| AltShares Merger Arbitrage ETF | Portfolio of Investments |
| August 31, 2023 (unaudited) |
| Shares | Value | |||||||
| COMMON STOCKS - 90.92% | ||||||||
| Advertising - 1.45% | ||||||||
| Quotient Technology, Inc.(a) | 266,462 | $ | 1,063,183 | |||||
| Aerospace & Defense - 0.50% | ||||||||
| OHB SE | 7,848 | 364,227 | ||||||
| Apparel - 3.77% | ||||||||
| Capri Holdings Ltd.(a)(b) | 52,620 | 2,762,024 | ||||||
| Banks - 3.35% | ||||||||
| American National Bankshares, Inc.(b) | 17,195 | 674,044 | ||||||
| Home Capital Group, Inc. | 36,674 | 1,201,296 | ||||||
| Lakeland Bancorp, Inc. | 42,755 | 577,620 | ||||||
| 2,452,960 | ||||||||
| Biotechnology - 7.34% | ||||||||
| Horizon Therapeutics PLC(a)(b) | 26,294 | 2,964,385 | ||||||
| Seagen, Inc.(a)(b) | 11,684 | 2,407,722 | ||||||
| 5,372,107 | ||||||||
| Commercial Services - 0.57% | ||||||||
| Caverion Oyj | 44,536 | 420,146 | ||||||
| Computers & Computer Services - 0.67% | ||||||||
| Ordina NV | 78,840 | 490,714 | ||||||
| Distribution/Wholesale - 2.90% | ||||||||
| Veritiv Corp.(b) | 12,625 | 2,125,166 | ||||||
| Diversified Financial Services - 3.73% | ||||||||
| Focus Financial Partners, Inc., Class A(a) | 40,438 | 2,143,214 | ||||||
| Greenhill & Co., Inc. | 27,466 | 405,123 | ||||||
| Numis Corp. PLC | 42,602 | 180,254 | ||||||
| 2,728,591 | ||||||||
| Electric - 1.44% | ||||||||
| TransAlta Renewables, Inc. | 108,368 | 1,054,647 | ||||||
| Electronics - 3.80% | ||||||||
| National Instruments Corp.(b) | 46,658 | 2,780,817 | ||||||
| Energy - Alternate Sources - 0.34% | ||||||||
| Opdenergy Holdings SA(a) | 40,261 | 251,028 | ||||||
| Environmental Control - 2.46% | ||||||||
| Heritage-Crystal Clean, Inc.(a)(b) | 39,907 | 1,799,806 | ||||||
| Food - 1.93% | ||||||||
| Albertsons Cos., Inc., Class A(b) | 63,010 | 1,411,424 | ||||||
| Food Service - 2.90% | ||||||||
| Sovos Brands, Inc.(a) | 94,919 | 2,126,186 | ||||||
| Healthcare - Services - 5.85% | ||||||||
| Amedisys, Inc.(a) | 22,826 | 2,139,938 | ||||||
| Syneos Health, Inc.(a)(b) | 50,274 | 2,148,208 | ||||||
| 4,288,146 | ||||||||
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| August 31, 2023 (unaudited) |
| Shares | Value | |||||||
| COMMON STOCKS - 90.92% (Continued) | ||||||||
| Insurance - 0.26% | ||||||||
| Curtis Banks Group PLC | 45,029 | $ | 187,671 | |||||
| Investment Company Security - 1.43% | ||||||||
| Gresham House PLC | 77,936 | 1,046,530 | ||||||
| Iron/Steel - 0.53% | ||||||||
| Kloeckner & Co. SE | 37,293 | 390,638 | ||||||
| Machinery - Diversified - 2.60% | ||||||||
| CIRCOR International, Inc.(a) | 34,186 | 1,903,818 | ||||||
| Miscellaneous Manufacturing - 2.61% | ||||||||
| Chase Corp.(b) | 15,116 | 1,912,174 | ||||||
| Oil & Gas - 3.82% | ||||||||
| Denbury, Inc.(a) | 30,528 | 2,795,754 | ||||||
| Pharmaceuticals - 7.57% | ||||||||
| Dechra Pharmaceuticals PLC | 58,397 | 2,815,575 | ||||||
| Reata Pharmaceuticals, Inc., Class A(a)(b) | 16,161 | 2,731,209 | ||||||
| 5,546,784 | ||||||||
| Pipelines - 5.85% | ||||||||
| Holly Energy Partners LP(b) | 81,272 | 1,731,094 | ||||||
| Magellan Midstream Partners LP | 38,498 | 2,557,037 | ||||||
| 4,288,131 | ||||||||
| Real Estate - 2.50% | ||||||||
| Radius Global Infrastructure, Inc., Class A(a) | 122,764 | 1,831,639 | ||||||
| Real Estate Investment Trusts - 1.00% | ||||||||
| Necessity Retail REIT, Inc. | 98,111 | 735,833 | ||||||
| Retail - 3.14% | ||||||||
| Fiesta Restaurant Group, Inc.(a) | 61,140 | 514,187 | ||||||
| Lookers PLC | 1,092,774 | 1,785,780 | ||||||
| 2,299,967 | ||||||||
| Software - 16.61% | ||||||||
| Avid Technology, Inc.(a)(b) | 80,324 | 2,141,438 | ||||||
| Kahoot! ASA(a) | 330,264 | 1,071,711 | ||||||
| New Relic, Inc.(a)(b) | 32,524 | 2,768,117 | ||||||
| Sciplay Corp., Class A(a) | 79,081 | 1,795,139 | ||||||
| SimCorp AS | 14,636 | 1,557,701 | ||||||
| Software AG(a) | 60,297 | 2,079,182 | ||||||
| Tabula Rasa HealthCare, Inc.(a) | 72,893 | 748,611 | ||||||
| 12,161,899 | ||||||||
| Telecommunications - 0.00%(c) | ||||||||
