/s/ Patrick R. Cleary

Patrick R. Cleary
Chief Executive Officer
Empowered Funds, LLC dba EA Advisers



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 redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. For the most recent month-end performance, please call (215) 882-9983 or visit the Funds’ website at etfsite.alphaarchitect.com.

Shares are bought and sold at market price (not at net asset value, (“NAV”)), and are not individually redeemed from the Funds. Market price returns are based upon the midpoint of the bid/ask spread at the close of the exchange and does not represent the returns an investor would receive if shares were traded at other times. Brokerage commissions will reduce returns. NAVs are calculated using prices as of the close of regular trading on the exchange, normally 4:00 p.m. Eastern Time.

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

Any offering must be preceded or accompanied by a prospectus.

Fund holdings and allocations are subject to change at any time and should not be considered a recommendation to buy, hold or sell any security. Please see the Schedule of Investments in this report for complete Fund holdings.

RISKS

Investments involve risk. Principal loss is possible.

Non-diversification Risk. Because VMOT is non-diversified, it may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Funds’ Shares and greater risk of loss.

Value Style Risk. Value investing is subject to the risk that intrinsic values of investments may not be recognized by the broad market or that their prices may decline.

Momentum Style Risk. Investing in or having exposure to securities with positive momentum entails investing in securities that have had above-average recent returns. These securities may be more volatile than a broad cross section of securities. Returns on securities that have previously exhibited momentum may be less than returns on other styles of investing or the overall stock market. Momentum can turn quickly and cause significant variation from other types of investments, and stocks that previously exhibited high momentum may not experience continued positive momentum. In addition, there may be periods when the momentum style is out of favor, and during which the investment performance of the Funds using a momentum strategy may suffer.

Quantitative Management Risk. Investments utilizing quantitative methods may perform differently than the market as a result of characteristics and data used and changes in trends.

4

ALPHA ARCHITECT ETFs

LETTER TO SHAREHOLDERS
SEPTEMBER 30, 2023
Foreign Security Risk. Investments in foreign securities involve political, economic and currency risks, greater volatility and differences in accounting methods.

Small Company Risk. Investments in smaller companies involve limited liquidity and greater volatility than larger companies.

High Portfolio Turnover Rate Risk. High portfolio turnover could increase a Fund’s transactions costs, resulting in taxable distributions to shareholders and negatively impact performance.

Derivatives Risk. Derivatives can be volatile and involve various types of degrees of risks including hedging risks. The use of derivatives in connection with the VMOT index's hedging strategies may expose the index (and therefore the Fund) to losses (some of which may be sudden) that it would not have otherwise been exposed to if it had only invested directly in equity securities.

Fund of Funds Risk. VMOT primarily invests in the other Alpha Architect Funds and its performance largely depends on the investment performance of those underlying Alpha Architect Funds. An investor will indirectly bear the principal risks and its share of fees and expenses of the underlying funds.

INDICES

The Solactive GBS United States 1000 Index intends to track the performance of the largest 1000 companies from the US stock market and is based on the Solactive Global Benchmark Series. Constituents are selected based on company market capitalization and weighted by free float market capitalization. The index is calculated as a net total return index in USD and is reconstituted quarterly.

The Solactive GBS Developed Markets ex North America Large & Mid Cap USD Index (CA NTR) is part of the Solactive Global Benchmark Series which includes benchmark indices for developed and emerging market countries. The index tracks the performance of the large and mid cap segment covering approximately the largest 85% of the free-float market capitalization in the Developed Markets excluding North America. It is calculated as a Net Total Return index in CAD and weighted by free-float market capitalization.

The Solactive 1-3 month US T-Bill Index is a rules-based, market value weighted index engineered for the short-term T-Bill market denominated in USD. The index is comprised of USD denominated T-Bills with a time to maturity of 1 to 3 months.

The Alpha Architect Value Momentum Trend Index will be composed primarily of the other Funds included in this report which invest in either domestic or international equity securities and employ either a “momentum” or “value” investment strategy. In addition, the Index may, from time to time, use hedging strategies.

The Solactive US Aggregate Bond Index aims to track the performance of the USD denominated bond market. The INDEX COMPONENTS are weighted with the aim to replicate the distribution of the weights of the entire market.

S&P500: It is an unmanaged index of 500 common stocks primarily traded on the New York Stock Exchange, weighted by market capitalization. Index performance includes the reinvestment of dividends and capital gains.

Indices do not incur any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.

*Alpha is defined as the excess return of the fund relative to the return of the benchmark index.

The Funds are distributed by Quasar Distributors, LLC. The Funds’ investment advisor is Empowered Funds, LLC, which is doing business as EA Advisers.



5

ALPHA ARCHITECT ETFs


chart-dfb2eff0633b442896b.jpg

Average Annual Return*
Since Inception
1 Year5 Year(October 21, 2014)
Alpha Architect U.S. Quantitative Value ETF - NAV30.39%5.69%6.23%
Alpha Architect U.S. Quantitative Value ETF - Market
30.11%5.69%6.22%
Solactive GBS U.S. 1000 Index
20.60%9.07%10.44%
See “Index Overview” section for a description of the Index.
*This chart assumes an initial gross investment of $10,000 made on October 21, 2014. Returns shown include the dividends. Past performance does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than the original cost.













6

ALPHA ARCHITECT ETFs
Tabular Presentation of Schedule of Investments
As of September 30, 2023

Alpha Architect U.S. Quantitative Value ETF

 
Sector1
% Net Assets
Energy38.7%²
Consumer Discretionary27.2%²
Industrials17.8%
Materials4.1%
Information Technology4.0%
Communication Services3.8%
Health Care2.1%
Consumer Staples2.1%
Other3
0.2%
Total100.0%

1 Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment adviser's internal sector classifications.

2 For purposes of the Fund's compliance with its concentration limits, the Fund uses various sub-classifications and none of the Fund's holdings in the sub-classifications exceed 25% of the Fund's total assets.

3 Cash, cash equivalents, short-term investments and other assets less liabilities.


 
































7

ALPHA ARCHITECT ETFs


chart-aa5ebee565d94498a6d.jpg

Average Annual Return*
Since Inception
1 Year5 Year
(December 16, 2014)
Alpha Architect International Quantitative Value ETF - NAV
30.86%
-1.00%
2.68%
Alpha Architect International Quantitative Value ETF - Market
30.73%
-1.00%
2.66%
Solactive Developed Markets ex N.A. Large and Mid Cap Index25.22%3.16%4.41%
See “Index Overview” section for a description of the Index.
*This chart assumes an initial gross investment of $10,000 made on December 16, 2014. Returns shown include the dividends. Past performance does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than the original cost.













8

ALPHA ARCHITECT ETFs
Tabular Presentation of Schedule of Investments
As of September 30, 2023

Alpha Architect International Quantitative Value ETF
 
Sector1
% Net Assets
Consumer Discretionary32.4%²
Energy22.7%
Industrials18.4%
Materials13.4%
Utilities5.9%
Information Technology4.1%
Consumer Staples1.9%
Other3
1.2%
Total100.0%
 
1 Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment adviser's internal sector classifications.

