Shareholder Expense Examples
|
1
|
Portfolio Holdings Allocation
|
3
|
Schedules of Investments
|
5
|
Statements of Assets and Liabilities
|
26
|
Statements of Operations
|
28
|
Statements of Changes in Net Assets
|
30
|
Financial Highlights
|
35
|
Notes to Financial Statements
|
40
|
Additional Information
|
56
|
Expenses
|
|||
Beginning
|
Ending
|
Paid During
|
|
Account
|
Account
|
Period
|
|
Value
|
Value
|
8/1/23 –
|
|
8/1/23
|
1/31/24
|
1/31/24(a)
|
|
FCF US Quality ETF
|
|||
Actual
|
$1,000.00
|
$1,069.60
|
$3.07
|
Hypothetical (5% return before expenses)
|
$1,000.00
|
$1,022.17
|
$3.00
|
Expenses
|
|||
Beginning
|
Ending
|
Paid During
|
|
Account
|
Account
|
Period
|
|
Value
|
Value
|
8/1/23 –
|
|
8/1/23
|
1/31/24
|
1/31/24(a)
|
|
FCF International Quality ETF
|
|||
Actual
|
$1,000.00
|
$1,045.50
|
$3.03
|
Hypothetical (5% return before expenses)
|
$1,000.00
|
$1,022.17
|
$3.00
|
Expenses
|
|||
Beginning
|
Ending
|
Paid During
|
|
Account
|
Account
|
Period
|
|
Value
|
Value
|
8/1/23 –
|
|
8/1/23
|
1/31/24
|
1/31/24(b)
|
|
Donoghue Forlines
|
|||
Tactical High Yield ETF
|
|||
Actual
|
$1,000.00
|
$1,038.80
|
$3.54
|
Hypothetical (5% return before expenses)
|
$1,000.00
|
$1,021.67
|
$3.51
|
Expenses
|
|||
Beginning
|
Ending
|
Paid During
|
|
Account
|
Account
|
Period
|
|
Value
|
Value
|
8/1/23 –
|
|
8/1/23
|
1/31/24
|
1/31/24(b)
|
|
Donoghue Forlines Innovation ETF
|
|||
Actual
|
$1,000.00
|
$1,081.50
|
$3.61
|
Hypothetical (5% return before expenses)
|
$1,000.00
|
$1,021.67
|
$3.51
|
Expenses
|
|||
Beginning
|
Ending
|
Paid During
|
|
Account
|
Account
|
Period
|
|
Value
|
Value
|
8/1/23 –
|
|
8/1/23
|
1/31/24
|
1/31/24(b)
|
|
Donoghue Forlines Yield
|
|||
Enhanced Real Asset ETF
|
|||
Actual
|
$1,000.00
|
$1,023.70
|
$3.51
|
Hypothetical (5% return before expenses)
|
$1,000.00
|
$1,021.67
|
$3.51
|
(a)
|
Actual Expenses Paid are equal to the Fund’s annualized expense ratio of 0.59%, multiplied by the average account value over the period, multiplied by 184/366 to reflect the period.
|
(b)
|
Actual Expenses Paid are equal to the Fund’s annualized expense ratio of 0.69%, multiplied by the average account value over the period, multiplied by 184/366 to reflect the period.
|
FCF US Quality ETF
|
||||
Communications
|
10.2
|
%
|
||
Consumer Discretionary
|
9.9
|
%
|
||
Consumer Staples
|
3.2
|
%
|
||
Energy
|
3.5
|
%
|
||
Financials
|
4.2
|
%
|
||
Health Care
|
14.5
|
%
|
||
Industrials
|
6.6
|
%
|
||
Materials
|
3.2
|
%
|
||
Technology
|
43.8
|
%(a)
|
||
Utilities
|
0.2
|
%
|
||
Investment Purchased with Proceeds from Securities Lending
|
9.1
|
%(b)
|
||
Money Market Deposit Account
|
0.6
|
%
|
||
Liabilities in Excess of Other Assets
|
(9.0
|
)%
|
||
Total Net Assets
|
100.0
|
%
|
||
FCF International Quality ETF
|
||||
Australia
|
7.9
|
%
|
||
Austria
|
0.6
|
%
|
||
Brazil
|
2.0
|
%
|
||
Canada
|
7.7
|
%
|
||
China
|
9.1
|
%
|
||
Denmark
|
8.2
|
%
|
||
Finland
|
0.2
|
%
|
||
France
|
3.2
|
%
|
||
Germany
|
2.1
|
%
|
||
Greece
|
0.7
|
%
|
||
Hong Kong
|
0.5
|
%
|
||
India
|
1.5
|
%
|
||
Ireland
|
5.5
|
%
|
||
Israel
|
1.3
|
%
|
||
Italy
|
2.3
|
%
|
||
Japan
|
1.6
|
%
|
||
Luxembourg
|
0.4
|
%
|
||
Netherlands
|
7.1
|
%
|
||
New Zealand
|
0.3
|
%
|
||
Norway
|
1.2
|
%
|
||
Portugal
|
0.7
|
%
|
||
Republic of Korea
|
1.6
|
%
|
||
Singapore
|
1.2
|
%
|
||
South Africa
|
1.9
|
%
|
||
Spain
|
1.2
|
%
|
||
Sweden
|
1.7
|
%
|
||
Switzerland
|
11.8
|
%
|
||
Taiwan
|
1.7
|
%
|
||
United Kingdom
|
11.3
|
%
|
||
United States
|
1.1
|
%
|
||
Investment Purchased with Proceeds from Securities Lending
|
1.8
|
%(b)
|
||
Money Market Deposit Account
|
1.0
|
%
|
||
Liabilities in Excess of Other Assets
|
(0.4
|
)%
|
||
Total Net Assets
|
100.0
|
%
|
Donoghue Forlines Tactical High Yield ETF
|
||||
Exchange-Traded Funds
|
99.9
|
%
|
||
Investment Purchased with Proceeds from Securities Lending
|
8.4
|
%(b)
|
||
Money Market Deposit Account
|
0.2
|
%
|
||
Liabilities in Excess of Other Assets
|
(8.5
|
)%
|
||
Total Net Assets
|
100.0
|
%
|
||
Donoghue Forlines Innovation ETF
|
||||
Communications
|
18.0
|
%
|
||
Consumer Discretionary
|
0.4
|
%
|
||
Consumer Staples
|
1.6
|
%
|
||
Energy
|
0.5
|
%
|
||
Health Care
|
18.2
|
%
|
||
Industrials
|
2.2
|
%
|
||
Technology
|
58.9
|
%
|
||
Investment Purchased with Proceeds from Securities Lending
|
14.9
|
%(b)
|
||
Money Market Deposit Account
|
0.2
|
%
|
||
Liabilities in Excess of Other Assets
|
(14.9
|
)%
|
||
Total Net Assets
|
100.0
|
%
|
||
Donoghue Forlines Yield Enhanced Real Asset ETF
|
||||
Consumer Discretionary
|
1.0
|
%
|
||
Consumer Staples
|
1.7
|
%
|
||
Energy
|
35.2
|
%
|
||
Industrials
|
15.3
|
%
|
||
Materials
|
18.7
|
%
|
||
Technology
|
0.8
|
%
|
||
Real Estate Investment Trusts
|
12.5
|
%
|
||
Master Limited Partnerships
|
12.3
|
%
|
||
Preferred Stock
|
2.1
|
%
|
||
Investment Purchased with Proceeds from Securities Lending
|
20.5
|
%(b)
|
||
Money Market Deposit Account
|
0.1
|
%
|
||
Liabilities in Excess of Other Assets
|
(20.2
|
)%
|
||
Total Net Assets
|
100.0
|
%
|
(a)
|
Amount represents investments in a particular sector. No industry within this sector represented more than 25% of the Fund’s total assets at the time of investment.
|
(b)
|
Represents cash received as collateral in return for securities lent as part of the securities lending program. The cash is invested in the Mount Vernon Liquid Assets Portfolio, LLC as noted in
the applicable schedules of investments listed in this report.
|
Shares
|
Value
|
|||||||
COMMON STOCKS – 99.3%
|
||||||||
Communications – 10.2%
|
||||||||
Airbnb, Inc. – Class A(a)
|
17,921
|
$
|
2,583,133
|
|||||
Alphabet, Inc. – Class A(a)
|
100,451
|
14,073,185
|
||||||
Booking Holdings, Inc.(a)
|
832
|
2,918,215
|
||||||
Electronic Arts, Inc.
|
17,330
|
2,384,261
|
||||||
Expedia Group, Inc.(a)
|
17,949
|
2,662,375
|
||||||
GoDaddy, Inc. – Class A(a)
|
16,575
|
1,767,890
|
||||||
Match Group, Inc.(a)
|
44,830
|
1,720,575
|
||||||
Meta Platforms, Inc. – Class A(a)
|
15,054
|
5,873,168
|
||||||
Netflix, Inc.(a)
|
3,400
|
1,917,974
|
||||||
Trade Desk, Inc. – Class A(a)(b)
|
35,255
|
2,412,500
|
||||||
38,313,276
|
||||||||
Consumer Discretionary – 9.9%
|
||||||||
Abercrombie & Fitch Co. – Class A(a)
|
8,924
|
909,356
|
||||||
Bath & Body Works, Inc.
|
34,199
|
1,458,929
|
||||||
Beacon Roofing Supply, Inc.(a)
|
5,573
|
461,946
|
||||||
Builders FirstSource, Inc.(a)
|
21,726
|
3,774,458
|
||||||
Chipotle Mexican Grill, Inc.(a)
|
916
|
2,206,433
|
||||||
Crocs, Inc.(a)
|
7,980
|
809,810
|
||||||
Etsy, Inc.(a)(b)
|
22,457
|
1,494,738
|
||||||
Fortune Brands Home & Security, Inc.
|
15,120
|
1,173,161
|
||||||
Hilton Worldwide Holdings, Inc.
|
17,383
|
3,319,458
|
||||||
Home Depot, Inc.
|
8,404
|
2,966,276
|
||||||
KB Home
|
11,439
|
681,650
|
||||||
Lennar Corp. – Class A
|
14,418
|
2,160,537
|
||||||
Live Nation Entertainment, Inc.(a)
|
16,281
|
1,446,567
|
||||||
Masco Corp.
|
23,091
|
1,553,793
|
||||||
PulteGroup, Inc.
|
11,900
|
1,244,264
|
||||||
Ross Stores, Inc.
|
20,515
|
2,877,844
|
||||||
Scotts Miracle-Gro Co.(b)
|
16,795
|
944,887
|
||||||
Skechers USA, Inc. – Class A(a)
|
13,674
|
853,805
|
||||||
Starbucks Corp.
|
15,702
|
1,460,757
|
||||||
Tapestry, Inc.
|
29,258
|
1,134,918
|
||||||
Taylor Morrison Home Corp.(a)
|
21,666
|
1,129,665
|
||||||
Thor Industries, Inc.(b)
|
4,747
|
536,506
|
||||||
Toll Brothers, Inc.
|
10,247
|
1,018,039
|
||||||
Williams-Sonoma, Inc.(b)
|
7,077
|
1,368,621
|
||||||
36,986,418
|
Shares
|
Value
|
|||||||
COMMON STOCKS – 99.3% (Continued)
|
||||||||
Consumer Staples – 3.2%
|
||||||||
Altria Group, Inc.
|
33,145
|
$
|
1,329,777
|
|||||
BellRing Brands, Inc.(a)
|
17,605
|
973,028
|
||||||
Clorox Co.
|
12,101
|
1,757,670
|
||||||
Colgate-Palmolive Co.
|
44,293
|
3,729,472
|
||||||
Kimberly-Clark Corp.
|
29,586
|
3,579,018
|
||||||
National Beverage Corp.(a)
|
12,799
|
591,826
|
||||||
11,960,791
|
||||||||
Energy – 3.5%
|
||||||||
Cheniere Energy, Inc.
|
10,411
|
1,707,300
|
||||||
ConocoPhillips
|
14,516
|
1,623,905
|
||||||
CVR Energy, Inc.
|
27,390
|
923,865
|
||||||
Enphase Energy, Inc.(a)(b)
|
19,935
|
2,075,832
|
||||||
Exxon Mobil Corp.
|
15,783
|
1,622,650
|
||||||
HF Sinclair Corp.
|
14,093
|
796,114
|
||||||
Occidental Petroleum Corp.
|
32,817
|
1,889,275
|
||||||
Valero Energy Corp.
|
16,548
|
2,298,516
|
||||||
12,937,457
|
||||||||
Financials – 4.2%
|
||||||||
Aflac, Inc.
|
11,345
|
956,837
|
||||||
American Express Co.
|
27,711
|
5,562,706
|
||||||
Cincinnati Financial Corp.
|
9,646
|
1,068,777
|
||||||
Erie Indemnity Co. – Class A(b)
|
3,748
|
1,296,171
|
||||||
OneMain Holdings, Inc.
|
12,432
|
591,763
|
||||||
SEI Investments Co.
|
24,624
|
1,557,222
|
||||||
Synchrony Financial
|
58,571
|
2,276,655
|
||||||
T Rowe Price Group, Inc.(b)
|
20,756
|
2,250,988
|
||||||
15,561,119
|
||||||||
Health Care – 14.5%
|
||||||||
AbbVie, Inc.
|
62,588
|
10,289,466
|
||||||
Agilent Technologies, Inc.
|
14,559
|
1,894,126
|
||||||
Amgen, Inc.
|
10,403
|
3,269,247
|
||||||
Bristol-Myers Squibb Co.
|
108,230
|
5,289,200
|
||||||
Cencora, Inc.(b)
|
3,368
|
783,666
|
||||||
Chemed Corp.
|
1,374
|
814,493
|
||||||
Gilead Sciences, Inc.
|
61,502
|
4,813,147
|
||||||
Halozyme Therapeutics, Inc.(a)
|
20,773
|
703,166
|
Shares
|
Value
|
|||||||
COMMON STOCKS – 99.3% (Continued)
|
||||||||
Health Care – 14.5% (Continued)
|
||||||||
Jazz Pharmaceuticals PLC(a)
|
4,878
|
$
|
598,628
|
|||||
Lantheus Holdings, Inc.(a)(b)
|
17,320
|
899,428
|
||||||
Medpace Holdings, Inc.(a)
|
9,805
|
2,858,942
|
||||||
Merck & Co., Inc.
