N-CSR 1 fp0070584_ncsr.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: September 30, 2021

 

 

Item 1. Reports to Stockholders.

 

(a)

GOTHAM ETF

 

of

 

Tidal ETF Trust

 

Gotham Enhanced 500 ETF (GSPY)

 

ANNUAL REPORT

 

September 30, 2021

 

 

GOTHAM ENHANCED 500 ETF

ANNUAL REPORT

AS OF SEPTEMBER 30, 2021

 

Table of Contents

 

Shareholder Letter

1

Performance Data

3

Fund Expense Disclosure

4

Portfolio Holdings Summary Table

5

Portfolio of Investments

6

Financial Statements:

 

Statement of Assets and Liabilities

14

Statement of Operations

15

Statement of Changes in Net Assets

16

Financial Highlights

17

Notes to Financial Statements

18

Report of Independent Registered Public Accounting Firm

26

Trustees and Executive Officers

27

Other Information

30

 

 

This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.

 

 

Gotham Enhanced 500 ETF

 

Shareholder Letter

September 30, 2021

(Unaudited)

 

Gotham Enhanced 500 ETF (GSPY)

 

 

The Gotham Enhanced 500 ETF (GSPY) is an actively managed ETF that buys all 500 stocks in the S&P 500 Index but reweights them, buying more of the ones we think are cheaper and less of the ones we believe are more expensive. Gotham’s investment process puts an emphasis on companies with strong cash flow generation and operating fundamentals.

 

GSPY currently1 trades at 21x Gotham’s proprietary free cash flow metric2 (vs. 29x for the S&P 500 Index) and has a higher aggregate return on tangible capital than the S&P 500 Index.

 

As of 9/30/21, the five largest positions in the strategy were MSFT, AAPL, AMZN, GOOGL and FB. The strategy is slightly overweight Information Technology and Industrials, while being slightly underweight Financials.

 

Since Inception on 12/28/2020, GSPY returned +15.53% for the period ending 9/30/21, whereas the S&P 500 Index, the Fund’s benchmark index, returned +16.59% over the same time period. Both the S&P 500 Value and Growth Indexes also returned +16.60%.

 

GSPY is nearing $100mm3 in assets and Gotham is excited about the opportunity set for its first ETF.

 

Top contributors and detractors (where applicable) by sector and stock positions are below:

 

Sector Contributors/Detractors

 

 

Average
Contribution

Average
Exposure

Largest Contributors

 

 

Information Technology

4.35%

27.47%

Communication Services

2.56%

12.71%

Largest Detractors

No sector was a detractor for the period.

 

Stock Contributors/Detractors

 

 

Average
Contribution

Average
Exposure

Largest Contributors

 

 

Alphabet Inc

1.86%

4.55%

Microsoft Corp

1.66%

6.11%

Largest Detractors

 

 

Verizon Communications Inc

-0.08%

1.33%

United Parcel Service Inc

-0.08%

0.48%

 

Past performance does not guarantee future results.

 

Must be preceded or accompanied by a prospectus.

 

The risks of investing in GSPY are described in the prospectus.

 

The Gotham Enhanced 500 ETF (GSPY) is distributed by Foreside Fund Services, LLC.

 

 

1

As of 11/10/2021

2

Gotham’s proprietary cash flow metric is used to compare companies in a consistently meaningful way. Gotham’s analyst team utilizes consistent research principles to discern the pre-tax, unlevered cash flow of a business relative to its enterprise value. This information is updated throughout the year to account for company performance. The metrics for any one company or portfolio can change daily to reflect either new information and/or changing stock price.

3

$94.13mm as of 10/31/2021

 

1

 

 

Gotham Enhanced 500 ETF

 

Important Information

 

The Fund covered by this report compares its performance to the S&P 500® Total Return Index. An index does not reflect operational and transactional costs which apply to an ETF. It is not possible to invest directly in an index.

 

There is no guarantee that the Fund’s investment strategy will be successful. Shares may trade at a premium or discount to their NAV in the secondary market. These variations may be greater when markets are volatile or subject to unusual conditions. A high portfolio turnover rate increases transaction costs, which may increase the Fund’s expenses. The Fund is newer and has a limited operating history. You can lose money on your investment in the Fund. Diversification does not ensure profit or protect against loss in declining markets. Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. For a complete list of portfolio holdings, please refer to the Schedule of Investments provided in this report.

 

Before investing you should carefully consider the Fund’s investment objectives, risks, charges, and expenses. This and other information are in the prospectus. A prospectus may be obtained by visiting www.gothametfs.com/gspy. Please read the prospectus carefully before you invest.

 

2

 

 

Gotham Enhanced 500 ETF

 

Annual Report

Performance Data

September 30, 2021

(Unaudited)

 

 

Average Total Returns for the Periods Ended September 30, 2021

 

3 Month(1)

6 Month(1)

9 Month(1)

Since
Inception
(12/28/20)
(1)

Gotham Enhanced 500 ETF - NAV

(0.12)%

8.11%

15.23%

15.53%

Gotham Enhanced 500 ETF - Market

(0.07)%

8.14%

15.36%

15.70%

S&P 500® Total Return Index

0.58%

9.18%

15.92%

16.59%

 

(1)

Not annualized.

 

This chart illustrates the performance of a hypothetical $10,000 investment made on December 28, 2020 (commencement of operations), and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns reflect fee waivers in effect for the NAV return. In the absence of such waivers, total return would be reduced. The chart assumes reinvestment of capital gains, dividends, and return of capital, if applicable, for a fund and dividends for an index.

 

Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Gotham Enhanced 500 ETF (the “Fund”) may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling (855) 998-4779. The Fund’s gross expense ratio is 0.65% and net expense ratio is 0.50% as of the Fund’s prospectus dated November 9, 2020. The Fund’s investment adviser has agreed to waive a portion of its management fees for the Fund to limit the Fund’s Total Annual Fund Operating Expenses After Fee Waiver to 0.50% until at least December 31, 2023.

 

3

 

 

Gotham Enhanced 500 ETF

 

Fund Expense Disclosure

September 30, 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 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 April 1, 2021 to September 30, 2021.

 

Actual Expenses

 

The first line of the following table provides information about actual account values 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
April 1, 2021

Ending
Account Value
September 30,
2021

Expenses Paid
During the Period
April 1, 2021 –
September 30,
2021
(1)

Actual

$ 1,000.00

$ 1,081.10

$ 2.61

Hypothetical (5% annual return before expenses)

$ 1,000.00

$ 1,022.56

$ 2.54

 

(1)

Expenses are equal to the Fund’s annualized expense ratio for the most recent six-month period of 0.50%, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the most recent six-month period).

 

4

 

 

Gotham Enhanced 500 ETF

 

Portfolio Holdings Summary Table

September 30, 2021

(Unaudited)

 

SECTOR:

 

% of Net
Assets

 

Technology

    22.8 %

Consumer (Non-cyclical)

    20.5  

Communications

    19.7  

Financial

    11.5  

Consumer (Cyclical)

    10.7  

Industrial

    9.1  

Energy

    2.8  

Basic Materials

    1.8  

Utilities

    0.9  

Cash & Cash Equivalents (1)

    0.2  

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.
5

 

 

Gotham Enhanced 500 ETF

 

Portfolio of Investments

September 30, 2021

 

   

Number
of Shares

   

Value

 

Common Stocks — 99.8%

Advertising — 0.2%

The Interpublic Group of Company, Inc. (2)

    2,280     $ 83,608  

Omnicom Group, Inc.

    1,368       99,125  
              182,733  

Aerospace & Defense — 1.6%

The Boeing Co. (1)

    456       100,293  

General Dynamics Corp.

