N-CSRS 1 fp0065671_ncsrs.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number (811-23377)

 

Tidal ETF Trust
(Exact name of registrant as specified in charter)

 

898 N. Broadway, Suite 2
Massapequa, New York 11758
(Address of principal executive offices) (Zip code)

 

Eric W. Falkeis

Tidal ETF Trust

898 N. Broadway, Suite 2

Massapequa, New York 11758
(Name and address of agent for service)

 

(844) 986-7676

Registrant's telephone number, including area code

 

Date of fiscal year end: September 30

 

Date of reporting period: March 31, 2021

 

 

 

Item 1. Reports to Stockholders.

 

(a)

GOTHAM FUNDS

 

of

 

Tidal ETF Trust

 

Gotham Enhanced 500 ETF

 

SEMI-ANNUAL REPORT

 

March 31, 2021

 

(Unaudited)

 

 

GOTHAM ENHANCED 500 ETF

SEMI-ANNUAL REPORT

AS OF MARCH 31, 2021

 

Table of Contents

  

Fund Expense Disclosure

1

Portfolio Holdings Summary Table

2

Portfolio of Investments

3

Financial Statements:

  

Statement of Assets and Liabilities

11

Statement of Operations

12

Statement of Changes in Net Assets

13

Financial Highlights

14

Notes to Financial Statements

15

Basis for Trustees’ Approval of Investment Advisory and Sub-Advisory Agreements

23

Statement Regarding Liquidity Risk Management Program

27

Other Information

28

 

 

 

 

Gotham Enhanced 500 ETF

 

Fund Expense Disclosure

March 31, 2021

(Unaudited)

 

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including brokerage commissions paid on purchases and sales of the Fund’s shares, and (2) ongoing costs, including management fees of the Fund. The example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other funds. The expense example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which is from December 28, 2020 (commencement of operations) to March 31, 2021. The hypothetical example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which is from October 1, 2020 to March 31, 2021.

 

Actual Expenses

 

The first line of the following table provides information about actual account values based on actual returns and actual expenses. To the extent the Fund invests in shares of other investment companies as part of its investment strategy, you will indirectly bear your proportionate share of any fees and expenses charged by the underlying funds in which the Fund invests in addition to the expenses of the Fund. Actual expenses of the underlying funds are expected to vary among the various underlying funds. These expenses are not included in the example. The example includes, but is not limited to, unitary fees. However, the example does not include portfolio trading commissions and related 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 entitled “Expenses Paid During the Period’’ to estimate the expenses you paid on your account during this period.

 

Hypothetical Example for Comparison Purposes

 

The second line of the following table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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 transactional costs, such as brokerage commissions paid on purchases and sales of the Fund’s shares. Therefore, the second line of the following table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If these transactional costs were included, your costs would have been higher.

 

 

Beginning
Account Value
December 28, 2020

Ending
Account Value
March 31, 2021

Expenses Paid
During the Period
December 28, 2020 –
March 31, 2021 (1)

Actual

$ 1,000.00

$ 1,068.60

$ 1.33

 

(1)

The actual expenses are equal to the Fund’s annualized net expense ratio of 0.50% (fee waivers in effect), multiplied by the average account value over the period, multiplied by 94/365 (to reflect the period from December 28, 2020 to March 31, 2021, the commencement of operations date to the end of the period).

 

 

Beginning
Account Value
October 1, 2020

Ending
Account Value
March 31, 2021

Expenses Paid
During the Period
October 1, 2020 –
March 31, 2021 (2)

Hypothetical (5% annual return before expenses)

$ 1,000.00

$ 1,022.44

$ 2.52

 

(2)

The hypothetical expenses are equal to the Fund’s annualized net expense ratio of 0.50% (fee waivers in effect), multiplied by the average account value over the period, multiplied by 182/365 (to reflect the most recent six-month period).

 

1

 

 

Gotham Enhanced 500 ETF

 

Portfolio Holdings Summary Table

March 31, 2021

(Unaudited)

 

SECTOR:

  

% of Net
Assets

  

Technology

    22.0 %

Communications

    20.0  

Consumer (Non-cyclical)

    18.6  

Financial

    12.5  

Consumer (Cyclical)

    10.8  

Industrial

    10.3  

Basic Materials

    2.2  

Energy

    2.1  

Utilities

    1.1  

Cash & Cash Equivalents (1)

    0.4  

Total

    100.0 %

 

 

(1)

Represents cash, short-term investments, and liabilities in excess of other assets.

 

The accompanying notes are an integral part of the financial statements.
2

 

 

Gotham Enhanced 500 ETF

 

Portfolio of Investments

March 31, 2021

(Unaudited)

 

   

Number
of Shares

    

Value

  

COMMON STOCKS — 99.6%

Advertising — 0.2%

The Interpublic Group of Companies, Inc.

    90     $ 2,628  

Omnicom Group, Inc.

    54       4,004  
              6,632  

Aerospace & Defense — 1.4%

The Boeing Co. (1)

    18       4,585  

General Dynamics Corp.

    50       9,078  

Howmet Aerospace, Inc.

    102       3,277  

L3Harris Technologies, Inc.

    6       1,216  

Lockheed Martin Corp.

    46       16,997  

Northrop Grumman Corp.

    15       4,855  

Raytheon Technologies Corp.

    39       3,014  

Teledyne Technologies, Inc. (1)

    2       827  

TransDigm Group, Inc. (1)

    2       1,176  
              45,025  

Agriculture — 1.9%

Altria Group, Inc.

    420       21,487  

Archer-Daniels-Midland Co.

    126       7,182  

Philip Morris International, Inc.

    346       30,704  
              59,373  

Airlines — 0.1%

Alaska Air Group, Inc.

    2       139  

American Airlines Group, Inc.

    12       287  

Delta Air Lines, Inc. (1)

    18       869  

Southwest Airlines Co.

    15       916  

United Airlines Holdings, Inc. (1)

    8       460  
              2,671  

Apparel — 0.4%

Hanesbrands, Inc.

    78       1,534  

Nike, Inc. - Class B

    42       5,581  

PVH Corp.

    18       1,903  

Ralph Lauren Corp. - Class A

    2       246  

Tapestry, Inc. (1)

    60       2,473  

Under Armour, Inc. - Class C (1)

    12       222  

VF Corp.

    9       719  
              12,678  

Auto Manufacturers — 2.3%

Cummins, Inc.

    36       9,328  

Ford Motor Co. (1)

    886       10,853  

General Motors Co.

    313       17,985  

PACCAR, Inc.

    11       1,022  

Tesla, Inc. (1)

    50       33,397  
              72,585  

Auto Parts & Equipment — 0.0% (3)

Aptiv PLC (1)

    6       827  

BorgWarner, Inc.

    8       371  
              1,198  

 

 

   

Number
of Shares

    

Value

  

COMMON STOCKS — (Continued)

Banks — 3.2%

Bank of America Corp.

    413     $ 15,979  

The Bank of New York Mellon Corp.

    22       1,040  

Citigroup, Inc.

    54       3,928  

Citizens Financial Group, Inc.

    10       442  

Comerica, Inc.

    2       143  

Fifth Third Bancorp

    45       1,685  

First Republic Bank

    4       667  

The Goldman Sachs Group, Inc.

    71       23,217  

Huntington Bancshares, Inc.

    26       409  

JPMorgan Chase & Co.

    102       15,527  

KeyCorp

    24       480  

M&T Bank Corp.

    2       303  

Morgan Stanley

    353       27,414  

Northern Trust Corp.

    4       420  

The PNC Financial Services Group, Inc.

    11       1,930  

Regions Financial Corp.

    24       496  

State Street Corp.

    8       672  

SVB Financial Group (1)

    1       494  

Truist Financial Corp.

    36       2,100  

U.S. Bancorp (2)

    39       2,157  

Wells Fargo & Co.

    114       4,454  

Zions Bancorp N.A.

    3       165  
              104,122  

Beverages — 1.1%

Brown-Forman Corp. - Class B

    12       828  

The Coca-Cola Co.

    484       25,512  

Constellation Brands, Inc. - Class A

    7       1,596  

Molson Coors Brewing Co. - Class B

    48       2,455  

Monster Beverage Corp. (1)

    14       1,275  

PepsiCo, Inc.

    36       5,092  
              36,758  

Biotechnology — 1.8%

Alexion Pharmaceuticals, Inc. (1)

    48       7,340  

Amgen, Inc.

    37       9,206  

Biogen, Inc. (1)

    36       10,071  

Bio-Rad Laboratories, Inc. - Class A (1)

    2       1,142  

Corteva, Inc.

    165       7,692  

Gilead Sciences, Inc.

    145       9,371  

Illumina, Inc. (1)

    13       4,993  

Incyte Corp. (1)

    18       1,463  

Regeneron Pharmaceuticals, Inc. (1)

    12       5,678  

Vertex Pharmaceuticals, Inc. (1)

    7       1,504  
              58,460  

 

 

The accompanying notes are an integral part of the financial statements.
3

 

 

Gotham Enhanced 500 ETF

 

Portfolio of Investments (Continued)

March 31, 2021

(Unaudited)

 

   

Number
of Shares

    

Value

  

COMMON STOCKS — (Continued)

Building Materials — 0.7%

Carrier Global Corp.

    158     $ 6,671  

Fortune Brands Home & Security, Inc.

    30       2,875  

Johnson Controls International PLC

    162       9,666  

Martin Marietta Materials, Inc.

    2       672  

Masco Corp.

    60       3,594  

Vulcan Materials Co.

    3       506  
              23,984  

Chemicals — 1.7%

Air Products and Chemicals, Inc.

    5       1,407  

Albemarle Corp.

    3       438  

Celanese Corp.

    2       300  

CF Industries Holdings, Inc.

    7       318  

Dow, Inc.

    168       10,742  

DuPont de Nemours, Inc.

    20       1,546  

Eastman Chemical Co.

    30       3,304  

Ecolab, Inc.

    21       4,495  

FMC Corp.

    30       3,318  

International Flavors & Fragrances, Inc.