2 For purposes of the Fund's compliance with its concentration limits, the Fund uses various sub-classifications and none of the Fund's holdings in the sub-classifications exceed 25% of the Fund's total assets.

3 Cash, cash equivalents, short-term investments and other assets less liabilities.

9

ALPHA ARCHITECT ETFs

chart-c05773c6c2cc48e3a6e.jpg

Average Annual Return*
Since Inception
1 Year5 Year
(December 1, 2015)
Alpha Architect U.S. Quantitative Momentum ETF - NAV
-0.71%
5.28%7.54%
Alpha Architect U.S. Quantitative Momentum ETF - Market
-0.82%
5.28%7.54%
Solactive GBS U.S. 1000 Index
20.60%9.07%10.71%
See “Index Overview” section for a description of the Index.
*This chart assumes an initial gross investment of $10,000 made on December 1, 2015. Returns shown include the dividends. Past performance does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than the original cost.














10

ALPHA ARCHITECT ETFs

Tabular Presentation of Schedule of Investments
As of September 30, 2023

Alpha Architect U.S. Quantitative Momentum ETF
 
Sector1
% Net Assets
Consumer Discretionary29.6%²
Industrials27.7%²
Information Technology16.0%
Energy8.6%
Financials6.5%
Health Care6.0%
Materials2.0%
Communication Services1.8%
Consumer Staples1.7%
Other3
0.1%
Total100.0%

1 Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment adviser's internal sector classifications.

2 For purposes of the Fund's compliance with its concentration limits, the Fund uses various sub-classifications and none of the Fund's holdings in the sub-classifications exceed 25% of the Fund's total assets.

3 Cash, cash equivalents, short-term investments and other assets less liabilities.








 


11

ALPHA ARCHITECT ETFs
chart-5121b17813c64d8f8b4.jpg

Average Annual Return*
Since Inception
1 Year5 Year
(December 22, 2015)
Alpha Architect International Quantitative Momentum ETF - NAV
13.50%
-1.03%
1.24%
Alpha Architect International Quantitative Momentum ETF - Market
13.88%
-1.09%
1.26%
Solactive Developed Markets ex N.A. Large & Mid Cap Index
25.22%3.16%5.14%
See “Index Overview” section for a description of the Index.
*This chart assumes an initial gross investment of $10,000 made on December 22, 2015. Returns shown include the dividends. Past performance does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than the original cost.















12

ALPHA ARCHITECT ETFs

Tabular Presentation of Schedule of Investments
As of September 30, 2023

Alpha Architect International Quantitative Momentum ETF
 
Sector1
% Net Assets
Financials33.1%²
Consumer Discretionary21.5%
Information Technology13.7%
Materials11.7%
Industrials5.9%
Utilities5.9%
Communication Services4.0%
Health Care3.6%
Other³0.6%
Total100.0%


1 Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment adviser's internal sector classifications.

2 For purposes of the Fund's compliance with its concentration limits, the Fund uses various sub-classifications and none of the Fund's holdings in the sub-classifications exceed 25% of the Fund's total assets.

3 Cash, cash equivalents, short-term investments and other assets less liabilities.
 
































13

ALPHA ARCHITECT ETFs
chart-daf38c3c8e3c442384a.jpg





Average Annual Return*
Since Inception
1 Year5 Year(May 2, 2017)
Alpha Architect Value Momentum Trend ETF - NAV
-7.75%
-4.00%
-0.65%
Alpha Architect Value Momentum Trend ETF - Market
-7.68%
-4.00%
-0.66%
35% Solactive GBS United States 1000 Index, 35% Solactive GBS Developed Markets ex North America Large & Mid Cap Index, 30% Solactive 1-3 Month U.S. T-Bill Index
17.50%5.18%5.99%
See “Index Overview” section for a description of the Index.
*This chart assumes an initial gross investment of $10,000 made on May 2, 2017. Returns shown include the dividends. Past performance does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than the original cost.











14

ALPHA ARCHITECT ETFs

Tabular Presentation of Schedule of Investments
As of September 30, 2023

Alpha Architect Value Momentum Trend ETF
 
Sector1
% Net Assets
Investment Companies
98.7%
Other2
1.3%
Total100.0%



1 Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment adviser's internal sector classifications.

2 Cash, cash equivalents, short-term investments and other assets less liabilities.



15

ALPHA ARCHITECT ETFs
chart-c7f87516c0574f0984e.jpg


Cumulative Return
Since Inception
(November 16, 2022)
Alpha Architect High Inflation and Deflation ETF - NAV0.69%
Alpha Architect High Inflation and Deflation ETF - Market
0.67%
Solactive U.S. Aggregate Bond Index
-1.13%
See “Index Overview” section for a description of the Index.
*This chart assumes an initial gross investment of $10,000 made on November 16, 2022. Returns shown include the dividends. Past performance does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than the original cost.














16

ALPHA ARCHITECT ETFs

Tabular Presentation of Schedule of Investments
As of September 30, 2023

Alpha Architect High Inflation and Deflation ETF
 
Sector1
% Net Assets
U.S. Treasury Bills87.1%
Investment Companies12.4%
Other²0.5%
Total100.0%
 
1 Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment adviser's internal sector classifications.

2 Cash, cash equivalents, short-term investments and other assets less liabilities.


17

ALPHA ARCHITECT ETFs


chart-14b09f4c8291488fbee.jpg


Average Annual Return*
Since ConversionSince Inception
7 Months
(March 6, 2023)1 Year5 Year10 Year(August 14, 2013)
Alpha Architect Tail Risk ETF - NAV
7.32%
5.61%16.18%3.19%3.24%3.25%
Alpha Architect Tail Risk ETF - Market
7.31%
5.62%16.17%3.19%3.24%3.25%
S&P 500 Total Return Index
9.04%
6.90%21.62%9.92%11.91%11.76%
See “Index Overview” section for a description of the Index.
*This chart assumes an initial gross investment of $10,000 made on August 14, 2013. Returns shown include the dividends. Past performance does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than the original cost. The Fund converted from a mutual fund to an ETF on March 6, 2023. The Fund has adopted the mutual fund’s prior performance for the periods before the conversion.











18

ALPHA ARCHITECT ETFs

 Tabular Presentation of Schedule of Investments
As of September 30, 2023

Alpha Architect Tail Risk ETF

Sector1
% Net Assets
Purchased Options82.5%
Affiliated Investment Companies
65.2%
Other²
(47.7%)
Total100.0%

1 Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment adviser's internal sector classifications.

2 Cash, cash equivalents, short-term investments and other assets less liabilities.



19

ALPHA ARCHITECT ETFs


INDEX OVERVIEW
SEPTEMBER 30, 2023 (UNAUDITED)
Solactive GBS U.S. 1000 Index

The Solactive GBS U.S. 1000 Index intends to track the performance of the largest 1000 companies from the US stock market and is based on the Solactive Global Benchmark Series. Constituents are selected based on company market capitalization and weighted by free float market capitalization. The index is calculated as a net total return index in USD and is reconstituted quarterly.

