N-CSR 1 tv500662_n-csr.htm ANNUAL REPORT

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: 811-23167

OSI ETF Trust

(Exact name of registrant as specified in charter)

60 State Street

Suite 700

Boston, MA 02109

(Address of principal executive offices) (Zip code)

Connor O’Brien

60 State Street

Suite 700

Boston, MA 02109

(Name and Address of Agent for Service)

Registrant’s telephone number, including area code: (617) 855-7670

Date of fiscal year end: June 30

Date of reporting period: June 30, 2018

Item 1. Reports to Stockholders.

The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).

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Annual Report

June 30, 2018

TABLE OF CONTENTS

Before investing you should carefully consider a Fund’s investment objectives, risks, charges and expenses. This and other information is available in the Fund’s prospectus, a copy of which may be obtained by visiting the Fund’s website at www.oshares.com. Please read the prospectus carefully before you invest.

There are risks involved with investing, including possible loss of principal. Concentration in a particular industry or sector may subject the Funds to a greater degree to the risks particular to that industry or sector. The Funds’ emphasis on dividend paying stocks involves the risk that such stocks may fall out of favor with investors and underperform the market. Also, a company may reduce or eliminate its dividend after a Fund’s purchase of such a company’s securities. The securities of small and mid-capitalization companies are often more volatile and less liquid than the stocks of larger companies and may be more affected than other types of securities during market downturns. Compared to larger companies, small and mid-capitalization companies may have a shorter history of operations, and may have limited product lines, markets or financial resources. Returns on investments in foreign securities could be more volatile than, or trail the returns on, investments in U.S. securities. Exposures to foreign securities entail special risks, including political, diplomatic and economic risks; regulatory risks; and foreign market and trading risks. In addition, the Fund’s investments in securities denominated in other currencies could decline due to changes in local currency relative to the value of the U.S. dollar, which may affect the Fund’s returns. See the prospectus for specific risks regarding the Funds.

Individual shares of the Fund may be purchased or sold in the secondary market throughout the regular trading day on the NYSE Arca through a brokerage account. However, shares are not individually redeemable directly from the Fund. Each Fund issues and redeems shares on a continuous basis, at net asset value (“NAV”), only in large blocks of shares (“Creation Units”), principally in-kind for securities included in the relevant Index.

Distributor: Foreside Fund Services, LLC

TABLE OF CONTENTS


i		Shareholder Letter
ii		Management Discussion of Fund Performance
		Schedule of Investments
1		O’Shares FTSE U.S. Quality Dividend ETF
4		O’Shares FTSE Russell Small Cap Quality Dividend ETF
8		O’Shares Global Internet Giants ETF
9		O’Shares FTSE Europe Quality Dividend ETF
13		O’Shares FTSE Russell International Quality Dividend ETF
19		O’Shares FTSE Asia Pacific Quality Dividend ETF
24		Statements of Assets and Liabilities
26		Statements of Operations
28		Statements of Changes in Net Assets
32		Financial Highlights
34		Notes to Financial Statements
47		Report of Independent Registered Public Accounting Firm
48		Expense Examples
50		Board Review and Approval of Investment Advisory Agreement and Investment Sub-Advisory Agreements
53		Additional Information
55		Trustees and Officers

The O’Shares FTSE U.S. Quality Dividend ETF, O’Shares FTSE Russell Small Cap Quality Dividend ETF, O’Shares FTSE Europe Quality Dividend ETF, O’Shares FTSE Russell International Quality Dividend ETF and O’Shares FTSE Asia Pacific Quality Dividend ETF (the “Funds”) are not in any way sponsored, endorsed, sold or promoted by the London Stock Exchange Group companies, which include FTSE International Limited (“FTSE”), Frank Russell Company (“Russell”), MTS Next Limited (“MTS”) and FTSE TMX Global Debt Capital Markets Inc. (“FTSE TMX”) (together “LSEG”). LSEG makes no claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to (i) the results to be obtained from the use of the FTSE US Qual/Vol/Yield Factor 5% Capped Index, FTSE USA Small Cap ex Real Estate 2Qual/Vol/Yield 3% Capped Factor Index, FTSE Developed Europe Qual/Vol/Yield Factor 5% Capped Index, FTSE Developed ex US Qual/Vol/Yield 5% Capped Factor Index and FTSE Developed Asia Pacific Qual/Vol/Yield Factor 5% Capped Index (the “Indexes”) (upon which the Funds are based), (ii) the figure at which the Index is said to stand at any particular time on any particular day or otherwise, or (iii) the suitability of the Index for the purpose to which it is being put in connection with the Funds. LSEG has not provided nor will provide any financial or investment advice or recommendation in relation to the Indexes to the adviser or to the adviser’s clients. The Indexes are calculated by FTSE or its agent. LSEG shall not be (a) liable (whether in negligence or otherwise) to any person for any error in the Indexes or (b) under any obligation to advise any person of any error therein.

All rights in the Index vest in FTSE. “FTSE®,” “Russell®,” “MTS®,” “FTSE TMX®” and “FTSE-Russell” and other service marks and trademarks related to the FTSE or Russell indexes are trademarks of the London Stock Exchange Group companies and are used by FTSE, MTS, FTSE TMX and Russell under license.

The O’Shares Global Internet Giants Index (the “OGIG Index”) is the exclusive property of O’Shares Investment Advisers, LLC, which has contracted with S-Network Global Indexes Inc. (“S-Network”) to maintain and calculate the OGIG Index. S-Network shall have no liability for any errors or omissions in calculationg the OGIG Index.

The O’Shares Global Internet Giants ETF is not sponsored, endorsed, sold or promoted by S-Network, its affiliates or their third party licensors and neither S-Network, its affiliates nor their third party licensors make any representation regarding the advisability of investing in the O’Shares Global Internet Giants ETF.

The SNGI^SM is the property of S-Network and has been licensed by S-Network for use by O’Shares Investment Advisers, LLC in connection with the OGIG Index.

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Dear Shareholder,

This Annual Report for the O’Shares Investments ETFs (the “Funds”) covers the period from July 1, 2017 through June 30, 2018 (the “Period”).

Global Equity Market Overview

Global equity markets were generally positive during the Period, returning over 14% for the S&P 500 Index¹ and over 7% for the MSCI ACWI ex USA Index.²

Performance across global equity markets during the Period was driven by several factors, including positive economic developments in most regions, as well as tax reform in the U.S. and quantitative easing in Europe and Japan.

In the U.S., GDP growth was over 2%, with strength in manufacturing and industrial production. The unemployment rate declined to under 4% and core inflation increased moderately.

In Europe, growth was positive, with GDP in the European Union (“E.U.”) over 2%, employment gains were modest, and inflation remained low by historical standards.

Growth in the Asia-Pacific region was stronger, at approximately 5%, although growth in Japan slowed to approximately 1% and core inflation remained low.

Monetary policy in the U.S. tightened as the U.S. Federal Reserve increased rates on three occasions, although rates remain low by historical standards. The yield on U.S. 10 Year government bonds also increased, reflecting economic strength and tighter monetary policy.

Monetary policy in Europe remained accommodative, however the European Central Bank confirmed that Eurozone quantitative easing would come to an end by December 2018. European government bond yields were volatile and ended the Period lower. Similarly, in the Asia-Pacific region, the Bank of Japan maintained its accommodative monetary policy, government bond yields ended the Period lower, and economic growth remained relatively stable.

Corporate profits in the U.S. remained generally strong, particularly in the Energy, Materials and Technology sectors. Corporate profit trends were also positive in both Europe and the Asia-Pacific region.

Equity markets in the U.S. generated strong returns, reflecting favorable economic conditions and expectations for tax reform. Volatility in U.S. equity markets also remained low, other than periods of intermittent volatility around the Information Technology sector and global trade tensions. Performance was stronger in cyclical, more economically sensitive equity sectors, including Information Technology and Consumer Discretionary, with weaker performance in more defensive sectors, including Telecommunication Services and Consumer Staples. Equity market performance in Europe was also positive, as the economy improved and the Central Bank signaled the eventual end of quantitative easing. In addition, cyclical sectors generally outperformed defensive sectors. In the Asia-Pacific region, positive equity market performance was driven by global economic growth, and cyclical sectors generally outperformed defensive sectors.

The views expressed in this letter were those as of June 30, 2018, and may not necessarily reflect views on the date this letter is first published or anytime thereafter. These views are intended to help shareholders in understanding the Funds’ present investment methodology and do not constitute investment advice.

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O’Shares FTSE U.S. Quality Dividend ETF (OUSA) (Unaudited)

The Fund seeks to track the performance (before fees and expenses) of the FTSE US Qual/Vol/Yield Factor 5% Capped Index (the “U.S. Target Index”). The U.S. Target Index is designed to reflect the performance of publicly-listed large capitalization and mid-capitalization dividend-paying issuers in the United States exhibiting high quality, low volatility and high dividend yields, as determined by FTSE-Russell (the “Index Provider”). The quality and low volatility factors are designed to reduce exposure to high dividend equities that have experienced large price declines.

On June 28, 2018 an identically named predecessor to the Fund that was a series of FQF Trust (the “OUSA Prior Fund”) was reorganized into the Fund via a tax-free reorganization. The OUSA Prior Fund had the same name, ticker symbol and underlying index as the Fund. The investment objectives of the OUSA Prior Fund and the Fund are identical and the investment strategies of the OUSA Prior Fund and the Fund are substantially the same. The returns presented for the Fund prior to June 28, 2018 reflect the performance of the OUSA Prior Fund. The Fund has adopted the historical performance of the OUSA Prior Fund.

From July 1, 2017 through June 30, 2018 (the “Reporting Period”), the Fund’s market return was 7.70% and its NAV return was 7.67%. The U.S. Target Index returned 8.23% during the same Reporting Period. The Fund’s market price at June 30, 2018 was $30.71.³

The Fund posted positive performance in nine of the twelve full months during the Reporting Period, with returns ranging from 4.15% to -5.17%. The best performing months for the Fund were November 2017 and January 2018, finishing up 4.15% and 2.59%, respectively. The worst performing months for the Fund were February 2018 and March 2018, finishing down -5.17% and -1.13%, respectively.

Nine of the ten sectors in the Fund delivered positive returns during the Reporting Period. In general, cyclical sectors including Technology and Basic Materials, were among the strongest performing U.S. large cap sectors as the U.S. economy continued to improve and more defensive sectors generally lagged. In addition, the Energy sector, which is typically considered a non-cyclical, generated strong returns during the Reporting Period as energy prices increased. Conversely, more defensive sectors including Consumer Goods and Telecommunication, generally underperformed the market during the Reporting Period. The Utilities sector along with other interest rate sensitive sectors also lagged as interest rates climbed during the Reporting Period.

Frequency of Distributions of Premium and Discounts — Information concerning the number of days that the Funds trade at a premium or discount can be found on the Funds’ website, www.oshares.com.

The Fund had an annualized daily volatility⁴ of 10.99% for the Reporting Period.


Fund Sector	As of June 30, 2018 Based on Net Assets
Fund Sector	Fund Sector Weights			Constituent Companies
Basic Materials		0.91	%		4
Consumer Goods		14.42	%		25
Consumer Services		13.86	%		19
Energy		7.09	%		3
Financials		9.69	%		20
Health Care		13.29	%		7
Industrials		15.80	%		26
Technology		13.36	%		10
Telecommunications		5.60	%		2
Utilities		5.41	%		25
Other*		0.57	%
Totals		100.00	%		141

Includes cash, any non-equity securities and net other assets (liabilities)


Portfolio Characteristics	As of June 30, 2018
Book Yield (B/P)⁵		25.17	%
Earnings Yield (E/P)⁶		5.26	%
Return on Equity (ROE)⁷		20.90	%
Debt to Equity (D/E)⁸		76.23	%
Dividend Yield (D/P)⁹		3.08	%
Forward Earnings Yield (E/P)¹⁰		6.17	%
30-day SEC Yield (subsidized)¹¹		2.60	%
30-day SEC Yield (unsubsidized)¹¹		2.60	%
Beta (104 week)¹²		0.89
Average Market Cap (millions)	$	143,858
Median Market Cap (millions)	$	24,234

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Growth of a $10,000 Investment Since Inception at Net Asset Value*
O’Shares FTSE U.S. Quality Dividend ETF — (OUSA)

[GRAPHIC MISSING]

The line graph represents historical performance of a hypothetical investment of $10,000 from July 14, 2015 (OUSA Prior Fund Date of Inception) to June 30, 2018 assuming the reinvestment of distributions.

Average Annual Total Return Since Inception through June 30, 2018


	1 Year			Since Inception
OUSA NAV Return		7.67	%		9.77	%
OUSA Market Price Return		7.70	%		9.79	%
U.S. Target Index		8.23	%		10.32	%

Performance measured by NAV differs from the U.S. Target Index primarily due to fund fees and expenses and taxes.

The U.S. Target Index performance for the Reporting Period was positive, but lower than the broader market, as represented by the S&P 500 Index¹ and the FTSE USA Index.¹³

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. As stated in the current prospectus, the Fund’s investment adviser, O’Shares Investment Advisers, LLC (“Adviser”) bears all of the ordinary operating expenses of the Fund, except for (i) the management fee, (ii) payments under the Funds’ Rule 12b-1 plan, (iii) brokerage expenses (including any costs incidental to transactions in portfolio securities or instruments), (iv) acquired fund fees and expenses, (v) taxes, (vi) interest (including borrowing costs and dividend expenses on securities sold short and overdraft charges), (vii) litigation expenses (including litigation to which the Trust or the Fund may be a party and indemnification of the trustees and officers with respect thereto) and (viii) other extraordinary or non-routine expenses. As stated in the current prospectus, the current gross expense ratio is 0.48%. Please refer to the Financial Highlights herein for the most recent expense ratio information. 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. For the Fund’s most recent month-end performance please visit www.oshares.com. Index returns reflect the reinvestment of dividends but do not reflect any management fees, transaction costs, taxes, or other expenses that would be incurred by the Fund or brokerage commissions on transactions in Fund shares. Such fees and expenses and taxes, reduce Fund returns. One cannot invest directly in an index.

On June 28, 2018, the OUSA Prior Fund was reorganized into the Fund. The returns presented for the Fund prior to June 28, 2018 reflect the performance of the OUSA Prior Fund.

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O’Shares FTSE Russell Small Cap Quality Dividend ETF (OUSM) (Unaudited)

The Fund seeks to track the performance (before fees and expenses) of the FTSE USA Small Cap ex Real Estate 2Qual/Vol/Yield 3% Capped Factor Index (the “U.S. Small Cap Target Index”). The U.S. Small Cap Target Index is designed to reflect the performance of publicly-listed small capitalization dividend-paying issuers in the United States exhibiting high quality, low volatility and high dividend yields, as determined by FTSE-Russell (the “Index Provider”). The quality and low volatility factors are designed to reduce exposure to high dividend equities that have experienced large price declines, as may occur with some dividend investing strategies. Effective May 4, 2018, the U.S. Small Cap Target Index was changed to the FTSE USA Small Cap ex Real Estate 2Qual/Vol/Yield 3% Capped Factor Index from the FTSE USA Small Cap Qual/Vol/Yield 3% Capped Factor Index. The Small Cap Target Index performance information reflects the blended performance of FTSE USA Small Cap Qual/Vol/Yield 3% Capped Factor Index through May 3, 2018 and the FTSE USA Small Cap ex Real Estate 2Qual/Vol/Yield 3% Capped Factor Index thereafter.

From July 1, 2017 through June 30, 2018 (the “Reporting Period”), the Fund’s market return was 9.35% and its NAV return was 9.39%. The U.S. Small Cap Target Index returned 9.98% during the same Reporting Period. The Fund’s market price at June 30, 2018 was $27.10.³

The Fund posted positive performance in nine of the twelve full months during the Reporting Period, with returns ranging from 3.78% to -5.46%. The best performing months for the Fund were May 2018 and September 2017, finishing up 3.78% and 3.77%, respectively. The worst performing months for the Fund were February 2018 and August 2017, finishing down -5.46% and -1.24%, respectively.

Ten of the eleven sectors in the Fund delivered positive returns during the Reporting Period. Cyclical sectors, including Information Technology and Consumer Discretionary, were among the strongest performing U.S. small cap sectors as the U.S. economy continued to improve and more defensive sectors generally lagged. However, the Energy sector, which is typically considered a non-cyclical, generated strong returns during the Reporting Period as energy prices increased. Conversely, more interest rate sensitive sectors, including Telecommunication Services, Real Estate and Utilities, generally underperformed the market during the Reporting Period.

The Fund had an annualized daily volatility⁴ of 11.00% for the Reporting Period.


Fund Sector	As of June 30, 2018 Based on Net Assets
Fund Sector	Fund Sector Weights			Constituent Companies
Consumer Discretionary		16.66	%		47
Consumer Staples		2.94	%		11
Energy		0.66	%		3
Financials		17.51	%		41
Health Care		9.41	%		6
Industrials		23.83	%		51
Information Technology		13.54	%		19
Materials		6.27	%		17
Telecommunication Services		1.42	%		4
Utilities		7.61	%		23
Other*		0.15	%
Totals		100.00	%		222

Includes cash and any non-equity securities and net other assets (liabilities)


Portfolio Characteristics	As of June 30, 2018
Book Yield (B/P)⁵		30.13	%
Earnings Yield (E/P)⁶		4.46	%
Return on Equity (ROE)⁷		14.95	%
Debt to Equity (D/E)⁸		66.52	%
Dividend Yield (D/P)⁹		2.39	%
Forward Earnings Yield (E/P)¹⁰		5.24	%
30-day SEC Yield (subsidized)¹¹		1.87	%
30-day SEC Yield (unsubsidized)¹¹		1.87	%
Beta (104 week)¹²		1.00
Average Market Cap (millions)	$	4,878
Median Market Cap (millions)	$	2,516

TABLE OF CONTENTS

Growth of a $10,000 Investment Since Inception at Net Asset Value*
O’Shares FTSE Russell Small Cap Quality Dividend ETF (OUSM)

[GRAPHIC MISSING]

The line graph represents historical performance of a hypothetical investment of $10,000 from December 30, 2016 (Date of Inception) to June 30, 2018 assuming the reinvestment of distributions.

The U.S. Small Cap Target Index performance information reflects the blended performance of the FTSE USA Small Cap Qual/Vol/Yield 3% Capped Factor Index through May 3, 2018 and the FTSE USA Small Cap ex Real Estate 2Qual/Vol/Yield 3% Capped Factor Index thereafter.

Average Annual Total Return Since Inception through June 30, 2018


	1 Year			Since Inception
OUSM NAV Return		9.39	%		7.94	%
OUSM Market Price Return		9.35	%		8.02	%
U.S. Small Cap Target Index**		9.98	%		8.49	%

Performance measured by NAV differs from the U.S. Small Cap Target Index primarily due to fund fees and expenses and taxes.

The U.S. Small Cap Target Index performance for the Reporting Period was positive, but lower than broader market, as represented by the Russell 2000® Index¹⁴ and the FTSE USA Small Cap Index.¹⁵

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O’Shares Global Internet Giants ETF (OGIG) (Unaudited)

The Fund seeks to track the performance (before fees and expenses) of the O’Shares Global Internet Giants Index (the “Global Internet Giants Target Index”). The Global Internet Giants Target Index is a rules-based index intended to give investors a means of tracking stocks exhibiting quality and growth characteristics in the “internet sector”, as defined by O’Shares Investment Advisers, LLC (the “Index Provider”).

Since inception from June 5, 2018 through June 30, 2018 (the “Reporting Period”), the Fund’s market return was -3.52% and its NAV return was -3.76%. The Global Internet Giants Target Index returned -3.73% during the same Reporting Period. The Fund’s market price at June 30, 2018 was $24.12.³

On a U.S. dollar-denominated basis, Information Technology related sectors overall delivered negative returns during the Reporting Period. In general, Information Technology related sectors in the U.S. outperformed the S&P 500 Index as the U.S. economy continued to show signs of improvement. Conversely, Information Technology related sectors in China lagged as result of growing global trade tensions.

The Fund had an annualized daily volatility⁴ of 22.98% for the Reporting Period.


Fund Sector	As of June 30, 2018 Based on Net Assets
Fund Sector	Fund Sector Weights			Constituent Companies
Consumer Discretionary		24.65	%		12
Industrials		0.92	%		1
Information Technology		74.26	%		39
Other*		0.17	%
Totals		100.00	%		52

Includes cash and any non-equity securities and net other assets (liabilities)



Portfolio Characteristics	As of June 30, 2018
Book Yield (B/P)⁵		39.24	%
Earnings Yield (E/P)⁶		4.07	%
Return on Equity (ROE)⁷		10.37	%
Debt to Equity (D/E)⁸		42.96	%
Dividend Yield (D/P)⁹		0.20	%
Forward Earnings Yield (E/P)¹⁰		6.88	%
30-day SEC Yield (subsidized)¹¹		-0.37	%
30-day SEC Yield (unsubsidized)¹¹		-0.37	%
Beta (104 week)¹²		N/A
Average Market Cap (millions)	$	236,726
Median Market Cap (millions)	$	15,016

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Growth of a $10,000 Investment Since Inception at Net Asset Value*
O’Shares Global Internet Giants ETF (OGIG)

[GRAPHIC MISSING]

The line graph represents historical performance of a hypothetical investment of $10,000 from June 5, 2018 (Date of Inception) to June 30, 2018 assuming the reinvestment of distributions.

Average Annual Total Return Since Inception through June 30, 2018


	1 Year		Since Inception
OGIG NAV Return		NA		-3.76	%
OGIG Market Price Return		NA		-3.52	%
Global Internet Giants Target Index		NA		-3.73	%
NASDAQ-100 Index¹⁶		NA		-1.40	%

Performance measured by NAV differs from the O’Shares Global Internet Giants Index primarily due to fund fees and expenses and taxes.

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Returns less than one year are not annualized. As stated in the current prospectus, the Fund’s investment adviser, O’Shares Investment Advisers, LLC (“Adviser”) bears all of the ordinary operating expenses of the Fund, except for (i) the management fee, (ii) payments under the Funds’ Rule 12b-1 plan, (iii) brokerage expenses (including any costs incidental to transactions in portfolio securities or instruments), (iv) acquired fund fees and expenses, (v) taxes, (vi) interest (including borrowing costs and dividend expenses on securities sold short and overdraft charges), (vii) litigation expenses (including litigation to which the Trust or the Fund may be a party and indemnification of the trustees and officers with respect thereto) and (viii) other extraordinary or non-routine expenses. As stated in the current prospectus, the current gross expense ratio is 0.48%. Please refer to the Financial Highlights herein for the most recent expense ratio information. 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. For the Fund’s most recent month-end performance please visit www.oshares.com. Index returns reflect the reinvestment of dividends but do not reflect any management fees, transaction costs, taxes, or other expenses that would be incurred by the Fund or brokerage commissions on transactions in Fund shares. Such fees and expenses and taxes, reduce Fund returns. One cannot invest directly in an index.

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O’Shares FTSE Europe Quality Dividend ETF (OEUR) (Unaudited)

The Fund seeks to track the performance (before fees and expenses) of the FTSE Developed Europe Qual/Vol/Yield Factor 5% Capped Index (the “Europe Target Index”). The Europe Target Index is designed to reflect the performance of publicly-listed large capitalization and mid-capitalization dividend-paying issuers in Europe exhibiting high quality, low volatility and high dividend yields, as determined by FTSE-Russell (the “Index Provider”). The quality and low volatility factors are designed to reduce exposure to high dividend equities that have experienced large price declines.

On June 28, 2018 an identically named predecessor to the Fund that was a series of FQF Trust (the “OEUR Prior Fund”) was reorganized into the Fund via a tax-free reorganization. The OEUR Prior Fund had the same name, ticker symbol and underlying index as the Fund. The investment objectives of the OEUR Prior Fund and the Fund are identical and the investment strategies of the OEUR Prior Fund and the Fund are substantially the same. The returns presented for the Fund prior to June 28, 2018 reflect the performance of the OEUR Prior Fund. The Fund has adopted the historical performance of the OEUR Prior Fund.

From July 1, 2017 through June 30, 2018 (the “Reporting Period”), the Fund’s market return was -0.41% and its NAV return was 0.53%. The Europe Target Index returned 1.87% during the same Reporting Period. The Fund’s market price at June 30, 2018 was $23.86.³

The Fund posted positive performance in nine of the twelve months during the Reporting Period, with returns ranging from 3.41% to 6.64%. The best performing months for the Fund were January 2018 and April 2018, finishing up 3.41% and 2.10%, respectively. The worst performing months for the Fund were February 2018 and May 2018, finishing -6.64% and -3.18%, respectively.

On a U.S. dollar-denominated basis, six of the ten sectors in OEUR delivered positive returns during the Reporting Period. Cyclical sectors, including Technology and Basic Materials, were among the strongest performing sectors as the Eurozone economy continued to improve. However, the Energy sector, which is typically considered a non-cyclical, generated strong returns during the Reporting Period as energy prices increased. Conversely, defensive sectors, including Telecommunication and Health Care, generally underperformed the market during the Reporting Period.

Frequency of Distributions of Premium and Discounts — Information concerning the number of days that the Fund trades at a premium or discount can be found on the Fund’s website, www.oshares.com.

The Fund had an annualized daily volatility⁴ of 13.76% for the Period.


Fund Sector	As of June 30, 2018 Based on Net Assets
Fund Sector	Fund Sector Weights			Constituent Companies
Basic Materials		4.18	%		14
Energy		5.09	%		3
Consumer Goods		18.17	%		17
Consumer Services		6.75	%		32
Financials		13.38	%		26
Health Care		19.03	%		11
Industrials		15.41	%		44
Technology		0.66	%		1
Telecommunications		8.41	%		13
Utilities		7.50	%		21
Other*		1.42	%
Totals		100.00	%		182

Includes cash and any non-equity securities and net other assets (liabilities) and delisted securities.



Portfolio Characteristics	As of June 30, 2018
Book Yield (B/P)⁵		43.69	%
Earnings Yield (E/P)⁶		6.82	%
Return on Equity (ROE)⁷		15.83	%
Debt to Equity (D/E)⁸		64.23	%
Dividend Yield (D/P)⁹		3.98	%
Forward Earnings Yield (E/P)¹⁰		6.73	%
30-day SEC Yield (subsidized)¹¹		2.94	%
30-day SEC Yield (unsubsidized)¹¹		2.91	%
Beta (104 week)¹²		0.915
Average Market Cap (millions)	$	77,034
Median Market Cap (millions)	$	12,567

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Growth of a $10,000 Investment Since Inception at Net Asset Value*
O’Shares FTSE Europe Quality Dividend ETF — (OEUR)

[GRAPHIC MISSING]

The line graph represents historical performance of a hypothetical investment of $10,000 from August 19, 2015 (OEUR Prior Fund Date of Inception) to June 30, 2018 assuming the reinvestment of distributions.