    1,403       275,030  

Howmet Aerospace, Inc.

    855       26,676  

L3Harris Technologies, Inc.

    158       34,798  

Lockheed Martin Corp.

    1,545       533,179  

Northrop Grumman Corp.

    746       268,672  

Raytheon Technologies Corp.

    1,020       87,679  

Teledyne Technologies, Inc. (1)

    30       12,887  

TransDigm Group, Inc. (1)

    43       26,857  
              1,366,071  

Agriculture — 1.7%

Altria Group, Inc.

    10,216       465,032  

Archer-Daniels-Midland Co.

    3,192       191,552  

Philip Morris International, Inc.

    8,607       815,858  
              1,472,442  

Airlines — 0.1%

               

Alaska Air Group, Inc.

    81       4,747  

American Airlines Group, Inc. (2)

    451       9,254  

Delta Air Lines, Inc. (1)

    456       19,430  

Southwest Airlines Co. (2)

    381       19,595  

United Airlines Holdings, Inc. (1)(2)

    203       9,657  
              62,683  

Apparel — 0.4%

Hanesbrands, Inc.

    520       8,923  

Nike, Inc. - Class B

    1,064       154,525  

PVH Corp.

    344       35,360  

Ralph Lauren Corp. - Class A

    421       46,748  

Tapestry, Inc.

    1,520       56,270  

Under Armour, Inc. - Class C (1)

    2,588       45,342  

VF Corp.

    58       3,885  
              351,053  

Auto Manufacturers — 2.1%

Cummins, Inc.

    311       69,838  

Ford Motor Co. (1)

    23,051       326,402  

General Motors Co.

    8,456       445,716  

PACCAR, Inc.

    272       21,466  

Tesla, Inc. (1)

    1,230       953,841  
              1,817,263  

 

 

   

Number
of Shares

   

Value

 

Common Stocks — (Continued)

Auto Parts & Equipment — 0.0% (3)

Aptiv PLC (1)

    181     $ 26,963  

BorgWarner, Inc.

    203       8,772  
              35,735  

Banks — 3.1%

Bank of America Corp.

    6,646       282,123  

The Bank of New York Mellon Corp.

    556       28,823  

Citigroup, Inc.

    1,421       99,726  

Citizens Financial Group, Inc.

    252       11,839  

Comerica, Inc.

    91       7,326  

Fifth Third Bancorp (2)

    676       28,689  

First Republic Bank

    114       21,988  

The Goldman Sachs Group, Inc.

    1,011       382,188  

Huntington Bancshares, Inc.

    987       15,259  

JPMorgan Chase & Co.

    4,251       695,846  

KeyCorp

    608       13,145  

M&T Bank Corp.

    84       12,545  

Morgan Stanley

    5,675       552,234  

Northern Trust Corp.

    138       14,878  

The PNC Financial Services Group, Inc.

    278       54,388  

Regions Financial Corp.

    608       12,957  

State Street Corp.

    231       19,570  

SVB Financial Group (1)

    55       35,578  

Truist Financial Corp.

    912       53,489  

U.S. Bancorp

    1,216       72,279  

Wells Fargo & Co.

    5,716       265,280  

Zions Bancorp N.A.

    142       8,788  
              2,688,938  

Beverages — 1.5%

Brown-Forman Corp. - Class B

    304       20,371  

The Coca-Cola Co.

    15,072       790,828  

Constellation Brands, Inc. - Class A

    1,107       233,234  

Molson Coors Brewing Co. - Class B (2)

    1,317       61,082  

Monster Beverage Corp. (1)

    355       31,535  

PepsiCo, Inc.

    934       140,483  
              1,277,533  

Biotechnology — 1.4%

Amgen, Inc.

    451       95,905  

Biogen, Inc. (1)

    118       33,393  

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

    25       18,649  

Corteva, Inc.

    587       24,701  

Gilead Sciences, Inc.

    7,366       514,515  

Illumina, Inc. (1)

    333       135,068  

Incyte Corp. (1)

    58       3,989  

 

 

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

 

 

Gotham Enhanced 500 ETF

 

Portfolio of Investments (Continued)

September 30, 2021

 

   

Number
of Shares

   

Value

 

Common Stocks — (Continued)

Biotechnology — (Continued)

Moderna, Inc. (1)

    277     $ 106,606  

Regeneron Pharmaceuticals, Inc. (1)

    281       170,056  

Vertex Pharmaceuticals, Inc. (1)

    589       106,839  
              1,209,721  

Building Materials — 0.4%

Carrier Global Corp.

    679       35,145  

Fortune Brands Home & Security, Inc.

    109       9,747  

Johnson Controls International PLC (2)

    4,187       285,051  

Martin Marietta Materials, Inc.

    49       16,742  

Masco Corp.

    199       11,055  

Vulcan Materials Co.

    101       17,085  
              374,825  

Chemicals — 1.1%

Air Products and Chemicals, Inc.

    147       37,648  

Albemarle Corp.

    77       16,861  

Celanese Corp.

    74       11,147  

CF Industries Holdings, Inc.

    336       18,756  

Dow, Inc.

    4,324       248,890  

DuPont de Nemours, Inc.

    58       3,943  

Eastman Chemical Co.

    760       76,562  

Ecolab, Inc. (2)

    246       51,321  

FMC Corp.

    101       9,248  

International Flavors & Fragrances, Inc.

    202       27,011  

Linde PLC

    355       104,150  

LyondellBasell Industries NV

    1,925       180,661  

The Mosaic Co.

    2,131       76,119  

PPG Industries, Inc.

    186       26,600  

The Sherwin-Williams Co.

    210       58,743  
              947,660  

Commercial Services — 2.0%

Automatic Data Processing, Inc.

    2,348       469,412  

Cintas Corp.

    92       35,021  

Equifax, Inc.

    100       25,342  

FleetCor Technologies, Inc. (1)

    66       17,244  

Gartner, Inc. (1)

    490       148,901  

Global Payments, Inc.

    25       3,940  

IHS Markit Ltd.

    307       35,802  

MarketAxess Holdings, Inc.

    30       12,621  

Moody’s Corp.

    125       44,389  

Nielsen Holdings PLC

    207       3,972  

PayPal Holdings, Inc. (1)

    2,918       759,293  

Quanta Services, Inc.

    109       12,406  

Robert Half International, Inc.

    455       45,650  

Rollins, Inc.

    304       10,740  

 

 

   

Number
of Shares

   

Value

 

Common Stocks — (Continued)

Commercial Services — (Continued)

S&P Global, Inc. (2)

    188     $ 79,879  

United Rentals, Inc. (1)

    58       20,354  

Verisk Analytics, Inc.

    100       20,027  
              1,744,993  

Computers — 8.2%

Accenture PLC - Class A

    1,951       624,164  

Apple, Inc.

    37,196       5,263,234  

Cognizant Technology Solutions Corp.

    1,164       86,381  

DXC Technology Co.

    1,533       51,524  

Fortinet, Inc. (1)

    129       37,673  

Hewlett Packard Enterprise Co.

    801       11,414  

HP, Inc.

    7,448       203,777  

International Business Machines Corp.

    4,655       646,719  

Leidos Holdings, Inc.

    92       8,844  

NetApp, Inc.

    1,263       113,367  

Seagate Technology Holdings PLC

    1,267       104,553  

Western Digital Corp.

    203       11,457  
              7,163,107  

Cosmetics & Personal Care — 0.9%

Colgate-Palmolive Co.

    3,659       276,547  

The Estee Lauder Companies, Inc. - Class A

    260       77,982  

The Procter & Gamble Co.