|
56,678
|
6,845,569
|
||||||
Molina Healthcare, Inc.(a)
|
3,345
|
1,192,292
|
||||||
Neurocrine Biosciences, Inc.(a)
|
9,279
|
1,296,926
|
||||||
Progyny, Inc.(a)
|
24,724
|
941,737
|
||||||
UnitedHealth Group, Inc.
|
18,192
|
9,309,574
|
||||||
Vertex Pharmaceuticals, Inc.(a)
|
5,502
|
2,384,457
|
||||||
54,184,064
|
||||||||
Industrials – 6.6%
|
||||||||
3M Co.
|
40,315
|
3,803,719
|
||||||
A.O. Smith Corp.
|
23,536
|
1,826,629
|
||||||
CH Robinson Worldwide, Inc.
|
21,413
|
1,800,619
|
||||||
Core & Main, Inc. – Class A(a)
|
17,426
|
719,868
|
||||||
Donaldson Co., Inc.
|
13,778
|
889,921
|
||||||
Expeditors International of Washington, Inc.
|
18,691
|
2,361,234
|
||||||
Fastenal Co.
|
32,008
|
2,183,906
|
||||||
Ferguson PLC
|
10,006
|
1,879,727
|
||||||
H&R Block, Inc.
|
24,281
|
1,137,322
|
||||||
Insperity, Inc.
|
11,595
|
1,329,831
|
||||||
Keysight Technologies, Inc.(a)
|
3,506
|
537,330
|
||||||
Landstar System, Inc.
|
6,211
|
1,190,773
|
||||||
Lincoln Electric Holdings, Inc.(b)
|
1,937
|
430,440
|
||||||
MSC Industrial Direct Co., Inc. – Class A(b)
|
7,815
|
771,184
|
||||||
Mueller Industries, Inc.(b)
|
14,315
|
687,120
|
||||||
Robert Half International, Inc.
|
20,625
|
1,640,513
|
||||||
Rollins, Inc.
|
33,803
|
1,464,008
|
||||||
24,654,144
|
||||||||
Materials – 3.2%
|
||||||||
Advanced Drainage Systems, Inc.(b)
|
9,010
|
1,175,084
|
||||||
CF Industries Holdings, Inc.
|
24,324
|
1,836,705
|
||||||
LyondellBasell Industries NV – Class A
|
19,345
|
1,820,751
|
||||||
Nucor Corp.
|
16,136
|
3,016,302
|
||||||
Olin Corp.
|
14,560
|
758,139
|
Shares
|
Value
|
|||||||
COMMON STOCKS – 99.3% (Continued)
|
||||||||
Materials – 3.2% (Continued)
|
||||||||
RPM International, Inc.
|
9,171
|
$
|
978,179
|
|||||
Sherwin-Williams Co.
|
4,512
|
1,373,363
|
||||||
UFP Industries, Inc.
|
10,731
|
1,217,432
|
||||||
12,175,955
|
||||||||
Technology – 43.8%(e)
|
||||||||
Accenture PLC – Class A
|
19,587
|
7,127,318
|
||||||
Adobe, Inc.(a)
|
8,948
|
5,527,895
|
||||||
Apple, Inc.
|
148,339
|
27,353,711
|
||||||
Applied Materials, Inc.
|
15,243
|
2,504,425
|
||||||
Atlassian Corp. – Class A(a)
|
12,515
|
3,125,872
|
||||||
Autodesk, Inc.(a)
|
14,043
|
3,564,254
|
||||||
Automatic Data Processing, Inc.
|
19,024
|
4,675,719
|
||||||
Box, Inc. – Class A(a)(b)
|
56,623
|
1,471,066
|
||||||
Broadcom, Inc.
|
5,872
|
6,928,959
|
||||||
Broadridge Financial Solutions, Inc.
|
9,243
|
1,887,421
|
||||||
Cadence Design Systems, Inc.(a)
|
12,491
|
3,603,154
|
||||||
Cisco Systems, Inc.
|
108,332
|
5,436,100
|
||||||
CommVault Systems, Inc.(a)
|
24,574
|
2,252,944
|
||||||
Crowdstrike Holdings, Inc. – Class A(a)
|
12,302
|
3,598,335
|
||||||
Datadog, Inc. – Class A(a)
|
16,656
|
2,072,673
|
||||||
DocuSign, Inc.(a)
|
37,889
|
2,308,198
|
||||||
Dropbox, Inc. – Class A(a)
|
83,096
|
2,632,481
|
||||||
Euronet Worldwide, Inc.(a)
|
8,271
|
824,205
|
||||||
Fair Isaac Corp.(a)(b)
|
4,037
|
4,839,677
|
||||||
Fortinet, Inc.(a)
|
67,941
|
4,381,515
|
||||||
Gartner, Inc.(a)
|
8,186
|
3,744,604
|
||||||
International Business Machines Corp.
|
32,030
|
5,882,630
|
||||||
Intuit, Inc.
|
2,845
|
1,796,134
|
||||||
Jack Henry & Associates, Inc.
|
11,385
|
1,887,975
|
||||||
Juniper Networks, Inc.
|
20,147
|
744,633
|
||||||
Lattice Semiconductor Corp.(a)(b)
|
23,051
|
1,402,884
|
||||||
Manhattan Associates, Inc.(a)
|
9,220
|
2,236,403
|
||||||
Mastercard, Inc. – Class A
|
13,017
|
5,847,627
|
||||||
Microchip Technology, Inc.
|
29,554
|
2,517,410
|
||||||
Nutanix, Inc. – Class A(a)
|
26,676
|
1,499,191
|
||||||
Palo Alto Networks, Inc.(a)
|
19,130
|
6,475,696
|
Shares
|
Value
|
|||||||
COMMON STOCKS – 99.3% (Continued)
|
||||||||
Technology – 43.8%(e)(Continued)
|
||||||||
Paychex, Inc.
|
17,616
|
$
|
2,144,396
|
|||||
Pure Storage, Inc. – Class A(a)
|
43,183
|
1,726,888
|
||||||
QUALCOMM, Inc.
|
20,823
|
3,092,424
|
||||||
Qualys, Inc.(a)
|
8,692
|
1,644,266
|
||||||
RingCentral, Inc. – Class A(a)(b)
|
13,179
|
446,636
|
||||||
ServiceNow, Inc.(a)
|
6,583
|
5,038,628
|
||||||
Shift4 Payments, Inc. – Class A(a)(b)
|
16,237
|
1,165,979
|
||||||
Skyworks Solutions, Inc.
|
18,719
|
1,955,387
|
||||||
Splunk, Inc.(a)
|
3,613
|
554,126
|
||||||
Tenable Holdings, Inc.(a)
|
17,411
|
820,058
|
||||||
Teradata Corp.(a)
|
21,864
|
1,009,680
|
||||||
Visa, Inc. – Class A(b)
|
32,566
|
8,898,984
|
||||||
Workday, Inc. – Class A(a)
|
4,829
|
1,405,577
|
||||||
Zoom Video Communications, Inc. – Class A(a)
|
14,264
|
921,597
|
||||||
Zscaler, Inc.(a)(b)
|
11,736
|
2,765,823
|
||||||
163,741,558
|
||||||||
Utilities – 0.2%
|
||||||||
Vistra Corp.
|
22,561
|
925,678
|
||||||
TOTAL COMMON STOCKS
|
||||||||
(Cost $327,525,041)
|
371,440,460
|
Shares
|
Value
|
|||||||
SHORT-TERM INVESTMENT – 9.1%
|
||||||||
Investment Purchased with
|
||||||||
Proceeds from Securities Lending – 9.1%
|
||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.54%(c)
|
33,933,545
|
$
|
33,933,545
|
|||||
TOTAL SHORT-TERM INVESTMENT
|
||||||||
(Cost $33,933,545)
|
33,933,545
|
|||||||
Total Investments – 108.4% (Cost $361,458,586)
|
405,374,005
|
|||||||
Money Market Deposit Account – 0.6%(d)
|
2,115,651
|
|||||||
Liabilities in Excess of Other Assets – (9.0)%
|
(33,570,185
|
)
|
||||||
TOTAL NET ASSETS – 100.0%
|
$
|
373,919,471
|
(a)
|
Non-income producing security.
|
(b)
|
All or a portion of this security is on loan as of January 31, 2024. The total market value of these securities was $32,703,461 which represented 8.7% of net assets.
|
(c)
|
The rate shown represents the 7-day effective yield as of January 31, 2024.
|
(d)
|
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on
market conditions and is subject to change daily. The rate as of January 31, 2024 was 5.24%.
|
(e)
|
Amount represents investments in a particular sector. No industry within this sector represented more than 25% of the Fund’s total assets at the time of investment.
|
Shares
|
Value
|
|||||||
COMMON STOCKS – 97.4%
|
||||||||
Communications – 5.8%
|
||||||||
37 Interactive Entertainment Network
|
||||||||
Technology Group Co., Ltd. – Class A
|
41,800
|
$
|
96,763
|
|||||
AfreecaTV Co., Ltd.
|
1,159
|
90,400
|
||||||
Auto Trader Group PLC(b)
|
44,050
|
406,849
|
||||||
Elisa Oyj
|
2,764
|
126,203
|
||||||
Focus Media Information
|
||||||||
Technology Co., Ltd. – Class A
|
240,800
|
189,499
|
||||||
Hellenic Telecommunications Organization SA
|
15,211
|
211,234
|
||||||
Koninklijke KPN NV
|
103,762
|
353,001
|
||||||
MTN Group, Ltd.
|
17,979
|
91,746
|
||||||
MultiChoice Group(a)
|
57,553
|
230,550
|
||||||
NetEase, Inc. – ADR(c)
|
6,893
|
673,033
|
||||||
REA Group, Ltd.
|
2,662
|
321,235
|
||||||
Telstra Corp., Ltd.
|
137,335
|
363,999
|
||||||
Universal Music Group NV
|
16,902
|
499,939
|
||||||
3,654,451
|
||||||||
Consumer Discretionary – 16.2%
|
||||||||
ANTA Sports Products, Ltd.
|
29,754
|
249,855
|
||||||
Avolta AG(a)
|
4,147
|
159,594
|
||||||
Brunello Cucinelli SpA
|
1,694
|
168,973
|
||||||
Bunzl PLC
|
7,750
|
315,763
|
||||||
Burberry Group PLC
|
12,471
|
206,723
|
||||||
Chongqing Changan Automobile Co., Ltd. – Class A
|
69,500
|
123,907
|
||||||
Chow Tai Fook Jewellery Group, Ltd.
|
210,179
|
283,897
|
||||||
Cie Financiere Richemont SA
|
2,567
|
383,734
|
||||||
CTS Eventim AG & Co. KGaA
|
2,275
|
154,522
|
||||||
Ferrari NV
|
1,959
|
677,657
|
||||||
Games Workshop Group PLC
|
1,377
|
172,849
|
||||||
Geberit AG
|
719
|
416,761
|
||||||
Gree Electric Appliances, Inc. of Zhuhai – Class A
|
70,800
|
347,613
|
||||||
Hennes & Mauritz AB – Class B
|
37,771
|
535,280
|
||||||
Hermes International
|
283
|
598,767
|
||||||
HLA Group Corp., Ltd. – Class A
|
92,600
|
99,055
|
||||||
Industria de Diseno Textil SA
|
17,097
|
733,707
|
||||||
InterContinental Hotels Group PLC
|
6,583
|
625,697
|
||||||
JD Sports Fashion PLC
|
144,957
|
215,025
|
Shares
|
Value
|
|||||||
COMMON STOCKS – 97.4% (Continued)
|
||||||||
Consumer Discretionary – 16.2% (Continued)
|
||||||||
Kia Corp.
|
4,168
|
$
|
321,348
|
|||||
La Francaise des Jeux SAEM(b)
|
8,556
|
348,036
|
||||||
Lottery Corp., Ltd.
|
41,747
|
138,584
|
||||||
MINISO Group Holding, Ltd. – ADR
|
5,552
|
94,162
|
||||||
New Oriental Education & Technology
|
||||||||
Group, Inc. – ADR(a)
|
4,188
|
321,052
|
||||||
Next PLC
|
2,267
|
243,283
|
||||||
OPAP SA
|
11,677
|
202,161
|
||||||
Pandora AS
|
3,455
|
505,411
|
||||||
PDD Holdings, Inc. – ADR(a)
|
10,436
|
1,324,016
|
||||||
Topsports International Holdings, Ltd.(b)
|
152,604
|
98,574
|
||||||
Vipshop Holdings, Ltd. – ADR(a)
|
16,503
|
262,233
|
||||||
10,328,239
|
||||||||
Consumer Staples – 5.6%
|
||||||||
B&M European Value Retail SA
|
43,416
|
285,339
|
||||||
BGF retail Co., Ltd.
|
1,125
|
118,936
|
||||||
Carlsberg AS – Class B
|
2,717
|
350,263
|
||||||
Chongqing Brewery Co., Ltd. – Class A
|
13,742
|
106,383
|
||||||
Dollarama, Inc.
|
9,285
|
681,432
|
||||||
Imperial Brands PLC
|
53
|
1,275
|
||||||
Jeronimo Martins SGPS SA
|
19,895
|
453,229
|
||||||
Kweichow Moutai Co., Ltd. – Class A
|
1,600
|
357,663
|
||||||
Loblaw Cos., Ltd.
|
3,508
|
350,552
|
||||||
Nongfu Spring Co., Ltd. – Class H(b)
|
45,440
|
246,149
|
||||||
President Chain Store Corp.
|
30,223
|
254,920
|
||||||
Shanxi Xinghuacun Fen Wine
|
||||||||
Factory Co., Ltd. – Class A
|
6,205
|
172,947
|
||||||
Woolworths Holdings, Ltd.
|
54,718
|
202,739
|
||||||
3,581,827
|
||||||||
Energy – 6.1%
|
||||||||
BP PLC – ADR
|
23,559
|
826,921
|
||||||
Canadian Natural Resources, Ltd.
