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).

[GRAPHIC MISSING]

Annual Report

June 30, 2019

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semiannual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website (www.oshares.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as your brokerage firm).

Alternatively, you may elect to receive paper copies of all future reports free of charge by contacting your financial intermediary. Your election to receive reports in paper will apply to all funds held in your account(s) that you invest in through your financial intermediary.

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. A Fund’s 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, Inc. 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


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
10		O’Shares FTSE Europe Quality Dividend ETF
14		Statements of Assets and Liabilities
15		Statements of Operations
16		Statements of Changes in Net Assets
18		Financial Highlights
19		Notes to Financial Statements
31		Report of Independent Registered Public Accounting Firm
33		Expense Examples
35		Additional Information
36		Trustees and Officers

The O’Shares FTSE U.S. Quality Dividend ETF, O’Shares FTSE Russell Small Cap Quality Dividend ETF and O’Shares FTSE Europe 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 USA Qual/Vol/Yield Factor 5% Capped Index, FTSE USA Small Cap ex Real Estate 2Qual/Vol/Yield 3% Capped Factor Index and FTSE Developed Europe Qual/Vol/Yield 5% Capped Factor 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 calculating 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.

S-Network Global Indexes Inc. (“S-Network” or “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.

[GRAPHIC MISSING]

Dear Shareholder,

This Annual Report for the O’Shares Investments ETFs (the “Funds”) covers the period from July 1, 2018 through June 30, 2019 (the “Period”).

Global Equity Market Overview

Global equity markets were generally positive during the Period, returning over 10% for the S&P 500 Index¹ and almost 2% for the MSCI ACWI ex USA Index.²

Performance across global equity markets during the Period was driven by several factors, including trade tensions between the U.S. and China and continued quantitative easing in Europe and Japan.

In the U.S., GDP growth was over 2%. The unemployment rate remained under 4% and core inflation decreased moderately.

In Europe, growth slowed moderately, with GDP in the European Union (“E.U.”) over 1%, employment gains were modest, inflation remained low by historical standards and the European Central Bank kept rates unchanged.

Growth in the Asia-Pacific region was stronger, at over 4%, although growth in Japan slowed to below 1% and core inflation remained low. Trade tensions added to China’s slowing growth concerns and weighed on markets.

Monetary policy in the U.S. tightened as the U.S. Federal Reserve increased rates on two occasions, although rates remain low by historical standards. The yield on U.S. 10 Year government bonds decreased, reflecting concerns that economic growth may slow and the increased possibility of a rate cut by the U.S. Federal Reserve.

Monetary policy in Europe remained accommodative, however the European Central Bank ended their quantitative easing program in 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 slowed.

Corporate profits in the U.S. remained generally strong, particularly in the Communication Services, Health Care and Real Estate sectors.

Equity markets in the U.S. generated strong returns, reflecting stable economic conditions and optimism for a resolution to U.S. and China trade tensions. Volatility in U.S. equity markets was elevated during the fourth quarter of 2018 and parts of 2019, due to several factors, including global trade tensions, shifts in monetary policy, and a slowdown in China’s growth. The strongest performing sector was Utilities, as interest rate sensitive stocks benefited from declining Treasury yields, followed by Information Technology, as technology stocks recovered strongly during the first 2 quarters of 2019, after underperforming the S&P 500 during the last quarter of 2018. The Energy sector was the worst performing sector during the Period, as oil prices declined. Equity market performance in Europe was also positive, as the European Central Bank concluded quantitative easing. In the Asia-Pacific region, slightly negative equity market performance was driven by slowing global economic growth.

The views expressed in this letter were those as of June 30, 2019 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.

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, 2018 through June 30, 2019 (the “Reporting Period”), the Fund’s market return was 14.16% and its NAV return was 14.31%. The U.S. Target Index returned 14.94% during the same Reporting Period. The Fund’s market price at June 30, 2019 was $34.11.³

The Fund posted positive performance in nine of the twelve months during the Reporting Period, with returns ranging from -8.01% to 5.83%. The best performing months for the Fund were June 2019 and January 2019, finishing up 5.83% and 5.58%, respectively. The worst performing months for the Fund were December 2018 and May 2019, finishing down -8.01% and -4.91%, respectively.

Nine of the ten sectors in the Fund delivered positive returns during the Reporting Period. Utilities and Consumer Services were among the strongest performing U.S. large cap sectors. Utilities, an interest rate sensitive sector, benefited from declining interest rates during the Reporting Period. In addition, the Energy sector, typically considered to be non-cyclical, generated the weakest returns during the Reporting Period as energy prices declined during the second half of 2018 and only partially recovered during the first half of 2019. Consumer Goods and Basic Materials generally underperformed the market 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 12.2% for the Reporting Period.


Fund Sector	As of June 30, 2019 Based on Net Assets
Fund Sector	Fund Sector Weights			Constituent Companies
Basic Materials		1.19	%		5
Consumer Goods		15.40	%		25
Consumer Services		13.32	%		17
Energy		8.78	%		5
Financials		8.83	%		14
Health Care		14.36	%		9
Industrials		13.72	%		27
Technology		12.79	%		8
Telecommunications		4.23	%		2
Utilities		7.08	%		25
Other*		0.30	%
Totals		100.00	%		137

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


Portfolio Characteristics	As of June 30, 2019
Book Yield (B/P)⁵		23.37	%
Earnings Yield (E/P)⁶		5.48	%
Return on Equity (ROE)⁷		23.56	%
Debt to Equity (D/E)⁸		69.08	%
Dividend Yield (D/P)⁹		3.04	%
Forward Earnings Yield (E/P)¹⁰		5.87	%
30-day SEC Yield (subsidized)¹¹		2.57	%
30-day SEC Yield (unsubsidized)¹¹		2.57	%
Beta (104 week)¹²		0.89
Average Market Cap (millions)	$	159,177
Median Market Cap (millions)	$	31,749

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, 2019 assuming the reinvestment of distributions.

Average Annual Total Return Since Inception through June 30, 2019


	1 Year			3 Year			Since Inception
OUSA NAV Return		14.31	%		9.95	%		10.89	%
OUSA Market Price Return		14.16	%		9.97	%		10.88	%
U.S. Target Index		14.94	%		10.53	%		11.48	%

Performance measured by NAV differs from the U.S. Target 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. 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 Fund’s 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.

iii

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, 2018 through June 30, 2019 (the “Reporting Period”), the Fund’s market return was 3.53% and its NAV return was 3.65%. The U.S. Small Cap Target Index returned 4.14% during the same Reporting Period. The Fund’s market price at June 30, 2019 was $27.45.³

The Fund posted positive performance in seven of the twelve months during the Reporting Period, with returns ranging from -10.57% to 8.69%. The best performing months for the Fund were January 2019 and June 2019, finishing up 8.69% and 7.73%, respectively. The worst performing months for the Fund were December 2018 and October 2018, finishing down -10.57% and -9.02% respectively.

Six of the ten sectors in the Fund delivered positive returns during the Reporting Period. Utilities and Information Technology were among the strongest performing U.S. small cap sectors. Technology stocks recovered during the first half of 2019 after declining during the last 6 months of 2018. Interest rate sensitive sectors, including Utilities, benefited from declining treasury yields during the Reporting Period. However, the Energy sector, typically considered to be non-cyclical, generated poor returns during the Reporting Period as energy prices declined during the second half of 2018 and only partially recovered during the first half of 2019.

The Fund had an annualized daily volatility⁴ of 15.0% for the Reporting Period.


Fund Sector	As of June 30, 2019 Based on Net Assets
Fund Sector	Fund Sector Weights			Constituent Companies
Consumer Discretionary		14.06	%		42
Consumer Staples		3.18	%		15
Energy		1.42	%		5
Financials		18.38	%		27
Health Care		2.04	%		3
Industrials		20.48	%		44
Information Technology		21.97	%		25
Materials		8.53	%		24
Communication Services		2.16	%		8
Utilities		7.69	%		24
Other*		0.09	%
Totals		100.00	%		217

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


Portfolio Characteristics	As of June 30, 2019
Book Yield (B/P)⁵		32.16	%
Earnings Yield (E/P)⁶		5.63	%
Return on Equity (ROE)⁷		17.61	%
Debt to Equity (D/E)⁸		71.36	%
Dividend Yield (D/P)⁹		2.71	%
Forward Earnings Yield (E/P)¹⁰		6.07	%
30-day SEC Yield (subsidized)¹¹		2.30	%
30-day SEC Yield (unsubsidized)¹¹		2.30	%
Beta (104 week)¹²		0.96
Average Market Cap (millions)	$	5,038
Median Market Cap (millions)	$	2,700

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, 2019 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, 2019


	1 Year			Since Inception
OUSM NAV Return		3.65	%		6.20	%
OUSM Market Price Return		3.53	%		6.20	%
U.S. Small Cap Target Index**		4.14	%		6.74	%

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

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”).

From July 1, 2018 through June 30, 2019 (the “Reporting Period”), the Fund’s market return was 3.69% and its NAV return was 4.07%. The Global Internet Giants Target Index returned 4.65% during the same Reporting Period. The Fund’s market price at June 30, 2019 was $25.01.³

The Fund posted positive performance in seven of the twelve months during the Reporting Period, with returns ranging from -13.60% to 15.34%. The best performing months for the Fund were January 2019 and February 2019, finishing up 15.34% and 7.42%, respectively. The worst performing months for the Fund were October 2018 and December 2018, finishing down -13.60% and -8.23%, respectively.

On a U.S. dollar-denominated basis, Information Technology related sectors in the U.S. generally delivered positive returns during the Reporting Period. 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 and concerns over slowing growth.

The Fund had an annualized daily volatility⁴ of 27.8% for the Reporting Period.


Fund Sector	As of June 30, 2019 Based on Net Assets
Fund Sector	Fund Sector Weights			Constituent Companies
Consumer Discretionary		27.97	%		19
Communication Services		34.88	%		20
Information Technology		37.08	%		33
Other*		0.07	%
Totals		100.00	%		72

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



Portfolio Characteristics	As of June 30, 2019
Book Yield (B/P)⁵		33.80	%
Earnings Yield (E/P)⁶		0.68	%
Return on Equity (ROE)⁷		2.02	%
Debt to Equity (D/E)⁸		38.37	%
Dividend Yield (D/P)⁹		0.10	%
Forward Earnings Yield (E/P)¹⁰		4.53	%
30-day SEC Yield (subsidized)¹¹		-0.23	%
30-day SEC Yield (unsubsidized)¹¹		-0.23	%
Beta (104 week)¹²		N/A
Average Market Cap (millions)	$	247,847
Median Market Cap (millions)	$	14,097

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, 2019 assuming the reinvestment of distributions.