    2,968       414,926  
              769,455  

Distribution & Wholesale — 0.3%

Copart, Inc. (1)

    152       21,086  

Fastenal Co.

    456       23,534  

LKQ Corp. (1)

    1,672       84,135  

Pool Corp.

    32       13,901  

W.W. Grainger, Inc.

    333       130,889  
              273,545  

Diversified Financial Services — 4.3%

American Express Co.

    883       147,929  

Ameriprise Financial, Inc.

    117       30,902  

BlackRock, Inc. (2)

    872       731,312  

Capital One Financial Corp.

    470       76,126  

Cboe Global Markets, Inc.

    77       9,537  

The Charles Schwab Corp.

    2,441       177,802  

CME Group, Inc. - Class A

    240       46,411  

Discover Financial Services

    1,311       161,056  

Franklin Resources, Inc.

    2,858       84,940  

Intercontinental Exchange, Inc.

    375       43,058  

Invesco Ltd.

    2,584       62,300  

Mastercard, Inc. - Class A

    2,219       771,502  

Nasdaq, Inc.

    134       25,865  

Raymond James Financial, Inc.

    535       49,370  

 

 

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

 

 

Gotham Enhanced 500 ETF

 

Portfolio of Investments (Continued)

September 30, 2021

 

   

Number
of Shares

   

Value

 

Common Stocks — (Continued)

Diversified Financial Services — (Continued)

Synchrony Financial

    459     $ 22,436  

T. Rowe Price Group, Inc.

    1,267       249,219  

Visa, Inc. - Class A (2)

    4,775       1,063,631  

The Western Union Co.

    192       3,882  
              3,757,278  

Electric — 0.8%

The AES Corp.

    514       11,735  

Alliant Energy Corp.

    152       8,509  

Ameren Corp. (2)

    203       16,443  

American Electric Power Co., Inc.

    338       27,439  

CenterPoint Energy, Inc. (2)

    343       8,438  

CMS Energy Corp.

    195       11,647  

Consolidated Edison, Inc.

    229       16,623  

Dominion Energy, Inc.

    626       45,711  

DTE Energy Co.

    129       14,411  

Duke Energy Corp.

    553       53,967  

Edison International

    229       12,703  

Entergy Corp.

    133       13,208  

Evergy, Inc.

    152       9,454  

Eversource Energy

    229       18,723  

Exelon Corp. (2)

    735       35,530  

FirstEnergy Corp.

    462       16,456  

NextEra Energy, Inc.

    1,388       108,986  

NRG Energy, Inc.

    1,375       56,141  

Pinnacle West Capital Corp.

    51       3,690  

PPL Corp.

    4,312       120,219  

Public Service Enterprise Group, Inc.

    332       20,219  

Sempra Energy

    205       25,932  

The Southern Co.

    685       42,449  

WEC Energy Group, Inc.

    203       17,905  

Xcel Energy, Inc.

    437       27,312  
              743,850  

Electrical Components & Equipment — 0.4%

AMETEK, Inc.

    182       22,570  

Emerson Electric Co.

    3,457       325,649  

Generac Holdings, Inc. (1)

    42       17,164  
              365,383  

Electronics — 0.7%

Agilent Technologies, Inc.

    204       32,136  

Allegion PLC

    51       6,741  

Amphenol Corp.

    404       29,585  

Fortive Corp.

    762       53,774  

Garmin Ltd.

    716       111,309  

Honeywell International, Inc.

    548       116,330  

Keysight Technologies, Inc. (1)

    118       19,386  

Mettler-Toledo International, Inc. (1)

    19       26,170  

 

 

   

Number
of Shares

   

Value

 

Common Stocks — (Continued)

Electronics — (Continued)

TE Connectivity Ltd.

    1,559     $ 213,926  

Trimble, Inc. (1)

    200       16,450  

Waters Corp. (1)

    42       15,007  
              640,814  

Energy - Alternate Sources — 0.0% (3)

Enphase Energy, Inc. (1)

    77       11,548  
                 

Engineering & Construction — 0.1%

Jacobs Engineering Group, Inc.

    451       59,771  
                 

Entertainment — 0.1%

Caesars Entertainment, Inc. (1)(2)

    126       14,147  

Live Nation Entertainment, Inc. (1)(2)

    152       13,852  

Penn National Gaming, Inc. (1)(2)

    907       65,721  
              93,720  

Environmental Control — 0.2%

Pentair PLC

    927       67,328  

Republic Services, Inc.

    252       30,255  

Waste Management, Inc. (2)

    304       45,406  
              142,989  

Food — 1.4%

Campbell Soup Co.

    261       10,912  

Conagra Brands, Inc.

    374       12,667  

General Mills, Inc.

    475       28,414  

The Hershey Co.

    1,164       197,007  

Hormel Foods Corp.

    364       14,924  

The J.M. Smucker Co.

    85       10,203  

Kellogg Co. (2)

    266       17,003  

The Kraft Heinz Co. (2)

    7,078       260,612  

The Kroger Co.

    662       26,765  

Lamb Weston Holdings, Inc.

    96       5,892  

McCormick & Co., Inc.

    181       14,666  

Mondelez International, Inc.

    7,300       424,714  

Sysco Corp.

    404       31,714  

Tyson Foods, Inc. - Class A

    2,183       172,326  
              1,227,819  

Forest Products & Paper — 0.0% (3)

International Paper Co.

    2,351       131,468  
                 

Gas — 0.0% (3)

Atmos Energy Corp.

    87       7,673  

NiSource, Inc.

    211       5,113  
              12,786  

Hand & Machine Tools — 0.3%

Snap-on, Inc.

    304       63,521  

Stanley Black & Decker, Inc.

    935       163,915  
              227,436  

 

 

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

 

 

Gotham Enhanced 500 ETF

 

Portfolio of Investments (Continued)

September 30, 2021

 

   

Number
of Shares

   

Value

 

Common Stocks — (Continued)

Healthcare - Products — 2.2%

Abbott Laboratories

    4,017     $ 474,528  

ABIOMED, Inc. (1)

    38       12,370  

Align Technology, Inc. (1)

    51       33,937  

Baxter International, Inc.

    355       28,553  

Boston Scientific Corp. (1)

    965       41,871  

The Cooper Companies, Inc.

    39       16,119  

Danaher Corp.

    1,623       494,106  

DENTSPLY SIRONA, Inc.

    143       8,301  

Edwards Lifesciences Corp. (1)

    456       51,624  

Henry Schein, Inc. (1)

    92       7,007  

Hologic, Inc. (1)

    1,349       99,570  

IDEXX Laboratories, Inc. (1)

    68       42,289  

Intuitive Surgical, Inc. (1)

    77       76,550  

Medtronic PLC

    1,066       133,623  

PerkinElmer, Inc.

    522       90,457  

ResMed, Inc.

    96       25,301  

STERIS PLC

    51       10,418  

Stryker Corp.

    304       80,171  

Teleflex, Inc.

    38       14,309  

Thermo Fisher Scientific, Inc.

    313       178,826  

West Pharmaceutical Services, Inc.

    61       25,897  

Zimmer Biomet Holdings, Inc.

    126       18,441  
              1,964,268  

Healthcare - Services — 2.4%

Anthem, Inc.

    788       293,766  

Catalent, Inc. (1)

    152       20,227  

Centene Corp. (1)

    456       28,413  

Charles River Laboratories International, Inc. (1)

    43       17,745  

DaVita, Inc. (1)

    84       9,766  

HCA Healthcare, Inc.

    2,010       487,867  

Humana, Inc.