Solactive Developed Markets ex N.A. Large and Mid Cap Index

The Solactive Developed Markets ex N.A. Large and Mid Cap Index is part of the Solactive Global Benchmark Series which includes benchmark indices for developed and emerging market countries. The index tracks the performance of the large and mid-cap segment covering approximately the largest 85% of the free-float market capitalization in the Developed Markets excluding North America. It is calculated as a Net Total Return index in CAD and weighted by free-float market capitalization.

Solactive 1-3 Month U.S. T-Bill Index

The Solactive 1-3 Month U.S. T-Bill Index is a rules-based, market value weighted index engineered for the short-term T-Bill market denominated in USD. The index is comprised of USD denominated T-Bills with a time to maturity of 1 to 3 months.

Solactive Aggregate U.S. Bond Index

The Solactive Aggregate U.S. Bond Index aims to track the performance of the USD denominated bond market.


S&P 500 Total Return Index

The S&P 500 Total Return Index is a stock market index tracking the performance of 500 large companies listed on stock exchanges in the United States.
20

Alpha Architect U.S. Quantitative Value ETF
Schedule of Investments
September 30, 2023

 
SharesValue
COMMON STOCKS - 99.8%
Agricultural & Farm Machinery - 1.9%
45,624AGCO Corp.$5,396,406 
Air Freight & Logistics - 2.0%
69,490Hub Group, Inc. - Class A (a)5,457,745 
Automotive Retail - 2.1%
21,405Group 1 Automotive, Inc.5,751,738 
Biotechnology - 2.1%
25,483United Therapeutics Corp. (a)5,755,845 
Broadcasting - 3.8%
175,210Fox Corp. - Class A5,466,552 
348,722TEGNA, Inc.5,080,880 
10,547,432 
Broadline Retail - 2.1%
500,347Macy's, Inc.5,809,029 
Building Products - 4.0%
41,160Owens Corning5,614,636 
54,666UFP Industries, Inc.5,597,798 
11,212,434 
Coal & Consumable Fuels - 4.3%
57,012CONSOL Energy, Inc.5,981,129 
230,887Peabody Energy Corp.6,000,753 
11,981,882 
Construction Machinery & Heavy Transportation Equipment - 2.0%
93,946Terex Corp.5,413,169 
Electrical Components & Equipment - 2.0%
37,918Atkore, Inc. (a)5,656,986 
Electronic Components - 2.0%
224,441Vishay Intertechnology, Inc.5,548,182 
Homebuilding - 19.2%
20,240Cavco Industries, Inc. (a)5,376,958 
49,993D.R. Horton, Inc.5,372,748 
117,380KB Home5,432,346 
47,796Lennar Corp. - Class A5,364,145 
43,935Meritage Homes Corp.5,377,205 
73,608PulteGroup, Inc.5,450,672 
80,607Skyline Champion Corp. (a)5,136,278 
124,793Taylor Morrison Home Corp. (a)5,317,430 
71,497Toll Brothers, Inc.5,287,918 
194,883Tri Pointe Homes, Inc. (a)5,330,050 
53,445,750 
Industrial Machinery & Supplies & Components - 2.1%
76,047Mueller Industries, Inc.5,715,693 
The accompanying notes are an integral part of these financial statements.

21

Alpha Architect U.S. Quantitative Value ETF
Schedule of Investments (Continued)
September 30, 2023
SharesValue
Integrated Oil & Gas - 2.0%
47,865Exxon Mobil Corp.$5,627,967 
Oil & Gas Equipment & Services - 2.0%
305,124Liberty Energy, Inc.5,650,896 
Oil & Gas Exploration & Production - 14.1%
147,076Callon Petroleum Co. (a)5,753,613 
35,257Chord Energy Corp.5,714,102 
42,516EOG Resources, Inc.5,389,328 
134,271EQT Corp.5,448,717 
123,073Murphy Oil Corp.5,581,361 
174,529Range Resources Corp.5,656,485 
142,488SM Energy Co.5,649,649 
39,193,255 
Oil & Gas Refining & Marketing - 10.1%
162,862CVR Energy, Inc.5,542,194 
36,410Marathon Petroleum Corp.5,510,289 
164,969Par Pacific Holdings, Inc. (a)5,928,986 
103,633PBF Energy, Inc. - Class A5,547,474 
39,034Valero Energy Corp.5,531,508 
28,060,451 
Oil & Gas Storage & Transportation - 6.2%
33,867Cheniere Energy, Inc.5,620,567 
131,116International Seaways, Inc. ADR (b)5,900,220 
103,859Scorpio Tankers, Inc. ADR (b)5,620,849 
17,141,636 
Other Specialty Retail - 3.8%
111,690Academy Sports & Outdoors, Inc.5,279,586 
73,204Signet Jewelers Ltd. ADR (b)5,256,779 
10,536,365 
Packaged Foods & Meats - 2.1%
121,264Cal-Maine Foods, Inc.5,871,603 
Passenger Airlines - 3.8%
420,481American Airlines Group, Inc. (a)5,386,362 
122,471United Airlines Holdings, Inc. (a)5,180,523 
10,566,885 
Steel - 4.1%
108,029Commercial Metals Co.5,337,713 
56,489Steel Dynamics, Inc.6,056,751 
11,394,464 
Technology Distributors - 2.0%
44,278Arrow Electronics, Inc. (a)5,545,377 
TOTAL COMMON STOCKS (Cost $259,648,789)277,281,190 
The accompanying notes are an integral part of these financial statements.

22

Alpha Architect U.S. Quantitative Value ETF
Schedule of Investments (Continued)
September 30, 2023
SharesValue
MONEY MARKET FUNDS - 0.2%
506,480First American Government Obligations Fund - Class X, 5.26% (c)$506,480 
TOTAL MONEY MARKET FUNDS (Cost $506,480)506,480 
TOTAL INVESTMENTS (Cost $260,155,269) - 100.0%277,787,670 
Other Assets in Excess of Liabilities - 0.0% (d)65,184 
TOTAL NET ASSETS - 100.0%$277,852,854 
 

 Percentages are stated as a percent of net assets.



ADR - American Depositary Receipt
(a) Non-income producing security.
(b) Foreign issued security.
(c) Rate shown is the 7-day effective yield.
(d) Represents less than 0.05% of net assets.

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor 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.