|
7,318
|
468,326
|
||||||
Equinor ASA – ADR(c)
|
22,072
|
632,804
|
||||||
Gaztransport Et Technigaz SA
|
1,100
|
154,658
|
||||||
Imperial Oil, Ltd.
|
9,221
|
531,881
|
Shares
|
Value
|
|||||||
COMMON STOCKS – 97.4% (Continued)
|
||||||||
Energy – 6.1% (Continued)
|
||||||||
Petroleo Brasileiro SA – ADR
|
50,804
|
$
|
867,225
|
|||||
Suncor Energy, Inc.
|
8,205
|
271,700
|
||||||
Woodside Energy Group, Ltd.
|
8,170
|
173,716
|
||||||
3,927,231
|
||||||||
Financials – 6.1%
|
||||||||
Admiral Group PLC
|
15,227
|
485,323
|
||||||
Aon PLC – Class A
|
1,360
|
405,865
|
||||||
BB Seguridade Participacoes SA – ADR
|
61,094
|
425,825
|
||||||
Brookfield Asset Management, Ltd. – Class A
|
9,672
|
388,909
|
||||||
Fairfax Financial Holdings, Ltd.
|
562
|
585,835
|
||||||
Hargreaves Lansdown PLC
|
26,461
|
256,803
|
||||||
Partners Group Holding AG
|
645
|
876,743
|
||||||
Singapore Exchange, Ltd.
|
63,778
|
447,373
|
||||||
3,872,676
|
||||||||
Health Care – 14.7%
|
||||||||
Amplifon SpA
|
13,872
|
455,289
|
||||||
BioNTech SE – ADR(a)
|
3,630
|
344,995
|
||||||
Dr Reddy’s Laboratories, Ltd. – ADR
|
2,932
|
210,957
|
||||||
Genmab AS(a)
|
631
|
175,736
|
||||||
Ipsen SA
|
3,048
|
352,454
|
||||||
Jazz Pharmaceuticals PLC(a)
|
835
|
102,471
|
||||||
Lifco AB – Class B
|
11,940
|
289,360
|
||||||
Medibank Pvt, Ltd.
|
150,794
|
379,886
|
||||||
Novartis AG
|
15,076
|
1,561,845
|
||||||
Novo Nordisk AS – Class B
|
28,702
|
3,224,089
|
||||||
Recordati Industria Chimica e Farmaceutica SpA
|
3,389
|
187,885
|
||||||
Roche Holding AG
|
5,605
|
1,604,955
|
||||||
Sonova Holding AG
|
1,166
|
375,222
|
||||||
Zhangzhou Pientzehuang
|
||||||||
Pharmaceutical Co., Ltd. – Class A
|
4,930
|
136,923
|
||||||
9,402,067
|
||||||||
Industrials – 9.6%
|
||||||||
AP Moller – Maersk AS – Class A
|
124
|
224,897
|
||||||
BAE Systems PLC
|
44,147
|
658,502
|
||||||
Dassault Aviation SA
|
2,599
|
492,932
|
||||||
Deutsche Post AG
|
5,120
|
246,336
|
Shares
|
Value
|
|||||||
COMMON STOCKS – 97.4% (Continued)
|
||||||||
Industrials – 9.6% (Continued)
|
||||||||
DSV AS
|
4,049
|
$
|
726,436
|
|||||
FAW Jiefang Group Co., Ltd. – Class A(a)
|
91,400
|
99,935
|
||||||
Ferguson PLC
|
1,464
|
275,027
|
||||||
Getlink SE
|
6,853
|
118,496
|
||||||
Hanwha Aerospace Co., Ltd.
|
2,428
|
251,233
|
||||||
Hyundai Glovis Co., Ltd.
|
1,017
|
133,273
|
||||||
Intertek Group PLC
|
7,157
|
407,518
|
||||||
Jiangxi Special Electric Motor Co., Ltd. – Class A(a)
|
30,696
|
38,650
|
||||||
Korean Air Lines Co., Ltd.
|
7,715
|
130,062
|
||||||
Kuehne + Nagel International AG
|
2,114
|
719,733
|
||||||
Qantas Airways, Ltd.(a)
|
68,143
|
248,562
|
||||||
Recruit Holdings Co., Ltd.
|
13,841
|
557,383
|
||||||
SGS SA
|
4,755
|
441,034
|
||||||
Singapore Airlines, Ltd.
|
63,500
|
316,198
|
||||||
6,086,207
|
||||||||
Materials – 10.4%
|
||||||||
Aluminum Corp. of China, Ltd. – Class H
|
511,227
|
248,487
|
||||||
Aluminum Corp. of China, Ltd. – Class A
|
267,267
|
211,817
|
||||||
BHP Group, Ltd.
|
47,558
|
1,474,849
|
||||||
Brenntag SE
|
2,112
|
187,753
|
||||||
China Coal Energy Co., Ltd. – Class A
|
188,200
|
318,754
|
||||||
Evraz PLC(a)(d)(h)
|
49,526
|
0
|
||||||
Exxaro Resources, Ltd.
|
24,250
|
242,558
|
||||||
Fortescue, Ltd.
|
30,187
|
591,751
|
||||||
Henan Shenhuo Coal & Power Co., Ltd. – Class A
|
45,900
|
106,126
|
||||||
IMCD NV
|
1,484
|
227,733
|
||||||
Kumba Iron Ore, Ltd.
|
15,337
|
453,012
|
||||||
LyondellBasell Industries NV – Class A
|
2,183
|
205,464
|
||||||
Pilbara Minerals, Ltd.
|
121,237
|
282,359
|
||||||
Shaanxi Coal Industry Co., Ltd. – Class A
|
114,717
|
386,355
|
||||||
Shanxi Coal International
|
||||||||
Energy Group Co., Ltd. – Class A
|
67,400
|
158,466
|
||||||
Shanxi Coking Coal Energy Group Co., Ltd. – Class A
|
101,800
|
148,739
|
||||||
Shanxi Lu’an Environmental Energy
|
||||||||
Development Co., Ltd. – Class A
|
83,700
|
276,297
|
||||||
SSAB AB – Class B
|
36,867
|
282,703
|
||||||
Tenaris SA
|
15,712
|
249,859
|
Shares
|
Value
|
|||||||
COMMON STOCKS – 97.4% (Continued)
|
||||||||
Materials – 10.4% (Continued)
|
||||||||
Western Mining Co., Ltd. – Class A
|
59,300
|
$
|
117,451
|
|||||
Whitehaven Coal, Ltd.
|
30,097
|
166,452
|
||||||
Yancoal Australia, Ltd.
|
41,363
|
162,546
|
||||||
Yara International ASA
|
4,005
|
133,053
|
||||||
6,632,584
|
||||||||
Technology – 21.4%
|
||||||||
Accenture PLC – Class A
|
4,322
|
1,572,689
|
||||||
ASML Holding NV
|
2,151
|
1,855,476
|
||||||
Atlassian Corp. – Class A(a)
|
2,769
|
691,613
|
||||||
BE Semiconductor Industries NV
|
2,730
|
412,452
|
||||||
CGI, Inc.(a)
|
2,389
|
267,535
|
||||||
Check Point Software Technologies, Ltd.(a)
|
4,635
|
736,641
|
||||||
Constellation Software, Inc.
|
493
|
1,362,579
|
||||||
eMemory Technology, Inc.
|
3,334
|
298,254
|
||||||
Experian PLC
|
14,696
|
613,854
|
||||||
Infosys, Ltd. – ADR
|
35,761
|
710,213
|
||||||
Lens Technology Co., Ltd. – Class A
|
74,686
|
108,707
|
||||||
Logitech International SA
|
7,367
|
618,591
|
||||||
MediaTek, Inc.
|
12,600
|
388,875
|
||||||
Monday.com, Ltd.(a)(c)
|
520
|
109,221
|
||||||
Nemetschek SE
|
3,083
|
286,600
|
||||||
Nomura Research Institute, Ltd.
|
9,037
|
278,331
|
||||||
NXP Semiconductors NV
|
1,085
|
228,468
|
||||||
RELX PLC
|
30,286
|
1,252,001
|
||||||
Temenos AG
|
3,202
|
327,936
|
||||||
Trend Micro, Inc.(a)
|
3,281
|
189,575
|
||||||
Wolters Kluwer NV
|
6,528
|
962,978
|
||||||
WPG Holdings, Ltd.
|
53,000
|
147,657
|
||||||
Xero, Ltd.(a)
|
2,826
|
205,405
|
||||||
13,625,651
|
||||||||
Utilities – 1.5%
|
||||||||
Centrica PLC
|
313,237
|
549,598
|
||||||
Verbund AG – Class A
|
4,796
|
392,095
|
||||||
941,693
|
||||||||
TOTAL COMMON STOCKS
|
||||||||
(Cost $57,137,174)
|
62,052,626
|
Shares
|
Value
|
|||||||
PREFERRED STOCK – 0.2%
|
||||||||
Materials – 0.2%
|
||||||||
FUCHS SE
|
2,625
|
$
|
115,742
|
|||||
TOTAL PREFERRED STOCK (Cost $108,977)
|
115,742
|
|||||||
WARRANT – 0.0%(e)
|
||||||||
Technology – 0.0%(e)
|
||||||||
Constellation Software, Inc.(a)(d)
|
438
|
0
|
||||||
TOTAL WARRANT (Cost $0)
|
0
|
|||||||
SHORT-TERM INVESTMENT – 1.8%
|
||||||||
Investment Purchased with Proceeds
|
||||||||
from Securities Lending – 1.8%
|
||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.54%(f)
|
1,123,893
|
1,123,893
|
||||||
TOTAL SHORT-TERM INVESTMENT
|
||||||||
(Cost $1,123,893)
|
1,123,893
|
|||||||
Total Investments – 99.4% (Cost $58,370,044)
|
63,292,261
|
|||||||
Money Market Deposit Account – 1.0%(g)
|
608,002
|
|||||||
Liabilities in Excess of Other Assets – (0.4)%
|
(284,552
|
)
|
||||||
TOTAL NET ASSETS – 100.0%
|
$
|
63,615,711
|
(a)
|
Non-income producing security.
|
(b)
|
Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified
institutional investors. As of January 31, 2024, the value of these securities total $1,099,608 or 1.7% of the Fund’s net assets.
|
(c)
|
All or a portion of this security is on loan as of January 31, 2024. The total market value of these securities was $1,076,335 which represented 1.7% of net assets.
|
(d)
|
Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as Valuation Designee. These securities
represented $0 or 0.0% of net assets as of January 31, 2024.
|
(e)
|
Represents less than 0.05% of net assets.
|
(f)
|
The rate shown represents the 7-day effective yield as of January 31, 2024.
|
(g)
|
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on
market conditions and is subject to change daily. The rate as of January 31, 2024 was 5.24%.
|
(h)
|
Restricted security. Security valued using significant unobservable inputs (Level 3).
|
Shares
|
Value
|
|||||||
EXCHANGE-TRADED FUNDS – 99.9%
|
||||||||
iShares 0-5 Year High Yield Corporate Bond ETF(a)
|
64,333
|
$
|
2,729,006
|
|||||
iShares Broad USD High Yield Corporate Bond ETF
|
161,290
|
5,885,472
|
||||||
iShares Fallen Angels USD Bond ETF
|
76,609
|
2,046,992
|
||||||
iShares iBoxx $High Yield Corporate Bond ETF
|
75,111
|
5,819,600
|
||||||
SPDR Bloomberg High Yield Bond ETF
|
65,771
|
6,239,696
|
||||||
SPDR Bloomberg Short-Term High Yield Bond ETF
|
82,596
|
2,083,071
|
||||||
SPDR Portfolio High Yield Bond ETF
|
80,618
|
1,891,298
|
||||||
VanEck Fallen Angel High Yield Bond ETF
|
66,754
|
1,939,871
|
||||||
Xtrackers USD High Yield Corporate Bond ETF
|
81,681
|
2,905,393
|
||||||
TOTAL EXCHANGE-TRADED FUNDS
|
||||||||
(Cost $30,401,982)
|
31,540,399
|
|||||||
SHORT-TERM INVESTMENT – 8.4%
|
||||||||
Investment Purchased with
|
||||||||
Proceeds from Securities Lending – 8.4%
|
||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.54%(b)
|
2,658,546
|
2,658,546
|
||||||
TOTAL SHORT-TERM INVESTMENT
|
||||||||
(Cost $2,658,546)
|
2,658,546
|
|||||||
Total Investments – 108.3% (Cost $33,060,528)
|
34,198,945
|
|||||||
Money Market Deposit Account – 0.2%(c)
|
62,764
|
|||||||
Liabilities in Excess of Other Assets – (8.5)%
|
(2,675,082
|
)
|
||||||
TOTAL NET ASSETS – 100.0%
|
$
|
31,586,627
|
(a)
|
All or a portion of this security is on loan as of January 31, 2024. The total market value of these securities was $2,592,541 which represented 8.2% of net assets.
|
(b)
|
The rate shown represents the 7-day effective yield as of January 31, 2024.
|
(c)
|
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on
market conditions and is subject to change daily. The rate as of January 31, 2024 was 5.24%.
|
Shares
|
Value
|
|||||||
COMMON STOCKS – 99.8%
|
||||||||
Communications – 18.0%
|
||||||||
Alphabet, Inc. – Class A(a)
|
14,875
|
$
|
2,083,988
|
|||||
AppLovin Corp. – Class A(a)
|
4,729
|
194,504
|
||||||
Electronic Arts, Inc.
|
2,436
|
335,145
|
||||||
Expedia Group, Inc.(a)
|
1,635
|
242,520
|
||||||
GoDaddy, Inc. – Class A(a)
|
2,093
|
223,239
|
||||||
Grindr, Inc.(a)
|
6,537
|
56,741
|
||||||
Magnite, Inc.(a)(b)
|
5,156
|
45,631
|
||||||
Match Group, Inc.(a)
|
4,835
|
185,567
|
||||||
Meta Platforms, Inc. – Class A(a)(b)
|
4,272
|
1,666,678
|
||||||
Netflix, Inc.(a)
|
1,353
|
763,241
|
||||||
New York Times Co. – Class A
|
2,664
|
129,364
|
||||||
Pinterest, Inc. – Class A(a)
|
7,109
|
266,374
|
||||||
Trade Desk, Inc. – Class A(a)(b)
|
4,354
|
297,944
|
||||||
VeriSign, Inc.(a)
|
1,162
|
231,099
|
||||||
Yelp, Inc.(a)
|
2,254
|
98,567
|
||||||
6,820,602
|
||||||||
Consumer Discretionary – 0.4%
|
||||||||
Etsy, Inc.(a)(b)
|
2,259
|
150,359
|
||||||
Consumer Staples – 1.6%
|
||||||||
Clorox Co.