Average Annual Total Return Since Inception through June 30, 2018


	1 Year			Since Inception
OEUR NAV Return		0.53	%		1.45	%
OEUR Market Price Return		-0.41	%		1.33	%
Europe Target Index		1.87	%		2.61	%

Performance measured by NAV differs from the Europe Target Index primarily due to fund fees and expenses and taxes.

The Europe Target Index performance for the Reporting Period was positive, but lower than the broader market, as represented by the FTSE Developed Europe Index.¹⁷

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Returns less than one year are not annualized. As stated in the current prospectus, the Fund’s investment adviser, O’Shares Investment Advisers, LLC (“Adviser”) bears all of the ordinary operating expenses of the Fund, except for (i) the management fee, (ii) payments under the Funds’ Rule 12b-1 plan, (iii) brokerage expenses (including any costs incidental to transactions in portfolio securities or instruments), (iv) acquired fund fees and expenses, (v) taxes, (vi) interest (including borrowing costs and dividend expenses on securities sold short and overdraft charges), (vii) litigation expenses (including litigation to which the Trust or the Fund may be a party and indemnification of the trustees and officers with respect thereto) and (viii) other extraordinary or non-routine expenses. As stated in the current prospectus, the current gross expense ratio is 0.48%. Please refer to the Financial Highlights herein for the most recent expense ratio information. 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. For the Fund’s most recent month-end performance please visit www.oshares.com. Index returns reflect the reinvestment of dividends but do not reflect any management fees, transaction costs, taxes, or other expenses that would be incurred by the Fund or brokerage commissions on transactions in Fund shares. Such fees and expenses and taxes, reduce Fund returns. One cannot invest directly in an index.

On June 28, 2018, the OEUR Prior Fund was reorganized into the Fund. The returns presented for the Fund prior to June 28, 2018 reflect the performance of the OEUR Prior Fund.

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O’Shares FTSE Russell International Quality Dividend ETF (ONTL) (Unaudited)

The Fund seeks to track the performance (before fees and expenses) of the FTSE Developed ex US Qual/Vol/Yield 5% Capped Factor Index (the “International Target Index”). The International Target Index is designed to reflect the performance of publicly-listed large capitalization and mid-capitalization dividend-paying international issuers exhibiting high quality, low volatility and high dividend yields, as determined by FTSE-Russell (the “Index Provider”). The quality and low volatility factors are designed to reduce exposure to high dividend equities that have experienced large price declines, as may occur with some dividend investing strategies.

From July 1, 2017 through June 30, 2018 (the “Reporting Period”), the Fund’s market return was 1.07% and its NAV return was 2.14% The International Target Index returned 3.25% during the same Reporting Period. The Fund’s market price at June 30, 2018 was $26.30.³

The Fund posted positive performance in eight of the twelve months during the Reporting Period, with returns ranging from 2.78% to -5.90%. The best performing months for the Fund were January 2018 and April 2018, finishing up 2.78% and 2.06%, respectively. The worst performing months for the Fund were February 2018 and May 2018, finishing -5.90% and -1.79%, respectively.

On a U.S. dollar-denominated basis, holdings in seven of the eleven sectors in ONTL delivered positive returns for the Reporting Period. The strongest performing sector was Energy as energy prices increased during the Reporting Period. The Materials and Consumer Discretionary sectors generally considered cyclical sectors, also performed well as global economic conditions improved. Conversely, more defensive sectors such as Telecommunications Services and Health Care generally underperformed the broad market.

The strongest performing region was Asia as economic conditions in the region improved. Countries including Hong Kong, Japan and Australia, were among the strongest performing Asian countries in the Fund. Conversely, countries including South Korea, Sweden and Switzerland were among the weakest performing countries in the Fund.

The Fund had an annualized daily volatility⁴ of 11.91% for the Reporting Period.


Fund Sector	As of June 30, 2018 Based on Net Assets
Fund Sector	Fund Sector Weights			Constituent Companies
Consumer Discretionary		8.67	%		62
Consumer Staples		14.79	%		27
Energy		5.89	%		17
Financials		7.20	%		31
Health Care		15.95	%		20
Industrials		15.10	%		90
Information Technology		3.78	%		12
Materials		5.07	%		37
Real Estate		8.40	%		37
Telecommunication Services		8.19	%		25
Utilities		5.68	%		33
Exchange Traded Funds		0.98	%		1
Other*		0.30	%
Totals		100.00	%		392

Includes cash and any non-equity securities and net other assets (liabilities)



Portfolio Characteristics	As of June 30, 2018
Book Yield (B/P)⁵		46.28	%
Earnings Yield (E/P)⁶		6.56	%
Return on Equity (ROE)⁷		14.17	%
Debt to Equity (D/E)⁸		23.58	%
Dividend Yield (D/P)⁹		1.93	%
Forward Earnings Yield (E/P)¹⁰		2.91	%
30-day SEC Yield (subsidized)¹¹		3.05	%
30-day SEC Yield (unsubsidized)¹¹		3.05	%
Beta (104 week)¹²		0.90
Average Market Cap (millions)	$	70,138
Median Market Cap (millions)	$	10,107

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Growth of a $10,000 Investment Since Inception at Net Asset Value*
O’Shares FTSE Russell International Quality Dividend ETF — (ONTL)

[GRAPHIC MISSING]

The line graph represents historical performance of a hypothetical investment of $10,000 from March 22, 2017 (Date of Inception) to June 30, 2018 assuming the reinvestment of distributions.

Average Annual Total Return Since Inception through June 30, 2018


	1 Year			Since Inception
ONTL NAV Return		2.14	%		6.84	%
ONTL Market Price Return		1.07	%		6.84	%
International Target Index		3.25	%		7.87	%

Performance measured by NAV differs from the International Target Index primarily due to fund fees and expenses and taxes.

The International Target Index performance for the Reporting Period was positive, but lower than the broader market, as represented by the FTSE Developed ex US Index¹⁸ and the MSCI ACWI ex USA Index.²

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O’Shares FTSE Asia Pacific Quality Dividend ETF (OASI) (Unaudited)

The Fund seeks to track the performance (before fees and expenses) of the FTSE Developed Asia Pacific Qual/Vol/Yield Factor 5% Capped Index (the “AP Target Index”). The AP Target Index is designed to reflect the performance of publicly-listed large capitalization and mid-capitalization dividend-paying issuers in the Asia-Pacific region exhibiting high quality, low volatility and high dividend yields, as determined by FTSE-Russell (the “Index Provider”). The quality and low volatility factors are designed to reduce exposure to high dividend equities that have experienced large price declines.

On June 28, 2018 an identically named predecessor to the Fund that was a series of FQF Trust (the “OASI Prior Fund”) was reorganized into the Fund via a tax-free reorganization. The OASI Prior Fund had the same name, ticker symbol and underlying index as the Fund. The investment objectives of the OASI Prior Fund and the Fund are identical and the investment strategies of the OASI Prior Fund and the Fund are substantially the same. The returns presented for the Fund prior to June 28, 2018 reflect the performance of the OASI Prior Fund. The Fund has adopted the historical performance of the OASI Prior Fund.

From July 1, 2017 through June 30, 2018 (the “Reporting Period”), the Fund’s market return was 7.12% and its NAV return was 7.47%. The AP Target Index returned 8.64% during the Reporting Period. The Fund’s market price at June 30, 2018 was $28.61.³

The Fund posted positive performance in seven of the twelve months for the Reporting Period, with returns ranging from 3.33% to -3.52%. The best performing months for the Fund were July 2017 and October 2017, finishing up 3.33% and 2.84%, respectively. The worst performing months for the Fund were February 2018 and June 2018, finishing down -3.52% and -1.71%, respectively.

On a U.S. dollar denominated basis, nine of the ten sectors in OASI delivered positive returns for the Reporting Period. Health Care and Energy were among the best performing sectors. The Energy sector benefited from rising energy prices during the Reporting Period. Conversely, sectors such as Telecommunications and Utilities were among the worst performing sectors as investors moved towards equity sectors with more exposure to improving economic conditions. From a country allocation perspective, OASI’s holdings in Japan and Australia contributed most to returns on a U.S. dollar-denominated basis. Conversely, OASI’s holdings in South Korea generally were the weakest performers in the Fund on a U.S. dollar-denominated basis.

The Fund had an annualized daily volatility⁴ of 26.64% for the Period.


Fund Sector	As of June 30, 2018 Based on Net Assets
Fund Sector	Fund Sector Weights			Constituent Companies
Basic Materials		4.00	%		18
Consumer Goods		18.92	%		43
Consumer Services		14.08	%		57
Energy		3.00	%		7
Financials		19.20	%		42
Health Care		6.10	%		19
Industrials		17.19	%		68
Technology		2.03	%		12
Telecommunications		8.25	%		11
Utilities		5.40	%		17
Other*		1.83	%
Totals		100.00	%		294

Includes cash, any non-equity securities and net other assets (liabilities)



Portfolio Characteristics	As of June 30, 2018
Book Yield (B/P)⁵		225.13	%
Earnings Yield (E/P)⁶		37.08	%
Return on Equity (ROE)⁷		16.43	%
Debt to Equity (D/E)⁸		39.09	%
Dividend Yield (D/P)⁹		3.57	%
Forward Earnings Yield (E/P)¹⁰		7.22	%
30-day SEC Yield (subsidized)¹¹		2.86	%
30-day SEC Yield (unsubsidized)¹¹		2.71	%
Beta (104 week)¹²		0.88
Average Market Cap (millions)	$	42,237
Median Market Cap (millions)	$	5,582

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Growth of a $10,000 Investment Since Inception at Net Asset Value*
O’Shares FTSE Asia Pacific Quality Dividend ETF — (OASI)

[GRAPHIC MISSING]

The line graph represents historical performance of a hypothetical investment of $10,000 from August 19, 2015 (OASI Prior Fund Date of Inception) to June 30, 2018 assuming the reinvestment of distributions.

Average Annual Total Return Since Inception through June 30, 2018


	1 Year			Since Inception
OASI NAV Return		7.47	%		8.68	%
OASI Market Price Return		7.12	%		8.65	%
AP Target Index		8.64	%		9.89	%

Performance measured by NAV differs from the International Target Index primarily due to fund fees and expenses and taxes.

The AP Target Index performance for the Reporting Period was positive, but lower than the broader market, as represented by the FTSE Developed Asia Pacific Index.¹⁹

On June 28, 2018, the OASI Prior Fund was reorganized into the Fund. The returns presented for the Fund prior to June 28, 2018 reflect the performance of the OASI Prior Fund.

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Footnotes to Shareholder Letter and Management Discussion of Fund Performance:

S&P 500 Index — The Standard & Poor’s 500 Stock Index consists of 500 large-cap common stocks actively traded on the NYSE and NASDAQ.

MSCI ACWI ex USA Index — The MSCI All Country World Index Ex USA Index is comprised of large and mid-cap stocks from developed markets excluding the U.S. The index covers 85% of the global equity investment universe outside the U.S.

A Fund’s per share net asset value (“NAV”) is the value of one share of the Fund. NAV is calculated by taking the Fund’s total assets (including the market value of securities owned), subtracting liabilities, and dividing by the number of shares outstanding. The NAV Return is based on the NAV of the Fund, and the Market Price Return is based on the market price per share of the Fund. The price used to calculate market return (“Market Price”) is determined by using the midpoint between the highest bid and the lowest offer at 4:00 p.m. Eastern time on the primary stock exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. NAV is used as a proxy for purposes of calculating Market Price Return on inception date. Market Price and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV.

Volatility is a statistical measure of the dispersion of returns for a given security or market index.

Book Yield (Price/Book Ratio) is equivalent to a firm’s stock price divided by total assets minus intangible assets and liabilities.

Earnings Yield (which is the inverse of the P/E ratio) shows the percentage of each dollar invested in the stock that was earned by the company.

Return on Equity (ROE) is a measure of profitability that calculates how many dollars of profit a company generates with each dollar of shareholders’ equity. The formula for ROE is: ROE = Net Income/Shareholders’ Equity.

Debt to Equity Ratio (D/E) is a debt ratio used to measure a company’s financial leverage, calculated by dividing a company’s total liabilities by its stockholders’ equity. The D/E ratio indicates how much debt a company is using to finance its assets relative to the amount of value represented in shareholders’ equity.

Dividend Yield is a dividend expressed as a percentage of the current share price.

10.

Forward Earnings Yield is the quotient of earnings per share divided by the share price. It is the reciprocal of the P/E ratio.

11.

The 30-day SEC yield is calculated with a standardized formula mandated by the SEC. The formula is based on maximum offering price per share and includes the effect of any fee waivers. Without waivers, yields would be reduced. The 30-day unsubsidized SEC yield does not reflect waivers in effect. A fund’s actual distribution rate will differ from the SEC yield and any income distributions from the fund may be higher or lower than the SEC yield.

12.

Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole.

13.

FTSE USA Index — The FTSE USA Index is a market-capitalization weighted index representing the performance of US large and mid cap stocks. The index is derived from the FTSE Global Equity Index Series (GEIS), which covers 98% of the world’s investable market capitalization.

14.

Russell 2000® Index — The Russell 2000® Stock Index consists of 2000 of the smallest companies in the Russell 3000® index, actively traded on the NYSE and NASDAQ exchanges.

15.

FTSE USA Small Cap Index — The FTSE USA Small Cap Index is a market-capitalization weighted index representing the performance of US small cap stocks. The index is derived from the FTSE Global Equity Index Series (GEIS), which covers 98% of the world’s investable market capitalization.

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16.

NASDAQ-100 Index — The NASDAQ-100 Index is a modified capitalization-weighted index of the 100 largest and most active non-financial domestic and international issues listed on the NASDAQ.

17.

FTSE Developed Europe Index — The FTSE Developed Europe Index comprises large and mid-cap stocks providing coverage of the developed markets in Europe. The index is derived from the FTSE Global Equity Index Series (GEIS), which covers 98% of the world’s investable market capitalization.

18.

FTSE Developed ex US Index — The FTSE Developed ex US Index comprises stocks providing coverage of developed international markets excluding the U.S. The index is derived from the FTSE Global Equity Index Series (GEIS), which covers 98% of the world’s investable market capitalization.

19.

FTSE Developed Asia Pacific Index — The FTSE Developed Asia Pacific Index comprises large and mid-cap stocks providing coverage of the developed markets in Asia Pacific. The index is derived from the FTSE Global Equity Index Series (GEIS), which covers 98% of the world’s investable market capitalization.

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OSI ETF Trust
O'Shares FTSE U.S. Quality Dividend ETF
Schedule of Investments
June 30, 2018


Investments	Number of Shares		Value
Common Stocks – 99.4%
*Aerospace & Defense – 5.0%*
Boeing Co. (The)		29,894	$	10,029,736
General Dynamics Corp.		8,713		1,624,190
Lockheed Martin Corp.		15,008		4,433,814
Raytheon Co.		10,720		2,070,890
United Technologies Corp.		20,543		2,568,491
				20,727,121
*Air Freight & Logistics – 1.2%*
Expeditors International of Washington, Inc.		5,193		379,608
United Parcel Service, Inc., Class B		43,031		4,571,183
				4,950,791
*Auto Components – 0.1%*
Gentex Corp.		8,308		191,250
*Beverages – 3.8%*
Coca-Cola Co. (The)		177,952		7,804,975
Dr Pepper Snapple Group, Inc.		7,666		935,252
PepsiCo, Inc.		61,544		6,700,295
				15,440,522
*Capital Markets – 1.2%*
Franklin Resources, Inc.		24,254		777,341
T. Rowe Price Group, Inc.		36,180		4,200,136
				4,977,477
*Chemicals – 0.8%*
Air Products & Chemicals, Inc.		9,112		1,419,012
International Flavors & Fragrances, Inc.		2,839		351,922
Praxair, Inc.		10,720		1,695,368
				3,466,302
*Commercial Services & Supplies – 0.4%*
Republic Services, Inc.		6,273		428,823
Waste Management, Inc.		17,286		1,406,043
				1,834,866
*Communications Equipment – 2.6%*
Cisco Systems, Inc.		244,684		10,528,753
*Containers & Packaging – 0.1%*
Avery Dennison Corp.		2,680		273,628
Bemis Co., Inc.		2,558		107,973
				381,601
*Distributors – 0.2%*
Genuine Parts Co.		9,916		910,190
*Diversified Telecommunication Services – 5.6%*
AT&T, Inc.		418,884		13,450,365
Verizon Communications, Inc.		190,548		9,586,470
				23,036,835
*Electric Utilities – 3.7%*
Alliant Energy Corp.		8,441		357,223
American Electric Power Co., Inc.		19,661		1,361,524


Investments	Number of Shares		Value
Avangrid, Inc.		2,680	$	141,852
Duke Energy Corp.		26,656		2,107,957
Edison International		12,864		813,905
Entergy Corp.		7,108		574,255
Eversource Energy		12,328		722,544
Exelon Corp.		29,979		1,277,106
FirstEnergy Corp.		14,172		508,917
NextEra Energy, Inc.		16,080		2,685,842
PG&E Corp.		20,165		858,223
Pinnacle West Capital Corp.		4,152		334,485
PPL Corp.		30,417		868,405
Southern Co. (The)		32,964		1,526,563
Xcel Energy, Inc.		20,005		913,828
				15,052,629
*Electrical Equipment – 0.4%*
Eaton Corp. plc		14,340		1,071,772
Rockwell Automation, Inc.		3,484		579,145
				1,650,917
*Electronic Equipment, Instruments & Components – 0.3%*
TE Connectivity Ltd.		12,060		1,086,124
*Equity Real Estate Investment Trusts (REITs) – 6.9%*
AvalonBay Communities, Inc.		14,913		2,563,396
Duke Realty Corp.		21,708		630,183
Equity Residential		61,908		3,942,920
Extra Space Storage, Inc.		10,585		1,056,489
Federal Realty Investment Trust		5,496		695,519
GGP, Inc.		54,653		1,116,561
Hospitality Properties Trust		9,295		265,930
Host Hotels & Resorts, Inc.		73,164		1,541,565
Liberty Property Trust		15,008		665,305
Macerich Co. (The)		11,524		654,909
Public Storage		28,676		6,505,437
Regency Centers Corp.		9,403		583,738
Simon Property Group, Inc.		39,584		6,736,801
Vornado Realty Trust		12,864		950,907
Weingarten Realty Investors		12,975		399,760
				28,309,420
*Food & Staples Retailing – 2.6%*
Sysco Corp.		15,008		1,024,896
Walgreens Boots Alliance, Inc.		29,069		1,744,576
Walmart, Inc.		93,532		8,011,016
				10,780,488
*Food Products – 1.0%*
Campbell Soup Co.		8,844		358,536
General Mills, Inc.		26,824		1,187,230
Hershey Co. (The)		6,700		623,502
Hormel Foods Corp.		14,041		522,466
JM Smucker Co. (The)		3,378		363,067
Kellogg Co.		9,165		640,359
McCormick & Co., Inc. (Non-Voting)		4,995		579,869
				4,275,029

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust
O'Shares FTSE U.S. Quality Dividend ETF
Schedule of Investments
June 30, 2018


Investments	Number of Shares		Value
*Health Care Equipment & Supplies – 1.8%*
Abbott Laboratories		58,424	$	3,563,280
Medtronic plc		44,756		3,831,561
				7,394,841
*Health Care Providers & Services – 0.9%*
CVS Health Corp.		59,624		3,836,804
*Hotels, Restaurants & Leisure – 3.0%*
Carnival Corp.		13,936		798,672
Darden Restaurants, Inc.		6,032		645,786
McDonald's Corp.		48,131		7,541,646
Starbucks Corp.		65,124		3,181,308
				12,167,412
*Household Durables – 0.2%*
Garmin Ltd.		9,380		572,180
Leggett & Platt, Inc.		7,504		334,979
				907,159
*Household Products – 4.9%*
Church & Dwight Co., Inc.		8,040		427,406
Clorox Co. (The)		6,968		942,422
Colgate-Palmolive Co.		49,848		3,230,649
Kimberly-Clark Corp.		23,584		2,484,339
Procter & Gamble Co. (The)		168,840		13,179,650
				20,264,466
*Industrial Conglomerates – 3.5%*
3M Co.		36,716		7,222,771
General Electric Co.		253,796		3,454,164
Honeywell International, Inc.		27,068		3,899,145
				14,576,080
*Insurance – 1.6%*
Arthur J Gallagher & Co.		11,792		769,782
Everest Re Group Ltd.		2,412		555,918
Marsh & McLennan Cos., Inc.		63,649		5,217,308
				6,543,008
*IT Services – 4.5%*
Accenture plc, Class A		30,016		4,910,317
Amdocs Ltd.		7,236		478,951
Automatic Data Processing, Inc.		26,800		3,594,952
Broadridge Financial Solutions, Inc.		4,690		539,819
International Business Machines Corp.		50,920		7,113,524
Paychex, Inc.		28,408		1,941,687
				18,579,250
*Leisure Products – 0.1%*
Hasbro, Inc.		4,165		384,471
*Machinery – 0.9%*
Cummins, Inc.		7,170		953,610
Illinois Tool Works, Inc.		12,328		1,707,921
Snap-on, Inc.		2,144		344,584
Stanley Black & Decker, Inc.		4,020		533,896
				3,540,011


Investments	Number of Shares		Value
*Media – 1.6%*
Interpublic Group of Cos., Inc. (The)		11,256	$	263,841
Omnicom Group, Inc.		10,720		817,614
Walt Disney Co. (The)		52,528		5,505,460
				6,586,915
*Multiline Retail – 0.6%*
Target Corp.		29,545		2,248,965
*Multi-Utilities – 1.6%*
Ameren Corp.		9,679		588,967
CenterPoint Energy, Inc.		17,913		496,369
CMS Energy Corp.		9,112		430,815
Consolidated Edison, Inc.		11,864		925,155
Dominion Energy, Inc.		19,377		1,321,124
DTE Energy Co.		6,317		654,631
Public Service Enterprise Group, Inc.		22,244		1,204,290
SCANA Corp.		4,824		185,821
WEC Energy Group, Inc.		14,816		957,854
				6,765,026
*Oil, Gas & Consumable Fuels – 7.1%*
Chevron Corp.		55,476		7,013,831
Exxon Mobil Corp.		241,736		19,998,819
Occidental Petroleum Corp.		25,192		2,108,067
				29,120,717
*Pharmaceuticals – 11.5%*
Bristol-Myers Squibb Co.		58,960		3,262,846
Eli Lilly & Co.		45,159		3,853,418
Johnson & Johnson		157,754		19,141,870
Merck & Co., Inc.		140,968		8,556,758
Pfizer, Inc.		341,968		12,406,599
				47,221,491
*Professional Services – 0.2%*
Nielsen Holdings plc		9,808		303,361
Robert Half International, Inc.		4,599		299,395
				602,756
*Road & Rail – 1.1%*
Union Pacific Corp.		31,493		4,461,928
*Semiconductors & Semiconductor Equipment – 8.8%*
Analog Devices, Inc.		20,636		1,979,405
Intel Corp.		347,596		17,278,997
Maxim Integrated Products, Inc.		15,812		927,532
QUALCOMM, Inc.		94,068		5,279,096
Texas Instruments, Inc.		89,780		9,898,245
Xilinx, Inc.		12,917		842,964
				36,206,239
*Specialty Retail – 5.1%*
Foot Locker, Inc.		3,752		197,543
Home Depot, Inc. (The)		74,448		14,524,805
L Brands, Inc.		6,700		247,096
Lowe's Cos., Inc.		29,361		2,806,030

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust
O'Shares FTSE U.S. Quality Dividend ETF
Schedule of Investments
June 30, 2018


Investments	Number of Shares		Value
Tiffany & Co.		3,083	$	405,723
TJX Cos., Inc. (The)		30,168		2,871,390
				21,052,587
*Textiles, Apparel & Luxury Goods – 1.0%*
NIKE, Inc., Class B		37,384		2,978,757
VF Corp.		15,612		1,272,690
				4,251,447
*Tobacco – 3.0%*
Altria Group, Inc.		79,727		4,527,697
Philip Morris International, Inc.		96,480		7,789,795
				12,317,492
*Trading Companies & Distributors – 0.4%*
Fastenal Co.		14,472		696,538
WW Grainger, Inc.		2,948		909,163
				1,605,701


Investments	Number of Shares		Value
*Water Utilities – 0.1%*
American Water Works Co., Inc.		5,092	$	434,755
Total Common Stocks (Cost $398,298,932)				408,669,836
Total Investments – 99.4% (Cost $398,298,932)				408,669,836
Other Assets Less Liabilities – 0.6%				2,598,861
Net Assets – 100.0%			$	411,268,697

As of June 30, 2018, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation	$	32,699,111
Aggregate gross unrealized depreciation		(22,253,126	)
Net unrealized appreciation	$	10,445,985
Federal income tax cost of investments	$	398,223,851

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust
O’Shares FTSE Russell Small Cap Quality Dividend ETF
Schedule of Investments
June 30, 2018


Investments	Number of Shares		Value
Common Stocks – 99.9%
*Aerospace & Defense – 0.4%*
Hexcel Corp.		7,975	$	529,380
National Presto Industries, Inc.		568		70,432
				599,812
*Air Freight & Logistics – 0.3%*
Forward Air Corp.		6,038		356,725
*Airlines – 0.1%*
Allegiant Travel Co.		327		45,436
Copa Holdings SA, Class A		614		58,097
				103,533
*Auto Components – 0.5%*
Cooper Tire & Rubber Co.		3,871		101,807
LCI Industries		6,940		625,641
				727,448
*Banks – 1.4%*
Bank of Hawaii Corp.		3,201		267,027
City Holding Co.		1,281		96,370
Community Trust Bancorp, Inc.		895		44,705
PacWest Bancorp		13,437		664,057
Umpqua Holdings Corp.		16,558		374,045
United Bankshares, Inc.		8,615		313,586
Washington Trust Bancorp, Inc.		895		52,000
Westamerica Bancorp		1,953		110,364
				1,922,154
*Building Products – 2.8%*
AAON, Inc.		3,906		129,875
AO Smith Corp.		22,014		1,302,128
Apogee Enterprises, Inc.		3,159		152,169
Lennox International, Inc.		6,874		1,375,831
Simpson Manufacturing Co., Inc.		14,590		907,352
				3,867,355
*Capital Markets – 11.0%*
Artisan Partners Asset Management, Inc., Class A		22,075		665,561
BGC Partners, Inc., Class A		38,495		435,763
BrightSphere Investment Group plc		29,863		425,846
Cohen & Steers, Inc.		11,258		469,571
Eaton Vance Corp.		47,836		2,496,561
Evercore, Inc., Class A		10,436		1,100,476
FactSet Research Systems, Inc.		9,019		1,786,664
Federated Investors, Inc., Class B		50,365		1,174,512
Greenhill & Co., Inc.		11,619		329,980
Lazard Ltd., Class A		62,469		3,055,359
Legg Mason, Inc.		12,654		439,473
LPL Financial Holdings, Inc.		13,642		894,097
MarketAxess Holdings, Inc.		2,816		557,174
Morningstar, Inc.		2,200		282,150