    2       279  

Linde PLC

    14       3,922  

LyondellBasell Industries NV

    8       832  

The Mosaic Co.

    10       316  

PPG Industries, Inc.

    54       8,114  

The Sherwin-Williams Co.

    19       14,022  
              53,353  

Commercial Services — 1.8%

Automatic Data Processing, Inc.

    11       2,073  

Cintas Corp.

    9       3,072  

Equifax, Inc.

    4       724  

FleetCor Technologies, Inc. (1)

    3       806  

Gartner, Inc. (1)

    6       1,095  

Global Payments, Inc.

    7       1,411  

IHS Markit Ltd. (2)

    9       871  

MarketAxess Holdings, Inc.

    2       996  

Moody’s Corp.

    4       1,194  

Nielsen Holdings PLC

    49       1,232  

PayPal Holdings, Inc. (1)

    115       27,927  

Quanta Services, Inc.

    30       2,639  

Robert Half International, Inc.

    24       1,874  

Rollins, Inc.

    12       413  

S&P Global, Inc.

    17       5,999  

United Rentals, Inc. (1)

    18       5,928  

Verisk Analytics, Inc.

    4       707  
              58,961  

 

 

   

Number
of Shares

    

Value

  

COMMON STOCKS — (Continued)

Computers — 7.7%

Accenture PLC - Class A

    73     $ 20,166  

Apple, Inc.

    1,495       182,614  

Cognizant Technology Solutions Corp.

    46       3,594  

DXC Technology Co.

    55       1,719  

Fortinet, Inc. (1)

    6       1,107  

Hewlett Packard Enterprise Co.

    33       519  

HP, Inc.

    294       9,335  

International Business Machines Corp.

    198       26,385  

Leidos Holdings, Inc.

    2       193  

NetApp, Inc.

    4       291  

Seagate Technology PLC

    8       614  

Western Digital Corp.

    8       534  
              247,071  

Cosmetics & Personal Care — 1.7%

Colgate-Palmolive Co.

    172       13,559  

The Estee Lauder Companies, Inc. - Class A

    9       2,618  

The Procter & Gamble Co.

    273       36,972  
              53,149  

Distribution & Wholesale — 0.3%

Copart, Inc. (1)

    6       652  

Fastenal Co.

    18       905  

LKQ Corp. (1)

    66       2,794  

Pool Corp.

    2       690  

W.W. Grainger, Inc.

    12       4,811  
              9,852  

Diversified Financial Services — 4.7%

American Express Co.

    20       2,829  

Ameriprise Financial, Inc.

    22       5,114  

BlackRock, Inc.

    36       27,143  

Capital One Financial Corp.

    64       8,143  

Cboe Global Markets, Inc.

    3       296  

The Charles Schwab Corp.

    46       2,998  

CME Group, Inc. - Class A

    9       1,838  

Discover Financial Services

    68       6,459  

Franklin Resources, Inc.

    37       1,095  

Intercontinental Exchange, Inc.

    14       1,564  

Invesco Ltd.

    102       2,572  

Mastercard, Inc. - Class A

    89       31,689  

Nasdaq, Inc.

    17       2,507  

Raymond James Financial, Inc.

    6       735  

Synchrony Financial

    128       5,205  

T. Rowe Price Group, Inc.

    50       8,580  

Visa, Inc. - Class A

    191       40,440  

The Western Union Co.

    90       2,219  
              151,426  

 

 

The accompanying notes are an integral part of the financial statements.
4

 

 

Gotham Enhanced 500 ETF

 

Portfolio of Investments (Continued)

March 31, 2021

(Unaudited)

 

   

Number
of Shares

    

Value

  

COMMON STOCKS — (Continued)

Electric — 1.1%

The AES Corp.

    53     $ 1,421  

Alliant Energy Corp.

    6       325  

Ameren Corp.

    6       488  

American Electric Power Co., Inc.

    12       1,016  

CenterPoint Energy, Inc.

    14       317  

CMS Energy Corp.

    6       367  

Consolidated Edison, Inc.

    8       598  

Dominion Energy, Inc.

    178       13,521  

DTE Energy Co.

    4       533  

Duke Energy Corp.

    20       1,931  

Edison International

    9       527  

Entergy Corp.

    4       398  

Evergy, Inc.

    6       357  

Eversource Energy

    8       693  

Exelon Corp.

    24       1,050  

FirstEnergy Corp.

    12       416  

NextEra Energy, Inc.

    51       3,856  

NRG Energy, Inc.

    54       2,037  

Pinnacle West Capital Corp.

    2       163  

PPL Corp.

    18       519  

Public Service Enterprise Group, Inc.

    12       723  

Sempra Energy

    6       796  

The Southern Co.

    27       1,678  

WEC Energy Group, Inc.

    8       749  

Xcel Energy, Inc.

    13       865  
              35,344  

Electrical Components & Equipment — 0.6%

AMETEK, Inc.

    54       6,897  

Emerson Electric Co.

    138       12,450  

Generac Holdings, Inc. (1)

    1       328  
              19,675  

Electronics — 0.8%

Agilent Technologies, Inc.

    8       1,017  

Allegion PLC

    2       251  

Amphenol Corp.

    16       1,056  

FLIR Systems, Inc.

    2       113  

Fortive Corp.

    78       5,510  

Garmin Ltd. (2)

    8       1,055  

Honeywell International, Inc.

    49       10,636  

Keysight Technologies, Inc. (1)

    4       574  

Mettler-Toledo International, Inc. (1)

    2       2,311  

TE Connectivity Ltd.

    8       1,033  

Trimble, Inc. (1)

    6       467  

Waters Corp. (1)

    1       284  
              24,307  

 

 

   

Number
of Shares

    

Value

  

COMMON STOCKS — (Continued)

Energy - Alternate Sources — 0.0% (3)

Enphase Energy, Inc. (1)

    3     $ 486  
                 

Engineering & Construction — 0.1%

Jacobs Engineering Group, Inc.

    27       3,490  
                 

Entertainment — 0.0% (3)

Caesars Entertainment, Inc. (1)

    5       437  

Live Nation Entertainment, Inc. (1)

    6       508  

Penn National Gaming, Inc. (1)

    4       420  
              1,365  

Environmental Control — 0.2%

Pentair PLC

    36       2,244  

Republic Services, Inc.

    28       2,782  

Waste Management, Inc.

    12       1,548  
              6,574  

Food — 1.9%

Campbell Soup Co.

    57       2,866  

Conagra Brands, Inc.

    108       4,061  

General Mills, Inc.

    137       8,401  

The Hershey Co.

    14       2,214  

Hormel Foods Corp.

    12       573  

The J.M. Smucker Co. (2)

    25       3,163  

Kellogg Co.

    40       2,532  

The Kraft Heinz Co.

    273       10,920  

The Kroger Co. (2)

    22       792  

Lamb Weston Holdings, Inc.

    2       155  

McCormick & Co., Inc.

    6       535  

Mondelez International, Inc.

    268       15,686  

Sysco Corp.

    16       1,260  

Tyson Foods, Inc. - Class A

    84       6,241  
              59,399  

Forest Products & Paper — 0.2%

International Paper Co.

    90       4,866  
                 

Gas — 0.0% (3)

Atmos Energy Corp.

    2       198  

NiSource, Inc.

    9       217  
              415  

Hand & Machine Tools — 0.3%

Snap-on, Inc.

    12       2,769  

Stanley Black & Decker, Inc.

    36       7,188  
              9,957  

Healthcare - Products — 2.2%

Abbott Laboratories

    158       18,935  

ABIOMED, Inc. (1)

    2       638  

Align Technology, Inc. (1)

    2       1,083  

Baxter International, Inc.

    14       1,181  

 

 

The accompanying notes are an integral part of the financial statements.
5

 

 

Gotham Enhanced 500 ETF

 

Portfolio of Investments (Continued)

March 31, 2021

(Unaudited)

 

   

Number
of Shares

    

Value

  

COMMON STOCKS — (Continued)

Healthcare - Products — (Continued)

Boston Scientific Corp. (1)

    36     $ 1,391  

The Cooper Companies, Inc.

    2       768  

Danaher Corp.

    64       14,405  

DENTSPLY SIRONA, Inc.

    4       255  

Edwards Lifesciences Corp. (1)

    18       1,506  

Hologic, Inc. (1)

    56       4,165  

IDEXX Laboratories, Inc. (1)

    3       1,468  

Intuitive Surgical, Inc. (1)

    3       2,217  

Medtronic PLC

    48       5,670  

PerkinElmer, Inc.

    24       3,079  

ResMed, Inc.

    3       582  

STERIS PLC

    2       381  

Stryker Corp.

    12       2,923  

Teleflex, Inc.

    2       831  

Thermo Fisher Scientific, Inc.

    15       6,846  

Varian Medical Systems, Inc. (1)

    12       2,118  

West Pharmaceutical Services, Inc.

    2       564  

Zimmer Biomet Holdings, Inc.

    4       640  
              71,646  

Healthcare - Services — 1.8%

Anthem, Inc.

    8       2,872  

Catalent, Inc. (1)

    6       632  

Centene Corp. (1)

    18       1,150  

DaVita, Inc. (1)

    24       2,586  

HCA Healthcare, Inc.

    79       14,879  

Humana, Inc.

    4       1,677  

IQVIA Holdings, Inc. (1)

    5       966  

Laboratory Corp. of America Holdings (1)

    24       6,121  

Quest Diagnostics, Inc.

    22       2,823  

UnitedHealth Group, Inc.

    61       22,696  

Universal Health Services, Inc. - Class B

    2       267  
              56,669  

Home Builders — 0.4%

D.R. Horton, Inc.

    9       802  

Lennar Corp. - Class A

    27       2,733  

NVR, Inc. (1)

    2       9,422  

PulteGroup, Inc.

    6       315  
              13,272  

Home Furnishings — 0.1%

Leggett & Platt, Inc.

    30       1,369  

Whirlpool Corp.

    14       3,085  
              4,454  

Household Products & Wares — 0.2%

Avery Dennison Corp.