Average Annual Total Return Since Inception through June 30, 2019


	1 Year			Since Inception
OGIG NAV Return		4.07	%		0.15	%
OGIG Market Price Return		3.69	%		0.04	%
Global Internet Giants Target Index		4.65	%		0.70	%
NASDAQ-100 Index¹³		10.16	%		8.07	%

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 Fund’s 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.

vii

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 5% Capped Factor 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, 2018 through June 30, 2019 (the “Reporting Period”), the Fund’s market return was 5.25% and its NAV return was 5.16%. The Europe Target Index returned 5.72% during the same Reporting Period. The Fund’s market price at June 30, 2019 was $24.22.³

The Fund posted positive performance in seven of the twelve months during the Reporting Period, with returns ranging from -5.77% to 6.07%. The best performing months for the Fund were June 2019 and January 2019, finishing up 6.07% and 5.87%, respectively. The worst performing months for the Fund were October 2018 and December 2018, finishing -5.77% and -4.53%, respectively.

On a U.S. dollar-denominated basis, eight of the ten sectors in the Fund delivered positive returns during the Reporting Period. Utilities and Health Care were among the stronger performing sectors in Europe. Utilities, an interest rate sensitive sector, benefited from declining interest rates during the Reporting Period. In addition, the Energy sector, typically considered to be non-cyclical, was among the weakest performers during the Reporting Period, as energy prices declined during the second half of 2018 and only partially recovered during the first half of 2019. Telecommunications and Consumer Services 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 11.8% for the Period.


Fund Sector	As of June 30, 2019 Based on Net Assets
Fund Sector	Fund Sector Weights			Constituent Companies
Basic Materials		6.85	%		12
Energy		13.62	%		10
Consumer Goods		13.63	%		19
Consumer Services		6.89	%		26
Financials		11.84	%		30
Health Care		20.43	%		11
Industrials		11.66	%		43
Telecommunications		6.36	%		14
Utilities		7.18	%		22
Other*		1.54	%
Totals		100.00	%		187

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


Portfolio Characteristics	As of June 30, 2019
Book Yield (B/P)⁵		49.17	%
Earnings Yield (E/P)⁶		5.80	%
Return on Equity (ROE)⁷		11.77	%
Debt to Equity (D/E)⁸		61.61	%
Dividend Yield (D/P)⁹		4.15	%
Forward Earnings Yield (E/P)¹⁰		7.12	%
30-day SEC Yield (subsidized)¹¹		3.89	%
30-day SEC Yield (unsubsidized)¹¹		3.89	%
Beta (104 week)¹²		0.932
Average Market Cap (millions)	$	71,723
Median Market Cap (millions)	$	9,286

viii

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, 2019 assuming the reinvestment of distributions.

Average Annual Total Return Since Inception through June 30, 2019


	1 Year			3 Year			Since Inception
OEUR NAV Return		5.16	%		4.90	%		2.39	%
OEUR Market Price Return		5.25	%		4.51	%		2.33	%
Europe Target Index		5.72	%		5.46	%		2.84	%

Performance measured by NAV differs from the Europe Target 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 Fund’s 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.

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.

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.

OSI ETF Trust
O'Shares FTSE U.S. Quality Dividend ETF
Schedule of Investments
June 30, 2019


Investments	Number of Shares		Value
Common Stocks – 99.7%
*Aerospace & Defense – 4.7%*
Boeing Co. (The)		25,364	$	9,232,749
General Dynamics Corp.		15,423		2,804,210
Lockheed Martin Corp.		16,966		6,167,820
Raytheon Co.		11,931		2,074,562
United Technologies Corp.		23,185		3,018,687
				23,298,028
*Air Freight & Logistics – 0.1%*
Expeditors International of Washington, Inc.		5,627		426,864
*Auto Components – 0.1%*
Autoliv, Inc.		2,712		191,223
Gentex Corp.		9,312		229,168
				420,391
*Beverages – 4.1%*
Coca-Cola Co. (The)		158,036		8,047,193
Coca-Cola European Partners plc		7,829		442,338
Molson Coors Brewing Co., Class B		4,924		275,744
PepsiCo, Inc.		86,898		11,394,935
				20,160,210
*Biotechnology – 1.8%*
AbbVie, Inc.		54,194		3,940,988
Amgen, Inc.		28,048		5,168,685
				9,109,673
*Capital Markets – 1.4%*
Franklin Resources, Inc.		42,777		1,488,640
MSCI, Inc.		6,029		1,439,665
T. Rowe Price Group, Inc.		37,712		4,137,383
				7,065,688
*Chemicals – 1.2%*
Air Products & Chemicals, Inc.		7,491		1,695,738
International Flavors & Fragrances, Inc.		2,699		391,598
Linde plc		11,824		2,374,259
LyondellBasell Industries NV, Class A		16,005		1,378,510
				5,840,105
*Commercial Services & Supplies – 0.6%*
Republic Services, Inc.		6,959		602,928
Waste Management, Inc.		21,023		2,425,423
				3,028,351
*Communications Equipment – 4.9%*
Cisco Systems, Inc.		441,585		24,167,947
*Containers & Packaging – 0.1%*
Packaging Corp. of America		2,910		277,381
*Diversified Consumer Services – 0.0%^(a)*
H&R Block, Inc.		6,350		186,055
*Diversified Telecommunication Services – 4.2%*
AT&T, Inc.		332,051		11,127,029
Verizon Communications, Inc.		172,734		9,868,293
				20,995,322


Investments	Number of Shares		Value
*Electric Utilities – 4.5%*
Alliant Energy Corp.		10,476	$	514,162
American Electric Power Co., Inc.		23,101		2,033,119
Avangrid, Inc.		2,532		127,866
Duke Energy Corp.		35,316		3,116,284
Edison International		17,460		1,176,979
Entergy Corp.		8,808		906,607
Evergy, Inc.		13,677		822,671
Eversource Energy		13,095		992,077
Exelon Corp.		39,867		1,911,224
FirstEnergy Corp.		18,515		792,627
NextEra Energy, Inc.		18,624		3,815,313
Pinnacle West Capital Corp.		5,565		523,611
PPL Corp.		32,592		1,010,678
Southern Co. (The)		56,163		3,104,691
Xcel Energy, Inc.		24,735		1,471,485
				22,319,394
*Electrical Equipment – 0.9%*
Eaton Corp. plc		16,326		1,359,629
Emerson Electric Co.		31,851		2,125,099
Rockwell Automation, Inc.		5,159		845,199
				4,329,927
*Electronic Equipment, Instruments & Components – 0.2%*
TE Connectivity Ltd.		12,804		1,226,367
*Energy Equipment & Services – 0.3%*
Schlumberger Ltd.		43,274		1,719,709
*Entertainment – 1.4%*
Walt Disney Co. (The)		48,529		6,776,590
*Equity Real Estate Investment Trusts (REITs) – 5.4%*
AvalonBay Communities, Inc.		13,865		2,817,091
Extra Space Storage, Inc.		14,259		1,512,880
Federal Realty Investment Trust		4,841		623,327
Host Hotels & Resorts, Inc.		55,823		1,017,095
Liberty Property Trust		12,222		611,589
Prologis, Inc.		64,311		5,151,311
Public Storage		33,124		7,889,143
Simon Property Group, Inc.		44,814		7,159,485
				26,781,921
*Food & Staples Retailing – 2.3%*
Sysco Corp.		20,103		1,421,684
Walgreens Boots Alliance, Inc.		41,955		2,293,680
Walmart, Inc.		70,422		7,780,927
				11,496,291
*Food Products – 0.8%*
Bunge Ltd.		4,365		243,174
Campbell Soup Co.		11,058		443,094
Conagra Brands, Inc.		14,841		393,583
Hershey Co. (The)		9,603		1,287,090
Hormel Foods Corp.		13,289		538,736
Ingredion, Inc.		2,742		226,188
JM Smucker Co. (The)		4,150		478,038

See accompanying notes to the financial statements.

OSI ETF Trust
O'Shares FTSE U.S. Quality Dividend ETF
Schedule of Investments
June 30, 2019


Investments	Number of Shares		Value
Kellogg Co.		9,894	$	530,022
				4,139,925
*Health Care Equipment & Supplies – 0.9%*
Medtronic plc		45,097		4,391,997
*Health Care Providers & Services – 0.5%*
Cardinal Health, Inc.		10,476		493,420
CVS Health Corp.		40,158		2,188,209
				2,681,629
*Hotels, Restaurants & Leisure – 4.2%*
Carnival Corp.		20,370		948,223
Darden Restaurants, Inc.		7,820		951,928
McDonald’s Corp.		40,904		8,494,125
Starbucks Corp.		113,243		9,493,161
Yum! Brands, Inc.		10,767		1,191,584
				21,079,021
*Household Durables – 0.2%*
Garmin Ltd.		6,693		534,101
Leggett & Platt, Inc.		6,703		257,194
				791,295
*Household Products – 6.4%*
Clorox Co. (The)		6,604		1,011,138
Colgate-Palmolive Co.		63,147		4,525,746
Kimberly-Clark Corp.		24,060		3,206,717
Procter & Gamble Co. (The)		212,139		23,261,041
				32,004,642
*Industrial Conglomerates – 2.2%*
3M Co.		34,629		6,002,591
Honeywell International, Inc.		26,974		4,709,391
				10,711,982
*Insurance – 2.0%*
Arthur J Gallagher & Co.		13,386		1,172,480
Fidelity National Financial, Inc.		27,063		1,090,639
Marsh & McLennan Cos., Inc.		77,406		7,721,248
				9,984,367
*IT Services – 4.4%*
Accenture plc, Class A		30,264		5,591,879
Amdocs Ltd.		10,185		632,387
Automatic Data Processing, Inc.		23,280		3,848,882
International Business Machines Corp.		67,671		9,331,831
Paychex, Inc.		30,264		2,490,425
				21,895,404
*Leisure Products – 0.1%*
Hasbro, Inc.		5,529		584,305
*Machinery – 1.5%*
Cummins, Inc.		9,894		1,695,238
Illinois Tool Works, Inc.		16,878		2,545,371
Ingersoll-Rand plc		8,730		1,105,829
PACCAR, Inc.		13,759		985,970
Parker-Hannifin Corp.		4,074		692,621


Investments	Number of Shares		Value
Snap-on, Inc.		2,113	$	349,997
				7,375,026
*Media – 0.3%*
Interpublic Group of Cos., Inc. (The)		18,624		420,716
Omnicom Group, Inc.		11,058		906,203
				1,326,919
*Metals & Mining – 0.0%^(a)*
Southern Copper Corp.		2,133		82,867
*Multiline Retail – 0.4%*
Target Corp.		21,573		1,868,438
*Multi-Utilities – 2.5%*
Ameren Corp.		11,678		877,135
CenterPoint Energy, Inc.		21,534		616,518
CMS Energy Corp.		11,594		671,408
Consolidated Edison, Inc.		23,507		2,061,094
Dominion Energy, Inc.		29,682		2,295,012
DTE Energy Co.		9,603		1,228,032
MDU Resources Group, Inc.		6,120		157,896
Public Service Enterprise Group, Inc.		23,824		1,401,328
Sempra Energy		12,513		1,719,787
WEC Energy Group, Inc.		14,841		1,237,294
				12,265,504
*Oil, Gas & Consumable Fuels – 8.4%*
Chevron Corp.		118,504		14,746,638
Exxon Mobil Corp.		308,164		23,614,608
Occidental Petroleum Corp.		41,919		2,107,687
Phillips 66		15,132		1,415,447
				41,884,380
*Pharmaceuticals – 11.5%*
Bristol-Myers Squibb Co.		84,681		3,840,284
Eli Lilly & Co.		41,904		4,642,544
Johnson & Johnson		173,457		24,159,091
Merck & Co., Inc.		139,098		11,663,367
Pfizer, Inc.		300,312		13,009,516
				57,314,802
*Road & Rail – 0.9%*
Union Pacific Corp.		25,608		4,330,569
*Semiconductors & Semiconductor Equipment – 5.9%*
Intel Corp.		327,913		15,697,195
KLA-Tencor Corp.		8,148		963,094
Maxim Integrated Products, Inc.		18,652		1,115,763
Texas Instruments, Inc.		87,681		10,062,271
Xilinx, Inc.		12,968		1,529,187
				29,367,510
*Specialty Retail – 4.3%*
Home Depot, Inc. (The)		75,951		15,795,529
Lowe’s Cos., Inc.		26,353		2,659,281
TJX Cos., Inc. (The)		52,679		2,785,666
				21,240,476

See accompanying notes to the financial statements.