Investments	Number of Shares		Value
Virtus Investment Partners, Inc.		970	$	124,112
Waddell & Reed Financial, Inc., Class A		36,195		650,424
WisdomTree Investments, Inc.		11,009		99,962
				14,987,685
*Chemicals – 3.0%*
A Schulman, Inc.		4,950		220,275
Cabot Corp.		6,682		412,747
Innophos Holdings, Inc.		6,131		291,836
NewMarket Corp.		1,487		601,491
Olin Corp.		35,866		1,030,072
Quaker Chemical Corp.		1,632		252,748
RPM International, Inc.		12,439		725,442
Sensient Technologies Corp.		7,348		525,749
				4,060,360
*Commercial Services & Supplies – 5.3%*
ABM Industries, Inc.		5,564		162,358
Brady Corp., Class A		16,185		623,932
Covanta Holding Corp.		11,460		189,090
Healthcare Services Group, Inc.		60,791		2,625,563
Herman Miller, Inc.		14,017		475,176
HNI Corp.		8,865		329,778
KAR Auction Services, Inc.		13,172		721,826
Knoll, Inc.		10,048		209,099
LSC Communications, Inc.		12,879		201,685
McGrath RentCorp		4,548		287,752
MSA Safety, Inc.		4,253		409,734
Rollins, Inc.		14,635		769,508
Steelcase, Inc., Class A		15,159		204,646
				7,210,147
*Communications Equipment – 2.3%*
ADTRAN, Inc.		43,934		652,420
InterDigital, Inc.		31,321		2,533,869
				3,186,289
*Construction & Engineering – 0.1%*
Comfort Systems USA, Inc.		3,615		165,567
*Consumer Finance – 0.3%*
FirstCash, Inc.		5,319		477,912
*Containers & Packaging – 1.7%*
AptarGroup, Inc.		5,937		554,397
Graphic Packaging Holding Co.		34,912		506,573
Sonoco Products Co.		24,019		1,260,998
				2,321,968
*Distributors – 0.9%*
Pool Corp.		8,576		1,299,264
*Diversified Consumer Services – 0.2%*
Capella Education Co.		2,329		229,872

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust
O’Shares FTSE Russell Small Cap Quality Dividend ETF
Schedule of Investments
June 30, 2018


Investments	Number of Shares		Value
*Diversified Telecommunication Services – 1.2%*
ATN International, Inc.		3,594	$	189,655
Cogent Communications Holdings, Inc.		25,856		1,380,711
Consolidated Communications Holdings, Inc.		9,631		119,039
				1,689,405
*Electric Utilities – 4.4%*
ALLETE, Inc.		4,631		358,486
El Paso Electric Co.		3,273		193,434
Evergy, Inc.		25,382		1,425,199
Hawaiian Electric Industries, Inc.		12,073		414,104
IDACORP, Inc.		4,323		398,754
MGE Energy, Inc.		4,233		266,891
OGE Energy Corp.		61,233		2,156,014
Otter Tail Corp.		4,139		197,016
PNM Resources, Inc.		4,935		191,971
Portland General Electric Co.		10,935		467,581
				6,069,450
*Electrical Equipment – 1.0%*
Hubbell, Inc.		12,934		1,367,641
*Electronic Equipment, Instruments & Components – 2.9%*
AVX Corp.		21,329		334,225
Badger Meter, Inc.		4,749		212,280
Dolby Laboratories, Inc., Class A		6,953		428,931
FLIR Systems, Inc.		18,815		977,816
National Instruments Corp.		36,216		1,520,348
Vishay Intertechnology, Inc.		19,717		457,434
				3,931,034
*Energy Equipment & Services – 0.6%*
Oceaneering International, Inc.		16,154		411,281
Rowan Cos. plc, Class A*		22,017		357,116
				768,397
*Food & Staples Retailing – 0.1%*
SpartanNash Co.		3,470		88,554
Weis Markets, Inc.		2,212		117,988
				206,542
*Food Products – 1.6%*
Flowers Foods, Inc.		41,398		862,320
Fresh Del Monte Produce, Inc.		5,215		232,328
J&J Snack Foods Corp.		2,795		426,154
Lancaster Colony Corp.		4,414		610,986
Tootsie Roll Industries, Inc.		2,095		64,631
				2,196,419
*Gas Utilities – 1.6%*
National Fuel Gas Co.		8,928		472,827
Northwest Natural Gas Co.		2,953		188,401
ONE Gas, Inc.		3,705		276,912
South Jersey Industries, Inc.		6,140		205,506


Investments	Number of Shares		Value
Southwest Gas Holdings, Inc.		5,960	$	454,569
UGI Corp.		12,167		633,536
				2,231,751
*Health Care Equipment & Supplies – 4.1%*
Abaxis, Inc.		8,294		688,485
Meridian Bioscience, Inc.		27,300		434,070
STERIS plc		43,122		4,528,241
				5,650,796
*Health Care Providers & Services – 3.0%*
Encompass Health Corp.		46,573		3,153,924
Owens & Minor, Inc.		54,972		918,582
				4,072,506
*Hotels, Restaurants & Leisure – 7.0%*
Bloomin' Brands, Inc.		14,527		291,993
Brinker International, Inc.		16,940		806,344
Cheesecake Factory, Inc. (The)		17,347		955,126
Cracker Barrel Old Country Store, Inc.		7,081		1,106,123
Dine Brands Global, Inc.		1,525		114,070
Dunkin' Brands Group, Inc.		6,946		479,760
Extended Stay America, Inc.		16,293		352,092
International Game Technology plc		6,683		155,313
International Speedway Corp., Class A		3,223		144,068
Jack in the Box, Inc.		5,253		447,135
Papa John's International, Inc.		3,683		186,802
Six Flags Entertainment Corp.		15,221		1,066,231
Sonic Corp.		5,526		190,205
Speedway Motorsports, Inc.		1,699		29,495
Texas Roadhouse, Inc.		14,840		972,168
Vail Resorts, Inc.		8,318		2,280,712
				9,577,637
*Household Durables – 0.8%*
Ethan Allen Interiors, Inc.		5,260		128,870
La-Z-Boy, Inc.		6,238		190,883
MDC Holdings, Inc.		4,318		132,865
Tupperware Brands Corp.		14,438		595,423
				1,048,041
*Household Products – 0.4%*
WD-40 Co.		3,416		499,590
*Industrial Conglomerates – 1.5%*
Carlisle Cos., Inc.		16,566		1,794,264
Raven Industries, Inc.		8,078		310,599
				2,104,863
*Insurance – 4.6%*
American Financial Group, Inc.		5,331		572,176
AmTrust Financial Services, Inc.		8,879		129,367
Argo Group International Holdings Ltd.		3,019		175,555
Aspen Insurance Holdings Ltd.		5,785		235,450
Assured Guaranty Ltd.		19,799		707,418

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust
O’Shares FTSE Russell Small Cap Quality Dividend ETF
Schedule of Investments
June 30, 2018


Investments	Number of Shares		Value
First American Financial Corp.		27,363	$	1,415,214
Infinity Property & Casualty Corp.		1,139		162,137
Mercury General Corp.		3,200		145,792
ProAssurance Corp.		9,895		350,778
RLI Corp.		13,065		864,772
Safety Insurance Group, Inc.		3,901		333,145
Validus Holdings Ltd.		17,888		1,209,229
				6,301,033
*Internet & Direct Marketing Retail – 0.1%*
Nutrisystem, Inc.		2,492		95,942
*Internet Software & Services – 0.7%*
NIC, Inc.		57,997		901,853
*IT Services – 5.3%*
Convergys Corp.		20,927		511,456
CSG Systems International, Inc.		17,856		729,775
EVERTEC, Inc.		10,509		229,621
Jack Henry & Associates, Inc.		19,475		2,538,761
ManTech International Corp., Class A		7,870		422,147
Sabre Corp.		22,705		559,451
Science Applications International Corp.		26,473		2,142,460
TTEC Holdings, Inc.		1,680		58,044
				7,191,715
*Leisure Products – 0.7%*
Brunswick Corp.		11,337		731,010
Sturm Ruger & Co., Inc.		4,353		243,768
				974,778
*Life Sciences Tools & Services – 2.3%*
Bio-Techne Corp.		21,287		3,149,412
*Machinery – 6.6%*
Allison Transmission Holdings, Inc.		12,761		516,693
Astec Industries, Inc.		2,008		120,078
Crane Co.		7,586		607,866
Donaldson Co., Inc.		22,878		1,032,255
Franklin Electric Co., Inc.		3,912		176,431
Graco, Inc.		38,750		1,752,275
Hillenbrand, Inc.		5,393		254,280
ITT, Inc.		16,404		857,437
Lincoln Electric Holdings, Inc.		7,406		649,951
Mueller Industries, Inc.		6,062		178,890
Oshkosh Corp.		8,671		609,745
Tennant Co.		3,151		248,929
Timken Co. (The)		13,009		566,542
Toro Co. (The)		23,859		1,437,505
				9,008,877
*Media – 1.3%*
Cable One, Inc.		308		225,853
Cinemark Holdings, Inc.		10,110		354,659
John Wiley & Sons, Inc., Class A		11,255		702,312


Investments	Number of Shares		Value
Meredith Corp.		4,828	$	246,228
National CineMedia, Inc.		5,744		48,250
Scholastic Corp.		4,449		197,135
				1,774,437
*Metals & Mining – 0.9%*
Ferroglobe plc		8,275		70,917
Steel Dynamics, Inc.		19,640		902,458
Worthington Industries, Inc.		4,917		206,366
				1,179,741
*Multiline Retail – 0.3%*
Big Lots, Inc.		8,758		365,909
*Multi-Utilities – 0.8%*
Avista Corp.		4,795		252,505
NorthWestern Corp.		4,677		267,758
Vectren Corp.		8,780		627,331
				1,147,594
*Oil, Gas & Consumable Fuels – 0.1%*
Ship Finance International Ltd.		8,704		130,125
*Paper & Forest Products – 0.7%*
Domtar Corp.		10,948		522,657
Neenah, Inc.		3,556		301,727
Schweitzer-Mauduit International, Inc.		4,460		194,991
				1,019,375
*Personal Products – 0.3%*
Nu Skin Enterprises, Inc., Class A		4,458		348,571
*Professional Services – 1.4%*
Exponent, Inc.		10,570		510,531
Forrester Research, Inc.		9,088		381,242
Insperity, Inc.		7,513		715,613
Korn/Ferry International		5,324		329,715
				1,937,101
*Road & Rail – 0.3%*
Ryder System, Inc.		5,621		403,925
*Semiconductors & Semiconductor Equipment – 1.2%*
Brooks Automation, Inc.		50,497		1,647,212
*Software – 1.2%*
Progress Software Corp.		43,068		1,671,900
*Specialty Retail – 3.6%*
American Eagle Outfitters, Inc.		31,270		727,028
Barnes & Noble, Inc.		5,854		37,173
Buckle, Inc. (The)		8,571		230,560
Chico's FAS, Inc.		39,837		324,273
Children's Place, Inc. (The)		2,741		331,113
Dick's Sporting Goods, Inc.		16,953		597,593
DSW, Inc., Class A		18,063		466,387
Guess?, Inc.		13,286		284,320
Rent-A-Center, Inc.*		4,654		68,507

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust
O’Shares FTSE Russell Small Cap Quality Dividend ETF
Schedule of Investments
June 30, 2018


Investments	Number of Shares		Value
Williams-Sonoma, Inc.		29,693	$	1,822,556
				4,889,510
*Textiles, Apparel & Luxury Goods – 1.3%*
Carter's, Inc.		12,578		1,363,329
Columbia Sportswear Co.		3,574		326,914
Oxford Industries, Inc.		1,622		134,594
				1,824,837
*Thrifts & Mortgage Finance – 0.2%*
Capitol Federal Financial, Inc.		12,072		158,868
Dime Community Bancshares, Inc.		2,771		54,034
Oritani Financial Corp.		4,175		67,635
				280,537
*Tobacco – 0.6%*
Universal Corp.		4,484		296,168
Vector Group Ltd.		24,952		476,084
				772,252
*Trading Companies & Distributors – 3.7%*
Applied Industrial Technologies, Inc.		7,512		526,967
Kaman Corp.		2,933		204,401
MSC Industrial Direct Co., Inc., Class A		19,121		1,622,417
Watsco, Inc.		15,331		2,733,210
				5,086,995
*Transportation Infrastructure – 0.3%*
Macquarie Infrastructure Corp.		9,592		404,782


Investments	Number of Shares		Value
*Water Utilities – 0.7%*
American States Water Co.		2,520	$	144,043
Aqua America, Inc.		17,224		605,940
California Water Service Group		3,766		146,686
SJW Group		1,122		74,299
				970,968
*Wireless Telecommunication Services – 0.2%*
Telephone & Data Systems, Inc.		9,142		250,674
Total Common Stocks (Cost $131,494,634)				136,660,218
Total Investments — 99.9% (Cost $131,494,634)				136,660,218
Other Assets Less Liabilities — 0.1%				141,688
Net Assets — 100.0%			$	136,801,906

Non-income producing security.

As of June 30, 2018, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation	$	9,026,908
Aggregate gross unrealized depreciation		(3,919,008	)
Net unrealized appreciation	$	5,107,900
Federal income tax cost of investments	$	131,552,318

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust
O'Shares Global Internet Giants ETF
Schedule of Investments
June 30, 2018


Investments	Number of Shares		Value
Common Stocks – 99.9%
*Internet & Direct Marketing Retail – 24.7%*
Amazon.com, Inc.*		1,900	$	3,229,620
ASOS plc*		10,847		873,852
Booking Holdings, Inc.*		288		583,802
Ctrip.com International Ltd., ADR*		20,509		976,844
Expedia Group, Inc.		2,191		263,336
JD.com, Inc., ADR*		35,543		1,384,400
Netflix, Inc.*		5,111		2,000,599
Rakuten, Inc.		51,800		350,462
Start Today Co. Ltd.		21,800		790,204
Vipshop Holdings Ltd., ADR*		60,574		657,228
Wayfair, Inc., Class A*		7,958		945,092
Zalando SE*^(a)		12,541		700,924
				12,756,363
*Internet Software & Services – 54.4%*
2U, Inc.*		10,448		873,035
58.com, Inc., ADR*		13,792		956,337
Alibaba Group Holding Ltd., ADR*		15,769		2,925,622
Alphabet, Inc., Class A*		2,832		3,197,866
Autohome, Inc., ADR		4,972		502,172
Baidu, Inc., ADR*		3,832		931,176
CoStar Group, Inc.*		1,154		476,175
eBay, Inc.*		7,053		255,742
Facebook, Inc., Class A*		17,062		3,315,488
GrubHub, Inc.*		8,411		882,398
IAC/InterActiveCorp*		2,410		367,501
Just Eat plc*		88,348		908,637
Match Group, Inc.*		9,660		374,228
MercadoLibre, Inc.		3,986		1,191,535
Momo, Inc., ADR*		17,895		778,432
NetEase, Inc., ADR		4,298		1,085,976
Nutanix, Inc., Class A*		16,973		875,298
Shopify, Inc., Class A*		7,178		1,046,102
SINA Corp.*		10,840		918,040
Tencent Holdings Ltd.		58,900		2,956,468
Twitter, Inc.*		6,177		269,749
United Internet AG (Registered)		6,640		380,339
Weibo Corp., ADR*		12,143		1,077,813
Yahoo Japan Corp.		62,000		205,986
YY, Inc., ADR*		8,977		901,919
Zillow Group, Inc., Class C*		8,006		472,834
				28,126,868
*Software – 20.8%*
Adobe Systems, Inc.*		3,810		928,916
Atlassian Corp. plc, Class A*		13,413		838,581
Guidewire Software, Inc.*		6,553		581,775


Investments	Number of Shares		Value
Intuit, Inc.		1,289	$	263,349
Microsoft Corp.		17,059		1,682,188
Proofpoint, Inc.*		6,320		728,759
Red Hat, Inc.*		2,550		342,644
salesforce.com, Inc.*		6,167		841,179
ServiceNow, Inc.*		5,813		1,002,568
Snap, Inc., Class A*		92,733		1,213,875
Splunk, Inc.*		6,535		647,684
VMware, Inc., Class A*		1,536		225,746
Workday, Inc., Class A*		5,687		688,809
Zendesk, Inc.*		14,499		790,051
				10,776,124
Total Common Stocks (Cost $54,362,105)				51,659,355
Total Investments — 99.9% (Cost $54,362,105)				51,659,355
Other Assets Less Liabilities — 0.1%				75,250
Net Assets — 100.0%			$	51,734,605

Non-income producing security.

(a)

Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Rule 144A may be resold, normally to qualified institutional buyers, in transactions exempt from registration.


Abbreviations
ADR		American Depositary Receipt

As of June 30, 2018, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation	$	236,284
Aggregate gross unrealized depreciation		(2,949,140	)
Net unrealized depreciation	$	(2,712,856	)
Federal income tax cost of investments	$	54,372,211

O’Shares Global Internet Giants ETF invested, as a percentage of net assets, in the following countries as of June 30, 2018:


Argentina	2.3	%
Canada	2.0	%
China	31.0	%
Germany	2.1	%
Japan	2.6	%
United Kingdom	3.5	%
United States	56.4	%
Other⁽¹⁾	0.1	%
	100.0	%

(1)

Includes any non-equity securities and net other assets (liabilities).

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust
O'Shares FTSE Europe Quality Dividend ETF
Schedule of Investments
June 30, 2018


Investments	Number of Shares		Value
Common Stocks – 98.9%
*Aerospace & Defense – 1.0%*
BAE Systems plc		37,978	$	324,309
Thales SA		782		100,752
				425,061
*Air Freight & Logistics – 1.2%*
bpost SA		2,924		46,190
Deutsche Post AG (Registered)		9,907		323,527
Royal Mail plc		16,626		110,938
				480,655
*Auto Components – 1.1%*
Cie Generale des Etablissements Michelin SCA		2,310		281,301
Continental AG		668		152,514
				433,815
*Beverages – 1.9%*
Diageo plc		21,451		770,889
*Building Products – 0.8%*
Cie de Saint-Gobain		3,519		157,236
Geberit AG (Registered)		374		160,418
				317,654
*Capital Markets – 1.4%*
3i Group plc		25,024		297,540
Ashmore Group plc		6,868		33,822
Partners Group Holding AG		306		224,195
				555,557
*Chemicals – 3.7%*
BASF SE		5,305		507,338
Croda International plc		1,346		85,334
EMS-Chemie Holding AG (Registered)		34		21,795
Evonik Industries AG		1,904		65,201
FUCHS PETROLUB SE		359		16,975
FUCHS PETROLUB SE (Preference)		544		26,829
Givaudan SA (Registered)		119		269,891
Johnson Matthey plc		1,428		68,230
Linde AG		1,156		241,392
Umicore SA		1,564		89,750
Yara International ASA		2,312		95,879
				1,488,614
*Commercial Services & Supplies – 0.4%*
Babcock International Group plc		2,890		31,203
ISS A/S		2,867		98,525
Societe BIC SA		495		45,888
				175,616
*Construction & Engineering – 1.7%*
ACS Actividades de Construccion y Servicios SA		1,598		64,741
Boskalis Westminster		676		19,692
Bouygues SA		1,564		67,400


Investments	Number of Shares		Value
Ferrovial SA		8,602	$	176,510
Vinci SA		3,725		358,194
				686,537
*Construction Materials – 0.5%*
CRH plc		5,508		194,524
Imerys SA		272		21,992
				216,516
*Containers & Packaging – 0.1%*
DS Smith plc		8,890		61,173
*Diversified Financial Services – 2.0%*
Corp. Financiera Alba SA		408		23,723
Industrivarden AB, Class A		6,018		121,961
Industrivarden AB, Class C		5,168		100,344
Investor AB, Class B		12,593		513,658
Sofina SA		257		44,409
				804,095
*Diversified Telecommunication Services – 6.0%*
BT Group plc		173,058		497,629
Deutsche Telekom AG (Registered)		28,608		443,235
Elisa OYJ		1,853		85,825
Inmarsat plc		4,080		29,627
Orange SA		17,595		294,690
Proximus SADP		2,906		65,517
Swisscom AG (Registered)		326		145,509
Telefonica Deutschland Holding AG		10,982		43,287
Telefonica SA		47,511		403,777
Telenor ASA		14,042		287,976
Telia Co. AB		35,700		163,455
				2,460,527
*Electric Utilities – 3.0%*
EDP – Energias de Portugal SA		21,216		84,220
Endesa SA		6,120		135,012
Enel SpA		63,451		352,409
Fortum OYJ		2,516		60,044
Red Electrica Corp. SA		6,392		130,154
SSE plc		17,034		304,728
Terna Rete Elettrica Nazionale SpA		25,432		137,539
				1,204,106
*Electrical Equipment – 2.6%*
ABB Ltd. (Registered)		21,975		480,464
Legrand SA		2,176		159,803
Schneider Electric SE		5,054		421,435
Signify NV^(a)		646		16,782
				1,078,484
*Equity Real Estate Investment Trusts (REITs) – 3.8%*
Covivio		1,122		116,720
Gecina SA		1,584		265,019
Hammerson plc		15,878		109,552
Klepierre SA		8,006		301,454

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust
O'Shares FTSE Europe Quality Dividend ETF
Schedule of Investments
June 30, 2018


Investments	Number of Shares		Value
Merlin Properties Socimi SA		6,562	$	95,424
Unibail-Rodamco-Westfield		2,927		644,354
				1,532,523
*Food & Staples Retailing – 0.6%*
Colruyt SA		952		54,319
ICA Gruppen AB		578		17,748
J Sainsbury plc		13,498		57,240
Jeronimo Martins SGPS SA		1,944		28,077
Kesko OYJ, Class B		816		49,923
Wm Morrison Supermarkets plc		13,362		44,456
				251,763
*Food Products – 5.8%*
Marine Harvest ASA		8,126		161,714
Nestle SA (Registered)		26,613		2,061,070
Orkla ASA		11,458		100,376
Tate & Lyle plc		5,474		46,745
				2,369,905
*Gas Utilities – 0.3%*
Gas Natural SDG SA		3,502		92,733
Rubis SCA		558		34,855
				127,588
*Health Care Equipment & Supplies – 0.8%*
Coloplast A/S, Class B		1,734		173,305
Koninklijke Philips NV		3,978		169,176
				342,481
*Hotels, Restaurants & Leisure – 1.0%*
InterContinental Hotels Group plc		2,040		127,124
Sodexo SA		834		83,371
TUI AG		2,720		59,702
Whitbread plc		2,040		106,628
William Hill plc		8,092		32,414
				409,239
*Household Durables – 0.2%*
Persimmon plc		2,278		76,181
*Household Products – 1.6%*
Reckitt Benckiser Group plc		8,116		668,518
*Independent Power and Renewable Electricity Producers – 0.1%*
Uniper SE		1,274		37,990
*Industrial Conglomerates – 2.7%*
Investment AB Latour, Class B		1,802		19,519
Siemens AG (Registered)		7,380		975,562
Smiths Group plc		3,911		87,676
				1,082,757
*Insurance – 3.1%*
Admiral Group plc		7,310		184,093
Direct Line Insurance Group plc		26,554		120,214
Gjensidige Forsikring ASA		3,774		61,863


Investments	Number of Shares		Value
Sampo OYJ, Class A		10,835	$	528,787
Swiss Re AG		3,174		273,943
Tryg A/S		4,230		99,295
				1,268,195
*IT Services – 0.7%*
Amadeus IT Group SA		3,400		268,350
*Machinery – 2.0%*
ANDRITZ AG		612		32,483
Atlas Copco AB, Class A		3,893		113,491
Atlas Copco AB, Class B		2,644		69,351
Epiroc AB, Class A*		4,008		42,110
Epiroc AB, Class B*		2,722		24,950
GEA Group AG		1,224		41,286
IMI plc		3,541		52,921
Kone OYJ, Class B		4,658		237,443
MAN SE		306		34,637
Schindler Holding AG		198		42,593
Schindler Holding AG (Registered)		102		21,449
SKF AB, Class B		2,584		48,150
Sulzer AG (Registered)		86		10,445
Zardoya Otis SA		3,196		30,524
				801,833
*Marine – 0.3%*
Kuehne + Nagel International AG (Registered)		816		122,612
*Media – 2.0%*
Axel Springer SE		374		27,051
ITV plc		53,992		124,032
Lagardere SCA		1,394		36,799
Mediaset Espana Comunicacion SA		1,258		10,608
ProSiebenSat.1 Media SE		2,414		61,245
Publicis Groupe SA		1,955		134,534
RTL Group SA		782		53,047
SES SA, FDR		2,856		52,319
Sky plc		7,820		150,891
WPP plc		11,270		177,509
				828,035
*Multiline Retail – 0.6%*
Marks & Spencer Group plc		18,360		71,531
Next plc		2,108		168,377
				239,908
*Multi-Utilities – 2.9%*
Centrica plc		63,648		132,475
Engie SA		19,525		299,317
Innogy SE^(a)		1,478		63,314
National Grid plc		52,036		575,985
Suez		3,196		41,438
Veolia Environnement SA		3,672		78,585
				1,191,114

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust
O'Shares FTSE Europe Quality Dividend ETF
Schedule of Investments
June 30, 2018


Investments	Number of Shares		Value
*Oil, Gas & Consumable Fuels – 5.8%*
Enagas SA		3,672	$	107,353
Eni SpA		21,153		392,833
Equinor ASA		5,746		152,561
Snam SpA		43,112		180,000
TOTAL SA		25,032		1,525,895
				2,358,642
*Paper & Forest Products – 0.5%*
Svenska Cellulosa AB SCA, Class B		5,610		61,029
UPM-Kymmene OYJ		3,570		127,629
				188,658
*Personal Products – 4.0%*
L'Oreal SA		2,449		604,748
Unilever NV, CVA		10,315		575,488
Unilever plc		8,193		453,441
				1,633,677
*Pharmaceuticals – 18.2%*
AstraZeneca plc		8,471		587,487
GlaxoSmithKline plc		74,978		1,514,344
Novartis AG (Registered)		22,044		1,671,255
Novo Nordisk A/S, Class B		15,381		713,433
Orion OYJ, Class B		884		23,831
Recordati SpA		731		29,069
Roche Holding AG – BR		306		69,031
Roche Holding AG – Genusschein		7,830		1,739,168
Sanofi		13,181		1,056,488
				7,404,106
*Professional Services – 2.3%*
Bureau Veritas SA		2,754		73,505
DKSH Holding AG		120		8,441
Experian plc		8,194		202,786
RELX NV		7,786		166,039
RELX plc		10,064		215,581
SGS SA (Registered)		71		188,914
Wolters Kluwer NV		1,410		79,448
				934,714
*Real Estate Management & Development – 3.1%*
Deutsche Wohnen SE		6,562		317,185
LEG Immobilien AG		1,972		214,308
PSP Swiss Property AG (Registered)		374		34,652
Swiss Prime Site AG (Registered)*		1,020		93,633
Vonovia SE		12,760		607,240
				1,267,018
*Specialty Retail – 1.4%*
CECONOMY AG		952		7,934
Fielmann AG*		374		25,894
Hennes & Mauritz AB, Class B		9,316		139,022
Industria de Diseno Textil SA		6,800		232,305
Kingfisher plc		37,094		145,451
				550,606


Investments	Number of Shares		Value
*Textiles, Apparel & Luxury Goods – 0.1%*
HUGO BOSS AG		612	$	55,563
*Tobacco – 3.3%*
British American Tobacco plc		18,965		958,976
Imperial Brands plc		7,388		275,258
Swedish Match AB		2,176		107,925
				1,342,159
*Trading Companies & Distributors – 0.6%*
Ferguson plc		2,291		186,019
Travis Perkins plc		2,584		48,529
				234,548
*Transportation Infrastructure – 0.8%*
Abertis Infraestructuras SA		5,576		119,561
Aena SME SA^(a)		408		74,074
Atlantia SpA		4,658		137,701
				331,336
*Water Utilities – 0.5%*
Pennon Group plc		5,372		56,342
Severn Trent plc		2,754		71,974
United Utilities Group plc		7,446		75,027
				203,343
*Wireless Telecommunication Services – 2.4%*
Tele2 AB, Class B		2,822		33,217
Vodafone Group plc		383,323		930,280
				963,497
Total Common Stocks (Cost $41,629,066)				40,246,158


	Number of Rights
Rights – 0.0%^(b)
*Construction & Engineering – 0.0%^(b)*
ACS Actividades de Construccion y Servicios SA, expiring 7/10/2018* (Cost $1,712)		1,645		1,694
Total Investments — 98.9% (Cost $41,630,778)				40,247,852
Other Assets Less Liabilities — 1.1%				450,506
Net Assets — 100.0%			$	40,698,358

Non-income producing security.