    100       38,915  

IQVIA Holdings, Inc. (1)

    143       34,254  

Laboratory Corp. of America Holdings (1)

    556       156,481  

Quest Diagnostics, Inc.

    681       98,956  

UnitedHealth Group, Inc.

    2,414       943,246  

Universal Health Services, Inc. - Class B

    51       7,057  
              2,136,693  

Home Builders — 0.1%

D.R. Horton, Inc.

    229       19,229  

Lennar Corp. - Class A

    685       64,171  

NVR, Inc. (1)

    4       19,176  

PulteGroup, Inc.

    152       6,980  
              109,556  

Home Furnishings — 0.1%

Leggett & Platt, Inc.

    181       8,116  

 

 

   

Number
of Shares

   

Value

 

Common Stocks — (Continued)

Home Furnishings — (Continued)

Whirlpool Corp. (2)

    355     $ 72,370  
              80,486  

Household Products & Wares — 0.2%

Avery Dennison Corp.

    463       95,938  

Church & Dwight Co., Inc. (2)

    152       12,551  

The Clorox Co.

    77       12,752  

Kimberly-Clark Corp.

    266       35,229  
              156,470  

Housewares — 0.0% (3)

Newell Brands, Inc. (2)

    331       7,328  
                 

Insurance — 2.8%

Aflac, Inc.

    456       23,771  

The Allstate Corp.

    203       25,844  

American International Group, Inc.

    639       35,075  

Aon PLC

    319       91,161  

Arthur J. Gallagher & Co.

    1,134       168,569  

Assurant, Inc.

    51       8,045  

Berkshire Hathaway, Inc. - Class B (1)

    5,514       1,504,991  

Brown & Brown, Inc.

    1,275       70,699  

Chubb Ltd.

    304       52,738  

Cincinnati Financial Corp. (2)

    100       11,422  

Everest Re Group Ltd.

    32       8,025  

Globe Life, Inc.

    96       8,547  

The Hartford Financial Services Group, Inc.

    235       16,509  

Lincoln National Corp.

    100       6,875  

Loews Corp.

    152       8,197  

Marsh & McLennan Companies, Inc.

    1,674       253,494  

MetLife, Inc.

    608       37,532  

Principal Financial Group, Inc.

    152       9,789  

The Progressive Corp.

    395       35,704  

Prudential Financial, Inc.

    306       32,191  

The Travelers Companies, Inc.

    168       25,538  

W.R. Berkley Corp.

    100       7,318  

Willis Towers Watson PLC

    101       23,478  
              2,465,512  

Internet — 14.4%

Alphabet, Inc. - Class A (1)

    1,659       4,435,370  

Amazon.com, Inc. (1)

    1,367       4,490,650  

Booking Holdings, Inc. (1)

    32       75,964  

CDW Corp.

    109       19,840  

eBay, Inc.

    2,217       154,458  

Etsy, Inc. (1)(2)

    100       20,796  

Expedia Group, Inc. - Class A

    96       15,735  

F5 Networks, Inc. (1)

    62       12,324  

 

 

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

 

 

Gotham Enhanced 500 ETF

 

Portfolio of Investments (Continued)

September 30, 2021

 

   

Number
of Shares

   

Value

 

Common Stocks — (Continued)

Internet — (Continued)

Facebook, Inc. - Class A (1)

    7,713     $ 2,617,715  

Match Group, Inc. (1)

    191       29,985  

Netflix, Inc. (1)

    1,010       616,443  

NortonLifeLock, Inc.

    455       11,512  

Twitter, Inc. (1)

    1,824       110,151  

VeriSign, Inc. (1)

    77       15,786  
              12,626,729  

Iron & Steel — 0.2%

Nucor Corp. (2)

    1,747       172,062  
                 

Leisure Time — 0.0% (3)

Carnival Corp. (2)

    708       17,707  

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

    249       6,651  

Royal Caribbean Cruises Ltd.

    152       13,520  
              37,878  

Lodging — 0.1%

Hilton Worldwide Holdings, Inc. (1)

    223       29,460  

Las Vegas Sands Corp.

    109       3,989  

Marriott International, Inc. (1)

    218       32,284  

MGM Resorts International

    398       17,174  

Wynn Resorts Ltd. (2)

    77       6,526  
              89,433  

Machinery - Construction & Mining — 0.4%

Caterpillar, Inc.

    1,864       357,832  
                 

Machinery - Diversified — 0.4%

Deere & Co. (2)

    240       80,417  

Dover Corp.

    737       114,603  

IDEX Corp.

    51       10,554  

Ingersoll Rand, Inc. (1)

    1,309       65,987  

Otis Worldwide Corp.

    304       25,013  

Rockwell Automation, Inc.

    100       29,404  

Westinghouse Air Brake Technologies Corp. (2)

    122       10,518  

Xylem, Inc.

    134       16,573  
              353,069  

Media — 1.2%

Charter Communications, Inc. - Class A (1)(2)

    420       305,575  

Comcast Corp. - Class A

    3,648       204,033  

Discovery, Inc. - Class A (1)(2)

    456       11,573  

DISH Network Corp. - Class A (1)(2)

    2,988       129,858  

Fox Corp. - Class A

    3,306       132,604  

News Corp. - Class A

    456       10,730  

ViacomCBS, Inc. - Class B

    491       19,399  

 

 

   

Number
of Shares

   

Value

 

Common Stocks — (Continued)

Media — (Continued)

The Walt Disney Co.

    1,216     $ 205,711  
              1,019,483  

Mining — 0.4%

Freeport-McMoRan, Inc.

    8,854       288,021  

Newmont Corp.

    608       33,014  
              321,035  

Miscellaneous Manufacturers — 2.0%

3M Co.

    3,375       592,043  

A.O. Smith Corp.

    124       7,573  

Eaton Corp PLC

    311       46,435  

General Electric Co.

    5,834       601,077  

Illinois Tool Works, Inc.

    249       51,451  

Parker-Hannifin Corp.

    760       212,511  

Textron, Inc.

    1,282       89,496  

Trane Technologies PLC

    1,179       203,554  
              1,804,140  

Office & Business Equipment — 0.0% (3)

Zebra Technologies Corp. (1)

    68       35,049  
                 

Oil & Gas — 2.4%

APA Corp.

    2,164       46,374  

Cabot Oil & Gas Corp.

    304       6,615  

Chevron Corp.

    3,459       350,916  

ConocoPhillips

    912       61,806  

Devon Energy Corp.

    621       22,052  

Diamondback Energy, Inc.

    100       9,467  

EOG Resources, Inc.

    3,209       257,586  

Exxon Mobil Corp.

    11,292       664,195  

Hess Corp.

    1,736       135,599  

Marathon Oil Corp.

    4,435       60,626  

Marathon Petroleum Corp.

    3,717       229,748  

Occidental Petroleum Corp.

    5,458       161,448  

Phillips 66 (2)

    291       20,379  

Pioneer Natural Resources Co.

    143       23,811  

Valero Energy Corp.

    252       17,784  
              2,068,406  

Oil & Gas Services — 0.1%

Baker Hughes Co. - Class A

    620       15,333  

Halliburton Co.

    689       14,896  

Schlumberger NV

    1,078       31,952  
              62,181  

Packaging & Containers — 0.1%

Amcor PLC

    1,216       14,093  

Ball Corp.

    203       18,264  

Packaging Corp. of America

    74       10,171  

Sealed Air Corp. (2)

    121       6,630  

Westrock Co. (2)

    880       43,850  
              93,008  

 

 

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

 

 

Gotham Enhanced 500 ETF

 

Portfolio of Investments (Continued)

September 30, 2021

 

   

Number
of Shares

   

Value

 

Common Stocks — (Continued)

Pharmaceuticals — 6.9%

AbbVie, Inc.