    17       3,122  

 

 

   

Number
of Shares

    

Value

  

COMMON STOCKS — (Continued)

Household Products & Wares — (Continued)

Church & Dwight Co., Inc.

    6     $ 524  

The Clorox Co.

    3       579  

Kimberly-Clark Corp.

    9       1,251  
              5,476  

Housewares — 0.1%

Newell Brands, Inc.

    96       2,571  
                 

Insurance — 3.2%

Aflac, Inc.

    18       921  

The Allstate Corp.

    8       919  

American International Group, Inc.

    22       1,017  

Aon PLC

    50       11,505  

Arthur J. Gallagher & Co.

    32       3,993  

Assurant, Inc.

    2       284  

Berkshire Hathaway, Inc. - Class B (1)

    232       59,269  

Chubb Ltd.

    12       1,896  

Cincinnati Financial Corp.

    4       412  

Everest Re Group Ltd.

    2       496  

Globe Life, Inc.

    2       193  

The Hartford Financial Services Group, Inc.

    8       534  

Lincoln National Corp.

    4       249  

Loews Corp.

    6       308  

Marsh & McLennan Companies, Inc.

    114       13,885  

MetLife, Inc.

    24       1,459  

Principal Financial Group, Inc.

    6       360  

The Progressive Corp.

    14       1,339  

Prudential Financial, Inc.

    9       820  

The Travelers Companies, Inc.

    6       902  

Unum Group

    4       111  

W.R. Berkley Corp.

    4       301  

Willis Towers Watson PLC

    3       687  
              101,860  

Internet — 13.6%

Alphabet, Inc. - Class A (1)

    66       136,126  

Amazon.com, Inc. (1)

    54       167,080  

Booking Holdings, Inc. (1)

    2       4,660  

CDW Corp.

    26       4,309  

eBay, Inc.

    119       7,288  

Etsy, Inc. (1)

    4       807  

Expedia Group, Inc. - Class A (2)

    3       516  

F5 Networks, Inc. (1)

    2       417  

Facebook, Inc. - Class A (1)

    307       90,421  

Netflix, Inc. (1)

    39       20,345  

NortonLifeLock, Inc.

    18       383  

 

 

The accompanying notes are an integral part of the financial statements.
6

 

 

Gotham Enhanced 500 ETF

 

Portfolio of Investments (Continued)

March 31, 2021

(Unaudited)

 

   

Number
of Shares

    

Value

  

COMMON STOCKS — (Continued)

Internet — (Continued)

Twitter, Inc. (1)

    72     $ 4,581  

VeriSign, Inc. (1)

    3       596  
              437,529  

Iron & Steel — 0.0% (3)

Nucor Corp.

    9       722  
                 

Leisure Time — 0.0% (3)

Carnival Corp. (2)

    28       743  

Norwegian Cruise Line Holdings Ltd. (1)(2)

    6       165  

Royal Caribbean Cruises Ltd.

    6       514  
              1,422  

Lodging — 0.1%

Hilton Worldwide Holdings, Inc. (1)

    6       726  

Las Vegas Sands Corp.

    20       1,215  

Marriott International, Inc. (1)

    8       1,185  

MGM Resorts International

    12       456  

Wynn Resorts Ltd.

    3       376  
              3,958  

Machinery - Construction & Mining — 0.6%

Caterpillar, Inc.

    82       19,013  
                 

Machinery - Diversified — 0.6%

Deere & Co. (2)

    31       11,598  

Dover Corp.

    32       4,388  

IDEX Corp.

    2       419  

Ingersoll Rand, Inc. (1)

    10       492  

Otis Worldwide Corp.

    12       821  

Rockwell Automation, Inc.

    4       1,062  

Westinghouse Air Brake Technologies Corp.

    4       317  

Xylem, Inc.

    3       316  
              19,413  

Media — 1.1%

Charter Communications, Inc. - Class A (1)

    19       11,723  

Comcast Corp. - Class A

    144       7,792  

Discovery, Inc. - Class A (1)

    18       782  

DISH Network Corp. - Class A (1)

    118       4,272  

Fox Corp. - Class A

    19       686  

News Corp. - Class A

    18       458  

ViacomCBS, Inc. - Class B

    19       857  

The Walt Disney Co.

    48       8,857  
              35,427  

 

 

   

Number
of Shares

    

Value

  

COMMON STOCKS — (Continued)

Mining — 0.4%

Freeport-McMoRan, Inc.

    334     $ 10,999  

Newmont Corp.

    24       1,446  
              12,445  

Miscellaneous Manufacturers — 2.4%

3M Co.

    132       25,434  

A.O. Smith Corp. - Class A

    35       2,366  

Eaton Corp PLC

    90       12,445  

General Electric Co.

    234       3,072  

Illinois Tool Works, Inc.

    59       13,070  

Parker-Hannifin Corp.

    30       9,463  

Textron, Inc.

    6       336  

Trane Technologies PLC

    60       9,934  
              76,120  

Office & Business Equipment — 0.0% (3)

Zebra Technologies Corp. (1)

    2       970  
                 

Oil & Gas — 1.5%

APA Corp.

    84       1,504  

Cabot Oil & Gas Corp.

    12       225  

Chevron Corp.

    133       13,937  

ConocoPhillips

    28       1,483  

Devon Energy Corp.

    57       1,245  

Diamondback Energy, Inc.

    4       294  

EOG Resources, Inc.

    14       1,015  

Exxon Mobil Corp.

    309       17,252  

Hess Corp.

    8       566  

HollyFrontier Corp.

    2       72  

Marathon Oil Corp.

    20       214  

Marathon Petroleum Corp.

    16       856  

Occidental Petroleum Corp.

    209       5,564  

Phillips 66

    10       815  

Pioneer Natural Resources Co.

    4       635  

Valero Energy Corp.

    10       716  
              46,393  

Oil & Gas Services — 0.5%

Baker Hughes Co. - Class A

    156       3,371  

Halliburton Co.

    201       4,313  

NOV, Inc.

    90       1,235  

Schlumberger NV

    313       8,511  
              17,430  

Packaging & Containers — 0.3%

Amcor PLC

    48       561  

Ball Corp.

    8       678  

Packaging Corp. of America

    24       3,227  

Sealed Air Corp.

    36       1,649  

Westrock Co.

    57       2,967  
              9,082  

 

 

The accompanying notes are an integral part of the financial statements.
7

 

 

Gotham Enhanced 500 ETF

 

Portfolio of Investments (Continued)

March 31, 2021

(Unaudited)

 

   

Number
of Shares

    

Value

  

COMMON STOCKS — (Continued)

Pharmaceuticals — 4.3%

AbbVie, Inc.

    106     $ 11,471  

AmerisourceBergen Corp.

    6       708  

Becton Dickinson and Co.

    7       1,702  

Bristol-Myers Squibb Co.

    60       3,788  

Cardinal Health, Inc.

    6       365  

Cigna Corp.

    10       2,417  

CVS Health Corp.

    296       22,268  

Dexcom, Inc. (1)

    3       1,078  

Eli Lilly and Co.

    25       4,671  

Henry Schein, Inc. (1)

    2       138  

Johnson & Johnson

    150       24,653  

McKesson Corp.

    19       3,706  

Merck & Co., Inc.

    279       21,508  

Perrigo Co. PLC

    2       81  

Pfizer, Inc.

    980       35,505  

Viatris, Inc. (1)

    32       447  

Zoetis, Inc.

    12       1,890  
              136,396  

Pipelines — 0.1%

Kinder Morgan, Inc.

    71       1,182  

ONEOK, Inc. (2)

    12       608  

The Williams Companies, Inc.

    38       900  
              2,690  

Real Estate — 0.2%

CBRE Group, Inc. (1)

    74       5,854  
                 

Real Estate Investment Trusts (REITs) — 1.2%

Alexandria Real Estate Equities, Inc.

    3       493  

American Tower Corp.

    38       9,084  

AvalonBay Communities, Inc.

    3       554  

Boston Properties, Inc.

    4       405  

Crown Castle International Corp.

    37       6,369  

Digital Realty Trust, Inc.

    7       986  

Duke Realty Corp.

    9       377  

Equinix, Inc.

    2       1,359  

Equity Residential

    9       645  

Essex Property Trust, Inc.

    2       544  

Extra Space Storage, Inc.

    2       265  

Federal Realty Investment Trust

    2       203  

Healthpeak Properties, Inc.

    12       381  

Host Hotels & Resorts, Inc.

    18       303  

Iron Mountain, Inc.

    6       222  

Kimco Realty Corp.

    10       187  

Mid-America Apartment Communities, Inc.

    2       289  

Prologis, Inc.

    18       1,908  

Public Storage

    4       987  

Realty Income Corp. (2)

    8       508  

 

 

   

Number
of Shares

    

Value

  

COMMON STOCKS — (Continued)

Real Estate Investment Trusts (REITs) — (Continued)

Regency Centers Corp.

    4     $ 227  

SBA Communications Corp.

    9       2,498  

Simon Property Group, Inc.

    8       910  

UDR, Inc.

    6       263  

Ventas, Inc.

    9       480  

Vornado Realty Trust

    4       182  

Welltower, Inc.

    10       716  

Weyerhaeuser Co.

    168       5,981  
              37,326  

Retail — 6.8%

Advance Auto Parts, Inc.

    16       2,936  

AutoZone, Inc. (1)

    4       5,617  

Best Buy Co., Inc.

    60       6,889  

CarMax, Inc. (1)

    4       531  

Chipotle Mexican Grill, Inc. (1)

    2       2,842  

Costco Wholesale Corp.

    11       3,877  

Darden Restaurants, Inc.

    4       568  

Dollar General Corp.

    8       1,621  

Dollar Tree, Inc. (1)

    40       4,578  

Domino’s Pizza, Inc.

    2       736  

The Gap, Inc.

    12       357  

Genuine Parts Co.

    32       3,699  

The Home Depot, Inc.

    150       45,788  

L Brands, Inc. (1)

    62       3,835  

Lowe’s Companies, Inc.

