TrimTabs ETF Trust
10/07/2024 | Press release | Distributed by Public on 10/07/2024 14:25
Annual Report by Investment Company Form N CSR
2024-08-01199122_FCFUSQualityETF_TF_TSRAnnual
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 811-22995
TrimTabs ETF Trust
(Exact name of registrant as specified in charter)
1345 Avenue of the Americas
33rd fl
New York, NY 10105
(Address of principal executive offices) (Zip code)
Derin Cohen
1345 Avenue of the Americas
33rd fl
New York, NY 10105
(Name and address of agent for service)
1-212-217-2597
Registrant's telephone number, including area code
Date of fiscal year end: July 31
Date of reporting period: July 31, 2024
Item 1. Reports to Stockholders.
| (a) |
|
FCF US Quality ETF
|
||
|
TTAC(Principal U.S. Listing Exchange: CBOE)
|
||
|
Annual Shareholder Report | July 31, 2024
|
This annual shareholder reportcontains important information about the FCF US Quality ETF for the period of August 1, 2023, to July 31, 2024. This report also describes certain planned changes to the Fund. You can find additional information about the Fund at https://www.fcf-funds.com/ttac/. You can also request this information by contacting us at 1-800-617-0004.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
|
Fund Name
|
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
|
FCF US Quality ETF
|
$64
|
0.59%
|
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
During this period, the Fund returned 16.29% (NAV) and 16.48% (Market) and its benchmark returned 21.07%. On a benchmark relative basis, the best active contributors were Consumer Discretionary and Mid Growth stocks. The main active detractors were Information Technology and Large Growth stocks. TTAC owns a portfolio of high-quality stocks selected by our proprietary free cash flow algorithm: as of July 31, 2024, the cash flow return for TTAC was 5.51% compared to 3.37% for R3000.
|
Top Contributors
|
|
|
↑
|
Alphabet, Inc. - Class A
|
|
Top Detractors
|
|
|
↓
|
Fortinet, Inc.
|
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
ANNUAL AVERAGE TOTAL RETURN (%)
|
1 Year
|
5 Year
|
Since Inception
(09/27/2016) |
|
|
FCF US Quality ETF NAV
|
16.29
|
13.57
|
14.42
|
|
FCF US Quality ETF Market
|
16.48
|
13.52
|
14.43
|
|
Russell 3000 Total Return
|
21.07
|
14.23
|
14.11
|
Visit https://www.fcf-funds.com/ttac/for more recent performance information.
| FCF US Quality ETF | PAGE 1 | TSR_AR_89628W302 |
| * | The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
KEY FUND STATISTICS (as of July 31, 2024)
|
Net Assets
|
$412,962,077
|
|
Number of Holdings
|
151
|
|
Net Advisory Fee
|
$1,891,079
|
|
Portfolio Turnover
|
70%
|
|
30-Day SEC Yield
|
0.88%
|
|
30-Day SEC Yield Unsubsidized
|
0.88%
|
Visit https://www.fcf-funds.com/ttac/for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of July 31, 2024)
|
Top 10 Issuers
|
(% of net assets)
|
|
Apple, Inc.
|
6.2%
|
|
Mount Vernon Liquid Assets Portfolio, LLC
|
5.1%
|
|
AbbVie, Inc.
|
2.7%
|
|
Meta Platforms, Inc.
|
2.4%
|
|
Home Depot, Inc.
|
2.3%
|
|
Merck & Co., Inc.
|
2.0%
|
|
QUALCOMM, Inc.
|
2.0%
|
|
American Express Co.
|
1.7%
|
|
Adobe, Inc.
|
1.5%
|
|
International Business Machines Corp.
|
1.5%
|
Sector Breakdown (% of net assets)
CERTAIN CHANGES TO THE FUND
This is a summary of certain planned changes to the Fund since August 1, 2023. For more complete information, you may review the Fund's next prospectus, which we expect to be available by November 28, 2024, at https://www.fcf-funds.com/ttac/or upon request at 1-800-617-0004.
Changes to the Fund's Investment Adviser
On August 7, 2024, Abacus Life, Inc., a pioneering alternative asset manager specializing in longevity and actuarial technology, announced a definitive agreement to acquire FCF Advisors LLC, the investment adviser for the Fund. The transaction is expected to close in the fourth quarter of 2024.
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.fcf-funds.com/ttac/
The Fund is distributed by Quasar Distributors, LLC.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your FCF Advisors LLC documents not be householded, please contact FCF Advisors LLC at 1-800-617-0004, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by FCF Advisors LLC or your financial intermediary.
| FCF US Quality ETF | PAGE 2 | TSR_AR_89628W302 |
|
FCF International Quality ETF
|
||
|
TTAI(Principal U.S. Listing Exchange: CBOE)
|
||
|
Annual Shareholder Report | July 31, 2024
|
This annual shareholder reportcontains important information about the FCF International Quality ETF for the period of August 1, 2023, to July 31, 2024. This report also describes certain planned changes to the Fund. You can find additional information about the Fund at https://www.fcf-funds.com/ttai/. You can also request this information by contacting us at 1-800-617-0004.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
|
Fund Name
|
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
|
FCF International Quality ETF
|
$62
|
0.59%
|
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
During this period, the Fund returned 9.00% (NAV) and 8.78% (Market) and its benchmark returned 9.75%. On a benchmark relative basis, the main active contributors were Information Techology stocks, Large Growth stocks and exposure to Canada; and the main active detractors were Financials stocks, Large Blend stocks, and exposure to Austriasia. TTAI owns a portfolio of high-quality stocks selected by our proprietary free cash flow algorithm: as of July 31, 2024, the weighted average return on assets was 12.80%, compared to benchmark's 6.20%; and cash flow return for TTAI was 8.28% compared to the benchmark's -5.44%.
|
Top Contributors
|
|
|
↑
|
Novo Nordisk A/S - Class B
|
|
Top Detractors
|
|
|
↓
|
Burbery Group PLC
|
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
ANNUAL AVERAGE TOTAL RETURN (%)
|
1 Year
|
5 Year
|
Since Inception
(06/27/2017) |
|
|
FCF International Quality ETF NAV
|
9.00
|
6.34
|
5.19
|
|
FCF International Quality ETF Market
|
8.78
|
6.47
|
5.21
|
|
MSCI AC WORLD INDEX ex USA Net (USD)
|
9.75
|
6.29
|
5.38
|
| FCF International Quality ETF | PAGE 1 | TSR_AR_89628W401 |
Visit https://www.fcf-funds.com/ttai/for more recent performance information.
| * | The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
KEY FUND STATISTICS (as of July 31, 2024)
|
Net Assets
|
$60,455,154
|
|
Number of Holdings
|
150
|
|
Net Advisory Fee
|
$348,796
|
|
Portfolio Turnover
|
55%
|
|
30-Day SEC Yield
|
2.18%
|
|
30-Day SEC Yield Unsubsidized
|
2.18%
|
Visit https://www.fcf-funds.com/ttai/for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of July 31, 2024)
|
Top 10 Issuers
|
(% of net assets)
|
|
Novo Nordisk AS - Class B
|
5.0%
|
|
Roche Holding AG
|
2.9%
|
|
Mount Vernon Liquid Assets Portfolio, LLC
|
2.3%
|
|
BHP Group Ltd.
|
2.2%
|
|
RELX PLC
|
2.2%
|
|
Accenture PLC
|
2.1%
|
|
PDD Holdings, Inc.
|
2.1%
|
|
Novartis AG
|
2.1%
|
|
Constellation Software, Inc.
|
1.8%
|
|
Wolters Kluwer NV
|
1.6%
|
Geographic Breakdown (% of net assets)
Sector Breakdown (% of net assets)
CERTAIN CHANGES TO THE FUND
This is a summary of certain planned changes to the Fund since August 1, 2023. For more complete information, you may review the Fund's next prospectus, which we expect to be available by November 28, 2024, at https://www.fcf-funds.com/ttai/or upon request at 1-800-617-0004.
Changes to the Fund's Investment Adviser
On August 7, 2024, Abacus Life, Inc., a pioneering alternative asset manager specializing in longevity and actuarial technology, announced a definitive agreement to acquire FCF Advisors LLC, the investment adviser for the Fund. The transaction is expected to close in the fourth quarter of 2024.
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.fcf-funds.com/ttai/
The Fund is distributed by Quasar Distributors, LLC.
| FCF International Quality ETF | PAGE 2 | TSR_AR_89628W401 |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your FCF Advisors LLC documents not be householded, please contact FCF Advisors LLC at 1-800-617-0004, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by FCF Advisors LLC or your financial intermediary.
| FCF International Quality ETF | PAGE 3 | TSR_AR_89628W401 |
|
Donoghue Forlines Tactical High Yield ETF
|
||
|
DFHY(Principal U.S. Listing Exchange: CBOE)
|
||
|
Annual Shareholder Report | July 31, 2024
|
This annual shareholder reportcontains important information about the Donoghue Forlines Tactical High Yield ETF for the period of August 1, 2023, to July 31, 2024. This report also describes certain planned changes to the Fund. You can find additional information about the Fund at https://www.fcf-funds.com/dfhy/. You can also request this information by contacting us at 1-800-617-0004.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
|
Fund Name
|
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
|
Donoghue Forlines Tactical High Yield ETF
|
$72
|
0.69%
|
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
During this period, the Fund was up 7.39% (NAV) and 7.46% (Market) and its benchmark was up 5.10%. During the reporting period, bond markets began to recover from their steep drawdown in 2022. DFHY is a fund of funds that tactically allocates exposure to high yield bond ETFs or intermediate term treasury bond ETFs on a daily buy-sell signal. The Fund's underlying index experienced seven risk mitigations signals for the 1-year period ended July 31, 2024. While performance varied for each, the Fund underperformed high yield asset class during the totality of the signal periods. However, the Fund benefited from being fully invested the majority of the period in the high yield market against the aggregate benchmark.
|
Top Contributors
|
|
|
↑
|
iShares Broad USD High Yield Corp. Bd ETF
|
|
Top Detractors
|
|
|
↓
|
VanEck Fallen Angel HiYld Bd ETF
|
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
| Donoghue Forlines Tactical High Yield ETF | PAGE 1 | TSR_AR_89628W609 |
ANNUAL AVERAGE TOTAL RETURN (%)
|
1 Year
|
Since Inception
(12/07/2020) |
|
|
Donoghue Forlines Tactical High Yield ETF NAV
|
7.39
|
-0.61
|
|
Donoghue Forlines Tactical High Yield ETF Market
|
7.46
|
-0.58
|
|
Bloomberg US Aggregate Bond Index
|
5.10
|
-2.20
|
|
FCF Tactical High Yield Index
|
6.24
|
-1.26
|
Visit https://www.fcf-funds.com/dfhy/for more recent performance information.
| * | The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
KEY FUND STATISTICS (as of July 31, 2024)
|
Net Assets
|
$30,292,766
|
|
Number of Holdings
|
10
|
|
Net Advisory Fee
|
$215,499
|
|
Portfolio Turnover
|
662%
|
|
30-Day SEC Yield
|
5.98%
|
|
30-Day SEC Yield Unsubsidized
|
5.98%
|
Visit https://www.fcf-funds.com/dfhy/for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of July 31, 2024)
|
Top 10 Issuers
|
(% of net assets)
|
|
SPDR Bloomberg High Yield Bond ETF
|
19.6%
|
|
iShares Broad USD High Yield Corporate Bond ETF
|
19.2%
|
|
Mount Vernon Liquid Assets Portfolio, LLC
|
18.9%
|
|
iShares iBoxx $ High Yield Corporate Bond ETF
|
16.3%
|
|
iShares 0-5 Year High Yield Corporate Bond ETF
|
9.2%
|
|
Xtrackers USD High Yield Corporate Bond ETF
|
9.1%
|
|
SPDR Portfolio High Yield Bond ETF
|
7.0%
|
|
SPDR Bloomberg Short-Term High Yield Bond ETF
|
6.8%
|
|
iShares Fallen Angels USD Bond ETF
|
6.5%
|
|
VanEck Fallen Angel High Yield Bond ETF
|
6.1%
|
Security Type Breakdown (% of net assets)
CERTAIN CHANGES TO THE FUND
This is a summary of certain planned changes to the Fund since August 1, 2023. For more complete information, you may review the Fund's next prospectus, which we expect to be available by November 28, 2024, at https://www.fcf-funds.com/dfhy/or upon request at 1-800-617-0004.
Changes to the Fund's Investment Adviser
On August 7, 2024, Abacus Life, Inc., a pioneering alternative asset manager specializing in longevity and actuarial technology, announced a definitive agreement to acquire FCF Advisors LLC, the investment adviser for the Fund. The transaction is expected to close in the fourth quarter of 2024.
| Donoghue Forlines Tactical High Yield ETF | PAGE 2 | TSR_AR_89628W609 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.fcf-funds.com/dfhy/
The Fund is distributed by Quasar Distributors, LLC.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your FCF Advisors LLC documents not be householded, please contact FCF Advisors LLC at 1-800-617-0004, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by FCF Advisors LLC or your financial intermediary.
| Donoghue Forlines Tactical High Yield ETF | PAGE 3 | TSR_AR_89628W609 |
|
Donoghue Forlines Innovation ETF
|
||
|
DFNV(Principal U.S. Listing Exchange: CBOE)
|
||
|
Annual Shareholder Report | July 31, 2024
|
This annual shareholder reportcontains important information about the Donoghue Forlines Innovation ETF for the period of August 1, 2023, to July 31, 2024. This report also describes changes to the Fund that occurred during the reporting period and certain planned changes to the Fund. You can find additional information about the Fund at https://www.fcf-funds.com/dfnv/. You can also request this information by contacting us at 1-800-617-0004.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
|
Fund Name
|
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
|
Donoghue Forlines Innovation ETF
|
$75
|
0.69%
|
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
During this period, the Fund was up 18.76% (NAV) and 18.95% (Market) and its style-specific benchmark was up 26.94%. The primary factor for the Fund's underperformance relative to its benchmark was the size factor, with a small number of stocks in market cap indices attributing the most to their performance. DFNV owns a portfolio of high-quality innovative stocks selected by our proprietary free cash flow algorithm. Growth and innovation stocks outperformed the market. The largest contributors to performance were Information Technology and Communication Services stock. The largest detractors were Consumer Discretionary and Utilities stocks.
|
Top Contributors
|
|
|
↑
|
Nvidia Corp.
|
|
Top Detractors
|
|
|
↓
|
Uber Technologies, Inc.
|
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
In connection with new regulatory requirements, the Fund has changed its broad-based securities market benchmark from the Russell 1000 Growth Index to the S&P 500 Index. The Fund will continue to compare its performance to (i) the Russell 1000 Growth Index, which reflects the market segments in which the Fund invests, and (ii) the FCF US Quality Innovation Index, which is the index the Fund seeks to track, before fees and expenses.
| Donoghue Forlines Innovation ETF | PAGE 1 | TSR_AR_89628W500 |
ANNUAL AVERAGE TOTAL RETURN (%)
|
1 Year
|
Since Inception
(12/07/2020) |
|
|
Donoghue Forlines Innovation ETF NAV
|
18.76
|
8.51
|
|
Donoghue Forlines Innovation ETF Market
|
18.95
|
8.53
|
|
S&P 500 TR
|
22.15
|
13.40
|
|
Russell 1000 Growth Total Return
|
26.94
|
13.21
|
|
FCF US Quality Innovation Index
|
19.07
|
10.09
|
Visit https://www.fcf-funds.com/dfnv/for more recent performance information.
| * | The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
KEY FUND STATISTICS (as of July 31, 2024)
|
Net Assets
|
$44,909,630
|
|
Number of Holdings
|
101
|
|
Net Advisory Fee
|
$287,410
|
|
Portfolio Turnover
|
86%
|
|
30-Day SEC Yield
|
0.19%
|
|
30-Day SEC Yield Unsubsidized
|
0.19%
|
Visit https://www.fcf-funds.com/dfnv/for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of July 31, 2024)
|
Top 10 Issuers
|
(% of net assets)
|
|
Mount Vernon Liquid Assets Portfolio, LLC
|
8.2%
|
|
Apple, Inc.
|
8.0%
|
|
Amazon.com, Inc.
|
5.8%
|
|
Meta Platforms, Inc.
|
4.6%
|
|
Broadcom, Inc.
|
4.1%
|
|
AbbVie, Inc.
|
3.0%
|
|
Oracle Corp.
|
2.8%
|
|
Adobe, Inc.
|
2.8%
|
|
Merck & Co., Inc.
|
2.5%
|
|
ServiceNow, Inc.
|
2.3%
|
Sector Breakdown (% of net assets)
CERTAIN CHANGES TO THE FUND
This is a summary of certain changes and planned changes to the Fund since August 1, 2023. For more complete information, you may review the Fund's next prospectus, which we expect to be available by November 28, 2024, at https://www.fcf-funds.com/dfnv/or upon request at 1-800-617-0004.
Changes to the Fund's Principal Investment Strategies
On November 7, 2023, the FCF Risk Managed Quality Innovation Index, which is the Fund's underlying index, and therefore the Fund, implemented a change to its rules-based methodology to remove the downside protection model. Accordingly, the Fund is 100% invested in a portfolio of high-quality innovative stocks moving forward.
| Donoghue Forlines Innovation ETF | PAGE 2 | TSR_AR_89628W500 |
Changes to the Fund's Investment Adviser
On August 7, 2024, Abacus Life, Inc., a pioneering alternative asset manager specializing in longevity and actuarial technology, announced a definitive agreement to acquire FCF Advisors LLC, the investment adviser for the Fund. The transaction is expected to close in the fourth quarter of 2024.