23

Alpha Architect International Quantitative Value ETF
Schedule of Investments
September 30, 2023

 
SharesValue
COMMON STOCKS - 98.8%
 Australia - 14.0%
245,939Fortescue Metals Group Ltd. $3,308,009 
101,551JB Hi-Fi Ltd. 2,965,575 
803,961New Hope Corp. Ltd. 3,282,361 
1,029,572Pilbara Minerals Ltd. 2,846,444 
792,236Qantas Airways Ltd. (a)2,638,528 
710,895Whitehaven Coal Ltd. 3,249,769 
124,303Woodside Energy Group Ltd. 2,916,305 
21,206,991 
 Austria - 5.7%
63,800OMV AG 3,056,950 
101,853voestalpine AG 2,782,557 
110,996Wienerberger AG 2,821,107 
8,660,614 
 Bermuda - 2.1%
509,028Hafnia Ltd. 3,166,955 
 France - 7.4%
200,854Air France-KLM (a)2,526,575 
97,206Cie Generale des Etablissements Michelin SCA 2,987,555 
130,673Rexel S.A. 2,942,681 
224,549Vallourec SACA (a)2,744,395 
11,201,206 
 Italy - 1.8%
102,377Buzzi S.p.A. 2,805,531 
 Japan - 44.1%
285,911Amada Co., Ltd. 2,878,433 
60,864Ebara Corp. 2,854,629 
366,615Fujikura Ltd. 2,947,590 
58,364Horiba Ltd. 3,161,123 
211,521Inpex Corp. 3,193,197 
236,746Isuzu Motors Ltd. 2,979,128 
90,249Japan Petroleum Exploration Co., Ltd. 3,400,039 
66,027Macnica Holdings, Inc. 3,106,061 
290,039Mazda Motor Corp. 3,292,634 
786,702Mitsubishi Motors Corp. 3,429,187 
130,535Niterra Co., Ltd. 2,955,905 
88,410Open House Group Co., Ltd. 3,001,822 
68,550Sankyo Co., Ltd. 3,144,016 
197,026Sanwa Holdings Corp. 2,621,036 
95,648Shin-Etsu Chemical Co., Ltd. 2,779,706 
158,397Subaru Corp. 3,080,177 
120,066Sumitomo Heavy Industries Ltd. 3,046,643 
The accompanying notes are an integral part of these financial statements.

24

 
Alpha Architect International Quantitative Value ETF
Schedule of Investments (Continued)
September 30, 2023
SharesValue
77,012Suzuki Motor Corp. $3,100,269 
130,185Tokyo Gas Co., Ltd. 2,954,077 
266,263Tokyo Steel Manufacturing Co., Ltd. 3,002,229 
161,822Toyota Boshoku Corp. 2,951,865 
116,569Yamaha Motor Co., Ltd. 3,066,333 
66,946,099 
 Luxembourg - 1.9%
185,899Tenaris S.A. 2,945,178 
 Netherlands - 5.7%
215,578CNH Industrial N.V. ADR 2,608,494 
308,592Iveco Group N.V. (a)2,891,307 
163,556Stellantis N.V. ADR (b)3,128,826 
8,628,627 
 Spain - 4.1%
147,582Endesa S.A. 3,007,499 
191,728Repsol S.A. 3,156,108 
6,163,607 
 United Kingdom - 11.9%
538,432Barratt Developments PLC 2,897,784 
59,984Berkeley Group Holdings PLC 3,005,787 
489,791BP PLC 3,175,634 
92,855British American Tobacco PLC 2,919,562 
1,597,544Centrica PLC 3,010,501 
2,133,983Taylor Wimpey PLC 3,054,126 
18,063,394 
TOTAL COMMON STOCKS (Cost $145,604,439)149,788,202 
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 0.5%
790,000
First American Government Obligations Fund - Class X, 5.26% (c)
790,000 
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $790,000)790,000 
SHORT-TERM INVESTMENTS - 0.3%
MONEY MARKET FUNDS - 0.3%
440,434
First American Government Obligations Fund - Class X, 5.26% (c)
440,434 
TOTAL MONEY MARKET FUNDS (Cost $440,434)440,434 
TOTAL INVESTMENTS (Cost $146,834,873) - 99.6%151,018,636 
Other Assets in Excess of Liabilities - 0.4%659,070 
TOTAL NET ASSETS - 100.0%$151,677,706 







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

25

 
Alpha Architect International Quantitative Value ETF
Schedule of Investments (Continued)
September 30, 2023
 Percentages are stated as a percent of net assets.

ADR - American Depositary Receipt
PLC - Public Limited Company
(a) Non-income producing security.
(b) This security or a portion of this security was out on loan as of September 30, 2023. Total loaned securities had a market value of $765,200 as of September 30, 2023.
(c) Rate shown is the 7-day effective yield.



 

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

26

Alpha Architect U.S. Quantitative Momentum ETF
Schedule of Investments
September 30, 2023
 
SharesValue
COMMON STOCKS - 99.9%
Apparel Retail - 4.4%
57,886Abercrombie & Fitch Co. - Class A (a)$3,263,035 
94,309Urban Outfitters, Inc. (a)3,082,962 
6,345,997 
Application Software - 3.8%
15,942Appfolio, Inc. - Class A (a)2,911,487 
91,392DoubleVerify Holdings, Inc. (a)2,554,406 
5,465,893 
Automotive Parts & Equipment - 2.0%
63,416Modine Manufacturing Co. (a)2,901,282 
Biotechnology - 4.1%
24,227Krystal Biotech, Inc. (a)2,810,332 
264,187Roivant Sciences Ltd. ADR (a)(b)3,085,704 
5,896,036 
Building Products - 3.8%
21,407Builders FirstSource, Inc. (a)2,664,957 
21,355Owens Corning2,913,036 
5,577,993 
Cargo Ground Transportation - 2.0%
7,242Saia, Inc. (a)2,887,023 
Casinos & Gaming - 3.9%
96,307International Game Technology PLC (b)2,920,028 
30,455Wynn Resorts Ltd.2,814,347 
5,734,375 
Communications Equipment - 1.9%
112,639Extreme Networks, Inc. (a)2,726,990 
Construction & Engineering - 5.8%
16,586Comfort Systems USA, Inc.2,826,420 
13,688EMCOR Group, Inc.2,879,818 
37,314Sterling Infrastructure, Inc. (a)2,741,833 
8,448,071 
Construction Machinery & Heavy Transportation Equipment - 4.1%
50,915Allison Transmission Holdings, Inc.3,007,040 
50,141Terex Corp.2,889,124 
5,896,164 
Copper - 2.0%
38,032Southern Copper Corp.2,863,429 
Diversified Banks - 2.2%
448,157NU Holdings Ltd. - Class A ADR (a)(b)3,249,138 
Electrical Components & Equipment - 6.0%
20,103Atkore, Inc. (a)2,999,167 
29,393EnerSys2,782,635 
54,277nVent Electric PLC ADR (b)2,876,138 
8,657,940 
The accompanying notes are an integral part of these financial statements.