OSI ETF Trust
O'Shares FTSE U.S. Quality Dividend ETF
Schedule of Investments
June 30, 2019


Investments	Number of Shares		Value
*Textiles, Apparel & Luxury Goods – 0.2%*
Kontoor Brands, Inc.*		1,825	$	51,137
VF Corp.		12,804		1,118,429
				1,169,566
*Tobacco – 3.5%*
Altria Group, Inc.		142,412		6,743,208
Philip Morris International, Inc.		133,022		10,446,218
				17,189,426
*Trading Companies & Distributors – 0.2%*
Fastenal Co.		31,428		1,024,239
*Water Utilities – 0.2%*
American Water Works Co., Inc.		6,402		742,632
Total Common Stocks (Cost $469,127,857)				495,073,135


Investments	Value
Total Investments — 99.7% (Cost $469,127,857)	$	495,073,135
Other Assets Less Liabilities — 0.3%		1,501,162
Net Assets — 100.0%	$	496,574,297

Non-income producing security.

(a)

Represents less than 0.05% of net assets.

As of June 30, 2019, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative contracts, if any) for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation	$	46,612,630
Aggregate gross unrealized depreciation		(20,683,067	)
Net unrealized appreciation	$	25,929,563
Federal income tax cost of investments (including derivative contracts, if any)	$	469,143,572

See accompanying notes to the financial statements.

OSI ETF Trust
O’Shares FTSE Russell Small Cap Quality Dividend ETF
Schedule of Investments
June 30, 2019


Investments	Number of Shares		Value
Common Stocks – 99.9%
*Aerospace & Defense – 0.5%*
BWX Technologies, Inc.		6,981	$	363,710
National Presto Industries, Inc.		1,725		160,925
				524,635
*Air Freight & Logistics – 0.2%*
Forward Air Corp.		3,607		213,354
*Airlines – 0.1%*
Copa Holdings SA, Class A		890		86,837
*Auto Components – 0.9%*
Dana, Inc.		9,677		192,960
Delphi Technologies plc		5,720		114,400
LCI Industries		6,198		557,820
Tenneco, Inc., Class A		3,701		41,044
				906,224
*Automobiles – 0.6%*
Thor Industries, Inc.		10,291		601,509
*Banks – 0.7%*
BankUnited, Inc.		8,054		271,742
PacWest Bancorp		9,363		363,565
				635,307
*Building Products – 3.3%*
AO Smith Corp.		23,087		1,088,783
Lennox International, Inc.		3,469		953,975
Owens Corning		8,698		506,223
Simpson Manufacturing Co., Inc.		6,393		424,879
Universal Forest Products, Inc.		6,079		231,367
				3,205,227
*Capital Markets – 13.8%*
Artisan Partners Asset Management, Inc., Class A		25,334		697,192
BGC Partners, Inc., Class A		62,996		329,469
BrightSphere Investment Group plc		36,220		413,270
Cohen & Steers, Inc.		12,680		652,259
Eaton Vance Corp.		50,630		2,183,672
Evercore, Inc., Class A		13,376		1,184,712
FactSet Research Systems, Inc.		2,301		659,375
Federated Investors, Inc., Class B		54,141		1,759,582
Lazard Ltd., Class A		54,167		1,862,803
LPL Financial Holdings, Inc.		8,968		731,520
MarketAxess Holdings, Inc.		4,745		1,525,138
Moelis & Co., Class A		23,470		820,277
Morningstar, Inc.		1,191		172,266
Waddell & Reed Financial, Inc., Class A		29,312		488,631
				13,480,166
*Chemicals – 4.3%*
Cabot Corp.		10,458		498,951
Innospec, Inc.		2,601		237,315


Investments	Number of Shares		Value
Orion Engineered Carbons SA		2,521	$	53,975
Quaker Chemical Corp.		1,274		258,469
RPM International, Inc.		14,509		886,645
Scotts Miracle-Gro Co. (The)		8,673		854,291
Sensient Technologies Corp.		5,322		391,061
Stepan Co.		1,953		179,500
Tredegar Corp.		3,253		54,065
Trinseo SA		3,307		140,018
WR Grace & Co.		8,611		655,383
				4,209,673
*Commercial Services & Supplies – 2.3%*
Brady Corp., Class A		10,706		528,020
Deluxe Corp.		9,203		374,194
Herman Miller, Inc.		6,867		306,955
HNI Corp.		2,735		96,764
Interface, Inc.		3,497		53,609
KAR Auction Services, Inc.		12,614		315,350
Knoll, Inc.		5,058		116,233
McGrath RentCorp		3,473		215,847
Steelcase, Inc., Class A		15,604		266,828
				2,273,800
*Communications Equipment – 0.9%*
InterDigital, Inc.		14,288		920,147
*Construction & Engineering – 0.3%*
Granite Construction, Inc.		4,134		199,176
Primoris Services Corp.		3,285		68,755
				267,931
*Consumer Finance – 0.5%*
FirstCash, Inc.		4,715		471,594
*Containers & Packaging – 0.6%*
AptarGroup, Inc.		4,134		514,022
Greif, Inc., Class A		3,090		100,579
				614,601
*Distributors – 1.1%*
IAA, Inc.*		12,614		489,171
Pool Corp.		3,205		612,155
				1,101,326
*Diversified Consumer Services – 0.2%*
Strategic Education, Inc.		1,171		208,438
*Diversified Telecommunication Services – 0.6%*
ATN International, Inc.		1,313		75,799
Cogent Communications Holdings, Inc.		8,124		482,241
				558,040
*Electric Utilities – 4.1%*
ALLETE, Inc.		3,412		283,912
El Paso Electric Co.		3,459		226,219
Hawaiian Electric Industries, Inc.		6,792		295,792
IDACORP, Inc.		3,430		344,475

See accompanying notes to the financial statements.

OSI ETF Trust
O’Shares FTSE Russell Small Cap Quality Dividend ETF
Schedule of Investments
June 30, 2019


Investments	Number of Shares		Value
MGE Energy, Inc.		2,113	$	154,418
OGE Energy Corp.		44,505		1,894,133
Otter Tail Corp.		5,039		266,110
PNM Resources, Inc.		4,416		224,818
Portland General Electric Co.		6,502		352,213
				4,042,090
*Electrical Equipment – 1.1%*
Hubbell, Inc.		8,167		1,064,977
*Electronic Equipment, Instruments & Components – 3.6%*
AVX Corp.		14,471		240,219
Badger Meter, Inc.		3,409		203,483
Benchmark Electronics, Inc.		5,578		140,119
Dolby Laboratories, Inc., Class A		5,531		357,303
FLIR Systems, Inc.		15,151		819,669
MTS Systems Corp.		1,840		107,695
National Instruments Corp.		30,651		1,287,036
Vishay Intertechnology, Inc.		22,214		366,975
				3,522,499
*Energy Equipment & Services – 0.2%*
Frank’s International NV*		19,350		105,651
RPC, Inc.		16,240		117,091
				222,742
*Entertainment – 0.4%*
Cinemark Holdings, Inc.		9,564		345,261
*Food & Staples Retailing – 0.2%*
PriceSmart, Inc.		1,100		56,232
Weis Markets, Inc.		2,667		97,106
				153,338
*Food Products – 2.2%*
Calavo Growers, Inc.		958		92,677
Flowers Foods, Inc.		25,791		600,157
Fresh Del Monte Produce, Inc.		3,090		83,275
J&J Snack Foods Corp.		2,133		343,306
Lancaster Colony Corp.		3,559		528,867
Sanderson Farms, Inc.		2,642		360,792
Tootsie Roll Industries, Inc.		2,484		91,734
				2,100,808
*Gas Utilities – 2.0%*
National Fuel Gas Co.		5,821		307,058
New Jersey Resources Corp.		5,470		272,242
Northwest Natural Holding Co.		2,056		142,892
ONE Gas, Inc.		2,534		228,820
South Jersey Industries, Inc.		4,905		165,445
Southwest Gas Holdings, Inc.		2,095		187,754
Spire, Inc.		2,277		191,086
UGI Corp.		8,944		477,699
				1,972,996


Investments	Number of Shares		Value
*Health Care Equipment & Supplies – 0.3%*
Meridian Bioscience, Inc.		26,973	$	320,439
*Health Care Providers & Services – 1.3%*
Patterson Cos., Inc.		53,585		1,227,097
*Hotels, Restaurants & Leisure – 5.6%*
Bloomin’ Brands, Inc.		8,947		169,188
Brinker International, Inc.		11,726		461,418
Cheesecake Factory, Inc. (The)		10,580		462,558
Choice Hotels International, Inc.		2,503		217,786
Cracker Barrel Old Country Store, Inc.		7,232		1,234,719
Dunkin’ Brands Group, Inc.		8,219		654,726
Extended Stay America, Inc.		14,715		248,536
International Speedway Corp., Class A		1,953		87,670
Jack in the Box, Inc.		4,373		355,919
Papa John’s International, Inc.		3,495		156,296
Six Flags Entertainment Corp.		15,866		788,223
Texas Roadhouse, Inc.		11,517		618,117
				5,455,156
*Household Durables – 0.8%*
Ethan Allen Interiors, Inc.		6,573		138,427
La-Z-Boy, Inc.		6,319		193,741
MDC Holdings, Inc.		4,076		133,611
Tupperware Brands Corp.		17,063		324,709
				790,488
*Household Products – 0.3%*
Energizer Holdings, Inc.		4,835		186,824
WD-40 Co.		872		138,683
				325,507
*Industrial Conglomerates – 0.1%*
Raven Industries, Inc.		3,236		116,108
*Insurance – 3.1%*
Assured Guaranty Ltd.		18,544		780,332
Employers Holdings, Inc.		2,383		100,729
First American Financial Corp.		18,110		972,507
Mercury General Corp.		4,054		253,375
ProAssurance Corp.		5,941		214,529
RLI Corp.		5,028		430,950
Safety Insurance Group, Inc.		2,766		263,130
				3,015,552
*IT Services – 7.2%*
Booz Allen Hamilton Holding Corp.		11,766		779,027
Jack Henry & Associates, Inc.		8,960		1,199,923
KBR, Inc.		11,028		275,038
Leidos Holdings, Inc.		44,583		3,559,953
ManTech International Corp., Class A		4,463		293,889
NIC, Inc.		30,226		484,825
Sabre Corp.		20,345		451,659
				7,044,314

See accompanying notes to the financial statements.