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.fcf-funds.com/dfnv/
The Fund is distributed by Quasar Distributors, LLC.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your FCF Advisors LLC documents not be householded, please contact FCF Advisors LLC at 1-800-617-0004, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by FCF Advisors LLC or your financial intermediary.
| Donoghue Forlines Innovation ETF | PAGE 3 | TSR_AR_89628W500 |
|
Donoghue Forlines Yield Enhanced Real Asset ETF
|
||
|
DFRA(Principal U.S. Listing Exchange: CBOE)
|
||
|
Annual Shareholder Report | July 31, 2024
|
This annual shareholder reportcontains important information about the Donoghue Forlines Yield Enhanced Real Asset ETF for the period of August 1, 2023, to July 31, 2024. This report also describes certain planned changes to the Fund. You can find additional information about the Fund at https://www.fcf-funds.com/dfra/. You can also request this information by contacting us at 1-800-617-0004.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
|
Fund Name
|
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
|
Donoghue Forlines Yield Enhanced Real Asset ETF
|
$74
|
0.69%
|
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
During this period, the Fund was up 15.86% (NAV) and 16.15% (Market) and its style-specific benchmark was up 6.58%. The Fund's outperformance of its style-specific benchmark can be attributed to stock selection and sector composition. DFRA owns a portfolio of high-quality real asset stocks selected by our proprietary free cash flow algorithm. Real Assets underperformed the broad market during the time period. The largest contributors to performance were Consumer Staples and Industrials stocks. The largest detractors were Healthcare and Consumer Discretionary stocks.
|
Top Contributors
|
|
|
↑
|
3M Co.
|
|
Top Detractors
|
|
|
↓
|
Woodside Energy Group Ltd. - ADR
|
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
In connection with new regulatory requirements, the Fund has changed its broad-based securities market benchmark from the S&P Real Assets Equity Index to the S&P 500 Index. The Fund will continue to compare its performance to (i) the S&P Real Assets Equity Index, which reflects the market segments in which the Fund invests, and (ii) the FCF Yield Enhanced Real Asset Index, which is the index the Fund seeks to track, before fees and expenses.
| Donoghue Forlines Yield Enhanced Real Asset ETF | PAGE 1 | TSR_AR_89628W708 |
ANNUAL AVERAGE TOTAL RETURN (%)
|
1 Year
|
Since Inception
(12/13/2021) |
|
|
Donoghue Forlines Yield Enhanced Real Asset ETF NAV
|
15.86
|
15.37
|
|
Donoghue Forlines Yield Enhanced Real Asset ETF Market
|
16.15
|
15.35
|
|
S&P 500 TR
|
22.15
|
8.28
|
|
S&P Real Assets Equity Index (Net TR)
|
6.58
|
0.88
|
|
FCF Yield Enhanced Real Asset Index
|
15.44
|
14.90
|
Visit https://www.fcf-funds.com/dfra/for more recent performance information.
| * | The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
KEY FUND STATISTICS (as of July 31, 2024)
|
Net Assets
|
$44,675,478
|
|
Number of Holdings
|
75
|
|
Net Advisory Fee
|
$304,908
|
|
Portfolio Turnover
|
84%
|
|
30-Day SEC Yield
|
3.86%
|
|
30-Day SEC Yield Unsubsidized
|
3.86%
|
Visit https://www.fcf-funds.com/dfra/for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of July 31, 2024)
|
Top 10 Issuers
|
(% of net assets)
|
|
Mount Vernon Liquid Assets Portfolio, LLC
|
22.9%
|
|
Petroleo Brasileiro SA
|
3.5%
|
|
Exxon Mobil Corp.
|
2.8%
|
|
Shell PLC
|
2.6%
|
|
3M Co.
|
2.5%
|
|
BHP Group Ltd.
|
2.3%
|
|
Chevron Corp.
|
2.3%
|
|
TotalEnergies SE
|
2.1%
|
|
BP PLC
|
2.0%
|
|
Energy Transfer LP
|
1.9%
|
Sector Breakdown (% of net assets)
CERTAIN CHANGES TO THE FUND
This is a summary of certain planned changes to the Fund since August 1, 2023. For more complete information, you may review the Fund's next prospectus, which we expect to be available by November 28, 2024, at https://www.fcf-funds.com/dfra/or upon request at 1-800-617-0004.
Changes to the Fund's Investment Adviser
On August 7, 2024, Abacus Life, Inc., a pioneering alternative asset manager specializing in longevity and actuarial technology, announced a definitive agreement to acquire FCF Advisors LLC, the investment adviser for the Fund. The transaction is expected to close in the fourth quarter of 2024.
| Donoghue Forlines Yield Enhanced Real Asset ETF | PAGE 2 | TSR_AR_89628W708 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.fcf-funds.com/dfra/
The Fund is distributed by Quasar Distributors, LLC.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your FCF Advisors LLC documents not be householded, please contact FCF Advisors LLC at 1-800-617-0004, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by FCF Advisors LLC or your financial intermediary.
| Donoghue Forlines Yield Enhanced Real Asset ETF | PAGE 3 | TSR_AR_89628W708 |
| (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 substantive 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 the TrimTabs ETF Trust has determined that it does not have an audit committee financial expert serving on its audit committee. At this time, the registrant believes that the experience provided by each member of the audit committee together offers the registrant adequate oversight for the registrant's level of financial complexity.
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 two fiscal years. "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. The following tables detail the aggregate fees billed or expected to be billed for each of the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.
FCF US Quality ETF
| FYE 07/31/2024 |
FYE 07/31/2023 |
|
| (a) Audit Fees | $12,500 | $12,500 |
| (b) Audit-Related Fees | N/A | N/A |
| (c) Tax Fees | $3,000 | $3,000 |
| (d) All Other Fees | N/A | N/A |
FCF International Quality ETF
| FYE 07/31/2024 |
FYE 07/31/2023 |
|
| (a) Audit Fees | $14,500 | $14,500 |
| (b) Audit-Related Fees | N/A | N/A |
| (c) Tax Fees | $3,000 | $3,000 |
| (d) All Other Fees | N/A | N/A |
Donoghue Forlines Tactical High Yield ETF
| FYE 07/31/2024 |
FYE 07/31/2023 |
|
| (a) Audit Fees | $12,500 | $12,500 |
| (b) Audit-Related Fees | N/A | N/A |
| (c) Tax Fees | $3,000 | $3,000 |
| (d) All Other Fees | N/A | N/A |
Donoghue Forlines Innovation ETF
| FYE 07/31/2024 |
FYE 07/31/2023 |
|
| (a) Audit Fees | $12,500 | $12,500 |
| (b) Audit-Related Fees | N/A | N/A |
| (c) Tax Fees | $3,000 | $3,000 |
|
(d) All Other Fees |
N/A |
N/A |
Donoghue Forlines Yield Enhanced Real Asset ETF
|
FYE 07/31/2024 |
FYE 07/31/2023 |
|
| (a) Audit Fees | $12,500 | $12,500 |
| (b) Audit-Related Fees | N/A | N/A |
| (c) Tax Fees | $3,000 | $3,000 |
|
(d) All Other Fees |
N/A |
N/A |
(e)(1) 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.
(e)(2) The percentage of fees billed by Cohen & Company, Ltd. applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:
FCF US Quality ETF
| FYE 07/31/2024 | FYE 07/31/2023 | |
| Audit-Related Fees | 0% | 0% |
| Tax Fees | 0% | 0% |
| All Other Fees | 0% | 0% |
FCF International Quality ETF
| FYE 07/31/2024 | FYE 07/31/2023 | |
| Audit-Related Fees | 0% | 0% |
| Tax Fees | 0% | 0% |
| All Other Fees | 0% | 0% |
Donoghue Forlines Tactical High Yield ETF
| FYE 07/31/2024 | FYE 07/31/2023 | |
| Audit-Related Fees | 0% | 0% |
| Tax Fees | 0% | 0% |
| All Other Fees | 0% | 0% |
Donoghue Forlines Innovation ETF
| FYE 07/31/2024 | FYE 07/31/2023 | |
| Audit-Related Fees | 0% | 0% |
| Tax Fees | 0% | 0% |
| All Other Fees | 0% | 0% |
Donoghue Forlines Yield Enhanced Real Asset ETF
| FYE 07/31/2024 | FYE 07/31/2023 | |
| Audit-Related Fees | 0% | 0% |
| Tax Fees | 0% | 0% |
| All Other Fees | 0% | 0% |
(f) Not applicable.
(g) 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 two years.
FCF US Quality ETF
| Non-Audit Related Fees | FYE 07/31/2024 | FYE 07/31/2023 |
| Registrant | - | - |
| Registrant's Investment Adviser | - | - |
FCF International Quality ETF
| Non-Audit Related Fees | FYE 07/31/2024 | FYE 07/31/2023 |
| Registrant | - | - |
| Registrant's Investment Adviser | - | - |
Donoghue Forlines Tactical High Yield ETF
| Non-Audit Related Fees | FYE 07/31/2024 | FYE 07/31/2023 |
| Registrant | - | - |
| Registrant's Investment Adviser | - | - |
Donoghue Forlines Innovation ETF
| Non-Audit Related Fees | FYE 07/31/2024 | FYE 07/31/2023 |
| Registrant | - | - |
| Registrant's Investment Adviser | - | - |
Donoghue Forlines Yield Enhanced Real Asset ETF
| Non-Audit Related Fees | FYE 07/31/2024 | FYE 07/31/2023 |
| Registrant | - | - |
| Registrant's Investment Adviser | - | - |
(h) 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.
The registrant has not been identified by the U.S. Securities and Exchange Commission as having filed an annual report issued by a registered public accounting firm branch or office that is located in a foreign jurisdiction where the Public Company Accounting Oversight Board is unable to inspect or completely investigate because of a position taken by an authority in that jurisdiction.
The registrant is not a foreign issuer.
Item 5. Audit Committee of Listed Registrants.
(a) 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: David Kelly and Stephen Posner.
(b) Not applicable.
Item 6. Investments.
| (a) | Schedules of Investments are included within the financial statements filed under Item 7 of this Form. |
| (b) | Not applicable. |
Item 7. Financial Statements and Financial Highlights for Open-End Investment Companies.
| (a) |
TRIMTABS ETF TRUST
FCF US Quality ETF (TTAC)
FCF International Quality ETF (TTAI)
Donoghue Forlines Tactical High Yield ETF (DFHY)
Donoghue Forlines Innovation ETF (DFNV)
Donoghue Forlines Yield Enhanced Real Asset ETF (DFRA)
Financial Statements
July 31, 2024
TABLE OF CONTENTS
|
Page
|
|||
|
Schedules of Investments
|
|||
|
FCF US Quality ETF
|
1
|
||
|
FCF International Quality ETF
|
6
|
||
|
Donoghue Forlines Tactical High Yield ETF
|
12
|
||
|
Donoghue Forlines Innovation ETF
|
13
|
||
|
Donoghue Forlines Yield Enhanced Real Asset ETF
|
17
|
||
|
Statements of Assets and Liabilities
|
20
|
||
|
Statements of Operations
|
21
|
||
|
Statements of Changes in Net Assets
|
22
|
||
|
Financial Highlights
|
|||
|
FCF US Quality ETF
|
27
|
||
|
FCF International Quality ETF
|
28
|
||
|
Donoghue Forlines Tactical High Yield ETF
|
29
|
||
|
Donoghue Forlines Innovation ETF
|
30
|
||
|
Donoghue Forlines Yield Enhanced Real Asset ETF
|
31
|
||
|
Notes to Financial Statements
|
32
|
||
|
Report of Independent Registered Public Accounting Firm
|
43
|
||
|
Investment Advisory and Sub-Advisory Agreement Approval - The New Advisory and Sub-Advisory Agreements
|
44
|
||
TABLE OF CONTENTS
FCF US Quality ETF
Schedule of Investments
July 31, 2024
|
Shares
|
Value
|
|||||
|
COMMON STOCKS - 99.4%
|
||||||
|
Communications - 7.7%
|
||||||
|
AppLovin Corp. - Class A(a)
|
44,185
|
$ 3,406,663
|
||||
|
Booking Holdings, Inc.
|
1,086
|
4,034,501
|
||||
|
Electronic Arts, Inc.
|
18,572
|
2,803,258
|
||||
|
Expedia Group, Inc.(a)
|
16,044
|
2,048,337
|
||||
|
Match Group, Inc.(a)
|
39,759
|
1,516,408
|
||||
|
Meta Platforms, Inc. - Class A
|
20,906
|
9,926,796
|
||||
|
Netflix, Inc.(a)
|
4,897
|
3,077,030
|
||||
|
New York Times Co. - Class A
|
17,991
|
964,138
|
||||
|
Pinterest, Inc. - Class A(a)
|
35,368
|
1,130,008
|
||||
|
Trade Desk, Inc. - Class A(a)
|
34,287
|
3,081,716
|
||||
|
31,988,855
|
||||||
|
Consumer Discretionary - 12.5%
|
||||||
|
Abercrombie & Fitch Co. - Class A(a)
|
11,647
|
1,717,699
|
||||
|
American Eagle Outfitters, Inc.(b)
|
36,621
|
807,493
|
||||
|
Columbia Sportswear Co.(b)
|
26,588
|
2,172,240
|
||||
|
Coupang, Inc.(a)(b)
|
51,552
|
1,069,704
|
||||
|
Deckers Outdoor Corp.(a)
|
3,269
|
3,016,077
|
||||
|
ePlus, Inc.(a)
|
16,719
|
1,536,810
|
||||
|
Etsy, Inc.(a)
|
19,486
|
1,269,318
|
||||
|
Fortune Brands Innovations, Inc.
|
14,844
|
1,199,544
|
||||
|
Gap, Inc.
|
41,100
|
965,028
|
||||
|
Griffon Corp.
|
14,964
|
1,078,306
|
||||
|
Hasbro, Inc.
|
10,540
|
679,408
|
||||
|
Hilton Worldwide Holdings, Inc.
|
17,386
|
3,732,253
|
||||
|
Home Depot, Inc.
|
25,658
|
9,446,249
|
||||
|
KB Home
|
29,722
|
2,558,470
|
||||
|
Kontoor Brands, Inc.(b)
|
30,158
|
2,115,584
|
||||
|
Las Vegas Sands Corp.
|
39,695
|
1,574,701
|
||||
|
Lennar Corp. - Class A
|
10,404
|
1,840,780
|
||||
|
Live Nation Entertainment, Inc.(a)(b)
|
10,062
|
967,864
|
||||
|
Masco Corp.
|
34,062
|
2,651,727
|
||||
|
NIKE, Inc. - Class B
|
35,731
|
2,674,823
|
||||
|
Pool Corp.(b)
|
4,823
|
1,803,995
|
||||
|
Ralph Lauren Corp.
|
4,536
|
796,476
|
||||
|
Scotts Miracle-Gro Co.(b)
|
26,347
|
2,070,874
|
||||
|
Tapestry, Inc.
|
30,871
|
1,237,618
|
||||
|
Williams-Sonoma, Inc.(b)
|
16,264
|
2,515,715
|
||||
|
51,498,756
|
||||||
|
Consumer Staples - 7.2%
|
||||||
|
Altria Group, Inc.
|
78,662
|
3,855,225
|
||||
|
Archer-Daniels-Midland Co.
|
23,812
|
1,476,582
|
||||
|
BellRing Brands, Inc.(a)
|
37,785
|
1,937,615
|
||||
|
Clorox Co.
|
10,932
|
1,442,259
|
||||
|
Colgate-Palmolive Co.
|
59,613
|
5,913,013
|
||||
The accompanying notes are an integral part of these financial statements.
|
1
|
TABLE OF CONTENTS
FCF US Quality ETF
Schedule of Investments
July 31, 2024(Continued)
|
Shares
|
Value
|
|||||
|
COMMON STOCKS - (Continued)
|
||||||
|
Consumer Staples - (Continued)
|
||||||
|
Ingredion, Inc.
|
19,053
|
$ 2,369,622
|
||||
|
Kimberly-Clark Corp.
|
29,109
|
3,931,170
|
||||
|
Philip Morris International, Inc.
|
38,689
|
4,455,425
|
||||
|
Procter & Gamble Co.
|
26,925
|
4,328,463
|
||||
|
29,709,374
|
||||||
|
Energy - 2.6%
|
||||||
|
ChampionX Corp.
|
60,528
|
2,073,689
|
||||
|
Enphase Energy, Inc.(a)(b)
|
11,637
|
1,339,535
|
||||
|
HF Sinclair Corp.
|
22,031
|
1,133,936
|
||||
|
Marathon Petroleum Corp.
|
23,341
|
4,131,824
|
||||
|
Weatherford International PLC(a)
|
17,763
|
2,093,547
|
||||
|
10,772,531
|
||||||
|
Financials - 9.2%
|
||||||
|
American Express Co.
|
28,495
|
7,210,375
|
||||
|
American Financial Group, Inc.
|
9,783
|
1,281,182
|
||||
|
Ameriprise Financial, Inc.
|
7,767
|
3,340,354
|
||||
|
Artisan Partners Asset Management, Inc. - Class A(b)
|
46,565
|
2,056,310
|
||||
|
Broadridge Financial Solutions, Inc.
|
12,447
|
2,663,658
|
||||
|
Cincinnati Financial Corp.
|
17,262
|
2,254,762
|
||||
|
Erie Indemnity Co. - Class A(b)
|
2,453
|
1,082,141
|
||||
|
Euronet Worldwide, Inc.(a)
|
16,182
|
1,650,402
|
||||
|
Fidelity National Information Services, Inc.
|
20,915
|
1,606,899
|
||||
|
Jack Henry & Associates, Inc.
|
7,940
|
1,361,551
|
||||
|
OneMain Holdings, Inc.
|
16,363
|
855,130
|
||||
|
SEI Investments Co.
|
26,597
|
1,804,341
|
||||
|
Synchrony Financial
|
62,969
|
3,198,196
|
||||
|
T Rowe Price Group, Inc.
|
22,895
|
2,614,838
|
||||
|
Visa, Inc. - Class A
|
15,833
|
4,206,353
|
||||
|
Western Union Co.
|
62,749
|
746,086
|
||||
|
37,932,578
|
||||||
|
Health Care - 10.5%
|
||||||
|
AbbVie, Inc.
|
60,362
|
11,186,286
|
||||
|
Agilent Technologies, Inc.
|
17,840
|
2,522,576
|
||||
|
Bristol-Myers Squibb Co.
|
112,001
|
5,326,768
|
||||
|
Chemed Corp.
|
1,474
|
840,416
|
||||
|
Gilead Sciences, Inc.
|
69,112
|
5,256,659
|
||||
|
Halozyme Therapeutics, Inc.(a)
|
47,571
|
2,628,773
|
||||
|
Medpace Holdings, Inc.(a)
|
9,701
|
3,710,826
|
||||
|
Merck & Co., Inc.
|
71,856
|
8,129,069
|
||||
|
Mettler-Toledo International, Inc.(a)
|
1,464
|
2,226,788
|
||||
|
Neurocrine Biosciences, Inc.(a)
|
10,955
|
1,550,899
|
||||
|
43,379,060
|
||||||
The accompanying notes are an integral part of these financial statements.
|
2
|
TABLE OF CONTENTS
FCF US Quality ETF
Schedule of Investments
July 31, 2024(Continued)
|
Shares
|
Value
|
|||||
|
COMMON STOCKS - (Continued)
|
||||||
|
Industrials - 12.3%
|
||||||
|
3M Co.
|
41,538
|
$ 5,298,172
|
||||
|
Acuity Brands, Inc.
|
3,813
|
958,397
|
||||
|
Argan, Inc.
|
28,838
|
2,276,183
|
||||
|
Automatic Data Processing, Inc.
|
12,943
|
3,399,091
|
||||
|
Cactus, Inc. - Class A(b)
|
40,803
|
2,575,485
|
||||
|
Comfort Systems USA, Inc.
|
3,948
|
1,312,394
|
||||
|
Core & Main, Inc. - Class A(a)
|
43,763
|
2,340,008
|
||||
|
CSW Industrials, Inc.
|
3,838
|
1,245,124
|
||||
|
Cummins, Inc.
|
6,496
|
1,895,533
|
||||
|
Donaldson Co., Inc.