(a)

(b)

Represents less than 0.05% of net assets.

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust
O'Shares FTSE Europe Quality Dividend ETF
Schedule of Investments
June 30, 2018


Abbreviations
CVA		Dutch Certification
FDR		Fiduciary Depositary Receipt
OYJ		Public Limited Company
Preference		A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
SCA		Limited partnership with share capital

As of June 30, 2018, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation	$	1,932,507
Aggregate gross unrealized depreciation		(3,375,781	)
Net unrealized depreciation	$	(1,443,274	)
Federal income tax cost of investments	$	41,691,126

O'Shares FTSE Europe Quality Dividend ETF invested, as a percentage of net assets, in the following countries as of June 30, 2018:


Austria	0.1	%
Belgium	0.7	%
Denmark	2.7	%
Finland	2.7	%
France	17.7	%
Germany	10.7	%
Ireland	0.5	%
Italy	3.0	%
Luxembourg	0.3	%
Netherlands	0.7	%
Norway	2.1	%
Portugal	0.3	%
Spain	4.8	%
Sweden	3.9	%
Switzerland	19.2	%
United Kingdom	29.5	%
Other⁽¹⁾	1.1	%
	100.0	%

(1)

Includes any non-equity securities and net other assets (liabilities).

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust
O'Shares FTSE Russell International Quality Dividend ETF
Schedule of Investments
June 30, 2018


Investments	Number of Shares		Value
Common Stocks – 98.3%
*Aerospace & Defense – 1.1%*
BAE Systems plc		7,188	$	61,381
Cobham plc*		4,048		6,875
Meggitt plc		1,232		8,024
Safran SA		423		51,388
Singapore Technologies Engineering Ltd.		5,200		12,547
Thales SA		190		24,479
				164,694
*Air Freight & Logistics – 0.7%*
bpost SA		610		9,636
Deutsche Post AG (Registered)		2,325		75,926
Royal Mail plc		3,224		21,512
				107,074
*Airlines – 0.2%*
Air New Zealand Ltd.		171		368
Japan Airlines Co. Ltd.		600		21,277
Singapore Airlines Ltd.		1,400		10,976
				32,621
*Auto Components – 1.9%*
Bridgestone Corp.		2,200		86,062
Cie Generale des Etablissements Michelin SCA		457		55,651
Continental AG		137		31,279
Denso Corp.		1,100		53,746
Magna International, Inc.		758		44,059
Nokian Renkaat OYJ		244		9,640
				280,437
*Banks – 3.3%*
Bank of Montreal		764		59,020
Bank of Nova Scotia (The)		1,535		86,864
Canadian Imperial Bank of Commerce		636		55,291
Royal Bank of Canada		1,871		140,796
Toronto-Dominion Bank (The)		2,219		128,355
				470,326
*Beverages – 1.1%*
Diageo plc		4,362		156,758
*Building Products – 0.6%*
Assa Abloy AB, Class B		851		18,159
Cie de Saint-Gobain		734		32,797
Geberit AG (Registered)		82		35,172
				86,128
*Capital Markets – 1.5%*
3i Group plc		3,534		42,020
Ashmore Group plc		1,178		5,801
ASX Ltd.		530		25,214
CI Financial Corp.		1,564		28,095
IGM Financial, Inc.		412		11,936
IOOF Holdings Ltd.		740		4,915
Partners Group Holding AG		40		29,307


Investments	Number of Shares		Value
Perpetual Ltd.		244	$	7,500
Platinum Asset Management Ltd.		885		3,766
Singapore Exchange Ltd.		4,700		24,715
Thomson Reuters Corp.		718		28,956
				212,225
*Chemicals – 3.0%*
Akzo Nobel NV		359		30,732
BASF SE		1,071		102,424
Croda International plc		230		14,582
Daicel Corp.		600		6,641
DuluxGroup Ltd.		1,096		6,195
EMS-Chemie Holding AG (Registered)		14		8,974
Evonik Industries AG		490		16,780
FUCHS PETROLUB SE		82		3,877
FUCHS PETROLUB SE (Preference)		122		6,017
Givaudan SA (Registered)		25		56,700
Israel Chemicals Ltd.		795		3,627
Johnson Matthey plc		366		17,487
JSR Corp.		600		10,216
Koninklijke DSM NV		143		14,379
Kuraray Co. Ltd.		1,500		20,665
Linde AG		276		57,633
Lintec Corp.		200		5,805
Orica Ltd.		238		3,121
Sika AG (Registered)		60		8,303
Solvay SA		22		2,778
Umicore SA		384		22,036
Yara International ASA		519		21,523
				440,495
*Commercial Services & Supplies – 1.1%*
Babcock International Group plc		392		4,232
Brambles Ltd.		3,755		24,637
Dai Nippon Printing Co. Ltd.		700		15,666
Edenred		391		12,353
G4S plc		2,762		9,762
ISS A/S		456		15,670
Park24 Co. Ltd.		600		16,332
Secom Co. Ltd.		700		53,762
Societe BIC SA		82		7,602
				160,016
*Construction & Engineering – 1.0%*
ACS Actividades de Construccion y Servicios SA		392		15,882
Boskalis Westminster		195		5,680
Bouygues SA		366		15,773
COMSYS Holdings Corp.		400		10,613
Ferrovial SA		1,589		32,606
Vinci SA		740		71,158
				151,712
*Construction Materials – 0.8%*
Adelaide Brighton Ltd.		1,516		7,785
CRH plc		1,254		44,436

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust
O'Shares FTSE Russell International Quality Dividend ETF
Schedule of Investments
June 30, 2018


Investments	Number of Shares		Value
CSR Ltd.		1,800	$	6,104
Fletcher Building Ltd.		1,952		9,185
James Hardie Industries plc, CHDI		1,178		19,740
LafargeHolcim Ltd. (Registered)*		501		24,410
				111,660
*Containers & Packaging – 0.3%*
Amcor Ltd.		2,571		27,373
Huhtamaki OYJ		141		5,217
Orora Ltd.		2,694		7,106
				39,696
*Distributors – 0.0%^(a)*
Inchcape plc		490		5,049
*Diversified Consumer Services – 0.0%^(a)*
Benesse Holdings, Inc.		200		7,096
*Diversified Financial Services – 0.8%*
Corp. Financiera Alba SA		98		5,698
Industrivarden AB, Class A		773		15,666
Industrivarden AB, Class C		627		12,174
Investor AB, Class B		1,868		76,194
Sofina SA		27		4,666
				114,398
*Diversified Telecommunication Services – 4.7%*
BCE, Inc.		890		36,021
Bezeq The Israeli Telecommunication Corp. Ltd.		7,540		8,478
BT Group plc		29,798		85,684
Deutsche Telekom AG (Registered)		5,666		87,785
Elisa OYJ		457		21,167
Inmarsat plc		1,112		8,075
Nippon Telegraph & Telephone Corp.		1,400		63,652
Orange SA		3,736		62,572
Proximus SADP		500		11,273
Singapore Telecommunications Ltd.		15,500		35,013
Spark New Zealand Ltd.		7,614		19,228
Swisscom AG (Registered)		60		26,781
Telefonica Deutschland Holding AG		2,712		10,690
Telefonica SA		8,460		71,898
Telenor ASA		2,510		51,476
Telia Co. AB		7,374		33,762
Telstra Corp. Ltd.		13,049		25,260
TELUS Corp.		480		17,041
				675,856
*Electric Utilities – 2.5%*
AusNet Services		4,332		5,137
CK Infrastructure Holdings Ltd.		1,500		11,118
CLP Holdings Ltd.		5,000		53,853
Contact Energy Ltd.		2,680		10,615
EDP – Energias de Portugal SA		3,994		15,855
Endesa SA		1,332		29,385
Enel SpA		13,211		73,374
Fortum OYJ		853		20,357


Investments	Number of Shares		Value
Hokuriku Electric Power Co.*		500	$	5,024
Mercury NZ Ltd.		2,058		4,696
Orsted A/S^(b)		194		11,734
Power Assets Holdings Ltd.		1,500		10,487
Red Electrica Corp. SA		1,433		29,179
SSE plc		3,146		56,280
Terna Rete Elettrica Nazionale SpA		5,048		27,300
				364,394
*Electrical Equipment – 1.6%*
ABB Ltd. (Registered)		4,669		102,084
Legrand SA		474		34,810
Schneider Electric SE		1,043		86,972
Signify NV^(b)		137		3,559
				227,425
*Electronic Equipment, Instruments & Components – 0.6%*
Halma plc		842		15,230
Hirose Electric Co. Ltd.		105		13,015
Kyocera Corp.		700		39,479
Venture Corp. Ltd.		1,200		15,701
				83,425
*Energy Equipment & Services – 0.3%*
TechnipFMC plc		890		28,420
Tenaris SA		714		13,100
				41,520
*Equity Real Estate Investment Trusts (REITs) – 5.0%*
Ascendas REIT		8,900		17,232
CapitaLand Commercial Trust		7,200		8,766
CapitaLand Mall Trust		10,600		16,092
Covivio		61		6,346
Dexus		5,937		42,593
Gecina SA		162		27,104
Goodman Group		6,293		44,729
GPT Group (The)		9,749		36,447
Hammerson plc		1,396		9,632
Kiwi Property Group Ltd.		5,374		4,894
Klepierre SA		1,011		38,068
Link REIT		11,000		100,459
Mirvac Group		19,796		31,739
RioCan REIT		1,712		31,430
Scentre Group		30,082		97,573
Shopping Centres Australasia Property Group		4,996		9,044
Stockland		12,029		35,284
Suntec REIT		7,200		9,135
Unibail-Rodamco-Westfield		590		129,884
Unibail-Rodamco-Westfield, CHDI*		1		9
Vicinity Centres		14,756		28,237
				724,697
*Food & Staples Retailing – 2.8%*
Colruyt SA		162		9,243
Distribuidora Internacional de Alimentacion SA		1,176		3,426

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust
O'Shares FTSE Russell International Quality Dividend ETF
Schedule of Investments
June 30, 2018


Investments	Number of Shares		Value
ICA Gruppen AB		222	$	6,817
Jeronimo Martins SGPS SA		620		8,954
Kesko OYJ, Class B		204		12,481
Lawson, Inc.		400		24,990
Metro, Inc.		370		12,570
Seven & i Holdings Co. Ltd.		1,900		82,868
Wesfarmers Ltd.		4,728		172,429
Woolworths Group Ltd.		2,840		64,041
				397,819
*Food Products – 4.1%*
Marine Harvest ASA		1,538		30,608
Nestle SA (Registered)		6,528		505,568
Orkla ASA		2,537		22,225
Saputo, Inc.		369		12,244
Tate & Lyle plc		894		7,634
Toyo Suisan Kaisha Ltd.		200		7,123
Want Want China Holdings Ltd.		5,000		4,448
				589,850
*Gas Utilities – 0.7%*
APA Group		3,359		24,446
Gas Natural SDG SA		764		20,231
Hong Kong & China Gas Co. Ltd.		14,080		26,956
Osaka Gas Co. Ltd.		1,200		24,836
Rubis SCA		116		7,246
				103,715
*Health Care Equipment & Supplies – 1.0%*
Cochlear Ltd.		82		12,127
Coloplast A/S, Class B		366		36,580
Fisher & Paykel Healthcare Corp. Ltd.		1,426		14,376
Koninklijke Philips NV		1,354		57,583
Smith & Nephew plc		1,219		22,499
				143,165
*Health Care Providers & Services – 0.2%*
Miraca Holdings, Inc.		200		5,958
Ryman Healthcare Ltd.		690		5,592
Sonic Healthcare Ltd.		876		15,877
				27,427
*Hotels, Restaurants & Leisure – 1.3%*
Carnival plc		275		15,783
Compass Group plc		1,978		42,266
Crown Resorts Ltd.		1,096		10,932
Flight Centre Travel Group Ltd.		100		4,703
InterContinental Hotels Group plc		437		27,232
SKYCITY Entertainment Group Ltd.		2,018		5,520
Sodexo SA		136		13,595
Tabcorp Holdings Ltd.		4,569		15,056
TUI AG		1,063		23,332
Whitbread plc		358		18,712
William Hill plc		2,166		8,676
				185,807


Investments	Number of Shares		Value
*Household Durables – 0.4%*
Bellway plc		187	$	7,417
Berkeley Group Holdings plc		210		10,494
Persimmon plc		579		19,363
Taylor Wimpey plc		9,505		22,450
				59,724
*Household Products – 0.9%*
Reckitt Benckiser Group plc		1,540		126,850
*Independent Power and Renewable Electricity Producers – 0.1%*
Meridian Energy Ltd.		2,654		5,606
Uniper SE		352		10,497
				16,103
*Industrial Conglomerates – 2.4%*
CK Hutchison Holdings Ltd.		5,000		53,024
Hopewell Holdings Ltd.		3,000		10,248
Investment AB Latour, Class B		270		2,925
Jardine Matheson Holdings Ltd.		400		25,240
Keppel Corp. Ltd.		2,800		14,683
NWS Holdings Ltd.		4,000		6,924
Siemens AG (Registered)		1,673		221,154
Smiths Group plc		599		13,428
				347,626
*Insurance – 1.7%*
Admiral Group plc		775		19,517
Direct Line Insurance Group plc		2,767		12,527
Gjensidige Forsikring ASA		312		5,114
Great-West Lifeco, Inc.		382		9,386
Insurance Australia Group Ltd.		6,358		40,071
Intact Financial Corp.		274		19,423
Medibank Pvt Ltd.		10,970		23,667
Sampo OYJ, Class A		1,481		72,278
Sun Life Financial, Inc.		744		29,880
Tryg A/S		296		6,948
				238,811
*Internet Software & Services – 0.1%*
OneMarket Ltd.*		507		479
Yahoo Japan Corp.		2,100		6,977
				7,456
*IT Services – 0.6%*
Amadeus IT Group SA		758		59,826
Computershare Ltd.		1,118		15,224
Nomura Research Institute Ltd.		300		14,544
				89,594
*Leisure Products – 0.1%*
Sankyo Co. Ltd.		300		11,741
*Machinery – 2.0%*
Alfa Laval AB		337		8,009
ANDRITZ AG		136		7,218
Atlas Copco AB, Class A		1,230		35,858

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust
O'Shares FTSE Russell International Quality Dividend ETF
Schedule of Investments
June 30, 2018


Investments	Number of Shares		Value
Atlas Copco AB, Class B		846	$	22,190
Epiroc AB, Class A*		1,230		12,923
Epiroc AB, Class B*		846		7,754
GEA Group AG		322		10,861
IMI plc		875		13,077
Kone OYJ, Class B		1,263		64,382
Kurita Water Industries Ltd.		400		11,411
Makita Corp.		600		26,895
MAN SE		40		4,528
OSG Corp.		200		4,122
Sandvik AB		1,408		25,025
Schindler Holding AG		40		8,605
Schindler Holding AG (Registered)		14		2,944
SKF AB, Class B		829		15,448
Spirax-Sarco Engineering plc		61		5,251
Zardoya Otis SA		826		7,889
				294,390
*Marine – 0.2%*
Kuehne + Nagel International AG (Registered)		176		26,446
*Media – 1.7%*
Axel Springer SE		54		3,906
Daiichikosho Co. Ltd.		200		9,660
Hakuhodo DY Holdings, Inc.		500		8,026
ITV plc		10,262		23,574
JCDecaux SA		136		4,551
Lagardere SCA		135		3,564
Mediaset Espana Comunicacion SA		392		3,305
Pearson plc		1,476		17,246
ProSiebenSat.1 Media SE		669		16,973
Publicis Groupe SA		390		26,838
RTL Group SA		162		10,989
SES SA, FDR		619		11,339
Shaw Communications, Inc., Class B		1,042		21,213
Singapore Press Holdings Ltd.		3,800		7,246
SKY Network Television Ltd.		2,072		3,648
Sky plc		1,847		35,639
WPP plc		2,030		31,974
				239,691
*Metals & Mining – 0.5%*
Maruichi Steel Tube Ltd.		600		20,341
Norsk Hydro ASA		2,163		12,948
Rio Tinto Ltd.		733		45,189
				78,478
*Multiline Retail – 0.5%*
Canadian Tire Corp. Ltd., Class A		70		9,132
Harvey Norman Holdings Ltd.		1,990		4,881
Marks & Spencer Group plc		4,156		16,192
Next plc		455		36,343
				66,548


Investments	Number of Shares		Value
*Multi-Utilities – 2.0%*
AGL Energy Ltd.		2,154	$	35,777
Canadian Utilities Ltd., Class A		302		7,622
Centrica plc		13,646		28,402
Engie SA		4,076		62,485
Innogy SE^(b)		263		11,266
National Grid plc		10,498		116,202
Suez		732		9,491
Veolia Environnement SA		811		17,356
				288,601
*Oil, Gas & Consumable Fuels – 5.6%*
ARC Resources Ltd.		844		8,713
Caltex Australia Ltd.		678		16,300
Enagas SA		776		22,687
Enbridge, Inc.		3,030		108,259
Eni SpA		4,262		79,150
Equinor ASA		1,293		34,330
Imperial Oil Ltd.		370		12,292
Inter Pipeline Ltd.		792		14,835
Koninklijke Vopak NV		85		3,927
Neste OYJ		176		13,809
Pembina Pipeline Corp.		744		25,751
Snam SpA		7,764		32,416
TOTAL SA		5,586		340,510
TransCanada Corp.		907		39,219
Woodside Petroleum Ltd.		2,068		54,181
				806,379
*Paper & Forest Products – 0.4%*
Mondi plc		509		13,783
Svenska Cellulosa AB SCA, Class B		1,028		11,183
UPM-Kymmene OYJ		980		35,035
				60,001
*Personal Products – 3.2%*
Kao Corp.		1,400		106,803
L'Oreal SA		491		121,246
Unilever NV, CVA		2,535		141,431
Unilever plc		1,667		92,260
				461,740
*Pharmaceuticals – 14.7%*
Astellas Pharma, Inc.		8,300		126,562
AstraZeneca plc		2,241		155,419
Bayer AG (Registered)		1,015		111,811
GlaxoSmithKline plc		17,126		345,897
Mitsubishi Tanabe Pharma Corp.		500		8,640
Novartis AG (Registered)		5,759		436,616
Novo Nordisk A/S, Class B		4,120		191,102
Orion OYJ, Class B		340		9,166
Recordati SpA		230		9,146
Roche Holding AG – BR		89		20,078

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust
O'Shares FTSE Russell International Quality Dividend ETF
Schedule of Investments
June 30, 2018


Investments	Number of Shares		Value
Roche Holding AG – Genusschein		2,030	$	450,895
Sanofi		3,254		260,816
				2,126,148
*Professional Services – 1.6%*
Adecco Group AG (Registered)		236		13,966
Bureau Veritas SA		610		16,281
Capita plc		1,340		2,826
DKSH Holding AG		54		3,799
Experian plc		1,706		42,220
RELX NV		2,046		43,631
RELX plc		2,194		46,998
SEEK Ltd.		514		8,283
SGS SA (Registered)		14		37,251
Wolters Kluwer NV		280		15,777
				231,032
*Real Estate Management & Development – 3.3%*
Alony Hetz Properties & Investments Ltd.		632		5,801
Daito Trust Construction Co. Ltd.		600		97,558
Deutsche Wohnen SE		954		46,113
Hang Lung Properties Ltd.		2,000		4,125
Henderson Land Development Co. Ltd.		1,980		10,474
Hongkong Land Holdings Ltd.		3,900		27,885
Kerry Properties Ltd.		1,500		7,179
LEG Immobilien AG		281		30,538
LendLease Group		1,040		15,222
Sino Land Co. Ltd.		10,000		16,264
Sun Hung Kai Properties Ltd.		4,827		72,847
Swire Pacific Ltd., Class A		500		5,296
Swire Properties Ltd.		3,400		12,568
Swiss Prime Site AG (Registered)*		108		9,914
Vonovia SE		1,929		91,800
Wharf Holdings Ltd. (The)		3,000		9,636
Wharf Real Estate Investment Co. Ltd.		3,000		21,356
				484,576
*Road & Rail – 1.1%*
Aurizon Holdings Ltd.		6,377		20,401
Canadian National Railway Co.		1,170		95,640
ComfortDelGro Corp. Ltd.		9,000		15,512
Kintetsu Group Holdings Co. Ltd.		400		16,323
MTR Corp. Ltd.		1,000		5,532
				153,408
*Software – 0.2%*
Sage Group plc (The)		933		7,743
Trend Micro, Inc.		300		17,117
				24,860
*Specialty Retail – 1.2%*
ABC-Mart, Inc.		100		5,471
Aoyama Trading Co. Ltd.		200		6,681
Autobacs Seven Co. Ltd.		400		7,093
Dixons Carphone plc		1,706		4,203
Fielmann AG*		108		7,477


Investments	Number of Shares		Value
Hennes & Mauritz AB, Class B		2,474	$	36,919
Industria de Diseno Textil SA		1,610		55,002
Kingfisher plc		6,716		26,334
Shimachu Co. Ltd.		300		9,534
USS Co. Ltd.		700		13,322
				172,036
*Technology Hardware, Storage & Peripherals – 2.3%*
Samsung Electronics Co. Ltd., GDR^(b)		325		339,625
*Textiles, Apparel & Luxury Goods – 1.5%*
Burberry Group plc		758		21,616
Cie Financiere Richemont SA (Registered)		497		42,105
HUGO BOSS AG		136		12,347
Luxottica Group SpA		257		16,581
LVMH Moet Hennessy Louis Vuitton SE		344		114,547
Pandora A/S		110		7,684
Yue Yuen Industrial Holdings Ltd.		2,000		5,647
				220,527
*Tobacco – 2.7%*
British American Tobacco plc		3,678		185,980
Imperial Brands plc		1,402		52,235
Japan Tobacco, Inc.		4,600		128,533
Swedish Match AB		615		30,503
				397,251
*Trading Companies & Distributors – 0.4%*
Ferguson plc		447		36,295
Howden Joinery Group plc		1,178		8,339
Rexel SA		467		6,715
Travis Perkins plc		564		10,592
				61,941
*Transportation Infrastructure – 0.9%*
Aena SME SA^(b)		81		14,706
Aeroports de Paris		40		9,046
Atlantia SpA		812		24,004
Atlas Arteria Ltd.		1,177		5,592
Fraport AG Frankfurt Airport Services Worldwide		28		2,701
Hutchison Port Holdings Trust		16,200		4,536
SATS Ltd.		2,800		10,268
Sydney Airport		2,654		14,040
Transurban Group		5,314		46,997
				131,890
*Water Utilities – 0.3%*
Pennon Group plc		1,395		14,631
Severn Trent plc		562		14,687
United Utilities Group plc		1,624		16,364
				45,682
*Wireless Telecommunication Services – 3.5%*
KDDI Corp.		5,700		155,976
M1 Ltd.		1,400		1,643
NTT DOCOMO, Inc.		6,300		160,536

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust
O'Shares FTSE Russell International Quality Dividend ETF
Schedule of Investments
June 30, 2018


Investments	Number of Shares		Value
Rogers Communications, Inc., Class B		708	$	33,606
StarHub Ltd.		2,800		3,409
Tele2 AB, Class B		789		9,287
Vodafone Group plc		57,524		139,604
				504,061
Total Common Stocks (Cost $14,578,446)				14,218,701
Exchange Traded Funds – 1.0%
iShares MSCI South Korea ETF (Cost $145,009)		2,084		141,108


	Number of Rights
Rights – 0.0%^(a)
*Construction & Engineering – 0.0%^(a)*
ACS Actividades de Construccion y Servicios SA, expiring 7/10/2018* (Cost $408)		392		404
Total Investments – 99.3% (Cost $14,723,863)				14,360,213
Other Assets Less Liabilities – 0.7%				104,613
Net Assets – 100.0%			$	14,464,826

Non-income producing security.

(a)

Represents less than 0.05% of net assets.

(b)


Abbreviations
CHDI		Clearing House Electronic Subregister System (CHESS) Depository Interest
CVA		Dutch Certification
FDR		Fiduciary Depositary Receipt
GDR		Global Depositary Receipt
OYJ		Public Limited Company
Preference		A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
SCA		Limited partnership with share capital

As of June 30, 2018, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation	$	603,611
Aggregate gross unrealized depreciation		(1,014,072	)
Net unrealized depreciation	$	(410,461	)
Federal income tax cost of investments	$	14,770,674

O'Shares FTSE Russell International Quality Dividend ETF invested, as a percentage of net assets, in the following countries as of June 30, 2018:


Australia	7.9	%
Austria	0.1	%
Belgium	0.4	%
Canada	7.8	%
China	0.0%^(a)
Denmark	1.9	%
Finland	1.8	%
France	11.6	%
Germany	6.9	%
Hong Kong	3.5	%
Ireland	0.4	%
Israel	0.1	%
Italy	1.8	%
Japan	10.7	%
Luxembourg	0.2	%
Netherlands	0.9	%
New Zealand	0.6	%
Norway	1.2	%
Portugal	0.2	%
Singapore	1.4	%
South Korea	2.4	%
Spain	2.6	%
Sweden	2.6	%
Switzerland	13.0	%
United Kingdom	18.2	%
United States	1.1	%
Other⁽¹⁾	0.7	%
	100.0	%

(a)

Represents less than 0.05% of net assets.