27

Alpha Architect U.S. Quantitative Momentum ETF
Schedule of Investments (Continued)
September 30, 2023
SharesValue
Electronic Equipment & Instruments - 2.0%
51,470Crane NXT Co.$2,860,188 
Electronic Manufacturing Services - 2.3%
26,694Jabil, Inc.3,387,202 
Footwear - 2.0%
5,837Deckers Outdoor Corp. (a)3,000,743 
Health Care Equipment - 1.9%
11,467Penumbra, Inc. (a)2,773,982 
Homebuilding - 15.3%
25,891D.R. Horton, Inc.2,782,506 
60,723KB Home2,810,260 
25,756Lennar Corp. - Class A2,890,596 
31,545M/I Homes, Inc. (a)2,651,042 
22,199Meritage Homes Corp.2,716,936 
37,568PulteGroup, Inc.2,781,910 
65,245Taylor Morrison Home Corp. (a)2,780,089 
37,650Toll Brothers, Inc.2,784,594 
22,197,933 
Hotels, Resorts & Cruise Lines - 2.0%
31,029Royal Caribbean Cruises Ltd. ADR (a)(b)2,859,012 
Industrial Conglomerates - 2.0%
26,852General Electric Co.2,968,489 
Movies & Entertainment - 1.8%
7,081Netflix, Inc. (a)2,673,786 
Oil & Gas Drilling - 2.0%
57,390Noble Corp. PLC ADR (b)2,906,804 
Oil & Gas Equipment & Services - 6.6%
162,986TechnipFMC PLC ADR (b)3,315,135 
45,862Tidewater, Inc. (a)3,259,412 
34,159Weatherford International PLC ADR (a)(b)3,085,582 
9,660,129 
Personal Care Products - 1.7%
22,078elf Beauty, Inc. (a)2,424,827 
Property & Casualty Insurance - 2.2%
39,796Arch Capital Group Ltd. ADR (a)(b)3,172,139 
Semiconductor Materials & Equipment - 1.8%
16,037Axcelis Technologies, Inc. (a)2,614,833 
Semiconductors - 2.1%
53,938Rambus, Inc. (a)3,009,201 
Technology Hardware, Storage & Peripherals - 2.1%
11,189Super Micro Computer, Inc. (a)3,068,248 
Trading Companies & Distributors - 4.0%
28,207Boise Cascade Co.2,906,449 
82,832FTAI Aviation Ltd. ADR (b)2,944,678 
5,851,127 
The accompanying notes are an integral part of these financial statements.

28

Alpha Architect U.S. Quantitative Momentum ETF
Schedule of Investments (Continued)
September 30, 2023
SharesValue
Transaction & Payment Processing Services - 2.1%
122,915Remitly Global, Inc. (a)$3,099,916 
TOTAL COMMON STOCKS (Cost $145,609,014)145,178,890 
MONEY MARKET FUNDS - 0.1%
182,039First American Government Obligations Fund - Class X, 5.26% (c)182,039 
TOTAL MONEY MARKET FUNDS (Cost $182,039)182,039 
TOTAL INVESTMENTS (Cost $145,791,053) - 100.0%145,360,929 
Liabilities in Excess of Other Assets - (0.0%) (d)(39,930)
TOTAL NET ASSETS - 100.0%$145,320,999 


 

Percentages are stated as a percent of net assets.
 
ADR - American Depositary Receipt
PLC - Public Limited Company
 
(a)Non-income producing security.
(b)Foreign issued security.
(c)Rate shown is the 7-day effective yield.
(d)Represents less than 0.05% of net assets.
 
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor 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

Alpha Architect International Quantitative Momentum ETF
Schedule of Investments
September 30, 2023
 
SharesValue
COMMON STOCKS - 99.4%
Cayman Islands - 1.9%
140,037Melco Resorts & Entertainment Ltd. ADR (a)$1,384,966 
Denmark - 2.1%
14,687Pandora A/S1,523,153 
France - 11.5%
42,507Accor S.A.1,435,401 
743Hermes International SCA1,358,822 
19,356Publicis Groupe S.A.1,468,506 
65,420Rexel S.A.1,473,221 
48,964SCOR SE1,525,579 
32,083Verallia S.A. (b)1,264,529 
8,526,058 
Germany - 19.4%
40,342AIXTRON SE1,485,128 
138,845Commerzbank AG1,583,906 
172,110Deutsche Lufthansa AG (a)1,365,817 
12,102Gerresheimer AG1,272,447 
18,883Heidelberg Materials AG1,467,757 
42,745Infineon Technologies AG1,417,000 
3,941Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen1,537,900 
10,948SAP SE1,421,614 
22,894Talanx AG1,452,281 
82,649TeamViewer SE (a)(b)1,394,595 
14,398,445 
Ireland - 6.0%
334,536AIB Group PLC1,506,712 
154,270Bank of Ireland Group PLC1,515,217 
26,758CRH PLC1,424,114 
4,446,043 
Italy - 14.0%
802,422A2A S.p.A.1,430,336 
167,507Banca Mediolanum S.p.A.1,434,838 
324,270Banco BPM S.p.A.1,554,754 
511,671BPER Banca1,567,173 
50,691Buzzi S.p.A.1,389,132 
576,691Intesa Sanpaolo S.p.A.1,487,684 
63,475UniCredit S.p.A.1,525,387 
10,389,304 
Japan - 16.3%
7,852Disco Corp.1,449,131 
124,125Kobe Steel Ltd.1,618,841 
111,553NOK Corp.1,482,123 
33,654Sumitomo Mitsui Financial Group, Inc.1,654,550 
95,956T&D Holdings, Inc.1,584,712 
The accompanying notes are an integral part of these financial statements.

30

Alpha Architect International Quantitative Momentum ETF
Schedule of Investments
September 30, 2023
SharesValue
88,204TBS Holdings, Inc.$1,484,134 
27,704Tokyo Seimitsu Co., Ltd.1,388,537 
32,145Zensho Holdings Co., Ltd.1,397,740 
12,059,768 
Luxembourg - 2.1%
212,239B&M European Value Retail S.A.1,518,508 
Netherlands - 3.8%
4,785Ferrari N.V. ADR1,414,159 
107,391ING Groep N.V.1,424,916 
2,839,075 
Singapore - 1.9%
380,678Sembcorp Industries Ltd.1,417,448 
Spain - 8.4%
43,449ACS Actividades de Construccion y Servicios S.A.1,565,055 
195,259Banco Bilbao Vizcaya Argentaria S.A.1,591,634 
107,647Indra Sistemas S.A.1,559,194 
39,703Industria de Diseno Textil S.A.1,481,333 
6,197,216 
Sweden - 2.0%
102,686H & M Hennes & Mauritz AB1,461,122 
Switzerland - 2.0%
23,196Holcim AG1,489,551 
United Kingdom - 8.0%
61,1543i Group PLC1,546,758 
808,409Centrica PLC1,523,411 
11,291Games Workshop Group PLC1,456,148 
55,593Hikma Pharmaceuticals PLC1,416,279 
5,942,596 
TOTAL COMMON STOCKS (Cost $75,407,678)73,593,253 
MONEY MARKET FUNDS - 0.2%
145,636First American Government Obligations Fund - Class X, 5.26% (c)145,636 
TOTAL MONEY MARKET FUNDS (Cost $145,636)145,636 
TOTAL INVESTMENTS (Cost $75,553,314) - 99.6%73,738,889 
Other Assets in Excess of Liabilities - 0.4%285,071 
TOTAL NET ASSETS - 100.0%$74,023,960 

Percentages are stated as a percent of net assets.
 