|
1,402
|
203,641
|
||||||
Colgate-Palmolive Co.
|
4,585
|
386,057
|
||||||
589,698
|
||||||||
Energy – 0.5%
|
||||||||
Enphase Energy, Inc.(a)
|
1,953
|
203,366
|
||||||
Health Care – 18.2%
|
||||||||
AbbVie, Inc.
|
6,099
|
1,002,676
|
||||||
Agilent Technologies, Inc.
|
2,136
|
277,894
|
||||||
Align Technology, Inc.(a)
|
909
|
242,994
|
||||||
Alkermes PLC(a)
|
3,964
|
107,226
|
||||||
Amgen, Inc.
|
2,118
|
665,603
|
||||||
Bristol-Myers Squibb Co.(b)
|
10,592
|
517,631
|
||||||
Corcept Therapeutics, Inc.(a)
|
3,623
|
76,445
|
||||||
Dynavax Technologies Corp.(a)
|
4,753
|
61,409
|
||||||
Exelixis, Inc.(a)
|
6,381
|
138,851
|
Shares
|
Value
|
|||||||
COMMON STOCKS – 99.8% (Continued)
|
||||||||
Health Care – 18.2% (Continued)
|
||||||||
Gilead Sciences, Inc.
|
6,551
|
$
|
512,681
|
|||||
Halozyme Therapeutics, Inc.(a)
|
2,993
|
101,313
|
||||||
Harmony Biosciences Holdings, Inc.(a)
|
2,166
|
68,316
|
||||||
Ironwood Pharmaceuticals, Inc.(a)
|
5,839
|
82,855
|
||||||
Jazz Pharmaceuticals PLC(a)
|
1,233
|
151,314
|
||||||
Johnson & Johnson
|
5,607
|
890,952
|
||||||
Lantheus Holdings, Inc.(a)(b)
|
1,740
|
90,358
|
||||||
Ligand Pharmaceuticals, Inc.(a)
|
652
|
47,661
|
||||||
Merck & Co., Inc.
|
8,784
|
1,060,931
|
||||||
Neurocrine Biosciences, Inc.(a)
|
1,548
|
216,364
|
||||||
Vertex Pharmaceuticals, Inc.(a)
|
1,400
|
606,732
|
||||||
6,920,206
|
||||||||
Industrials – 2.2%
|
||||||||
3M Co.
|
3,842
|
362,492
|
||||||
A.O. Smith Corp.
|
1,898
|
147,304
|
||||||
Keysight Technologies, Inc.(a)
|
1,635
|
250,580
|
||||||
Legalzoom.com, Inc.(a)
|
7,028
|
72,459
|
||||||
832,835
|
||||||||
Technology – 58.9%(e)
|
||||||||
Adobe, Inc.(a)
|
1,522
|
940,261
|
||||||
Agilysys, Inc.(a)
|
869
|
72,744
|
||||||
Apple, Inc.
|
13,581
|
2,504,336
|
||||||
Applied Materials, Inc.(b)
|
3,694
|
606,924
|
||||||
Atlassian Corp. – Class A(a)
|
1,657
|
413,869
|
||||||
Autodesk, Inc.(a)
|
1,804
|
457,873
|
||||||
Bentley Systems, Inc. – Class B(b)
|
3,926
|
197,870
|
||||||
Box, Inc. – Class A(a)(b)
|
4,299
|
111,688
|
||||||
Broadcom, Inc.
|
1,189
|
1,403,020
|
||||||
Cadence Design Systems, Inc.(a)
|
1,726
|
497,882
|
||||||
Cisco Systems, Inc.
|
15,515
|
778,543
|
||||||
Clear Secure, Inc. – Class A(b)
|
3,365
|
64,036
|
||||||
CommVault Systems, Inc.(a)
|
1,405
|
128,810
|
||||||
Crane NXT Co.
|
1,533
|
89,343
|
||||||
Crowdstrike Holdings, Inc. – Class A(a)(b)
|
1,766
|
516,555
|
||||||
Datadog, Inc. – Class A(a)
|
2,893
|
360,005
|
Shares
|
Value
|
|||||||
COMMON STOCKS – 99.8% (Continued)
|
||||||||
Technology – 58.9%(e) (Continued)
|
||||||||
DocuSign, Inc.(a)
|
3,938
|
$
|
239,903
|
|||||
Dolby Laboratories, Inc. – Class A
|
1,277
|
106,221
|
||||||
Doximity, Inc. – Class A(a)(b)
|
3,527
|
95,053
|
||||||
Dropbox, Inc. – Class A(a)(b)
|
5,529
|
175,159
|
||||||
Dynatrace, Inc.(a)
|
3,866
|
220,362
|
||||||
Extreme Networks, Inc.(a)
|
4,848
|
65,496
|
||||||
F5, Inc.(a)
|
943
|
173,229
|
||||||
Fortinet, Inc.(a)
|
6,766
|
436,339
|
||||||
HP, Inc.
|
8,074
|
231,805
|
||||||
International Business Machines Corp.
|
3,804
|
698,643
|
||||||
Intuit, Inc.
|
1,188
|
750,020
|
||||||
Juniper Networks, Inc.
|
5,337
|
197,256
|
||||||
KLA Corp.(b)
|
761
|
452,064
|
||||||
Lattice Semiconductor Corp.(a)(b)
|
2,598
|
158,114
|
||||||
Manhattan Associates, Inc.(a)
|
934
|
226,551
|
||||||
Microchip Technology, Inc.
|
4,120
|
350,942
|
||||||
Motorola Solutions, Inc.
|
1,119
|
357,521
|
||||||
Nutanix, Inc. – Class A(a)
|
4,272
|
240,086
|
||||||
NVIDIA Corp.
|
3,372
|
2,074,690
|
||||||
Palantir Technologies, Inc. – Class A(a)
|
16,243
|
261,350
|
||||||
Palo Alto Networks, Inc.(a)(b)
|
1,872
|
633,691
|
||||||
Paylocity Holding Corp.(a)(b)
|
980
|
155,242
|
||||||
Pegasystems, Inc.(b)
|
2,288
|
111,517
|
||||||
Progress Software Corp.
|
1,502
|
85,329
|
||||||
PTC, Inc.(a)(b)
|
1,368
|
247,129
|
||||||
Pure Storage, Inc. – Class A(a)
|
5,570
|
222,744
|
||||||
QUALCOMM, Inc.
|
5,050
|
749,976
|
||||||
Qualys, Inc.(a)
|
808
|
152,849
|
||||||
RingCentral, Inc. – Class A(a)(b)
|
3,004
|
101,806
|
||||||
ServiceNow, Inc.(a)
|
931
|
712,587
|
||||||
Skyworks Solutions, Inc.(b)
|
2,132
|
222,709
|
||||||
Smartsheet, Inc. – Class A(a)
|
3,050
|
137,158
|
||||||
Squarespace, Inc. – Class A(a)
|
3,253
|
100,843
|
||||||
Synopsys, Inc.(a)
|
907
|
483,748
|
||||||
Tenable Holdings, Inc.(a)
|
2,895
|
136,355
|
||||||
Teradata Corp.(a)
|
2,580
|
119,144
|
||||||
Veeva Systems, Inc. – Class A(a)
|
1,558
|
323,145
|
Shares
|
Value
|
|||||||
COMMON STOCKS – 99.8% (Continued)
|
||||||||
Technology – 58.9%(e) (Continued)
|
||||||||
Workday, Inc. – Class A(a)
|
1,535
|
$
|
446,792
|
|||||
Zeta Global Holdings Corp. – Class A(a)
|
6,897
|
66,763
|
||||||
Zoom Video Communications, Inc. – Class A(a)
|
3,250
|
209,983
|
||||||
Zscaler, Inc.(a)(b)
|
1,512
|
356,333
|
||||||
22,430,406
|
||||||||
TOTAL COMMON STOCKS
|
||||||||
(Cost $33,912,143)
|
37,947,472
|
|||||||
SHORT-TERM INVESTMENT – 14.9%
|
||||||||
Investment Purchased with
|
||||||||
Proceeds from Securities Lending – 14.9%
|
||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.54%(c)
|
5,657,243
|
5,657,243
|
||||||
TOTAL SHORT-TERM INVESTMENT
|
||||||||
(Cost $5,657,243)
|
5,657,243
|
|||||||
Total Investments – 114.7% (Cost $39,569,386)
|
43,604,715
|
|||||||
Money Market Deposit Account – 0.2%(d)
|
83,503
|
|||||||
Liabilities in Excess of Other Assets – (14.9)%
|
(5,657,777
|
)
|
||||||
TOTAL NET ASSETS – 100.0%
|
$
|
38,030,441
|
(a)
|
Non-income producing security.
|
(b)
|
All or a portion of this security is on loan as of January 31, 2024. The total market value of these securities was $5,418,768 which represented 14.2% of net assets.
|
(c)
|
The rate shown represents the 7-day effective yield as of January 31, 2024.
|
(d)
|
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on
market conditions and is subject to change daily. The rate as of January 31, 2024 was 5.24%.
|
(e)
|
The “Certain Risks” section of the Notes to Financial Statements outlines risks associated with significant investments in a particular industry.
|
Shares
|
Value
|
|||||||
COMMON STOCKS – 72.7%
|
||||||||
Consumer Discretionary – 1.0%
|
||||||||
Scotts Miracle-Gro Co.
|
7,271
|
$
|
409,066
|
|||||
Consumer Staples – 1.7%
|
||||||||
Andersons, Inc.
|
6,246
|
329,227
|
||||||
Cal-Maine Foods, Inc.(a)
|
7,250
|
401,795
|
||||||
731,022
|
||||||||
Energy – 35.2% (d)
|
||||||||
Antero Midstream Corp.
|
31,643
|
387,310
|
||||||
BP PLC – ADR
|
23,358
|
819,866
|
||||||
California Resources Corp.
|
5,188
|
247,364
|
||||||
Chevron Corp.
|
6,945
|
1,023,900
|
||||||
Civitas Resources, Inc.(a)
|
5,934
|
384,583
|
||||||
ConocoPhillips
|
8,073
|
903,127
|
||||||
Coterra Energy, Inc.
|
23,270
|
578,958
|
||||||
Devon Energy Corp.
|
9,653
|
405,619
|
||||||
Diamondback Energy, Inc.
|
4,204
|
646,323
|
||||||
Eni SpA – ADR(a)
|
16,314
|
521,232
|
||||||
Equinor ASA – ADR(a)
|
19,084
|
547,138
|
||||||
Equitrans Midstream Corp.(a)
|
43,517
|
443,438
|
||||||
Exxon Mobil Corp.
|
11,263
|
1,157,948
|
||||||
Kinder Morgan, Inc.
|
39,530
|
668,848
|
||||||
Marathon Oil Corp.
|
19,851
|
453,595
|
||||||
Occidental Petroleum Corp.(a)
|
10,543
|
606,961
|
||||||
ONEOK, Inc.
|
10,044
|
685,503
|
||||||
Petroleo Brasileiro SA – ADR
|
56,724
|
968,279
|
||||||
Pioneer Natural Resources Co.
|
3,052
|
701,441
|
||||||
Shell PLC – ADR
|
17,209
|
1,082,619
|
||||||
TotalEnergies SE – ADR(a)
|
3,662
|
238,689
|
||||||
Williams Cos., Inc.
|
19,062
|
660,689
|
||||||
Woodside Energy Group, Ltd. – ADR(a)
|
36,871
|
769,866
|
||||||
14,903,296
|
||||||||
Industrials – 15.3%
|
||||||||
3M Co.
|
8,357
|
788,483
|
||||||
A.O. Smith Corp.
|
6,733
|
522,548
|
||||||
Allison Transmission Holdings, Inc.
|
6,339
|
383,763
|
||||||
Caterpillar, Inc.
|
2,574
|
772,998
|
Shares
|
Value
|
|||||||
COMMON STOCKS – 72.7% (Continued)
|
||||||||
Industrials – 15.3% (Continued)
|
||||||||
Donaldson Co., Inc.
|
7,081
|
$
|
457,362
|
|||||
Fastenal Co.
|
11,284
|
769,907
|
||||||
Ferguson PLC
|
3,952
|
742,422
|
||||||
Forward Air Corp.
|
4,669
|
206,977
|
||||||
Kennametal, Inc.(a)
|
13,685
|
335,556
|
||||||
MSC Industrial Direct Co., Inc. – Class A(a)
|
4,722
|
465,967
|
||||||
Siemens AG – ADR
|
7,609
|
681,006
|
||||||
Timken Co.
|
3,890
|
318,630
|
||||||
6,445,619
|
||||||||
Materials – 18.7%
|
||||||||
BHP Group, Ltd. – ADR(a)
|
16,557
|
1,013,620
|
||||||
CF Industries Holdings, Inc.
|
7,416
|
559,982
|
||||||
Dow, Inc.
|
14,048
|
752,973
|
||||||
Element Solutions, Inc.
|
17,039
|
378,777
|
||||||
LyondellBasell Industries NV – Class A
|
7,454
|
701,570
|
||||||
Mosaic Co.
|
9,411
|
289,012
|
||||||
NewMarket Corp.(a)
|
778
|
433,976
|
||||||
Olin Corp.
|
8,522
|
443,741
|
||||||
PPG Industries, Inc.
|
3,252
|
458,662
|
||||||
Reliance Steel & Aluminum Co.(a)
|
1,335
|
381,036
|
||||||
Rio Tinto PLC – ADR
|
11,577
|
801,939
|
||||||
RPM International, Inc.
|
3,866
|
412,348
|
||||||
Southern Copper Corp.(a)
|
11,059
|
907,943
|
||||||
Sylvamo Corp.