| GCI Liberty, Inc.(a)(d) | 2,728 | — | ||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $65,445,720) | 66,592,010 | |||||||
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| August 31, 2023 (unaudited) |
| Yield | Shares | Value | ||||||||||
| SHORT-TERM INVESTMENTS - 6.56% | ||||||||||||
| Money Market Funds | ||||||||||||
| Morgan Stanley Institutional Liquidity Fund - Government Portfolio | 5.250 | %(e) | 2,404,232 | $ | 2,404,232 | |||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class | 5.393 | %(e) | 2,404,232 | 2,404,232 | ||||||||
| 4,808,464 | ||||||||||||
| TOTAL SHORT-TERM INVESTMENTS | ||||||||||||
| (Cost $4,808,464) | 4,808,464 | |||||||||||
| Total Investments - 97.48% | ||||||||||||
| (Cost $70,254,184) | 71,400,474 | |||||||||||
| Other Assets in Excess of Liabilities - 2.52%(f) | 1,842,981 | |||||||||||
| NET ASSETS - 100.00% | $ | 73,243,455 | ||||||||||
| Portfolio Footnotes | |
| (a) | Non-income-producing security. |
| (b) | Security, or a portion of security, is being held as collateral for short sales, swaps or forward foreign currency exchange contracts. At August 31, 2023, the aggregate fair market value of those securities was $ 22,192,836 representing 30.30% of net assets. |
| (c) | Less than 0.005% of net assets. |
| (d) | Security fair valued using significant unobservable inputs and classified as a Level 3 security. As of August 31, 2023, the total fair market value of these securities was $0, representing 0.0% of net assets. |
| (e) | Rate shown is the 7-day effective yield as of August 31, 2023. |
| (f) | Includes cash held as collateral for short sales. |
| SCHEDULE OF SECURITIES SOLD SHORT | Shares | Value | ||||||
| SECURITIES SOLD SHORT - (0.36%) | ||||||||
| COMMON STOCKS SOLD SHORT - (0.36%) | ||||||||
| Banks - (0.36%) | ||||||||
| Atlantic Union Bankshares Corp. | (8,984 | ) | $ | (266,735 | ) | |||
| TOTAL SECURITIES SOLD SHORT | ||||||||
| (Proceeds $264,223) | $ | (266,735 | ) | |||||
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| August 31, 2023 (unaudited) |
EQUITY SWAP CONTRACTS
| Swap Counterparty/ Payment Frequency | Reference Obligation | Rate Paid/Received by the Fund | Termination Date | Upfront Payments Made | Upfront Payments Received | Market Value | Notional Amount | Unrealized Appreciation | |||||||||||||||||
| Morgan Stanley & Co./ Upon Termination | HF Sinclair Corp. | Received 1 Month-Federal Rate Minus 40bps (-4.930%) | 05/06/2024 | $ | — | $ | — | $ | 16,293 | USD | 1,426,652 | $ | 16,293 | ||||||||||||
| Morgan Stanley & Co./ Upon Termination | Provident Financial Services, Inc. | Received 1 Month-Federal Rate Minus 40bps (-4.930%) | 05/06/2024 | — | 168 | 34,632 | USD | 620,792 | 34,800 | ||||||||||||||||
| Morgan Stanley & Co./ Upon Termination | TransAlta Corp. | Received CDOR 1 Month Rate Minus 40bps (-4.600%) | 08/22/2025 | — | — | 16,792 | CAD | 635,782 | 16,792 | ||||||||||||||||
| $ | 67,717 | $ | 67,885 | ||||||||||||||||||||||
| Swap Counterparty/ Payment Frequency | Reference Obligation | Rate Paid/Received by the Fund | Termination Date | Upfront Payments Made | Upfront Payments Received | Market Value | Notional Amount | Unrealized Depreciation | |||||||||||||||||
| Morgan Stanley & Co./ Upon Termination | Atlantic Union Bankshares Corp. | Received 1 Month-Federal Rate Minus 40bps (-4.930%) | 05/06/2024 | $ | — | $ | — | $ | (3,881 | ) | USD | 418,579 | $ | (3,881 | ) | ||||||||||
| Morgan Stanley & Co./ Upon Termination | Global Net Lease, Inc. | Received 1 Month-Federal Rate Minus 40bps (-4.930%) | 05/06/2024 | — | — | (55,913 | ) | USD | 690,168 | (55,913 | ) | ||||||||||||||
| Morgan Stanley & Co./ Upon Termination | ONEOK, Inc. | Received 1 Month-Federal Rate Minus 40bps (-4.930%) | 05/06/2024 | — | — | (98,659 | ) | USD | 1,575,546 | (98,659 | ) | ||||||||||||||
| Morgan Stanley & Co./ Upon Termination | Exxon Mobil Corp. | Received 1 Month-Federal Rate Minus 40bps (-4.930%) | 05/06/2024 | — | — | (153,068 | ) | USD | 2,698,177 | (153,068 | ) | ||||||||||||||