OSI ETF Trust
O’Shares FTSE Russell Small Cap Quality Dividend ETF
Schedule of Investments
June 30, 2019


Investments	Number of Shares		Value
*Leisure Products – 0.5%*
Brunswick Corp.		7,908	$	362,898
Sturm Ruger & Co., Inc.		2,898		157,883
				520,781
*Life Sciences Tools & Services – 0.5%*
Luminex Corp.		21,658		447,021
*Machinery – 8.7%*
Allison Transmission Holdings, Inc.		14,999		695,204
Astec Industries, Inc.		1,530		49,817
Briggs & Stratton Corp.		3,872		39,649
Crane Co.		5,267		439,478
Donaldson Co., Inc.		20,980		1,067,043
Graco, Inc.		29,152		1,462,847
Hillenbrand, Inc.		7,209		285,260
IDEX Corp.		7,497		1,290,533
ITT, Inc.		7,868		515,197
Kennametal, Inc.		8,441		312,233
Lincoln Electric Holdings, Inc.		5,340		439,589
Lindsay Corp.		702		57,711
Mueller Industries, Inc.		9,360		273,967
Toro Co. (The)		23,894		1,598,509
				8,527,037
*Media – 1.2%*
Gannett Co., Inc.		13,610		111,058
John Wiley & Sons, Inc., Class A		10,629		487,446
New Media Investment Group, Inc.		6,360		60,038
Scholastic Corp.		4,770		158,555
TEGNA, Inc.		25,596		387,779
				1,204,876
*Metals & Mining – 2.0%*
Compass Minerals International, Inc.		5,874		322,776
Kaiser Aluminum Corp.		3,539		345,442
Nexa Resources SA		7,497		71,896
Reliance Steel & Aluminum Co.		9,633		911,475
Schnitzer Steel Industries, Inc., Class A		4,725		123,653
Worthington Industries, Inc.		4,512		181,653
				1,956,895
*Multiline Retail – 0.2%*
Big Lots, Inc.		7,274		208,109
*Multi-Utilities – 0.8%*
Avista Corp.		3,503		156,234
Black Hills Corp.		3,723		291,027
NorthWestern Corp.		4,350		313,852
				761,113
*Oil, Gas & Consumable Fuels – 1.2%*
CVR Energy, Inc.		3,659		182,913
PBF Energy, Inc., Class A		28,657		896,964


Investments	Number of Shares		Value
Ship Finance International Ltd.		6,672	$	83,467
				1,163,344
*Paper & Forest Products – 1.6%*
Boise Cascade Co.		3,917		110,107
Domtar Corp.		15,458		688,345
Louisiana-Pacific Corp.		21,949		575,503
Neenah, Inc.		1,217		82,208
Schweitzer-Mauduit International, Inc.		2,717		90,150
				1,546,313
*Personal Products – 0.4%*
Inter Parfums, Inc.		1,242		82,581
Medifast, Inc.		621		79,674
Nu Skin Enterprises, Inc., Class A		4,364		215,232
				377,487
*Professional Services – 0.7%*
Exponent, Inc.		7,220		422,659
Forrester Research, Inc.		6,179		290,598
				713,257
*Road & Rail – 0.4%*
Ryder System, Inc.		3,520		205,216
Werner Enterprises, Inc.		4,654		144,646
				349,862
*Semiconductors & Semiconductor Equipment – 8.5%*
Brooks Automation, Inc.		13,746		532,658
Cabot Microelectronics Corp.		12,892		1,419,151
Cypress Semiconductor Corp.		99,566		2,214,348
MKS Instruments, Inc.		14,407		1,122,161
Power Integrations, Inc.		4,956		397,372
Teradyne, Inc.		49,393		2,366,419
Xperi Corp.		12,544		258,281
				8,310,390
*Software – 1.7%*
j2 Global, Inc.		11,729		1,042,591
Progress Software Corp.		13,803		602,087
				1,644,678
*Specialty Retail – 3.4%*
Abercrombie & Fitch Co., Class A		3,512		56,332
American Eagle Outfitters, Inc.		24,348		411,481
Bed Bath & Beyond, Inc.		16,420		190,800
Buckle, Inc. (The)		7,655		132,508
Chico’s FAS, Inc.		19,643		66,197
Children’s Place, Inc. (The)		2,271		216,608
Designer Brands, Inc., Class A		14,111		270,508
Dick’s Sporting Goods, Inc.		14,024		485,651
GameStop Corp., Class A		17,523		95,851
Guess?, Inc.		7,333		118,428
Signet Jewelers Ltd.		7,329		131,043

See accompanying notes to the financial statements.

OSI ETF Trust
O’Shares FTSE Russell Small Cap Quality Dividend ETF
Schedule of Investments
June 30, 2019


Investments	Number of Shares		Value
Williams-Sonoma, Inc.		17,655	$	1,147,575
				3,322,982
*Textiles, Apparel & Luxury Goods – 1.1%*
Carter’s, Inc.		5,839		569,536
Columbia Sportswear Co.		2,166		216,947
Oxford Industries, Inc.		1,876		142,201
Steven Madden Ltd.		4,796		162,824
				1,091,508
*Thrifts & Mortgage Finance – 0.4%*
Capitol Federal Financial, Inc.		8,888		122,388
Oritani Financial Corp.		2,948		52,297
Walker & Dunlop, Inc.		3,109		165,430
				340,115
*Tobacco – 0.2%*
Vector Group Ltd.		15,346		149,624
*Trading Companies & Distributors – 2.0%*
MSC Industrial Direct Co., Inc., Class A		7,867		584,203
Watsco, Inc.		8,124		1,328,518
				1,912,721
*Transportation Infrastructure – 0.3%*
Macquarie Infrastructure Corp.		6,060		245,673
*Water Utilities – 0.7%*
American States Water Co.		2,312		173,955
Aqua America, Inc.		9,167		379,239
California Water Service Group		2,467		124,904
SJW Group		748		45,456
				723,554
Total Common Stocks (Cost $100,012,202)				97,515,521


Investments	Number of Rights		Value
Rights – 0.0%
*Chemicals – 0.0%*
A Schulman, Inc., CVR*^‡(a) (Cost $—)		5,220	$	—
Total Investments — 99.9% (Cost $100,012,202)				97,515,521
Other Assets Less Liabilities — 0.1%				54,403
Net Assets — 100.0%			$	97,569,924

Non-income producing security.

‡

Value determined using significant unobservable inputs.

(a)

Security fair valued as of June 30, 2019 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at June 30, 2019 amounted to $0, which represents approximately 0.00% of net assets of the Fund.


Abbreviations
CVR		Contingent Value Rights


Aggregate gross unrealized appreciation	$	8,287,742
Aggregate gross unrealized depreciation		(10,685,017	)
Net unrealized depreciation	$	(2,397,275	)
Federal income tax cost of investments (including derivative contracts, if any)	$	99,912,796

See accompanying notes to the financial statements.

OSI ETF Trust
O'Shares Global Internet Giants ETF
Schedule of Investments
June 30, 2019


Investments	Number of Shares		Value
Common Stocks – 100.0%
*Entertainment – 8.1%*
Alibaba Pictures Group Ltd.*		2,760,000	$	593,510
Bilibili, Inc., ADR*		43,829		713,098
NetEase, Inc., ADR		1,658		424,067
Netflix, Inc.*		3,467		1,273,498
Spotify Technology SA*		3,385		494,955
Zynga, Inc., Class A*		77,423		474,603
				3,973,731
*Interactive Media & Services – 26.8%*
58.com, Inc., ADR*		4,819		299,597
Alphabet, Inc., Class A*		2,640		2,858,592
Autohome, Inc., ADR*		4,414		377,927
Baidu, Inc., ADR*		3,137		368,158
Cargurus, Inc.*		13,348		481,996
Facebook, Inc., Class A*		14,496		2,797,728
IAC/InterActiveCorp*		1,004		218,400
Match Group, Inc.		3,762		253,070
Momo, Inc., ADR		12,611		451,474
Snap, Inc., Class A*		41,485		593,235
Tencent Holdings Ltd.		67,500		3,046,464
Twitter, Inc.*		7,303		254,875
Weibo Corp., ADR*		10,154		442,207
Zillow Group, Inc., Class C*		13,397		621,487
				13,065,210
*Internet & Direct Marketing Retail – 28.0%*
Alibaba Group Holding Ltd., ADR*		17,966		3,044,339
Amazon.com, Inc.*		1,540		2,916,190
Booking Holdings, Inc.*		136		254,961
Ctrip.com International Ltd., ADR*		9,900		365,409
eBay, Inc.		2,454		96,933
Etsy, Inc.*		6,772		415,598
Expedia Group, Inc.		1,283		170,678
Farfetch Ltd., Class A*		27,030		562,224
GrubHub, Inc.*		7,168		559,032
JD.com, Inc., ADR*		16,142		488,941
Just Eat plc*		74,371		591,575
Meituan Dianping, Class B*		110,900		972,371
MercadoLibre, Inc.*		1,265		773,889
Ocado Group plc*		14,874		220,915
Pinduoduo, Inc., ADR*		36,913		761,515
Rakuten, Inc.		18,600		220,976
Wayfair, Inc., Class A*		3,587		523,702
Zalando SE*		7,896		350,866
ZOZO, Inc.		20,200		378,539
				13,668,653