    169       32,140  

McDonald’s Corp.

    35       7,845  

O’Reilly Automotive, Inc. (1)

    17       8,623  

Ross Stores, Inc.

    8       959  

Starbucks Corp.

    30       3,278  

Target Corp.

    102       20,203  

The TJX Companies, Inc.

    32       2,117  

Tractor Supply Co.

    3       531  

Ulta Beauty, Inc. (1)

    12       3,710  

Walgreens Boots Alliance, Inc.

    24       1,318  

Walmart, Inc.

    366       49,714  

Yum! Brands, Inc. (2)

    35       3,786  
              218,098  

Savings & Loans — 0.0% (3)

People’s United Financial, Inc.

    10       179  
                 

Semiconductors — 4.0%

Advanced Micro Devices, Inc. (1)

    32       2,512  

Analog Devices, Inc.

    9       1,396  

Applied Materials, Inc.

    91       12,158  

Broadcom, Inc.

    10       4,637  

Intel Corp.

    584       37,376  

IPG Photonics Corp. (1)

    2       422  

KLA Corp.

    27       8,921  

Lam Research Corp.

    12       7,143  

 

 

The accompanying notes are an integral part of the financial statements.
8

 

 

Gotham Enhanced 500 ETF

 

Portfolio of Investments (Continued)

March 31, 2021

(Unaudited)

 

   

Number
of Shares

    

Value

  

COMMON STOCKS — (Continued)

Semiconductors — (Continued)

Maxim Integrated Products, Inc.

    6     $ 548  

Microchip Technology, Inc.

    7       1,086  

Micron Technology, Inc. (1)

    101       8,909  

Monolithic Power Systems, Inc.

    1       353  

NVIDIA Corp.

    16       8,543  

NXP Semiconductors NV

    37       7,449  

Qorvo, Inc. (1)

    3       548  

QUALCOMM, Inc.

    142       18,828  

Skyworks Solutions, Inc.

    4       734  

Teradyne, Inc.

    4       487  

Texas Instruments, Inc.

    24       4,536  

Xilinx, Inc.

    6       743  
              127,329  

Shipbuilding — 0.0% (3)

Huntington Ingalls Industries, Inc.

    1       206  
                 

Software — 10.3%

Activision Blizzard, Inc.

    69       6,417  

Adobe, Inc. (1)

    42       19,966  

Akamai Technologies, Inc. (1)

    4       408  

ANSYS, Inc. (1)

    7       2,377  

Autodesk, Inc. (1)

    19       5,266  

Broadridge Financial Solutions, Inc.

    2       306  

Cadence Design Systems, Inc. (1)

    24       3,288  

Cerner Corp.

    68       4,888  

Citrix Systems, Inc.

    2       281  

Electronic Arts, Inc.

    26       3,520  

Fidelity National Information Services, Inc.

    15       2,109  

Fiserv, Inc. (1)

    18       2,143  

Intuit, Inc.

    7       2,681  

Jack Henry & Associates, Inc.

    2       303  

Microsoft Corp.

    800       188,616  

MSCI, Inc.

    3       1,258  

Oracle Corp.

    676       47,435  

Paychex, Inc.

    8       784  

Paycom Software, Inc. (1)

    2       740  

Roper Technologies, Inc.

    10       4,033  

salesforce.com, Inc. (1)

    81       17,161  

ServiceNow, Inc. (1)

    17       8,502  

Synopsys, Inc. (1)

    13       3,221  

Take-Two Interactive Software, Inc. (1)

    12       2,120  

Tyler Technologies, Inc. (1)

    2       849  
              328,672  

 

 

   

Number
of Shares

    

Value

  

COMMON STOCKS — (Continued)

Telecommunications — 5.0%

Arista Networks, Inc. (1)

    2     $ 604  

AT&T, Inc.

    1,616       48,916  

Cisco Systems, Inc.

    950       49,124  

Corning, Inc.

    170       7,397  

Juniper Networks, Inc.

    72       1,824  

Lumen Technologies, Inc.

    30       401  

Motorola Solutions, Inc.

    4       752  

T-Mobile US, Inc. (1)

    36       4,510  

Verizon Communications, Inc.

    820       47,683  
              161,211  

Textiles — 0.1%

Mohawk Industries, Inc. (1)

    18       3,462  
                 

Toys, Games & Hobbies — 0.0% (3)

Hasbro, Inc.

    2       192  
                 

Transportation — 2.3%

C.H. Robinson Worldwide, Inc.

    6       573  

CSX Corp.

    150       14,463  

Expeditors International of Washington, Inc.

    6       646  

FedEx Corp.

    56       15,906  

J.B. Hunt Transport Services, Inc.

    3       504  

Kansas City Southern (2)

    2       528  

Norfolk Southern Corp.

    60       16,111  

Old Dominion Freight Line, Inc.

    3       721  

Union Pacific Corp.

    74       16,310  

United Parcel Service, Inc. - Class B

    41       6,970  
              72,732  

Water — 0.0% (3)

American Water Works Co., Inc.

    4       600  

TOTAL COMMON STOCKS

               

(Cost $3,032,942)

            3,193,995  
                 

SHORT-TERM INVESTMENTS — 0.3%

MONEY MARKET FUNDS — 0.3%

First American Government Obligations Fund - Class X, 0.036% (4)

    11,004       11,004  

TOTAL SHORT-TERM INVESTMENTS

               

(Cost $11,004)

            11,004  
                 

 

 

The accompanying notes are an integral part of the financial statements.
9

 

 

Gotham Enhanced 500 ETF

 

Portfolio of Investments (Concluded)

March 31, 2021

(Unaudited)

 

   

Number
of Shares

    

Value

  

INVESTMENTS PURCHASED WITH COLLATERAL FROM SECURITIES LENDING — 0.5%

Mount Vernon Liquid Assets Portfolio, LLC, 0.110% (4)

    15,729     $ 15,729  

TOTAL INVESTMENTS PURCHASED WITH COLLATERAL FROM SECURITIES LENDING

                

(Cost $15,729)

            15,729  
                 

TOTAL INVESTMENTS IN SECURITIES — 100.4%

(Cost $3,059,675)

            3,220,728  
                 

LIABILITIES IN EXCESS OF OTHER ASSETS - (0.4%)

            (14,830 )

TOTAL NET ASSETS — 100.0%

          $ 3,205,898  

 

 

(1)

Non-income producing security.

(2)

This security or a portion of this security was out on loan as of March 31, 2021. Total loaned securities had a value of $15,231 or 0.5% of net assets. The remaining contractual maturity of all of the securities lending transactions is overnight and continuous.

(3)

Does not round to 0.1% or (0.1)%, as applicable.

(4)

The rate shown is the annualized seven-day effective yield as of March 31, 2021.

 

The accompanying notes are an integral part of the financial statements.
10

 

 

Gotham Enhanced 500 ETF

 

Statement of Assets and Liabilities

March 31, 2021

(Unaudited)

 

Assets:

        

Investments in securities, at value (Cost $3,059,675) (Note 2) (1)

  $ 3,220,728  

Receivables:

        

Dividends and interest receivable

    2,211  

Securities lending income, net

    2  

Total assets

    3,222,941  
         

Liabilities:

        

Collateral received for securities loaned

    15,729  

Payables:

        

Management fees (Note 4)

    1,314  

Total liabilities

    17,043  

Net Assets

  $ 3,205,898  
         

Components of Nets Assets:

        

Paid-in capital

  $ 3,026,270  

Total distributable (accumulated) earnings (losses)

    179,628  

Net assets

  $ 3,205,898  
         

Net Asset Value (unlimited shares authorized):

        

Net assets

  $ 3,205,898  

Shares of beneficial interest issued and outstanding

    150,000  

Net asset value

  $ 21.37  

 

 

(1)

Includes loaned securities with a value of $15,231.

 

The accompanying notes are an integral part of the financial statements.
11

 

 

Gotham Enhanced 500 ETF

 

Statement of Operations

For the Period Ended March 31, 2021(1)

(Unaudited)

 

Investment Income:

        

Dividend income

  $ 10,821  

Securities lending income

    2  

Interest income

    2  

Total investment income

    10,825  
         

Expenses:

        

Management fees (Note 4)

    4,378  

Total expenses

    4,378  

Less: Management fee wavier (Note 4)

    (1,011 )

Net expenses

    3,367  

Net investment income (loss)

    7,458  
         

Realized and Unrealized Gain (Loss) on Investments:

        

Net realized gain (loss) on investments

    11,117  

Change in net unrealized appreciation/depreciation on investments

    161,053  

Net realized and unrealized gain (loss) on investments

    172,170  

Net increase (decrease) in net assets resulting from operations

  $ 179,628  

 

 

(1)

The Fund commenced operations on December 28, 2020. The information presented is from December 28, 2020 to March 31, 2021.

 

The accompanying notes are an integral part of the financial statements.
12

 

 

Gotham Enhanced 500 ETF

 

Statement of Changes in Net Assets

 

   

Period Ended
March 31, 2021
(Unaudited) (1)

  

Increase (Decrease) in Net Assets From:

        

Operations:

        

Net investment income (loss)

  $ 7,458  

Net realized gain (loss) on investments

    11,117  

Change in net unrealized appreciation/depreciation on investments

    161,053  

Net increase (decrease) in net assets resulting from operations

    179,628  
         

Distributions to Shareholders:

        

Net distributions to shareholders

    —  
         

Capital Share Transaction:

        

Net increase (decrease) in net assets derived from net change in outstanding shares (2)

    3,026,270  

Total increase (decrease) in net assets

    3,205,898  
         

Net Assets:

        

Beginning of period

    —  

End of period

  $ 3,205,898  

 

 

(1)

The Fund commenced operations on December 28, 2020. The information presented is from December 28, 2020 to March 31, 2021.