| $ | (311,521 | ) | $ | (311,521 | ) | ||||||||||||||||||||
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| August 31, 2023 (unaudited) |
OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||
| USD | 3,280,444 | CAD | 4,351,530 | Morgan Stanley & Co. | 09/15/2023 | $ | 59,305 | |||||
| USD | 158,737 | DKK | 1,070,200 | Morgan Stanley & Co. | 09/15/2023 | 2,939 | ||||||
| USD | 6,396,126 | EUR | 5,769,090 | Morgan Stanley & Co. | 09/15/2023 | 137,477 | ||||||
| GBP | 1,001,600 | USD | 1,262,610 | Morgan Stanley & Co. | 09/15/2023 | 6,280 | ||||||
| USD | 3,324,721 | GBP | 2,591,800 | Morgan Stanley & Co. | 09/15/2023 | 41,269 | ||||||
| USD | 1,494,039 | NOK | 15,156,600 | Morgan Stanley & Co. | 09/15/2023 | 67,930 | ||||||
| $ | 315,200 | |||||||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Depreciation | ||||||||
| CAD | 2,748,510 | USD | 2,058,249 | Morgan Stanley & Co. | 09/15/2023 | $ | (23,717 | ) | ||||
| USD | 1,071,679 | CAD | 1,456,210 | Morgan Stanley & Co. | 09/15/2023 | (6,252 | ) | |||||
| USD | 1,406,670 | DKK | 9,687,300 | Morgan Stanley & Co. | 09/15/2023 | (3,587 | ) | |||||
| EUR | 4,714,420 | USD | 5,165,351 | Morgan Stanley & Co. | 09/15/2023 | (50,870 | ) | |||||
| USD | 2,852,222 | EUR | 2,637,310 | Morgan Stanley & Co. | 09/15/2023 | (8,888 | ) | |||||
| GBP | 737,100 | USD | 941,883 | Morgan Stanley & Co. | 09/15/2023 | (8,079 | ) | |||||
| USD | 5,027,271 | GBP | 4,006,700 | Morgan Stanley & Co. | 09/15/2023 | (48,664 | ) | |||||
| NOK | 7,081,800 | USD | 688,015 | Morgan Stanley & Co. | 09/15/2023 | (21,677 | ) | |||||
| USD | 323,628 | NOK | 3,484,400 | Morgan Stanley & Co. | 09/15/2023 | (4,225 | ) | |||||
| $ | (175,959 | ) | ||||||||||
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| August 31, 2023 (unaudited) |
The following is a summary of investments classified by country exposure:
| Country | % of Net Assets(a) | |||
| United States | 69.33 | % | ||
| United Kingdom | 8.21 | % | ||
| Ireland | 4.05 | % | ||
| Germany | 3.87 | % | ||
| British Virgin Islands | 3.77 | % | ||
| Canada | 3.08 | % | ||
| Denmark | 2.13 | % | ||
| Norway | 1.46 | % | ||
| Netherlands | 0.67 | % | ||
| Finland | 0.57 | % | ||
| Spain | 0.34 | % | ||
| Other Assets in Excess of Liabilities | 2.52 | % | ||
| 100.00 | % | |||
| (a) | These percentages represent long positions only and are not net of short positions. |
|
Abbreviations: |
| AG - Aktiengesellschaft is a German term that refers to a corporation that is limited by shares, i.e., owned by shareholders. |
| AS - Aktieselskab is a Danish term for a stock-based corporation. |
| ASA - Allmennaksjeselskap is the Norwegian term for public limited company. |
| bps - Basis Points. 100 Basis Points is equal to 1 percentage point. |
| CAD - Canadian dollar |
| CDOR - Canadian Dollar Offered Rate |
| DKK - Danish krone |
| EUR - Euro |
| GBP - British pound |
| LP - Limited Partnership |
| Ltd. - Limited |
| NOK - Norwegian krone |
| NV - Naamloze Vennootschap is the Dutch term for a public limited liability corporation. |
| Oyj - Osakeyhtio is the Finnish equivalent of a public limited company. |
| PLC - Public Limited Company |
| REIT - Real Estate Investment Trust |
| SA - Generally designates corporations in various countries, mostly those employing civil law. This translates literally in all languages mentioned as anonymous company. |
| SE - SE Regulation. A European Company which can operate on a Europe-wide basis and be governed by Community law directly applicable in all Member States |
| USD - United States Dollar |
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| August 31, 2023 (unaudited) |
The following table summarizes AltShares Merger Arbitrage ETF’s investments and derivative financial instruments categorized in the fair value hierarchy as of August 31, 2023:
| Investments in Securities at Fair Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Assets | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Advertising | $ | 1,063,183 | $ | — | $ | — | $ | 1,063,183 | ||||||||