    9,992     $ 1,077,837  

AmerisourceBergen Corp.

    163       19,470  

Becton Dickinson and Co.

    195       47,935  

Bristol-Myers Squibb Co.

    1,643       97,216  

Cardinal Health, Inc.

    195       9,645  

Cigna Corp.

    1,968       393,915  

CVS Health Corp.

    7,499       636,365  

Dexcom, Inc. (1)(2)

    77       42,108  

Eli Lilly & Co. (2)

    659       152,262  

Johnson & Johnson

    8,466       1,367,259  

McKesson Corp.

    926       184,626  

Merck & Co., Inc.

    8,533       640,914  

Organon & Co.

    1,436       47,086  

Pfizer, Inc.

    28,689       1,233,914  

Viatris, Inc.

    787       10,664  

Zoetis, Inc.

    323       62,707  
              6,023,923  

Pipelines — 0.4%

Kinder Morgan, Inc.

    10,568       176,803  

ONEOK, Inc.

    2,541       147,352  

The Williams Companies, Inc.

    1,117       28,975  
              353,130  

Real Estate — 0.0% (3)

CBRE Group, Inc. (1)

    266       25,898  
                 

Real Estate Investment Trusts (REITs) — 1.3%

Alexandria Real Estate Equities, Inc.

    305       58,276  

American Tower Corp.

    1,003       266,206  

AvalonBay Communities, Inc.

    92       20,391  

Boston Properties, Inc.

    100       10,835  

Crown Castle International Corp.

    978       169,507  

Digital Realty Trust, Inc.

    191       27,590  

Duke Realty Corp.

    229       10,962  

Equinix, Inc.

    70       55,309  

Equity Residential

    229       18,531  

Essex Property Trust, Inc.

    51       16,307  

Extra Space Storage, Inc.

    88       14,783  

Federal Realty Investment Trust (2)

    51       6,018  

Healthpeak Properties, Inc.

    348       11,651  

Host Hotels & Resorts, Inc.

    456       7,447  

Iron Mountain, Inc.

    152       6,605  

Kimco Realty Corp.

    419       8,694  

Mid-America Apartment Communities, Inc.

    75       14,006  

Prologis, Inc.

    499       62,590  

Public Storage

    114       33,869  

Realty Income Corp.

    249       16,150  

 

 

   

Number
of Shares

   

Value

 

Common Stocks — (Continued)

Real Estate Investment Trusts — (REITs (Continued)

Regency Centers Corp. (2)

    100     $ 6,733  

SBA Communications Corp.

    247       81,651  

Simon Property Group, Inc.

    220       28,593  

UDR, Inc.

    199       10,543  

Ventas, Inc.

    229       12,643  

Vornado Realty Trust

    100       4,201  

Welltower, Inc. (2)

    277       22,825  

Weyerhaeuser Co. (2)

    4,402       156,579  
              1,159,495  

Retail — 7.2%

Advance Auto Parts, Inc.

    409       85,436  

AutoZone, Inc. (1)

    120       203,759  

Bath & Body Works, Inc. (1)

    1,491       93,978  

Best Buy Co., Inc.

    1,583       167,339  

CarMax, Inc. (1)

    100       12,796  

Chipotle Mexican Grill, Inc. (1)

    22       39,985  

Costco Wholesale Corp.

    298       133,906  

Darden Restaurants, Inc.

    130       19,691  

Dollar General Corp.

    181       38,397  

Dollar Tree, Inc. (1)

    40       3,829  

Domino’s Pizza, Inc.

    32       15,263  

The Gap, Inc.

    1,968       44,674  

Genuine Parts Co.

    811       98,318  

The Home Depot, Inc.

    4,062       1,333,392  

Lowe’s Companies, Inc.

    3,682       746,930  

McDonald’s Corp.

    1,661       400,484  

O’Reilly Automotive, Inc. (1)

    391       238,924  

Ross Stores, Inc.

    243       26,451  

Starbucks Corp.

    802       88,469  

Target Corp.

    2,765       632,549  

The TJX Companies, Inc.

    811       53,510  

Tractor Supply Co. (2)

    77       15,601  

Ulta Beauty, Inc. (1)

    312       112,607  

Walgreens Boots Alliance, Inc.

    608       28,606  

Walmart, Inc.

    10,593       1,476,452  

Yum! Brands, Inc.

    1,668       204,013  
              6,315,359  

Savings & Loans — 0.0% (3)

People’s United Financial, Inc.

    229       4,001  
                 

Semiconductors — 4.3%

Advanced Micro Devices, Inc. (1)

    811       83,452  

Analog Devices, Inc.

    292       48,904  

Applied Materials, Inc.

    5,246       675,318  

Broadcom, Inc.

    294       142,569  

Intel Corp.

    22,128       1,178,980  

IPG Photonics Corp. (1)

    51       8,078  

KLA Corp.

    357       119,420  

Lam Research Corp.

    808       459,873  

 

 

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

 

 

Gotham Enhanced 500 ETF

 

Portfolio of Investments (Continued)

September 30, 2021

 

   

Number
of Shares

   

Value

 

Common Stocks — (Continued)

Semiconductors — (Continued)

Microchip Technology, Inc.

    190     $ 29,163  

Micron Technology, Inc. (2)

    4,410       313,022  

Monolithic Power Systems, Inc.

    30       14,540  

NVIDIA Corp.

    1,672       346,372  

NXP Semiconductors NV

    217       42,504  

Qorvo, Inc. (1)

    100       16,719  

QUALCOMM, Inc.

    898       115,824  

Skyworks Solutions, Inc.

    100       16,478  

Teradyne, Inc.

    117       12,773  

Texas Instruments, Inc.

    743       142,812  

Xilinx, Inc.

    152       22,951  
              3,789,752  

Shipbuilding — 0.0% (3)

Huntington Ingalls Industries, Inc.

    22       4,247  
                 

Software — 10.3%

Activision Blizzard, Inc.

    52       4,024  

Adobe, Inc. (1)

    1,082       622,929  

Akamai Technologies, Inc. (1)

    100       10,459  

ANSYS, Inc. (1)

    208       70,814  

Autodesk, Inc. (1)

    498       142,015  

Broadridge Financial Solutions, Inc.

    77       12,831  

Cadence Design Systems, Inc. (1)

    625       94,650  

Cerner Corp.

    235       16,572  

Citrix Systems, Inc.

    81       8,697  

Electronic Arts, Inc.

    659       93,743  

Fidelity National Information Services, Inc.

    33       4,015  

Fiserv, Inc. (1)(2)

    456       49,476  

Intuit, Inc.

    184       99,270  

Jack Henry & Associates, Inc.

    51       8,367  

Microsoft Corp.

    20,400       5,751,168  

MSCI, Inc.

    66       40,150  

Oracle Corp. (2)

    7,528       655,915  

Paychex, Inc.

    2,031       228,386  

Paycom Software, Inc. (1)

    51       25,283  

PTC, Inc. (1)

    77       9,224  

Roper Technologies, Inc.

    240       107,071  

salesforce.com, Inc. (1)

    2,211       599,667  

ServiceNow, Inc. (1)

    452       281,266  

Synopsys, Inc. (1)

    343       102,698  

Take-Two Interactive Software, Inc. (1)

    27       4,160  

Tyler Technologies, Inc. (1)

    32       14,677  
              9,057,527  

 

 

   

Number
of Shares

   

Value

 

Common Stocks — (Continued)

Telecommunications — 4.0%

Arista Networks, Inc. (1)

    51     $ 17,526  

AT&T, Inc.