|
22,275
|
1,666,615
|
||||
|
EMCOR Group, Inc.
|
4,674
|
1,754,806
|
||||
|
Exponent, Inc.
|
18,463
|
1,958,555
|
||||
|
Fastenal Co.
|
30,900
|
2,186,175
|
||||
|
Ferguson PLC
|
12,325
|
2,744,161
|
||||
|
Gibraltar Industries, Inc.(a)
|
9,463
|
702,817
|
||||
|
H&R Block, Inc.
|
43,721
|
2,533,195
|
||||
|
Keysight Technologies, Inc.(a)
|
4,062
|
566,933
|
||||
|
Landstar System, Inc.
|
2,393
|
455,268
|
||||
|
Lincoln Electric Holdings, Inc.
|
3,376
|
693,464
|
||||
|
MSA Safety, Inc.
|
8,344
|
1,574,096
|
||||
|
Mueller Industries, Inc.
|
35,003
|
2,483,113
|
||||
|
Paychex, Inc.(b)
|
20,794
|
2,662,048
|
||||
|
Robert Half International, Inc.
|
15,693
|
1,007,334
|
||||
|
Rollins, Inc.
|
37,070
|
1,776,024
|
||||
|
TopBuild Corp.(a)(b)
|
2,659
|
1,272,438
|
||||
|
Trane Technologies PLC
|
7,156
|
2,392,108
|
||||
|
Watsco, Inc.(b)
|
2,571
|
1,258,479
|
||||
|
50,988,016
|
||||||
|
Materials - 3.2%
|
||||||
|
Apogee Enterprises, Inc.
|
33,216
|
2,279,946
|
||||
|
Carlisle Cos., Inc.
|
4,814
|
2,015,044
|
||||
|
Olin Corp.
|
17,526
|
799,361
|
||||
|
Owens Corning
|
6,224
|
1,160,029
|
||||
|
RPM International, Inc.
|
20,543
|
2,495,153
|
||||
|
Sylvamo Corp.
|
26,006
|
1,916,902
|
||||
|
UFP Industries, Inc.
|
9,989
|
1,317,849
|
||||
|
WD-40 Co.(b)
|
4,320
|
1,130,155
|
||||
|
13,114,439
|
||||||
|
Technology - 33.7%(c)
|
||||||
|
Accenture PLC - Class A
|
18,898
|
6,248,057
|
||||
|
Adobe, Inc.(a)
|
11,505
|
6,346,733
|
||||
|
Apple, Inc.
|
116,125
|
25,789,040
|
||||
|
Applied Materials, Inc.
|
18,699
|
3,967,928
|
||||
|
Atlassian Corp. - Class A(a)
|
11,376
|
2,008,660
|
||||
The accompanying notes are an integral part of these financial statements.
|
3
|
TABLE OF CONTENTS
FCF US Quality ETF
Schedule of Investments
July 31, 2024(Continued)
|
Shares
|
Value
|
|||||
|
COMMON STOCKS - (Continued)
|
||||||
|
Technology - (Continued)
|
||||||
|
Autodesk, Inc.(a)
|
13,084
|
$ 3,238,552
|
||||
|
Box, Inc. - Class A(a)(b)
|
71,232
|
2,003,044
|
||||
|
Cadence Design Systems, Inc.(a)
|
9,315
|
2,493,253
|
||||
|
CommVault Systems, Inc.(a)
|
22,779
|
3,481,770
|
||||
|
Crowdstrike Holdings, Inc. - Class A(a)
|
11,507
|
2,669,164
|
||||
|
Datadog, Inc. - Class A(a)
|
19,150
|
2,229,826
|
||||
|
DocuSign, Inc.(a)
|
39,282
|
2,179,365
|
||||
|
Dropbox, Inc. - Class A(a)
|
53,942
|
1,290,293
|
||||
|
Fortinet, Inc.(a)
|
56,321
|
3,268,871
|
||||
|
Gartner, Inc.(a)
|
7,383
|
3,700,286
|
||||
|
Gen Digital, Inc.
|
49,558
|
1,288,012
|
||||
|
International Business Machines Corp.
|
32,888
|
6,319,100
|
||||
|
Intuit, Inc.
|
6,399
|
4,142,393
|
||||
|
KLA Corp.
|
5,373
|
4,422,355
|
||||
|
Lam Research Corp.
|
5,089
|
4,688,190
|
||||
|
Manhattan Associates, Inc.(a)
|
8,638
|
2,205,972
|
||||
|
Microchip Technology, Inc.
|
27,162
|
2,411,442
|
||||
|
Motorola Solutions, Inc.
|
11,225
|
4,477,877
|
||||
|
NetApp, Inc.
|
21,286
|
2,702,896
|
||||
|
Nutanix, Inc. - Class A(a)
|
29,968
|
1,513,684
|
||||
|
Palo Alto Networks, Inc.(a)
|
14,390
|
4,672,865
|
||||
|
Pegasystems, Inc.
|
23,204
|
1,617,783
|
||||
|
Pure Storage, Inc. - Class A(a)
|
44,726
|
2,680,429
|
||||
|
QUALCOMM, Inc.
|
44,832
|
8,112,350
|
||||
|
Qualys, Inc.(a)
|
5,794
|
864,117
|
||||
|
RingCentral, Inc. - Class A(a)
|
34,173
|
1,197,764
|
||||
|
ServiceNow, Inc.(a)
|
7,397
|
6,024,043
|
||||
|
Skyworks Solutions, Inc.
|
16,113
|
1,830,759
|
||||
|
Squarespace, Inc. - Class A(a)
|
38,977
|
1,722,394
|
||||
|
Tenable Holdings, Inc.(a)
|
11,853
|
544,290
|
||||
|
Teradata Corp.(a)
|
11,123
|
360,608
|
||||
|
Workday, Inc. - Class A(a)
|
7,320
|
1,662,518
|
||||
|
Zoom Video Communications, Inc. - Class A(a)
|
21,874
|
1,321,189
|
||||
|
Zscaler, Inc.(a)
|
8,742
|
1,567,878
|
||||
|
139,265,750
|
||||||
|
Utilities - 0.5%
|
||||||
|
Vistra Corp.
|
24,989
|
1,979,629
|
||||
|
TOTAL COMMON STOCKS
(Cost $357,334,167)
|
410,628,988
|
|||||
The accompanying notes are an integral part of these financial statements.
|
4
|
TABLE OF CONTENTS
FCF US Quality ETF
Schedule of Investments
July 31, 2024(Continued)
|
Shares
|
Value
|
|||||
|
SHORT-TERM INVESTMENTS - 5.1%
|
||||||
|
Investments Purchased with Proceeds from Securities Lending - 5.1%
|
||||||
|
Mount Vernon Liquid Assets Portfolio, LLC, 5.45%(d)
|
20,931,374
|
$20,931,374
|
||||
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $20,931,374)
|
20,931,374
|
|||||
|
TOTAL INVESTMENTS - 104.5%
(Cost $378,265,541)
|
$431,560,362
|
|||||
|
Money Market Deposit Account - 0.5%(e)
|
2,234,786
|
|||||
|
Liabilities in Excess of Other Assets - (5.0)%
|
(20,833,071)
|
|||||
|
TOTAL NET ASSETS - 100.0%
|
$412,962,077
|
|||||
Percentages are stated as a percent of net assets.
PLC - Public Limited Company
|
(a)
|
Non-income producing security.
|
|
(b)
|
All or a portion of this security is on loan as of July 31, 2024. The total market value of these securities was $20,722,366 which represented 5.0% of net assets.
|
|
(c)
|
Amount represents investments in a particular sector. No industry within this sector represented more than 25% of the Fund's total assets at the time of investment.
|
|
(d)
|
The rate shown represents the 7-day annualized effective yield as of July 31, 2024.
|
|
(e)
|
The U.S. Bank Money Market Deposit Account (the "MMDA") is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of July 31, 2024 was 5.24%.
|
For Fund compliance purposes, the Fund's sector classifications refers to any one or more of the sector classifications used by one or more widely recognized market indexes or ratings group indexes, and/or they may be defined by Fund management. This definition does not apply for all purposes of this report, which may combine classifications for reporting ease.
The accompanying notes are an integral part of these financial statements.
|
5
|
TABLE OF CONTENTS
FCF International Quality ETF
Schedule of Investments
July 31, 2024
|
Shares
|
Value
|
|||||
|
COMMON STOCKS - 97.2%
|
||||||
|
Communications - 5.2%
|
||||||
|
Auto Trader Group PLC(a)
|
40,830
|
$ 428,099
|
||||
|
Focus Media Information Technology Co. Ltd. - Class A
|
240,800
|
193,252
|
||||
|
Hellenic Telecommunications Organization SA
|
6,266
|
102,874
|
||||
|
Koninklijke KPN NV
|
103,762
|
408,310
|
||||
|
Kuaishou Technology(a)(b)
|
20,700
|
116,047
|
||||
|
Meituan - Class B(a)(b)
|
10,000
|
139,898
|
||||
|
NetEase, Inc. - ADR
|
7,041
|
648,546
|
||||
|
REA Group Ltd.
|
2,499
|
334,394
|
||||
|
SOOP Co. Ltd.
|
1,159
|
87,130
|
||||
|
Telstra Group Ltd.
|
129,337
|
333,245
|
||||
|
Universal Music Group NV
|
15,670
|
372,926
|
||||
|
3,164,721
|
||||||
|
Consumer Discretionary - 19.6%
|
||||||
|
Amadeus IT Group SA
|
2,526
|
166,049
|
||||
|
ANTA Sports Products Ltd.
|
27,577
|
247,432
|
||||
|
Avolta AG
|
6,512
|
246,310
|
||||
|
Berkeley Group Holdings PLC
|
3,021
|
197,289
|
||||
|
Brunello Cucinelli SpA
|
1,540
|
143,917
|
||||
|
Bunzl PLC
|
7,303
|
305,872
|
||||
|
Burberry Group PLC
|
12,605
|
125,583
|
||||
|
Chongqing Changan Automobile Co. Ltd. - Class A
|
69,500
|
140,307
|
||||
|
Chow Tai Fook Jewellery Group Ltd.
|
265,083
|
240,897
|
||||
|
Cie Financiere Richemont SA
|
1,978
|
301,968
|
||||
|
Fast Retailing Co. Ltd.
|
1,271
|
353,374
|
||||
|
Ferrari NV
|
1,082
|
446,877
|
||||
|
Games Workshop Group PLC
|
1,317
|
174,385
|
||||
|
Geberit AG
|
729
|
465,430
|
||||
|
Gree Electric Appliances, Inc. of Zhuhai - Class A
|
168,200
|
931,412
|
||||
|
H & M Hennes & Mauritz AB - Class B
|
35,400
|
549,551
|
||||
|
Haidilao International Holding Ltd.(a)
|
88,602
|
144,025
|
||||
|
Industria de Diseno Textil SA
|
15,280
|
741,841
|
||||
|
InterContinental Hotels Group PLC
|
6,177
|
622,560
|
||||
|
JD Sports Fashion PLC
|
156,025
|
263,960
|
||||
|
Kia Corp.
|
5,598
|
455,810
|
||||
|
La Francaise des Jeux SAEM(a)
|
7,756
|
301,342
|
||||
|
Lululemon Athletica, Inc.(b)(c)
|
903
|
233,570
|
||||
|
Moncler SpA
|
2,119
|
126,314
|
||||
|
New Oriental Education & Technology Group, Inc. - ADR(b)
|
3,332
|
209,316
|
||||
|
Next PLC
|
4,345
|
506,846
|
||||
|
OPAP SA
|
15,380
|
268,151
|
||||
|
Pandora AS
|
3,203
|
502,138
|
||||
|
PDD Holdings, Inc. - ADR(b)
|
9,932
|
1,280,135
|
||||
|
Subaru Corp.
|
13,191
|
262,975
|
||||
The accompanying notes are an integral part of these financial statements.
|
6
|
TABLE OF CONTENTS
FCF International Quality ETF
Schedule of Investments
July 31, 2024(Continued)
|
Shares
|
Value
|
|||||
|
COMMON STOCKS - (Continued)
|
||||||
|
Consumer Discretionary - (Continued)
|
||||||
|
Topsports International Holdings Ltd.(a)
|
152,604
|
$ 68,168
|
||||
|
Vipshop Holdings Ltd. - ADR
|
15,299
|
208,678
|
||||
|
Wesfarmers Ltd.
|
13,183
|
634,938
|
||||
|
11,867,420
|
||||||
|
Consumer Staples - 7.1%
|
||||||
|
B&M European Value Retail SA
|
41,639
|
250,568
|
||||
|
Carlsberg AS - Class B
|
3,085
|
372,863
|
||||
|
Chongqing Brewery Co. Ltd. - Class A
|
13,742
|
117,815
|
||||
|
Clicks Group Ltd.
|
16,924
|
328,955
|
||||
|
Colruyt Group N.V
|
2,795
|
134,063
|
||||
|
Dollarama, Inc.
|
8,346
|
782,402
|
||||
|
Imperial Brands PLC
|
17,213
|
474,426
|
||||
|
Jeronimo Martins SGPS SA
|
12,596
|
220,157
|
||||
|
Loblaw Cos. Ltd.
|
3,147
|
388,061
|
||||
|
Nongfu Spring Co. Ltd. - Class H(a)
|
41,133
|
160,313
|
||||
|
President Chain Store Corp.
|
22,949
|
193,744
|
||||
|
Unilever PLC
|
14,079
|
864,418
|
||||
|
4,287,785
|
||||||
|
Energy - 3.6%
|
||||||
|
Canadian Natural Resources Ltd.
|
13,572
|
481,874
|
||||
|
Cenovus Energy, Inc.
|
8,475
|
170,771
|
||||
|
Gaztransport Et Technigaz SA
|
1,251
|
184,671
|
||||
|
Imperial Oil Ltd.
|
6,260
|
448,467
|
||||
|
MEG Energy Corp.(b)
|
8,130
|
168,471
|
||||
|
Petroleo Brasileiro SA - ADR
|
29,634
|
422,877
|
||||
|
Suncor Energy, Inc.
|
7,778
|
310,635
|
||||
|
2,187,766
|
||||||
|
Financials - 7.4%
|
||||||
|
Admiral Group PLC
|
12,985
|
459,720
|
||||
|
BB Seguridade Participacoes SA - ADR
|
55,542
|
348,248
|
||||
|
Brookfield Asset Management Ltd. - Class A
|
7,789
|
339,959
|
||||
|
Capitec Bank Holdings Ltd.
|
1,854
|
288,700
|
||||
|
Computershare Ltd.
|
17,916
|
323,952
|
||||
|
Experian PLC
|
15,674
|
739,895
|
||||
|
Hargreaves Lansdown PLC
|
24,529
|
348,441
|
||||
|
Medibank Pvt Ltd.
|
135,785
|
353,410
|
||||
|
Partners Group Holding AG
|
503
|
678,785
|
||||
|
Singapore Exchange Ltd.
|
54,145
|
398,989
|
||||
|
Wise PLC - Class A(b)
|
18,985
|
174,870
|
||||
|
4,454,969
|
||||||
The accompanying notes are an integral part of these financial statements.
|
7
|
TABLE OF CONTENTS
FCF International Quality ETF
Schedule of Investments
July 31, 2024(Continued)
|
Shares
|
Value
|
|||||
|
COMMON STOCKS - (Continued)
|
||||||
|
Health Care - 15.0%
|
||||||
|
Aier Eye Hospital Group Co. Ltd. - Class A
|
119,215
|
$ 182,607
|
||||
|
Amplifon SpA
|
11,492
|
365,655
|
||||
|
BioNTech SE - ADR(b)(c)
|
2,133
|
183,865
|
||||
|
Demant AS(b)
|
5,447
|
208,546
|
||||
|
Genmab AS(b)
|
778
|
220,580
|
||||
|
GSK PLC
|
40,509
|
787,391
|
||||
|
Ipsen SA
|
2,348
|
264,277
|
||||
|
Lifco AB - Class B(b)
|
11,940
|
354,102
|
||||
|
Novartis AG
|
11,099
|
1,246,527
|
||||
|
Novo Nordisk AS - Class B
|
22,968
|
3,037,796
|
||||
|
Recordati Industria Chimica e Farmaceutica SpA
|
3,144
|
171,321
|
||||
|
Roche Holding AG
|
5,302
|
1,726,359
|
||||
|
Sonova Holding AG
|
1,166
|
357,737
|
||||
|
9,106,763
|
||||||
|
Industrials - 14.4%
|
||||||
|
ABB Ltd.
|
5,490
|
305,101
|
||||
|
Air Canada(b)
|
10,619
|
122,369
|
||||
|
BAE Systems PLC
|
46,546
|
776,086
|
||||
|
Bureau Veritas SA
|
10,416
|
326,909
|
||||
|
China CSSC Holdings Ltd. - Class A
|
40,000
|
226,815
|
||||
|
Ferguson PLC
|
2,381
|
530,130
|
||||
|
Grupo Aeroportuario del Centro Norte SAB de CV
|
21,010
|
180,509
|
||||
|
Hanwha Aerospace Co. Ltd.
|
2,428
|
507,909
|
||||
|
Hyundai Glovis Co. Ltd.
|
1,794
|
158,323
|
||||
|
Indutrade AB
|
8,764
|
257,293
|
||||
|
Intertek Group PLC
|
6,639
|
431,004
|
||||
|
Kuehne + Nagel International AG
|
1,851
|
574,648
|
||||
|
NARI Technology Co. Ltd. - Class A
|
37,300
|
123,971
|
||||
|
Recruit Holdings Co. Ltd.
|
10,078
|
582,459
|
||||
|
RELX PLC
|
27,876
|
1,316,251
|
||||
|
Schindler Holding AG
|
1,043
|
279,242
|
||||
|
SGS SA(c)
|
4,731
|
517,971
|
||||
|
Singapore Airlines Ltd.
|
70,919
|
369,795
|
||||
|
Voltronic Power Technology Corp.
|
2,000
|
112,869
|
||||
|
Wolters Kluwer NV
|
5,911
|
992,204
|
||||
|
8,691,858
|
||||||
|
Materials - 8.8%
|
||||||
|
Aluminum Corp. of China Ltd. - Class A
|
267,267
|
255,172
|
||||
|
BHP Group Ltd.
|
47,778
|
1,321,638
|
||||
|
Brenntag SE
|
3,951
|
281,445
|
||||
|
EMS-Chemie Holding AG
|
269
|
224,792
|
||||
|
Evraz PLC(b)(d)
|
49,526
|
0
|
||||
|
Exxaro Resources Ltd.
|
15,965
|
170,822
|
||||
|
Fortescue Ltd.
|
35,640
|
439,799
|
||||
|
Henan Shenhuo Coal Industry & Electricity Power Co. Ltd. - Class A
|
136,300
|
310,242
|
||||
The accompanying notes are an integral part of these financial statements.