|
7,176
|
333,182
|
||||||
7,868,761
|
||||||||
Technology – 0.8%
|
||||||||
Crane NXT Co.
|
5,862
|
341,637
|
||||||
TOTAL COMMON STOCKS
|
||||||||
(Cost $30,314,575)
|
30,699,401
|
|||||||
REAL ESTATE INVESTMENT TRUSTS – 12.5%
|
||||||||
Real Estate – 12.5%
|
||||||||
CubeSmart
|
12,733
|
550,320
|
||||||
Equity LifeStyle Properties, Inc.
|
7,269
|
492,039
|
||||||
Gaming and Leisure Properties, Inc.
|
12,119
|
553,232
|
Shares
|
Value
|
|||||||
REAL ESTATE INVESTMENT
|
||||||||
TRUSTS – 12.5% (Continued)
|
||||||||
Real Estate – 12.5% (Continued)
|
||||||||
Innovative Industrial Properties, Inc.(a)
|
4,054
|
$
|
377,954
|
|||||
Lamar Advertising Co. – Class A
|
5,085
|
532,298
|
||||||
Mid-America Apartment Communities, Inc.
|
4,073
|
514,746
|
||||||
Public Storage(a)
|
2,820
|
798,596
|
||||||
Simon Property Group, Inc.
|
6,038
|
836,927
|
||||||
VICI Properties, Inc.
|
19,693
|
593,153
|
||||||
5,249,265
|
||||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS
|
||||||||
(Cost $5,300,480)
|
5,249,265
|
|||||||
MASTER LIMITED PARTNERSHIPS – 12.3%
|
||||||||
Energy – 11.5%
|
||||||||
Energy Transfer, LP
|
56,368
|
806,062
|
||||||
EnLink Midstream, LLC
|
35,038
|
422,558
|
||||||
Enterprise Products Partners, LP
|
28,208
|
754,846
|
||||||
Hess Midstream, LP – Class A(a)
|
9,025
|
305,135
|
||||||
MPLX, LP
|
20,650
|
796,058
|
||||||
NuStar Energy, LP
|
15,458
|
340,076
|
||||||
Plains All American Pipeline, LP
|
33,627
|
519,201
|
||||||
Plains GP Holdings, LP – Class A
|
25,106
|
406,215
|
||||||
Western Midstream Partners, LP(a)
|
18,634
|
535,355
|
||||||
4,885,506
|
||||||||
Materials – 0.8%
|
||||||||
Alliance Resource Partners, LP
|
15,356
|
322,630
|
||||||
TOTAL MASTER LIMITED PARTNERSHIPS
|
||||||||
(Cost $4,481,371)
|
5,208,136
|
|||||||
PREFERRED STOCK – 2.1%
|
||||||||
Energy – 2.1%
|
||||||||
Petroleo Brasileiro SA – ADR
|
55,202
|
905,313
|
||||||
TOTAL PREFERRED STOCK
|
||||||||
(Cost $636,826)
|
905,313
|
Shares
|
Value
|
|||||||
SHORT-TERM INVESTMENT – 20.5%
|
||||||||
Investment Purchased with
|
||||||||
Proceeds from Securities Lending – 20.5%
|
||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.54%(b)
|
8,683,365
|
$
|
8,683,365
|
|||||
TOTAL SHORT-TERM INVESTMENT
|
||||||||
(Cost $8,683,365)
|
8,683,365
|
|||||||
Total Investments – 120.1% (Cost $49,416,617)
|
50,745,480
|
|||||||
Money Market Deposit Account – 0.1%(c)
|
45,671
|
|||||||
Liabilities in Excess of Other Assets – (20.2)%
|
(8,530,760
|
)
|
||||||
TOTAL NET ASSETS – 100.0%
|
$
|
42,260,391
|
(a)
|
All or a portion of this security is on loan as of January 31, 2024. The total market value of these securities was $8,341,193 which represented 19.7% of net assets.
|
(b)
|
The rate shown represents the 7-day effective yield as of January 31, 2024.
|
(c)
|
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on
market conditions and is subject to change daily. The rate as of January 31, 2024 was 5.24%.
|
(d)
|
The “Certain Risks” section of the Notes to Financial Statements outlines risks associated with significant investments in a particular industry.
|
FCF
|
||||||||
FCF US
|
International
|
|||||||
Quality ETF
|
Quality ETF
|
|||||||
ASSETS
|
||||||||
Investments in Securities, at Value* (Including securities on
|
||||||||
loan valued at $32,703,461 and $1,076,335, respectively)
|
$
|
405,374,005
|
$
|
63,292,261
|
||||
Cash – Interest Bearing Deposit Account
|
2,115,651
|
608,002
|
||||||
Cash
|
424
|
1,200
|
||||||
Interest and Dividends Receivable
|
303,385
|
255,909
|
||||||
Securities Lending Income Receivable
|
3,854
|
1,077
|
||||||
Foreign Currency, at Value*
|
—
|
612,363
|
||||||
Receivable for Fund Shares Sold
|
4,314,450
|
—
|
||||||
Total Assets
|
412,111,769
|
64,770,812
|
||||||
LIABILITIES
|
||||||||
Payable for Securities Loaned
|
33,933,545
|
1,123,893
|
||||||
Payable for Investment Securities Purchased
|
4,082,726
|
—
|
||||||
Management Fees Payable
|
176,027
|
31,208
|
||||||
Total Liabilities
|
38,192,298
|
1,155,101
|
||||||
NET ASSETS
|
$
|
373,919,471
|
$
|
63,615,711
|
||||
NET ASSETS CONSIST OF:
|
||||||||
Paid-in Capital
|
$
|
329,325,800
|
$
|
68,586,440
|
||||
Total Distributable Earnings (Deficit)
|
44,593,671
|
(4,970,729
|
)
|
|||||
Net Assets
|
$
|
373,919,471
|
$
|
63,615,711
|
||||
* Identified Cost:
|
||||||||
Investments in Securities
|
$
|
361,458,586
|
$
|
58,370,044
|
||||
Foreign Currency
|
$
|
—
|
$
|
608,053
|
||||
Net Asset Value (unlimited shares authorized):
|
||||||||
Net Assets
|
$
|
373,919,471
|
$
|
63,615,711
|
||||
Shares Outstanding (No Par Value)
|
6,500,000
|
2,200,000
|
||||||
Net Asset Value, Offering and Redemption Price per Share
|
$
|
57.53
|
$
|
28.92
|
Donoghue
|
Donoghue
|
Donoghue
|
||||||||||
Forlines
|
Forlines
|
Forlines
|
||||||||||
Tactical High
|
Innovation
|
Yield Enhanced
|
||||||||||
Yield ETF
|
ETF
|
Real Asset ETF
|
||||||||||
ASSETS
|
||||||||||||
Investments in Securities, at Value*
|
||||||||||||
(Including securities on loan valued at $2,592,541,
|
||||||||||||
$5,418,768, and $8,341,193, respectively)
|
$
|
34,198,945
|
$
|
43,604,715
|
$
|
50,745,480
|
||||||
Cash – Interest Bearing Deposit Account
|
62,764
|
83,503
|
45,671
|
|||||||||
Interest and Dividends Receivable
|
327
|
20,658
|
175,543
|
|||||||||
Securities Lending Income Receivable
|
1,532
|
640
|
1,920
|
|||||||||
Total Assets
|
34,263,568
|
43,709,516
|
50,968,614
|
|||||||||
LIABILITIES
|
||||||||||||
Payable for Securities Loaned
|
2,658,546
|
5,657,243
|
8,683,365
|
|||||||||
Management Fees Payable
|
18,395
|
21,832
|
24,858
|
|||||||||
Total Liabilities
|
2,676,941
|
5,679,075
|
8,708,223
|
|||||||||
NET ASSETS
|
$
|
31,586,627
|
$
|
38,030,441
|
$
|
42,260,391
|
||||||
NET ASSETS CONSIST OF:
|
||||||||||||
Paid-in Capital
|
$
|
38,798,733
|
$
|
42,992,863
|
$
|
39,712,520
|
||||||
Total Distributable Earnings (Deficit)
|
(7,212,106
|
)
|
(4,962,422
|
)
|
2,547,871
|
|||||||
Net Assets
|
$
|
31,586,627
|
$
|
38,030,441
|
$
|
42,260,391
|
||||||
* Identified Cost:
|
||||||||||||
Investments in Securities
|
$
|
33,060,528
|
$
|
39,569,386
|
$
|
49,416,617
|
||||||
Net Asset Value (unlimited shares authorized):
|
||||||||||||
Net Assets
|
$
|
31,586,627
|
$
|
38,030,441
|
$
|
42,260,391
|
||||||
Shares Outstanding (No Par Value)
|
1,500,000
|
1,325,000
|
1,500,000
|
|||||||||
Net Asset Value, Offering and
|
||||||||||||
Redemption Price per Share
|
$
|
21.06
|
$
|
28.70
|
$
|
28.17
|
FCF
|
FCF
|
|||||||
US Quality
|
International
|
|||||||
ETF
|
Quality ETF
|
|||||||
INVESTMENT INCOME
|
||||||||
Income:
|
||||||||
Dividends (net of foreign withholding tax and issuance
|
||||||||
fees of $948 and $54,606, respectively)
|
$
|
1,707,810
|
$
|
567,302
|
||||
Interest
|
33,192
|
10,868
|
||||||
Securities Lending Income
|
109,040
|
5,457
|
||||||
Total Investment Income
|
1,850,042
|
583,627
|
||||||
Expenses:
|
||||||||
Management Fees
|
726,678
|
166,055
|
||||||
Total Expenses
|
726,678
|
166,055
|
||||||
Net Investment Income
|
1,123,364
|
417,572
|
||||||
REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS
|
||||||||
Net Realized Gain (Loss) on:
|
||||||||
Investment Securities
|
(4,359,861
|
)
|
(1,148,234
|
)
|
||||
Redemptions In-Kind
|
14,489,686
|
423,802
|
||||||
Foreign Currencies
|
—
|
(12,544
|
)
|
|||||
Total
|
10,129,825
|
(736,976
|
)
|
|||||
Net Change in Unrealized Appreciation of:
|
||||||||
Investment Securities
|
10,853,350
|
3,231,101
|
||||||
Foreign Currencies
|
—
|
(9,256
|
)
|
|||||
Total
|
10,853,350
|
3,221,845
|
||||||
Net Realized and Unrealized Gain on
|
||||||||
Investments and Foreign Currencies
|
20,983,175
|
2,484,869
|
||||||
NET INCREASE IN NET ASSETS
|
||||||||
RESULTING FROM OPERATIONS
|
$
|
22,106,539
|
$
|
2,902,441
|
Donoghue
|
Donoghue
|
Donoghue
|
||||||||||
Forlines
|
Forlines
|
Forlines Yield
|
||||||||||
Tactical High
|
Innovation
|
Enhanced Real
|
||||||||||
Yield ETF
|
ETF
|
Asset ETF
|
||||||||||
INVESTMENT INCOME
|
||||||||||||
Income:
|
||||||||||||
Dividends (net of foreign withholding tax
|
||||||||||||
and issuance fees of $0, $0, and
|
||||||||||||
$22,736, respectively)
|
$
|
863,696
|
$
|
186,079
|
$
|
868,072
|
||||||
Interest
|
2,534
|
3,619
|
5,227
|
|||||||||
Securities Lending Income
|
26,510
|
74,456
|
10,976
|
|||||||||
Total Investment Income
|
892,740
|
264,154
|
884,275
|
|||||||||
Expenses:
|
||||||||||||
Management Fees
|
109,464
|
134,267
|
154,375
|
|||||||||
Total Expenses
|
109,464
|
134,267
|
154,375
|
|||||||||
Net Investment Income
|
783,276
|
129,887
|
729,900
|
|||||||||
REALIZED & UNREALIZED
|
||||||||||||
GAIN (LOSS) ON INVESTMENTS
|
||||||||||||
Net Realized Gain (Loss) on:
|
||||||||||||
Investment Securities
|
(268,450
|
)
|
139,498
|
1,144,879
|
||||||||
Redemptions In-Kind
|
50,035
|
2,507,644
|
1,687,466
|
|||||||||
Total
|
(218,415
|
)
|
2,647,142
|
2,832,345
|
||||||||
Net Change in Unrealized Appreciation of:
|
||||||||||||
Investment Securities
|
661,090
|
1,061,104
|
(1,848,728
|
)
|
||||||||
Total
|
661,090
|
1,061,104
|
(1,848,728
|
)
|
||||||||
Net Realized and Unrealized Gain on
|
||||||||||||
Investments and Foreign Currencies
|
442,675
|
3,708,246
|
983,617
|
|||||||||
NET INCREASE IN NET ASSETS
|
||||||||||||
RESULTING FROM OPERATIONS
|
$
|
1,225,951
|
$
|
3,838,133
|
$
|
1,713,517
|
Six-Months Ended
|
||||||||
January 31, 2024
|
Year Ended
|
|||||||
(Unaudited)
|
July 31, 2023
|
|||||||
OPERATIONS
|
||||||||
Net Investment Income
|
$
|
1,123,364
|
$
|
1,901,520
|
||||
Net Realized Gain on Investments
|
10,129,825
|
5,326,980
|
||||||
Change in Unrealized Appreciation of Investments
|
10,853,350
|
15,427,580
|
||||||
Net Increase in Net Assets Resulting from Operations
|
22,106,539
|
22,656,080
|
||||||
DISTRIBUTIONS TO SHAREHOLDERS
|
||||||||
Dividends and Distributions
|
(1,059,943
|
)
|
(3,291,427
|
)
|
||||
Total Distributions to Shareholders
|
(1,059,943
|
)
|
(3,291,427
|
)
|
||||
CAPITAL SHARE TRANSACTIONS
|
||||||||
Proceeds from Shares Sold
|
206,859,060
|
82,601,595
|
||||||
Payments for Shares Redeemed
|
(57,843,430
|
)
|
(75,046,645
|
)
|
||||
Net Increase in Net Assets Derived
|
||||||||
from Capital Share Transactions(a)
|
149,015,630
|
7,554,950
|
||||||
Net Increase in Net Assets
|
170,062,226
|
26,919,603
|
||||||
NET ASSETS
|
||||||||
Beginning of Period
|
203,857,245
|
176,937,642
|
||||||
End of Period
|
$
|
373,919,471
|
$
|
203,857,245
|
(a)
|
Summary of capital share transactions is as follows:
|
Shares
|
Shares
|
||||||||
Subscriptions
|
3,775,000