(1)

Includes any non-equity securities and net other assets (liabilities).

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust
O'Shares FTSE Asia Pacific Quality Dividend ETF
Schedule of Investments
June 30, 2018


Investments	Number of Shares		Value
Common Stocks – 98.2%
*Aerospace & Defense – 0.3%*
Singapore Technologies Engineering Ltd.		12,530	$	30,234
*Air Freight & Logistics – 0.1%*
Kerry Logistics Network Ltd.		1,267		1,767
Singapore Post Ltd.		3,122		2,885
				4,652
*Airlines – 0.8%*
Air New Zealand Ltd.		2,870		6,169
ANA Holdings, Inc.		309		11,351
Japan Airlines Co. Ltd.		931		33,016
Qantas Airways Ltd.		1,645		7,487
Singapore Airlines Ltd.		2,576		20,196
				78,219
*Auto Components – 2.5%*
Aisin Seiki Co. Ltd.		448		20,425
Bridgestone Corp.		3,238		126,667
Denso Corp.		1,658		81,010
Exedy Corp.		98		3,035
Hanon Systems		308		2,929
NHK Spring Co. Ltd.		406		3,827
Sumitomo Rubber Industries Ltd.		420		6,674
Tokai Rika Co. Ltd.		140		2,659
Xinyi Glass Holdings Ltd.		5,740		7,016
				254,242
*Automobiles – 4.0%*
Kia Motors Corp.		875		24,221
Toyota Motor Corp.		5,741		371,624
				395,845
*Beverages – 0.3%*
Coca-Cola Amatil Ltd.		2,030		13,799
Hite Jinro Co. Ltd.		63		1,111
Suntory Beverage & Food Ltd.		350		14,946
				29,856
*Biotechnology – 1.4%*
CSL Ltd.		960		136,625
*Building Products – 0.4%*
Aica Kogyo Co. Ltd.		217		7,621
Asahi Glass Co. Ltd.		595		23,179
KCC Corp.		14		4,120
Sanwa Holdings Corp.		532		5,639
				40,559
*Capital Markets – 1.3%*
ASX Ltd.		861		40,962
IOOF Holdings Ltd.		1,337		8,881
Magellan Financial Group Ltd.		385		6,628
Perpetual Ltd.		378		11,618
Platinum Asset Management Ltd.		1,687		7,179


Investments	Number of Shares		Value
Singapore Exchange Ltd.		9,495	$	49,930
				125,198
*Chemicals – 2.9%*
Asahi Kasei Corp.		3,227		41,020
Daicel Corp.		1,127		12,474
DuluxGroup Ltd.		2,401		13,571
Hitachi Chemical Co. Ltd.		336		6,780
Incitec Pivot Ltd.		2,919		7,829
JSR Corp.		959		16,329
Kaneka Corp.		861		7,719
Kuraray Co. Ltd.		1,979		27,264
Lintec Corp.		203		5,892
Nippon Kayaku Co. Ltd.		511		5,716
Nissan Chemical Corp.		413		19,277
NOF Corp.		243		7,854
Orica Ltd.		1,064		13,954
Shin-Etsu Chemical Co. Ltd.		1,159		103,307
				288,986
*Commercial Services & Supplies – 2.0%*
Brambles Ltd.		7,185		47,141
Dai Nippon Printing Co. Ltd.		1,521		34,041
KEPCO Plant Service & Engineering Co. Ltd.		56		1,791
Park24 Co. Ltd.		882		24,008
S-1 Corp.		56		4,864
Secom Co. Ltd.		1,119		85,942
Toppan Forms Co. Ltd.		203		2,054
				199,841
*Communications Equipment – 0.1%*
VTech Holdings Ltd.		1,043		12,038
*Construction & Engineering – 1.2%*
CIMIC Group Ltd.		203		6,344
COMSYS Holdings Corp.		434		11,516
Kajima Corp.		2,856		22,123
Kinden Corp.		413		6,749
Maeda Road Construction Co. Ltd.		273		5,193
Nippo Corp.		154		2,808
Obayashi Corp.		2,177		22,661
Taisei Corp.		831		45,840
				123,234
*Construction Materials – 0.9%*
Adelaide Brighton Ltd.		3,472		17,829
CSR Ltd.		2,807		9,519
Fletcher Building Ltd.		3,325		15,646
James Hardie Industries plc, CHDI		2,359		39,530
Sumitomo Osaka Cement Co. Ltd.		959		4,494
				87,018
*Containers & Packaging – 0.6%*
Amcor Ltd.		4,415		47,006
Orora Ltd.		5,166		13,626
				60,632

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust
O'Shares FTSE Asia Pacific Quality Dividend ETF
Schedule of Investments
June 30, 2018


Investments	Number of Shares		Value
*Distributors – 0.1%*
Canon Marketing Japan, Inc.		161	$	3,355
PALTAC Corp.		77		4,435
				7,790
*Diversified Consumer Services – 0.1%*
Benesse Holdings, Inc.		308		10,928
*Diversified Telecommunication Services – 2.8%*
LG Uplus Corp.		490		6,155
Nippon Telegraph & Telephone Corp.		2,428		110,391
PCCW Ltd.		7,455		4,200
Singapore Telecommunications Ltd.		30,505		68,907
Spark New Zealand Ltd.		15,596		39,386
Telstra Corp. Ltd.		26,761		51,804
				280,843
*Electric Utilities – 2.9%*
AusNet Services		6,755		8,011
Chugoku Electric Power Co., Inc. (The)		1,085		14,027
CK Infrastructure Holdings Ltd.		5,026		37,252
CLP Holdings Ltd.		11,048		118,993
Contact Energy Ltd.		4,977		19,713
Hokuriku Electric Power Co.*		742		7,456
Korea Electric Power Corp.		1,449		41,604
Mercury NZ Ltd.		4,591		10,475
Power Assets Holdings Ltd.		4,977		34,796
				292,327
*Electrical Equipment – 0.1%*
Johnson Electric Holdings Ltd.		854		2,487
Mabuchi Motor Co. Ltd.		203		9,659
				12,146
*Electronic Equipment, Instruments & Components – 2.0%*
Hirose Electric Co. Ltd.		147		18,221
Hitachi Ltd.		12,732		89,842
Kyocera Corp.		1,178		66,438
Venture Corp. Ltd.		2,170		28,392
				202,893
*Equity Real Estate Investment Trusts (REITs) – 10.1%*
Ascendas REIT		16,268		31,498
CapitaLand Commercial Trust		11,305		13,763
CapitaLand Mall Trust		17,857		27,110
Champion REIT		12,775		8,483
Dexus		10,921		78,350
Goodman Group		12,928		91,889
GPT Group (The)		18,884		70,599
Kiwi Property Group Ltd.		12,838		11,691
Link REIT		23,859		217,897
Mirvac Group		38,683		62,021
Scentre Group		55,816		181,042
Shopping Centres Australasia Property Group		7,938		14,369
Stockland		23,294		68,327
Suntec REIT		9,345		11,857


Investments	Number of Shares		Value
Unibail-Rodamco-Westfield, CHDI*		6,807	$	73,780
Vicinity Centres		28,103		53,778
				1,016,454
*Food & Staples Retailing – 7.1%*
Dairy Farm International Holdings Ltd.		1,365		11,998
Dongsuh Cos., Inc.		105		2,464
GS Retail Co. Ltd.		98		3,865
Lawson, Inc.		441		27,551
Mitsubishi Shokuhin Co. Ltd.		35		934
Seven & i Holdings Co. Ltd.		3,581		156,185
Sun Art Retail Group Ltd.		5,740		7,507
Wesfarmers Ltd.		9,996		364,550
Woolworths Group Ltd.		6,182		139,402
				714,456
*Food Products – 0.8%*
Golden Agri-Resources Ltd.		15,876		3,551
Itoham Yonekyu Holdings, Inc.		336		2,891
Nisshin Seifun Group, Inc.		714		15,116
Nissin Foods Holdings Co. Ltd.		175		12,655
Toyo Suisan Kaisha Ltd.		294		10,471
Want Want China Holdings Ltd.		19,215		17,095
WH Group Ltd.(a)		13,244		10,787
Wilmar International Ltd.		4,088		9,175
				81,741
*Gas Utilities – 1.9%*
APA Group		6,440		46,868
Hong Kong & China Gas Co. Ltd.		32,679		62,564
Osaka Gas Co. Ltd.		1,748		36,178
Tokyo Gas Co. Ltd.		1,509		40,060
Towngas China Co. Ltd.*		2,163		2,098
				187,768
*Health Care Equipment & Supplies – 1.2%*
Ansell Ltd.		308		6,187
Cochlear Ltd.		182		26,917
Fisher & Paykel Healthcare Corp. Ltd.		3,066		30,909
Hoya Corp.		980		55,731
				119,744
*Health Care Providers & Services – 0.8%*
Alfresa Holdings Corp.		462		10,866
Healthscope Ltd.		3,927		6,412
Miraca Holdings, Inc.		252		7,508
Ramsay Health Care Ltd.		301		12,005
Ryman Healthcare Ltd.		1,806		14,636
Sonic Healthcare Ltd.		1,638		29,687
				81,114
*Hotels, Restaurants & Leisure – 2.0%*
Aristocrat Leisure Ltd.		1,533		34,999
Cafe de Coral Holdings Ltd.		2,877		6,968
Crown Resorts Ltd.		2,422		24,158
Flight Centre Travel Group Ltd.		203		9,547
Genting Singapore Ltd.		15,694		14,042

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust
O'Shares FTSE Asia Pacific Quality Dividend ETF
Schedule of Investments
June 30, 2018


Investments	Number of Shares		Value
Kangwon Land, Inc.		917	$	21,516
Sands China Ltd.		6,468		34,585
SJM Holdings Ltd.		3,612		4,493
SKYCITY Entertainment Group Ltd.		4,522		12,369
Skylark Holdings Co. Ltd.		420		6,215
Star Entertainment Grp Ltd. (The)		2,450		8,924
Tabcorp Holdings Ltd.		6,771		22,312
				200,128
*Household Durables – 0.8%*
Coway Co. Ltd.		280		21,757
Sekisui Chemical Co. Ltd.		1,225		20,880
Sekisui House Ltd.		1,827		32,329
				74,966
*Independent Power and Renewable Electricity Producers – 0.3%*
Electric Power Development Co. Ltd.		469		12,110
Meridian Energy Ltd.		7,742		16,354
				28,464
*Industrial Conglomerates – 2.5%*
CK Hutchison Holdings Ltd.		11,231		119,103
Doosan Corp.		21		1,960
Hanwha Corp. (Preference)		77		1,057
Hopewell Holdings Ltd.		4,375		14,945
Jardine Matheson Holdings Ltd.		672		42,403
Keppel Corp. Ltd.		6,118		32,082
LG Corp.		329		21,284
NWS Holdings Ltd.		9,898		17,133
Sembcorp Industries Ltd.		2,233		4,504
				254,471
*Insurance – 1.1%*
Insurance Australia Group Ltd.		10,631		67,001
Medibank Pvt Ltd.		21,260		45,867
				112,868
*Internet Software & Services – 0.2%*
Domain Holdings Australia Ltd.		714		1,698
OneMarket Ltd.*		922		872
Yahoo Japan Corp.		5,782		19,210
				21,780
*IT Services – 0.6%*
Computershare Ltd.		1,946		26,499
Itochu Techno-Solutions Corp.		280		4,838
Nomura Research Institute Ltd.		406		19,683
Otsuka Corp.		238		9,336
				60,356
*Leisure Products – 0.5%*
Bandai Namco Holdings, Inc.		553		22,816
Heiwa Corp.		217		5,238
Sankyo Co. Ltd.		343		13,424
Sega Sammy Holdings, Inc.		560		9,596
				51,074


Investments	Number of Shares		Value
*Machinery – 3.1%*
Amada Holdings Co. Ltd.		945	$	9,086
FANUC Corp.		678		134,694
Glory Ltd.		161		4,506
Hoshizaki Corp.		168		17,002
Komatsu Ltd.		2,375		67,928
Kurita Water Industries Ltd.		546		15,577
Makita Corp.		1,085		48,635
Nabtesco Corp.		322		9,913
OSG Corp.		287		5,915
				313,256
*Media – 0.8%*
Cheil Worldwide, Inc.		182		3,372
Daiichikosho Co. Ltd.		210		10,143
Fairfax Media Ltd.		5,362		2,971
Fuji Media Holdings, Inc.		140		2,391
Hakuhodo DY Holdings, Inc.		966		15,506
Nippon Television Holdings, Inc.		210		3,544
REA Group Ltd.		140		9,400
Singapore Press Holdings Ltd.		9,709		18,514
SKY Network Television Ltd.		2,464		4,337
SKY Perfect JSAT Holdings, Inc.		658		3,137
Television Broadcasts Ltd.		896		2,838
TV Asahi Holdings Corp.		91		1,999
				78,152
*Metals & Mining – 1.3%*
Alumina Ltd.		5,796		11,991
Korea Zinc Co. Ltd.		35		12,122
Maruichi Steel Tube Ltd.		511		17,323
Rio Tinto Ltd.		1,374		84,706
Sims Metal Management Ltd.		259		3,077
Yamato Kogyo Co. Ltd.		84		2,537
				131,756
*Multiline Retail – 0.1%*
Harvey Norman Holdings Ltd.		3,052		7,486
Lifestyle International Holdings Ltd.		3,017		6,399
				13,885
*Multi-Utilities – 0.7%*
AGL Energy Ltd.		4,499		74,725
*Oil, Gas & Consumable Fuels – 2.2%*
Caltex Australia Ltd.		1,659		39,886
GS Holdings Corp.		224		10,934
SK Innovation Co. Ltd.		175		31,718
S-Oil Corp.		133		13,067
Woodside Petroleum Ltd.		4,823		126,361
				221,966
*Personal Products – 1.8%*
Kao Corp.		2,027		154,635
Kobayashi Pharmaceutical Co. Ltd.		175		15,120
Pola Orbis Holdings, Inc.		210		9,242
				178,997

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust
O'Shares FTSE Asia Pacific Quality Dividend ETF
Schedule of Investments
June 30, 2018


Investments	Number of Shares		Value
*Pharmaceuticals – 3.1%*
Astellas Pharma, Inc.		12,831	$	195,654
Daiichi Sankyo Co. Ltd.		2,218		84,843
Kaken Pharmaceutical Co. Ltd.		98		5,034
Kissei Pharmaceutical Co. Ltd.		105		2,849
KYORIN Holdings, Inc.		196		4,070
Mitsubishi Tanabe Pharma Corp.		826		14,273
Mochida Pharmaceutical Co. Ltd.		56		4,080
Sawai Pharmaceutical Co. Ltd.		84		3,822
				314,625
*Professional Services – 0.2%*
SEEK Ltd.		973		15,679
*Real Estate Management & Development – 7.2%*
CapitaLand Ltd.		6,125		14,195
CK Asset Holdings Ltd.		6,955		55,229
Daikyo, Inc.		119		2,605
Daito Trust Construction Co. Ltd.		835		135,768
Daiwa House Industry Co. Ltd.		1,401		47,760
Frasers Property Ltd.		1,141		1,381
Hang Lung Properties Ltd.		7,623		15,721
Henderson Land Development Co. Ltd.		8,985		47,528
Hongkong Land Holdings Ltd.		9,469		67,703
Kerry Properties Ltd.		2,800		13,402
LendLease Group		2,499		36,577
Sino Land Co. Ltd.		17,955		29,203
Sun Hung Kai Properties Ltd.		8,975		135,447
Swire Pacific Ltd., Class A		1,785		18,907
Swire Pacific Ltd., Class B		3,430		6,103
Swire Properties Ltd.		6,580		24,322
Wharf Holdings Ltd. (The)		5,362		17,223
Wharf Real Estate Investment Co. Ltd.		5,249		37,367
Wheelock & Co. Ltd.		1,666		11,605
				718,046
*Road & Rail – 2.0%*
Aurizon Holdings Ltd.		10,857		34,734
ComfortDelGro Corp. Ltd.		19,131		32,973
Kintetsu Group Holdings Co. Ltd.		723		29,504
MTR Corp. Ltd.		7,686		42,518
Nagoya Railroad Co. Ltd.		644		16,628
Sotetsu Holdings, Inc.		222		6,794
West Japan Railway Co.		567		41,791
				204,942
*Semiconductors & Semiconductor Equipment – 0.2%*
ASM Pacific Technology Ltd.		441		5,576
Disco Corp.		105		17,926
				23,502
*Software – 0.4%*
Koei Tecmo Holdings Co. Ltd.		112		2,202
Oracle Corp. Japan		119		9,723
Trend Micro, Inc.		448		25,562
				37,487
*Specialty Retail – 1.0%*
ABC-Mart, Inc.		140		7,659


Investments	Number of Shares		Value
Aoyama Trading Co. Ltd.		231	$	7,716
Autobacs Seven Co. Ltd.		665		11,791
Chow Tai Fook Jewellery Group Ltd.		3,885		4,378
K's Holdings Corp.		448		4,655
L'Occitane International SA		945		1,559
Sa Sa International Holdings Ltd.		4,690		2,977
Shimachu Co. Ltd.		413		13,125
Shimamura Co. Ltd.		140		12,323
USS Co. Ltd.		1,652		31,440
				97,623
*Technology Hardware, Storage & Peripherals – 5.5%*
Canon, Inc.		2,770		90,804
Samsung Electronics Co. Ltd.		9,492		397,310
Samsung Electronics Co. Ltd. (Preference)		1,750		59,118
				547,232
*Textiles, Apparel & Luxury Goods – 0.2%*
PRADA SpA		1,281		5,927
Wacoal Holdings Corp.		355		10,352
Yue Yuen Industrial Holdings Ltd.		2,814		7,945
				24,224
*Tobacco – 2.6%*
Japan Tobacco, Inc.		6,491		181,372
KT&G Corp.		828		79,494
				260,866
*Trading Companies & Distributors – 1.8%*
Marubeni Corp.		4,235		32,312
Mitsubishi Corp.		3,323		92,341
Sumitomo Corp.		3,080		50,608
				175,261
*Transportation Infrastructure – 1.8%*
Atlas Arteria Ltd.		3,395		16,129
Auckland International Airport Ltd.		3,066		14,074
Hopewell Highway Infrastructure Ltd.^(b)		8,134		4,956
Hutchison Port Holdings Trust		25,389		7,109
Kamigumi Co. Ltd.		299		6,217
SATS Ltd.		5,558		20,381
SIA Engineering Co. Ltd.		2,219		5,110
Sydney Airport		4,739		25,070
Transurban Group		9,337		82,577
				181,623
*Wireless Telecommunication Services – 5.5%*
KDDI Corp.		9,724		266,090
M1 Ltd.		2,604		3,056
NTT DOCOMO, Inc.		9,703		247,251
SK Telecom Co. Ltd.		119		24,878
StarHub Ltd.		3,794		4,619
				545,894
Total Common Stocks (Cost $9,121,950)				9,839,231
Total Investments — 98.2% (Cost $9,121,950)				9,839,231
Other Assets Less Liabilities — 1.8%				181,972
Net Assets – 100.0%			$	10,021,203

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust
O'Shares FTSE Asia Pacific Quality Dividend ETF
Schedule of Investments
June 30, 2018

Non-income producing security.

(a)

(b)

Security fair valued as of June 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at June 30, 2018 amounted to $4,956, which represents approximately 0.05% of net assets of the Fund.


Abbreviations
CHDI		Clearing House Electronic Subregister System (CHESS) Depository Interest
Preference		A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.

As of June 30, 2018, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation	$	1,027,177
Aggregate gross unrealized depreciation		(432,976	)
Net unrealized appreciation	$	594,201
Federal income tax cost of investments	$	9,245,030

O'Shares FTSE Asia Pacific Quality Dividend ETF invested, as a percentage of net assets, in the following countries as of June 30, 2018:


Australia	25.3	%
China	0.2	%
France	0.7	%
Hong Kong	13.0	%
Ireland	0.4	%
Italy	0.1	%
Japan	43.8	%
Luxembourg	0.0	%^(a)
Macau	0.3	%
New Zealand	2.0	%
Singapore	4.5	%
South Korea	7.9	%
United States	0.0	%^(a)
Other⁽¹⁾	1.8	%
	100.0	%

(a)

Represents less than 0.05% of net assets.

(1)

Includes any non-equity securities and net other assets (liabilities).

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust

Statements of Assets and Liabilities
June 30, 2018


	O'Shares FTSE U.S. Quality Dividend ETF			O'Shares FTSE Russell Small Cap Quality Dividend ETF			O'Shares Global Internet Giants ETF
ASSETS
Investments in securities, at value⁽¹⁾	$	408,669,836		$	136,660,218		$	51,659,355
Cash		2,214,643			372,274			87,882
Segregated cash balances with Authorized Participant for deposit securities		—			—			29,445
Receivables:
Securities sold		4,575,016			—			—
Dividends		579,711			122,701			—
Capital shares issued		—			1,353,420			—
Total Assets		416,039,206			138,508,613			51,776,682
LIABILITIES
Collateral upon return of deposit securities		—			—			29,445
Payables:
Securities purchased		—			1,352,542			—
Income distributions		—			300,580			—
Capital shares redeemed		4,601,674			—			—
Investment management fees		166,949			53,585			12,632
Trustees fees		1,884	⁽²⁾		—			—
Accrued expenses and other liabilities		2	⁽²⁾		—			—
Total Liabilities		4,770,509			1,706,707			42,077
Net Assets	$	411,268,697		$	136,801,906		$	51,734,605
NET ASSETS CONSIST OF:
Paid-in capital	$	403,817,053		$	134,872,790		$	54,466,476
(Accumulated) undistributed net investment income (loss)		34,991			—			(9,639	)
(Accumulated) undistributed net realized gain (loss)		(2,954,251	)		(3,236,468	)		(19,482	)
Net unrealized appreciation (depreciation) on:
Investments		10,370,904			5,165,584			(2,702,750	)
Net Assets	$	411,268,697		$	136,801,906		$	51,734,605
The Funds have an unlimited number of shares authorized with no par value. Net asset value is calculated by dividing the net assets by the number of outstanding shares.
Shares Outstanding		13,400,000			5,054,000			2,150,000
Net Asset Value	$	30.69		$	27.07		$	24.06
⁽¹⁾ Investments in securities, at cost	$	398,298,932		$	131,494,634		$	54,362,105
⁽²⁾ Includes payables that were accrued prior to the reorganization into the OSI ETF Trust on June 28, 2018. These expenses are no longer accrued for post reorganization.

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust

Statements of Assets and Liabilities
June 30, 2018


	O'Shares FTSE Europe Quality Dividend ETF			O'Shares FTSE Russell International Quality Dividend ETF			O'Shares FTSE Asia Pacific Quality Dividend ETF
ASSETS
Investments in securities, at value⁽¹⁾	$	40,247,852		$	14,360,213		$	9,839,231
Cash		92,297			80,993			142,041
Foreign cash⁽²⁾		15,091			5,409			7,792
Receivables:
Securities sold		5,781			—			—
Dividends		165,895			47,393			32,262
Reclaims		203,096			34,476			5,681
Total Assets		40,730,012			14,528,484			10,027,007
LIABILITIES
Due to Authorized Participant		5,781			—			—
Payables:
Securities purchased		26			8			10
Income distributions		—			57,881			—
Investment management fees		18,961			5,769			3,543
Trustees fees		1,884	⁽³⁾		—			1,884	⁽³⁾
Accrued expenses and other liabilities		5,002	⁽³⁾		—			367	⁽³⁾
Total Liabilities		31,654			63,658			5,804
Net Assets	$	40,698,358		$	14,464,826		$	10,021,203
NET ASSETS CONSIST OF:
Paid-in capital	$	42,740,466		$	14,816,675		$	9,280,399
(Accumulated) undistributed net investment income (loss)		109,730			71,265			(46,650	)
(Accumulated) undistributed net realized gain (loss)		(767,065	)		(58,586	)		70,157
Net unrealized appreciation (depreciation) on:
Investments		(1,382,926	)		(363,650	)		717,281
Translation of assets and liabilities denominated in foreign currencies		(1,847	)		(878	)		16
Net Assets	$	40,698,358		$	14,464,826		$	10,021,203
The Funds have an unlimited number of shares authorized with no par value. Net asset value is calculated by dividing the net assets by the number of outstanding shares.
Shares Outstanding		1,700,000			550,001			350,000
Net Asset Value	$	23.94		$	26.30		$	28.63
⁽¹⁾ Investments in securities, at cost	$	41,630,778		$	14,723,863		$	9,121,950
⁽²⁾ Cost of foreign cash	$	15,091		$	5,381		$	7,794
⁽³⁾ Includes payables that were accrued prior to the reorganization into the OSI ETF Trust on June 28, 2018. These expenses are no longer accrued for post reorganization.

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust

Statements of Operations
For the Period and Year Ended June 30, 2018


	O'Shares FTSE U.S. Quality Dividend ETF			O'Shares FTSE Russell Small Cap Quality Dividend ETF			O'Shares Global Internet Giants ETF
							For the period 06/05/18* – 06/30/18
INVESTMENT INCOME
Dividend income	$	13,634,538		$	2,590,150		$	—
Special dividends		—			—			—
Foreign withholding tax on dividends		—			—			—
Total Investment Income		13,634,538			2,590,150			—
EXPENSES
Investment management fees (Note 4)		2,169,309			416,313			12,633
Professional fees		2,875	⁽¹⁾		—			—
Trustees fees		7,815	⁽¹⁾		—			—
Total Expenses before Waivers		2,179,999			416,313			12,633
Less: Waivers by Adviser (Note 4)		(10,690	)		—			—
Total Expenses after Waivers		2,169,309			416,313			12,633
Net Investment Income (Loss)		11,465,229			2,173,837			(12,633	)
NET REALIZED GAIN (LOSS) FROM:
Transactions in investment securities		(1,089,087	)		(3,254,102	)		(19,482	)
In-kind redemptions of investments		41,932,429			1,858,967			—
Foreign currency transactions		—			—			(816	)
Net Realized Gain (Loss)		40,843,342			(1,395,135	)		(20,298	)
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM:
Investments in securities		(18,036,112	)		5,115,414			(2,702,750	)
Net Change in Unrealized Appreciation (Depreciation)		(18,036,112	)		5,115,414			(2,702,750	)
Net Realized and Unrealized Gain (Loss)		22,807,230			3,720,279			(2,723,048	)
Net Increase (Decrease) in Net Assets Resulting from Operations	$	34,272,459		$	5,894,116		$	(2,735,681	)

Commencement of investment operations.

⁽¹⁾

Includes expenses that were accrued prior to the reorganization into the OSI ETF Trust on June 28, 2018. These expenses are no longer accrued for post reorganization.