|
8
|
TABLE OF CONTENTS
FCF International Quality ETF
Schedule of Investments
July 31, 2024(Continued)
|
Shares
|
Value
|
|||||
|
COMMON STOCKS - (Continued)
|
||||||
|
Materials - (Continued)
|
||||||
|
IMCD NV
|
1,379
|
$ 198,492
|
||||
|
Kingspan Group PLC
|
4,318
|
403,761
|
||||
|
Kumba Iron Ore Ltd.
|
10,308
|
224,860
|
||||
|
Qinghai Salt Lake Industry Co. Ltd. - Class A(b)
|
141,300
|
303,831
|
||||
|
Shaanxi Coal Industry Co. Ltd. - Class A
|
105,853
|
342,588
|
||||
|
Shanxi Lu'an Environmental Energy Development Co. Ltd. - Class A
|
114,189
|
245,694
|
||||
|
Southern Copper Corp.(c)
|
1,756
|
187,207
|
||||
|
SSAB AB - Class B
|
17,561
|
88,878
|
||||
|
Tenaris SA
|
18,865
|
298,900
|
||||
|
5,298,121
|
||||||
|
Technology - 14.8%
|
||||||
|
Accenture PLC - Class A
|
3,880
|
1,282,806
|
||||
|
Accton Technology Corp.
|
15,893
|
245,140
|
||||
|
Atlassian Corp. - Class A(b)
|
2,566
|
453,079
|
||||
|
BE Semiconductor Industries NV
|
2,291
|
295,425
|
||||
|
CGI, Inc.(b)
|
3,887
|
443,219
|
||||
|
Check Point Software Technologies Ltd.(b)
|
4,145
|
760,400
|
||||
|
Constellation Software, Inc.
|
352
|
1,110,646
|
||||
|
eMemory Technology, Inc.
|
2,688
|
188,495
|
||||
|
Infosys Ltd. - ADR(c)
|
35,152
|
777,914
|
||||
|
Logitech International SA
|
6,828
|
615,940
|
||||
|
MediaTek, Inc.
|
11,795
|
437,782
|
||||
|
Monday.com Ltd.(b)(c)
|
431
|
99,048
|
||||
|
Nemetschek SE
|
3,083
|
294,787
|
||||
|
Nomura Research Institute Ltd.
|
6,429
|
200,417
|
||||
|
Novatek Microelectronics Corp.
|
18,000
|
286,401
|
||||
|
Renesas Electronics Corp.
|
12,180
|
209,606
|
||||
|
Sage Group PLC
|
16,199
|
226,155
|
||||
|
Shenzhen Transsion Holdings Co. Ltd. - Class A
|
25,200
|
281,951
|
||||
|
Temenos AG
|
3,460
|
240,061
|
||||
|
Trend Micro, Inc.
|
3,043
|
147,249
|
||||
|
Xero Ltd.(b)
|
3,662
|
330,908
|
||||
|
8,927,429
|
||||||
|
Utilities - 1.3%
|
||||||
|
Centrica PLC
|
233,943
|
398,636
|
||||
|
Verbund AG - Class A
|
4,930
|
394,827
|
||||
|
793,463
|
||||||
|
TOTAL COMMON STOCKS
(Cost $53,864,946)
|
58,780,295
|
|||||
|
PREFERRED STOCKS - 0.4%
|
||||||
|
Materials - 0.4%
|
||||||
|
FUCHS SE
|
4,895
|
213,070
|
||||
|
TOTAL PREFERRED STOCKS
(Cost $219,561)
|
213,070
|
|||||
The accompanying notes are an integral part of these financial statements.
|
9
|
TABLE OF CONTENTS
FCF International Quality ETF
Schedule of Investments
July 31, 2024(Continued)
|
Shares
|
Value
|
|||||
|
WARRANTS - 0.0%(e)
|
||||||
|
Technology - 0.0%(e)
|
||||||
|
Constellation Software, Inc.(b)(d)
|
438
|
$0
|
||||
|
TOTAL WARRANTS
(Cost $0)
|
0
|
|||||
|
SHORT-TERM INVESTMENTS - 2.3%
|
||||||
|
Investments Purchased with Proceeds from Securities Lending - 2.3%
|
||||||
|
Mount Vernon Liquid Assets Portfolio, LLC , 5.45%(f)
|
1,375,911
|
1,375,911
|
||||
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $1,375,911)
|
1,375,911
|
|||||
|
TOTAL INVESTMENTS - 99.9%
(Cost $55,460,418)
|
$60,369,276
|
|||||
|
Money Market Deposit Account - 1.4%(g)
|
870,079
|
|||||
|
Liabilities in Excess of Other Assets - (1.3)%
|
(784,201)
|
|||||
|
TOTAL NET ASSETS - 100.0%
|
$60,455,154
|
|||||
Percentages are stated as a percent of net assets.
ADR - American Depositary Receipt
AG - Aktiengesellschaft
NV - Naamloze Vennootschap
PLC - Public Limited Company
SA - Sociedad Anónima
SAB de CV - Sociedad Anónima Bursátil de Capital Variable
|
(a)
|
Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of July 31, 2024, the value of these securities total $1,357,892 or 2.2% of the Fund's net assets.
|
|
(b)
|
Non-income producing security.
|
|
(c)
|
All or a portion of this security is on loan as of July 31, 2024. The total market value of these securities was $1,336,493 which represented 2.2% of net assets.
|
|
(d)
|
Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as Valuation Designee. These securities represented $0 or 0.0% of net assets as of July 31, 2024.
|
|
(e)
|
Represents less than 0.05% of net assets.
|
|
(f)
|
The rate shown represents the 7-day annualized effective yield as of July 31, 2024.
|
|
(g)
|
The U.S. Bank Money Market Deposit Account (the "MMDA") is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of July 31, 2024 was 5.24%.
|
For Fund compliance purposes, the Fund's sector classifications refers to any one or more of the sector classifications used by one or more widely recognized market indexes or ratings group indexes, and/or they may be defined by Fund management. This definition does not apply for all purposes of this report, which may combine classifications for reporting ease.
The accompanying notes are an integral part of these financial statements.
|
10
|
TABLE OF CONTENTS
FCF International Quality ETF
Schedule of Investments
July 31, 2024(Continued)
Allocation of Portfolio Holdings by Country as of July 31, 2024
(% of Net Assets)
|
United Kingdom
|
$9,662,690
|
16.0%
|
||||
|
Switzerland
|
7,780,871
|
12.9
|
||||
|
China
|
5,598,080
|
9.3
|
||||
|
Canada
|
5,000,445
|
8.3
|
||||
|
Denmark
|
4,341,923
|
7.2
|
||||
|
Australia
|
4,194,454
|
6.9
|
||||
|
Ireland
|
3,706,597
|
6.1
|
||||
|
Netherlands
|
2,267,357
|
3.7
|
||||
|
Japan
|
1,756,080
|
2.9
|
||||
|
Taiwan
|
1,464,431
|
2.4
|
||||
|
Italy
|
1,254,084
|
2.1
|
||||
|
Sweden
|
1,249,824
|
2.1
|
||||
|
South Korea
|
1,209,172
|
2.0
|
||||
|
France
|
1,077,199
|
1.8
|
||||
|
South Africa
|
1,013,337
|
1.7
|
||||
|
Germany
|
973,167
|
1.6
|
||||
|
Spain
|
907,890
|
1.5
|
||||
|
Israel
|
859,448
|
1.4
|
||||
|
India
|
777,914
|
1.3
|
||||
|
Brazil
|
771,125
|
1.3
|
||||
|
Singapore
|
768,784
|
1.3
|
||||
|
Austria
|
394,827
|
0.6
|
||||
|
Greece
|
371,025
|
0.6
|
||||
|
New Zealand
|
330,908
|
0.5
|
||||
|
Luxembourg
|
298,900
|
0.5
|
||||
|
Hong Kong
|
240,897
|
0.4
|
||||
|
Portugal
|
220,157
|
0.4
|
||||
|
United States
|
187,207
|
0.3
|
||||
|
Mexico
|
180,509
|
0.3
|
||||
|
Belgium
|
134,063
|
0.2
|
||||
|
Investments Purchased with Proceeds from Securities Lending
|
1,375,911
|
2.3
|
||||
|
Money Market Deposit Account
|
870,079
|
1.4
|
||||
|
Liabilities in Excess of Other Assets
|
(784,201)
|
(1.3)
|
||||
|
$60,455,154
|
100.0%
|
|||||
The accompanying notes are an integral part of these financial statements.
|
11
|
TABLE OF CONTENTS
Donoghue Forlines Tactical High Yield ETF
Schedule of Investments
July 31, 2024
|
Shares
|
Value
|
|||||
|
EXCHANGE-TRADED FUNDS - 99.8%
|
||||||
|
iShares 0-5 Year High Yield Corporate Bond ETF
|
65,225
|
$ 2,787,064
|
||||
|
iShares Broad USD High Yield Corporate Bond ETF
|
157,483
|
5,811,123
|
||||
|
iShares Fallen Angels USD Bond ETF
|
73,749
|
1,975,736
|
||||
|
iShares iBoxx $ High Yield Corporate Bond ETF
|
62,730
|
4,926,814
|
||||
|
SPDR Bloomberg High Yield Bond ETF(a)
|
61,923
|
5,934,700
|
||||
|
SPDR Bloomberg Short-Term High Yield Bond ETF
|
81,880
|
2,071,564
|
||||
|
SPDR Portfolio High Yield Bond ETF
|
89,296
|
2,106,493
|
||||
|
VanEck Fallen Angel High Yield Bond ETF
|
63,977
|
1,848,295
|
||||
|
Xtrackers USD High Yield Corporate Bond ETF
|
76,688
|
2,768,437
|
||||
|
TOTAL EXCHANGE-TRADED FUNDS
(Cost $29,632,713)
|
30,230,226
|
|||||
|
SHORT-TERM INVESTMENTS - 18.9%
|
||||||
|
Investments Purchased with Proceeds from Securities Lending - 18.9%
|
||||||
|
Mount Vernon Liquid Assets Portfolio, LLC, 5.45%(b)
|
5,735,438
|
5,735,438
|
||||
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $5,735,438)
|
5,735,438
|
|||||
|
TOTAL INVESTMENTS - 118.7%
(Cost $35,368,151)
|
$35,965,664
|
|||||
|
Money Market Deposit Account - 0.3%(c)
|
76,713
|
|||||
|
Liabilities in Excess of Other Assets - (19.0)%
|
(5,749,611)
|
|||||
|
TOTAL NET ASSETS - 100.0%
|
$30,292,766
|
|||||
Percentages are stated as a percent of net assets.
|
(a)
|
All or a portion of this security is on loan as of July 31, 2024. The total market value of these securities was $5,637,788 which represented 18.6% of net assets.
|
|
(b)
|
The rate shown represents the 7-day effective yield as of July 31, 2024.
|
|
(c)
|
The U.S. Bank Money Market Deposit Account (the "MMDA") is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of July 31, 2024 was 5.24%.
|
The accompanying notes are an integral part of these financial statements.
|
12
|
TABLE OF CONTENTS
Donoghue Forlines Innovation ETF
Schedule of Investments
July 31, 2024
|
Shares
|
Value
|
|||||
|
COMMON STOCKS - 99.7%
|
||||||
|
Communications - 15.0%
|
||||||
|
AppLovin Corp. - Class A(a)
|
4,213
|
$ 324,822
|
||||
|
DoorDash, Inc. - Class A(a)(b)
|
4,057
|
449,191
|
||||
|
Electronic Arts, Inc.
|
3,179
|
479,838
|
||||
|
Expedia Group, Inc.(a)
|
2,181
|
278,448
|
||||
|
Maplebear, Inc.(a)
|
6,804
|
234,670
|
||||
|
Match Group, Inc.(a)
|
6,469
|
246,728
|
||||
|
Meta Platforms, Inc. - Class A
|
4,326
|
2,054,115
|
||||
|
New York Times Co. - Class A
|
3,461
|
185,475
|
||||
|
Pinterest, Inc. - Class A(a)
|
8,829
|
282,087
|
||||
|
Playtika Holding Corp.
|
13,206
|
100,762
|
||||
|
Roku, Inc.(a)
|
3,307
|
192,500
|
||||
|
Spotify Technology SA(a)
|
1,772
|
609,462
|
||||
|
Trade Desk, Inc. - Class A(a)
|
4,816
|
432,862
|
||||
|
Uber Technologies, Inc.(a)
|
11,975
|
772,028
|
||||
|
Yelp, Inc.(a)
|
2,401
|
87,468
|
||||
|
6,730,456
|
||||||
|
Consumer Discretionary - 7.1%
|
||||||
|
Amazon.com, Inc.(a)
|
13,993
|
2,616,411
|
||||
|
Etsy, Inc.(a)
|
3,176
|
206,885
|
||||
|
Hasbro, Inc.
|
3,220
|
207,561
|
||||
|
Mattel, Inc.(a)(b)
|
8,921
|
172,086
|
||||
|
3,202,943
|
||||||
|
Consumer Staples - 1.4%
|
||||||
|
Clorox Co.
|
1,745
|
230,218
|
||||
|
Kimberly-Clark Corp.
|
2,863
|
386,648
|
||||
|
616,866
|
||||||
|
Energy - 1.1%
|
||||||
|
Enphase Energy, Inc.(a)
|
2,130
|
245,184
|
||||
|
Fluence Energy, Inc.(a)
|
4,372
|
71,613
|
||||
|
Weatherford International PLC(a)
|
1,432
|
168,776
|
||||
|
485,573
|
||||||
|
Financials - 0.5%
|
||||||
|
Jack Henry & Associates, Inc.
|
1,251
|
214,522
|
||||
|
Health Care - 12.6%
|
||||||
|
AbbVie, Inc.
|
7,357
|
1,363,399
|
||||
|
Agilent Technologies, Inc.
|
2,841
|
401,718
|
||||
|
Bristol-Myers Squibb Co.
|
16,178
|
769,426
|
||||
|
Corcept Therapeutics, Inc.(a)(b)
|
3,579
|
138,400
|
||||
|
Gilead Sciences, Inc.(b)
|
10,055
|
764,783
|
||||
|
Halozyme Therapeutics, Inc.(a)(b)
|
3,563
|
196,891
|
||||
|
Hologic, Inc.(a)
|
3,280
|
267,681
|
||||
|
Jazz Pharmaceuticals PLC(a)
|
1,605
|
176,951
|
||||
The accompanying notes are an integral part of these financial statements.
|
13
|
TABLE OF CONTENTS
Donoghue Forlines Innovation ETF
Schedule of Investments
July 31, 2024(Continued)
|
Shares
|
Value
|
|||||
|
COMMON STOCKS - (Continued)
|
||||||
|
Health Care - (Continued)
|
||||||
|
Merck & Co., Inc.
|
10,106
|
$ 1,143,292
|
||||
|
Neurocrine Biosciences, Inc.(a)
|
1,930
|
273,230
|
||||
|
Solventum Corp.(a)
|
3,126
|
184,059
|
||||
|
5,679,830
|
||||||
|
Industrials - 3.6%
|
||||||
|
3M Co.
|
4,865
|
620,531
|
||||
|
Alarm.com Holdings, Inc.(a)
|
1,787
|
126,073
|
||||
|
Cimpress PLC(a)
|
905
|
82,599
|
||||
|
Generac Holdings, Inc.(a)
|
1,192
|
185,571
|
||||
|
Keysight Technologies, Inc.(a)
|
2,195
|
306,356
|
||||
|
Vertiv Holdings Co. - Class A
|
3,949
|
310,786
|
||||
|
1,631,916
|
||||||
|
Technology - 58.4%(c)
|
||||||
|
Adobe, Inc.(a)
|
2,245
|
1,238,454
|
||||
|
Altair Engineering, Inc. - Class A(a)(b)
|
1,721
|
152,068
|
||||
|
Apple, Inc.
|
16,124
|
3,580,818
|
||||
|
Applied Materials, Inc.
|
3,803
|
806,997
|
||||
|
Atlassian Corp. - Class A(a)
|
2,391
|
422,179
|
||||
|
Autodesk, Inc.(a)
|
2,340
|
579,197
|
||||
|
BlackLine, Inc.(a)
|
2,199
|
104,496
|
||||
|
Box, Inc. - Class A(a)(b)
|
5,177
|
145,577
|
||||
|
Broadcom, Inc.
|
11,362
|
1,825,646
|
||||
|
Cadence Design Systems, Inc.(a)
|
2,081
|
557,000
|
||||
|
Ciena Corp.(a)
|
3,612
|
190,497
|
||||
|
Cirrus Logic, Inc.(a)
|
1,449
|
189,065
|
||||
|
CommVault Systems, Inc.(a)
|
1,399
|
213,837
|
||||
|
Crane NXT Co.
|
1,779
|
111,864
|
||||
|
Crowdstrike Holdings, Inc. - Class A(a)
|
1,990
|
461,600
|
||||
|
Datadog, Inc. - Class A(a)(b)
|
3,918
|
456,212
|
||||
|
Dolby Laboratories, Inc. - Class A
|
1,729
|
136,176
|
||||
|
Doximity, Inc. - Class A(a)(b)
|
4,039
|
113,092
|
||||
|
Dropbox, Inc. - Class A(a)
|
7,856
|
187,916
|
||||
|
Duolingo, Inc.(a)
|
1,023
|
175,895
|
||||
|
Dynatrace, Inc.(a)
|
5,284
|
232,073
|
||||
|
F5, Inc.(a)
|
1,209
|
246,201
|
||||
|
Fortinet, Inc.(a)
|
8,088
|
469,428
|
||||
|
Gen Digital, Inc.
|
10,226
|
265,774
|
||||
|
InterDigital, Inc.(b)
|
898
|
110,238
|
||||
|
International Business Machines Corp.
|
4,742
|
911,128
|
||||
|
Intuit, Inc.(b)
|
1,500
|
971,025
|
||||
|
Lattice Semiconductor Corp.(a)(b)
|
2,584
|
136,952
|
||||
|
Manhattan Associates, Inc.(a)
|
1,211
|
309,265
|
||||
|
Microchip Technology, Inc.
|
4,910
|
435,910
|
||||
|
Motorola Solutions, Inc.
|
1,465
|
584,418
|
||||
The accompanying notes are an integral part of these financial statements.
|
14
|
TABLE OF CONTENTS
Donoghue Forlines Innovation ETF
Schedule of Investments
July 31, 2024(Continued)
|
Shares
|
Value
|
|||||
|
COMMON STOCKS - (Continued)
|
||||||
|
Technology - (Continued)
|
||||||
|
NetApp, Inc.
|
2,804
|
$ 356,052
|
||||
|
Nutanix, Inc. - Class A(a)
|
4,960
|
250,530
|
||||
|
Oracle Corp.
|
9,053
|
1,262,441
|
||||
|
Palantir Technologies, Inc. - Class A(a)
|
20,519
|
551,756
|
||||
|
Palo Alto Networks, Inc.(a)
|
2,349
|
762,791
|
||||
|
Paylocity Holding Corp.(a)(b)
|
1,272
|
190,889
|
||||
|
Pegasystems, Inc.