(2)

Summary of share transactions is as follows:

 

   

Period Ended
March 31, 2021
(Unaudited) (1)

  
   

Shares

    

Value

  

Shares sold

    150,000     $ 3,026,270  

Shares redeemed

    —       —  

Net increase (decrease)

    150,000     $ 3,026,270  

 

The accompanying notes are an integral part of the financial statements.
13

 

 

Gotham Enhanced 500 ETF

 

Financial Highlights

 

   

Period Ended
March 31, 2021
(Unaudited) (1)

  

Net asset value, beginning of period

  $ 20.00  
         

Income from Investment Operations:

        

Net investment income (loss) (2)

    0.06  

Net realized and unrealized gain (loss) on investments

    1.31  

Total from investment operations

    1.37  
         

Less Distributions:

        

From net investment income

    —  

Total distributions

    —  
         

Net asset value, end of period

  $ 21.37  

Total Return (3)(4)

    6.86 %
         

Rations/ Supplemental Data:

        

Net assets, end of period (millions)

  $ 3.2  

Portfolio turnover rate (3)

    15 %

Ratio of expenses to average net assets

       

Before management fees waived (5)

    0.65 %

After management fees waived (5)

    0.50 %

Ratio of net investment income (loss) to average net assets

       

Before management fees waived (5)

    0.96 %

After management fees waived (5)

    1.11 %

 

 

(1)

The Fund commenced operations on December 28, 2020. The information presented is from December 28, 2020 to March 31, 2021.

(2)

Calculated using average shares outstanding method.

(3)

Not annualized.

(4)

The total return is based on the Fund’s net asset value.

(5)

Annualized.

 

 

The accompanying notes are an integral part of the financial statements.
14

 

 

Gotham Enhanced 500 ETF

 

Notes to Financial Statements

March 31, 2021

(Unaudited)

 

Note 1 – Organizational

 

The Fund is a diversified series of shares of beneficial interest of Tidal ETF Trust (the “Trust”). The Trust was organized as a Delaware statutory trust on June 4, 2018 and is registered with the Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and the offering of the Fund’s shares is registered under the Securities Act of 1933, as amended. The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 “Financial Services—Investment Companies.” The Fund commenced operations on December 28, 2020.

 

The investment objective of the Fund is to seek to provide long-term capital appreciation.

 

Note 2 – Significant Accounting Policies

 

The following is a summary of significant accounting policies consistently followed by the Fund. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”).

 

 

A.

Security Valuation. Equity securities, which may include Real Estate Investment Trusts (“REITs”), Business Development Companies (“BDCs”), and Master Limited Partnerships (“MLPs”), listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on the NASDAQ Stock Market, LLC (“NASDAQ”)), including securities traded over the counter, are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded on the valuation date (or at approximately 4:00 p.m. EST if a security’s primary exchange is normally open at that time), or, if there is no such reported sale on the valuation date, at the most recent quoted bid price or mean between the most recent quoted bid and ask prices for long and short positions. For a security that trades on multiple exchanges, the primary exchange will generally be considered the exchange on which the security is generally most actively traded. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. Prices of securities traded on the securities exchange will be obtained from recognized independent pricing agents (“Independent Pricing Agents”) each day that the Fund is open for business.

 

For securities for which quotations are not readily available, a fair value will be determined by the Valuation Committee using the Fair Value Procedures approved by the Trust’s Board of Trustees (the “Board”). When a security is “fair valued,” consideration is given to the facts and circumstances relevant to the particular situation, including a review of various factors set forth in the Fair Value Procedures adopted by the Board. Fair value pricing is an inherently subjective process, and no single standard exists for determining fair value. Different funds could reasonably arrive at different values for the same security. The use of fair value pricing by a fund may cause the net asset value of its shares to differ significantly from the net asset value that would be calculated without regard to such considerations.

 

As described above, the Fund utilizes various methods to measure the fair value of its investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are:

 

 

Level 1 –

Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

 

 

Level 2 –

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

 

 

Level 3 –

Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability and would be based on the best information available.

 

15

 

 

Gotham Enhanced 500 ETF

 

Notes to Financial Statements (Continued)

March 31, 2021

(Unaudited)

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2021:

 

Investments in Securities

  

Investments
Measured
at Net Asset
Value

    

Level 1

    

Level 2

    

Level 3

    

Total

  

Common Stocks (1)

  $ —     $ 3,193,995     $ —     $ —     $ 3,193,995  

Short-Term Investments

    —       11,004       —       —       11,004  

Investments Purchased With Collateral From Securities Lending (2)

    15,729       —       —       —       15,729  

Total Investments in Securities

  $ 15,729     $ 3,204,999     $ —     $ —     $ 3,220,728  

 

 
 

(1)

See Schedule of Investments for the industry breakout.

 

 

(2)

Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Schedule of Investments.

 

 

B.

Federal Income Taxes. The Fund has elected to be taxed as a “regulated investment company” and intends to distribute substantially all taxable income to its shareholders and otherwise comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. Therefore, no provision for federal income taxes or excise taxes has been made.

 

In order to avoid imposition of the excise tax applicable to regulated investment companies, the Fund intends to declare as dividends in each calendar year at least 98.0% of its net investment income (earned during the calendar year) and at least 98.2% of its net realized capital gains (earned during the twelve months ended October 31) plus undistributed amounts, if any, from prior years.

 

As of March 31, 2021, the Fund did not have any tax positions that did not meet the threshold of being sustained by the applicable tax authority. Generally, tax authorities can examine all the tax returns filed for the last three years. The Fund identifies its major tax jurisdiction as U.S. Federal and the Commonwealth of Delaware; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially.

 

 

C.

Securities Transactions and Investment Income. Investment securities transactions are accounted for on the trade date. Gains and losses realized on sales of securities are determined on a specific identification basis. Discounts/premiums on debt securities purchased are accreted/amortized over the life of the respective securities using the effective interest method. Dividend income is recorded on the ex-dividend date. Dividends received from REITs generally are comprised of ordinary income, capital gains, and may include return of capital. Debt

 

16

 

 

Gotham Enhanced 500 ETF

 

Notes to Financial Statements (Continued)

March 31, 2021

(Unaudited)

 

income is recorded on an accrual basis. Other non-cash dividends are recognized as investment income at the fair value of the property received. Withholding taxes on foreign dividends have been provided for in accordance with the Trust’s understanding of the applicable country’s tax rules and rates.

 

 

D.

Foreign Currency. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions.

 

The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.

 

The Fund reports net realized foreign exchange gains or losses that arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at period end, resulting from changes in exchange rates.

 

 

E.

Distributions to Shareholders. Distributions to shareholders from net investment income, if any, for the Fund are declared and paid at least annually. Distributions to shareholders from net realized gains on securities, if any, for the Fund normally are declared and paid on an annual basis. Distributions are recorded on the ex-dividend date.

 

 

F.

Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amount of revenue and expenses during the reporting period. Actual results could differ from those estimates.

 

 

G.

Share Valuation. The net asset value (“NAV”) per share of the Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash or other assets, minus all liabilities by the total number of shares outstanding for the Fund, rounded to the nearest cent. The Fund’s shares will not be priced on the days on which the New York Stock Exchange (“NYSE”) is closed for trading.

 

 

H.

Guarantees and Indemnifications. In the normal course of business, the Fund enters into contracts with service providers that contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.

 

 

I.

Illiquid Securities. Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a Board-approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Fund limit its illiquid investments to no more than 15% of the value of the Fund’s net assets. An illiquid investment is any security that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. If the Fund should be in a position where the value of illiquid investments held by the Fund exceeds 15% of the Fund’s net assets, the Fund will take such steps as set forth in the LRMP.

 

Note 3 – Principal Investment Risks

 

 

A.

Equity Market Risk. The equity securities held in the Fund’s portfolio may experience sudden, unpredictable drops in value or long periods of decline in value. This may occur because of factors that affect securities markets generally or factors affecting specific issuers, industries, or sectors in which the Fund invests. Common stocks, such as those held by the Fund, are generally exposed to greater risk than other types of securities, such as preferred stock and debt obligations, because common stockholders generally have inferior rights to

 

17

 

 

Gotham Enhanced 500 ETF

 

Notes to Financial Statements (Continued)

March 31, 2021

(Unaudited)

 

receive payment from issuers. Securities in the Fund’s portfolio may underperform in comparison to securities in the general financial markets, a particular financial market, or other asset classes, due to a number of factors. Factors that could impact the market value of an equity security include a company’s business performance investor perceptions, stock market trends and general economic conditions.

 

 

B.

Exchanged Traded Fund (“ETF”) Risk.

 

 

●

Authorized Participants, Market Makers, and Liquidity Providers Concentration Risk. The Fund has a limited number of financial institutions that are authorized to purchase and redeem Shares directly from the Fund (known as “Authorized Participants” or “APs”). In addition, there may be a limited number of market makers and/or liquidity providers in the marketplace. To the extent either of the following events occur, Shares may trade at a material discount to NAV and possibly face delisting: (i) APs exit the business or otherwise become unable to process creation and/or redemption orders and no other APs step forward to perform these services; or (ii) market makers and/or liquidity providers exit the business or significantly reduce their business activities and no other entities step forward to perform their functions.

 

 

●

Costs of Buying or Selling Shares. Due to the costs of buying or selling Shares, including brokerage commissions imposed by brokers and bid-ask spreads, frequent trading of Shares may significantly reduce investment results and an investment in Shares may not be advisable for investors who anticipate regularly making small investments.

 

 

●

Shares May Trade at Prices Other Than NAV. As with all ETFs, Shares may be bought and sold in the secondary market at market prices. Although it is expected that the market price of Shares will approximate the Fund’s NAV, there may be times when the market price of Shares is more than the NAV intra-day (premium) or less than the NAV intra-day (discount) due to supply and demand of Shares or during periods of market volatility. This risk is heightened in times of market volatility, periods of steep market declines, and periods when there is limited trading activity for Shares in the secondary market, in which case such premiums or discounts may be significant.

 

 

●

Trading. Although Shares are listed on a national securities exchange, such as the NYSE Arca, Inc. (the “Exchange”), and may be traded on U.S. exchanges other than the Exchange, there can be no assurance that Shares will trade with any volume, or at all, on any stock exchange. In stressed market conditions, the liquidity of Shares may begin to mirror the liquidity of the Fund’s underlying portfolio holdings, which can be significantly less liquid than Shares.