Investments	Number of Shares		Value
*IT Services – 5.8%*
GoDaddy, Inc., Class A*		2,623	$	184,003
MongoDB, Inc.*		3,877		589,653
Okta, Inc.*		4,887		603,593
Shopify, Inc., Class A*		2,508		755,385
Twilio, Inc., Class A*		5,093		694,431
				2,827,065
*Software – 31.3%*
2U, Inc.*		14,656		551,652
Adobe, Inc.*		3,134		923,433
Anaplan, Inc.*		11,702		590,600
Atlassian Corp. plc, Class A*		4,931		645,172
Coupa Software, Inc.*		4,106		519,861
DocuSign, Inc.*		9,691		481,740
Dropbox, Inc., Class A*		10,581		265,054
Elastic NV*		8,123		606,463
Fortinet, Inc.*		3,056		234,793
HubSpot, Inc.*		2,488		424,254
Intuit, Inc.		895		233,890
Microsoft Corp.		14,966		2,004,845
New Relic, Inc.*		4,663		403,396
Nutanix, Inc., Class A*		19,083		495,013
Palo Alto Networks, Inc.*		1,698		345,985
Proofpoint, Inc.*		3,193		383,958
Red Hat, Inc.*		1,696		318,441
RingCentral, Inc., Class A*		3,808		437,615
salesforce.com, Inc.*		5,706		865,771
ServiceNow, Inc.*		2,853		783,348
Splunk, Inc.*		4,557		573,043
Tableau Software, Inc., Class A*		2,030		337,021
Temenos AG (Registered)*		1,298		232,508
Trade Desk, Inc. (The), Class A*		2,250		512,505
VMware, Inc., Class A		1,598		267,202
Workday, Inc., Class A*		3,383		695,477
Zendesk, Inc.*		6,362		566,409
Zscaler, Inc.*		7,663		587,292
				15,286,741
Total Common Stocks (Cost $48,007,756)				48,821,400
Total Investments — 100.0% (Cost $48,007,756)				48,821,400
Other Assets Less Liabilities — 0.0%^(a)				13,056
Net Assets — 100.0%			$	48,834,456

Non-income producing security.

(a)

Represents less than 0.05% of net assets.


Abbreviations
ADR		American Depositary Receipt

See accompanying notes to the financial statements.

OSI ETF Trust
O'Shares Global Internet Giants ETF
Schedule of Investments
June 30, 2019


Aggregate gross unrealized appreciation	$	5,173,560
Aggregate gross unrealized depreciation		(4,368,551	)
Net unrealized appreciation	$	805,009
Federal income tax cost of investments (including derivative contracts, if any)	$	48,016,391

O’Shares Global Internet Giants ETF invested, as a percentage of net assets, in the following countries as of June 30, 2019:


Argentina	1.6	%
Canada	1.6	%
China	24.1	%
Germany	0.7	%
Hong Kong	1.2	%
Japan	1.2	%
Switzerland	0.5	%
United Kingdom	2.8	%
United States	66.3	%
Other⁽¹⁾	0.0	%^(a)
	100.0	%

(1)

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

(a)

Represents less than 0.05% of net assets.

See accompanying notes to the financial statements.

OSI ETF Trust
O'Shares FTSE Europe Quality Dividend ETF
Schedule of Investments
June 30, 2019


Investments	Number of Shares		Value
Common Stocks – 98.6%
*Aerospace & Defense – 0.6%*
BAE Systems plc		25,358	$	159,881
*Air Freight & Logistics – 1.0%*
Deutsche Post AG (Registered)		6,984		229,853
Royal Mail plc		10,416		28,090
				257,943
*Auto Components – 1.1%*
Cie Generale des Etablissements Michelin SCA		1,563		198,553
Continental AG		525		76,659
Nokian Renkaat OYJ		525		16,417
				291,629
*Beverages – 1.2%*
Anheuser-Busch InBev SA/NV		3,418		302,986
*Building Products – 0.8%*
Cie de Saint-Gobain		2,688		104,919
Geberit AG (Registered)		221		103,360
				208,279
*Capital Markets – 1.6%*
3i Group plc		16,557		234,638
Ashmore Group plc		3,456		22,410
Partners Group Holding AG		205		161,267
				418,315
*Chemicals – 4.8%*
Air Liquide SA		2,245		314,590
BASF SE		7,715		561,591
EMS-Chemie Holding AG (Registered)		42		27,289
FUCHS PETROLUB SE		168		5,998
FUCHS PETROLUB SE (Preference)		165		6,498
Givaudan SA (Registered)		53		149,813
Johnson Matthey plc		915		38,767
Koninklijke DSM NV		693		85,785
Solvay SA		230		23,861
				1,214,192
*Commercial Services & Supplies – 0.3%*
Babcock International Group plc		1,456		8,491
ISS A/S		945		28,563
Securitas AB, Class B		935		16,416
Societe BIC SA		315		24,052
				77,522
*Construction & Engineering – 1.5%*
Bouygues SA		819		30,377
Ferrovial SA		2,835		72,674
HOCHTIEF AG		95		11,587
Skanska AB, Class B		2,149		38,842
Vinci SA		2,143		219,787
				373,267
*Construction Materials – 0.2%*
HeidelbergCement AG		515		41,734


Investments	Number of Shares		Value
*Containers & Packaging – 0.1%*
Huhtamaki OYJ		301	$	12,395
RPC Group plc		2,310		23,302
				35,697
*Distributors – 0.1%*
Inchcape plc		2,999		23,512
*Diversified Financial Services – 1.8%*
Corp. Financiera Alba SA		149		7,822
Industrivarden AB, Class A		3,150		71,907
Industrivarden AB, Class C		2,604		57,759
Investor AB, Class A		1,197		57,514
Investor AB, Class B		4,171		200,544
Kinnevik AB, Class B		1,499		39,017
Sofina SA		115		21,949
				456,512
*Diversified Telecommunication Services – 4.7%*
BT Group plc		47,145		117,879
Deutsche Telekom AG (Registered)		13,894		240,692
Elisa OYJ		1,134		55,414
Koninklijke KPN NV		13,377		41,131
Orange SA		7,644		120,695
Proximus SADP		1,407		41,531
Swisscom AG (Registered)		231		116,116
Telefonica Deutschland Holding AG		5,775		16,158
Telefonica SA		26,277		216,083
Telekom Austria AG*		525		3,970
Telenor ASA		5,901		125,342
Telia Co. AB		21,714		96,515
				1,191,526
*Electric Utilities – 3.6%*
EDP – Energias de Portugal SA		13,797		52,510
Endesa SA		3,405		87,673
Enel SpA		56,795		397,124
Fortum OYJ		2,121		46,943
Orsted A/S		483		41,830
Red Electrica Corp. SA		3,465		72,270
SSE plc		9,723		138,841
Terna Rete Elettrica Nazionale SpA		12,747		81,291
				918,482
*Electrical Equipment – 2.0%*
ABB Ltd. (Registered)		11,264		226,320
Schneider Electric SE		3,092		280,849
Signify NV		431		12,761
				519,930
*Equity Real Estate Investment Trusts (REITs) – 3.6%*
British Land Co. plc (The)		8,169		55,976
Covivio		389		40,777
Gecina SA		1,308		196,025
Hammerson plc		6,405		22,588
Klepierre SA		2,877		96,586
Merlin Properties Socimi SA		2,646		36,762

See accompanying notes to the financial statements.

OSI ETF Trust
O'Shares FTSE Europe Quality Dividend ETF
Schedule of Investments
June 30, 2019


Investments	Number of Shares		Value
Segro plc		19,320	$	179,546
Unibail-Rodamco-Westfield		1,885		282,820
				911,080
*Food & Staples Retailing – 1.1%*
Colruyt SA		336		19,514
ICA Gruppen AB		378		16,264
Jeronimo Martins SGPS SA		1,449		23,374
Kesko OYJ, Class B		367		20,446
Koninklijke Ahold Delhaize NV		8,858		199,510
				279,108
*Food Products – 5.9%*
Associated British Foods plc		1,286		40,312
Mowi ASA		2,982		69,758
Nestle SA (Registered)		12,349		1,279,989
Orkla ASA		10,878		96,557
Tate & Lyle plc		2,583		24,274
				1,510,890
*Gas Utilities – 0.4%*
Italgas SpA		2,769		18,630
Naturgy Energy Group SA		1,806		49,833
Rubis SCA		420		23,685
				92,148
*Health Care Equipment & Supplies – 1.3%*
Alcon, Inc.*		2,729		168,722
Coloplast A/S, Class B		672		76,059
Smith & Nephew plc		4,431		96,151
				340,932
*Hotels, Restaurants & Leisure – 1.8%*
Carnival plc		1,092		48,351
Compass Group plc		10,901		261,797
GVC Holdings plc		2,226		18,466
Sodexo SA		364		42,613
TUI AG		2,824		27,761
Whitbread plc		790		46,541
				445,529
*Household Durables – 0.2%*
Electrolux AB, Series B		735		18,799
Persimmon plc		1,588		40,360
				59,159
*Independent Power and Renewable Electricity Producers – 0.1%*
Uniper SE		1,008		30,569
*Industrial Conglomerates – 0.2%*
Investment AB Latour, Class B		1,008		14,873
Smiths Group plc		2,237		44,556
				59,429
*Insurance – 2.2%*
Admiral Group plc		4,053		113,894
Direct Line Insurance Group plc		20,538		86,728
Gjensidige Forsikring ASA		1,323		26,659


Investments	Number of Shares		Value
Sampo OYJ, Class A		6,077	$	287,200
Tryg A/S		1,386		45,129
				559,610
*Machinery – 2.7%*
Atlas Copco AB, Class A		4,809		153,835
Atlas Copco AB, Class B		2,961		85,018
GEA Group AG		814		23,175
IMI plc		1,334		17,623
Kone OYJ, Class B		3,276		193,624
OC Oerlikon Corp. AG (Registered)		767		9,377
Sandvik AB		3,885		71,434
Schindler Holding AG		165		36,774
Schindler Holding AG (Registered)		95		20,773
SKF AB, Class B		1,407		25,893
Trelleborg AB, Class B		798		11,340
Wartsila OYJ Abp		1,428		20,742
Zardoya Otis SA		1,887		14,355
				683,963
*Marine – 0.3%*
Kuehne + Nagel International AG (Registered)		567		84,265
*Media – 0.9%*
Axel Springer SE		93		6,561
Informa plc		5,796		61,594
ITV plc		18,407		25,301
ProSiebenSat.1 Media SE		1,218		19,162
Publicis Groupe SA		903		47,746
RTL Group SA		399		20,465
WPP plc		4,746		59,811
				240,640
*Metals & Mining – 1.7%*
Rio Tinto plc		6,872		426,848
*Multiline Retail – 0.2%*
Marks & Spencer Group plc		7,938		21,286
Next plc		570		40,088
				61,374
*Multi-Utilities – 2.6%*
A2A SpA		10,419		18,106
Centrica plc		47,470		53,032
Engie SA		10,481		159,223
Innogy SE		378		17,951
National Grid plc		32,392		344,561
Veolia Environnement SA		2,373		57,885
				650,758
*Oil, Gas & Consumable Fuels – 13.8%*
BP plc		125,247		874,479
Enagas SA		1,533		40,973
Eni SpA		16,201		269,476
Equinor ASA		3,643		71,975
Galp Energia SGPS SA		1,722		26,523
Polski Koncern Naftowy ORLEN SA		1,533		36,989

See accompanying notes to the financial statements.