    32,482       877,339  

Cisco Systems, Inc.

    24,277       1,321,397  

Corning, Inc. (2)

    4,715       172,050  

Juniper Networks, Inc.

    256       7,045  

Lumen Technologies, Inc. (2)

    760       9,417  

Motorola Solutions, Inc.

    112       26,020  

T-Mobile US, Inc. (1)

    912       116,517  

Verizon Communications, Inc.

    17,211       929,566  
              3,476,877  

Textiles — 0.1%

Mohawk Industries, Inc. (1)

    456       80,894  
                 

Toys, Games & Hobbies — 0.0% (3)

Hasbro, Inc.

    91       8,119  
                 

Transportation — 2.5%

C.H. Robinson Worldwide, Inc.

    104       9,048  

CSX Corp.

    12,505       371,899  

Expeditors International of Washington, Inc.

    954       113,650  

FedEx Corp.

    18       3,947  

J.B. Hunt Transport Services, Inc.

    77       12,876  

Kansas City Southern (2)

    58       15,697  

Norfolk Southern Corp.

    1,130       270,353  

Old Dominion Freight Line, Inc.

    91       26,024  

Union Pacific Corp.

    2,920       572,349  

United Parcel Service, Inc. - Class B

    4,334       789,221  
              2,185,064  

Water — 0.0% (3)

American Water Works Co., Inc.

    121       20,454  

TOTAL COMMON STOCKS

               

(Cost $87,587,057)

            87,617,977  
                 

SHORT-TERM INVESTMENTS — 0.2%

MONEY MARKET FUNDS — 0.2%

First American Government Obligations Fund - Class X, 0.026% (4)

    152,674       152,674  

TOTAL SHORT-TERM INVESTMENTS

               

(Cost $152,674)

            152,674  
                 

 

 

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

 

 

Gotham Enhanced 500 ETF

 

Portfolio of Investments (Concluded)

September 30, 2021

 

   

Number
of Shares

   

Value

 

INVESTMENTS PURCHASED WITH COLLATERAL FROM SECURITIES LENDING — 4.3%

Mount Vernon Liquid Assets Portfolio, LLC, 0.090% (4)

    3,780,082     $ 3,780,082  

TOTAL INVESTMENTS PURCHASED WITH COLLATERAL FROM SECURITIES LENDING

               

(Cost $3,780,082)

            3,780,082  
                 

TOTAL INVESTMENTS IN SECURITIES — 104.3%

(Cost $91,519,813)

            91,550,733  
                 

LIABILITIES IN EXCESS OF OTHER ASSETS — (4.3%)

            (3,752,212 )

TOTAL NET ASSETS — 100.0%

          $ 87,798,521  

 

 

(1)

Non-income producing security.

(2)

This security or a portion of this security was out on loan as of September 30, 2021. Total loaned securities had a value of $3,631,593 or 4.1% of net assets as of September 30, 2021. 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 September 30, 2021.

 

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

 

 

Gotham Enhanced 500 ETF

 

Statement of Assets and Liabilities

September 30, 2021

 

Assets:

       

Investments in securities, at value (Cost $91,519,813) (Note 2) (1)

  $ 91,550,733  

Receivables:

       

Investment securities sold

    2,819,978  

Dividends and interest receivable

    51,360  

Securities lending income, net (Note 5)

    117  

Total assets

    94,422,188  
         

Liabilities:

       

Collateral received for securities loaned (Note 5)

    3,780,082  

Payables:

       

Investment securities purchased

    2,814,230  

Management fees (Note 4)

    29,355  

Total liabilities

    6,623,667  

Net Assets

  $ 87,798,521  
         

Components of Nets Assets:

       

Paid-in capital

  $ 87,630,485  

Total distributable (accumulated) earnings (losses)

    168,036  

Net assets

  $ 87,798,521  
         

Net Asset Value (unlimited shares authorized):

       

Net assets

  $ 87,798,521  

Shares of beneficial interest issued and outstanding

    3,800,000  

Net asset value

  $ 23.10  

 

 

(1)

Includes loaned securities with a value of $3,631,593.

 

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

 

 

Gotham Enhanced 500 ETF

 

Statement of Operations

For the Period Ended September 30, 2021 (1)

 

Investment Income:

       

Dividend income(2)

  $ 375,941  

Securities lending income (Note 5)

    675  

Interest income

    12  

Total investment income

    376,628  
         

Expenses:

       

Management fees (Note 4)

    156,351  

Total expenses

    156,351  

Less: Management fee wavier (Note 4)

    (36,081 )

Net expenses

    120,270  

Net investment income (loss)

    256,358  
         

Realized and Unrealized Gain (Loss) on Investments:

       

Net realized gain (loss) on investments

    (119,242 )

Change in net unrealized appreciation/depreciation on investments

    30,920  

Net realized and unrealized gain (loss) on investments

    (88,322 )

Net increase (decrease) in net assets resulting from operations

  $ 168,036  

 

 

(1)

The Fund commenced operations on December 28, 2020. The information presented is from December 28, 2020 to September 30, 2021.

(2)

Net of dividend tax withheld of $68.

 

The accompanying notes are an integral part of the financial statements.
15

 

 

Gotham Enhanced 500 ETF

 

Statement of Changes in Net Assets

 

   

Period Ended
September 30,
2021
(1)

 

Increase (Decrease) in Net Assets From:

       

Operations:

       

Net investment income (loss)

  $ 256,358  

Net realized gain (loss) on investments

    (119,242 )

Change in net unrealized appreciation/depreciation on investments

    30,920  

Net increase (decrease) in net assets resulting from operations

    168,036  
         

Distributions to Shareholders:

       

Net distributions to shareholders

     
         

Capital Share Transaction:

       

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

    87,630,485  

Total increase (decrease) in net assets

    87,798,521  
         

Net Assets:

       

Beginning of period

     

End of period

  $ 87,798,521  

 

 

(1)

The Fund commenced operations on December 28, 2020. The information presented is from December 28, 2020 to September 30, 2021.

(2)

Summary of share transactions is as follows:

 

   

Period Ended
September 30, 2021
(1)

 
   

Shares

   

Value

 

Shares sold

    3,800,000     $ 87,630,485  

Shares redeemed

           

Net increase (decrease)

    3,800,000     $ 87,630,485  

 

The accompanying notes are an integral part of the financial statements.
16

 

 

Gotham Enhanced 500 ETF

 

Financial Highlights

 

   

Period Ended
September 30,
2021
(1)

 

Net asset value, beginning of period

  $ 20.00  
         

Income from Investment Operations:

       

Net investment income (loss) (2)

    0.19  

Net realized and unrealized gain (loss) on investments

    2.91  

Total from investment operations

    3.10  
         

Less Distributions:

       

From net investment income

     

Total distributions

     
         

Net asset value, end of period

  $ 23.10  

Total Return (3)(4)

    15.53 %
         

Rations/ Supplemental Data:

       

Net assets, end of period (millions)

  $ 87.8  

Portfolio turnover rate (3)

    36 %

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)

    0.92 %

After management fees waived (5)

    1.07 %

 

 

(1)

The Fund commenced operations on December 28, 2020. The information presented is from December 28, 2020 to September 30, 2021.

(2)

Calculated using average shares outstanding method.

(3)

Not annualized.

(4)

The total return is based on the Fund’s net asset value. Additional performance information is presented in the Performance Data.

(5)

Annualized.

 

The accompanying notes are an integral part of the financial statements.
17

 

 

Gotham Enhanced 500 ETF

 

Notes to Financial Statements

September 30, 2021

 

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 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 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.