 

 

C.

Large-Capitalization Investing Risk The securities of large-capitalization companies may be relatively mature compared to smaller companies and therefore subject to slower growth during times of economic expansion. Large-capitalization companies may also be unable to respond quickly to new competitive challenges, such as changes in technology and consumer tastes.

 

 

D.

Risk Related to Database Errors. The investment strategy used by the Sub-Adviser (defined below) relies on proprietary databases and third-party data sources. Data entries made by the Sub-Adviser’s team of financial analysts or third parties may contain errors, as may the database system used to store such data. Any errors in the underlying data sources, data entry or database may result in the Fund acquiring or selling investments based on incorrect information.

 

 

E.

Systems Risk. The Fund depends on the Sub-Adviser (defined below) to develop and implement appropriate systems for its activities. The Sub-Adviser relies extensively on computer programs and systems to implement and monitor the Fund’s investment strategy. As a result, there is a risk of human or technological errors affecting the portfolio construction process and order origination, including errors in programming (e.g., “bugs” and classic coding errors), modeling, design, translational errors and compatibility issues with data sets and among systems. There can be no guarantee that such defects or issues will be identified in time to avoid a material adverse effect on the Fund.

 

18

 

 

Gotham Enhanced 500 ETF

 

Notes to Financial Statements (Continued)

March 31, 2021

(Unaudited)

 

 

F.

Value Style Risk. The Sub-Adviser (defined below) intends to buy securities, on behalf of the Fund, that it believes are undervalued. Investing in “value” stocks presents the risk that the stocks may never reach what the Sub-Adviser believes are their full market values, either because the market fails to recognize what the Sub-Adviser considers to be the companies’ true business values or because the Sub-Adviser misjudges those values. In addition, value stocks may fall out of favor with investors and underperform other stocks (such as growth stocks) during given periods.

 

Note 4 – Commitments and Other Related Party Transactions

 

Toroso Investments, LLC (the “Adviser”) serves as investment adviser to the Fund pursuant to an investment advisory agreement between the Adviser and the Trust, on behalf of the Fund (the “Advisory Agreement”), and, pursuant to the Advisory Agreement, has overall responsibility for the general management and administration of the Fund. The Adviser provides oversight of the Sub-Adviser (defined below), monitoring of the Sub-Adviser’s buying and selling of securities for the Fund, and review of the Sub-Adviser’s performance.

 

Pursuant to the Advisory Agreement, the Fund pays the Adviser a unitary management fee (the “Management Fee”) based on the average daily net assets of the Fund as follows:

 

Management Fee

Management Fee
After Waiver

0.65%

0.50%

 

The Adviser has contractually agreed to waive 0.15% of its Management Fee until at least December 31, 2023 (the “Fee Waiver Agreement”). The Fee Waiver Agreement may be terminated only by, or with the consent of, the Board. Any waived Management Fees are not able to be recouped by the Adviser under the Fee Waiver Agreement. Management Fees for the period ended March 31, 2021 are disclosed in the Statement of Operations.

 

Out of the Management Fee, the Adviser is obligated to pay or arrange for the payment of substantially all expenses of the Fund, including the cost of transfer agency, custody, fund administration, and all other related services necessary for the Fund to operate. Under the Advisory Agreement, the Adviser has agreed to pay all expenses incurred by the Fund except for interest charges on any borrowings, dividends and other expenses on securities sold short, taxes, 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, accrued deferred tax liability, litigation and other non-routine or extraordinary expenses, distribution fees and expenses paid by the Fund under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act, and the Management Fee payable to the Adviser (collectively, “Excluded Expenses”). The Management Fees incurred are paid monthly to the Adviser.

 

Gotham Asset Management, LLC (the “Sub-Adviser”), serves as sub-adviser to the Fund, pursuant to a sub-advisory agreement between the Adviser and the Sub-Adviser with respect to the Fund (the “Sub-Advisory Agreement”). Pursuant to the Sub-Advisory Agreement, the Sub-Adviser is responsible for responsible for the day-to-day management of the Fund’s portfolio, including determining the securities purchased and sold by the Fund, subject to the supervision of the Adviser and the Board. The Sub-Adviser will also be responsible for trading portfolio securities for the Fund, including selecting broker-dealers to execute purchase and sale transactions, or directing such trading to be effected by the Adviser. The Sub-Adviser is paid a fee by the Adviser, which is calculated and paid monthly, at an annual rate of 0.50% of the Fund’s average daily net assets.

 

Under the Sub-Advisory Agreement, the Sub-Adviser has agreed to assume the Adviser’s obligation to pay all expenses incurred by the Fund except for the Sub-Advisory Fee payable to the Sub-Adviser and Excluded Expenses. Such expenses incurred by the Fund and paid by the Sub-Adviser include fees charged by the Tidal (defined below), which is an affiliate of the Adviser.

 

19

 

 

Gotham Enhanced 500 ETF

 

Notes to Financial Statements (Continued)

March 31, 2021

(Unaudited)

 

Tidal ETF Services LLC (“Tidal”), an affiliate of the Adviser, serves as the Fund’s administrator and, in that capacity, performs various administrative and management services for the Fund. Tidal coordinates the payment of Fund-related expenses and manages the Trust’s relationships with its various service providers.

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as the Fund’s sub-administrator, fund accountant and transfer agent. In those capacities Fund Services performs various administrative and accounting services for the Fund. Fund Services prepares various federal and state regulatory filings, reports and returns for the Fund, including regulatory compliance monitoring and financial reporting; prepares reports and materials to be supplied to the Board; and monitors the activities of the Fund’s custodian. U.S. Bank N.A. (the “Custodian”), an affiliate of Fund Services, serves as the Fund’s custodian. The Custodian acts as the securities lending agent (the “Securities Lending Agent”) for the Fund.

 

Foreside Fund Services, LLC (the “Distributor”) acts as the Fund’s principal underwriter in a continuous public offering of the Fund’s shares.

 

Certain officers and trustees of the Trust are affiliated with the Adviser and Fund Services. None of the affiliated trustees or the Trust’s officers receive compensation from the Fund.

 

Note 5 – Securities Lending

 

The Fund may lend up to 33 1/3% of the value of the securities in its portfolio to brokers, dealers and financial institutions (but not individuals) under terms of participation in a securities lending program administered by the Securities Lending Agent. The securities lending agreement requires that loans are collateralized at all times in an amount equal to at least the market value of the securities loaned by the Fund. The Fund receives compensation in the form of fees and earned interest on the cash collateral. Due to timing issues of when a security is recalled from loan, the financial statements may differ in presentation. The amount of fees depends on a number of factors including the type of security and length of the loan. The Fund continues to receive interest payments or dividends on the securities loaned during the borrowing period. Gain or loss in the value of securities loaned that may occur during the term of the loan will be for the account of the Fund. The Fund has the right under the terms of the securities lending agreements to recall the securities from the borrower on demand.

 

As of March 31, 2021, the Fund had loaned securities and received cash collateral for the loans. The cash collateral is invested in the Mount Vernon Liquid Assets Portfolio, LLC of which the investment objective is to seek to maximize income to the extent consistent with the preservation of capital and liquidity and maintain a stable NAV of $1.00. Although risk is mitigated by the collateral, the Fund could experience a delay in recovering their securities and possible loss of income or value if the borrower fails to return the borrowed securities. In addition, the Fund bears the risk of loss associated with the investment of cash collateral received.

 

During the period ended March 31, 2021, the Fund loaned securities that were collateralized by cash. The cash collateral received was invested in securities as listed in the Fund’s Schedule of Investments. Securities lending income is disclosed in the Fund’s Statement of Operations.

 

Note 6 – Purchase and Sales of Securities

 

For the period ended March 31, 2021, the cost of purchases and proceeds from the sales or maturities of securities, excluding short term investments and U.S. government securities were $3,396,363 and $374,404, respectively.

 

There were no purchases or sales of long-term U.S. Government securities for the period ended March 31, 2021.

 

20

 

 

Gotham Enhanced 500 ETF

 

Notes to Financial Statements (Continued)

March 31, 2021

(Unaudited)

 

Note 7 – Distributions to Shareholders

 

The Fund is subject to examination by U.S. taxing authorities for the tax periods since the commencement of operations. The amount and character of tax basis distributions and composition of net assets, including undistributed (accumulated) net investment income (loss), are finalized at the fiscal year-end; accordingly, tax basis balances have not been determined for the period ended March 31, 2021. Differences between the tax cost of investments and the cost noted in the Schedule of Investments will be determined at fiscal year-end. The Fund did not have any distributions paid during the period ended March 31, 2021.

 

Net capital losses incurred after October 31 and net investment losses incurred after December 31, and within the taxable year, are deemed to arise on the first business day of the Fund’s next taxable year. The Fund commenced operations on December 28, 2020, therefore, the Fund had no late year losses, no post-October losses, and no capital loss carryovers.

 

Note 8 – Share Transactions

 

Shares of the Fund are listed and traded on the Exchange. Market prices for the shares may be different from their NAV. The Fund issues and redeems shares on a continuous basis at NAV generally in blocks of 25,000 shares (“Creation Units”). Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, shares generally trade in the secondary market at market prices that change throughout the day. Except when aggregated in Creation Units, shares are not redeemable securities of the Fund. Creation Units may only be purchased or redeemed by Authorized Participants. An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a Depository Trust Company participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem the shares directly from the Fund. Rather, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.

 

The Fund currently offers one class of shares, which has no front-end sales load, no deferred sales charge, and no redemption fee. A fixed transaction fee is imposed for the transfer and other transaction costs associated with the purchase or sale of Creation Units. The standard fixed transaction fee for the Fund is $500, payable to the Custodian. The fixed transaction fee may be waived on certain orders if the Fund’s Custodian has determined to waive some or all of the costs associated with the order or another party, such as the Adviser, has agreed to pay such fee. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units of up to a maximum of 2% and for Redemption Units of up to a maximum of 2%, respectively, of the value of the Creation Units and Redemption Units subject to the transaction. Variable fees received by the Fund, if any, are disclosed in the capital shares transactions section of the Statements of Changes in Net Assets. The Fund may issue an unlimited number of shares of beneficial interest, with no par value. All shares of the Fund have equal rights and privileges.