OSI ETF Trust
O'Shares FTSE Europe Quality Dividend ETF
Schedule of Investments
June 30, 2019


Investments	Number of Shares		Value
Polskie Gornictwo Naftowe i Gazownictwo SA		6,384	$	9,090
Royal Dutch Shell plc, Class A		22,114		724,017
Royal Dutch Shell plc, Class B		17,436		572,744
Snam SpA		9,324		46,412
TOTAL SA		14,982		840,706
				3,513,384
*Paper & Forest Products – 0.4%*
Mondi plc		1,953		44,492
UPM-Kymmene OYJ		2,268		60,360
				104,852
*Personal Products – 4.3%*
L’Oreal SA		1,316		375,415
Unilever NV, CVA		5,927		361,512
Unilever plc		5,958		371,137
				1,108,064
*Pharmaceuticals – 19.1%*
Bayer AG (Registered)		3,336		231,513
GlaxoSmithKline plc		41,379		830,286
Novartis AG (Registered)		13,648		1,248,617
Novo Nordisk A/S, Class B		7,971		406,820
Orion OYJ, Class B		372		13,654
Roche Holding AG		4,365		1,229,587
Roche Holding AG – BR		189		53,036
Sanofi		9,886		854,608
				4,868,121
*Professional Services – 2.5%*
Adecco Group AG (Registered)		819		49,275
Bureau Veritas SA		1,134		28,049
DKSH Holding AG		105		6,160
Experian plc		4,074		123,610
Randstad NV		343		18,866
RELX plc		12,870		312,769
SGS SA (Registered)		38		96,929
				635,658
*Real Estate Management & Development – 2.6%*
Aroundtown SA		14,616		120,607
Deutsche Wohnen SE		2,668		98,047
LEG Immobilien AG		903		102,011
PSP Swiss Property AG (Registered)		242		28,320
Swiss Prime Site AG (Registered)*		441		38,559
Vonovia SE		5,681		271,720
				659,264
*Specialty Retail – 1.6%*
Fielmann AG		234		17,001
Hennes & Mauritz AB, Class B		8,075		143,916
Industria de Diseno Textil SA		6,205		186,902
Kingfisher plc		17,094		46,753
				394,572


Investments	Number of Shares		Value
*Textiles, Apparel & Luxury Goods – 0.1%*
HUGO BOSS AG		241	$	16,055
Puma SE		320		21,373
				37,428
*Tobacco – 0.6%*
Imperial Brands plc		4,578		107,602
Swedish Match AB		798		33,715
				141,317
*Trading Companies & Distributors – 0.1%*
Travis Perkins plc		1,168		18,946
*Transportation Infrastructure – 0.8%*
Abertis Infraestructuras SA*^(a)		5,576		41,084
Aena SME SA		378		75,030
Atlantia SpA		2,919		76,157
				192,271
*Water Utilities – 0.4%*
Pennon Group plc		1,932		18,264
Severn Trent plc		1,040		27,108
United Utilities Group plc		5,166		51,467
				96,839
*Wireless Telecommunication Services – 1.7%*
Tele2 AB, Class B		1,533		22,388
Vodafone Group plc		247,835		407,901
				430,289
Total Common Stocks (Cost $26,079,169)				25,128,714
Total Investments — 98.6% (Cost $26,079,169)				25,128,714
Other Assets Less Liabilities — 1.4%				369,018
Net Assets — 100.0%			$	25,497,732

Non-income producing security.

(a)

Security fair valued as of June 30, 2019 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at June 30, 2019 amounted to $41,084, which represents approximately 0.16% of net assets of the Fund.


Abbreviations
CVA		Dutch Certification
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

See accompanying notes to the financial statements.

OSI ETF Trust
O'Shares FTSE Europe Quality Dividend ETF
Schedule of Investments
June 30, 2019


Aggregate gross unrealized appreciation	$	1,694,661
Aggregate gross unrealized depreciation		(2,699,650	)
Net unrealized depreciation	$	(1,004,989	)
Federal income tax cost of investments (including derivative contracts, if any)	$	26,133,703

O’Shares FTSE Europe Quality Dividend ETF invested, as a percentage of net assets, in the following countries as of June 30, 2019:


Australia	1.7	%
Austria	0.0	%^(a)
Belgium	1.6	%
Denmark	2.4	%
Finland	2.9	%
France	17.0	%
Germany	8.6	%
Italy	3.6	%
Luxembourg	0.1	%
Netherlands	6.5	%
Norway	1.5	%
Poland	0.2	%
Portugal	0.4	%
Spain	3.5	%
Sweden	4.6	%
Switzerland	20.1	%
United Kingdom	23.7	%
United States	0.2	%
Other⁽¹⁾	1.4	%
	100.0	%

(a)

Represents less than 0.05% of net assets.

(1)

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

See accompanying notes to the financial statements.

OSI ETF Trust

Statements of Assets and Liabilities
June 30, 2019


	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
ASSETS
Investments in securities, at value⁽¹⁾	$	495,073,135	$	97,515,521		$	48,821,400		$	25,128,714
Cash		2,325,818		245,655			32,068			103,521
Segregated cash balances with Authorized Participant for deposit securities		—		—			1,357,081			—
Receivables:
Securities sold		201,247		—			14,980			140,974
Dividends		635,564		72,589			—			68,527
Foreign tax reclaims		—		—			237			244,167
Total Assets		498,235,764		97,833,765			50,225,766			25,685,903
LIABILITIES
Cash denominated in foreign currency⁽²⁾		—		—			—			9,333
Due to Authorized Participant		—		—			14,980			—
Collateral upon return of deposit securities		—		—			1,357,081			—
Payables:
Securities purchased		707,175		—			—			532
Income distributions		763,628		227,147			—			165,859
Investment management fees		190,664		36,694			19,249			9,947
Accrued expenses and other liabilities		—		—			—			2,500
Total Liabilities		1,661,467		263,841			1,391,310			188,171
Net Assets	$	496,574,297	$	97,569,924		$	48,834,456		$	25,497,732
NET ASSETS CONSIST OF:
Paid-in capital	$	476,678,204	$	102,821,200		$	51,022,964		$	28,119,796
Distributable earnings (loss) (Note 2)		19,896,093		(5,251,276	)		(2,188,508	)		(2,622,064	)
Net Assets	$	496,574,297	$	97,569,924		$	48,834,456		$	25,497,732
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		14,550,000		3,554,000			1,950,000			1,050,000
Net Asset Value	$	34.13	$	27.45		$	25.04		$	24.28
⁽¹⁾ Investments in securities, at cost	$	469,127,857	$	100,012,202		$	48,007,756		$	26,079,169
⁽²⁾ Cost of foreign cash	$	—	$	—		$	—		$	(9,324	)

See accompanying notes to the financial statements.

OSI ETF Trust

Statements of Operations
For the Year Ended June 30, 2019


	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
INVESTMENT INCOME
Dividend income	$	14,309,917		$	2,917,248		$	86,297		$	1,217,808
Special dividends (Note 3)		226,147			158,401			15,180			26,007
Foreign withholding tax on dividends		(48	)		(856	)		(678	)		(118,981	)
Total Investment Income		14,536,016			3,074,793			100,799			1,124,834
EXPENSES
Investment management fees (Note 4)		2,151,173			558,716			239,979			145,481
Total Expenses		2,151,173			558,716			239,979			145,481
Net Investment Income (Loss)		12,384,843			2,516,077			(139,180	)		979,353
NET REALIZED GAIN (LOSS) FROM:
Transactions in investment securities		(3,311,101	)		283,545			(2,827,916	)		(975,632	)
In-kind redemptions of investments		20,335,417			5,685,194			743,760			589,186
Foreign currency transactions		—			—			(14,714	)		(27,705	)
Net Realized Gain (Loss)		17,024,316			5,968,739			(2,098,870	)		(414,151	)
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM:
Investments in securities		15,574,374			(7,662,265	)		3,516,394			432,471
Translation of assets and liabilities denominated in foreign currencies		—			—			12			3,357
Net Change in Unrealized Appreciation (Depreciation)		15,574,374			(7,662,265	)		3,516,406			435,828
Net Realized and Unrealized Gain (Loss)		32,598,690			(1,693,526	)		1,417,536			21,677
Net Increase (Decrease) in Net Assets Resulting from Operations	$	44,983,533		$	822,551		$	1,278,356		$	1,001,030

See accompanying notes to the financial statements.

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, 2019			Year Ended June 30, 2018			Year Ended June 30, 2019			Year Ended June 30, 2018
OPERATIONS
Net investment income (loss)	$	12,384,843		$	11,465,229		$	2,516,077		$	2,173,837
Net realized gain (loss)		17,024,316			40,843,342			5,968,739			(1,395,135	)
Net change in unrealized appreciation (depreciation)		15,574,374			(18,036,112	)		(7,662,265	)		5,115,414
Net Increase (Decrease) in Net Assets Resulting from Operations		44,983,533			34,272,459			822,551			5,894,116
DISTRIBUTIONS (Note 2)
Distributable earnings		(12,107,636	)		(11,976,178	)⁽¹⁾		(2,452,943	)		(2,253,382	)⁽²⁾
Tax return of capital		—			—			—			(177,554	)
Total Distributions		(12,107,636	)		(11,976,178	)		(2,452,943	)		(2,430,936	)
CAPITAL TRANSACTIONS
Proceeds from shares issued		289,837,022			199,595,955			34,332,774			110,716,208
Cost of shares redeemed		(237,407,319	)		(224,555,597	)		(71,934,364	)		(15,600,908	)
Net Increase (Decrease) from Capital Transactions		52,429,703			(24,959,642	)		(37,601,590	)		95,115,300
Total Increase (Decrease) in Net Assets		85,305,600			(2,663,361	)		(39,231,982	)		98,578,480
NET ASSETS
Beginning of year	$	411,268,697		$	413,932,058		$	136,801,906		$	38,223,426
End of Year	$	496,574,297		$	411,268,697		$	97,569,924		$	136,801,906
SHARE TRANSACTIONS
Beginning of year		13,400,000			14,150,001			5,054,000			1,504,000
Shares issued in-kind		9,000,000			6,400,000			1,200,000			4,150,000
Shares redeemed		—			(1	)		—			—
Shares redeemed in-kind		(7,850,000	)		(7,150,000	)		(2,700,000	)		(600,000	)
Shares Outstanding, End of Year		14,550,000			13,400,000			3,554,000			5,054,000

⁽¹⁾

Prior year distributions to shareholders were made up of dividends from net investment income.