 

18

 

 

Gotham Enhanced 500 ETF

 

Notes to Financial Statements (Continued)

September 30, 2021

 

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 September 30, 2021:

 

Investments in Securities

 

Investments
Measured
at Net Asset
Value

   

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks (1)

  $     $ 87,617,977     $     $     $ 87,617,977  

Short-Term Investments

          152,674                   152,674  

Investments Purchased With Collateral From Securities Lending (2)

    3,780,082                         3,780,082  

Total Investments in Securities

  $ 3,780,082     $ 87,770,651     $     $     $ 91,550,733  

 

 
 

(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 September 30, 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. Debt income

 

19

 

 

Gotham Enhanced 500 ETF

 

Notes to Financial Statements (Continued)

September 30, 2021

 

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 that are assets 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.

 

20

 

 

Gotham Enhanced 500 ETF

 

Notes to Financial Statements (Continued)

September 30, 2021

 

 

J.

Reclassification of Capital Accounts. U.S. GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or NAV per share. These differences are primarily due to adjustments for redemptions in-kind. For the period ended September 30, 2021, there were no adjustments that needed to be made to the Fund.

 

The Fund may realize net capital gains resulting from in-kind redemptions, in which shareholders exchange Fund shares for securities held by the Fund rather than for cash. Because such gains are not taxable to the Fund, and are not distributed to shareholders, they would be reclassified from undistributed gains to paid-in-capital. During the period ended September 30, 2021, the Fund did not realize any net capital gains resulting from in-kind redemptions.

 

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 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. Shares are listed on the NYSE Arca, Inc. (the “Exchange”), and although Shares 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.

 

21

 

 

Gotham Enhanced 500 ETF

 

Notes to Financial Statements (Continued)

September 30, 2021

 

 

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.

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 a reduced unitary Management Fee of 0.50% 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 September 30, 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, 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 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 is also 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.

 

22

 

 

Gotham Enhanced 500 ETF

 

Notes to Financial Statements (Continued)

September 30, 2021

 

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 Tidal (defined below), which is an affiliate of the Adviser.

 

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 a trustee of the Trust are affiliated with the Adviser and Fund Services. Neither the affiliated trustee nor 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 September 30, 2021, the market value of the securities on loan and payable on collateral received for securities lending were as follows:

 

Fund

Market Value
of Securities
on Loan

Payable on
Collateral
Received

Percentage
of Net Assets
of Securities
on Loan

Gotham Enhanced 500 ETF

$3,631,593

$3,780,082

4.1%

 

As of September 30, 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 its 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.

 

23

 

 

Gotham Enhanced 500 ETF

 

Notes to Financial Statements (Continued)

September 30, 2021

 

During the period ended September 30, 2021, the Fund loaned securities that were collateralized by cash. The cash collateral received was invested in the Mount Vernon Liquid Assets Portfolio, LLC as listed in the Fund’s Schedule of Investments. Securities lending income is disclosed in the Fund’s Statement of Operations.

 

The Funds are not subject to a master netting agreement with respect to each Fund’s participation in securities lending; therefore, no additional disclosures regarding netting arrangements are required.

 

Note 6 – Purchase and Sales of Securities

 

For the period ended September 30, 2021, the cost of purchases and proceeds from the sales or maturities of securities, excluding short-term investments, U.S. government securities, and in-kind transactions were $18,394,634 and $12,717,809, respectively.

 

For the period ending September 30, 2021, there were no purchases or sales of long term U.S. Government securities.

 

For the period ended September 30, 2021, in-kind transactions associated with creations and redemptions for the funds were $82,032,747 and $0, respectively.

 

Note 7 – Income Taxes And Distributions To Shareholders

 

The tax character of distributions paid during the period ended September 30, 2021 is as follows:

 

Distributions paid from:

September 30,
2021

Ordinary income

$ —

 

As of the period ended September 30, 2021, the components of accumulated earnings/(losses) on a tax basis were as follows:

 

Cost of investments (1)

  $ 91,663,705  

Gross tax unrealized appreciation

    2,678,927  

Gross tax unrealized depreciation

    (2,791,899 )

Net tax unrealized appreciation (depreciation)

    (112,972 )

Undistributed ordinary income (loss)

    279,396  

Undistributed long-term capital gain (loss)

    1,612  

Total distributable earnings

    281,008  

Other accumulated gain (loss)

     

Total accumulated gain (loss)

  $ 168,036  

 

 
 

(1)

The difference between book and tax-basis cost of investments was attributable primarily to the treatment of wash sales.

 

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. As of September 30, 2021, the Fund had no late year losses and had no short-term 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 large blocks of shares (“Creation Units”). Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once

 

24

 

 

Gotham Enhanced 500 ETF

 

Notes to Financial Statements (Concluded)

September 30, 2021

 

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.

 

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.

 

25

 

 

Gotham Enhanced 500 ETF

 

Report of Independent Registered Public Accounting Firm

 

To the Shareholders of
Gotham Enhanced 500 ETF and The Board of Trustees of
Tidal ETF Trust

 

Opinion on the Financial Statements

 

We have audited the accompanying statement of assets and liabilities of Gotham Enhanced 500 ETF (the “Fund”), a series of Tidal ETF Trust (the “Trust”), including the schedule of investments, as of September 30, 2021, the related statement of operations, the statement of changes in net assets and the financial highlights for the period December 28, 2020 (commencement of operations) to September 30, 2021, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of September 30, 2021, the results of its operations, the changes in its net assets and the financial highlights for the period December 28, 2020 to September 30, 2021, in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

 

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We have served as the auditor of one or more of the funds in the Trust since 2018.

 

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

 

Our audit included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021, by correspondence with the custodian and brokers, or through other appropriate auditing procedures when replies from brokers were unable to be obtained. We believe that our audit provides a reasonable basis for our opinion.

 

 

 

TAIT, WELLER & BAKER LLP

Philadelphia, Pennsylvania
November 23, 2021

 

 

26

 

 

Gotham Enhanced 500 ETF

 

Trustees and Executive Officers

(Unaudited)

 

Name, Address and
Year of Birth

Position
Held with the Trust

Term of Office and Length of Time Served

Principal Occupation(s) During Past 5 Years

Number of Portfolios
in Fund Complex

Overseen
by Trustee

Other Directorships Held by Trustee During Past 5 Years

Independent Trustees (1)

         

Mark H.W. Baltimore

c/o Tidal ETF Services, LLC

898 N. Broadway, Suite 2

Massapequa, New York 11758

Born: 1967

Trustee

Indefinite term; since 2018

Co-Chief Executive Officer, Global Rhino, LLC (asset management consulting firm) (since 2018); Chief Business Development Officer, Joot (asset management compliance services firm) (since 2019); Chief Executive Officer, Global Sight, LLC (asset management distribution consulting firm) (2016-2018); Head of Global Distribution Services, Foreside Financial Group, LLC (broker-dealer) (2016); Managing Director, Head of Global Distribution Services, Beacon Hill Fund Services (broker-dealer) (2015–2016).

28

None

Dusko Culafic

c/o Tidal ETF Services, LLC

898 N. Broadway, Suite 2

Massapequa, New York 11758

Born: 1958

Trustee

Indefinite term; since 2018

Retired (since 2018); Senior Operational Due Diligence Analyst, Aurora Investment Management, LLC (2012–2018).

28

None

Eduardo Mendoza

c/o Tidal ETF Services, LLC

898 N. Broadway, Suite 2

Massapequa, New York 11758

Born: 1966

Trustee

Indefinite term; since 2018

Executive Vice President - Head of Capital Markets & Corporate Development, Credijusto (financial technology company) (since 2017); Founding Partner / Capital Markets & Head of Corporate Development, SQN Latina (specialty finance company) (2016–2017).