 

Note 9 – COVID-19 Pandemic

 

U.S. and international markets have experienced significant periods of volatility in recent years and months due to a number of economic, political and global macro factors including the impact of the novel coronavirus (COVID-19) as a global pandemic, which has resulted in public health issues, growth concerns in the U.S. and overseas, layoffs, rising unemployment claims, changed travel and social behaviors, and reduced consumer spending. The recovery from the effects of COVID-19 is uncertain and may last for an extended period of time. These developments as well as other events could result in further market volatility and negatively affect financial asset prices, the liquidity of certain securities and the normal operations of securities exchanges and other markets. As a result, the risk environment remains elevated. The Adviser will monitor developments and seek to manage the Fund in a manner consistent with the Fund’s investment objective but there can be no assurance that it will be successful in doing so.

 

21

 

 

Gotham Enhanced 500 ETF

 

Notes to Financial Statements (Concluded)

March 31, 2021

(Unaudited)

 

Note 10 – Subsequent Events

 

In preparing these financial statements, the Fund has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued. Management has determined that there are no subsequent events that would need to be disclosed in the Fund’s financial statements.

 

22

 

 

Gotham Enhanced 500 ETF

 

Basis for Trustees’ Approval of Investment Advisory and Sub-Advisory Agreements

(Unaudited)

 

The Board of Trustees (the “Board” or the “Trustees”) of Tidal ETF Trust (the “Trust”) met via video conference at a meeting held on October 29, 2020 to consider the initial approval of the Investment Advisory Agreement (the “Advisory Agreement”) between the Trust, on behalf of the Gotham Enhanced 500 ETF (the “Fund”), a series of the Trust, and Toroso Investments, LLC, the Fund’s investment adviser (the “Adviser”). Prior to this meeting, the Board requested and received materials to assist them in considering the approval of the Advisory Agreement. The materials provided contained information with respect to the factors enumerated below, including a copy of the Advisory Agreement, a memorandum prepared by the Trust’s outside legal counsel discussing in detail the Trustees’ fiduciary obligations and the factors they should assess in considering the approval of the Advisory Agreement, due diligence materials relating to the Adviser (including the due diligence response completed by the Adviser with respect to a specific request letter from the Trust’s outside legal counsel, the Adviser’s Form ADV, select ownership, organizational, financial and insurance information for the Adviser, bibliographic information of the Adviser’s key management and compliance personnel, detailed comparative information regarding the proposed unitary advisory fee for the Fund, and information regarding the Adviser’s compliance program) and other pertinent information. Based on their evaluation of the information provided, the Trustees, by a unanimous vote (including a separate vote of the Trustees who are not “interested persons,” as that term is defined in the Investment Company Act of 1940, as amended (the “Independent Trustees”)), approved the Advisory Agreement for an initial two-year term.

 

Discussion of Factors Considered

 

In considering the approval of the Advisory Agreement and reaching their conclusions, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors enumerated below.

 

 

1.

Nature, extent and quality of services to be provided. The Board considered the nature, extent and quality of the Adviser’s overall services to be provided to the Fund as well as its specific responsibilities in all aspects of day-to-day investment management of the Fund. The Board considered the qualifications, experience and responsibilities of the Adviser’s investment management team, including Michael Venuto and Charles Ragauss, who will each serve as a portfolio manager of the Fund, as well as the responsibilities of other key personnel of the Adviser to be involved in the day to day activities of the Fund. The Board reviewed due diligence information provided by the Adviser, including information regarding the Adviser’s compliance program, its compliance personnel and compliance record, as well as the Adviser’s cybersecurity program and business continuity plan. The Board noted that the Adviser does manage other accounts that utilize a strategy similar to the strategy that is to be employed by the Fund.

 

The Board also considered other services to be provided to the Fund, such as monitoring adherence to the Fund’s investment strategy and restrictions, oversight of the Sub-Adviser and other service providers to the Fund, monitoring compliance with various Fund policies and procedures and with applicable securities regulations, and monitoring the extent to which the Fund achieves its investment objective as an actively-managed ETF. The Board noted that the Sub-Adviser would be responsible for selecting the Fund’s investments and trade execution, subject to the supervision of the Adviser. The Board also noted that the Sub-Adviser may direct that trading of portfolio securities for the Fund be effected by the Adviser for a period of time following the Fund’s launch.

 

The Board concluded that the Adviser had sufficient quality and depth of personnel, resources, investment methods and compliance policies and procedures essential to performing its duties under the Advisory Agreement and managing the Fund and that the nature, overall quality and extent of the management services to be provided to the Fund, as well as the Adviser’s compliance program, were satisfactory.

 

 

2.

Investment performance of the Fund and the Adviser. The Board noted that the Fund had not yet commenced operations and, therefore, concluded that performance of the Fund was not a relevant factor for consideration. The Board also considered that because the investment decision-making for the Fund would be performed by the Fund’s Sub-Adviser, the Fund’s performance would not be the direct result of investment decisions made by

 

23

 

 

Gotham Enhanced 500 ETF

 

Basis for Trustees’ Approval of Investment Advisory and Sub-Advisory Agreements (Continued)

(Unaudited)

 

the Adviser. Consequently, with respect to the Fund’s performance, the Board in the future would focus on the Adviser’s services, including the extent to which the Fund’s performance was achieving its investment objective, as well as the Adviser’s oversight of the Sub-Adviser’s services.

 

 

3.

Cost of services to be provided and profits to be realized by the Adviser. The Board considered the cost of services and the structure of the Adviser’s proposed advisory fee, including a review of comparative expenses, expense components and peer group selection. The Board took into consideration that the advisory fee was a “unitary fee,” meaning that the Fund would pay no expenses other than the advisory fee and certain other costs such as interest, brokerage, and extraordinary expenses and, to the extent it is implemented, fees pursuant to the Fund’s Rule 12b-1 Plan. The Board noted that the Adviser agrees to pay all other expenses incurred by the Fund. The Board also considered comparative information prepared by Fund Services utilizing data provided by Morningstar Direct relating to the cost structure of the Fund relative to a peer group of funds in the U.S. Fund Large Growth category. The Board also noted that the Adviser would contractually agree to an advisory fee waiver that reduces the Fund’s unitary fee from 0.65% to 0.50% of the Fund’s average daily net assets through at least December 31, 2023.

 

The Board concluded that the Fund’s proposed expense ratio and the advisory fee to be paid to the Adviser were fair and reasonable in light of the comparative expense information and the investment management services to be provided to the Fund by the Adviser given the nature of the Fund’s strategy. The Board also evaluated, based on information provided by the Adviser, the compensation and benefits expected to be received by the Adviser and its affiliates from its relationship with the Fund, taking into account an analysis of the Adviser’s expected profitability with respect to the Fund and the Board further concluded that the Adviser had adequate financial resources to support its services to the Fund from the revenues of its overall investment advisory business.

 

 

4.

Extent of economies of scale as the Fund grows. The Board considered the potential economies of scale that the Fund might realize under the structure of the proposed advisory fee. The Board noted the advisory fee did not contain any breakpoint reductions as the Fund’s assets grow in size, but that the Adviser would evaluate future circumstances that may warrant breakpoints in the fee structures.

 

 

5.

Benefits to be derived from the relationship with the Fund. The Board considered the direct and indirect benefits that could be received by the Adviser and its affiliates from association with the Fund. The Board concluded that the benefits the Adviser may receive, such as greater name recognition or the ability to attract additional investor assets, appear to be reasonable and in many cases may benefit the Fund.

 

Conclusion. Based on the Board’s deliberations and its evaluation of the information described above, with no single factor determinative of a conclusion, the Board, including the Independent Trustees, unanimously concluded that: (a) the terms of the Advisory Agreement are fair and reasonable; (b) the advisory fee is reasonable in light of the services that the Adviser will provide to the Fund; and (c) the approval of the Advisory Agreement for an initial term of two years was in the best interests of the Fund and its shareholders.

 

At the meeting held on October 29, 2020, the Board also considered the initial approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) for the Fund, entered into between the Adviser and Gotham Asset Management, LLC, the Fund’s sub-adviser (the “Sub-Adviser”). Prior to this meeting, the Board requested and received materials to assist them in considering the approval of the Sub-Advisory Agreement. The materials provided contained information with respect to the factors enumerated below, including copies of the Sub-Advisory Agreement, a memorandum prepared by the Trust’s outside legal counsel discussing in detail the Trustees’ fiduciary obligations and the factors they should assess in considering the approval of the Sub-Advisory Agreement, due diligence materials prepared by the Sub-Adviser (including the due diligence response completed by the Sub-Adviser with respect to a specific request letter from the Trust’s outside legal counsel, Form ADV, select ownership, organizational, financial and insurance information for the Sub-Adviser, bibliographic information of key management and compliance personnel, and the Sub-Adviser’s compliance manual and code of ethics) and other pertinent information. Based on their evaluation of the information provided, the Trustees, by a unanimous vote (including a separate vote of the Independent Trustees), approved the Sub-Advisory Agreement for an initial two-year term.

 

24

 

 

Gotham Enhanced 500 ETF

 

Basis for Trustees’ Approval of Investment Advisory and Sub-Advisory Agreements (Continued)

(Unaudited)

 

Discussion of Factors Considered

 

In considering the approval of the Sub-Advisory Agreement and reaching their conclusions, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors enumerated below.

 

 

1.