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust

Statements of Operations
For the Year Ended June 30, 2018


	O'Shares FTSE Europe Quality Dividend ETF			O'Shares FTSE Russell International Quality Dividend ETF			O'Shares FTSE Asia Pacific Quality Dividend ETF
INVESTMENT INCOME
Dividend income	$	2,086,270		$	631,738		$	357,548
Special dividends		6,719			12,463			22,131
Foreign withholding tax on dividends		(192,381	)		(64,492	)		(23,975	)
Total Investment Income		1,900,608			579,709			355,704
EXPENSES
Investment management fees (Note 4)		328,517			80,868			61,599
Professional fees		2,875	⁽¹⁾		—			2,875	⁽¹⁾
Trustees fees		7,815	⁽¹⁾		—			7,815	⁽¹⁾
Total Expenses before Waivers		339,207			80,868			72,289
Less: Waivers by Adviser (Note 4)		(10,690	)		—			(10,690	)
Total Expenses after Waivers		328,517			80,868			61,599
Net Investment Income (Loss)		1,572,091			498,841			294,105
NET REALIZED GAIN (LOSS) FROM:
Transactions in investment securities		(461,934	)		(68,293	)		207,035
In-kind redemptions of investments		3,565,852			639,194			738,887
Foreign currency transactions		(58,144	)		(29,416	)		(1,827	)
Net Realized Gain (Loss)		3,045,774			541,485			944,095
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM:
Investments in securities		(3,622,148	)		(773,278	)		(369,800	)
Translation of assets and liabilities denominated in foreign currencies		(6,637	)		(1,053	)		31
Net Change in Unrealized Appreciation (Depreciation)		(3,628,785	)		(774,331	)		(369,769	)
Net Realized and Unrealized Gain (Loss)		(583,011	)		(232,846	)		574,326
Net Increase (Decrease) in Net Assets Resulting from Operations	$	989,080		$	265,995		$	868,431

⁽¹⁾

Includes expenses that were accrued prior to the reorganization into the OSI ETF Trust on June 28, 2018. These expenses are no longer accrued for post reorganization.

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust

Statements of Changes in Net Assets


	O'Shares FTSE U.S. Quality Dividend ETF						O'Shares FTSE Russell Small Cap Quality Dividend ETF
	Year Ended June 30, 2018			Year Ended June 30, 2017			Year Ended June 30, 2018			For the period 12/30/16* – 06/30/17
OPERATIONS
Net investment income (loss)	$	11,465,229		$	8,301,497		$	2,173,837		$	353,659
Net realized gain (loss)		40,843,342			5,726,769			(1,395,135	)		56,452
Net change in unrealized appreciation (depreciation)		(18,036,112	)		14,062,130			5,115,414			50,170
Net Increase (Decrease) in Net Assets Resulting from Operations		34,272,459			28,090,396			5,894,116			460,281
DISTRIBUTIONS
Net investment income		(11,976,178	)		(7,773,398	)		(2,240,369	)		(252,126	)
Net realized gain		—			—			(13,013	)		—
Tax return of capital		—			—			(177,554	)		—
Total Distributions		(11,976,178	)		(7,773,398	)		(2,430,936	)		(252,126	)
CAPITAL TRANSACTIONS
Proceeds from shares issued		199,595,955			255,604,116			110,716,208			39,192,103
Cost of shares redeemed		(224,555,597	)		(75,321,481	)		(15,600,908	)		(1,276,832	)
Net Increase (Decrease) from Capital Transactions		(24,959,642	)		180,282,635			95,115,300			37,915,271
Total Increase (Decrease) in Net Assets		(2,663,361	)		200,599,633			98,578,480			38,123,426
NET ASSETS
Beginning of period	$	413,932,058		$	213,332,425		$	38,223,426		$	100,000
End of Period	$	411,268,697		$	413,932,058		$	136,801,906		$	38,223,426
(Accumulated) undistributed net investment income (loss) included in end of period net assets	$	34,991		$	690,672		$	—		$	101,533
SHARE TRANSACTIONS
Beginning of period		14,150,001			7,700,001			1,504,000			4,000
Shares issued in-kind		6,400,000			9,200,000			4,150,000			1,550,000
Shares redeemed		(1	)		—			—			—
Shares redeemed in-kind		(7,150,000	)		(2,750,000	)		(600,000	)		(50,000	)
Shares Outstanding, End of Period		13,400,000			14,150,001			5,054,000			1,504,000

Commencement of investment operations.

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust

Statements of Changes in Net Assets


	O'Shares Global Internet Giants ETF			O'Shares FTSE Europe Quality Dividend ETF
	For the period 06/05/18* – 06/30/18			Year Ended June 30, 2018			Year Ended June 30, 2017
OPERATIONS
Net investment income (loss)	$	(12,633	)	$	1,572,091		$	1,245,908
Net realized gain (loss)		(20,298	)		3,045,774			(456,359	)
Net change in unrealized appreciation (depreciation)		(2,702,750	)		(3,628,785	)		2,214,543
Net Increase (Decrease) in Net Assets Resulting from Operations		(2,735,681	)		989,080			3,004,092
DISTRIBUTIONS
Net investment income		—			(1,887,737	)		(1,011,159	)
Total Distributions		—			(1,887,737	)		(1,011,159	)
CAPITAL TRANSACTIONS
Proceeds from shares issued		54,470,286			12,610,283			43,017,201
Cost of shares redeemed		—			(33,960,120	)		(7,546,634	)
Net Increase (Decrease) from Capital Transactions		54,470,286			(21,349,837	)		35,470,567
Total Increase (Decrease) in Net Assets		51,734,605			(22,248,494	)		37,463,500
NET ASSETS
Beginning of period	$	—		$	62,946,852		$	25,483,352
End of Period	$	51,734,605		$	40,698,358		$	62,946,852
(Accumulated) undistributed net investment income (loss) included in end of period net assets	$	(9,639	)	$	109,730		$	259,151
SHARE TRANSACTIONS
Beginning of period		—			2,550,001			1,100,001
Shares issued in-kind		2,150,000			500,000			1,800,000
Shares redeemed		—			(1	)		—
Shares redeemed in-kind		—			(1,350,000	)		(350,000	)
Shares Outstanding, End of Period		2,150,000			1,700,000			2,550,001

Commencement of investment operations.

See accompanying notes to the financial statements.

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OSI ETF Trust

Statements of Changes in Net Assets


	O'Shares FTSE Russell International Quality Dividend ETF						O'Shares FTSE Asia Pacific Quality Dividend ETF
	Year Ended June 30, 2018			For the period 03/22/17* – 06/30/17			Year Ended June 30, 2018			Year Ended June 30, 2017
OPERATIONS
Net investment income (loss)	$	498,841		$	108,962		$	294,105		$	252,779
Net realized gain (loss)		541,485			(1,515	)		944,095			48,106
Net change in unrealized appreciation (depreciation)		(774,331	)		409,803			(369,769	)		814,470
Net Increase (Decrease) in Net Assets Resulting from Operations		265,995			517,250			868,431			1,115,355
DISTRIBUTIONS
Net investment income		(450,810	)		(72,905	)		(348,863	)		(298,235	)
Net realized gain		—			—			(103,132	)		—
Total Distributions		(450,810	)		(72,905	)		(451,995	)		(298,235	)
CAPITAL TRANSACTIONS
Proceeds from shares issued		10,838,747			11,458,553			2,896,286			5,308,161
Cost of shares redeemed		(8,092,004	)		—			(4,466,014	)		—
Net Increase (Decrease) from Capital Transactions		2,746,743			11,458,553			(1,569,728	)		5,308,161
Total Increase (Decrease) in Net Assets		2,561,928			11,902,898			(1,153,292	)		6,125,281
NET ASSETS
Beginning of period	$	11,902,898		$	—		$	11,174,495		$	5,049,214
End of Period	$	14,464,826		$	11,902,898		$	10,021,203		$	11,174,495
(Accumulated) undistributed net investment income (loss) included in end of period net assets	$	71,265		$	35,788		$	(46,650	)	$	(66,920	)
SHARE TRANSACTIONS
Beginning of period		450,001			—			400,001			200,001
Shares issued		150,000			1			—			—
Shares issued in-kind		250,000			450,000			100,000			200,000
Shares redeemed		—			—			(1	)		—
Shares redeemed in-kind		(300,000	)		—			(150,000	)		—
Shares Outstanding, End of Period		550,001			450,001			350,000			400,001

Commencement of investment operations.

See accompanying notes to the financial statements.

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OSI ETF Trust

Financial Highlights for a share outstanding throughout each period


			PER SHARE OPERATING PERFORMANCE
			Investment Operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)⁽¹⁾			Net realized and unrealized gain (loss)			Total investment operations			Net investment income			Net realized gains			Tax return of capital			Total distributions			Net asset value, end of period
O'Shares FTSE U.S. Quality Dividend ETF
Year ended June 30, 2018	$	29.25	$	0.78		$	1.46		$	2.24		$	(0.80	)	$	—		$	—		$	(0.80	)	$	30.69
Year ended June 30, 2017		27.71		0.69			1.49			2.18			(0.64	)		—			—			(0.64	)		29.25
For the period 07/14/15** – 06/30/16		25.00		0.69			2.60			3.29			(0.58	)		—			—			(0.58	)		27.71
O'Shares FTSE Russell Small Cap Quality Dividend ETF
Year ended June 30, 2018		25.41		0.66			1.70			2.36			(0.66	)		—	⁽⁸⁾		(0.04	)		(0.70	)		27.07
For the period 12/30/16* – 06/30/17		25.00		0.38			0.25			0.63			(0.22	)		—			—			(0.22	)		25.41
O'Shares Global Internet Giants ETF
For the period 06/05/18* – 06/30/18		25.00		(0.01	)		(0.93	)		(0.94	)		—			—			—			—			24.06
O'Shares FTSE Europe Quality Dividend ETF
Year ended June 30, 2018		24.69		0.69			(0.55	)		0.14			(0.89	)		—			—			(0.89	)		23.94
Year ended June 30, 2017		23.17		0.75			1.34			2.09			(0.57	)		—			—			(0.57	)		24.69
For the period 08/19/15** – 06/30/16		25.00		1.04			(2.32	)⁽⁹⁾		(1.28	)		(0.55	)		—			—			(0.55	)		23.17
O'Shares FTSE Russell International Quality Dividend ETF
Year ended June 30, 2018		26.45		0.80			(0.23	)		0.57			(0.72	)		—			—			(0.72	)		26.30
For the period 03/22/17* – 06/30/17		25.00		0.34			1.29			1.63			(0.18	)		—			—			(0.18	)		26.45
O'Shares FTSE Asia Pacific Quality Dividend ETF
Year ended June 30, 2018		27.94		0.81			1.28			2.09			(1.06	)		(0.34	)		—			(1.40	)		28.63
Year ended June 30, 2017		25.25		0.70			2.78			3.48			(0.79	)		—			—			(0.79	)		27.94
For the period 08/19/15** – 06/30/16		25.00		0.57			0.30			0.87			(0.62	)		—			—			(0.62	)		25.25

Commencement of investment operations.

Commencement of Prior Fund investment operations.

(1)

Net investment income (loss) per share is based on average shares outstanding.

(2)

Annualized for periods less than one year.

(3)

Not annualized for periods less than one year.

(4)

Had certain expenses not been waived during the periods, if applicable, total returns would have been lower.

(5)

Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at net asset value.

(6)

Market value total return is calculated assuming an initial investment made at market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at market value. The market value is determined by the mid point of the bid/ask spread at 4:00 p.m. from the NYSE Arca, Inc. Exchange. Market value returns may vary from net asset value returns.

(7)

In-kind transactions are not included in portfolio turnover calculations.

(8)

Per share amount is less than $0.01.

(9)

The amount shown for a share outstanding throughout the period is not in accordance with the aggregate net realized and unrealized gain (loss) for that period because of the timing of sales and repurchases of the Fund shares in relation to fluctuating market value of the investments in the Fund.

See accompanying notes to the financial statements.

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RATIOS/SUPPLEMENTAL DATA
	Ratios to Average Net Assets of⁽²⁾																		Total Return⁽³⁾⁽⁴⁾
	Expenses			Expenses net of waivers			Net investment income (loss) before waivers			Net investment income (loss) net of waivers			Net investment income (loss) net of waivers excluding special dividends			Net investment income (loss) per share excluding special dividends			Net asset value⁽⁵⁾			Market value⁽⁶⁾			Portfolio turnover rate⁽³⁾⁽⁷⁾			Ending net assets (thousands)
O'Shares FTSE U.S. Quality Dividend ETF
Year ended June 30, 2018		0.48	%		0.48	%		2.53	%		2.54	%		2.54	%	$	0.78			7.67	%		7.70	%		18	%	$	411,269
Year ended June 30, 2017		0.48			0.48			2.46			2.47			2.45			0.68			8.00			8.15			17			413,932
For the period 07/14/15* – 06/30/16		0.49			0.48			2.74			2.76			2.75			0.69			13.39			13.27			7			213,332
O'Shares FTSE Russell Small Cap Quality Dividend ETF
Year ended June 30, 2018		0.48			0.48			2.51			2.51			2.51		$	0.66			9.39			9.35			64			136,802
For the period 12/30/16* – 06/30/17		0.48			0.48			2.99			2.99			2.86			0.36			2.52			2.68			7			38,223
O'Shares Global Internet Giants ETF
For the period 06/05/18* – 06/30/18		0.48			0.48			(0.48	)		(0.48	)		(0.48	)	$	(0.01	)		(3.76	)		(3.52	)		8			51,735
O'Shares FTSE Europe Quality Dividend ETF
Year ended June 30, 2018		0.60			0.58			2.75			2.77			2.76		$	0.69			0.53			(0.41	)		30			40,698
Year ended June 30, 2017		0.61			0.58			3.21			3.24			3.05			0.70			9.18			8.91			30			62,947
For the period 08/19/15* – 06/30/16		0.66			0.58			5.14			5.22			5.21			1.04			(5.06	)		(4.24	)		7			25,483
O'Shares FTSE Russell International Quality Dividend ETF
Year ended June 30, 2018		0.48			0.48			2.96			2.96			2.89		$	0.78			2.14			1.07			22			14,465
For the period 03/22/17* – 06/30/17		0.48			0.48			4.65			4.65			4.65			0.34			6.53			7.66			2			11,903
O'Shares FTSE Asia Pacific Quality Dividend ETF
Year ended June 30, 2018		0.68			0.58			2.67			2.77			2.56		$	0.75			7.47			7.12			26			10,021
Year ended June 30, 2017		0.71			0.58			2.50			2.62			2.49			0.67			13.99			12.98			26			11,174
For the period 08/19/15* – 06/30/16		0.80			0.58			2.54			2.75			2.46			0.51			3.63			4.82			37			5,049

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust
Notes to Financial Statements
June 30, 2018

1. Organization

OSI ETF Trust (the “Trust”) was organized as a Delaware statutory trust on April 12, 2016 and is authorized to issue multiple series or portfolios. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust currently consists of six operational exchange-traded funds (each a “Fund” and collectively, the “Funds”). The O’Shares FTSE U.S. Quality Dividend ETF, O’Shares FTSE Russell Small Cap Quality Dividend ETF, O’Shares FTSE Europe Quality Dividend ETF, O’Shares FTSE Russell International Quality Dividend ETF and O’Shares FTSE Asia Pacific Quality Dividend ETF are diversified series of the Trust, pursuant to the 1940 Act. The O’Shares Global Internet Giants ETF is a non-diversified series of the Trust, pursuant to the 1940 Act.

Each Fund seeks to track the performance (before fees and expenses) of a specified benchmark index (each, a “Target Index”). There can be no assurance that the Funds’ investment objectives will be achieved.

The O’Shares Global Internet Giants ETF commenced operations on June 5, 2018.

On June 28, 2018, the O’Shares FTSE U.S. Quality Dividend ETF the (“OUSA Prior Fund”), O’Shares FTSE Europe Quality Dividend ETF the (“OEUR Prior Fund”), and O’Shares FTSE Asia Pacific Quality Dividend ETF the (“OASI Prior Fund”) series of FQF Trust (each, a “Prior Fund” and collectively, the “Prior Funds”) were reorganized into corresponding newly created, identically named exchange traded funds of the OSI ETF Trust (each, a “New Fund”) via a tax-free reorganization. Each New Fund has the same name, ticker symbol and underlying index as the corresponding Prior Fund, is managed in accordance with the same investment objective, and is subject to substantially the same investment strategies, policies, and risks as the corresponding Prior Fund. Each New Fund is operated in a substantially similar manner as the corresponding Prior Fund, except that each New Fund is advised by O’Shares Investment Advisers, LLC and sub-advised by the Prior Funds’ adviser, FFCM, LLC. The same portfolio managers who managed the Prior Funds continue to manage the New Funds. All of the assets and liabilities of each Prior Fund were transferred to the corresponding New Fund in exchange for shares of beneficial interest of the corresponding New Fund. Each New Fund has adopted the financial performance and operating history of the corresponding Prior Fund. The information for the periods prior to June 28, 2018 is that of the Prior Funds.

2. Significant Accounting Policies

The Trust, which is an investment company, follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, “Financial Services — Investment Companies.”

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

Investment Company Modernization

In October 2016, the Securities and Exchange Commission (“SEC”) issued Final Rule Release No. 33-10231, Investment Company Reporting Modernization (the “Release”). The Release calls for the adoption of new rules and forms as well as amendments to current rules and forms to modernize the reporting and disclosure of information by registered investment companies. The SEC adopted amendments to Regulation S-X, which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The Funds have updated disclosure in these financial statements to reflect the amendments, which were effective August 1, 2017. The first filing compliance date for Form N-PORT is no later than April 30, 2020, reflecting data as of March 31, 2020. The Funds are filing Form N-CEN for the year ended June 30, 2018. The adoption had no effect on the Funds’ net assets or results of operations.

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OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2018

Investment Valuation

The net asset value (“NAV”) of each Fund’s shares is calculated each business day as of the close of regular trading on the New York Stock Exchange (“NYSE”), generally 4:00 p.m., Eastern Time. NAV per share is computed by dividing the net assets by the number of each Fund’s shares outstanding.

When calculating the NAV of each Fund’s shares, securities held by the Funds are valued at market quotations when reliable market quotations are readily available. Exchange traded securities and instruments (including equity securities, depositary receipts and ETFs) are generally valued at the last reported sale price on the principal exchange on which such securities are traded (at the NASDAQ Official Closing Price for NASDAQ listed securities), as of the close of regular trading on the NYSE on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and asked prices. Over-the-counter securities and instruments not traded on an exchange are generally valued at the last traded price. In the absence of a recorded transaction sale price; or if the last sale price is unavailable, securities are valued at the mean between last bid and ask, as quoted. If an ask price is unavailable, last bid price is used. Such valuations would typically be categorized as Level 1 in the fair value hierarchy described below.

When reliable market quotations are not readily available, securities are priced at their fair value in accordance with the Trust’s valuation guidelines, which were approved by the Board of Trustees (the “Trustees”). The Funds may use fair value pricing in a variety of circumstances, including but not limited to, situations when the value of a Fund’s security has been materially affected by events occurring after the close of the market on which such security is principally traded (such as a corporate action or other news that may materially affect the price of such security) or trading in such security has been suspended or halted. Such valuations would typically be categorized as Level 2 or Level 3 in the fair value hierarchy described below. Fair value pricing involves subjective judgments and it is possible that a fair value determination for a security is materially different than the value that could be realized upon the sale of such security. In addition, fair value pricing could result in a difference between the prices used to calculate a Fund’s NAV and the prices used by the Fund’s Target Index. This may adversely affect the Fund’s ability to track its Target Index. Securities of non-exchange traded investment companies are valued at their NAV.

The Funds disclose the fair market value of their investments in a hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs) and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the hierarchy are as follows:

•

Level 1 — Quoted prices in active markets for identical assets.

•

Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

•

Level 3 — Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

At June 30, 2018, there were no Level 3 securities held by the Funds for which significant unobservable inputs were used to determine fair value.

The Funds disclose transfer between levels based on valuations at the end of the reporting period. There were no transfers between Level 1 and 3 or Level 2 and 3 as of June 30, 2018, based on levels assigned to securities on June 30, 2017. Transfer between Level 1 and 2 are included in a summary of valuations below.

TABLE OF CONTENTS

OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2018

The following is a summary of the valuations as of June 30, 2018 for each Fund based upon the three levels defined above:


	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs^(a)		Level 3 – Significant Unobservable Inputs		Total
O’Shares FTSE U.S. Quality Dividend ETF
Investments
Common Stocks*	$	408,669,836	$	—	$	—	$	408,669,836
Total Investments	$	408,669,836	$	—	$	—	$	408,669,836
O'Shares FTSE Russell Small Cap Quality Dividend ETF
Investments
Common Stocks*	$	136,660,218	$	—	$	—	$	136,660,218
Total Investments	$	136,660,218	$	—	$	—	$	136,660,218
O'Shares Global Internet Giants ETF
Investments
Common Stocks*	$	51,659,355	$	—	$	—	$	51,659,355
Total Investments	$	51,659,355	$	—	$	—	$	51,659,355
O'Shares FTSE Europe Quality Dividend ETF
Investments
Common Stocks*	$	40,246,158	$	—	$	—	$	40,246,158
Rights		1,694		—		—		1,694
Total Investments	$	40,247,852	$	—	$	—	$	40,247,852
O'Shares FTSE Russell International Quality Dividend ETF
Investments
Common Stocks*	$	14,218,701	$	—	$	—	$	14,218,701
Exchange Traded Funds		141,108		—		—		141,108
Rights		404		—		—		404
Total Investments	$	14,360,213	$	—	$	—	$	14,360,213
O'Shares FTSE Asia Pacific Quality Dividend ETF
Investments
Common Stocks
Transportation Infrastructure	$	176,667	$	4,956	$	—	$	181,623
Other*		9,657,608		—		—		9,657,608
Total Investments	$	9,834,275	$	4,956	$	—	$	9,839,231

See Schedules of Investments for segregation by industry type.

(a)

During the year ended June 30, 2018, the O’Shares FTSE Asia Pacific Quality Dividend ETF changed the classification of a security with a market value of $4,956 or 0.05% of the Fund’s net assets from Level 1 to Level 2 due to the security being fair valued with other observable inputs.

Real Estate Investment Trusts (“REITs”)

Certain Funds may invest in REITs. Equity REITs invest primarily in real property while mortgage REITs make construction, development and long-term mortgage loans. Their value may be affected by changes in the value of the underlying property of the REIT, the creditworthiness of the issuer, property taxes, interest rates, and tax and regulatory requirements, such as those relating to the environment.

REITs are dependent upon management skill, are not diversified and are subject to heavy cash flow dependency, default by borrowers, self-liquidation and the possibility of failing to qualify for tax free income

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OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2018

status under the Internal Revenue Code of 1986 and failing to be exempt from registration as a registered investment company under the 1940 Act.

Distributions from REIT investments may be comprised of return of capital, capital gains and income. The actual character of amounts received during the year is not known until after the REIT’s fiscal year end. The Funds record the character of distributions received from REITs during the year based on estimates available. The characterization of distributions received by the Funds may be subsequently revised based on information received from the REITs after their tax reporting periods have concluded.

Foreign Currency Translation

The books and records of the Funds are maintained in U.S. dollars. The Funds’ assets and liabilities in foreign currencies are translated into U.S. dollars at the prevailing exchange rate at the valuation date. Transactions denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the date of the transaction. The Funds’ income earned and expense incurred in foreign denominated currencies are translated into U.S. dollars at the prevailing exchange rate on the date of such activity.

The Funds do not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments from the fluctuations that result from changes in the market prices of investments held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) on investments in securities and net change in unrealized appreciation (depreciation) on investment securities on the Statements of Operations.

Net realized gains (losses) on foreign currency transactions reported on the Statements of Operations arise from sales of foreign currency, realized currency gains or losses, including foreign exchange contracts, between the trade and settlement dates on securities transactions and the difference in the amounts of dividends and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net changes in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies reported on the Statements of Operations arise from changes (due to the changes in the exchange rate) in the value of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held at period end.

Organizational and Offering Expenses

O’Shares Investment Advisers, LLC (the “Adviser”) has agreed to pay the organizational and initial offering costs on behalf of the Funds. The organizational and initial offering costs include preparation and filing incorporation documents, bylaws, declarations of trust, registration statements, board materials, state and federal registration of shares and audit fees. As a result, organizational and offering expenses are not reflected in the Funds’ financial statements.

Taxes and Distributions

Each of the Funds intends to qualify or continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute substantially all of its net investment income and net capital gains to shareholders. Accordingly, no provision for Federal income taxes is required in the financial statements. As of June 30, 2018 (the Funds’ tax year end), management of the Funds has reviewed the open tax years and major jurisdictions and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. Management is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months. On an ongoing basis, management will monitor the tax positions taken to determine if adjustment to conclusions are necessary based on factors including but not limited to further implementation on guidance expected from FASB and ongoing analysis of tax law, regulation, and interpretations thereof.

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OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2018

Each Fund expects to declare and distribute all of its net investment income, if any, to shareholders as dividends monthly. Net capital gains are distributed at least annually. Dividends may be declared and paid more frequently to improve a Fund’s tracking of its Target Index or to comply with the distribution requirements of the Internal Revenue Code.

The tax character of distributions paid may differ from the character of distributions shown on the Statements of Changes in Net Assets due to short-term capital gains being treated as ordinary income for tax purposes.

The tax character of the distributions paid for the tax period ended June 30, 2018 and June 30, 2017 were as follows:


	Year Ended June 30, 2018								Year Ended June 30, 2017
Fund	Distributions Paid from Ordinary Income		Distributions Paid from Net Long Term Capital Gains		Tax Return of Capital		Total Distributions		Distributions Paid from Ordinary Income		Distributions Paid from Net Long Term Capital Gains		Tax Return of Capital		Total Distributions
O’Shares FTSE U.S. Quality Dividend ETF	$	11,976,178	$	—	$	—	$	11,976,178	$	7,773,398	$	—	$	—	$	7,773,398
O’Shares FTSE Russell Small Cap Quality Dividend ETF		2,240,369		13,013		177,554		2,430,936		252,126		—		—		252,126
O’Shares Global Internet Giants ETF		—		—		—		—		—		—		—		—
O’Shares FTSE Europe Quality Dividend ETF		1,887,737		—		—		1,887,737		1,011,159		—		—		1,011,159
O’Shares FTSE Russell International Quality Dividend ETF		450,810		—		—		450,810		72,905		—		—		72,905
O’Shares FTSE Asia Pacific Quality Dividend ETF		382,247		69,748		—		451,995		298,235		—		—		298,235

At June 30, 2018, the components of accumulated earnings (deficit) on a tax basis were as follows:


Fund	Undistributed Ordinary Income		Undistributed Long-Term Capital Gains		Accumulated Capital and Other Losses			Unrealized Appreciation/(Depreciation)*
O’Shares FTSE U.S. Quality Dividend ETF	$	34,991	$	—	$	(3,029,332	)	$	10,445,985
O’Shares FTSE Russell Small Cap Quality Dividend ETF		—		—		(3,178,784	)		5,107,900
O’Shares Global Internet Giants ETF		—		—		(19,015	)		(2,712,856	)
O’Shares FTSE Europe Quality Dividend ETF		165,739		—		(762,726	)		(1,445,121	)
O’Shares FTSE Russell International Quality Dividend ETF		99,710		—		(40,220	)		(411,339	)
O’Shares FTSE Asia Pacific Quality Dividend ETF		79,439		67,148		—			594,217

The differences between the book and tax basis unrealized appreciation (depreciation) is attributable to mark to market of Passive Foreign Investment Companies (“PFICs”), non-taxable special dividends, investment in partnerships and tax deferral of losses on wash sales. Additionally, these amounts may differ from the tax unrealized appreciation (depreciation) disclosed at the end of each Schedule of Investments due to foreign currency translation of non-investment assets/liabilities.