⁽²⁾

Prior year distributions to shareholders were made up of dividends from net investment income of $2,240,369 and dividend from net realized capital gains of $13,013.

See accompanying notes to the financial statements.

OSI ETF Trust

Statements of Changes in Net Assets


	O’Shares Global Internet Giants ETF						O’Shares FTSE Europe Quality Dividend ETF
	Year Ended June 30, 2019			For the period 06/05/18* – 06/30/18			Year Ended June 30, 2019			Year Ended June 30, 2018
OPERATIONS
Net investment income (loss)	$	(139,180	)	$	(12,633	)	$	979,353		$	1,572,091
Net realized gain (loss)		(2,098,870	)		(20,298	)		(414,151	)		3,045,774
Net change in unrealized appreciation (depreciation)		3,516,406			(2,702,750	)		435,828			(3,628,785	)
Net Increase (Decrease) in Net Assets Resulting from Operations		1,278,356			(2,735,681	)		1,001,030			989,080
DISTRIBUTIONS (Note 2)
Distributable earnings		—			—			(1,031,170	)		(1,887,737	)⁽¹⁾
Total Distributions		—			—			(1,031,170	)		(1,887,737	)
CAPITAL TRANSACTIONS
Proceeds from shares issued		8,374,599			54,470,286			5,975,740			12,610,283
Cost of shares redeemed		(12,553,104	)		—			(21,146,226	)		(33,960,120	)
Net Increase (Decrease) from Capital Transactions		(4,178,505	)		54,470,286			(15,170,486	)		(21,349,837	)
Total Increase (Decrease) in Net Assets		(2,900,149	)		51,734,605			(15,200,626	)		(22,248,494	)
NET ASSETS
Beginning of year	$	51,734,605		$	—		$	40,698,358		$	62,946,852
End of Year	$	48,834,456		$	51,734,605		$	25,497,732		$	40,698,358
SHARE TRANSACTIONS
Beginning of year		2,150,000			—			1,700,000			2,550,001
Shares issued in-kind		350,000			2,150,000			250,000			500,000
Shares redeemed		—			—			—			(1	)
Shares redeemed in-kind		(550,000	)		—			(900,000	)		(1,350,000	)
Shares Outstanding, End of Year		1,950,000			2,150,000			1,050,000			1,700,000

Commencement of investment operations.

⁽¹⁾

Prior year distributions to shareholders were made up of dividends from net investment income.

See accompanying notes to the financial statements.

OSI ETF Trust

Financial Highlights for a share outstanding throughout the period

			PER SHARE OPERATING PERFORMANCE																										RATIOS/SUPPLEMENTAL DATA
			Investment Operations									Distributions														Ratios to Average Net Assets of⁽²⁾																		Total Return⁽³⁾⁽⁴⁾
	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		Expenses			Expenses net of reimburse- ments			Net investment income (loss) before reimburse- ments			Net investment income (loss) net of reimburse- ments			Net investment income (loss) net of reimbursement excluding special dividends⁽¹⁰⁾			Net investment income (loss) per share excluding special dividends⁽¹¹⁾			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, 2019	$	30.69	$	0.89		$	3.44		$	4.33		$	(0.89	)	$	—		$	—		$	(0.89	)	$	34.13		0.48	%		0.48	%		2.76	%		2.76	%		2.71	%	$	0.88			14.31	%		14.16	%		15	%	$	496,574
Year ended June 30, 2018		29.25		0.78			1.46			2.24			(0.80	)		—			—			(0.80	)		30.69		0.48	⁽¹²⁾		0.48	⁽¹²⁾		2.53			2.54			2.54			0.78			7.67			7.70			18			411,269
Year ended June 30, 2017		27.71		0.69			1.49			2.18			(0.64	)		—			—			(0.64	)		29.25		0.48	⁽¹²⁾		0.48	⁽¹²⁾		2.46			2.47			2.45			0.68			8.00			8.15			17			413,932
For the period 07/14/15* – 06/30/16		25.00		0.69			2.60			3.29			(0.58	)		—			—			(0.58	)		27.71		0.49	⁽¹²⁾		0.48	⁽¹²⁾		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, 2019		27.07		0.58			0.38	⁽⁸⁾		0.96			(0.58	)		—			—			(0.58	)		27.45		0.48			0.48			2.16			2.16			2.03		$	0.54			3.65			3.53			52			97,570
Year ended June 30, 2018		25.41		0.66			1.70			2.36			(0.66	)		—	⁽⁹⁾		(0.04	)		(0.70	)		27.07		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		25.00		0.38			0.25			0.63			(0.22	)		—			—			(0.22	)		25.41		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
Year ended June 30, 2019		24.06		(0.06	)		1.04			0.98			—			—			—			—			25.04		0.48			0.48			(0.28	)		(0.28	)		(0.31	)	$	(0.07	)		4.07			3.69			55			48,834
For the period 06/05/18** – 06/30/18		25.00		(0.01	)		(0.93	)		(0.94	)		—			—			—			—			24.06		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, 2019		23.94		0.76			0.44			1.20			(0.86	)		—			—			(0.86	)		24.28		0.48			0.48			3.23			3.23			3.15		$	0.74			5.16			5.25			35			25,498
Year ended June 30, 2018		24.69		0.69			(0.55	)		0.14			(0.89	)		—			—			(0.89	)		23.94		0.60	⁽¹²⁾		0.58	⁽¹²⁾		2.75			2.77			2.76			0.69			0.53			(0.41	)		30			40,698
Year ended June 30, 2017		23.17		0.75			1.34			2.09			(0.57	)		—			—			(0.57	)		24.69		0.61	⁽¹²⁾		0.58	⁽¹²⁾		3.21			3.24			3.05			0.70			9.18			8.91			30			62,947
For the period 08/19/15* – 06/30/16		25.00		1.04			(2.32	)⁽⁸⁾		(1.28	)		(0.55	)		—			—			(0.55	)		23.17		0.66	⁽¹²⁾		0.58	⁽¹²⁾		5.14			5.22			5.21			1.04			(5.06	)		(4.24	)		7			25,483

Commencement of Prior Fund investment operations.

Commencement of 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)

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.

(9)

Per share amount is less than $0.01.

(10)

This ratio reflects the exclusion of large, non-recurring dividends (special dividends) recognized by the Funds during each period. If a special dividend was received during a period, this ratio will be lower than the net investment income (loss) of average net assets ratio presented for the same period herein.

(11)

This ratio reflects the exclusion of large, non-recurring dividends (special dividends) recognized by the Funds during the period. If a special dividend was received during a period, this ratio will be lower than the net investment income (loss) per share ratio presented for the same period herein.

(12)

Reference Note 4 in the Notes to the Financial Statements.

See accompanying notes to the financial statements.

OSI ETF Trust
Notes to Financial Statements
June 30, 2019

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 four 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 and O’Shares FTSE Europe 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. O’Shares Investment Advisers, LLC (the “Adviser”) is the investment adviser to each fund.

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 FTSE Russell International Quality Dividend ETF and O’Shares FTSE Asia Pacific Quality Dividend ETF ceased trading on the NYSE Arca, Inc.^TM and were closed for purchase by investors as of the close of regular trading on the New York Stock Exchange (“NYSE”) on December 20, 2018. The final liquidating distribution was paid to shareholders on December 28, 2018.

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 called 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 disclosures 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.

On August 17, 2018, the SEC adopted amendments to certain disclosure requirements that have become duplicative, overlapping, or outdated in light of other Commission disclosure requirements, U.S. GAAP, or changes in the information environment. The amendments include, among other items, to require presentation of the total, rather than the components, of distributable earnings on the balance sheet, and to require presentation of the total, rather than the components, of distributions to shareholders, except for tax return of capital distributions and to delete the requirement for disclosure of undistributed net investment income on the statement of changes in net assets. The amendments are intended to simplify and update the disclosure of information to investors. The amendments were effective on November 5, 2018. The adoption had no effect on the Funds’ net assets or results of operations. In connection with implementing the changes noted above, the distributions to shareholders during the fiscal year ended June 30, 2018, which were previously reported as

OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2019

distributions from net investment income & net realized gain (where applicable), have been reclassified as distributions from distributable earnings to conform to the current period presentation on the Statements of Changes in Net Assets.

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 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 or Level 2 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.

OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2019

The following is a summary of the valuations as of June 30, 2019 for each Fund based upon the three levels defined above:


	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs		Total
O’Shares FTSE U.S. Quality Dividend ETF
Investments
Common Stocks*	$	495,073,135	$	—	$	—	$	495,073,135
Total Investments	$	495,073,135	$	—	$	—	$	495,073,135
O’Shares FTSE Russell Small Cap Quality Dividend ETF
Investments
Common Stocks*	$	97,515,521	$	—	$	—	$	97,515,521
Rights		—		—		—		—
Total Investments	$	97,515,521	$	—	$	—	$	97,515,521
O’Shares Global Internet Giants ETF
Investments
Common Stocks*	$	48,821,400	$	—	$	—	$	48,821,400
Total Investments	$	48,821,400	$	—	$	—	$	48,821,400
O’Shares FTSE Europe Quality Dividend ETF
Investments
Common Stocks
Transportation Infrastructure	$	151,187	$	41,084	$	—	$	192,271
Other*		24,936,443		—		—		24,936,443
Total Investments	$	25,087,630	$	41,084	$	—	$	25,128,714

See Schedules of Investments for segregation by industry type.

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 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

OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2019

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.

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, 2019 (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.

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.

OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2019

The tax character of the distributions paid for the tax year ended June 30, 2019 and June 30, 2018 were as follows:


	Year Ended June 30, 2019								Year Ended June 30, 2018
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	$	12,107,636	$	—	$	—	$	12,107,636	$	11,976,178	$	—	$	—	$	11,976,178
O’Shares FTSE Russell Small Cap Quality Dividend ETF		2,452,943		—		—		2,452,943		2,240,369		13,013		177,554		2,430,936
O’Shares FTSE Europe Quality Dividend ETF		1,031,170		—		—		1,031,170		1,887,737		—		—		1,887,737

At June 30, 2019, 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	$	269,547	$	—	$	(6,303,017	)	$	25,929,563
O’Shares FTSE Russell Small Cap Quality Dividend ETF		—		—		(2,854,001	)		(2,397,275	)
O’Shares Global Internet Giants ETF		—		—		(2,993,529	)		805,021
O’Shares FTSE Europe Quality Dividend ETF		122,842		—		(1,741,427	)		(1,003,479	)

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.

Permanent differences, primarily due to gain (loss) on in-kind redemptions, distributions from investments in real estate investment trusts, investment in partnerships, net operating losses, non-taxable special dividend foreign currency gains (losses), PFICs, and taxable over-distributions resulted in reclassifications, as of June 30, 2019, among the Funds’ components of net assets.