|
1,700,000
|
|||||||
Redemptions
|
(1,050,000
|
)
|
(1,550,000
|
)
|
|||||
Net Increase
|
2,725,000
|
150,000
|
Six-Months Ended
|
||||||||
January 31, 2024
|
Year Ended
|
|||||||
(Unaudited)
|
July 31, 2023
|
|||||||
OPERATIONS
|
||||||||
Net Investment Income
|
$
|
417,572
|
$
|
1,669,207
|
||||
Net Realized Loss on Investments and Foreign Currencies
|
(736,976
|
)
|
(10,949,521
|
)
|
||||
Change in Unrealized Appreciation
|
||||||||
of Investments and Foreign Currencies
|
3,221,845
|
10,656,973
|
||||||
Net Increase in Net Assets
|
||||||||
Resulting from Operations
|
2,902,441
|
1,376,659
|
||||||
DISTRIBUTIONS TO SHAREHOLDERS
|
||||||||
Dividends and Distributions
|
(611,967
|
)
|
(3,175,073
|
)
|
||||
Total Distributions to Shareholders
|
(611,967
|
)
|
(3,175,073
|
)
|
||||
CAPITAL SHARE TRANSACTIONS
|
||||||||
Proceeds from Shares Sold
|
11,666,505
|
25,992,288
|
||||||
Payments for Shares Redeemed
|
(4,166,910
|
)
|
(24,525,520
|
)
|
||||
Transaction Fees (Note 1)
|
—
|
75
|
||||||
Net Increase in Net Assets Derived
|
||||||||
from Capital Share Transactions(a)
|
7,499,595
|
1,466,843
|
||||||
Net Increase (Decrease) in Net Assets
|
9,790,069
|
(331,571
|
)
|
|||||
NET ASSETS
|
||||||||
Beginning of Period
|
53,825,642
|
54,157,213
|
||||||
End of Period
|
$
|
63,615,711
|
$
|
53,825,642
|
(a)
|
Summary of capital share transactions is as follows:
|
Shares
|
Shares
|
||||||||
Subscriptions
|
425,000
|
975,000
|
|||||||
Redemptions
|
(150,000
|
)
|
(900,000
|
)
|
|||||
Net Increase
|
275,000
|
75,000
|
Six-Months Ended
|
||||||||
January 31, 2024
|
Year Ended
|
|||||||
(Unaudited)
|
July 31, 2023
|
|||||||
OPERATIONS
|
||||||||
Net Investment Income
|
$
|
783,276
|
$
|
1,609,013
|
||||
Net Realized Loss on Investments
|
(218,415
|
)
|
(2,353,354
|
)
|
||||
Change in Unrealized Appreciation of Investments
|
661,090
|
(373,696
|
)
|
|||||
Net Increase (Decrease) in Net Assets
|
||||||||
Resulting from Operations
|
1,225,951
|
(1,118,037
|
)
|
|||||
DISTRIBUTIONS TO SHAREHOLDERS
|
||||||||
Dividends and Distributions
|
(941,043
|
)
|
(1,465,990
|
)
|
||||
Total Distributions to Shareholders
|
(941,043
|
)
|
(1,465,990
|
)
|
||||
CAPITAL SHARE TRANSACTIONS
|
||||||||
Proceeds from Shares Sold
|
1,556,888
|
1,037,043
|
||||||
Payments for Shares Redeemed
|
(1,573,780
|
)
|
(14,721,435
|
)
|
||||
Net Decrease in Net Assets Derived
|
||||||||
from Capital Share Transactions(a)
|
(16,892
|
)
|
(13,684,392
|
)
|
||||
Net Increase (Decrease) in Net Assets
|
268,016
|
(16,268,419
|
)
|
|||||
NET ASSETS
|
||||||||
Beginning of Period
|
31,318,611
|
47,587,030
|
||||||
End of Period
|
$
|
31,586,627
|
$
|
31,318,611
|
(a)
|
Summary of capital share transactions is as follows:
|
Shares
|
Shares
|
||||||||
Subscriptions
|
75,000
|
50,000
|
|||||||
Redemptions
|
(75,000
|
)
|
(700,000
|
)
|
|||||
Net Decrease
|
—
|
(650,000
|
)
|
Six-Months Ended
|
||||||||
January 31, 2024
|
Year Ended
|
|||||||
(Unaudited)
|
July 31, 2023
|
|||||||
OPERATIONS
|
||||||||
Net Investment Income
|
$
|
129,887
|
$
|
397,054
|
||||
Net Realized Gain (Loss) on Investments
|
2,647,142
|
(4,602,818
|
)
|
|||||
Change in Unrealized Appreciation of Investments
|
1,061,104
|
7,131,833
|
||||||
Net Increase in Net Assets Resulting from Operations
|
3,838,133
|
2,926,069
|
||||||
DISTRIBUTIONS TO SHAREHOLDERS
|
||||||||
Dividends and Distributions
|
(285,155
|
)
|
(550,240
|
)
|
||||
Total Distributions to Shareholders
|
(285,155
|
)
|
(550,240
|
)
|
||||
CAPITAL SHARE TRANSACTIONS
|
||||||||
Proceeds from Shares Sold
|
8,185,645
|
5,849,725
|
||||||
Payments for Shares Redeemed
|
(13,154,578
|
)
|
(61,732,110
|
)
|
||||
Net Decrease in Net Assets Derived
|
||||||||
from Capital Share Transactions(a)
|
(4,968,933
|
)
|
(55,882,385
|
)
|
||||
Net Decrease in Net Assets
|
(1,415,955
|
)
|
(53,506,556
|
)
|
||||
NET ASSETS
|
||||||||
Beginning of Period
|
39,446,396
|
92,952,952
|
||||||
End of Period
|
$
|
38,030,441
|
$
|
39,446,396
|
(a)
|
Summary of capital share transactions is as follows:
|
Shares
|
Shares
|
||||||||
Subscriptions
|
450,000
|
250,000
|
|||||||
Redemptions
|
(425,000
|
)
|
(2,650,000
|
)
|
|||||
Net Increase (Decrease)
|
25,000
|
(2,400,000
|
)
|
Six-Months Ended
|
||||||||
January 31, 2024
|
Year Ended
|
|||||||
(Unaudited)
|
July 31, 2023
|
|||||||
OPERATIONS
|
||||||||
Net Investment Income
|
$
|
729,900
|
$
|
1,945,136
|
||||
Net Realized Gain on Investments
|
2,832,345
|
99,398
|
||||||
Change in Unrealized Appreciation (Depreciation)
|
||||||||
of Investments
|
(1,848,728
|
)
|
4,330,407
|
|||||
Net Increase in Net Assets Resulting from Operations
|
1,713,517
|
6,374,941
|
||||||
DISTRIBUTIONS TO SHAREHOLDERS
|
||||||||
Dividends and Distributions
|
(1,353,963
|
)
|
(3,715,143
|
)
|
||||
Total Distributions to Shareholders
|
(1,353,963
|
)
|
(3,715,143
|
)
|
||||
CAPITAL SHARE TRANSACTIONS
|
||||||||
Proceeds from Shares Sold
|
12,125,630
|
27,581,670
|
||||||
Payments for Shares Redeemed
|
(12,072,405
|
)
|
(23,251,110
|
)
|
||||
Net Increase in Net Assets Derived
|
||||||||
from Capital Share Transactions(a)
|
53,225
|
4,330,560
|
||||||
Net Increase in Net Assets
|
412,779
|
6,990,358
|
||||||
NET ASSETS
|
||||||||
Beginning of Period
|
41,847,612
|
34,857,254
|
||||||
End of Period
|
$
|
42,260,391
|
$
|
41,847,612
|
(a)
|
Summary of capital share transactions is as follows:
|
Shares
|
Shares
|
||||||||
Subscriptions
|
450,000
|
1,050,000
|
|||||||
Redemptions
|
(425,000
|
)
|
(900,000
|
)
|
|||||
Net Increase
|
25,000
|
150,000
|
Six-Months
|
||||||||||||||||||||||||
Ended
|
Year
|
Year
|
Year
|
Year
|
Year
|
|||||||||||||||||||
January 31,
|
Ended
|
Ended
|
Ended
|
Ended
|
Ended
|
|||||||||||||||||||
2024
|
July 31,
|
July 31,
|
July 31,
|
July 31,
|
July 31,
|
|||||||||||||||||||
(Unaudited)
|
2023
|
2022
|
2021
|
2020
|
2019
|
|||||||||||||||||||
Net Asset Value,
|
||||||||||||||||||||||||
Beginning of Period/Year
|
$
|
54.00
|
$
|
48.81
|
$
|
55.12
|
$
|
39.92
|
$
|
37.59
|
$
|
36.41
|
||||||||||||
Income from
|
||||||||||||||||||||||||
Investment Operations:
|
||||||||||||||||||||||||
Net Investment Income(a)
|
0.25
|
0.53
|
0.60
|
0.28
|
0.25
|
0.30
|
||||||||||||||||||
Net Realized and Unrealized
|
||||||||||||||||||||||||
Gain (Loss) on Investments
|
3.50
|
5.61
|
(1.59
|
)
|
15.11
|
2.36
|
1.07
|
|||||||||||||||||
Total from
|
||||||||||||||||||||||||
Investment Operations
|
3.75
|
6.14
|
(0.99
|
)
|
15.39
|
2.61
|
1.37
|
|||||||||||||||||
Less Distributions:
|
||||||||||||||||||||||||
From Net Investment Income
|
(0.22
|
)
|
(0.52
|
)
|
(0.47
|
)
|
(0.19
|
)
|
(0.28
|
)
|
(0.19
|
)
|
||||||||||||
From Net Realized
|
||||||||||||||||||||||||
Gain on Investments
|
—
|
(0.43
|
)
|
(4.85
|
)
|
—
|
—
|
—
|
||||||||||||||||
Total Distributions
|
(0.22
|
)
|
(0.95
|
)
|
(5.32
|
)
|
(0.19
|
)
|
(0.28
|
)
|
(0.19
|
)
|
||||||||||||
Net Asset Value,
|
||||||||||||||||||||||||
End of Period/Year
|
$
|
57.53
|
$
|
54.00
|
$
|
48.81
|
$
|
55.12
|
$
|
39.92
|
$
|
37.59
|
||||||||||||
Total Return
|
6.96
|
%(b)
|
12.87
|
%
|
-2.92
|
%(e)
|
38.64
|
%
|
6.97
|
%
|
3.89
|
%
|
||||||||||||
Supplemental Data:
|
||||||||||||||||||||||||
Net Assets at End
|
||||||||||||||||||||||||
of Period/Year (000’s)
|
$
|
373,919
|
$
|
203,857
|
$
|
176,938
|
$
|
203,949
|
$
|
108,791
|
$
|
124,056
|
||||||||||||
Ratios to Average Net Assets:
|
||||||||||||||||||||||||
Expenses to Average Net Assets
|
0.59
|
%(c)
|
0.59
|
%
|
0.59
|
%
|
0.59
|
%
|
0.59
|
%
|
0.59
|
%
|
||||||||||||
Net Investment Income
|
||||||||||||||||||||||||
to Average Net Assets
|
0.91
|
%(c)
|
1.09
|
%
|
1.15
|
%
|
0.61
|
%
|
0.68
|
%
|
0.84
|
%
|
||||||||||||
Portfolio Turnover Rate(d)
|
25
|
%(b)
|
39
|
%
|
51
|
%
|
98
|
%
|
83
|
%
|
49
|
%
|
(a)
|
Calculated based on average shares outstanding during the year.
|
(b)
|
Not annualized.
|
(c)
|
Annualized.
|
(d)
|
Excludes impact of in-kind transactions.
|
(e)
|
During the fiscal year ended July 31, 2022, the Advisor reimbursed the Fund for certain losses. Had the Fund not been reimbursed for these losses the total return would have remained at -2.92%.
|
Six-Months
|
||||||||||||||||||||||||
Ended
|
Year
|
Year
|
Year
|
Year
|
Year
|
|||||||||||||||||||
January 31,
|
Ended
|
Ended
|
Ended
|
Ended
|
Ended
|
|||||||||||||||||||
2024
|
July 31,
|
July 31,
|
July 31,
|
July 31,
|
July 31,
|
|||||||||||||||||||
(Unaudited)
|
2023
|
2022
|
2021
|
2020
|
2019
|
|||||||||||||||||||
Net Asset Value,
|
||||||||||||||||||||||||
Beginning of Period/Year
|
$
|
27.96
|
$
|
29.27
|
$
|
36.38
|
$
|
26.16
|
$
|
26.02
|
$
|
26.93
|
||||||||||||
Income from
|
||||||||||||||||||||||||
Investment Operations:
|
||||||||||||||||||||||||
Net Investment Income(a)
|
0.20
|
1.02
|
1.12
|
0.44
|
0.25
|
0.37
|
||||||||||||||||||
Net Realized and Unrealized
|
||||||||||||||||||||||||
Gain (Loss) on Investments
|
1.06
|
0.43
|
(e)
|
(7.50
|
)
|
9.98
|
0.40
|
(1.08
|
)
|
|||||||||||||||
Total from
|
||||||||||||||||||||||||
Investment Operations
|
1.26
|
1.45
|
(6.38
|
)
|
10.42
|
0.65
|
(0.71
|
)
|
||||||||||||||||
Less Distributions:
|
||||||||||||||||||||||||
From Net Investment Income
|
(0.30
|
)
|
(2.76
|
)
|
(0.31
|
)
|
(0.20
|
)
|
(0.51
|
)
|
(0.20
|
)
|
||||||||||||
From Net Realized
|
||||||||||||||||||||||||
Gain on Investments
|
—
|
—
|
(0.42
|
)
|
—
|
—
|
—
|
|||||||||||||||||
Total Distributions
|
(0.30
|
)
|
(2.76
|
)
|
(0.73
|
)
|
(0.20
|
)
|
(0.51
|
)
|
(0.20
|
)
|
||||||||||||
Capital Share Transactions
|
||||||||||||||||||||||||
Transaction Fees (Note 1)
|
—
|
0.00
|
(f)
|
—
|
—
|
—
|
—
|
|||||||||||||||||
Net Asset Value,
|
||||||||||||||||||||||||
End of Period/Year
|
$
|
28.92
|
$
|
27.96
|
$
|
29.27
|
$
|
36.38
|
$
|
26.16
|
$
|
26.02
|
||||||||||||
Total Return
|
4.55
|
%(b)
|
6.02
|
%
|
-17.93
|
%
|
39.96
|
%
|
2.42
|
%
|
-2.47
|
%
|
||||||||||||
Supplemental Data:
|
||||||||||||||||||||||||
Net Assets at End
|
||||||||||||||||||||||||
of Period/Year (000’s)
|
$
|
63,616
|
$
|
53,826
|
$
|
54,157
|
$
|
59,114
|
$
|
11,116
|
$
|
12,361
|
||||||||||||
Ratios to Average Net Assets:
|
||||||||||||||||||||||||
Expenses to Average Net Assets
|
0.59
|
%(c)
|
0.59
|
%
|
0.59
|
%
|
0.59
|
%
|
0.59
|
%
|
0.59
|
%
|
||||||||||||
Net Investment Income
|
||||||||||||||||||||||||
to Average Net Assets
|
1.48
|
%(c)
|
3.79
|
%
|
3.32
|
%
|
1.32
|
%
|
1.00
|
%
|
1.48
|
%
|
||||||||||||
Portfolio Turnover Rate(d)
|
22
|
%(b)
|
62
|
%
|
42
|
%
|
87
|
%
|
45
|
%
|
43
|
%
|
(a)
|
Calculated based on average shares outstanding during the year.