| Aerospace & Defense | 364,227 | — | — | 364,227 | ||||||||||||
| Apparel | 2,762,024 | — | — | 2,762,024 | ||||||||||||
| Banks | 2,452,960 | — | — | 2,452,960 | ||||||||||||
| Biotechnology | 5,372,107 | — | — | 5,372,107 | ||||||||||||
| Commercial Services | 420,146 | — | — | 420,146 | ||||||||||||
| Computers & Computer Services | 490,714 | — | — | 490,714 | ||||||||||||
| Distribution/Wholesale | 2,125,166 | — | — | 2,125,166 | ||||||||||||
| Diversified Financial Services | 585,377 | 2,143,214 | — | 2,728,591 | ||||||||||||
| Electric | 1,054,647 | — | — | 1,054,647 | ||||||||||||
| Electronics | 2,780,817 | — | — | 2,780,817 | ||||||||||||
| Energy - Alternate Sources | 251,028 | — | — | 251,028 | ||||||||||||
| Environmental Control | 1,799,806 | — | — | 1,799,806 | ||||||||||||
| Food | 1,411,424 | — | — | 1,411,424 | ||||||||||||
| Food Service | 2,126,186 | — | — | 2,126,186 | ||||||||||||
| Healthcare - Services | 4,288,146 | — | — | 4,288,146 | ||||||||||||
| Insurance | 187,671 | — | — | 187,671 | ||||||||||||
| Investment Company Security | 1,046,530 | — | — | 1,046,530 | ||||||||||||
| Iron/Steel | 390,638 | — | — | 390,638 | ||||||||||||
| Machinery - Diversified | 1,903,818 | — | — | 1,903,818 | ||||||||||||
| Miscellaneous Manufacturing | 1,912,174 | — | — | 1,912,174 | ||||||||||||
| Oil & Gas | 2,795,754 | — | — | 2,795,754 | ||||||||||||
| Pharmaceuticals | 5,546,784 | — | — | 5,546,784 | ||||||||||||
| Pipelines | 4,288,131 | — | — | 4,288,131 | ||||||||||||
| Real Estate | 1,831,639 | — | — | 1,831,639 | ||||||||||||
| Real Estate Investment Trusts | 735,833 | — | — | 735,833 | ||||||||||||
| Retail | 2,299,967 | — | — | 2,299,967 | ||||||||||||
| Software | 12,161,899 | — | — | 12,161,899 | ||||||||||||
| Telecommunications | — | — | 0 | 0 | ||||||||||||
| Short-Term Investments | 4,808,464 | — | — | 4,808,464 | ||||||||||||
| TOTAL | $ | 69,257,260 | $ | 2,143,214 | $ | 0 | $ | 71,400,474 | ||||||||
| Other Financial Instruments** | ||||||||||||||||
| Assets | ||||||||||||||||
| Forward Foreign Currency Exchange Contracts | $ | — | $ | 315,200 | $ | — | $ | 315,200 | ||||||||
| Equity Swaps | 67,717 | — | — | 67,717 | ||||||||||||
| Liabilities | ||||||||||||||||
| Common Stocks* | (266,735 | ) | — | — | (266,735 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts | — | (175,959 | ) | — | (175,959 | ) | ||||||||||
| Equity Swaps | (311,521 | ) | — | — | (311,521 | ) | ||||||||||
| TOTAL | $ | (510,539 | ) | $ | 139,241 | $ | — | $ | (371,298 | ) | ||||||
| * | Refer to Portfolio of Investments for sector information. |
| ** | Other financial instruments are instruments such as securities sold short, equity swaps and forward foreign currency exchange contracts. |
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| August 31, 2023 (unaudited) |
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund’s assets and liabilities during the period ended August 31, 2023:
| Investments in Securities | Balance
as of May 31, 2023 | Realized
Gain (Loss) | Change
in Unrealized Appreciation (Depreciation) | Purchases | Sales Proceeds | Transfers
out of Level 3 | Balance
as of August 31, 2023 | Net
change in Unrealized Appreciation (Depreciation) from investments still held as of August 31, 2023 | ||||||||||||||||||||||||
| Common Stock | $ | 0 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 0 | $ | - | ||||||||||||||||
| Total | $ | 0 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 0 | $ | - | ||||||||||||||||
| AltShares Event-Driven ETF | Portfolio of Investments |
| August 31, 2023 (unaudited) |
| Shares | Value | |||||||
| COMMON STOCKS - 92.76% | ||||||||
| Advertising - 1.21% | ||||||||
| Quotient Technology, Inc.(a) | 9,152 | $ | 36,517 | |||||
| Apparel - 3.47% | ||||||||
| Capri Holdings Ltd.(a) | 2,000 | 104,980 | ||||||
| Banks - 0.42% | ||||||||
| First Horizon Corp. | 1,000 | 12,550 | ||||||
| Biotechnology - 7.76% | ||||||||
| Abcam PLC, ADR(a) | 2,002 | 45,285 | ||||||