|
2,870
|
200,096
|
||||
|
Progress Software Corp.
|
1,538
|
89,819
|
||||
|
PTC, Inc.(a)(b)
|
1,682
|
299,144
|
||||
|
Pure Storage, Inc. - Class A(a)(b)
|
5,436
|
325,779
|
||||
|
Qorvo, Inc.(a)(b)
|
2,121
|
254,096
|
||||
|
QUALCOMM, Inc.
|
5,345
|
967,178
|
||||
|
Qualys, Inc.(a)
|
1,191
|
177,626
|
||||
|
Rapid7, Inc.(a)
|
2,218
|
87,256
|
||||
|
RingCentral, Inc. - Class A(a)
|
2,928
|
102,626
|
||||
|
ServiceNow, Inc.(a)
|
1,270
|
1,034,275
|
||||
|
Skyworks Solutions, Inc.(b)
|
2,822
|
320,636
|
||||
|
Smartsheet, Inc. - Class A(a)
|
4,418
|
211,887
|
||||
|
Snowflake, Inc. - Class A(a)
|
3,428
|
446,943
|
||||
|
Sonos, Inc.(a)
|
4,373
|
59,035
|
||||
|
Tenable Holdings, Inc.(a)
|
3,798
|
174,404
|
||||
|
Teradata Corp.(a)
|
3,442
|
111,590
|
||||
|
Veeva Systems, Inc. - Class A(a)
|
2,030
|
389,618
|
||||
|
Workday, Inc. - Class A(a)
|
2,066
|
469,230
|
||||
|
Zeta Global Holdings Corp. - Class A(a)
|
6,753
|
144,649
|
||||
|
Zoom Video Communications, Inc. - Class A(a)(b)
|
4,363
|
263,525
|
||||
|
Zscaler, Inc.(a)
|
2,170
|
389,189
|
||||
|
26,214,058
|
||||||
|
TOTAL COMMON STOCKS
(Cost $39,885,187)
|
44,776,164
|
|||||
|
SHORT-TERM INVESTMENTS - 8.2%
|
||||||
|
Investments Purchased with Proceeds from Securities Lending - 8.2%
|
||||||
|
Mount Vernon Liquid Assets Portfolio, LLC, 5.45%(d)
|
3,683,717
|
3,683,717
|
||||
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $3,683,717)
|
3,683,717
|
|||||
|
TOTAL INVESTMENTS - 107.9%
(Cost $43,568,904)
|
$48,459,881
|
|||||
|
Money Market Deposit Account - 0.3%(e)
|
137,768
|
|||||
|
Liabilities in Excess of Other Assets - (8.2)%
|
(3,688,019)
|
|||||
|
TOTAL NET ASSETS - 100.0%
|
$44,909,630
|
|||||
The accompanying notes are an integral part of these financial statements.
|
15
|
TABLE OF CONTENTS
Donoghue Forlines Innovation ETF
Schedule of Investments
July 31, 2024(Continued)
Percentages are stated as a percent of net assets.
PLC - Public Limited Company
SA - Sociedad Anónima
|
(a)
|
Non-income producing security.
|
|
(b)
|
All or a portion of this security is on loan as of July 31, 2024. The total market value of these securities was $3,639,395 which represented 8.1% of net assets.
|
|
(c)
|
The "Certain Risks" section of the Notes to Financial Statements outlines risks associated with significant investments in a particular industry.
|
|
(d)
|
The rate shown represents the 7-day annualized effective yield as of July 31, 2024.
|
|
(e)
|
The U.S. Bank Money Market Deposit Account (the "MMDA") is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of July 31, 2024 was 5.24%.
|
For Fund compliance purposes, the Fund's sector classifications refers to any one or more of the sector classifications used by one or more widely recognized market indexes or ratings group indexes, and/or they may be defined by Fund management. This definition does not apply for all purposes of this report, which may combine classifications for reporting ease.
The accompanying notes are an integral part of these financial statements.
|
16
|
TABLE OF CONTENTS
Donoghue Forlines Yield Enhanced Real Asset ETF
Schedule of Investments
July 31, 2024
|
Shares
|
Value
|
|||||
|
COMMON STOCKS - 71.3%
|
||||||
|
Consumer Discretionary - 1.9%
|
||||||
|
Griffon Corp.
|
4,770
|
$ 343,726
|
||||
|
Scotts Miracle-Gro Co.(a)
|
6,408
|
503,669
|
||||
|
847,395
|
||||||
|
Consumer Staples - 5.5%
|
||||||
|
Andersons, Inc.
|
5,877
|
320,473
|
||||
|
Archer-Daniels-Midland Co.
|
10,830
|
671,568
|
||||
|
Bunge Global SA
|
5,101
|
536,778
|
||||
|
Cal-Maine Foods, Inc.(a)
|
5,739
|
410,740
|
||||
|
Ingredion, Inc.
|
4,337
|
539,393
|
||||
|
2,478,952
|
||||||
|
Energy - 26.6%(b)
|
||||||
|
Antero Midstream Corp.(a)
|
35,031
|
503,045
|
||||
|
BP PLC - ADR
|
25,232
|
892,960
|
||||
|
Chevron Corp.(a)
|
6,390
|
1,025,403
|
||||
|
Crescent Energy Co. - Class A(a)
|
18,076
|
221,069
|
||||
|
Devon Energy Corp.
|
11,164
|
525,043
|
||||
|
Diamondback Energy, Inc.
|
3,456
|
699,183
|
||||
|
DT Midstream, Inc.(a)
|
6,758
|
509,283
|
||||
|
Equinor ASA - ADR(a)
|
1,928
|
51,208
|
||||
|
Exxon Mobil Corp.
|
10,591
|
1,255,987
|
||||
|
Hess Midstream LP - Class A
|
11,225
|
420,713
|
||||
|
Kinder Morgan, Inc.
|
37,963
|
802,158
|
||||
|
Kinetik Holdings, Inc.
|
9,193
|
381,326
|
||||
|
Marathon Oil Corp.
|
18,100
|
507,705
|
||||
|
Murphy Oil Corp.
|
10,181
|
421,290
|
||||
|
Petroleo Brasileiro SA - ADR
|
57,560
|
821,381
|
||||
|
Shell PLC - ADR(a)
|
15,836
|
1,159,512
|
||||
|
TotalEnergies SE - ADR(a)
|
13,814
|
936,313
|
||||
|
Williams Cos., Inc.
|
17,904
|
768,798
|
||||
|
11,902,377
|
||||||
|
Industrials - 21.2%
|
||||||
|
3M Co.
|
8,791
|
1,121,292
|
||||
|
A.O. Smith Corp.
|
5,509
|
468,485
|
||||
|
Cummins, Inc.
|
2,588
|
755,178
|
||||
|
Donaldson Co., Inc.
|
6,675
|
499,424
|
||||
|
Fastenal Co.
|
10,639
|
752,709
|
||||
|
Ferguson PLC
|
3,577
|
796,419
|
||||
|
Honeywell International, Inc.
|
3,988
|
816,543
|
||||
|
Illinois Tool Works, Inc.
|
3,173
|
784,619
|
||||
|
Kennametal, Inc.
|
12,554
|
328,162
|
||||
|
Lincoln Electric Holdings, Inc.(a)
|
2,363
|
485,384
|
||||
|
MSC Industrial Direct Co., Inc. - Class A
|
5,171
|
459,960
|
||||
|
Mueller Water Products, Inc. - Class A
|
19,132
|
395,650
|
||||
The accompanying notes are an integral part of these financial statements.
|
17
|
TABLE OF CONTENTS
Donoghue Forlines Yield Enhanced Real Asset ETF
Schedule of Investments
July 31, 2024(Continued)
|
Shares
|
Value
|
|||||
|
COMMON STOCKS - (Continued)
|
||||||
|
Industrials - (Continued)
|
||||||
|
Siemens AG - ADR
|
8,794
|
$ 803,772
|
||||
|
Watsco, Inc.(a)
|
1,288
|
630,463
|
||||
|
Worthington Enterprises, Inc.
|
7,049
|
351,816
|
||||
|
9,449,876
|
||||||
|
Materials - 16.1%
|
||||||
|
BHP Group Ltd. - ADR(a)
|
18,610
|
1,033,413
|
||||
|
Dow, Inc.(a)
|
12,474
|
679,459
|
||||
|
Kaiser Aluminum Corp.
|
2,605
|
204,988
|
||||
|
LyondellBasell Industries NV - Class A
|
7,144
|
710,542
|
||||
|
NewMarket Corp.(a)
|
840
|
471,131
|
||||
|
Olin Corp.
|
8,757
|
399,407
|
||||
|
PPG Industries, Inc.
|
4,523
|
574,331
|
||||
|
Rio Tinto PLC - ADR
|
11,108
|
723,797
|
||||
|
RPM International, Inc.(a)
|
5,281
|
641,430
|
||||
|
Ryerson Holding Corp.
|
5,598
|
133,176
|
||||
|
Southern Copper Corp.(a)
|
562
|
59,915
|
||||
|
Sylvamo Corp.(a)
|
5,736
|
422,801
|
||||
|
Vale SA - ADR
|
62,912
|
682,595
|
||||
|
WD-40 Co.
|
1,712
|
447,876
|
||||
|
7,184,861
|
||||||
|
TOTAL COMMON STOCKS
(Cost $29,703,571)
|
31,863,461
|
|||||
|
REAL ESTATE INVESTMENT TRUSTS - 17.6%
|
||||||
|
Real Estate - 17.6%
|
||||||
|
AvalonBay Communities, Inc.
|
3,037
|
622,342
|
||||
|
CubeSmart(a)
|
12,819
|
609,928
|
||||
|
EastGroup Properties, Inc.
|
2,511
|
469,532
|
||||
|
Equity LifeStyle Properties, Inc.
|
8,556
|
587,626
|
||||
|
Equity Residential
|
8,502
|
591,994
|
||||
|
Gaming and Leisure Properties, Inc.
|
13,036
|
654,407
|
||||
|
Innovative Industrial Properties, Inc.(a)
|
3,439
|
422,344
|
||||
|
Lamar Advertising Co. - Class A
|
4,726
|
566,458
|
||||
|
Mid-America Apartment Communities, Inc.(a)
|
4,153
|
580,465
|
||||
|
National Health Investors, Inc.
|
5,608
|
419,815
|
||||
|
Public Storage
|
2,816
|
833,311
|
||||
|
Simon Property Group, Inc.
|
5,404
|
829,190
|
||||
|
VICI Properties, Inc.
|
21,655
|
676,935
|
||||
|
7,864,347
|
||||||
|
TOTAL REAL ESTATE INVESTMENT TRUSTS
(Cost $7,296,411)
|
7,864,347
|
|||||
The accompanying notes are an integral part of these financial statements.
|
18
|
TABLE OF CONTENTS
Donoghue Forlines Yield Enhanced Real Asset ETF
Schedule of Investments
July 31, 2024(Continued)
|
Shares
|
Value
|
|||||
|
MASTER LIMITED PARTNERSHIPS - 9.0%
|
||||||
|
Energy - 9.0%
|
||||||
|
Cheniere Energy Partners LP
|
14,356
|
$755,987
|
||||
|
Energy Transfer LP
|
51,950
|
845,226
|
||||
|
EnLink Midstream LLC
|
38,213
|
522,372
|
||||
|
MPLX LP
|
19,434
|
832,164
|
||||
|
Plains All American Pipeline LP
|
33,009
|
600,434
|
||||
|
Plains GP Holdings LP
|
23,793
|
454,446
|
||||
|
4,010,629
|
||||||
|
TOTAL MASTER LIMITED PARTNERSHIPS
(Cost $3,166,261)
|
4,010,629
|
|||||
|
PREFERRED STOCKS - 1.7%
|
||||||
|
Energy - 1.7%
|
||||||
|
Petroleo Brasileiro SA
|
55,617
|
731,920
|
||||
|
TOTAL PREFERRED STOCKS
(Cost $717,180)
|
731,920
|
|||||
|
SHORT-TERM INVESTMENTS - 22.9%
|
||||||
|
Investments Purchased with Proceeds from Securities Lending - 22.9%
|
||||||
|
Mount Vernon Liquid Assets Portfolio, LLC, 5.45%(c)
|
10,223,205
|
10,223,205
|
||||
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $10,223,205)
|
10,223,205
|
|||||
|
TOTAL INVESTMENTS - 122.5%
(Cost $51,106,628)
|
$54,693,562
|
|||||
|
Money Market Deposit Account - 0.2%(d)
|
107,626
|
|||||
|
Liabilities in Excess of Other Assets - (22.7)%
|
(10,125,710)
|
|||||
|
TOTAL NET ASSETS - 100.0%
|
$44,675,478
|
|||||
Percentages are stated as a percent of net assets.
ADR - American Depositary Receipt
AG - Aktiengesellschaft
ASA - Advanced Subscription Agreement
NV - Naamloze Vennootschap
PLC - Public Limited Company
SA - Sociedad Anónima
|
(a)
|
All or a portion of this security is on loan as of July 31, 2024. The total market value of these securities was $10,107,231 which represented 22.6% of net assets.
|
|
(b)
|
The "Certain Risks" section of the Notes to Financial Statements outlines risks associated with significant investments in a particular industry.
|
|
(c)
|
The rate shown represents the 7-day annualized effective yield as of July 31, 2024.
|
|
(d)
|
The U.S. Bank Money Market Deposit Account (the "MMDA") is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of July 31, 2024 was 5.24%.
|
For Fund compliance purposes, the Fund's sector classifications refers to any one or more of the sector classifications used by one or more widely recognized market indexes or ratings group indexes, and/or they may be defined by Fund management. This definition does not apply for all purposes of this report, which may combine classifications for reporting ease.
The accompanying notes are an integral part of these financial statements.
|
19
|
TABLE OF CONTENTS
TrimTabs ETF Trust
STATEMENTS OF ASSETS AND LIABILITIES
July 31, 2024
|
FCF
US Quality
ETF
|
FCF
International
Quality ETF
|
Donoghue
Forlines
Tactical
High Yield
ETF
|
Donoghue
Forlines
Innovation
ETF
|
Donoghue
Forlines Yield
Enhanced
Real Asset
ETF
|
|||||||||||
|
ASSETS
|
|||||||||||||||
|
Investments in Securities, at Value* (Including securities on loan valued at $20,722,366, $1,336,493, $5,637,788, $3,639,395, and $10,107,231, respectively)
|
$431,560,362
|
$60,369,276
|
$ 35,965,664
|
$48,459,881
|
$54,693,562
|
||||||||||
|
Cash - Interest Bearing Deposit
Account
|
2,234,786
|
870,079
|
76,713
|
137,768
|
107,626
|
||||||||||
|
Cash
|
-
|
3,557
|
-
|
-
|
3,322
|
||||||||||
|
Interest and Dividends Receivable
|
300,430
|
182,037
|
335
|
22,464
|
118,942
|
||||||||||
|
Securities Lending Income Receivable
|
2,058
|
270
|
3,024
|
450
|
1,122
|
||||||||||
|
Foreign Currency, at Value*
|
-
|
435,962
|
-
|
-
|
-
|
||||||||||
|
Total Assets
|
434,097,636
|
61,861,181
|
36,045,736
|
48,620,563
|
54,924,574
|
||||||||||
|
LIABILITIES
|
|||||||||||||||
|
Payable for Securities Loaned
|
20,931,374
|
1,375,911
|
5,735,438
|
3,683,717
|
10,223,205
|
||||||||||
|
Management Fees Payable
|
204,185
|
30,116
|
17,532
|
27,216
|
25,891
|
||||||||||
|
Total Liabilities
|
21,135,559
|
1,406,027
|
5,752,970
|
3,710,933
|
10,249,096
|
||||||||||
|
NET ASSETS
|
$412,962,077
|
$60,455,154
|
$ 30,292,766
|
$44,909,630
|
$44,675,478
|
||||||||||
|
NETASSETSCONSIST OF:
|
|||||||||||||||
|
Paid-in Capital
|
$380,303,731
|
$66,651,378
|
$ 37,313,056
|
$51,292,735
|
$40,319,220
|
||||||||||
|
Total Distributable Earnings (Deficit)
|
32,658,346
|
(6,196,224)
|
(7,020,290)
|
(6,383,105)
|
4,356,258
|
||||||||||
|
Net Assets
|
$412,962,077
|
$60,455,154
|
$ 30,292,766
|
$44,909,630
|
$44,675,478
|
||||||||||
|
*Identified Cost:
|
|||||||||||||||
|
Investments in Securities
|
$378,265,541
|
$55,460,418
|
$ 35,368,151
|
$43,568,904
|
$51,106,628
|
||||||||||
|
Foreign Currency
|
$-
|
$435,644
|
$-
|
$-
|
$-
|
||||||||||
|
Net Asset Value (unlimited shares authorized):
|
|||||||||||||||
|
Net Assets
|
$412,962,077
|
$60,455,154
|
$ 30,292,766
|
$44,909,630
|
$44,675,478
|
||||||||||
|
Shares Outstanding (No Par Value)
|
6,625,000
|
2,025,000
|
1,425,000
|
1,425,000
|
1,425,000
|
||||||||||
|
Net Asset Value, Offering and Redemption Price per Share
|
$62.33
|
$29.85
|
$21.26
|
$31.52
|
$31.35
|
||||||||||
The accompanying notes are an integral part of these financial statements.