Nature, extent and quality of services to be provided. The Board considered the nature, extent and quality of the Sub-Adviser’s overall services to be provided to the Fund as well as its specific responsibilities in all aspects of day-to-day investment management of the Fund. The Board considered the qualifications, experience and responsibilities of Joel Greenblatt and Robert Goldstein, who will each serve as a portfolio manager for the Fund, as well as the responsibilities of other key personnel of the Sub-Adviser to be involved in the day-to-day activities of the Fund. The Board reviewed the due diligence information provided by the Sub-Adviser, including information regarding the Sub-Adviser’s compliance program, its compliance personnel and compliance record, as well as the Sub-Adviser’s cybersecurity program and business continuity plan. The Board noted that the Sub Adviser manages the Gotham Enhanced S&P 500 Index Fund, an open-end mutual fund, that utilizes a strategy that is similar to the strategy that is to be employed by the Sub-Adviser with respect to the Fund.

 

The Board also considered other services to be provided to the Fund, such as monitoring adherence to the Fund’s investment strategies and restrictions, monitoring compliance with various Fund policies and procedures and with applicable securities regulations, monitoring the extent to which the Fund meets its investment objective as an actively-managed ETF and quarterly reporting to the Board. The Board noted that the Sub-Adviser would be responsible for the Fund’s investment selection and trade execution, subject to oversight by the Adviser, or directing such trade execution to be affected by the Adviser.

 

The Board concluded that the Sub-Adviser had sufficient quality and depth of personnel, resources, investment methods and compliance policies and procedures essential to performing its duties under the Sub-Advisory Agreement and managing the Fund and that the nature, overall quality and extent of the management services to be provided to the Fund, as well as the Sub-Adviser’s compliance program, were satisfactory.

 

 

2.

Investment performance of the Fund and the Sub-Adviser. The Board noted that the Fund had not yet commenced operations and, therefore, concluded that performance of the Fund was not a relevant factor for consideration.

 

 

3.

Cost of services to be provided and profits to be realized by the Sub-Adviser. The Board considered the structure of the proposed sub-advisory fee to be paid by the Adviser to the Sub-Adviser under the Sub-Advisory Agreement. The Board noted that the Adviser represented to the Board that the sub-advisory fee payable under the Sub-Advisory Agreement was reasonable in light of the services to be performed by the Sub-Adviser. Since the sub-advisory fee is to be paid by the Adviser, the overall advisory fee paid by the Fund is not directly affected by the sub-advisory fee paid to the Sub-Adviser. Consequently, the Board did not consider the cost of services provided by the Sub-Adviser or the potential profitability of its relationship with the Fund to be material factors for consideration given that the Sub-Adviser is not affiliated with the Adviser and, therefore, the sub-advisory fee to be paid to the Sub-Adviser was negotiated on an arm’s-length basis. Based on all of these factors, the Board concluded that the sub-advisory fee to be paid to the Sub-Adviser by the Adviser reflected an appropriate allocation of the advisory fee and was reasonable in light of the services to be provided by the Sub-Adviser.

 

 

4.

Extent of economies of scale as the Fund grows. Since the sub-advisory fee payable to the Sub-Adviser is not paid by the Fund, the Board did not consider whether the sub-advisory fee should reflect any potential economies of scale that might be realized as the Fund’s assets increase.

 

 

5.

Benefits to be derived from the relationship with the Fund. The Board considered the direct and indirect benefits that could be received by the Sub-Adviser from its association with the Fund. The Board concluded that the benefits the Sub-Adviser may receive, such as greater name recognition or the ability to attract additional investor assets, appear to be reasonable and in many cases may benefit the Fund.

 

25

 

 

Gotham Enhanced 500 ETF

 

Basis for Trustees’ Approval of Investment Advisory and Sub-Advisory Agreements (Concluded)

(Unaudited)

 

Conclusion. Based on the Board’s deliberations and its evaluation of the information described above, with no single factor determinative of a conclusion, the Board, including the Independent Trustees, unanimously concluded that: (a) the terms of the Sub-Advisory Agreement are fair and reasonable; (b) the sub-advisory fee is reasonable in light of the services that the Sub-Adviser will provide to the Fund; and (c) the approval of the Sub-Advisory Agreement for an initial term of two years was in the best interests of the Fund and its shareholders.

 

26

 

 

Gotham Enhanced 500 ETF

 

Statement Regarding Liquidity Risk Management Program

(Unaudited)

 

In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (“Rule 22e-4”), Tidal ETF Trust (the “Trust”), on behalf of its series, the Gotham Enhanced 500 ETF, has adopted and implemented a liquidity risk management program (the “Program”). The Program seeks to promote effective liquidity risk management for the Fund and to protect Fund shareholders from dilution of their interests. The Trust’s Board of Trustees (the “Board”) has approved the designation of Toroso Investments, LLC, the Fund’s investment adviser, as the program administrator (the “Program Administrator”). The Program Administrator has further delegated administration of the Program to a Program Administrator Committee composed of certain Trust officers. The Program Administrator has also delegated certain responsibilities under the Program to a sub-adviser of the Fund; however, the Program Administrator remains responsible for the overall administration and operation of the Program. The Program Administrator is required to provide a written annual report to the Board regarding the adequacy and effectiveness of the Program, including the operation of the highly liquid investment minimum, if applicable, and any material changes to the Program.

 

On November 19, 2020, the Board reviewed the Program Administrator’s written annual report for the period December 1, 2019 through September 30, 2020 (the “Report”). The Program assesses liquidity risk under both normal and reasonably foreseeable stressed market conditions. The risk is managed by monitoring the degree of liquidity of a Fund’s investments, limiting the amount of illiquid investments and utilizing various risk management tools and facilities available to a Fund, among other means. The Trust has engaged the services of ICE Data Services, a third-party vendor, to provide daily portfolio investment classification services to assist in the Program Administrator’s assessment. The Report noted that no material changes had been made to the Program during the review period. The Program Administrator determined that the Program is adequately designed and operating effectively.

 

The Fund commenced operations on December 28, 2020 and was not a part of the Report but has adopted the Program upon commencement of operations.

 

27

 

 

Gotham Enhanced 500 ETF

 

Other Information (Unaudited)

 

Information About Proxy Voting (Unaudited)

 

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available upon request without charge, by calling (855) 998-4779 or by accessing the Fund’s website at www.GothamETFs.com/GSPY. Furthermore, you can obtain the description on the SEC’s website at www.sec.gov.

 

When available, information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available upon request without charge by calling (855) 998-4779 or by accessing the SEC’s website at www.sec.gov.

 

Information About the Portfolio Holdings (Unaudited)    

 

The Fund files its complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters on Part F of Form N-PORT. The Fund’s Part F of Form N-PORT is available without charge, upon request, by calling (855) 998-4779. Furthermore, you can obtain the Part F of Form N-PORT on the SEC’s website at www.sec.gov. The Fund’s portfolio holdings are posted on the Fund’s website daily at www.GothamETFs.com/GSPY.

 

Frequency Distribution of Premiums and Discounts (Unaudited)    

 

Information regarding how often shares of the Fund trade on the exchange at a price above (i.e., at a premium) or below (i.e., at a discount) to its daily net asset value (“NAV”) is available, without charge, on the Fund’s website at www.GothamETFs.com/GSPY.

 

Information About the Fund’s Trustees (Unaudited)     

 

The Statement of Additional Information (“SAI”) includes additional information about the Fund’s Trustees and is available without charge, upon request, by calling (855) 998-4779. Furthermore, you can obtain the SAI on the SEC’s website at www.sec.gov or the Fund’s website at www.GothamETFs.com/GSPY.

 

28

 

 

 

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Investment Adviser

Toroso Investments, LLC
898 N. Broadway, Suite 2
Massapequa, New York 11758

 

Investment Sub-Adviser

Gotham Asset Management, LLC
535 Madison Avenue, 30th Floor
New York, New York 10022

 

Legal Counsel

Godfrey & Kahn, S.C.
833 East Michigan Street, Suite 1800
Milwaukee, Wisconsin 53202

 

Custodian

U.S. Bank N.A. Custody Operations
1555 North RiverCenter Drive, Suite 302
Milwaukee, Wisconsin 53212

 

Fund Administrator

Tidal ETF Services, LLC
898 N. Broadway, Suite 2
Massapequa, New York 11758

 

Transfer Agent, Fund Accountant and Fund Sub-Administrator

U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, Wisconsin 53202

 

Distributor

Foreside Fund Services, LLC
Three Canal Plaza, Suite 100
Portland, Maine 04101

 

 

 

Fund Information

Fund

Ticker

CUSIP

Gotham Enhanced 500 ETF

GSPY

886364835

 

 

 

(b)Not applicable.

 

Item 2. Code of Ethics.

 

Not applicable for semi-annual reports.

 

Item 3. Audit Committee Financial Expert.

 

Not applicable for semi-annual reports.

 

Item 4. Principal Accountant Fees and Services.

 

Not applicable for semi-annual reports.

 

Item 5. Audit Committee of Listed Registrants.

 

Not applicable for semi-annual reports.

 

Item 6. Investments.

 

(a) Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.

 

(b) Not applicable.

 

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

 

Not applicable to open-end investment companies.

 

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

 

Not applicable to open-end investment companies.

 

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

 

Not applicable to open-end investment companies.

 

 

 

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

 

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of Trustees.

 

Item 11. Controls and Procedures.

 

(a)The Registrant’s President/Principal Executive Officer and Treasurer/Principal Financial Officer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider.

 

(b)There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.

 

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

 

Not applicable to open-end investment companies.

 

Item 13. Exhibits.

 

(a)(1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not applicable.

 

(2) A separate certification for each principal executive officer and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.

 

(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.

 

(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.

 

(b)Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith.

 

 

 

SIGNATURES

 

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

 

(Registrant) Tidal ETF Trust  
     
By (Signature and Title) /s/ Eric W. Falkeis  
  Eric W. Falkeis, President/Principal Executive Officer  
     
Date June 8, 2021  

 

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

 

By (Signature and Title)* /s/ Eric W. Falkeis   
  Eric W. Falkeis, President/Principal Executive Officer  
     
Date June 8, 2021  
     
By (Signature and Title)* /s/ Daniel Carlson  
  Daniel Carlson, Treasurer/Principal Financial Officer  
     
Date June 10, 2021  

 

* Print the name and title of each signing officer under his or her signature.