| Amarin Corp. PLC, ADR(a)(b) | 6,200 | 6,510 | ||||||
| Aura Biosciences, Inc.(a)(b) | 4,650 | 48,267 | ||||||
| Horizon Therapeutics PLC(a) | 686 | 77,340 | ||||||
| PhenomeX, Inc.(a) | 10,000 | 9,500 | ||||||
| Seagen, Inc.(a)(b) | 231 | 47,602 | ||||||
| 234,504 | ||||||||
| Commercial Services - 2.07% | ||||||||
| Caverion Oyj | 4,034 | 38,056 | ||||||
| Moneylion, Inc.(a)(c) | 375 | 8,392 | ||||||
| PayPal Holdings, Inc.(a)(b) | 258 | 16,128 | ||||||
| 62,576 | ||||||||
| Computers & Computer Services - 1.51% | ||||||||
| Ordina NV | 7,357 | 45,791 | ||||||
| Diversified Financial Services - 5.83% | ||||||||
| Focus Financial Partners, Inc., Class A(a)(c) | 2,787 | 147,711 | ||||||
| Numis Corp. PLC | 6,708 | 28,382 | ||||||
| 176,093 | ||||||||
| Electronics - 2.93% | ||||||||
| National Instruments Corp.(b) | 1,486 | 88,566 | ||||||
| Entertainment - 2.47% | ||||||||
| Caesars Entertainment, Inc.(a)(b) | 893 | 49,347 | ||||||
| Cineplex, Inc.(a) | 4,000 | 25,281 | ||||||
| 74,628 | ||||||||
| Environmental Control - 2.03% | ||||||||
| Heritage-Crystal Clean, Inc.(a) | 1,360 | 61,336 | ||||||
| Food Service - 1.48% | ||||||||
| Sovos Brands, Inc.(a) | 2,000 | 44,800 | ||||||
| Healthcare - Products - 1.23% | ||||||||
| Pacific Biosciences of California, Inc.(a) | 3,300 | 37,224 | ||||||
| Healthcare - Services - 4.65% | ||||||||
| Cano Health, Inc.(a)(b) | 2,942 | 910 | ||||||
| Syneos Health, Inc.(a)(b) | 3,265 | 139,513 | ||||||
| 140,423 | ||||||||
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| August 31, 2023 (unaudited) |
| Shares | Value | |||||||
| COMMON STOCKS - 92.76% (Continued) | ||||||||
| Insurance - 3.86% | ||||||||
| Argo Group International Holdings Ltd. | 3,920 | $ | 116,620 | |||||
| Machinery - Construction & Mining - 0.94% | ||||||||
| Bloom Energy Corp., Class A(a)(b) | 1,900 | 28,481 | ||||||
| Machinery - Diversified - 4.76% | ||||||||
| CIRCOR International, Inc.(a) | 2,584 | 143,903 | ||||||
| Media - 5.86% | ||||||||
| TEGNA, Inc.(b) | 3,875 | 64,054 | ||||||
| Warner Bros Discovery, Inc.(a) | 1,550 | 20,367 | ||||||
| Paramount Global, Class B(b) | 1,543 | 23,284 | ||||||
| DISH Network Corp., Class A(a)(b) | 3,200 | 19,200 | ||||||
| Walt Disney Co.(a)(b) | 600 | 50,208 | ||||||
| 177,113 | ||||||||
| Oil & Gas - 5.73% | ||||||||
| Baytex Energy Corp.(a)(b) | 3,000 | 12,210 | ||||||
| Denbury, Inc.(a) | 1,637 | 149,916 | ||||||
| EQT Corp.(b) | 258 | 11,151 | ||||||
| 173,277 | ||||||||
| Pharmaceuticals - 7.36% | ||||||||
| Bayer AG, ADR(b) | 2,712 | 37,181 | ||||||
| Dechra Pharmaceuticals PLC | 806 | 38,861 | ||||||
| Paratek Pharmaceuticals, Inc.(a)(b) | 20,424 | 45,137 | ||||||
| Reata Pharmaceuticals, Inc., Class A(a) | 600 | 101,400 | ||||||
| 222,579 | ||||||||
| Pipelines - 1.76% | ||||||||
| Holly Energy Partners LP | 2,500 | 53,250 | ||||||
| Real Estate - 2.71% | ||||||||
| Radius Global Infrastructure, Inc., Class A(a) | 5,500 | 82,060 | ||||||
| Retail - 1.62% | ||||||||
| Foot Locker, Inc.(b) | 917 | 17,992 | ||||||
| Lookers PLC | 18,962 | 30,987 | ||||||
| 48,979 | ||||||||
| Semiconductors - 3.17% | ||||||||
| Intel Corp.(b) | 968 | 34,016 | ||||||
| Silicon Motion Technology Corp., ADR | 1,137 | 61,750 | ||||||
| 95,766 | ||||||||
| Software - 17.93% | ||||||||
| Activision Blizzard, Inc.(a) | 2,111 | 194,191 | ||||||
| Avid Technology, Inc.(a) | 2,000 | 53,320 | ||||||
| Kahoot! ASA(a) | 8,015 | 26,009 | ||||||
| New Relic, Inc.(a)(b) | 826 | 70,301 | ||||||
| Rovio Entertainment Oyj(d) | 120 | 1,194 | ||||||
| Sciplay Corp., Class A(a) | 2,000 | 45,400 | ||||||
| SimCorp AS | 565 | 60,133 | ||||||
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| August 31, 2023 (unaudited) |
| Shares | Value | |||||||
| COMMON STOCKS - 92.76% (Continued) | ||||||||
| Software - 17.93% (Continued) | ||||||||
| VMware, Inc., Class A(a)(b) | 542 | $ | 91,479 | |||||
| 542,027 | ||||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $2,878,958) | 2,804,043 | |||||||