ADR - American Depositary Receipt
PLC - Public Limited Company
 
(a)Non-income producing security.
(b)144A restricted security.
(c)Rate shown is the 7-day effective yield.
The accompanying notes are an integral part of these financial statements.

31

Alpha Architect Value Momentum Trend ETF
Schedule of Investments
September 30, 2023
 
SharesValue
INVESTMENT COMPANIES - 98.7%
International Developed Equity - 54.2%
281,078
Alpha Architect International Quantitative Momentum ETF (a)
$6,892,369 
513,468
Alpha Architect International Quantitative Value ETF (a)(b)
12,112,351 
19,004,720 
U.S. Equity - 44.5%
116,054
Alpha Architect U.S. Quantitative Momentum ETF (a)
5,004,121 
285,252
Alpha Architect U.S. Quantitative Value ETF (a)
10,585,702 
15,589,823 
TOTAL INVESTMENT COMPANIES (Cost $34,307,918)34,594,543 
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 0.0%
2,450
First American Government Obligations Fund - Class X, 5.26% (c)(d)
2,450 
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $2,450)2,450 
MONEY MARKET FUNDS - 0.9%
328,886
First American Government Obligations Fund - Class X, 5.26% (c)
328,886 
TOTAL MONEY MARKET FUNDS (Cost $328,886)328,886 
TOTAL INVESTMENTS (Cost $34,639,254) - 99.6%34,925,879 
Other Assets in Excess of Liabilities - 0.4%147,282 
TOTAL NET ASSETS - 100.0%$35,073,161 

 
Percentages are stated as a percent of net assets.
 
(a)Affiliated fund.
(b)This security or a portion of this security was out on loan as of September 30, 2023. Total loaned securities had a market value of $2,359 as of September 30, 2023.
(c)Rate shown is the 7-day effective yield.
(d)Represents less than 0.05% of Net Assets
 
 

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

32

Alpha Architect High Inflation and Deflation ETF
Schedule of Investments
September 30, 2023
 
Shares
Value
INVESTMENT COMPANIES - 12.4%
94,947GraniteShares Bloomberg Commodity Broad Str No K-1$2,049,906 
TOTAL INVESTMENT COMPANIES (Cost $2,076,623)2,049,906 
Principal AmountEffective YieldMaturity Date
SHORT TERM INVESTMENTS - 87.6%
U.S. Treasury Bills - 87.1%
3,892,000United States Treasury Bill (a)4.21%10/05/20233,889,772 
480,000United States Treasury Bill (a)5.16%
11/02/2023
477,790 
179,000United States Treasury Bill (a)5.23%
11/09/2023
177,990 
1,869,000United States Treasury Bill (a)5.33%
12/07/2023
1,850,814 
3,385,000United States Treasury Bill (a)5.34%
12/14/2023
3,348,591 
393,000United States Treasury Bill (a)5.34%
12/19/2023
388,489 
416,000United States Treasury Bill (a)5.37%
12/21/2023
411,097 
3,929,000United States Treasury Bill (a)5.37%
12/28/2023
3,878,629 
14,423,172 
Money Market Deposit Account - 0.5%
78,261U.S. Bank Money Market Deposit Account, 5.20% (b)78,261 
TOTAL SHORT TERM INVESTMENTS (Cost $14,501,165)14,501,433 
TOTAL INVESTMENTS
(Cost $16,577,788) - 100.0%
16,551,339 
Liabilities in Excess of Other Assets - (0.0%) (c)(1,040)
TOTAL NET ASSETS - 100.0%$16,550,299 
 

Percentages are stated as a percent of net assets.
(a)Zero coupon bond.
(b)The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of September 30, 2023.
(c)Represents less than 0.05% of net assets.
 






 


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

33

Alpha Architect Tail Risk ETF
Schedule of Investments
September 30, 2023

Shares    Value
AFFILIATED INVESTMENT COMPANIES - 65.2%
   
1,035,000  Alpha Architect 1-3 Month Box ETF (a) $107,308,800 
    TOTAL INVESTMENT COMPANIES (Cost $104,646,575)   107,308,800 
 
Contracts    Notional
Amount
   
 PURCHASED OPTIONS - 82.5% (b)(c)(d)        
 CALL OPTIONS - 12.5%        
   
S&P 500® Index
       
 4   
 Expiration: 12/15/2023, Strike Price $4,000
 $1,715,220    145,300 
 321   
 Expiration: 01/19/2024, Strike Price $4,000
  137,646,405    12,766,812 
          12,912,112 
 MercadoLibre, Inc.
 3,000
 Expiration: 10/27/2023, Strike Price $1,331 (e)
380,364,000 7,666,650 
7,666,650 
 PUT OPTIONS - 70.0%        
   
S&P 500® Index
       
 402   
 Expiration: 10/13/2023, Strike Price $4,250
  172,379,610    1,368,810 
 1,596   
 Expiration: 10/20/2023, Strike Price $1,900
  684,372,780    7,980 
 672   
 Expiration: 11/17/2023, Strike Price $1,900
  288,156,960    10,080 
 960   
 Expiration: 11/17/2023, Strike Price $1,900
  411,652,800    12,000 
 2,188   
 Expiration: 12/15/2023, Strike Price $2,200
  938,225,340    158,630 
 4   
 Expiration: 12/15/2023, Strike Price $5,000
  1,715,220    266,543 
 220   
 Expiration: 12/15/2023, Strike Price $7,300
  94,337,100    64,575,500 
 200   
 Expiration: 01/19/2024, Strike Price $2,200
  85,761,000    33,500 
 321   
 Expiration: 01/19/2024, Strike Price $5,000
  137,646,405    20,648,729 
       87,081,772 
   MercadoLibre, Inc.      
 3,000   
 Expiration: 10/27/2023, Strike Price $1,346 (e)
  380,364,000   28,089,120 
         28,089,120 
   
 TOTAL PURCHASED OPTIONS (Cost $145,963,158)
      135,749,654 
Shares
MONEY MARKET FUNDS - 0.1%       
 216,904
  First American Government Obligations Fund - Class X, 5.26% (f)      216,904 
   TOTAL MONEY MARKET FUNDS (Cost $216,904)     216,904 
           
   TOTAL INVESTMENTS (Cost $250,826,637) - 147.8%      243,275,358 
   Liabilities in Excess of Other Assets - (47.8%)      (78,685,310)
   TOTAL NET ASSETS - 100.0%     $164,590,048 
 

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

34

ALPHA ARCHITECT ETFs
Percentages are stated as a percent of net assets.
(a)Affiliated fund.
(b)
Exchange-Traded.
(c)
Purchased option contracts are held in connection with corresponding written option contracts. See the Schedule of Written Options for further information.
(d)
Each contract equals 100 shares.
(e)
Flexible Exchange® Options.
(f)
Rate shown is the 7-day effective yield.















































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

35

ALPHA ARCHITECT ETFs



Alpha Architect Tail Risk ETF
Schedule of Written Options
September 30, 2023

Contracts    Notional
Amount
  Value
 WRITTEN OPTIONS - (47.8%) (a)(b)        
 CALL OPTIONS - (3.9%)        
   