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OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2018

Permanent differences are primarily due to gain (loss) on in-kind redemptions, distributions from investments in real estate investment trusts, investment in partnerships, net operating loss, non-taxable special dividends, foreign currency gains (losses), PFICs, taxable over-distributions and designations as a return of capital resulted in the following reclassifications, as of June 30, 2018 among the Funds’ components of net assets:


Fund	Accumulated Undistributed Net Investment Income (Loss)			Accumulated Net Realized Gain (Loss) on Investments			Paid in Capital
O’Shares FTSE U.S. Quality Dividend ETF	$	(144,732	)	$	(41,810,627	)	$	41,955,359
O’Shares FTSE Russell Small Cap Quality Dividend ETF		(35,001	)		(1,822,764	)		1,857,765
O’Shares Global Internet Giants ETF		2,994			816			(3,810	)
O’Shares FTSE Europe Quality Dividend ETF		166,225			(3,501,816	)		3,335,591
O’Shares FTSE Russell International Quality Dividend ETF		(12,554	)		(598,825	)		611,379
O’Shares FTSE Asia Pacific Quality Dividend ETF		75,028			(746,266	)		671,238

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), the Funds are permitted to carry forward capital losses for an unlimited period. Post-enactment capital loss carry forwards will retain their character as either short-term or long-term capital losses. For the tax period ended June 30, 2018, the following Funds had available capital loss carryforwards to offset future net capital gains to the extent provided by regulations and utilized capital loss carryforwards to offset net capital gains:


Fund	Capital Loss Carryforwards		Utilized Capital Loss Carryforwards
O’Shares FTSE U.S. Quality Dividend ETF	$	2,921,759	$	—
O’Shares FTSE Russell Small Cap Quality Dividend ETF		358,159		—
O’Shares Global Internet Giants ETF		19,015		—
O’Shares FTSE Europe Quality Dividend ETF		762,726		107,233
O’Shares FTSE Russell International Quality Dividend ETF		39,390		—
O’Shares FTSE Asia Pacific Quality Dividend ETF		—		22,022

Under current tax rules, Regulated Investment Companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year. As of June 30, 2018, the Funds will elect to treat the following post-October losses at arising on July 1, 2018:


Fund	Post-October Capital Losses
O’Shares FTSE U.S. Quality Dividend ETF	$	107,573
O’Shares FTSE Russell Small Cap Quality Dividend ETF		2,820,625
O’Shares Global Internet Giants ETF		—
O’Shares FTSE Europe Quality Dividend ETF		—
O’Shares FTSE Russell International Quality Dividend ETF		830
O’Shares FTSE Asia Pacific Quality Dividend ETF		—

3. Investment Transactions and Related Income

Throughout the reporting period, investment transactions are accounted for no later than one business day following the trade date. For financial reporting purposes, investment transactions are accounted for on trade date on the last business day of the reporting period. Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premiums and accretion of discounts. Dividend income received or paid from the Fund, net of any applicable foreign withholding taxes, is recorded on the ex-dividend date, except for dividends of foreign securities where the dividend may not be known until after the ex-date. For those

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OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2018

cases, dividend income, net of withholding taxes, is recorded when the Fund becomes aware of the dividends. Non-cash dividends, if any, are recorded at the fair market value of the asset received. Large, non-recurring dividends recognized by the Funds are presented separately on the Statement of Operations as “Special Dividends” and the impact of these dividends is presented in the Financial Highlights. Gains or losses realized on sales of securities are determined using the specific identification method by comparing the identified cost of the security lot sold with the net sales proceeds.

4. Investment Management Fees

The Adviser serves as investment adviser to the Funds pursuant to an Investment Advisory Agreement with the Trust (the “Advisory Agreement”). Pursuant to the Advisory Agreement, the Adviser has the overall responsibility for the Funds’ investment program. The Adviser, on behalf of each Fund, has entered into Sub-Advisory Agreements with Vident Investment Advisory, LLC or FFCM, LLC (each a “Sub-Adviser”).

Vident Investment Advisory, LLC is the Sub-Adviser for O’Shares FTSE Russell Small Cap Quality Dividend ETF, O’Shares Global Internet Giants ETF and O’Shares FTSE Russell International Quality Dividend ETF.

FFCM, LLC is the Sub-Adviser for O’Shares FTSE U.S. Quality Dividend ETF, O’Shares FTSE Europe Quality Dividend ETF and O’Shares FTSE Asia Pacific Quality Dividend ETF.

Each Sub-Adviser is responsible for trading portfolio securities and other investment instruments on behalf of the Funds, including selecting broker-dealers to execute purchase and sale transactions, as instructed by the Adviser or in connection with any rebalancing or reconstitution of a Target Index, subject to the overall supervision and oversight of the Adviser and the Trustees. The Adviser oversees each Sub-Adviser for compliance with the Funds’ investment objective, policies, strategies and restrictions. The Board of Trustees supervises and oversees the Adviser and each Sub-Adviser, establishes policies that they must follow in their management activities, and oversees the hiring and termination of sub-advisers recommended by the Adviser.

Under the Advisory Agreement, the Funds pay the Adviser a unitary management fee for its services payable on a monthly basis at the annual rate listed in the table below, based on the average daily net assets of each Fund.


Fund	Management Fee
O’Shares FTSE U.S. Quality Dividend ETF		0.48	%
O’Shares FTSE Russell Small Cap Quality Dividend ETF		0.48	%
O’Shares Global Internet Giants ETF		0.48	%
O’Shares FTSE Europe Quality Dividend ETF		0.48	%
O’Shares FTSE Russell International Quality Dividend ETF		0.48	%
O’Shares FTSE Asia Pacific Quality Dividend ETF		0.48	%

Pursuant to the Sub-Advisory Agreement, the Adviser compensates each Sub-Adviser out of the management fee it receives from the Funds.

Under the Advisory Agreement, the Adviser bears all of the ordinary operating expenses of the Funds, except for (i) the management fee, (ii) payments under the Funds’ Rule 12b-1 plan, (iii) brokerage expenses (including any costs incidental to transactions in portfolio securities or instruments), (iv) acquired fund fees and expenses, (v) taxes, (vi) interest (including borrowing costs and dividend expenses on securities sold short and overdraft charges), (vii) litigation expenses (including litigation to which the Trust or a Fund may be a party and indemnification of the Trustees and officers with respect thereto) and (viii) other extraordinary or non-routine expenses.

Prior to June 28, 2018, when the following Funds become part of the Trust in connection with the tax-free reorganizations, the unitary management fee was 0.48% for the OUSA Prior Fund and was 0.58% for both the OEUR Prior Fund and OASI Prior Fund.

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OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2018

Prior to June 28, 2018, FFCM, LLC, the former Adviser of the Prior Funds bore all of the costs of the Prior Funds, except for the advisory fee, distribution fees (including any payments under the Funds’ 12b-1 plan), brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, taxes, interest (including borrowing costs and dividend expenses on securities sold short), compensation and expenses of the Independent Trustees (including Independent Trustee counsel fees), litigation expenses and other extraordinary expenses (including litigation to which the Trust or the Funds may be a party and indemnification of the Trustees and officers with respect thereto).

FFCM, LLC had agreed to waive its fees and reimburse expenses for each Prior Fund until at least November 1, 2018 so that the total annual fund operating expenses after fee waiver and expense reimbursement for each Fund (except for distribution fees (including payments under a Rule 12b-1 plan), brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, taxes, interest (including borrowing costs and dividend expenses on securities sold short), litigation expenses and other extraordinary expenses (including litigation to which the Trust or a Fund may be a party and indemnification of the Trustees and officers with respect thereto)) were limited to the ratios below:


Fund	Expense Limitation
OUSA Prior Fund		0.48	%
OEUR Prior Fund		0.58	%
OASI Prior Fund		0.58	%

5. Administration, Fund Accounting and Transfer Agency Fees

JPMorgan Chase Bank, N.A. (“Administrator”) acts as administrator, fund accounting agent and transfer agent to the Funds pursuant to an administration agreement. The Administrator provides the Funds with all required general administrative services, including, without limitation, office space, equipment, and personnel; clerical and general back office services; bookkeeping, internal accounting, and secretarial services; the determination of NAVs; and the preparation and filing of all reports, registration statements, proxy statements, and all other materials required to be filed or furnished by the Funds under federal and state securities laws.

6. Custodian Fees

JPMorgan Chase Bank, N.A. acts as custodian to the Funds. The custodian holds cash, securities and other assets of the Funds as required by the 1940 Act. As compensation for the services, the Custodian is entitled to fees and reasonable out-of-pocket expenses.

7. Distribution, Service Plan and Fund Officers

Foreside Fund Services, LLC (the “Distributor”) serves as the Funds’ Distributor. The Trust has adopted a distribution and service plan (“Plan”) pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Plan, each Fund is authorized to pay an amount up to 0.25% of its average daily net assets each year to finance any activity primarily intended to result in the sale of Creation Units of the Funds or the provision of investor services, including but not limited to: (i) marketing and promotional services, including advertising; (ii) facilitating communications with beneficial owners of shares of the Funds; (iii) wholesaling services; and (iv) such other services and obligations as may be set forth in the Distribution Agreement with the Distributor.

No distribution or service fees are currently paid by any Funds and there are no current plans to impose these fees. In the event Rule 12b-1 fees were charged, over time they would increase the cost of an investment in a Fund and may cost a shareholder more than paying other types of sales charges.

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OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2018

Foreside Fund Officer Services, LLC (“FFOS”), an affiliate of the Distributor, provides a Chief Compliance Officer, Principal Financial Officer and Treasurer, and certain additional compliance support functions to the Funds. FFOS does not have a role in determining the investment policies of the Trust or Funds, or which securities are to be purchased or sold by the Trust or a Fund.

8. Issuance and Redemption of Fund Shares

The Funds are exchange-traded funds or ETFs. Individual Fund shares may only be purchased and sold on a national securities exchange through a broker-dealer and investors may pay a commission to such broker-dealers in connection with their purchase or sale. The price of Fund shares is based on market price, and because ETF shares trade at market prices rather than NAV, shares may trade at a price greater than NAV (a premium) or less than NAV (a discount). The Funds will only issue or redeem shares aggregated into blocks of 50,000 shares or multiples thereof (“Creation Units”) to Authorized Participants who have entered into agreements with the Funds’ Distributor. An Authorized Participant is either (1) a “Participating Party,” (i.e., a broker-dealer or other participant in the clearing process of the Continuous Net Settlement System of the NSCC) (“Clearing Process”), or (2) a participant of DTC (“DTC Participant”), and, in each case, must have executed an agreement (“Participation Agreement”) with the distributor with respect to creations and redemptions of Creation Units. The Funds will issue or redeem Creation Units in return for a basket of assets that the Funds specify each day.

Shares are listed on the NYSE Arca, Inc.^TM and are publicly traded. If a shareholder buys or sells Fund shares on the secondary market, a shareholder will pay or receive the market price, which may be higher or lower than NAV. Authorized participant transaction will be priced at NAV if the authorized participant purchases or redeems Fund shares in Creation Units.

Authorized Participants may pay transaction fees to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units. Authorized Participants purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to JPMorgan Chase Bank, N.A., the Funds’ administrator, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash.

9. Investment Transactions

For the year ended June 30, 2018, the cost of securities purchased and proceeds from sales of securities, excluding in-kind transactions, were as follows:


Fund	Purchases		Sales
O’Shares FTSE U.S. Quality Dividend ETF	$	78,080,110	$	80,336,313
O’Shares FTSE Russell Small Cap Quality Dividend ETF		56,112,916		55,929,671
O’Shares Global Internet Giants ETF		2,165,875		2,396,290
O’Shares FTSE Europe Quality Dividend ETF		16,652,806		16,661,310
O’Shares FTSE Russell International Quality Dividend ETF		7,746,135		3,661,893
O’Shares FTSE Asia Pacific Quality Dividend ETF		2,709,073		3,297,601

10. In-Kind Transactions

During the period presented in this report, certain Funds of the Trust delivered securities of the Funds in exchange for the redemption of shares (redemption-in-kind). Cash and securities were transferred for redemptions at fair value. For financial reporting purposes, the Funds recorded net realized gains and losses in connection with each transaction.

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OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2018

For the year ended June 30, 2018 the value of the securities transferred for redemptions, and the net realized gains recorded in connection with the transactions were as follows:


Fund	Value		Realized Gain
O’Shares FTSE U.S. Quality Dividend ETF	$	221,619,964	$	41,932,429
O’Shares FTSE Russell Small Cap Quality Dividend ETF		15,526,272		1,858,967
O’Shares FTSE Europe Quality Dividend ETF		34,053,331		3,565,852
O’Shares FTSE Russell International Quality Dividend ETF		8,009,175		639,194
O’Shares FTSE Asia Pacific Quality Dividend ETF		3,813,073		738,887

During the period presented in this report, the Funds received securities in exchange for subscription of shares (subscription-in-kind). For the year ended June 30, 2018, the value of the securities received for subscriptions were as follows:


Fund	Value
O’Shares FTSE U.S. Quality Dividend ETF	$	198,410,708
O’Shares FTSE Russell Small Cap Quality Dividend ETF		110,428,456
O’Shares Global Internet Giants ETF		54,611,993
O’Shares FTSE Europe Quality Dividend ETF		12,513,263
O’Shares FTSE Russell International Quality Dividend ETF		6,643,510
O’Shares FTSE Asia Pacific Quality Dividend ETF		2,595,591

11. Principal Risks

Some principal risks apply to all Funds while others are specific to the investment strategy of certain Funds. Each Fund may be subject to other principal risks in addition to these identified principal risks. This section discusses certain principal risks encountered by the Funds.

Asia Pacific Risk. Investments in securities of issuers in Asia-Pacific countries involve risks that are specific to the Asia-Pacific region, including certain legal, regulatory, political and economic risks. The market for securities in this region may also be directly influenced by the flow of international capital, and by the economic and market conditions of neighboring countries. Many Asia-Pacific economies have experienced rapid growth and industrialization, and there is no assurance that this growth rate will be maintained. Some Asia-Pacific economies are highly dependent on trade and economic conditions in other countries can impact these economies.

Authorized Participants Concentration Risk. Each Fund has a limited number of financial institutions that may purchase and redeem Fund shares directly from the Funds (“Authorized Participants”). To the extent they cannot or are otherwise unwilling to engage in creation and redemption transactions with the Funds and no other Authorized Participant steps in, shares of the Funds may trade like closed-end fund shares at a significant discount to NAV and may face trading halts and/or delisting from the Exchange. This risk may be more pronounced in volatile markets, potentially where there are significant redemptions in ETFs generally.

Concentration Risk. To the extent that a Fund’s Target Index is concentrated in a particular industry or group of industries, the Fund is also expected to be concentrated in that industry or group of industries which may subject the Fund to a greater loss as a result of adverse economic, business or other developments affecting that industry or group of industries.

Depositary Receipts Risk. The risks of investments in depositary receipts are substantially similar to Foreign Investment Risks. In addition, depositary receipts may not track the price of the underlying foreign securities, and their value may change materially at times when the U.S. markets are not open for trading.

Europe Risk. Decreasing imports or exports, changes in governmental or European Union (the “E.U.”) regulations on trade, changes in the exchange rate of the euro, the default or threat of default by an E.U.

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OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2018

member country on its sovereign debt, and/or an economic recession in an E.U. member country may have a significant adverse effect on the securities of E.U. issuers. The European financial markets have recently experienced volatility and adversity due to concerns about economic downturns, or rising government debt levels, in several European countries. These events have adversely affected the exchange rate of the euro and may continue to significantly affect every country in Europe. The risk of investing in Europe may be heightened due to the recent referendum in which the United Kingdom voted to withdraw from membership in the E.U. In addition, if one or more countries were to exit the E.U. or abandon the use of the euro as a currency, the value of investments tied to those countries or the euro could decline significantly and unpredictably. Any such event could have a material adverse impact on the value and risk profile of the Funds’ portfolios.

Flash Crash Risk. Sharp price declines in securities owned by a Fund may trigger trading halts, which may result in the Fund’s shares trading in the market at an increasingly large discount to NAV during part (or all) of a trading day.

Foreign Investment Risk. Returns on investments in foreign securities could be more volatile than, or trail the returns on, investments in U.S. securities. Exposures to foreign securities entail special risks, including due to: differences in information available about foreign issuers; differences in investor protection standards in other jurisdictions; capital controls risks, including the risk of a foreign jurisdiction imposing restrictions on the ability to repatriate or transfer currency or other assets; political, diplomatic and economic risks; regulatory risks; and foreign market and trading risks, including the costs of trading and risks of settlement in foreign jurisdictions. In addition, a Fund’s investments in securities denominated in other currencies could decline due to changes in local currency relative to the value of the U.S. dollar, which may affect such Fund’s returns.

Index-Related Risk. Each Fund is managed with an investment strategy that attempts to track the performance of the Target Index. As a result, the Funds expect to hold constituent securities of the Target Index regardless of their current or projected performance. Maintaining investments in securities regardless of market conditions or the performance of individual securities could cause a Fund’s return to be lower than if the Funds employed an active strategy.

There is no assurance that the Index Provider will compile each Target Index accurately, or that each Target Index will be determined, composed or calculated accurately. While the Index Provider provides descriptions of what each Target Index is designed to achieve, the Index Provider does not guarantee the quality, accuracy or completeness of data in respect of its indices, and does not guarantee that each Target Index will be in line with its described index methodology. Any gains, losses or costs to a Fund that are caused by Index Provider errors will therefore be borne by the Fund and its shareholders. To the extent a Target Index is new it will have a limited performance history. The foregoing risks may be greater for a new index.

Internet Companies Risk. Companies involved with the internet, technology and e-commerce are exposed to risks associated with rapid advances in technology, obsolescence of current products and services, the finite life of patents and the constant threat of global competition and substitutes. In addition to these risks, these companies may be adversely impacted by market and economic cyclicality and changing industry standards.

Large Shareholder Risk. Certain shareholders, including other funds advised by the Adviser, may from time to time own a substantial amount of the Fund shares. In addition, a third party investor, the Adviser or an affiliate of the Adviser, an authorized participant, a lead market maker, or another entity may invest in the Fund and hold its investment for a limited period of time solely to facilitate commencement of the Fund or to facilitate the Fund’s achieving a specified size or scale. There can be no assurance that any large shareholder would not redeem its investment, that the size of the Fund would be maintained at such levels or that the Fund would continue to meet applicable listing requirements. Redemptions by large shareholders could have a significant negative impact on the Fund. In addition, transactions by large shareholders may account for a large percentage of the trading volume on the Exchange and may, therefore, have a material upward or downward effect on the market price of the Fund shares.

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OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2018

Market Events Risk. The market values of a Fund’s investments, and therefore the value of such Fund’s shares, will go up and down, sometimes rapidly or unpredictably. Market risk may affect a single issuer, industry or section of the economy, or it may affect the market as a whole. Turbulence in the financial markets and reduced liquidity may negatively affect issuers, which could have an adverse effect on a Fund. In addition, there is a risk that policy changes by the U.S. Government, Federal Reserve and/or other government actors, such as increasing interest rates, could cause increased volatility in financial markets and disruption in the creation/redemption process of a Fund, which could have a negative impact on the Fund.

Mid-Capitalization Securities Risk. The securities of mid-capitalization companies are often more volatile and less liquid than the securities of larger companies and may be more affected than other types of securities during market downturns. Compared to larger companies, mid-capitalization companies may have a shorter history of operations, and may have limited product lines, markets or financial resources.

Multifactor Risk. A Fund's Target Index, and thus the corresponding Fund, seeks to achieve specific factor exposures identified in the Fund's principal investment strategies. There can be no assurance that targeting exposure to such factors will enhance a Fund's performance over time, and targeting exposure to certain factors may detract from performance in some market environments. There is no guarantee the index provider's methodology will be successful in creating an index that achieves the specific factor exposures identified above.

Non-Diversification Risk. The O’Shares Global Internet Giants ETF is classified as “non-diversified” under the 1940 Act, which means that the Fund may invest a relatively high percentage of its assets in a limited number of issuers. As a result, the Fund may be more susceptible to a single adverse economic or regulatory occurrence affecting one or more of these issuers, experience increased volatility and be highly invested in certain issuers.

REIT Risk. A REIT is a company that owns or finances income-producing real estate. Each Fund, through its investments in REITs, is subject to the risks of investing in the real estate market, including decreases in property revenues, increases in interest rates, increases in property taxes and operating expenses, legal and regulatory changes, a lack of credit or capital, defaults by borrowers or tenants, environmental problems and natural disasters.

REITs are subject to additional risks, including those related to adverse governmental actions, declines in property value and the real estate market, and the potential failure to qualify for tax-free pass through of income and exemption from registration as an investment company. REITs are dependent upon specialized management skills and may invest in relatively few properties, a small geographic area or a small number of property types. As a result, investments in REITs may be volatile. To the extent a Fund invests in REITs concentrated in specific geographic areas or property types, the Fund may be subject to a greater loss as a result of adverse developments affecting such areas or property types. REITs are pooled investment vehicles with their own fees and expenses and a Fund will indirectly bear a proportionate share of those fees and expenses.

Sampling Risk. To the extent a Fund uses a representative sampling approach, it will hold a smaller number of securities than are in its Target Index. As a result, an adverse development respecting a security held by a Fund could result in a greater decline in NAV than would be the case if the Fund held all of the securities in its Target Index. Conversely, a positive development relating to a security in a Fund's Target Index that is not held by the Fund could cause the Fund to underperform the Target Index. To the extent the assets in a Fund are smaller, these risks will be greater.

Sector Risk. To the extent a Target Index, and thereby a Fund, emphasizes, from time to time, investments in a particular sector, the Funds are subject to a greater degree to the risks particular to that sector. Market conditions, interest rates, and economic, regulatory, or financial developments could significantly affect all the securities in a single sector. If the Funds invest in a few sectors, it may have increased exposure to the price movements of those sectors.

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OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2018

Volatility Risk. There is a risk that the present and future volatility of a security, relative to the market index, will not be the same as it historically has been and thus that a Fund’s Target Index will not be exposed to the less volatile securities in the index universe. Volatile stocks are subject to sharp swings in value.

The Funds’ prospectuses contain additional information regarding the principal risks associated with an investment in a Fund.

12. Guarantees and Indemnifications

In the normal course of business, the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. Additionally, under the Funds’ organizational documents, the officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. The Adviser is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.

13. Subsequent Events

Management has evaluated subsequent events and transactions for potential recognition or disclosure through the date the financial statements were issued and has determined that there are no material events that would require disclosure in the Funds’ financial statements.

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OSI ETF Trust
Report of Independent Registered Public Accounting Firm June 30, 2018

To the Board of Trustees of OSI ETF Trust
and the Shareholders of O’Shares FTSE U.S. Quality Dividend ETF, O’Shares FTSE Russell Small Cap Quality Dividend ETF, O’Shares Global Internet Giants ETF, O’Shares FTSE Europe Quality Dividend ETF, O’Shares FTSE Russell International Quality Dividend ETF, and O’Shares FTSE Asia Pacific Quality Dividend ETF

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of O’Shares FTSE U.S. Quality Dividend ETF, O’Shares FTSE Russell Small Cap Quality Dividend ETF, O’Shares Global Internet Giants ETF, O’Shares FTSE Europe Quality Dividend ETF, O’Shares FTSE Russell International Quality Dividend ETF, and O’Shares FTSE Asia Pacific Quality Dividend ETF, each a series of shares of beneficial interest in OSI ETF Trust (the “Funds”), including the schedules of investments, as of June 30, 2018, and the related statements of operations and statements of changes in net assets and the financial highlights for the year or period then ended, and the related notes (collectively referred to as the “financial statements”). We have also audited the accompanying statements of changes in net assets and the financial highlights of O’Shares FTSE Russell Small Cap Quality Dividend ETF and O’Shares FTSE Russell International Quality Dividend ETF for each of the periods ended June 30, 2017. In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of June 30, 2018, and the results of their operations, the changes in their net assets and their financial highlights for each of the year or periods referenced above in conformity with accounting principles generally accepted in the United States of America.

The statements of changes in net assets and the financial highlights of O’Shares FTSE U.S. Quality Dividend ETF, O’Shares FTSE Europe Quality Dividend ETF, and O’Shares FTSE Asia Pacific Quality Dividend ETF for the year ended June 30, 2017 and the financial highlights for each of the periods ended June 30, 2016 were audited by other auditors whose report dated August 24, 2017 expressed an unqualified opinion on those financial statements and financial highlights.

Basis for Opinion

These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities law and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risk of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2018 by correspondence with the custodian and brokers, or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

[GRAPHIC MISSING]
BBD, LLP

We have served as the auditor of one or more of the Funds in the OSI ETF Trust since 2017.

Philadelphia, Pennsylvania
August 27, 2018

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OSI ETF Trust
Expense Examples (Unaudited)
June 30, 2018

As a shareholder, you incur two types of costs: (1) transaction costs for purchasing and selling shares and (2) ongoing costs, including management fees, other operational and investment related expenses. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.

Actual Expenses

The actual expense examples are based on an investment of $1,000 invested at the beginning of a six month period and held through the period ended June 30, 2018.

The first line in the following tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The hypothetical expense examples are based on an investment of $1,000 invested at the beginning of a six month period and held through the period ended June 30, 2018.

The second line in the following tables provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as brokerage charges. Therefore, the second line for each Fund in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

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OSI ETF Trust
Expense Examples (Unaudited)
June 30, 2018


	Beginning Account Value 01/01/18		Ending Account Value 06/30/18		Expenses Paid During the Period*		Annualized Expense Ratio During Period
O'Shares FTSE U.S. Quality Dividend ETF
Actual	$	1,000.00	$	975.50	$	2.35		0.48	%
Hypothetical	$	1,000.00	$	1,022.41	$	2.41		0.48	%
O'Shares FTSE Russell Small Cap Quality Dividend ETF
Actual	$	1,000.00	$	1,014.80	$	2.40		0.48	%
Hypothetical	$	1,000.00	$	1,022.41	$	2.41		0.48	%
O'Shares Global Internet Giants ETF^(a)
Actual	$	1,000.00	$	962.40	$	0.34		0.48	%
Hypothetical	$	1,000.00	$	1,022.41	$	2.41		0.48	%
O'Shares FTSE Europe Quality Dividend ETF
Actual	$	1,000.00	$	957.70	$	2.82		0.58	%^(b)
Hypothetical	$	1,000.00	$	1,021.92	$	2.91		0.58	%^(b)
O'Shares FTSE Russell International Quality Dividend ETF
Actual	$	1,000.00	$	962.50	$	2.34		0.48	%
Hypothetical	$	1,000.00	$	1,022.41	$	2.41		0.48	%
O'Shares FTSE Asia Pacific Quality Dividend ETF
Actual	$	1,000.00	$	973.30	$	2.84		0.58	%^(b)
Hypothetical	$	1,000.00	$	1,021.92	$	2.91		0.58	%^(b)

Expenses are equal to the average account value over the period multiplied by the Fund’s annualized expense ratio, multiplied by 181 days in the most recent fiscal half-year divided by 365 days in the fiscal year (to reflect the one half year period).