| Maturity Date | Rate | Principal Amount | Value | |||||||||||
| CORPORATE BONDS - 3.02% | ||||||||||||||
| Chemicals - 0.68% | ||||||||||||||
| Valvoline, Inc.(d) | 02/15/2030 | 4.250 | % | $ | 21,000 | $ | 20,642 | |||||||
| Computers & Computer Services - 0.79% | ||||||||||||||
| NCR Corp.(d) | 09/01/2029 | 6.125 | % | 23,000 | 23,688 | |||||||||
| Oil & Gas - 1.55% | ||||||||||||||
| PDC Energy, Inc. | 05/15/2026 | 5.750 | % | 47,000 | 46,882 | |||||||||
| TOTAL CORPORATE BONDS | ||||||||||||||
| (Cost $91,141) | 91,212 | |||||||||||||
| CONVERTIBLE CORPORATE BONDS - 2.93% | ||||||||||||||
| Auto Manufacturers - 0.01% | ||||||||||||||
| Lightning eMotors, Inc.(d) | 05/15/2024 | 7.500 | % | 365 | 161 | |||||||||
| Healthcare - Services - 0.41% | ||||||||||||||
| UpHealth, Inc.(d) | 06/15/2026 | 6.250 | % | 31,000 | 12,400 | |||||||||
| Pharmaceuticals - 0.87% | ||||||||||||||
| Paratek Pharmaceuticals, Inc. | 05/01/2024 | 4.750 | % | 27,000 | 26,392 | |||||||||
| Software - 1.64% | ||||||||||||||
| Kaleyra, Inc.(d) | 06/01/2026 | 6.125 | % | 51,000 | 49,760 | |||||||||
| TOTAL CONVERTIBLE CORPORATE BONDS | ||||||||||||||
| (Cost $108,991) | 88,713 | |||||||||||||
| Shares | Value | |||||||
| WARRANTS(a) - 0.00%(e) | ||||||||
| Commercial Services - 0.00%(e) | ||||||||
| Moneylion, Inc., Exercise Price $11.50, Expires 09/22/2026 | 440 | $ | 26 | |||||
| TOTAL WARRANTS | ||||||||
| (Cost $0) | 26 | |||||||
| PRIVATE INVESTMENTS(a)(c)(f)(g) - 0.01% | ||||||||
| Fast Capital LLC | 400 | 308 | ||||||
| TOTAL PRIVATE INVESTMENTS | ||||||||
| (Cost $414) | 308 | |||||||
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| August 31, 2023 (unaudited) |
| Shares | Value | |||||||
| RIGHTS(a) - 0.15% | ||||||||
| Concert Pharmaceuticals, Inc. CVR, Expires 12/31/2029(c)(f) | 2,000 | $ | 775 | |||||
| Contra Abiomed, Inc. CVR, Expires 12/31/2030(c) | 200 | 350 | ||||||
| Contra Albireo Pharma, Inc. CVR, Expires 12/31/2027(c)(f) | 415 | 935 | ||||||
| Contra Amryt Pharma PLC CVR, Expires 12/31/2024(c)(f) | 7,245 | 120 | ||||||
| Contra Amryt Pharma PLC CVR, Expires 12/31/2024(c)(f) | 7,245 | 181 | ||||||
| Contra CinCor Pharma, Inc. CVR, Expires 12/31/2027(c)(f) | 639 | 2,055 | ||||||
| TOTAL RIGHTS | ||||||||
| (Cost $4,154) | 4,416 | |||||||
| Yield | Shares | Value | ||||||||||
| SHORT-TERM INVESTMENTS - 2.85% | ||||||||||||
| Money Market Funds | ||||||||||||
| Morgan Stanley Institutional Liquidity Fund - Government Portfolio | 5.250 | %(h) | 43,140 | $ | 43,140 | |||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class | 5.393 | %(h) | 43,140 | 43,140 | ||||||||
| 86,280 | ||||||||||||
| TOTAL SHORT-TERM INVESTMENTS | ||||||||||||
| (Cost $86,280) | 86,280 | |||||||||||
| Total Investments - 101.72% | ||||||||||||
| (Cost $3,169,938) | 3,074,998 | |||||||||||
| Liabilities in Excess of Other Assets - (1.72)%(i) | (51,958 | ) | ||||||||||
| NET ASSETS - 100.00% | $ | 3,023,040 | ||||||||||
| Portfolio Footnotes |
| (a) | Non-income-producing security. |
| (b) | Security, or a portion of security, is being held as collateral for swaps, short sales or forward foreign currency exchange contracts. At August 31, 2023, the aggregate fair market value of those securities was $546,641, representing 18.08% of net assets. |
| (c) | Restricted securities (including private placements) - The Fund may own investment securities that have other legal or contractual limitations. At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $160,827 or 5.32% of net assets. |
| Restricted Security | Acquisition Date | Acquisition Cost | ||||
| Concert Pharmaceuticals, Inc. CVR, Expires 12/31/2029 | 03/07/2023 | $ | 740 | |||
| Contra Abiomed, Inc. CVR, Expires 12/31/2030 | 12/21/2022 | 204 | ||||
| Contra Albireo Pharma, Inc. CVR, Expires 12/31/2027 | 01/09/2023 | 892 | ||||
| Contra Amryt Pharma PLC CVR, Expires 12/31/2024 | 04/13/2023 | 181 | ||||
| Contra Amryt Pharma PLC CVR, Expires 12/31/2024 | 04/13/2023 | 181 | ||||
| Contra CinCor Pharma, Inc. CVR, Expires 12/31/2027 | 02/23/2023 | 1,956 | ||||