S&P 500® Index
       
 4
   Expiration: 12/15/2023, Strike Price $5,000.00  $(1,715,220)  $(310)
 321
   Expiration: 01/19/2024, Strike Price $5,000.00   (137,646,405)    (66,386)
          (66,696)
 MercadoLibre, Inc.
3,000
 Expiration: 10/27/2023, Strike Price $1,346.00 (c) (380,364,000)(6,365,310)
(6,365,310)
 PUT OPTIONS - (43.9%)        
   
S&P 500® Index
       
 402
 Expiration: 10/13/2023, Strike Price $4,150.00 (172,379,610)(538,680)
 402
 Expiration: 10/13/2023, Strike Price $4,300.00 (172,379,610)(2,100,450)
4
 Expiration: 12/15/2023, Strike Price $4,000.00 (1,715,220)(16,307)
 220
 Expiration: 12/15/2023, Strike Price $6,300.00 (94,337,100)(42,834,000)
 321
 Expiration: 01/19/2024, Strike Price $4,000.00 (137,646,405)(1,806,671)
(47,296,108)
 MercadoLibre, Inc.
3,000
 Expiration: 10/27/2023, Strike Price $1,331.00 (c) (380,364,000)(24,909,930)
    TOTAL WRITTEN OPTIONS (Premiums Received $71,323,659)      $(78,638,044)
  
Percentages are stated as a percent of net assets.
(a)Exchange-Traded.
(b)
Each contract equals 100 shares.
(c)
Flexible Exchange® Options.




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

36

ALPHA ARCHITECT ETFs
STATEMENT OF ASSETS AND LIABILITIES
September 30, 2023

 
Alpha Architect U.S. Quantitative Value ETFAlpha Architect International Quantitative Value ETF
Assets:
Investments in securities, at value (1)
$277,787,670 $151,018,636 
Foreign currency, at value— 13,290 
Receivable for investments sold8,107,690 — 
Receivable for fund shares sold— 3,541,140 
Dividends and interest receivable221,865 1,450,465 
Securities lending income receivable (Note 5)
57 
Total assets286,117,227 156,023,588 
Liabilities:
Payable for fund shares redeemed8,172,142 — 
Payable for investment securities purchased— 3,494,263 
Due to securities lending agent (Note 5)
— 790,000 
Accrued investment advisory fees92,231 61,619 
Total liabilities8,264,373 4,345,882 
Net Assets$277,852,854 $151,677,706 
Net Assets Consist of:
Paid-in capital390,800,657 247,619,284 
Total distributable earnings (accumulated deficit)(112,947,803)(95,941,578)
Net Assets:$277,852,854 $151,677,706 
Calculation of Net Asset Value Per Share:
Net Assets$277,852,854 $151,677,706 
Shares Outstanding (unlimited shares of beneficial interest authorized, no par value)7,480,000 6,425,000 
Net Asset Value per Share$37.15 $23.61 
Cost of Investments in Securities$260,155,269 $146,834,873 
Cost of Foreign Currency$— $13,235 
(1) Includes loaned securities with a value of
$— $765,200 

 

 

 









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

37

ALPHA ARCHITECT ETFs


STATEMENT OF ASSETS AND LIABILITIES
September 30, 2023

Alpha Architect U.S. Quantitative Momentum ETFAlpha Architect International Quantitative Momentum ETF
Assets:
Investments in securities, at value$145,360,929 $73,738,889 
Dividends and interest receivable9,370 335,374 
Total assets145,370,299 74,074,263 
Liabilities:
Due to custodian
— 19,101 
Accrued investment advisory fees49,300 31,202 
Total liabilities49,300 50,303 
Net Assets$145,320,999 $74,023,960 
Net Assets Consist of:
Paid-in capital$247,629,147 $157,875,620 
Total distributable earnings (accumulated deficit)(102,308,148)(83,851,660)
Net Assets:$145,320,999 $74,023,960 
Calculation of Net Asset Value Per Share:
Net Assets$145,320,999 $74,023,960 
Shares Outstanding (unlimited shares of beneficial interest authorized, no par value)3,370,000 3,025,000 
Net Asset Value per Share$43.12 $24.47 
Cost of Investments in Securities$145,791,053 $75,553,314 

 




















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

38

ALPHA ARCHITECT ETFs

STATEMENT OF ASSETS AND LIABILITIES
September 30, 2023

Alpha Architect Value Momentum Trend ETFAlpha Architect High Inflation and Deflation ETF
Assets:
Investments in affiliates, at value (1)
$34,594,543 $— 
Non-affiliated investments, at value331,336 16,551,339 
Total Investments, at value
34,925,879 16,551,339 
Cash161,720 — 
Securities lending income receivable (Note 5)
756 — 
Dividends and interest receivable527 2,700 
Total assets35,088,882 16,554,039 
Liabilities:
Due to broker for securities sold short
7,709 — 
Accrued investment advisory fees5,562 3,740 
Due to securities lending agent (Note 5)
2,450 — 
Total liabilities15,721 3,740 
Net Assets$35,073,161 $16,550,299 
Net Assets Consist of:
Paid-in capital$58,956,581 $16,688,082 
Total distributable earnings (accumulated deficit)(23,883,420)(137,783)
Net Assets:$35,073,161 $16,550,299 
Calculation of Net Asset Value Per Share:
Net Assets$35,073,161 $16,550,299 
Shares Outstanding (unlimited shares of beneficial interest authorized, no par value)1,560,000 700,000 
Net Asset Value per Share$22.48 $23.64 
Cost of Investments in Affiliates$34,307,918 $— 
Cost of Non-Affiliated Investments$331,336 $16,577,788 
(1) Includes loaned securities with a value of
$2,359 $— 















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

39

ALPHA ARCHITECT ETFs



STATEMENT OF ASSETS AND LIABILITIES
September 30, 2023
 
 
Alpha Architect Tail Risk ETF
Assets:
   
Non-affiliated investments, at value
 $135,966,558 
Investments in affiliates, at value
  107,308,800 
Total Investments, at value
243,275,358 
Receivable for investments sold
  3,313,959 
Deposit at broker for options
  124,419 
Dividends and interest receivable
  523 
Broker interest and fees receivable
  112 
Total assets
  246,714,371 
Liabilities:
   
Options written, at value
  78,638,044 
Payable to custodian
  2,010,368 
Payable for investment securities purchased
1,413,932 
Accrued investment advisory fees
  61,979 
Total liabilities
  82,124,323 
Net Assets
 $164,590,048 
 
  
Net Assets Consist of:
  
Paid-in capital
 $232,347,335 
Total distributable earnings (accumulated deficit)
  (67,757,287)
Net Assets:
 $164,590,048 
 
   
Calculation of Net Asset Value Per Share:
  
Net Assets
 $164,590,048 
Shares Outstanding (unlimited shares of beneficial interest authorized, no par value)
 2,023,847 
Net Asset Value per Share
 $81.33 
 