|
20
|
TABLE OF CONTENTS
TrimTabs ETF Trust
Statements of Operations
Year Ended July 31, 2024
|
FCF
US Quality
ETF
|
FCF
International
Quality ETF
|
Donoghue
Forlines
Tactical
High Yield
ETF
|
Donoghue
Forlines
Innovation
ETF
|
Donoghue
Forlines Yield
Enhanced
Real Asset
ETF
|
|||||||||||
|
INVESTMENT INCOME
|
|||||||||||||||
|
Income:
|
|||||||||||||||
|
Dividends (net of foreign withholding tax and issuance fees of $951, $265,553, $0, $180, and $55,922, respectively)
|
$4,378,187
|
$1,456,681
|
$1,837,302
|
$406,325
|
$ 1,770,212
|
||||||||||
|
Interest
|
99,515
|
29,501
|
4,870
|
7,295
|
10,038
|
||||||||||
|
Securities Lending Income
|
122,076
|
12,342
|
42,339
|
79,959
|
23,100
|
||||||||||
|
Total Investment Income
|
4,599,778
|
1,498,524
|
1,884,511
|
493,579
|
1,803,350
|
||||||||||
|
EXPENSES:
|
|||||||||||||||
|
Management Fees
|
1,891,079
|
348,796
|
215,499
|
287,410
|
304,908
|
||||||||||
|
Total Expenses
|
1,891,079
|
348,796
|
215,499
|
287,410
|
304,908
|
||||||||||
|
Net Investment Income
|
2,708,699
|
1,149,728
|
1,669,012
|
206,169
|
1,498,442
|
||||||||||
|
REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS
|
|||||||||||||||
|
Net Realized Gain (Loss) on:
|
|||||||||||||||
|
Investment Securities
|
(14,011,462)
|
(2,574,204)
|
346,027
|
253,892
|
2,262,556
|
||||||||||
|
Redemptions In-Kind
|
46,583,144
|
3,914,300
|
105,440
|
5,318,796
|
2,907,475
|
||||||||||
|
Foreign Currencies
|
-
|
(77,741)
|
-
|
-
|
-
|
||||||||||
|
Total
|
32,571,682
|
1,262,355
|
451,467
|
5,572,688
|
5,170,031
|
||||||||||
|
Net Change in Unrealized Appreciation (Depreciation) of:
|
|||||||||||||||
|
Investment Securities
|
20,232,752
|
3,217,742
|
120,186
|
1,916,752
|
409,343
|
||||||||||
|
Foreign Currencies
|
-
|
(13,253)
|
-
|
-
|
-
|
||||||||||
|
Total
|
20,232,752
|
3,204,489
|
120,186
|
1,916,752
|
409,343
|
||||||||||
|
Net Realized and Unrealized Gain on Investments and Foreign Currencies
|
52,804,434
|
4,466,844
|
571,653
|
7,489,440
|
5,579,374
|
||||||||||
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
|
$55,513,133
|
$5,616,572
|
$2,240,665
|
$ 7,695,609
|
$ 7,077,816
|
||||||||||
The accompanying notes are an integral part of these financial statements.
|
21
|
TABLE OF CONTENTS
FCF US Quality ETF
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended July 31,
|
||||||
|
2024
|
2023
|
|||||
|
OPERATIONS
|
||||||
|
Net Investment Income
|
$2,708,699
|
$1,901,520
|
||||
|
Net Realized Gain on Investments
|
32,571,682
|
5,326,980
|
||||
|
Change in Unrealized Appreciation of Investments
|
20,232,752
|
15,427,580
|
||||
|
Net Increase in Net Assets Resulting from Operations
|
55,513,133
|
22,656,080
|
||||
|
DISTRIBUTIONS TO SHAREHOLDERS
|
||||||
|
Dividends and Distributions
|
(2,366,744)
|
(3,291,427)
|
||||
|
Total Distributions to Shareholders
|
(2,366,744)
|
(3,291,427)
|
||||
|
CAPITAL SHARE TRANSACTIONS
|
||||||
|
Proceeds from Shares Sold
|
362,965,550
|
82,601,595
|
||||
|
Payments for Shares Redeemed
|
(207,007,107)
|
(75,046,645)
|
||||
|
Net Increase in Net Assets Derived from Capital Share Transactions(a)
|
155,958,443
|
7,554,950
|
||||
|
Net Increase in Net Assets
|
209,104,832
|
26,919,603
|
||||
|
NET ASSETS
|
||||||
|
Beginning of Year
|
203,857,245
|
176,937,642
|
||||
|
End of Year
|
$412,962,077
|
$203,857,245
|
||||
|
(a)
|
Summary of capital share transactions is as follows:
|
|
Shares
|
Shares
|
|||||
|
Subscriptions
|
6,400,000
|
1,700,000
|
||||
|
Redemptions
|
(3,550,000)
|
(1,550,000)
|
||||
|
Net Increase
|
2,850,000
|
150,000
|
||||
The accompanying notes are an integral part of these financial statements.
|
22
|
TABLE OF CONTENTS
FCF International Quality ETF
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended July 31,
|
||||||
|
2024
|
2023
|
|||||
|
OPERATIONS
|
||||||
|
Net Investment Income
|
$1,149,728
|
$1,669,207
|
||||
|
Net Realized Gain (Loss) on Investments and Foreign Currencies
|
1,262,355
|
(10,949,521)
|
||||
|
Change in Unrealized Appreciation of Investments and Foreign Currencies
|
3,204,489
|
10,656,973
|
||||
|
Net Increase in Net Assets Resulting from Operations
|
5,616,572
|
1,376,659
|
||||
|
DISTRIBUTIONS TO SHAREHOLDERS
|
||||||
|
Dividends and Distributions
|
(1,209,387)
|
(3,175,073)
|
||||
|
Total Distributions to Shareholders
|
(1,209,387)
|
(3,175,073)
|
||||
|
CAPITAL SHARE TRANSACTIONS
|
||||||
|
Proceeds from Shares Sold
|
24,400,795
|
25,992,288
|
||||
|
Payments for Shares Redeemed
|
(22,178,468)
|
(24,525,520)
|
||||
|
Transaction Fees (Note 1)
|
-
|
75
|
||||
|
Net Increase in Net Assets Derived from Capital Share Transactions(a)
|
2,222,327
|
1,466,843
|
||||
|
Net Increase (Decrease) in Net Assets
|
6,629,512
|
(331,571)
|
||||
|
NET ASSETS
|
||||||
|
Beginning of Year
|
53,825,642
|
54,157,213
|
||||
|
End of Year
|
$60,455,154
|
$53,825,642
|
||||
|
(a)
|
Summary of capital share transactions is as follows:
|
|
Shares
|
Shares
|
|||||
|
Subscriptions
|
850,000
|
975,000
|
||||
|
Redemptions
|
(750,000)
|
(900,000)
|
||||
|
Net Increase
|
100,000
|
75,000
|
||||
The accompanying notes are an integral part of these financial statements.
|
23
|
TABLE OF CONTENTS
Donoghue Forlines Tactical High Yield ETF
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended July 31,
|
||||||
|
2024
|
2023
|
|||||
|
OPERATIONS
|
||||||
|
Net Investment Income
|
$1,669,012
|
$1,609,013
|
||||
|
Net Realized Gain (Loss) on Investments
|
451,467
|
(2,353,354)
|
||||
|
Change in Unrealized Appreciation of Investments
|
120,186
|
(373,696)
|
||||
|
Net Increase (Decrease) in Net Assets Resulting from Operations
|
2,240,665
|
(1,118,037)
|
||||
|
DISTRIBUTIONS TO SHAREHOLDERS
|
||||||
|
Dividends and Distributions
|
(1,681,987)
|
(1,465,990)
|
||||
|
Total Distributions to Shareholders
|
(1,681,987)
|
(1,465,990)
|
||||
|
CAPITAL SHARE TRANSACTIONS
|
||||||
|
Proceeds from Shares Sold
|
1,556,887
|
1,037,043
|
||||
|
Payments for Shares Redeemed
|
(3,141,410)
|
(14,721,435)
|
||||
|
Net Decrease in Net Assets Derived from Capital Share Transactions(a)
|
(1,584,523)
|
(13,684,392)
|
||||
|
Net Decrease in Net Assets
|
(1,025,845)
|
(16,268,419)
|
||||
|
NET ASSETS
|
||||||
|
Beginning of Year
|
31,318,611
|
47,587,030
|
||||
|
End of Year
|
$30,292,766
|
$31,318,611
|
||||
|
(a)
|
Summary of capital share transactions is as follows:
|
|
Shares
|
Shares
|
|||||
|
Subscriptions
|
75,000
|
50,000
|
||||
|
Redemptions
|
(150,000)
|
(700,000)
|
||||
|
Net Decrease
|
(75,000)
|
(650,000)
|
||||
The accompanying notes are an integral part of these financial statements.
|
24
|
TABLE OF CONTENTS
Donoghue Forlines Innovation ETF
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended July 31,
|
||||||
|
2024
|
2023
|
|||||
|
OPERATIONS
|
||||||
|
Net Investment Income
|
$206,169
|
$397,054
|
||||
|
Net Realized Gain (Loss) on Investments
|
5,572,688
|
(4,602,818)
|
||||
|
Change in Unrealized Appreciation of Investments
|
1,916,752
|
7,131,833
|
||||
|
Net Increase in Net Assets Resulting from Operations
|
7,695,609
|
2,926,069
|
||||
|
DISTRIBUTIONS TO SHAREHOLDERS
|
||||||
|
Dividends and Distributions
|
(285,155)
|
(550,240)
|
||||
|
Total Distributions to Shareholders
|
(285,155)
|
(550,240)
|
||||
|
CAPITAL SHARE TRANSACTIONS
|
||||||
|
Proceeds from Shares Sold
|
21,000,570
|
5,849,725
|
||||
|
Payments for Shares Redeemed
|
(22,947,790)
|
(61,732,110)
|
||||
|
Net Decrease in Net Assets Derived from Capital Share Transactions(a)
|
(1,947,220)
|
(55,882,385)
|
||||
|
Net Increase (Decrease) in Net Assets
|
5,463,234
|
(53,506,556)
|
||||
|
NET ASSETS
|
||||||
|
Beginning of Year
|
39,446,396
|
92,952,952
|
||||
|
End of Year
|
$44,909,630
|
$39,446,396
|
||||
|
(a)
|
Summary of capital share transactions is as follows:
|
|
Shares
|
Shares
|
|||||
|
Subscriptions
|
750,000
|
250,000
|
||||
|
Redemptions
|
(800,000)
|
(2,650,000)
|
||||
|
Net Decrease
|
(50,000)
|
(2,400,000)
|
||||
The accompanying notes are an integral part of these financial statements.
|
25
|
TABLE OF CONTENTS
Donoghue Forlines Yield Enhanced Real Asset ETF
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended July 31,
|
||||||
|
2024
|
2023
|
|||||
|
OPERATIONS
|
||||||
|
Net Investment Income
|
$1,498,442
|
$1,945,136
|
||||
|
Net Realized Gain on Investments
|
5,170,031
|
99,398
|
||||
|
Change in Unrealized Appreciation (Depreciation) of Investments
|
409,343
|
4,330,407
|
||||
|
Net Increase in Net Assets Resulting from Operations
|
7,077,816
|
6,374,941
|
||||
|
DISTRIBUTIONS TO SHAREHOLDERS
|
||||||
|
Dividends and Distributions
|
(2,055,975)
|
(3,715,143)
|
||||
|
Total Distributions to Shareholders
|
(2,055,975)
|
(3,715,143)
|
||||
|
CAPITAL SHARE TRANSACTIONS
|
||||||
|
Proceeds from Shares Sold
|
19,543,143
|
27,581,670
|
||||
|
Payments for Shares Redeemed
|
(21,737,118)
|
(23,251,110)
|
||||
|
Net Increase (Decrease) in Net Assets Derived from Capital Share Transactions(a)
|
(2,193,975)
|
4,330,560
|
||||
|
Net Increase in Net Assets
|
2,827,866
|
6,990,358
|
||||
|
NET ASSETS
|
||||||
|
Beginning of Year
|
41,847,612
|
34,857,254
|
||||
|
End of Year
|
$44,675,478
|
$41,847,612
|
||||
|
(a)
|
Summary of capital share transactions is as follows:
|
|
Shares
|
Shares
|
|||||
|
Subscriptions
|
700,000
|
1,050,000
|
||||
|
Redemptions
|
(750,000)
|
(900,000)
|
||||
|
Net Increase (Decrease)
|
(50,000)
|
150,000
|
||||
The accompanying notes are an integral part of these financial statements.
|
26
|
TABLE OF CONTENTS
FCF US Quality ETF
Financial Highlights
For a capital share outstanding throughout each year
|
Year Ended July 31,
|
|||||||||||||||
|
2024
|
2023
|
2022
|
2021
|
2020
|
|||||||||||
|
Net Asset Value, Beginning of Year
|
$54.00
|
$48.81
|
$55.12
|
$39.92
|
$37.59
|
||||||||||
|
Income from Investment Operations:
|
|||||||||||||||
|
Net Investment Income(a)
|
0.49
|
0.53
|
0.60
|
0.28
|
0.25
|
||||||||||
|
Net Realized and Unrealized Gain (Loss) on Investments
|
8.26
|
5.61
|
(1.59)
|
15.11
|
2.36
|
||||||||||
|
Total from Investment Operations
|
8.75
|
6.14
|
(0.99)
|
15.39
|
2.61
|
||||||||||
|
Less Distributions:
|
|||||||||||||||
|
From Net Investment Income
|
(0.42)
|
(0.52)
|
(0.47)
|
(0.19)
|
(0.28)
|
||||||||||
|
From Net Realized Gain on Investments
|
-
|
(0.43)
|
(4.85)
|
-
|
-
|
||||||||||
|
Total Distributions
|
(0.42)
|
(0.95)
|
(5.32)
|
(0.19)
|
(0.28)
|
||||||||||
|
Net Asset Value, End of Year
|
$62.33
|
$54.00
|
$48.81
|
$55.12
|
$39.92
|
||||||||||
|
Total Return
|
16.29%
|
12.87%
|
−2.92%(c)
|
38.64%
|
6.97%
|
||||||||||
|
Supplemental Data:
|
|||||||||||||||
|
Net Assets at End of Year (000's)
|
$412,962
|
$203,857
|
$176,938
|
$203,949
|
$108,791
|
||||||||||
|
Ratios to Average Net Assets:
|
|||||||||||||||
|
Expenses to Average Net Assets
|
0.59%
|
0.59%
|
0.59%
|
0.59%
|
0.59%
|
||||||||||
|
Net Investment Income to Average Net
Assets
|
0.85%
|
1.09%
|
1.15%
|
0.61%
|
0.68%
|
||||||||||
|
Portfolio Turnover Rate(b)
|
70%
|
39%
|
51%
|
98%
|
83%
|
||||||||||
|
(a)
|
Calculated based on average shares outstanding during the year.
|
|
(b)
|
Excludes impact of in-kind transactions.
|
|
(c)
|
During the fiscal year ended July 31, 2022, the Advisor reimbursed the Fund for certain losses. Had the Fund not been reimbursed for these losses the total return would have remained at −2.92%.
|
The accompanying notes are an integral part of these financial statements.
|
27
|
TABLE OF CONTENTS
FCF International Quality ETF
Financial Highlights
For a capital share outstanding throughout each year
|
Year Ended July 31,
|
|||||||||||||||
|
2024
|
2023
|
2022
|
2021
|
2020
|
|||||||||||
|
Net Asset Value, Beginning of Year
|
$27.96
|
$29.27
|
$36.38
|
$26.16
|
$26.02
|
||||||||||
|
Income from Investment Operations:
|
|||||||||||||||
|
Net Investment Income(a)
|
0.55
|
1.02
|
1.12
|
0.44
|
0.25
|
||||||||||
|
Net Realized and Unrealized Gain (Loss) on Investments
|
1.93
|
0.43(c)
|
(7.50)
|
9.98
|
0.40
|
||||||||||
|
Total from Investment Operations
|
2.48
|
1.45
|
(6.38)
|
10.42
|
0.65
|
||||||||||
|
Less Distributions:
|
|||||||||||||||
|
From Net Investment Income
|
(0.59)
|
(2.76)
|
(0.31)
|
(0.20)
|
(0.51)
|
||||||||||
|
From Net Realized Gain on Investments
|
-
|
-
|
(0.42)
|
-
|
-
|
||||||||||
|
Total Distributions
|
(0.59)
|
(2.76)
|
(0.73)
|
(0.20)
|
(0.51)
|
||||||||||
|
Capital Share Transactions
|
|||||||||||||||
|
Transaction Fees (Note 1)
|
-
|
0.00(d)
|
-
|
-
|
-
|
||||||||||
|
Net Asset Value, End of Year
|
$29.85
|
$27.96
|
$29.27
|
$36.38
|
$26.16
|
||||||||||
|
Total Return
|
9.00%
|
6.02%
|
−17.93%
|
39.96%
|
2.42%
|
||||||||||
|
Supplemental Data:
|
|||||||||||||||
|
Net Assets at End of Year (000's)
|
$60,455
|
$53,826
|
$54,157
|
$59,114
|
$11,116
|
||||||||||
|
Ratios to Average Net Assets:
|
|||||||||||||||
|
Expenses to Average Net Assets
|
0.59%
|
0.59%
|
0.59%
|
0.59%
|
0.59%
|
||||||||||
|
Net Investment Income to Average Net
Assets
|
1.95%
|
3.79%
|
3.32%
|
1.32%
|
1.00%
|
||||||||||
|
Portfolio Turnover Rate(b)
|
55%
|
62%
|
42%
|
87%
|
45%
|
||||||||||
|
(a)
|
Calculated based on average shares outstanding during the year.
|
|
(b)
|
Excludes impact of in-kind transactions.
|
|
(c)
|
As required by the SEC standard per share data calculation methodology, this represents a balancing figure derived from the other amounts in the financial highlights tables that captures all other changes affecting net asset value per share. This per share gain amount does not corrrelate to the aggregate of the net realized and unrealized loss in the Statements of Operations for the year ended July 31, 2023, primarily due to the timing of sales and repurchases of the Fund's shares in relation to fluctuating market values of the Fund's portfolio.
|
|
(d)
|
Amount represents less than $0.005 per share.
|
The accompanying notes are an integral part of these financial statements.
|
28
|
TABLE OF CONTENTS
Donoghue Forlines Tactical High Yield ETF
Financial Highlights
For a capital share outstanding throughout each period/year
|
Year Ended July 31,
|
||||||||||||
|
2024
|
2023
|
2022
|
2021(a)
|
|||||||||
|
Net Asset Value, Beginning of Period/Year
|
$20.88
|
$22.13
|
$25.23
|
$25.00
|
||||||||
|
Income from Investment Operations:
|
||||||||||||
|
Net Investment Income(b)
|
1.11
|
0.93
|
0.61
|
0.57
|
||||||||
|
Net Realized and Unrealized Gain (Loss) on Investments
|
0.38
|
(1.33)
|
(3.08)
|
0.15
|
||||||||
|
Total from Investment Operations
|
1.49
|
(0.40)
|
(2.47)
|
0.72
|
||||||||
|
Less Distributions:
|
||||||||||||
|
From Net Investment Income
|
(1.11)
|
(0.85)
|
(0.63)
|
(0.49)
|
||||||||
|
Total Distributions
|
(1.11)
|
(0.85)
|
(0.63)
|
(0.49)
|
||||||||
|
Net Asset Value, End of Period/Year
|
$21.26
|
$20.88
|
$22.13
|
$25.23
|
||||||||
|
Total Return
|
7.39%
|
−1.73%
|
−9.96%
|
2.92%(c)
|
||||||||
|
Supplemental Data:
|
||||||||||||
|
Net Assets at End of Period/Year (000's)
|
$30,293
|
$31,319
|
$47,587
|
$88,952
|
||||||||
|
Ratios to Average Net Assets(f):
|
||||||||||||
|
Expenses to Average Net Assets
|
0.69%
|
0.69%
|
0.69%
|
0.69%(d)
|
||||||||
|
Net Investment Income to Average Net Assets
|
5.34%
|
4.44%
|
2.52%
|
3.54%(d)
|
||||||||
|
Portfolio Turnover Rate(e)
|
662%
|
792%
|
1029%
|
327%(c)
|
||||||||
|
(a)
|
Commencement of operations on December 7, 2020.
