NPORT-EX 2 NPORT_WIX7_91123326_0823.htm

 

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