   
Cost of Non-Affiliated Investments
 $146,180,062 
Cost of Investments in Affiliates
 $104,646,575 
Premiums Received from Options Written
 $71,323,659 
 











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

40

ALPHA ARCHITECT ETFs
STATEMENT OF OPERATIONS
September 30, 2023
Alpha Architect U.S. Quantitative Value ETFAlpha Architect International Quantitative Value ETF
Investment Income:
Dividend income (net of foreign withholding tax of $0 and $810,043, respectively)$6,456,536 $7,866,222 
Interest income36,612 23,429 
Securities lending income, net (See Note 5)
1,751 59 
Total investment income6,494,899 7,889,710 
Expenses:
Investment advisory fees1,018,002 698,963 
Net expenses1,018,002 698,963 
Net Investment Income/(Loss)
5,476,897 7,190,747 
Realized and Unrealized Gain (Loss) on Investments:
Net realized gain (loss) on:
Investments18,716,123 (3,533,266)
Foreign currency— (370,422)
18,716,123 (3,903,688)
Net change in unrealized appreciation/(depreciation) on:
Investments33,513,536 22,569,617 
Foreign currency— 7,120,420 
33,513,536 29,690,037 
Net realized and unrealized gain (loss) on investments:52,229,659 25,786,349 
Net Increase/ (Decrease) in Net Assets Resulting from Operations
$57,706,556 $32,977,096 





















 


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

41

ALPHA ARCHITECT ETFs

STATEMENT OF OPERATIONS (CONTINUED)
For the Year Ended September 30, 2023

Alpha Architect U.S. Quantitative Momentum ETFAlpha Architect International Quantitative Momentum ETF
Investment Income:
Dividend income (net of foreign withholding tax of $0 and $281,583, respectively)
$2,472,907 $2,943,416 
Interest income19,009 12,216 
Securities lending income, net (See Note 5)
85 4,095 
Total investment income2,492,001 2,959,727 
Expenses:
Investment advisory fees 579,497 362,815 
Overdraft fees expense — 1,356 
Net expenses 579,497 364,171 
Net Investment Income/(Loss)
1,912,504 2,595,556 
Realized and Unrealized Gain (Loss) on Investments:
Net realized gain (loss) on:
Investments (13,661,716)(859,499)
Foreign currency — (232,798)
(13,661,716)(1,092,297)
Net change in unrealized appreciation/(depreciation) on:
Investments 4,866,116 2,616,359 
Foreign currency — 2,886,171 
4,866,116 5,502,530 
Net realized and unrealized gain (loss) on investments: (8,795,600)4,410,233 
Net Increase (Decrease) in Net Assets Resulting from Operations $(6,883,096)$7,005,789 
 











 

 
 





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

42

ALPHA ARCHITECT ETFs
STATEMENT OF OPERATIONS (CONTINUED)
For the Period Ended September 30, 2023

Alpha Architect Value Momentum Trend ETFAlpha Architect High Inflation and Deflation ETF⁽¹⁾
Investment Income:
Dividend income from affiliates$1,808,032 $— 
Dividend income from non-affiliates— 312,681 
Interest income612,409 448,474 
Securities lending income, net (See Note 5)
27,323 — 
Total investment income2,447,764 761,155 
Expenses:
Dividend expense264,762 — 
Investment advisory fees172,558 32,667 
Other expenses186 — 
Total expenses437,506 32,667 
Less: Reimbursement of expenses from Advisor (Note 4)
(74,113)(2,129)
Net expenses363,393 30,538 
Net Investment Income2,084,371 730,617 
Realized and Unrealized Gain (Loss) on Investments:
Net realized gain (loss) on:
Investments in affiliates(1,840,712)— 
Investments in non-affiliates(594)(550,547)
Securities sold short(1,250,891)— 
(3,092,197)(550,547)
Net change in unrealized appreciation (depreciation) on:
Investments in affiliates5,591,687 — 
Investments in non-affiliates— (26,450)
Securities sold short(7,585,247)— 
(1,993,560)(26,450)
Net realized and unrealized gain (loss) on investments:
(5,085,757)(576,997)
Net Increase (Decrease) in Net Assets Resulting from Operations$(3,001,386)$153,620 


(1) The Fund commenced operations on November 17, 2022












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

43

ALPHA ARCHITECT ETFs

STATEMENT OF OPERATIONS
For the Period Ended September 30, 2023
Alpha Architect Tail Risk ETF⁽¹⁾
  For the Period Ended September 30, 2023⁽¹⁾  Year Ended February 28, 2023
Investment Income:
       
Interest Income
 $47,791   $50,046 
Total investment income
  47,791    50,046 
 
       
Expenses:
       
Investment advisory fees
  571,945    669,864 
Other expenses
  2,783    399,782 
Total expenses
  574,728    1,069,646 
Less: Reimbursement of expenses from Advisor (Note 4)
  (107,700)  — 
Net expenses
  467,028    1,069,646 
 
       
Net Investment Income/(Loss)
  (419,237)   (1,019,600)
 
       
Realized and Unrealized Gain (Loss) on Investments:
       
Net realized gain (loss) on:
       
 Non-affiliated investments 939,255 — 
Investments— 419,995 
Investments in affiliates  34,863   — 
Securities sold short  —   (4,365)
Options written  22,763,221   (16,858,776)
 
  23,737,339   (16,443,146)
Net change in unrealized appreciation (depreciation) on:
       
Non-Affiliated Investments
(11,804,439)1,594,589 
Investments in affiliates
  2,662,225    — 
Options written
  (3,470,692)  (3,883,872)
 
  (12,612,906)  (2,289,283)
Net realized and unrealized gain (loss) on investments:
  11,124,433   (18,732,429)
Net Increase/(Decrease) in Net Assets Resulting from Operations
 $10,705,196  $(19,752,029)


(1)The Fund acquired all of the assets and liabilities of the Arin Large Cap Theta Fund (“Predecessor Fund”) in a reorganization on March 6, 2023. The Predecessor Fund’s Institutional Class Shares’ performance and financial history have been adopted by the Fund and will be used going forward. As a result, the information prior to March 6, 2023, reflects that of the Predecessor Fund’s Institutional Class Shares.
 

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

44

ALPHA ARCHITECT ETFs
STATEMENT OF CHANGES IN NET ASSETS
Alpha Architect U.S. Quantitative Value ETFAlpha Architect International Quantitative Value ETF
For the Year Ended September 30, 2023Year Ended September 30, 2022For the Year Ended September 30, 2023Year Ended September 30, 2022
Increase (Decrease) in Net Assets from:
Operations:
Net investment income (loss)
$5,476,897 $3,796,980 $7,190,747 $8,130,478 
Net realized gain (loss) on investments18,716,123 (10,894,253)(3,903,688)(18,921,372)
Net change in unrealized appreciation (depreciation) on investments33,513,536 (21,218,750)29,690,037 (21,232,378)
Net Increase (Decrease) in Net Assets Resulting from Operations57,706,556