|
|
(b)
|
Calculated based on average shares outstanding during the period.
|
|
(c)
|
Not annualized.
|
|
(d)
|
Annualized.
|
|
(e)
|
Excludes impact of in-kind transactions.
|
|
(f)
|
Income and expense ratios presented do not reflect the income and expenses of underlying funds.
|
The accompanying notes are an integral part of these financial statements.
|
29
|
TABLE OF CONTENTS
Donoghue Forlines Innovation ETF
Financial Highlights
For a capital share outstanding throughout each period/year
|
Year Ended July 31,
|
||||||||||||
|
2024
|
2023
|
2022
|
2021(a)
|
|||||||||
|
Net Asset Value, Beginning of Period/Year
|
$26.74
|
$23.99
|
$29.61
|
$25.00
|
||||||||
|
Income from Investment Operations:
|
||||||||||||
|
Net Investment Income(b)
|
0.14
|
0.17
|
0.12
|
0.02
|
||||||||
|
Net Realized and Unrealized Gain (Loss) on Investments
|
4.86
|
2.85
|
(4.34)
|
4.60
|
||||||||
|
Total from Investment Operations
|
5.00
|
3.02
|
(4.22)
|
4.62
|
||||||||
|
Less Distributions:
|
||||||||||||
|
From Net Investment Income
|
(0.22)
|
(0.27)
|
(0.05)
|
(0.01)
|
||||||||
|
From Net Realized Gain on Investments
|
-
|
-
|
(1.35)
|
-
|
||||||||
|
Total Distributions
|
(0.22)
|
(0.27)
|
(1.40)
|
(0.01)
|
||||||||
|
Net Asset Value, End of Period/Year
|
$31.52
|
$26.74
|
$23.99
|
$29.61
|
||||||||
|
Total Return
|
18.76%
|
12.84%
|
−15.16%
|
18.48%(c)
|
||||||||
|
Supplemental Data:
|
||||||||||||
|
Net Assets at End of Period/Year (000's)
|
$44,910
|
$39,446
|
$92,953
|
$87,362
|
||||||||
|
Ratios to Average Net Assets:
|
||||||||||||
|
Expenses to Average Net Assets
|
0.69%
|
0.69%
|
0.69%
|
0.69%(d)
|
||||||||
|
Net Investment Income to Average Net Assets
|
0.50%
|
0.72%
|
0.45%
|
0.11%(d)
|
||||||||
|
Portfolio Turnover Rate(e.)
|
86%
|
161%
|
82%
|
40%(c)
|
||||||||
|
(a)
|
Commencement of operations on December 7, 2020.
|
|
(b)
|
Calculated based on average shares outstanding during the period.
|
|
(c)
|
Not annualized.
|
|
(d)
|
Annualized.
|
|
(e)
|
Excludes impact of in-kind transactions.
|
The accompanying notes are an integral part of these financial statements.
|
30
|
TABLE OF CONTENTS
Donoghue Forlines Yield Enhanced Real Asset ETF
Financial Highlights
For a capital share outstanding throughout each period/year
|
Year Ended July 31,
|
|||||||||
|
2024
|
2023
|
2022(a)
|
|||||||
|
Net Asset Value, Beginning of Period/Year
|
$28.37
|
$26.31
|
$25.00
|
||||||
|
Income from Investment Operations:
|
|||||||||
|
Net Investment Income(b)
|
0.98
|
1.21
|
0.63
|
||||||
|
Net Realized and Unrealized Gain on Investments
|
3.35
|
3.10
|
1.11(f)
|
||||||
|
Total from Investment Operations
|
4.33
|
4.31
|
1.74
|
||||||
|
Less Distributions:
|
|||||||||
|
From Net Investment Income
|
(1.35)
|
(1.50)
|
(0.43)
|
||||||
|
From Net Realized Gain on Investments
|
-
|
(0.75)
|
-
|
||||||
|
Total Distributions
|
(1.35)
|
(2.25)
|
(0.43)
|
||||||
|
Net Asset Value, End of Period/Year
|
$31.35
|
$28.37
|
$26.31
|
||||||
|
Total Return
|
15.86%
|
17.62%
|
6.88%(c)
|
||||||
|
Supplemental Data:
|
|||||||||
|
Net Assets at End of Period/Year (000's)
|
$44,675
|
$41,848
|
$34,857
|
||||||
|
Ratios to Average Net Assets:
|
|||||||||
|
Expenses to Average Net Assets
|
0.69%
|
0.69%
|
0.69%(d)
|
||||||
|
Net Investment Income to Average Net Assets
|
3.39%
|
4.62%
|
3.79%(d)
|
||||||
|
Portfolio Turnover Rate(e)
|
84%
|
90%
|
48%(c)
|
||||||
|
(a)
|
Commencement of operations on December 13, 2021.
|
|
(b)
|
Calculated based on average shares outstanding during the period.
|
|
(c)
|
Not annualized.
|
|
(d)
|
Annualized.
|
|
(e)
|
Excludes impact of in-kind transactions.
|
|
(f)
|
As required by the SEC standard per share data calculation methodology, this represents a balancing figure derived from the other amounts in the financial highlights tables that captures all other changes affecting net asset value per share. This per share gain amount does not corrrelate to the aggregate of the net realized and unrealized loss in the Statements of Operations for the period ended July 31, 2022, primarily due to the timing of sales and repurchases of the Fund's shares in relation to fluctuating market values of the Fund's portfolio.
|
The accompanying notes are an integral part of these financial statements.
|
31
|
TABLE OF CONTENTS
TrimTabs ETF Trust
NOTES TO FINANCIAL STATEMENTS
July 31, 2024
1. ORGANIZATION
The FCF US Quality ETF ("TTAC"), FCF International Quality ETF ("TTAI"), Donoghue Forlines Tactical High Yield ETF ("DFHY"), Donoghue Forlines Innovation ETF (formerly known as the Donoghue Forlines Risk Managed Innovation ETF) ("DFNV") and Donoghue Forlines Yield Enhanced Real Asset ETF ("DFRA") (each, a "Fund" and collectively, the "Funds") are each a series of the TrimTabs ETF Trust (the "Trust"). The Trust was organized as a Delaware statutory trust on April 2, 2014. Each Fund is classified as a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended (the "1940 Act"). TTAC commenced operations on September 27, 2016 and that is the date the initial creation units were established. The Fund seeks to generate long-term returns in excess of the total return of the Russell 3000® Index (the "Russell Index"), with less volatility than the Russell Index. TTAI commenced operations on June 27, 2017 and that is the date the initial creation units were established. The Fund seeks to generate long-term total returns. DFHY commenced operations on December 7, 2020 and that is the date the initial creation units were established. The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the FCF Tactical High Yield Index. DFHY is a "fund of funds", meaning it will generally invest its assets in other registered investment companies. DFNV commenced operations on December 7, 2020 and that is the date the initial creation units were established. The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the FCF US Quality Innovation Index, (formerly known as the FCF Risk Managed Quality Innovation Index). DFRA commenced operations on December 13, 2021 and that is the date the initial creation units were established. The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the FCF Yield Enhanced Real Asset Index.
Shares of the Funds are listed and traded on the Cboe BZX Exchange, Inc. ("Cboe" or the "Exchange"). Market prices for the shares may be different from their net asset value ("NAV"). Each Fund issues and redeems shares on a continuous basis at NAV only in large blocks of shares, called "Creation Units," which generally consist of 25,000 shares. Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, shares generally trade in the secondary market at market prices that change throughout the day in amounts less than a Creation Unit. Except when aggregated in Creation Units, shares are not redeemable securities of a Fund. Shares of a Fund may only be purchased directly from or redeemed directly to a Fund by certain financial institutions ("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 DTC participant and, in each case, must have executed a Participant Agreement with Quasar Distributors, LLC (the "Distributor"). Most retail investors do not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, 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.
Each Fund currently offers one class of shares, which have no front-end sales loads, no deferred sales charges, and no redemption fees. A purchase (i.e., creation) transaction fee is imposed for the transfer and other transaction costs associated with the purchase of Creation Units. TTAC charges $500 for the standard fixed creation fee, TTAI charges $2,000 for the standard fixed creation fee, and DFHY, DFNV and DFRA each charge $300 for the standard fixed creation fee, payable to the Custodian. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units of up to a maximum of 2% as a percentage of the total value of the Creation Units subject to the transaction. Variable fees received by each Fund are displayed in the Capital Share Transactions section of the Statements of Changes in Net Assets. There were no variable fees charged by any Fund during the fiscal year. Each Fund may issue an unlimited number of shares of beneficial interest, with no par value. Shares of each Fund have equal rights and privileges with respect to such Fund.
2. SIGNIFICANT ACCOUNTING POLICIES
Each Fund is a registered investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 Financial Services - Investment Companies.
|
32
|
TABLE OF CONTENTS
TrimTabs ETF Trust
NOTES TO FINANCIAL STATEMENTS
July 31, 2024(Continued)
The following is a summary of significant accounting policies followed by each Fund in the preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("GAAP").
Security Transactions and Investment Income: Investment securities transactions are accounted for on the trade date. Gains and losses realized on sales of securities are computed on the basis of specific identification. Dividend income and income from underlying investment companies is recorded on the ex-dividend date. Withholding taxes on foreign dividends have been provided for in accordance with the Funds' understanding of the applicable tax rules and regulations. Interest income is recorded on an accrual basis. Discounts and premiums on securities purchased are accreted and amortized over the lives of the respective securities.
Dividend Distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations, which may differ from GAAP. Each Fund distributes all or substantially all of its net investment income to shareholders in the form of dividends.
Federal Income Taxes: The Funds comply with the requirements of subchapter M of the Internal Revenue Code of 1986, as amended, necessary to qualify as regulated investment companies and distribute substantially all net taxable investment income and net realized gains to shareholders in a manner which results in no tax cost to the Funds. Therefore, no federal income tax provision is required. As of and during the year ended July 31, 2024, the Funds did not have any tax positions that did not meet the "more-likely-than-not" threshold of being sustained by the applicable tax authority. As of and during the year ended July 31, 2024, the Funds did not have liabilities for any unrecognized tax benefits on uncertain tax positions as income tax expense in the Statements of Operations. During the year ended July 31, 2024, the Funds did not incur any interest or penalties. The Funds are subject to examination by U.S. taxing authorities for the prior three fiscal years.
Currency Translation: Assets and liabilities, including investment securities, denominated in currencies other than U.S. dollars are translated into U.S. dollars at the exchange rates supplied by one or more pricing vendors on the valuation date. Purchases and sales of investment securities and income and expenses are translated into U.S. dollars at the exchange rates on the dates of such transactions. The effects of changes in exchange rates on investment securities are included with the net realized gain or loss and net unrealized appreciation or depreciation on investments in the Funds' Statements of Operations. The realized gain or loss and unrealized appreciation or depreciation resulting from all other transactions denominated in currencies other than U.S. dollars are disclosed separately.
Use of Estimates: The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Share Valuation: The NAV per share of each Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash and other assets, minus all liabilities (including estimated accrued expenses) by the total number of shares outstanding for the Fund, rounded to the nearest cent. The offering and redemption price per share for each Fund is equal to the Fund's net asset value per share.
Guarantees and Indemnifications: The Funds indemnify their officers and trustees for certain liabilities that may arise from the performance of their duties to the Funds. Additionally, in the normal course of business, the Trust enters into contracts with its vendors and others that provide for general indemnifications. The Trust and Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds. However, based on industry experience, the Funds expect that risk of loss to be remote.
|
33
|
TABLE OF CONTENTS
TrimTabs ETF Trust
NOTES TO FINANCIAL STATEMENTS
July 31, 2024(Continued)
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. For the fiscal year ended July 31, 2024, the following table shows the reclassifications made:
|
Fund
|
Distributable Earnings
(Accumulated Deficit)
|
Paid-In Capital
|
||||
|
TTAC
|
$(44,035,118)
|
$44,035,118
|
||||
|
TTAI
|
$(3,342,206)
|
$3,342,206
|
||||
|
DFHY
|
$(81,954)
|
$81,954
|
||||
|
DFNV
|
$(5,278,159)
|
$5,278,159
|
||||
|
DFRA
|
$(2,853,900)
|
$2,853,900
|
||||
During the fiscal year ended July 31, 2024, the Funds realized the following net capital gains or losses resulting from in-kind redemptions in which shareholders exchanged Fund shares for securities held by the Funds rather than for cash. Because such gains or losses are not taxable or deductible to the Funds, and are not distributed to shareholders, they have been reclassified from distributable earnings to paid-in capital.
|
Fund
|
Gains (Losses) from
In-Kind Redemptions
|
||
|
TTAC
|
$46,583,144
|
||
|
TTAI
|
$3,914,300
|
||
|
DFHY
|
$105,440
|
||
|
DFNV
|
$5,318,796
|
||
|
DFRA
|
$2,907,475
|
||
Underlying Investment in Other Investment Companies:The Funds participate in the securities lending program and receive cash collateral in return for securities lent. The collateral is invested in the Mount Vernon Liquid Assets Portfolio, LLC of which the investment objective is to seek to maximize current income to the extent consistent with the preservation of capital and liquidity and to maintain a stable net asset value of $1.00 per unit by investing in dollar-denominated securities with remaining maturities of 397 calendar days or less. As of July 31, 2024, the percentage of DFRA's total net assets invested in the Mount Vernon Liquid Assets Portfolio, LLC was 22.9%. No other Fund had an investment in the Mount Vernon Liquid Assets Portfolio, LLC that exceeded 20% of total net assets as of July 31, 2024.
Subsequent Events: On August 7, 2024, Abacus Life, Inc., a pioneering alternative asset manager specializing in longevity and actuarial technology, announced a definitive agreement to acquire FCF Advisors LLC, the investment adviser for the Funds. The transaction is expected to close in the fourth quarter of 2024. See "Investment Advisory and Sub-Advisory Agreement Approval - The New Advisory and Sub-Advisory Agreements" for additional information.
3. SECURITIES VALUATION
Investment Valuation:Each Fund calculates its net asset value ("NAV") each day the New York Stock Exchange (the "NYSE") is open for trading as of the close of regular trading on the NYSE, normally 4:00 p.m. Eastern time (the "NAV Calculation Time").
Equity securities are valued primarily on the basis of market quotations reported on stock exchanges and other securities markets around the world. If an equity security is listed on a national securities exchange, the security is valued at the closing price or, if the closing price is not readily available, the mean of the closing bid and asked prices.
Investments in other open-end investment companies, including money market funds, are valued at the investment company's net asset value per share, with the exception of exchange-traded open-end investment companies, which are priced as equity securities described above.
Units of Mount Vernon Liquid Assets Portfolio, LLC are not traded on an exchange and are valued at the investment company's NAV per share as provided by its administrator.
|
34
|
TABLE OF CONTENTS
TrimTabs ETF Trust
NOTES TO FINANCIAL STATEMENTS
July 31, 2024(Continued)
Deposit accounts are valued at acquisition cost, which approximates fair value. Market quotations and indicative bids are obtained from outside pricing services. Additionally, the Funds' Board of Trustees (the "Board") has designated FCF Advisors LLC (the "Adviser") to serve as the valuation designee, pursuant to Rule 2a-5 under the 1940 Act, to perform the fair value determinations relating to any or all Fund investments. Accordingly, if a market quotation is not readily available or otherwise becomes unreliable, the Adviser will determine in good faith the price of the security held by the Funds based on a determination of the security's fair value pursuant to policies and procedures approved by the Board. In addition, the Adviser may use fair valuation to price securities that trade on a foreign exchange when a significant event has occurred after the foreign exchange closes but before the time at which the Funds' NAV's are calculated. Such valuations would typically be categorized as Level 2 or Level 3 in the fair value hierarchy described below.
Foreign exchanges typically close before the time at which Fund share prices are calculated and may be closed altogether on some days when shares of the Funds are traded. Significant events affecting a foreign security may include, but are not limited to: corporate actions, earnings announcements, litigation or other events impacting a single issuer; governmental action that affects securities in one sector or country; natural disasters or armed conflicts affecting a country or region; or significant domestic or foreign market fluctuations.
Fair valuations and valuations of investments that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.
Fair Valuation Measurement:The FASB established a framework for measuring fair value in accordance with GAAP. Under FASB ASC Topic 820, Fair Value Measurement, various inputs are used in determining the value of each Fund's investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three Levels of inputs of the fair value hierarchy are defined as follows:
Level 1 -
Unadjusted quoted prices in active markets for identical assets or liabilities.
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 securities, 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.
A financial instrument's level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement.