|
(b)
|
Not annualized.
|
(c)
|
Annualized.
|
(d)
|
Excludes impact of in-kind transactions.
|
(e)
|
As required by the SEC standard per share data calculation methodology, this represents a balancing figure derived from the other amounts in the financial highlights tables that captures all
other changes affecting net asset value per share. This per share gain amount does not correlate to the aggregate of the net realized and unrealized loss in the Statements of Operations for the year ended July 31, 2023, primarily due to the
timing of sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund’s portfolio.
|
(f)
|
Amount represents less than $0.005 per share.
|
Six Months
|
||||||||||||||||
Ended
|
Year
|
Year
|
Period
|
|||||||||||||
January 31,
|
Ended
|
Ended
|
Ended
|
|||||||||||||
2024
|
July 31,
|
July 31,
|
July 31,
|
|||||||||||||
(Unaudited)
|
2023
|
2022
|
2021(a)
|
|||||||||||||
Net Asset Value, Beginning of Period/Year
|
$
|
20.88
|
$
|
22.13
|
$
|
25.23
|
$
|
25.00
|
||||||||
Income from Investment Operations:
|
||||||||||||||||
Net Investment Income(b)
|
0.51
|
0.93
|
0.61
|
0.57
|
||||||||||||
Net Realized and Unrealized
|
||||||||||||||||
Gain (Loss) on Investments
|
0.28
|
(1.33
|
)
|
(3.08
|
)
|
0.15
|
||||||||||
Total from Investment Operations
|
0.79
|
(0.40
|
)
|
(2.47
|
)
|
0.72
|
||||||||||
Less Distributions:
|
||||||||||||||||
From Net Investment Income
|
(0.61
|
)
|
(0.85
|
)
|
(0.63
|
)
|
(0.49
|
)
|
||||||||
Total Distributions
|
(0.61
|
)
|
(0.85
|
)
|
(0.63
|
)
|
(0.49
|
)
|
||||||||
Net Asset Value, End of Period/Year
|
$
|
21.06
|
$
|
20.88
|
$
|
22.13
|
$
|
25.23
|
||||||||
Total Return
|
3.88
|
%(c)
|
-1.73
|
%
|
-9.96
|
%
|
2.92
|
%(c)
|
||||||||
Supplemental Data:
|
||||||||||||||||
Net Assets at End of Period/Year (000’s)
|
$
|
31,587
|
$
|
31,319
|
$
|
47,587
|
$
|
88,952
|
||||||||
Ratios to Average Net Assets(f):
|
||||||||||||||||
Expenses to Average Net Assets
|
0.69
|
%(d)
|
0.69
|
%
|
0.69
|
%
|
0.69
|
%(d)
|
||||||||
Net Investment Income to Average Net Assets
|
4.94
|
%(d)
|
4.44
|
%
|
2.52
|
%
|
3.54
|
%(d)
|
||||||||
Portfolio Turnover Rate(e)
|
337
|
%(c)
|
792
|
%
|
1029
|
%
|
327
|
%(c)
|
(a)
|
Commencement of operations on December 7, 2020.
|
(b)
|
Calculated based on average shares outstanding during the period.
|
(c)
|
Not annualized.
|
(d)
|
Annualized.
|
(e)
|
Excludes impact of in-kind transactions.
|
(f)
|
Income and expense ratios presented do not reflect the income and expenses of underlying funds.
|
Six Months
|
||||||||||||||||
Ended
|
Year
|
Year
|
Period
|
|||||||||||||
January 31,
|
Ended
|
Ended
|
Ended
|
|||||||||||||
2024
|
July 31,
|
July 31,
|
July 31,
|
|||||||||||||
(Unaudited)
|
2023
|
2022
|
2021(a)
|
|||||||||||||
Net Asset Value, Beginning of Period/Year
|
$
|
26.74
|
$
|
23.99
|
$
|
29.61
|
$
|
25.00
|
||||||||
Income from Investment Operations:
|
||||||||||||||||
Net Investment Income(b)
|
0.09
|
0.17
|
0.12
|
0.02
|
||||||||||||
Net Realized and Unrealized
|
||||||||||||||||
Gain (Loss) on Investments
|
2.09
|
2.85
|
(4.34
|
)
|
4.60
|
|||||||||||
Total from Investment Operations
|
2.18
|
3.02
|
(4.22
|
)
|
4.62
|
|||||||||||
Less Distributions:
|
||||||||||||||||
From Net Investment Income
|
(0.22
|
)
|
(0.27
|
)
|
(0.05
|
)
|
(0.01
|
)
|
||||||||
From Net Realized Gain on Investments
|
—
|
—
|
(1.35
|
)
|
—
|
|||||||||||
Total Distributions
|
(0.22
|
)
|
(0.27
|
)
|
(1.40
|
)
|
(0.01
|
)
|
||||||||
Net Asset Value, End of Period/Year
|
$
|
28.70
|
$
|
26.74
|
$
|
23.99
|
$
|
29.61
|
||||||||
Total Return
|
8.15
|
%(c)
|
12.84
|
%
|
-15.16
|
%
|
18.48
|
%(c)
|
||||||||
Supplemental Data:
|
||||||||||||||||
Net Assets at End of Period/Year (000’s)
|
$
|
38,030
|
$
|
39,446
|
$
|
92,953
|
$
|
87,362
|
||||||||
Ratios to Average Net Assets:
|
||||||||||||||||
Expenses to Average Net Assets
|
0.69
|
%(d)
|
0.69
|
%
|
0.69
|
%
|
0.69
|
%(d)
|
||||||||
Net Investment Income to Average Net Assets
|
0.67
|
%(d)
|
0.72
|
%
|
0.45
|
%
|
0.11
|
%(d)
|
||||||||
Portfolio Turnover Rate(e)
|
51
|
%(c)
|
161
|
%
|
82
|
%
|
40
|
%(c)
|
(a)
|
Commencement of operations on December 7, 2020.
|
(b)
|
Calculated based on average shares outstanding during the period.
|
(c)
|
Not annualized.
|
(d)
|
Annualized.
|
(e)
|
Excludes impact of in-kind transactions.
|
Six Months
|
||||||||||||
Ended
|
||||||||||||
January 31,
|
||||||||||||
2024
|
Year Ended
|
Period Ended
|
||||||||||
(Unaudited)
|
July 31, 2023
|
July 31, 2022(a)
|
||||||||||
Net Asset Value, Beginning of Period/Year
|
$
|
28.37
|
$
|
26.31
|
$
|
25.00
|
||||||
Income from Investment Operations:
|
||||||||||||
Net Investment Income(b)
|
0.45
|
1.21
|
0.63
|
|||||||||
Net Realized and Unrealized
|
||||||||||||
Gain on Investments
|
0.19
|
3.10
|
1.11
|
(f)
|
||||||||
Total from Investment Operations
|
0.64
|
4.31
|
1.74
|
|||||||||
Less Distributions:
|
||||||||||||
From Net Investment Income
|
(0.84
|
)
|
(1.50
|
)
|
(0.43
|
)
|
||||||
From Net Realized Gain on Investments
|
—
|
(0.75
|
)
|
—
|
||||||||
Total Distributions
|
(0.84
|
)
|
(2.25
|
)
|
(0.43
|
)
|
||||||
Net Asset Value, End of Period/Year
|
$
|
28.17
|
$
|
28.37
|
$
|
26.31
|
||||||
Total Return
|
2.37
|
%(c)
|
17.62
|
%
|
6.88
|
%(c)
|
||||||
Supplemental Data:
|
||||||||||||
Net Assets at End of Period/Year (000’s)
|
$
|
42,260
|
$
|
41,848
|
$
|
34,857
|
||||||
Ratios to Average Net Assets:
|
||||||||||||
Expenses to Average Net Assets
|
0.69
|
%(d)
|
0.69
|
%
|
0.69
|
%(d)
|
||||||
Net Investment Income to Average Net Assets
|
3.26
|
%(d)
|
4.62
|
%
|
3.79
|
%(d)
|
||||||
Portfolio Turnover Rate(e)
|
42
|
%(c)
|
90
|
%
|
48
|
%(c)
|
(a)
|
Commencement of operations on December 13, 2021.
|
(b)
|
Calculated based on average shares outstanding during the period.
|
(c)
|
Not annualized.
|
(d)
|
Annualized.
|
(e)
|
Excludes impact of in-kind transactions.
|
(f)
|
As required by the SEC standard per share data calculation methodology, this represents a balancing figure derived from the other amounts in the financial highlights tables that captures all
other changes affecting net asset value per share. This per share gain amount does not correlate to the aggregate of the net realized and unrealized loss in the Statements of Operations for the period ended July 31, 2022, primarily due to
the timing of sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund’s portfolio.
|
Distributable Earnings
|
Paid-In
|
||||||||
(Accumulated Deficit)
|
Capital
|
||||||||
FCF US Quality ETF
|
$
|
(13,063,652
|
)
|
$
|
13,063,652
|
||||
FCF International Quality ETF
|
$
|
2,980,591
|
$
|
(2,980,591
|
)
|
||||
Donoghue Forlines Tactical High Yield ETF
|
$
|
255,160
|
$
|
(255,160
|
)
|
||||
Donoghue Forlines Innovation ETF
|
$
|
(3,240,523
|
)
|
$
|
3,240,523
|
||||
Donoghue Forlines Yield Enhanced Real Asset ETF
|
$
|
(1,314,387
|
)
|
$
|
1,314,387
|
Gains (Losses) from
|
||||
In-Kind Redemptions
|
||||
FCF US Quality ETF
|
$
|
14,705,263
|
||
FCF International Quality ETF
|
$
|
(2,612,891
|
)
|
|
Donoghue Forlines Tactical High Yield ETF
|
$
|
(174,744
|
)
|
|
Donoghue Forlines Innovation ETF
|
$
|
3,377,683
|
||
Donoghue Forlines Yield Enhanced Real Asset ETF
|
$
|
1,491,423
|
Level 1 —
|
Unadjusted quoted prices in active markets for identical assets or liabilities.
|
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 securities, 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 Fund’s 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.
|
FCF US Quality ETF
|
||||||||||||||||||||
Description^
|
Non-Categorized
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||||
Common Stocks
|
$
|
—
|
$
|
371,440,460
|
$
|
—
|
$
|
—
|
$
|
371,440,460
|
||||||||||
Investment Purchased
|
||||||||||||||||||||
with Proceeds from
|
||||||||||||||||||||
Securities Lending*
|
33,933,545
|
—
|
—
|
—
|
33,933,545
|
|||||||||||||||
Total Investments
|
$
|
33,933,545
|
$
|
371,440,460
|
$
|
—
|
$
|
—
|
$
|
405,374,005
|
||||||||||
FCF International Quality ETF
|
||||||||||||||||||||
Description^
|
Non-Categorized
|
Level 1
|
Level 2
|
Level 3**
|
Total
|
|||||||||||||||
Common Stocks
|
$
|
—
|
$
|
62,052,626
|
$
|
—
|
$
|
—
|
$
|
62,052,626
|
||||||||||
Preferred Stock
|
—
|
115,742
|
—
|
—
|
115,742
|
|||||||||||||||
Warrant
|
—
|
—
|
—
|
—
|
—
|
|||||||||||||||
Investment Purchased
|
||||||||||||||||||||
with Proceeds from
|
||||||||||||||||||||
Securities Lending*
|
1,123,893
|
—
|
—
|
—
|
1,123,893
|
|||||||||||||||
Total Investments
|
$
|
1,123,893
|
$
|
62,168,368
|
$
|
—
|
$
|
—
|
$
|
63,292,261
|
Donoghue Forlines Tactical High Yield ETF
|
||||||||||||||||||||
Description^
|
Non-Categorized
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||||
Exchange-Traded Funds
|
$
|
—
|
$
|
31,540,399
|
$
|
—
|
$
|
—
|
$
|
31,540,399
|
||||||||||
Investment Purchased
|
||||||||||||||||||||
with Proceeds from
|
||||||||||||||||||||
Securities Lending*
|
2,658,546
|
—
|
—
|
—
|
2,658,546
|
|||||||||||||||
Total Investments
|
$
|
2,658,546
|
$
|
31,540,399
|
$
|
—
|
$
|
—
|
$
|
34,198,945
|
||||||||||
Donoghue Forlines Innovation ETF
|
||||||||||||||||||||
Description^
|
Non-Categorized
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||||
Common Stocks
|
$
|
—
|
$
|
37,947,472
|
$
|
—
|
$
|
—
|
$
|
37,947,472
|
||||||||||
Investment Purchased
|
||||||||||||||||||||
with Proceeds from
|
||||||||||||||||||||
Securities Lending*
|
5,657,243
|
—
|
—
|
—
|
5,657,243
|
|||||||||||||||
Total Investments
|
$
|
5,657,243
|
$
|
37,947,472
|
$
|
—
|
$
|
—
|
$
|
43,604,715
|
||||||||||
Donoghue Forlines Yield Enhanced Real Asset ETF
|
||||||||||||||||||||
Description^
|
Non-Categorized
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||||
Common Stocks
|
$
|
—
|
$
|
30,699,401
|
$
|
—
|
$
|
—
|
$
|
30,699,401
|
||||||||||
Real Estate
|
||||||||||||||||||||
Investment Trusts
|
—
|
5,249,265
|
—
|
—
|
5,249,265
|
|||||||||||||||
Master Limited
|
||||||||||||||||||||
Partnerships
|
—
|
5,208,136
|
—
|
—
|
5,208,136
|
|||||||||||||||
Preferred Stock
|
—
|
905,313
|
—
|
—
|
905,313
|
|||||||||||||||
Investment Purchased
|
||||||||||||||||||||
with Proceeds from
|
||||||||||||||||||||
Securities Lending*
|
8,683,365
|
—
|
—
|
—
|
8,683,365
|
|||||||||||||||
Total Investments
|
$
|
8,683,365
|
$
|
42,062,115
|
$
|
—
|
$
|
—
|
$
|
50,745,480
|
^
|
See Schedule of Investments for sector breakouts.