28

None

 

 

27

 

 

Gotham Enhanced 500 ETF

 

Trustees and Executive Officers (Continued)

(Unaudited)

 

Name, Address and
Year of Birth

Position
Held with the Trust

Term of Office and Length of Time Served

Principal Occupation(s) During Past 5 Years

Number of Portfolios
in Fund Complex

Overseen
by Trustee

Other Directorships Held by Trustee During Past 5 Years

Interested Trustee and Executive Officer

Eric W. Falkeis (2)

c/o Tidal ETF Services, LLC

898 N. Broadway, Suite 2

Massapequa, New York 11758

Born: 1973

President, Principal Executive Officer, Trustee, Chairman, and Secretary

President and Principal Executive Officer since 2019, Indefinite term; Trustee, Chairman, and Secretary since 2018, Indefinite term

Chief Executive Officer, Tidal ETF Services LLC (since 2018); Chief Operating Officer (and other positions), Rafferty Asset Management, LLC (2013-2018) and Direxion Advisors, LLC (2017-2018).

28

Independent Director, Muzinich BDC, Inc. (since 2019); Trustee, Professionally Managed Portfolios (27 series) (since 2011); Interested Trustee, Direxion Funds, Direxion Shares ETF Trust, and Direxion Insurance Trust (2014–2018).

Executive Officers

Daniel H. Carlson

c/o Tidal ETF Services, LLC

898 N. Broadway, Suite 2

Massapequa, New York 11758

Born: 1955

Treasurer, Principal Financial Officer, Principal Accounting Officer, and AML Compliance Officer

Indefinite term; since 2018

Chief Financial Officer, Chief Compliance Officer, and Managing Member, Toroso Investments, LLC (since 2012).

Not Applicable

Not Applicable

 

 

28

 

 

Gotham Enhanced 500 ETF

 

Trustees and Executive Officers (Continued)

(Unaudited)

 

Name, Address and
Year of Birth

Position
Held with the Trust

Term of Office and Length of Time Served

Principal Occupation(s) During Past 5 Years

Number of Portfolios
in Fund Complex

Overseen
by Trustee

Other Directorships Held by Trustee During Past 5 Years

William H. Woolverton, Esq.

c/o Cipperman Compliance Services, LLC

480 E. Swedesford Road, Suite 220

Wayne, PA 19087

Born: 1951

Chief Compliance Officer

Indefinite term; since 2021

Senior Compliance Advisor, Cipperman Compliance Services, LLC (since 2020); Operating Partner, Altamont Capital Partners (private equity firm) (2021 to present); Managing Director and Head of Legal – US, Waystone (global governance solutions) (2016 to 2019).

Not Applicable

Not Applicable

Aaron J. Perkovich

c/o U.S. Bancorp Fund Services, LLC
615 East Michigan Street

Milwaukee, Wisconsin 53202

Born: 1973

Assistant Treasurer

Indefinite term; since 2018

Vice President, U.S. Bancorp Fund Services, LLC (since 2006).

Not Applicable

Not Applicable

Cory R. Akers

c/o U.S. Bancorp Fund Services, LLC
615 East Michigan Street

Milwaukee, Wisconsin 53202

Born: 1978

Assistant Secretary

Indefinite term; since 2019

Assistant Vice President, U.S. Bancorp Fund Services, LLC (since 2006).

Not Applicable

Not Applicable

 

(1)

All Independent Trustees of the Trust are not “interested persons” of the Trust as defined under the 1940 Act (“Independent Trustees”).

 

(2)

Mr. Falkeis is considered an “interested person” of the Trust due to his positions as President, Principal Executive Officer, Chairman and Secretary of the Trust, and Chief Executive Officer of Tidal ETF Services LLC, an affiliate of the Adviser.

 

29

 

 

Gotham Enhanced 500 ETF

 

Other Information

(Unaudited)

 

Qualified Dividend Income/Dividends Received Deduction (Unaudited)

 

For the year ended September 30, 2021, certain dividends paid by the Fund may be subject to a maximum tax rate of 20%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and the Tax Cuts and Jobs Act of 2017.

 

The percentage of dividends declared from ordinary income designated as qualified dividend income for the period ended September 30, 2021 was 0.00%.

 

For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the period ended September 30, 2021, was 0.00%.

 

The percentage of taxable ordinary income distributions that are designated as short-term capital gain distribution under Internal Revenue Section 871(k)(2)(c) for the period ended September 30, 2021, was 0.00%.

 

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.

 

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’s portfolio holdings are posted on the Fund’s website daily at www.GothamETFs.com/GSPY. 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.

 

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 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.

 

30

 

 

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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

 

Independent Registered Public Accounting Firm

Tait, Weller & Baker LLP
Two Liberty Place
50 South 16th Street, Suite 2900
Philadelphia, Pennsylvania 19102

 

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.

 

The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. The registrant has not made any amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.

 

A copy of the registrant’s Code of Ethics is filed herewith.

 

Item 3. Audit Committee Financial Expert.

 

The registrant’s Board of Trustees of the Trust has determined that there is at least one audit committee financial expert serving on its audit committee. Mr. Dusko Culafic is the “audit committee financial expert” and is considered to be “independent” as each term is defined in Item 3 of Form N-CSR.

 

Item 4. Principal Accountant Fees and Services.

 

The registrant has engaged its principal accountant to perform audit services, audit-related services, tax services and other services during the past fiscal year. “Audit services” refer to performing an audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. “Audit-related services” refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. “Tax services” refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. There were no “Other services” provided by the principal accountant. The following table details the aggregate fees billed or expected to be billed for the last fiscal year for audit fees, audit-related fees, tax fees and other fees by the principal accountant.

 

Gotham Enhanced 500 ETF

 

  FYE 09/30/2021 FYE 09/30/2020
Audit Fees $12,500 N/A
Audit-Related Fees N/A N/A
Tax Fees $2,500 N/A
All Other Fees N/A N/A

 

The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.

 

 

The percentage of fees billed by Tait Weller & Baker LLP applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:

 

Non-Audit Related Fees FYE 09/30/2021 FYE 09/30/2020
Registrant N/A N/A
Registrant’s Investment Adviser N/A N/A

 

All of the principal accountant’s hours spent on auditing the registrant’s financial statements were attributed to work performed by full-time permanent employees of the principal accountant.

 

The following table indicates the non-audit fees billed or expected to be billed by the registrant’s accountant for services to the registrant and to the registrant’s investment adviser (and any other controlling entity, etc.—not sub-adviser) for the last year. The audit committee of the board of trustees/directors has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser is compatible with maintaining the principal accountant's independence and has concluded that the provision of such non-audit services by the accountant has not compromised the accountant’s independence.

 

Non-Audit Related Fees FYE 09/30/2021 FYE 09/30/2020
Registrant N/A N/A
Registrant’s Investment Adviser N/A N/A

 

Item 5. Audit Committee of Listed Registrants.

 

The registrant is an issuer as defined in Rule 10A-3 under the Securities Exchange Act of 1934, (the “Act”) and has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Act. The independent members of the committee are as follows: Dusko Culafic, Eduardo Mendoza, and Mark H.W. Baltimore.

 

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. Filed herewith.

 

(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 12/7/2021  

 

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 12/7/2021  
     
By (Signature and Title)* /s/ Daniel Carlson  
  Daniel Carlson, Treasurer/Principal Financial Officer  
     
Date 12/8/2021  

 

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