| Fast Capital LLC | 08/18/2020 | 414 | ||||
| Focus Financial Partners, Inc. | 03/02/2023 | 145,155 | ||||
| Moneylion, Inc. | 09/14/2021 | 92,989 | ||||
| Total | $ | 242,712 | ||||
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| August 31, 2023 (unaudited) |
| (d) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of August 31, 2023, these securities had a total value of $107,845 or 3.57% of net assets. |
| (e) | Less than 0.005% of net assets. |
| (f) | Security fair valued using significant unobservable inputs and classified as a Level 3 security. As of August 31, 2023, the total fair market value of these securities was $4,374, representing 0.14% of net assets. |
| (g) | Represents a holding that is a direct investment into a private company and is not a listed or publicly traded entity. |
| (h) | Rate shown is the 7-day effective yield as of August 31, 2023. |
| (i) | Includes cash held as collateral for short sales. |
| SCHEDULE OF SECURITIES SOLD SHORT | Shares | Value | ||||||
| SECURITIES SOLD SHORT - (1.50%) | ||||||||
| COMMON STOCKS SOLD SHORT - (1.50%) | ||||||||
| Oil & Gas - (1.44%) | ||||||||
| HF Sinclair Corp. | (788 | ) | $ | (43,411 | ) | |||
| Semiconductors - (0.06%) | ||||||||
| MaxLinear, Inc. | (80 | ) | (1,880 | ) | ||||
| TOTAL SECURITIES SOLD SHORT | ||||||||
| (Proceeds $46,193) | $ | (45,291 | ) | |||||
EQUITY SWAP CONTRACTS
| Swap Counterparty/ Payment Frequency | Reference Obligation | Rate Paid/Received by the Fund | Termination Date | Upfront Payments Made | Upfront Payments Received | Market Value | Notional Amount | Unrealized Depreciation | |||||||||||||||||
| Morgan Stanley & Co./ Upon Termination | Broadcom, Inc. | Received 1 Month-Federal Rate Minus 40bps (-4.930%) | 10/11/2023 | $ | — | $ | — | $ | (22,681 | ) | USD | 36,384 | $ | (22,681 | ) | ||||||||||
| Morgan Stanley & Co./ Upon Termination | Exxon Mobil Corp. | Received 1 Month-Federal Rate Minus 40bps (-4.930%) | 10/11/2023 | — | — | (5,641 | ) | USD | 144,577 | (5,641 | ) | ||||||||||||||
| $ | (28,322 | ) | $ | (28,322 | ) | ||||||||||||||||||||
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| August 31, 2023 (unaudited) |
OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||
| CAD | 560 | USD | 413 | Morgan Stanley & Co. | 09/15/2023 | $ | 2 | |||||
| USD | 133,993 | CAD | 177,870 | Morgan Stanley & Co. | 09/15/2023 | 2,328 | ||||||
| USD | 61,190 | DKK | 415,300 | Morgan Stanley & Co. | 09/15/2023 | 732 | ||||||
| USD | 175,194 | EUR | 159,000 | Morgan Stanley & Co. | 09/15/2023 | 2,701 | ||||||
| USD | 101,066 | GBP | 79,100 | Morgan Stanley & Co. | 09/15/2023 | 856 | ||||||
| USD | 27,924 | NOK | 280,500 | Morgan Stanley & Co. | 09/15/2023 | 1,532 | ||||||
| $ | 8,151 | |||||||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Depreciation | ||||||||
| CAD | 177,870 | USD | 133,687 | Morgan Stanley & Co. | 09/15/2023 | $ | (2,021 | ) | ||||
| USD | 24,866 | CAD | 33,640 | Morgan Stanley & Co. | 09/15/2023 | (36 | ) | |||||
| EUR | 80,290 | USD | 88,015 | Morgan Stanley & Co. | 09/15/2023 | (912 | ) | |||||
| $ | (2,969 | ) | ||||||||||
The following is a summary of investments classified by country exposure:
| Country | % of Net Assets(a) | |||
| United States | 76.68 | % | ||
| United Kingdom | 4.98 | % | ||
| Bermuda | 3.86 | % | ||
| British Virgin Islands | 3.47 | % | ||
| Ireland | 2.56 | % | ||
| Cayman Islands | 2.04 | % | ||
| Denmark | 1.99 | % | ||
| Netherlands | 1.51 | % | ||
| Finland | 1.30 | % | ||
| Canada | 1.24 | % | ||
| Germany | 1.23 | % | ||
| Norway | 0.86 | % | ||
| Liabilities in Excess of Other Assets | (1.72 | )% | ||
| 100.00 | % | |||
| (a) | These percentages represent long positions only and are not net of short positions. |
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| August 31, 2023 (unaudited) |
Abbreviations:
ADR - American Depositary Receipt
AG - Aktiengesellschaft is a German term that refers to a corporation that is limited by shares, i.e., owned by shareholders.