|
*
|
Certain investments that are measured at fair value using the NAV per share (or its equivalent) as a practical expedient have not been characterized in the fair value hierarchy. The fair value
amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amount presented in the Statements of Assets and Liabilities. See Note 8 for additional information regarding securities lending.
|
**
|
See notes under TTAI’s Level 3 reconciliation table for more information regarding Level 3 priced securities.
|
Equities
|
Warrants
|
Total
|
||||||||||
Balance as of July 31, 2023
|
$
|
51,413
|
$
|
—
|
$
|
51,413
|
||||||
Corporate actions
|
—
|
—
|
*
|
—
|
||||||||
Change in unrealized
|
||||||||||||
appreciation/(depreciation)
|
(51,413
|
)**
|
—
|
(51,413
|
)
|
|||||||
Balance as of January 31, 2024
|
$
|
—
|
$
|
—
|
$
|
—
|
||||||
Change in unrealized appreciation/(depreciation)
|
||||||||||||
during the period for Level 3 investments
|
||||||||||||
held at January 31, 2024
|
$
|
(51,413
|
)
|
*
|
Security valued at fair value using methods determined in good faith by or at the direction of the Fund’s valuation designee. Value determined using significant unobservable inputs. At January
31, 2024, the fair value of this security represented less than 0.05% of net assets.
|
**
|
Russia’s invasion of Ukraine has led to unprecedented market and policy responses of governments and regulators around the world. There is no functioning or orderly market to facilitate the
liquidation of any security impacted by Russia-related sanctions. As a result, the fair value of the Russia-related sanctioned security held by the Fund has been reduced to zero.
|
Fund
|
Purchases
|
Sales
|
||||||
FCF US Quality ETF
|
$
|
91,867,359
|
$
|
63,102,730
|
||||
FCF International Quality ETF
|
$
|
12,817,661
|
$
|
11,979,270
|
||||
Donoghue Forlines Tactical High Yield ETF
|
$
|
106,177,676
|
$
|
106,314,959
|
||||
Donoghue Forlines Innovation ETF
|
$
|
19,301,848
|
$
|
19,370,204
|
||||
Donoghue Forlines Yield Enhanced Real Asset ETF
|
$
|
18,329,496
|
$
|
18,386,689
|
Fund
|
Purchases
|
Sales
|
||||||
FCF US Quality ETF
|
$
|
175,209,070
|
$
|
56,231,431
|
||||
FCF International Quality ETF
|
$
|
10,225,743
|
$
|
3,926,685
|
||||
Donoghue Forlines Tactical High Yield ETF
|
$
|
1,551,357
|
$
|
1,565,182
|
||||
Donoghue Forlines Innovation ETF
|
$
|
8,061,633
|
$
|
13,116,681
|
||||
Donoghue Forlines Yield Enhanced Real Asset ETF
|
$
|
11,983,506
|
$
|
11,894,178
|
FCF US
|
FCF International
|
|||||||
Quality ETF
|
Quality ETF
|
|||||||
Tax cost of investments
|
$
|
193,939,449
|
$
|
53,664,202
|
||||
Gross tax unrealized appreciation
|
37,388,644
|
4,667,428
|
||||||
Gross tax unrealized depreciation
|
(7,067,568
|
)
|
(3,299,004
|
)
|
||||
Net tax unrealized appreciation (depreciation)
|
30,321,076
|
1,368,424
|
||||||
Undistributed ordinary income
|
225,025
|
181,998
|
||||||
Undistributed long-term capital gains
|
—
|
—
|
||||||
Distributable earnings
|
225,025
|
181,998
|
||||||
Other accumulated gain (loss)
|
(6,999,026
|
)
|
(8,811,625
|
)
|
||||
Total distributable earnings (accumulated deficit)
|
$
|
23,547,075
|
$
|
(7,261,203
|
)
|
Donoghue
|
Donoghue
|
|||||||||||
Forlines
|
Donoghue
|
Forlines
|
||||||||||
Tactical High
|
Forlines
|
Yield Enhanced
|
||||||||||
Yield ETF
|
Innovation ETF
|
Real Asset ETF
|
||||||||||
Tax cost of investments
|
$
|
36,719,276
|
$
|
47,397,232
|
$
|
50,204,129
|
||||||
Gross tax unrealized appreciation
|
477,327
|
5,045,414
|
4,222,967
|
|||||||||
Gross tax unrealized depreciation
|
(415,808
|
)
|
(2,157,985
|
)
|
(915,057
|
)
|
||||||
Net tax unrealized
|
||||||||||||
appreciation (depreciation)
|
61,519
|
2,887,429
|
3,307,910
|
|||||||||
Undistributed ordinary income
|
153,524
|
163,252
|
729,886
|
|||||||||
Undistributed long-term capital gains
|
—
|
—
|
—
|
|||||||||
Distributable earnings
|
153,524
|
163,252
|
729,886
|
|||||||||
Other accumulated gain (loss)
|
(7,712,057
|
)
|
(11,566,081
|
)
|
1,849,479
|
|||||||
Total distributable earnings
|
||||||||||||
(accumulated deficit)
|
$
|
(7,497,014
|
)
|
$
|
(8,515,400
|
)
|
$
|
2,188,317
|
Fund
|
Short-Term
|
Long-Term
|
Expires
|
FCF US Quality ETF
|
$3,971,828
|
$3,027,198
|
Indefinite
|
FCF International Quality ETF
|
$3,782,208
|
$5,042,983
|
Indefinite
|
Donoghue Forlines Tactical High Yield ETF
|
$7,368,259
|
$ 343,798
|
Indefinite
|
Donoghue Forlines Innovation ETF
|
$9,485,281
|
$2,080,800
|
Indefinite
|
Donoghue Forlines Yield Enhanced
|
|||
Real Asset ETF
|
$1,059,964
|
$ 522,853
|
Indefinite
|
Ordinary Income
|
Capital Gains
|
|||||||||||||||
July 31, 2023
|
July 31, 2022
|
July 31, 2023
|
July 31, 2022
|
|||||||||||||
FCF US Quality ETF
|
$
|
1,880,588
|
$
|
5,304,037
|
$
|
1,410,839
|
$
|
14,377,867
|
||||||||
FCF International Quality ETF
|
$
|
3,175,073
|
$
|
778,251
|
$
|
—
|
$
|
927,184
|
||||||||
Donoghue Forlines Tactical
|
||||||||||||||||
High Yield ETF
|
$
|
1,465,990
|
$
|
1,832,922
|
$
|
—
|
$
|
—
|
||||||||
Donoghue Forlines
|
||||||||||||||||
Innovation ETF
|
$
|
550,240
|
$
|
3,938,297
|
$
|
—
|
$
|
126,720
|
||||||||
Donoghue Forlines Yield
|
||||||||||||||||
Enhanced Real Asset ETF
|
$
|
3,660,884
|
$
|
1,150,709
|
$
|
54,259
|
$
|
—
|
Amount Held at
|
||||
January 31, 2024
|
||||
FCF US Quality ETF
|
$
|
33,933,545
|
||
FCF International Quality ETF
|
$
|
1,123,893
|
||
Donoghue Forlines Tactical High Yield ETF
|
$
|
2,658,546
|
||
Donoghue Forlines Innovation ETF
|
$
|
5,657,243
|
||
Donoghue Forlines Yield Enhanced Real Asset ETF
|
$
|
8,683,365
|
FCF US Quality ETF
|
100.00%
|
FCF International Quality ETF
|
100.00%
|
Donoghue Forlines Tactical High Yield ETF
|
0.00%
|
Donoghue Forlines Innovation ETF
|
63.59%
|
Donoghue Forlines Yield Enhanced Real Asset ETF
|
65.60%
|
FCF US Quality ETF
|
100.00%
|
FCF International Quality ETF
|
0.69%
|
Donoghue Forlines Tactical High Yield ETF
|
0.00%
|
Donoghue Forlines Innovation ETF
|
59.11%
|
Donoghue Forlines Yield Enhanced Real Asset ETF
|
24.83%
|
FCF US Quality ETF
|
0.00%
|
FCF International Quality ETF
|
0.00%
|
Donoghue Forlines Tactical High Yield ETF
|
0.00%
|
Donoghue Forlines Innovation ETF
|
0.00%
|
Donoghue Forlines Yield Enhanced Real Asset ETF
|
40.76%
|
Term of
|
Number of
|
||||
Office
|
Portfolios
|
Other
|
|||
and
|
Principal
|
in Fund
|
Directorships
|
||
Position(s)
|
Length
|
Occupation
|
Complex
|
Held by Trustee
|
|
Name, Year
|
Held with
|
of Time
|
During Past
|
Overseen
|
During Past
|
of Birth
|
the Trust
|
Served
|
Five Years
|
by Trustee
|
Five Years
|
Independent Trustees
|
|||||
Stephen J. Posner
|
Trustee
|
Since
|
Retired Since
|
5
|
Director, TrimTabs
|
YOB: 1944
|
2014
|
2014
|
Investment Research
|
||
(2016-2017)**
|
|||||
David A. Kelly
|
Trustee
|
Since
|
Founder and
|
5
|
None
|
YOB: 1938
|
2015
|
President, Three
|
|||
Lakes Advisors, Inc.
|
|||||
(1996-present)
|
|||||
Interested Trustee*
|
|||||
Jacob Pluchenik
|
President
|
Trustee
|
Managing Member,
|
5
|
None
|
YOB: 1976
|
and
|
since
|
GF Investments
|
||
Principal
|
2021;
|
(2005-present);
|
|||
Executive
|
President
|
Member, FCF
|
|||
Officer
|
and
|
Advisors LLC
|
|||
Principal
|
(2016-present)
|
||||
Executive
|
|||||
Officer
|
|||||
Since
|
|||||
November
|
|||||
2022
|
*
|
Mr. Pluchenik is an “interested person,” as defined by the Investment Company Act of 1940, as amended, because of his ownership interest in the Adviser.
|
**
|
TrimTabs Investment Research does not control and is not controlled by or under common control with the Adviser.
|
Term of
|
|||
Position(s)
|
Office and
|
||
Name, Year
|
Held with
|
Length of
|
|
of Birth
|
the Trust
|
Time Served
|
Principal Occupation During Past Five Years
|
Officers
|
|||
Derin Cohen
|
Chief
|
Chief
|
Chief Operating & Compliance Officer, FCF Advisors
|
YOB: 1991
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Compliance
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Compliance
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LLC (2019-present) and Vice President, Marketing and
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Officer and
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Officer and
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Operations (2017-2019); Lead Generation Associate,
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Anti-Money
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Anti-Money
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SinglePlatform (2017-2017); Internal Control Associate,
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Laundering
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Laundering
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Maxim Group LLC (2013-2017)
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Officer
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Officer since
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2019; Vice
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President
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(2018-2019)
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Vince (Qijun) Chen
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Vice
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Since 2019
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Director of Research, FCF Advisors LLC (2022-present);
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YOB: 1994
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President,
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Portfolio Manager, FCF Advisors LLC (2021-present);
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Treasurer
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Quantitative Analyst, FCF Advisors LLC
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and
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(2017-present); Application Developer, NYC Human
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Principal
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Resources Administration (2017-2017)
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Financial
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Officer
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(a)
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The Registrant’s President/Principal Executive Officer and Treasurer/Principal Financial Officer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940
(the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d‑15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have
concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within
the Registrant and by the Registrant’s service provider.
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(b)
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There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that have materially affected, or are reasonably
likely to materially affect, the Registrant's internal control over financial reporting.
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(a)
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(1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an
exhibit. Not applicable.
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1.
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I have reviewed this report on Form N-CSR of TrimTabs ETF Trust;
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2.
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Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
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3.
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Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if
the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
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4.
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The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated
subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
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Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and
the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
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(c)
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Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the
filing date of this report based on such evaluation; and
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(d)
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Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the
registrant’s internal control over financial reporting; and
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5.
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The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
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(a)
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All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and
report financial information; and
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(b)
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Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
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Date: 4/3/2024
|
/s/Jacob Pluchenik
Jacob Pluchenik President (Principal Executive Officer) |
1.
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I have reviewed this report on Form N-CSR of TrimTabs ETF Trust;
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2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if
the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated
subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and
the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the
filing date of this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the
registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and
report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: 4/2/2024
|
/s/Vince (Qijun) Chen
Vince (Qijun) Chen Treasurer (Principal Financial Officer) |
/s/Jacob Pluchenik
Jacob Pluchenik
President (Principal Executive Officer)
TrimTabs ETF Trust
|
/s/Vince (Qijun) Chen
Vince (Qijun) Chen
Treasurer (Principal Financial Officer)
TrimTabs EFT Trust
|
Dated: 4/3/2024
|
Dated: 4/2/2024
|
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