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), the Funds are permitted to carry forward capital losses for an unlimited period. Capital loss carry forwards will retain their character as either short-term or long-term capital losses. For the tax year ended June 30, 2019, 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	$	6,195,945	$	1,482,946
O’Shares FTSE Russell Small Cap Quality Dividend ETF		2,854,001		—
O’Shares Global Internet Giants ETF		1,376,590		—
O’Shares FTSE Europe Quality Dividend ETF		1,642,909		—

OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2019

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, 2019, the Funds will elect to treat the following post-October losses at arising on July 1, 2019:


Fund	Ordinary Late Year Loss Deferrals		Post-October Capital Losses		Total
O’Shares FTSE U.S. Quality Dividend ETF	$	—	$	107,072	$	107,072
O’Shares Global Internet Giants ETF		147,379		1,469,560		1,616,939
O’Shares FTSE Europe Quality Dividend ETF		—		98,518		98,518

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 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 Statements 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 acts as the investment adviser to the O’Shares FTSE U.S. Quality Dividend ETF and O’Shares FTSE Europe Quality Dividend ETF pursuant to an investment advisory agreement with the Trust (the “OUSA/OEUR Advisory Agreement”). AGF Investments LLC (formerly known as FFCM, LLC) acts as the sub-adviser to the O’Shares FTSE U.S. Quality Dividend ETF and O’Shares FTSE Europe Quality Dividend ETF pursuant to a sub-advisory agreement with the Adviser (the “OUSA/OEUR Sub-Advisory Agreement”).

The Adviser acts as the investment adviser to the O’Shares FTSE Russell Small Cap Quality Dividend ETF and O’Shares Global Internet Giants ETF pursuant to an investment advisory agreement with the Trust (the “OUSM/OGIG Advisory Agreement” and, together with the OUSA/OEUR Advisory Agreement, the “Advisory Agreements”). Vident Investment Advisory, LLC (together with AGF Investments LLC, each a “Sub-Adviser”) acts as the sub-adviser to the O’Shares FTSE Russell Small Cap Quality Dividend ETF and O’Shares Global Internet Giants ETF pursuant to a sub-advisory agreement with the Adviser (the “OUSM/OGIG Sub-Advisory Agreement” and, together with the OUSA/OEUR Sub-Advisory Agreement, the “Sub-Advisory Agreements”).

Pursuant to the Advisory Agreements, the Adviser has the overall responsibility for the Funds’ investment program.

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.

OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2019

Under the Advisory Agreements, 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	%

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

Under the Advisory Agreements, 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.

On June 28, 2018, the O’Shares FTSE U.S. Quality Dividend ETF the (“OUSA Prior Fund”), and O’Shares FTSE Europe Quality Dividend ETF the (“OEUR 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.

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 the OEUR Prior Fund.

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

OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2019

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	%

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 entered into a Distribution Agreement (“Distribution Agreement”), under which the Distributor, as agent, receives orders from Authorized Participants to create and redeem shares in Creation Unit Aggregations and transmits such orders to the Trust’s custodian and transfer agent. 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.

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

OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2019

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 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, 2019, 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	$	69,195,736	$	67,290,481
O’Shares FTSE Russell Small Cap Quality Dividend ETF		60,821,956		61,019,673
O’Shares Global Internet Giants ETF		27,581,884		27,677,390
O’Shares FTSE Europe Quality Dividend ETF		10,684,184		10,871,499

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.

For the year ended June 30, 2019 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	$	235,178,657	$	20,335,417
O’Shares FTSE Russell Small Cap Quality Dividend ETF		71,460,915		5,685,194
O’Shares Global Internet Giants ETF		12,540,548		743,760
O’Shares FTSE Europe Quality Dividend ETF		20,866,018		589,186

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, 2019, the value of the securities received for subscriptions were as follows:


Fund	Value
O’Shares FTSE U.S. Quality Dividend ETF	$	288,373,081
O’Shares FTSE Russell Small Cap Quality Dividend ETF		34,260,216
O’Shares Global Internet Giants ETF		8,379,199
O’Shares FTSE Europe Quality Dividend ETF		5,894,478

OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2019

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.

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. 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.

OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2019

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.

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.

OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2019

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.

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’ prospectus 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. New Accounting Pronouncements

On August 28, 2018, the FASB issued ASU 2018-13, “Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement,” which amends the fair value measurement disclosure requirements of ASC 820. The amendments of ASU 2018-13 include new, eliminated, and modified disclosure requirements of ASC 820. In addition, the amendments clarify that materiality is an appropriate consideration of entities when evaluating disclosure requirements. The ASU is effective for all entities for fiscal years beginning after December 15, 2019, including interim periods therein. Early adoption is permitted for any eliminated or modified disclosures upon issuance of this ASU. The Funds have early adopted ASU 2018-13 for these financial statements.

14. 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.

OSI ETF Trust
Report of Independent Registered Public Accounting Firm
June 30, 2019

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, and O’Shares FTSE Europe 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, and O’Shares FTSE Europe 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, 2019, and the related statements of operations for the year then ended and the statements of changes in net assets and the financial highlights as noted in the table below and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of June 30, 2019, and the results of their operations for the year then ended and the changes in their net assets and their financial highlights as noted in the table below, in conformity with accounting principles generally accepted in the United States of America.

The financial highlights of O’Shares FTSE U.S. Quality Dividend ETF and O’Shares FTSE Europe Quality Dividend ETF for the year ended June 30, 2017 and for the periods from July 14, 2015 and August 19, 2015 (commencements of operations, respectively) to June 30, 2016 were audited by other auditors whose report dated August 24, 2017 expressed an unqualified opinion on those financial highlights.


		Statements of Changes in Net Assets and Financial Highlights
O’Shares FTSE U.S. Quality Dividend ETF		For each of the years in the two-year period ended June 30, 2019
O’Shares FTSE Russell Small Cap Quality Dividend ETF		The statements of changes in net assets and the financial highlights for each of the years in the two-year period ended June 30, 2019 and the financial highlights for the period from December 30, 2016 (commencement of operations) to June 30, 2017
O’Shares Global Internet Giants ETF		For the year ended June 30, 2019 and for the period from June 5, 2018 (commencement of operations) to June 30, 2018
O’Shares FTSE Europe Quality Dividend ETF		For each of the years in the two-year period ended June 30, 2019

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

OSI ETF Trust
Report of Independent Registered Public Accounting Firm
June 30, 2019

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, 2019 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 23, 2019

OSI ETF Trust
Expense Examples (Unaudited)
June 30, 2019

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, 2019.

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, 2019.

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.

OSI ETF Trust
Expense Examples (Unaudited)
June 30, 2019


	Beginning Account Value 01/01/19		Ending Account Value 06/30/19		Expenses Paid During the Period*		Annualized Expense Ratio During Period
O'Shares FTSE U.S. Quality Dividend ETF
Actual	$	1,000.00	$	1,150.30	$	2.56		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	$	1,172.40	$	2.59		0.48	%
Hypothetical	$	1,000.00	$	1,022.41	$	2.41		0.48	%
O'Shares Global Internet Giants ETF
Actual	$	1,000.00	$	1,306.20	$	2.74		0.48	%
Hypothetical	$	1,000.00	$	1,022.41	$	2.41		0.48	%
O'Shares FTSE Europe Quality Dividend ETF
Actual	$	1,000.00	$	1,140.00	$	2.55		0.48	%
Hypothetical	$	1,000.00	$	1,022.41	$	2.41		0.48	%

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).

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 year 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.

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, 2019 are designated as “qualified dividend income” (QDI), as defined in the Act, subject to reduced tax rates in 2019. The Funds also qualify for the dividends received deduction (DRD) for corporate shareholders. Complete information will be reported in conjunction with your 2019 Form 1099-DIV.

As of June 30, 2019, the Funds federal tax information were as follows:


Fund	QDI			DRD
O’Shares FTSE U.S. Quality Dividend ETF		100	%		100	%
O’Shares FTSE Russell Small Cap Quality Dividend ETF		100	%		100	%
O’Shares FTSE Europe Quality Dividend ETF		100	%		—	%

For the tax year ended June 30, 2019, 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 FTSE Europe Quality Dividend ETF		112,047		1,243,765

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).	8	Harvest Volatility Edge Trust (2017 to present); Axonic Alternative Income Fund (2018 to present)
Charles A. Baker**** Year of Birth: 1953	Trustee	Since 2016	Chief Executive Officer of Investment Innovations LLC (investment consulting) (2013 to present); Managing Director of NYSE Euronext (2003 to 2012).	8	Global X Funds (July 2018 to present)

Jeffrey D. Haroldson Year of Birth: 1957	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).	8	None
Interested Trustee*****
Connor O’Brien Year of Birth: 1961	Trustee	Since 2016	Chief Executive Officer, O’Shares Investment Advisers, LLC (2016 to present); 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).	8	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 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).

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. (2015 to 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.) (2004 to 2013).
Joshua G. Hunter 10 High Street, Suite 302 Boston,MA 02110 Year of Birth: 1981	Principal Financial Officer and Treasurer	Since 2016	Fund Principal Financial Officer, Foreside Fund Officer Services, LLC (2015 to present); Vice President/Assistant Vice President, Treasury Services, JPMorgan Chase & Co. (2008 to 2015).**
Kenneth A. Kalina 3 Canal Plaza, Suite 100 Portland, ME 04101 Year of Birth: 1961	Chief Compliance Officer	Since 2017	Fund Chief Compliance Officer, Foreside Fund Officer Services, LLC (2017 to present); Chief Compliance Officer, Henderson Global Funds (2005 to 2017); Chief Compliance Officer, Henderson Global Investors (North America) Inc. (2005 to 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).

As of the end of the period, June 30, 2019, 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. The registrant has not amended the code of ethics as described in Form N-CSR during the period covered by this report. The registrant has not granted any waiver, including an implicit waiver, from a provision of the code of ethics as described in Form N-CSR during the period covered by this report.

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. The registrant has not amended the code of ethics as described in Form N-CSR during the period covered by this report. During the period covered by this report, there have been no waivers granted under the code of ethics.

Aggregate fees for professional services rendered for OSI ETF Trust by BBD, LLP (“BBD”) for the fiscal years ended June 30, 2018 and June 30, 2019 were:

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

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

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

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

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

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.

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.

	2018	2019
Audit Fees (a)	$72,600	49,500
Audit Related Fees (b)	0	0
Tax Fees (c)	$18,000	12,000
All Other Fees (d)	0	0
Total:	$90,600	61,500

Table of Contents

Global Equity Market Overview

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

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. New Accounting Pronouncements

14. Subsequent Events

Opinion on the Financial Statements

Basis for Opinion

Philadelphia, Pennsylvania August 23, 2019

Actual Expenses

Hypothetical Example for Comparison Purposes

Proxy Voting Information

Quarterly Portfolio Holdings Information

Federal Tax Information

Trustees

Officers

Philadelphia, Pennsylvania
August 23, 2019