AS - Aktieselskab is a Danish term for a stock-based corporation.
ASA - Allmennaksjeselskap is the Norwegian term for public limited company.
bps - Basis Points. 100 Basis Points is equal to 1 percentage point.
CAD - Canadian dollar
CVR - Contingent Value Rights
DKK - Danish krone
EUR - Euro
GBP - British pound
LLC - Limited Liability Company
LP - Limited Partnership
Ltd. - Limited
NOK - Norwegian krone
NV - Naamloze Vennootschap is the Dutch term for a public limited liability corporation.
Oyj - Osakeyhtio is the Finnish equivalent of a public limited company.
PLC - Public Limited Company
USD - United States Dollar
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| August 31, 2023 (unaudited) |
The following table summarizes AltShares Event-Driven ETF’s investments and derivative financial instruments categorized in the fair value hierarchy as of August 31, 2023:
| Investments in Securities at Fair Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Assets | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Advertising | $ | 36,517 | $ | — | $ | — | $ | 36,517 | ||||||||
| Apparel | 104,980 | — | — | 104,980 | ||||||||||||
| Banks | 12,550 | — | — | 12,550 | ||||||||||||
| Biotechnology | 234,504 | — | — | 234,504 | ||||||||||||
| Commercial Services | 62,576 | — | — | 62,576 | ||||||||||||
| Computers & Computer Services | 45,791 | — | — | 45,791 | ||||||||||||
| Diversified Financial Services | 28,382 | 147,711 | — | 176,093 | ||||||||||||
| Electronics | 88,566 | — | — | 88,566 | ||||||||||||
| Entertainment | 74,628 | — | — | 74,628 | ||||||||||||
| Environmental Control | 61,336 | — | — | 61,336 | ||||||||||||
| Food Service | 44,800 | — | — | 44,800 | ||||||||||||
| Healthcare - Products | 37,224 | — | — | 37,224 | ||||||||||||
| Healthcare - Services | 140,423 | — | — | 140,423 | ||||||||||||
| Insurance | 116,620 | — | — | 116,620 | ||||||||||||
| Machinery - Construction & Mining | 28,481 | — | — | 28,481 | ||||||||||||
| Machinery - Diversified | 143,903 | — | — | 143,903 | ||||||||||||
| Media | 177,113 | — | — | 177,113 | ||||||||||||
| Oil & Gas | 173,277 | — | — | 173,277 | ||||||||||||
| Pharmaceuticals | 222,579 | — | — | 222,579 | ||||||||||||
| Pipelines | 53,250 | — | — | 53,250 | ||||||||||||
| Real Estate | 82,060 | — | — | 82,060 | ||||||||||||
| Retail | 48,979 | — | — | 48,979 | ||||||||||||
| Semiconductors | 95,766 | — | — | 95,766 | ||||||||||||
| Software | 542,027 | — | — | 542,027 | ||||||||||||
| Corporate Bonds* | — | 91,212 | — | 91,212 | ||||||||||||
| Convertible Corporate Bonds* | — | 88,713 | — | 88,713 | ||||||||||||
| Warrants* | 26 | — | — | 26 | ||||||||||||
| Private Investments | — | — | 308 | 308 | ||||||||||||
| Rights | — | 350 | 4,066 | 4,416 | ||||||||||||
| Short-Term Investments | 86,280 | — | — | 86,280 | ||||||||||||
| TOTAL | $ | 2,742,638 | $ | 327,986 | $ | 4,374 | $ | 3,074,998 | ||||||||
| Other Financial Instruments** | ||||||||||||||||
| Assets | ||||||||||||||||
| Forward Foreign Currency Exchange Contracts | $ | — | $ | 8,151 | $ | — | $ | 8,151 | ||||||||
| Liabilities | ||||||||||||||||
| Common Stocks* | (45,291 | ) | — | — | (45,291 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts | — | (2,969 | ) | — | (2,969 | ) | ||||||||||
| Equity Swaps | (28,322 | ) | — | — | (28,322 | ) | ||||||||||
| TOTAL | $ | (73,613 | ) | $ | 5,182 | $ | — | $ | (68,431 | ) | ||||||
| * | Refer to Portfolio of Investments for sector information. |
| ** | Other financial instruments are instruments such as securities sold short, equity swaps and forward foreign currency exchange contracts. |
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| August 31, 2023 (unaudited) |
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund’s assets and liabilities during the period ended August 31, 2023:
| Investments in Securities | Balance
as of May 31, 2023 | Realized
Gain (Loss) | Change
in Unrealized Appreciation (Depreciation) | Purchases | Sales Proceeds | Transfers
out of Level 3 | Balance
as of August 31, 2023 | Net
change in Unrealized Appreciation (Depreciation) from investments still held as of August 31, 2023 | ||||||||||||||||||||||||
| Common Stock | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | ||||||||||||||||
| Rights | 3,970 | - | 96 | - | - | - | 4,066 | 96 | ||||||||||||||||||||||||
| Private Investments | 800 | - | (492 | ) | - | - | - | 308 | - | |||||||||||||||||||||||
| Total | $ | 4,770 | $ | - | $ | (396 | ) | $ | - | $ | - | $ | - | $ | 4,374 | $ | 96 | |||||||||||||||