(a)

The Fund commenced operations on June 05, 2018. Actual Expenses Paid During the Period are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 26 divided by 365 (to reflect the actual days in the period). Hypothetical Expenses Paid During the Period are equal to the Fund’s annualized net expense ratio, multiplied by the average account value over the period, multiplied by 181 divided by 365 (to reflect the one-half year period).

(b)

From July 1, 2017 to June 27, 2018, the Fund’s annualized expense ratio was 0.58%. From June 28, 2018 to June 30, 2018, the Fund’s annualized expense ratio was 0.48%. This ratio represents a blend of both ratios for the applicable period.

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OSI ETF Trust
Board Review and Approval of Investment Advisory Agreement and Investment Sub-Advisory Agreements (Unaudited)
June 30, 2018

At the February 21, 2018 meeting (the “February Meeting”) of the Board of Trustees (the “Board”) of OSI ETF Trust (the “Trust”), the Board, including those Trustees (the “Independent Trustees”) who are not “interested persons” (as that term is defined in the Investment Company Act of 1940 (the “1940 Act”)) of the Trust, approved the (i) investment advisory agreement (the “Shell Fund Investment Advisory Agreement”) between O’Shares Investment Advisers, LLC (the “Adviser”) and the Trust, on behalf of the O’Shares FTSE U.S. Quality Dividend ETF, O’Shares FTSE Europe Quality Dividend ETF and O’Shares FTSE Asia Pacific Quality Dividend ETF (each a “Shell Fund” and collectively, the “Shell Funds”); and (ii) investment advisory agreement (the “New Fund Investment Advisory Agreement” and, together with the Shell Fund Investment Advisory Agreement, the “Investment Advisory Agreements”) between the Adviser and the Trust, on behalf of the O’Shares Global Internet Giants ETF (the “New Fund”; the Shell Funds and New Fund are collectively referred to as the “Funds”). Under the Investment Advisory Agreements, the Adviser is obligated to pay all of the ordinary operating expenses of each Fund, except for certain excluded items (the “Unified Fee”). In addition, the Board, including the Independent Trustees, approved the (i) investment sub-advisory agreement (the “Shell Fund Sub-Advisory Agreement”) between the Adviser and FFCM LLC (“FFCM”), on behalf of Shell Funds; and (ii) investment sub-advisory agreement (the “New Fund Sub-Advisory Agreement” and, together with the Shell Fund Sub-Advisory Agreement, the “Sub-Advisory Agreements”; the Investment Advisory Agreements and Sub-Advisory Agreements are collectively referred to as the “Advisory Agreements”) between the Adviser and Vident Investment Advisory, LLC (“Vident” and, together with FFCM, the “Sub-Advisers”), on behalf of the New Fund. At the May 23, 2018 meeting of the Board (the “May Meeting” and together with the February Meeting, the “Meetings”), the Board, including the Independent Trustees, approved a reduction in the New Fund’s advisory fee from 0.68% to 0.48%.

In considering approval of the Advisory Agreements, the Independent Trustees met in executive session with independent counsel, who provided assistance and advice. The Board, including the Independent Trustees, evaluated the terms of the Advisory Agreements, reviewed the information provided by the Adviser and Sub-Advisers in connection with the consideration of approving the Advisory Agreements, and reviewed the duties and responsibilities of the Trustees in evaluating and approving the Advisory Agreements.

In considering the approval of the Advisory Agreements, the Board, including the Independent Trustees, reviewed the materials provided for the Meetings by the Adviser and Sub-Advisers, including: (i) copies of the forms of Investment Advisory Agreement; (ii) copies of the forms of Sub-Advisory Agreement; (iii) information describing the nature, extent and quality of the services that the Adviser and Sub-Advisers expect to provide to each Fund, and the fees that the Adviser and Sub-Advisers propose to charge for such services; (iv) information concerning the financial condition, businesses, operations and compliance programs of the Adviser and Sub-Advisers; (v) a copy of the current Form ADV for each of the Adviser and Sub-Advisers; and (vi) a memorandum on the responsibilities of trustees in considering investment advisory arrangements under the 1940 Act.

In addition, the Board considered data compiled by the Adviser from an unaffiliated third party database comparing the proposed Unified Fee of each Fund with the net expense ratios (i.e., after fee waivers and reimbursements) of other U.S.-listed ETFs having similar investment objectives and strategies (the “Peer Group”). The Board discussed the criteria used by the Adviser for selecting the Peer Group. The Board, including the Independent Trustees, concluded that the data was useful and reliable for the purpose of reviewing the Advisory Agreements.

During their review of this information, the Board, including the Independent Trustees, focused on and analyzed the factors that they deemed relevant, including: (i) the nature, extent and quality of the services to be provided to each Fund by the Adviser and Sub-Advisers; (ii) the personnel and operations of the Adviser and Sub-Advisers; (iii) the proposed Unified Fee of each Fund and the cost of the services to be provided; (iv) the expected profitability to the Adviser and Sub-Advisers under the Investment Advisory Agreements and

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OSI ETF Trust
Board Review and Approval of Investment Advisory Agreement and Investment Sub-Advisory Agreements (Unaudited)
June 30, 2018

Sub-Advisory Agreements, respectively; (v) any ancillary benefits to be realized by the Adviser and Sub-Advisers due to their relationship with the Funds and the Trust (i.e., “fall-out” benefits); and (vi) possible conflicts of interest.

In particular, the Board considered and reviewed the following with respect to each Fund:

(a) The nature, extent and quality of services to be provided to each Fund by the Adviser and Sub-Advisers; Personnel and operations of the Adviser and Sub-Advisers; Possible conflicts of interest. The Board reviewed the services that the Adviser and Sub-Advisers are expected to provide to each Fund. In connection with the advisory services to be provided to each Fund, the Board noted the Adviser’s responsibilities as each Fund’s investment adviser, including: overall supervisory responsibility for the general management and investment of each Fund’s securities portfolio; ultimate responsibility, subject to oversight by the Board, for oversight of the Sub-Advisers as sub-advisers to the Funds; responsibility for daily monitoring of tracking error and quarterly reporting to the Board; and implementation of Board directives as they relate to each Fund. The Board considered the selection and due diligence process employed by the Adviser in proposing the Sub-Advisers as the sub-advisers to the Funds, including the due diligence undertaken with respect to the Sub-Advisers’ compliance capabilities, and the plans and efforts to integrate FFCM’s operations, policies, procedures and compliance functions with those of the Adviser.

The Board also noted the responsibilities that the Sub-Advisers have as the Funds’ sub-advisers, including: implementation of the investment management program of the Funds; management of the day-to-day investment and reinvestment of the assets of the Funds; determining daily baskets of deposit securities and cash components; executing portfolio security trades for purchases and redemptions of Fund shares conducted on a cash-in-lieu basis, as well as during index rebalances and reconstitutions; and oversight of general portfolio compliance with relevant law.

The Board noted the experience of the Adviser and Vident in serving as the investment adviser and sub-adviser, respectively, to the existing series of the Trust. The Board observed that the Shell Funds were established for the purpose of acquiring the assets and assuming the liabilities of the corresponding series of FQF Trust (the “Target Funds”) and continuing the Target Funds’ business. The Board noted the experience of the Adviser’s personnel and its parent company in serving as the sponsor to the Target Funds and the experience of FFCM in serving as investment adviser to the Target Funds. In addition, the Board considered the financial strength and resources of the Adviser’s and Sub-Advisers’ parent organizations.

The Board noted the Adviser’s and Sub-Advisers’ procedures to manage potential conflicts of interest. Based on their consideration and review of the foregoing information, the Board concluded that each Fund was likely to benefit from the nature, extent and quality of these services, as well as the Adviser’s and Sub-Advisers’ ability to render such services based on their experience, personnel, operations and resources.

(b) Comparison of services to be provided and fees to be charged by the Adviser and Sub-Advisers and other investment advisers to similar clients, and the cost of the services to be provided. The Board compared both the services to be rendered and the fees to be paid pursuant to the Investment Advisory Agreements for the Funds to the contractual advisory fees of other registered investment advisers providing services to similar ETFs in each Fund’s Peer Group. In particular, the Board compared each Fund’s proposed Unified Fee to the net expense ratios of the other ETFs in the Peer Group.

The Board considered that the sub-advisory fees to be paid by the Adviser to the Sub-Advisers pursuant to the Sub-Advisory Agreements were the product of arms-length negotiations between the Adviser and Sub-Advisers, and that the sub-advisory fees would be paid entirely by the Adviser from the Unified Fee. The Board also considered information about the fee rates charged to other comparable accounts and clients (including other ETFs) that are managed by the Adviser and Sub-Advisers, including information about the differences in services provided to non-fund clients.

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OSI ETF Trust
Board Review and Approval of Investment Advisory Agreement and Investment Sub-Advisory Agreements (Unaudited)
June 30, 2018

The Board considered the appropriateness of the proposed Unified Fee of each Fund compared to the net expense ratios of the ETFs in the Peer Group. The Board noted that the proposed Unified Fee of each of the O’Shares FTSE Europe Quality Dividend ETF, O’Shares FTSE Asia Pacific Quality Dividend ETF and O’Shares Global Internet Giants ETF was below the median and average net expense ratio of the other ETFs in the respective Peer Group. The Board noted that the proposed Unified Fee of the O’Shares FTSE U.S. Quality Dividend ETF was above the median and average, but below the maximum, net expense ratio of the other ETFs in its Peer Group.

The Board received information regarding the costs, including operational costs to be borne by the Adviser under the Unified Fee, and expected profitability of the Adviser and Sub-Advisers in connection with serving as adviser and sub-adviser, respectively, to the Funds. The Board noted the Adviser’s assumption of the contractual obligation to limit each Fund’s ordinary operating expenses through the Unified Fee, which cannot be changed without shareholder approval.

After (i) comparing each Fund’s proposed Unified Fee with the net expense ratios of the other ETFs in the Peer Group, (ii) considering the information about fee rates charged to other comparable accounts and clients managed by the Adviser and Sub-Advisers, (iii) the nature, extent and quality of services to be provided by the Adviser and Sub-Advisers and the expected costs to be incurred by the Adviser and Sub-Advisers in rendering those services, and (iv) the Adviser absorbing each Fund’s ordinary operating expenses under the Unified Fee, Board concluded that the fees to be paid to the Adviser and Sub-Advisers with respect to the Funds were fair and reasonable.

(c) The Adviser’s and Sub-Advisers’ expected profitability and the extent to which economies of scale would be realized as each Fund grows and whether fee levels would reflect such economies of scale; “Fall-out” benefits. The Board discussed with the representatives from the Adviser and Sub-Advisers the advisers’ expected profitability with respect to the Funds. The Board acknowledged the Adviser’s contractual obligation to limit each Fund’s expenses through the Unified Fee, and the effect of such obligation on the Adviser’s expected profitability based on information presented to the Board. The Board noted that the Adviser had borne all of the organizational expenses of the Funds. The Board also considered the expected profitability of the Sub-Advisers in relation to the fees paid under the Sub-Advisory Agreements.

The Board noted that, because each Fund had not yet commenced operations, it was not yet possible to assess the potential for economies of scale, though the Board would address economies of scale for each Fund when assets under management reached appropriate levels. The Board considered fall-out benefits to be received by the Adviser and Sub-Advisers from their relationship with the Funds and the Trust. The Board noted that none of the other services providers to each Fund or the Trust were affiliates of the Adviser or Sub-Advisers. The Board also noted the Adviser’s and Sub-Advisers’ potential positive reputational benefits from the success of each Fund.

(d) Investment performance of the Adviser and Sub-Advisers. The Board noted that, because each Fund had not commenced operations, it was not possible to assess the Adviser’s and Sub-Advisers’ investment performance with respect to each Fund. The Board discussed with the representative from FFCM the performance of the Target Funds, including tracking difference (i.e., the difference of the returns between an ETF and the underlying index it seeks to track). The Board also discussed with the representatives from the Adviser and Vident the performance of the existing series of the Trust, including tracking difference.

Conclusion. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, the Board, including the Independent Trustees, concluded that the proposed Unified Fees were reasonable in relation to the services to be provided by the Adviser and Sub-Advisers to each Fund, as well as the costs to be incurred and benefits to be gained by the Adviser and Sub-Advisers in providing such services. The Board also found the advisory fees to be reasonable in comparison to the fees charged by advisers to other comparable ETFs of similar size. As a result, the Board, including the Independent Trustees, determined that the approval of the Advisory Agreements on behalf of each Fund would be in the best interest of each Fund and its shareholders.

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OSI ETF Trust
Additional Information (Unaudited)

Proxy Voting Information

A description of OSI ETF Trust’s proxy voting policies and procedures is attached to the Funds’ Statement of Additional Information, which is available without charge by visiting the Trust’s website at www.oshares.com or the Securities and Exchange Commission’s (“SEC”) SEC’s website at www.sec.gov or by calling collect 1-617-855-7670.

In addition, a description of how each Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 will be available without charge upon request by calling collect 1-617-855-7670 or on the SEC’s website at www.sec.gov.

A special meeting (the “OASI Meeting”) of Shareholders of O’Shares FTSE Asia Pacific Quality Dividend ETF was held on June 18, 2018. The OASI Meeting was held for the following purpose:

Matter

To Approve the Agreement and Plan of Reorganization and Termination adopted by the Board of Trustee of FQF Trust to reorganize the O’Shares FTSE Asia Pacific Quality Dividend ETF, a series of FQF Trust, into a corresponding newly created series of OSI ETF Trust of the same name.

The results of the voting on the above matter were as follows:


Votes For	Votes Against		Votes Abstain
150,469		4,214		22,238

A special meeting (the “OUSA Meeting”) of Shareholders of O’Shares FTSE U.S. Quality Dividend ETF was held on June 18, 2018, as adjourned to June 22, 2018. The OUSA Meeting was held for the following purpose:

Matter

To Approve the Agreement and Plan of Reorganization and Termination adopted by the Board of Trustee of FQF Trust to reorganize the O’Shares FTSE U.S. Quality Dividend ETF, a series of FQF Trust, into a corresponding newly created series of OSI ETF Trust of the same name.

The results of the voting on the above matter were as follows:


Votes For	Votes Against		Votes Abstain
6,613,584		89,025		743,635

A special meeting (the “OEUR Meeting”) of Shareholders of O’Shares FTSE Europe Quality Dividend ETF was held on June 18, 2018, as adjourned to June 22, 2018. The OEUR Meeting was held for the following purpose:

Matter

To Approve the Agreement and Plan of Reorganization and Termination adopted by the Board of Trustee of FQF Trust to reorganize the O’Shares FTSE Europe Quality Dividend ETF, a series of FQF Trust, into a corresponding newly created series of OSI ETF Trust of the same name.

The results of the voting on the above matter were as follows:


Votes For	Votes Against		Votes Abstain
897,448		12,386		99,442

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OSI ETF Trust
Additional Information (Unaudited)

Quarterly Portfolio Holdings Information

OSI ETF Trust will file its complete schedule of portfolio holdings with the SEC for the first and third quarters of on Form N-Q. The Form N-Q will be available on the SEC’s website at www.sec.gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information about the Public Reference Room may be obtained by calling 1-800-SEC-0330. In addition, the Funds’ full portfolio holdings are updated daily and available on the O’Shares Investment Funds’ website at www.oshares.com.

This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.

Federal Tax Information

Under the Jobs and Growth Tax Relief Reconciliation Act of 2003 (the “Act”), the percentages of ordinary dividends paid during the tax year ended June 30, 2018 are designated as “qualified dividend income” (QDI), as defined in the Act, subject to reduced tax rates in 2018. The Funds also qualify for the dividends received deduction (DRD) for corporate shareholders. Complete information will be reported in conjunction with your 2018 Form 1099-DIV.

As of June 30, 2018, the Funds federal tax information were as follows:


Fund	QDI			DRD
O’Shares FTSE U.S. Quality Dividend ETF		100.00	%		100.00	%
O’Shares FTSE Russell Small Cap Quality Dividend ETF		77.00	%		79.81	%
O'Shares Global Internet Giants ETF		—	%		—	%
O’Shares FTSE Europe Quality Dividend ETF		93.36	%		—	%
O’Shares FTSE Russell International Quality Dividend ETF		100.00	%		—	%
O’Shares FTSE Asia Pacific Quality Dividend ETF		58.63	%		—	%

For the tax year ended June 30, 2018, foreign taxes which are expected to be passed through to shareholders for foreign tax credits and gross income derived from sources within foreign countries were as follows:


Fund	Foreign Taxes Paid		Foreign Source Income
O'Shares Global Internet Giants ETF	$	—	$	—
O’Shares FTSE Europe Quality Dividend ETF		189,543		2,094,397
O’Shares FTSE Russell International Quality Dividend ETF		65,391		640,018
O’Shares FTSE Asia Pacific Quality Dividend ETF		23,975		379,778

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OSI ETF Trust
Trustees and Officers of the Trust (Unaudited)

Trustees


Name, Address*, Year of Birth	Position(s) Held with Trust	Term of Office** and Length of time Served	Principal Occupation(s) During Past 5 Years	Number of Funds in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Independent Trustees
Richard M. Goldman*** Year of Birth: 1961	Trustee	Since 2016	Managing Member, Becket Capital, LLC (advisory services firm) (2012 to present); Chief Operating Officer, Guggenheim Investments (2011 to 2012); Chief Executive Officer, Rydex Investments (2007 to 2012).	13	Harvest Volatility Edge Trust (2017 to present)
Charles A. Baker**** Year of Birth: 1953	Trustee	Since 2016	Chief Executive Officer of Investment Innovations LLC (investment consulting) since 2013; Managing Director of NYSE Euronext from 2003 to 2012.	13	Global X Funds (July 2018 to present)
Jeffrey D. Haroldson Year of Birth: 1956	Trustee	Since 2016	Chief Operating Officer and Chief Legal Officer, Bridgeton Holdings LLC (real estate investment and development) (2013 to present); Senior Managing Director, Lexden Capital, LLC (real estate and green energy financing) (2014 to present); President, Ridgewood Capital Advisors LLC (consulting and business advisory services) (2012 to present).	13	None
Interested Trustee*****
Connor O’Brien Year of Birth: 1961	Trustee	Since 2016	Chief Executive Officer, O’Shares Investment Advisers, LLC (since March 2016); Chief Executive Officer and President, O’Shares Investments, Inc. (2015 to present); President, BeanStox Inc. (2017 to present); President and Chief Investment Officer, Stanton Asset Management Inc. (2002 to present); President, Chief Executive Officer and Director, O’Leary Funds Management LP (2008 to present).	13	None

Each Independent Trustee may be contacted by writing to the Independent Trustees of OSI ETF Trust, 60 State Street, Suite 700, Boston, MA 02109.

Each Trustee serves until his or her successor is duly elected or appointed and qualified.

***

Chair of the Nominating and Governance Committee.

****

Chair of the Audit Committee.

*****

Mr. O’Brien is considered to be an interested person of the Trust because of his relationship with the Adviser.

The Funds’ Statement of Additional Information includes additional information about the Trustees and is available free of charge, upon request, by calling (617) 855-7670 (collect).

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OSI ETF Trust
Trustees and Officers of the Trust (Unaudited)

Officers


Name, Address, Year of Birth	Position(s) Held with Trust	Term of Office* and Length of Time Served	Principal Occupation(s) During the Past 5 Years
Kevin Beadles 60 State Street, Suite 700 Boston, MA 02109 Year of Birth: 1966	President and Secretary	Since 2016	Director, Strategic Development, O'Shares Investment Advisers LLC (2017 to present); Director of Capital Markets and Strategic Development, O’Shares Investments, Inc. (April 2015 to March 2017); Chief Strategy Officer, Managing Director of Capital Markets and Portfolio Risk Management and Head of Global Product Development, Wedbush Securities, Inc. and Lime Brokerage, LLC (a wholly owned subsidiary of Wedbush Securities, Inc.) (July 2004 to December 2013).
Joshua G. Hunter 10 High Street, Suite 302 Boston, MA 02110 Year of Birth: 1981	Principal Financial Officer and Treasurer	Since 2016	Principal Financial Officer, Foreside Fund Officer Services, LLC (July 2015 to present); Vice President/Assistant Vice President, Treasury Services, JPMorgan Chase & Co. (July 2008 to July 2015).**

Kenneth A. Kalina c/o Foreside 3 Canal Plaza, Suite 100 Portland, ME 04101 Year of Birth: 1959	Chief Compliance Officer	Since 2017	Fund Chief Compliance Officer, Foreside Fund Officer Services, LLC (June 2017 to present); Chief Compliance Officer, Henderson Global Funds (December 2005 to June 2017); Chief Compliance Officer, Henderson Global Investors (North America) Inc. (December 2005 to December 2015).**

Each officer serves until his successor is duly elected or appointed and qualified.

Mr. Hunter and Mr. Kalina serve as officers to other unaffiliated mutual funds or closed-end funds for which the Distributor (or its affiliates) acts as distributor (or provider of other services).

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OSI ETF Trust

60 State Street, Suite 700
Boston, MA 02109
www.oshares.com

Distributor:
Foreside Fund Services, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101

Item 2. Code of Ethics.

As of the end of the period, June 30, 2018, the Registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.

Item 3. Audit Committee Financial Expert.

The Board of Trustees has determined that Charles A. Baker is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Charles A. Baker is independent for purposes of Item 3 of Form N-CSR.

Item 4. Principal Accountant Fees and Services.

Aggregate fees for professional services rendered for OSI ETF Trust by BBD, LLP (“BBD”) for the fiscal years ended June 30, 2017 and June 30, 2018 were:

	2017	2018
Audit Fees (a)	$28,500	$72,600
Audit Related Fees (b)	0	0
Tax Fees (c)	$6,000	$18,000
All Other Fees (d)	0	0
Total:	$34,500	$90,600

(a)

Audit Fees: These fees relate to professional services rendered by BBD for the audits of the Registrant’s annual financial statements or services normally provided by the independent registered public accounting firm in connection with statutory and regulatory filing or engagements. These services include the audits of the financial statements of the Registrant and issuance of consents.

(b)

Audit Related Fees: These fees relate to assurance and related services by BBD related to audit services in connection with the June 30, 2017 and June 30, 2018 annual financial statements.

(c)

Tax Fees: These fees relate to professional services rendered by BBD for tax compliance, tax advice and tax planning.

(d)

All Other Fees: These fees relate to products and services provided by BBD other than those reported under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees” above.

(e)(1)

Per Rule 2-01(c)(7)(A) and the charter of the Registrant’s Audit Committee, the Audit Committee approves and recommends the principal accountant for the Registrant, pre-approves (i) the principal accountant’s provision of all audit and permissible non-audit services to the Registrant (including the fees and other compensation to be paid to the principal accountant), and (ii) the principal accountant’s provision of any permissible non-audit services to the Registrant’s investment adviser (the “Adviser”), sub-adviser or any entity controlling, controlled by, or under common control with any investment adviser or sub-adviser, if the engagement relates directly to the operations of the financial reporting of the Trust.

(e)(2)

0% of services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f)

If greater than 50%, disclose the percentage of hours expended on the principal accountant’s engagement to audit the Registrant’s financial statements for the most recent fiscal year that were attributable to work performed by persons other than the principal accountant’s full-time, permanent employees: Not Applicable.

(g)

Disclose the aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for the fiscal years ended June 30, 2017 and June 30, 2018: $6,000 and $18,000, respectively.

(h)

The Registrant's Audit Committee has considered that the provision of non-audit services that were rendered to the Registrant's investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence.

Item 5. Audit Committee of Listed Registrants.

(a)

The Registrant is an issuer as defined in Section 10A-3 of the Securities Exchange Act of 1934 and has a separately-designated standing Audit Committee in accordance with Section 3(a)(58)(A) of such Act. All of the Board’s independent Trustees, Charles A. Baker, Richard M. Goldman and Jeffrey D. Haroldson, are members of the Audit Committee.

(b)

Not applicable.

Item 6. Investments.

(a)

Schedule I – Investments in Securities of Unaffiliated Issuers.

Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.

(b)

Securities divested of in accordance with Section 13(c) of the Investment Company Act of 1940.

Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to the Registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to the Registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to the Registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

The Registrant did not have in place procedures by which shareholders may recommend nominees to the Registrant’s board of trustees.

Item 11. Controls and Procedures.

(a)

The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b)

There were no changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s second fiscal half year covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable to the Registrant.

Item 13. Exhibits.

(a)(1)

The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto.

(a)(2)

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(a)(3)

Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act sent or given during the period covered by the report by or on behalf of the Registrant to 10 or more persons.

Not applicable.

(a)(4)

Change in the Registrant’s independent public accountant.

Not applicable.

(b)

Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

OSI ETF Trust

By: /s/ Kevin Beadles

Kevin Beadles

President

September 7, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By: /s/ Kevin Beadles

Kevin Beadles

President

September 7, 2018

By: /s/ Joshua Hunter

Joshua Hunter

Principal Financial Officer and Treasurer

September 7, 2018

Table of Contents

Global Equity Market Overview

OSI ETF Trust

OSI ETF Trust

OSI ETF Trust

OSI ETF Trust

OSI ETF Trust

OSI ETF Trust

OSI ETF Trust

OSI ETF Trust

1. Organization

2. Significant Accounting Policies

Investment Company Modernization

Investment Valuation

Real Estate Investment Trusts (“REITs”)

Foreign Currency Translation

Organizational and Offering Expenses

Taxes and Distributions

3. Investment Transactions and Related Income

4. Investment Management Fees

5. Administration, Fund Accounting and Transfer Agency Fees

6. Custodian Fees

7. Distribution, Service Plan and Fund Officers

8. Issuance and Redemption of Fund Shares

9. Investment Transactions

10. In-Kind Transactions

11. Principal Risks

12. Guarantees and Indemnifications

13. Subsequent Events

Opinion on the Financial Statements

Basis for Opinion

Philadelphia, Pennsylvania August 27, 2018

Actual Expenses

Hypothetical Example for Comparison Purposes

Proxy Voting Information

Matter

Matter

Matter

Quarterly Portfolio Holdings Information

Federal Tax Information

Trustees

Officers

Philadelphia, Pennsylvania
August 27, 2018