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 following is a summary of the inputs used to value the Funds' investments as of July 31, 2024:
TTAC
|
Description^
|
Non-Categorized
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||
|
Common Stocks
|
$ -
|
$410,628,988
|
$ -
|
$ -
|
$410,628,988
|
||||||||||
|
Investments Purchased with Proceeds from Securities Lending*
|
20,931,374
|
-
|
-
|
-
|
20,931,374
|
||||||||||
|
Total Investments
|
$20,931,374
|
$410,628,988
|
$-
|
$-
|
$ 431,560,362
|
||||||||||
|
35
|
TABLE OF CONTENTS
TrimTabs ETF Trust
NOTES TO FINANCIAL STATEMENTS
July 31, 2024(Continued)
TTAI
|
Description^
|
Non-Categorized
|
Level 1
|
Level 2
|
Level 3 **
|
Total
|
||||||||||
|
Common Stocks
|
$ -
|
$ 58,780,295
|
$ -
|
$ -
|
$ 58,780,295
|
||||||||||
|
Preferred Stocks
|
-
|
213,070
|
-
|
-
|
213,070
|
||||||||||
|
Warrants
|
-
|
-
|
-
|
-
|
-
|
||||||||||
|
Investments Purchased with Proceeds from Securities Lending*
|
1,375,911
|
-
|
-
|
-
|
1,375,911
|
||||||||||
|
Total Investments
|
$1,375,911
|
$58,993,365
|
$-
|
$-
|
$60,369,276
|
||||||||||
DFHY
|
Description^
|
Non-Categorized
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||
|
Exchange-Traded Funds
|
$ -
|
$ 30,230,226
|
$ -
|
$ -
|
$ 30,230,226
|
||||||||||
|
Investments Purchased with Proceeds from Securities Lending*
|
5,735,438
|
-
|
-
|
-
|
5,735,438
|
||||||||||
|
Total Investments
|
$5,735,438
|
$30,230,226
|
$-
|
$-
|
$35,965,664
|
||||||||||
DFNV
|
Description^
|
Non-Categorized
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||
|
Common Stocks
|
$ -
|
$ 44,776,164
|
$ -
|
$ -
|
$ 44,776,164
|
||||||||||
|
Investments Purchased with Proceeds from Securities Lending*
|
3,683,717
|
-
|
-
|
-
|
3,683,717
|
||||||||||
|
Total Investments
|
$3,683,717
|
$44,776,164
|
$-
|
$-
|
$48,459,881
|
||||||||||
DFRA
|
Description^
|
Non-Categorized
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||
|
Common Stocks
|
$ -
|
$ 31,863,461
|
$ -
|
$ -
|
$ 31,863,461
|
||||||||||
|
Real Estate Investment
Trusts
|
-
|
7,864,347
|
-
|
-
|
7,864,347
|
||||||||||
|
Master Limited
Partnerships
|
-
|
4,010,629
|
-
|
-
|
4,010,629
|
||||||||||
|
Preferred Stocks
|
-
|
731,920
|
-
|
-
|
731,920
|
||||||||||
|
Investments Purchased with Proceeds from Securities Lending*
|
10,223,205
|
-
|
-
|
-
|
10,223,205
|
||||||||||
|
Total Investments
|
$10,223,205
|
$44,470,357
|
$-
|
$-
|
$54,693,562
|
||||||||||
|
^
|
See Schedule of Investments for sector breakouts.
|
|
*
|
Certain investments that are measured at fair value using the NAV per share (or its equivalent) as a practical expedient have not been characterized 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 listed in the Schedule of Investments. See Note 8 for additional information regarding securities lending.
|
|
**
|
See notes under TTAI's Level 3 reconciliation table for more information regarding Level 3 priced securities.
|
|
36
|
TABLE OF CONTENTS
TrimTabs ETF Trust
NOTES TO FINANCIAL STATEMENTS
July 31, 2024(Continued)
TTAI
Level 3 Reconciliation Disclosure
|
Common Stocks
|
Warrants
|
Total
|
|||||||
|
Balance as of July 31, 2023
|
$51,413
|
$ -
|
$51,413
|
||||||
|
Corporate actions
|
-
|
-*
|
$-
|
||||||
|
Change in unrealized appreciation/(depreciation)
|
(51,413)**
|
-
|
(51,413)
|
||||||
|
Balance as of July 31, 2024
|
$-
|
$-
|
$-
|
||||||
|
Change in unrealized appreciation/(depreciation) during the period for Level 3 investments held at July 31, 2024
|
$(51,413)
|
||||||||
The Level 3 investments as of July 31, 2024 represented 0.00% of net assets and did not warrant a disclosure of significant unobservable valuation inputs.
|
*
|
Security valued at fair value using methods determined in good faith by or at the direction of the Fund's valuation designee. Value determined using significant unobservable inputs. At July 31, 2024, the fair value of this security represented less than 0.05% of net assets.
|
|
**
|
Russia's invasion of Ukraine has led to unprecedented market and policy responses of governments and regulators around the world. There is no functioning or orderly market to facilitate the liquidation of any security impacted by Russia-related sanctions. As a result, the fair value of the Russia-related sanctioned security held by the Fund has been reduced to zero.
|
Accounting Pronouncements:In June 2022, the FASB issued Accounting Standards Update 2022-03, which amends Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions ("ASU 2022- 03"). ASU 2022-03 clarifies guidance for fair value measurement of an equity security subject to a contractual sale restriction and establishes new disclosure requirements for such equity securities. ASU 2022-03 is effective for fiscal years beginning after December 15, 2023 and for interim periods within those fiscal years, with early adoption permitted. Management is currently evaluating the impact of these amendments on the Funds' financial statements.
4. OTHER RELATED PARTY TRANSACTIONS
Pursuant to an Investment Advisory Agreement ("Investment Advisory Agreement") between the Trust, on behalf of the Funds, and the Adviser, the Adviser provides investment advice to the Funds and oversees the day-to-day operations of the Funds, subject to the direction and control of the Board and the officers of the Trust. The Adviser administers the Funds' business affairs, provides office facilities and equipment and certain clerical, bookkeeping and administrative services. The Adviser bears the costs of all advisory and non-advisory services required to operate the Funds, including payment of Trustee compensation, in exchange for a single unitary management fee. For services provided to the Funds, TTAC and TTAI each pay the Adviser 0.59% and DFHY, DFNV and DFRA each pay the Adviser 0.69% at an annual rate based on each Fund's average daily net assets. Certain officers and a Trustee of the Trust are affiliated with the Adviser and are not paid any fees by the Funds for serving in such capacities.
The Adviser has overall responsibility for overseeing the investment of the Funds' assets, managing the Funds' business affairs and providing certain clerical, bookkeeping and other administrative services for the Trust. Donoghue Forlines LLC ("Donoghue" or "the Sub-Adviser") acts as the Sub-Adviser to DFHY, DFNV, and DFRA. The Sub-Adviser has responsibility to make day-to-day investment decisions for DFHY, DFNV, and DFRA and selects broker-dealers for executing portfolio transactions, subject to the Sub-Adviser's best execution obligations and the Trust's and the Sub-Adviser's brokerage policies. For the services it provides to DFHY, DFNV, and DFRA, the Sub-Adviser is compensated by the Adviser from the management fees paid by DFHY, DFNV, and DFRA to the Adviser.
5. SERVICE AND CUSTODY AGREEMENTS
The Funds have entered into Service Agreements with U.S. Bancorp Fund Services, LLC ("Fund Services" or "Administrator"), doing business as U.S. Bank Global Fund Services, and a Custody Agreement with U.S. Bank, N.A. ("USB"), an affiliate of Fund Services. Under these agreements, Fund Services and USB provide certain transfer agency, administrative, accounting and custody services and are paid by the Adviser under the unitary fee arrangement noted above.
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NOTES TO FINANCIAL STATEMENTS
July 31, 2024(Continued)
Quasar Distributors, LLC ("Quasar") acts as the Funds' principal underwriter in a continuous public offering of the Funds' shares. Quasar is a wholly-owned subsidiary of Foreside Financial Group, LLC ("Foreside"), doing business as ACA Group.
The Trust has adopted a distribution and service plan ("Rule 12b-1 Plan") pursuant to Rule 12b-1 under the 1940 Act. Under the Rule 12b-1 Plan, each Fund is authorized to pay distribution fees in connection with the sale and distribution of its shares and pay service fees in connection with the provision of ongoing services to shareholders. To date, the Rule 12b-1 Plan has not been implemented for the Funds and there is no current intention to implement the Rule 12b-1 Plan.
6. INVESTMENT TRANSACTIONS
For the year ended July 31, 2024, the aggregate purchases and sales of securities by each Fund, excluding short-term securities and in-kind transactions, were as follows:
|
Fund
|
Purchases
|
Sales
|
||||
|
TTAC
|
$252,840,598
|
$224,633,578
|
||||
|
TTAI
|
$32,583,434
|
$31,531,053
|
||||
|
DFHY
|
$205,955,799
|
$205,971,232
|
||||
|
DFNV
|
$35,668,560
|
$35,098,587
|
||||
|
DFRA
|
$37,240,477
|
$37,105,959
|
||||
For the year ended July 31, 2024, in-kind transactions associated with creations and redemptions were as follows:
|
Fund
|
Purchases
|
Sales
|
||||
|
TTAC
|
$328,072,306
|
$201,166,417
|
||||
|
TTAI
|
$20,505,416
|
$19,646,095
|
||||
|
DFHY
|
$1,551,357
|
$3,126,183
|
||||
|
DFNV
|
$20,569,936
|
$23,213,872
|
||||
|
DFRA
|
$19,306,328
|
$21,436,970
|
||||
For the year ended July 31, 2024, there were no long-term purchases or sales of U.S. Government Securities for the Funds.
7. INCOME TAX INFORMATION
The components of tax basis cost of investments and net unrealized appreciation for federal income tax purposes as of July 31, 2024 were as follows:
|
TTAC
|
TTAI
|
DFHY
|
DFNV
|
DFRA
|
|||||||||||
|
Tax cost of investments
|
$383,536,878
|
$56,335,602
|
$35,441,188
|
$43,657,467
|
$51,067,367
|
||||||||||
|
Gross tax unrealized appreciation
|
58,262,965
|
8,720,996
|
597,513
|
6,838,366
|
4,636,060
|
||||||||||
|
Gross tax unrealized depreciation
|
(10,239,481)
|
(4,687,322)
|
(73,037)
|
(2,035,952)
|
(1,009,865)
|
||||||||||
|
Net tax unrealized appreciation (depreciation)
|
48,023,484
|
4,033,674
|
524,476
|
4,802,414
|
3,626,195
|
||||||||||
|
Undistributed ordinary income
|
566,980
|
136,332
|
140,549
|
84,266
|
823,860
|
||||||||||
|
Undistributed long-term capital
gains
|
-
|
-
|
-
|
-
|
-
|
||||||||||
|
Distributable earnings
|
566,980
|
136,332
|
140,549
|
84,266
|
823,860
|
||||||||||
|
Other accumulated gain (loss)
|
(15,932,118)
|
(10,366,230)
|
(7,685,315)
|
(11,269,785)
|
(93,797)
|
||||||||||
|
Total distributable earnings (accumulated deficit)
|
$32,658,346
|
$(6,196,224)
|
$(7,020,290)
|
$(6,383,105)
|
$4,356,258
|
||||||||||
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TrimTabs ETF Trust
NOTES TO FINANCIAL STATEMENTS
July 31, 2024(Continued)
The difference between book and tax-basis cost is attributable to the realization for tax purposes of unrealized gains on investments in passive foreign investment companies and wash sales. Under tax law, certain capital and foreign currency losses realized after October 31 and within the taxable year are deemed to arise on the first business day of each Fund's next taxable year. The other accumulated losses presented in the table above for TTAI and DFRA differ from the capital loss carryforwards presented in the table below due to foreign currency unrealized gains in TTAI and accumulated outstanding passive activity losses from partnership interests in DFRA.
At July 31, 2024, the Funds had the following capital loss carryforwards:
|
Fund
|
Short-Term
|
Long-Term
|
Total
|
Expires
|
||||||||
|
TTAC
|
$9,725,937
|
$6,206,181
|
$15,932,118
|
Indefinite
|
||||||||
|
TTAI
|
$4,547,257
|
$5,819,286
|
$10,366,543
|
Indefinite
|
||||||||
|
DFHY
|
$7,343,379
|
$341,936
|
$7,685,315
|
Indefinite
|
||||||||
|
DFNV
|
$7,974,622
|
$3,295,163
|
$11,269,785
|
Indefinite
|
||||||||
|
DFRA
|
$-
|
$-
|
$-
|
N/A
|
||||||||
During the tax year ended July 31, 2024, the following Funds utilized capital loss carryforwards:
|
Fund
|
Amount
|
||
|
DFHY
|
$(26,742)
|
||
|
DFNV
|
$(296,296)
|
||
|
DFRA
|
$(1,655,249)
|
||
The tax character of distributions paid by the Funds during the fiscal year ended July 31, 2024 and the fiscal year ended July 31, 2023 were as follows:
|
Ordinary Income
|
Capital Gains
|
|||||||||||
|
Fund
|
July 31, 2024
|
July 31, 2023
|
July 31, 2024
|
July 31, 2023
|
||||||||
|
TTAC
|
$2,366,744
|
$1,880,588
|
$ -
|
$1,410,839
|
||||||||
|
TTAI
|
$1,209,387
|
$3,175,073
|
$-
|
$-
|
||||||||
|
DFHY
|
$1,681,987
|
$1,465,990
|
$-
|
$-
|
||||||||
|
DFNV
|
$285,155
|
$550,240
|
$-
|
$-
|
||||||||
|
DFRA
|
$2,055,975
|
$3,660,884
|
$-
|
$54,259
|
||||||||
8. SECURITIES LENDING
Following terms of a securities lending agreement with USB, each Fund may lend securities from its portfolio to brokers, dealers and financial institutions in order to increase the return on its portfolio, primarily through the receipt of borrowing fees and earnings on invested collateral. Any such loan must be continuously secured by collateral in cash or cash equivalents maintained on a current basis in an amount at least equal to 105% of the value of the loaned securities that are foreign securities or 102% of the value of any U.S. loaned securities. Loans shall be marked to market daily. If the market value of the collateral at the close of trading on a business day is less than the margin percentage of the market value of the loaned securities at the close of trading that day, reasonable efforts will be made to seek an additional amount of collateral the following business day. During the time securities are on loan, the borrower will pay the Funds any accrued income on those securities, and the Funds may invest the cash collateral and earn income or receive an agreed-upon fee from a borrower that has delivered cash-equivalent collateral. In determining whether or not to lend a security to a particular broker, dealer or financial institution, the Adviser considers all relevant facts and circumstances, including the size, creditworthiness and reputation of the broker, relevant facts dealer or financial institution. Securities lending involves the risk of a default or insolvency of the borrower. In either of these cases, a Fund could experience delays in recovering securities or collateral or could lose all or part of the value of the loaned securities. A Fund also could lose money in the event of a decline in the value of the collateral provided for loaned securities. Additionally, the loaned portfolio securities may not be available to the Fund on a timely basis and the Fund may therefore lose the opportunity to sell the securities at a desirable price. Any decline in the value of a security that occurs while the security is out on loan would continue to be borne by the Funds.
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TrimTabs ETF Trust
NOTES TO FINANCIAL STATEMENTS
July 31, 2024(Continued)
Each Fund receives cash as collateral in return for securities lent, if any, as part of the securities lending program. The collateral is invested in the Mount Vernon Liquid Assets Portfolio, LLC of which the investment objective is to seek to maximize current income to the extent consistent with the preservation of capital and liquidity and maintain a stable NAV of $1.00 per unit. As of July 31, 2024, the Funds held the following amounts in the Mount Vernon Liquid Assets Portfolio, LLC:
|
Fund
|
Amount Held at
July 31, 2024
|
||
|
TTAC
|
$20,931,374
|
||
|
TTAI
|
$1,375,911
|
||
|
DFHY
|
$5,735,438
|
||
|
DFNV
|
$3,683,717
|
||
|
DFRA
|
$10,223,205
|
||
The remaining contractual maturity of all securities lending transactions is overnight and continuous. The Funds are not subject to a master netting agreement with respect to securities lending; therefore no additional disclosures are required. The income earned by the Funds on investments of cash collateral received from borrowers for the securities loaned to them are reflected in the Funds' Statements of Operations. Securities lending income, as disclosed in the Funds' Statements of Operations, represents the income earned from the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paid to the Custodian as lending agent.
9. CERTAIN RISKS
Concentration Risk. A fund concentrated in an industry or group of industries is likely to present more risks than a fund that is broadly diversified over several industries or groups of industries. Compared to the broad market, an individual industry or group of related industries may be more strongly affected by changes in the economic climate, broad market shifts, moves in a particular dominant stock or regulatory changes.
Depositary Receipts Risk.The risks of investments in depositary receipts are substantially similar to a direct investment in a foreign security. Returns on investments in foreign securities could be more volatile than, or trail the returns on, investments in U.S. securities. Exposures to foreign securities entail special risks, including due to: differences in information available about foreign issuers; differences in investor protection standards in other jurisdictions; capital controls risks, including the risk of a foreign jurisdiction imposing restrictions on the ability to repatriate or transfer currency or other assets; political, diplomatic and economic risks; regulatory risks; and foreign market and trading risks, including the costs of trading and risks of settlement in foreign jurisdictions. In addition, depositary receipts may not track the price of the underlying foreign securities, and their value may change materially at times when the U.S. markets are not open for trading.
Emerging Markets Risk.Investments in emerging markets are generally subject to greater market volatility, political, social and economic instability, uncertain trading markets and more governmental limitations than investments in more developed markets. Companies in emerging markets may be subject to less stringent regulatory, accounting, auditing, and financial reporting and recordkeeping standards than companies in more developed countries, which could impede the Adviser's ability to evaluate such companies or impact TTAI's performance. Securities laws and the enforcement of systems of taxation in many emerging market countries may change quickly and unpredictably, and the ability to bring and enforce actions may be limited or otherwise impaired. In addition, investments in emerging markets may experience lower trading volume, greater price fluctuations, delayed settlement, unexpected market closures and lack of timely information, and may be subject to additional transaction costs.
Equity Investing Risk.An investment in TTAC, TTAI, DFNV or DFRA involves risks similar to those of investing in any fund holding equity securities, such as market fluctuations, changes in interest rates and perceived trends in stock prices. The values of equity securities could decline generally or could underperform other investments. In addition, securities may decline in value due to factors affecting a specific issuer, market or securities markets generally.
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TrimTabs ETF Trust
NOTES TO FINANCIAL STATEMENTS
July 31, 2024(Continued)
Foreign Investment Risk.Returns on investments in foreign securities could be more volatile than, or trail the returns on, investments in U.S. securities. Exposures to foreign securities entail special risks, including due to: differences in information available about foreign issuers; differences in investor protection standards in other jurisdictions; capital controls risks, including the risk of a foreign jurisdiction imposing restrictions on the ability to repatriate or transfer currency or other assets; political, diplomatic and economic risks; regulatory risks; and foreign market and trading risks, including the costs of trading and risks of settlement in foreign jurisdictions. In addition, the Fund's investments in securities denominated in other currencies could decline due to changes in local currency relative to the value of the U.S. dollar, which may affect the Fund's returns.
Geographic Region Risk.To the extent that the Funds invest a significant portion of their assets in a specific geographic region or a particular country, the Funds will generally have more exposure to that region or country's economic risks. In the event of economic or political turmoil or a deterioration of diplomatic relations in a region or country where a significant portion of the Funds' assets are invested, the Funds may experience substantial illiquidity or reduction in the value of the Funds' investments. Adverse conditions in a certain region or country can also adversely affect securities of issuers in other countries whose economies appear to be unrelated.
High Yield (Junk Bond) Securities Risk. High yield securities and unrated securities of similar credit quality are considered to be speculative with respect to the issuer's continuing ability to make principal and interest payments and are generally subject to greater levels of credit quality risk than investment grade securities. High yield securities are usually issued by companies, including smaller and medium capitalization companies, without long track records of sales and earnings, or with questionable credit strength. These companies may be particularly affected by interest rate increases, as they may find it more difficult to borrow money to continue or expand operations, or may have difficulty in repaying floating rate loans. These fixed-income securities are considered below "investment-grade." The retail secondary market for these "junk bonds" may be less liquid than that of higher-rated fixed income securities, and adverse conditions could make it difficult at times to sell these securities or could result in lower prices than higher-rated fixed income securities. These risks can reduce the value of the shares of an Underlying ETF and the income it earns.
MLP Risk.An MLP is a publicly traded partnership primarily engaged in the transportation, storage, processing, refining, marketing, exploration, production, and mining of minerals and natural resources. MLP common units, like other equity securities, can be affected by macroeconomic and other factors affecting the stock market in general, expectations of interest rates, investor sentiment towards an issuer or certain market sector, changes in a particular issuer's financial condition, or unfavorable or unanticipated poor performance of a particular issuer (in the case of MLPs, generally measured in terms of distributable cash flow). Prices of common units of individual MLPs, like the prices of other equity securities, also can be affected by fundamentals unique to the partnership or company, including earnings power and coverage ratios.
MLP Tax Risk.MLPs taxed as partnerships, subject to the application of certain partnership audit rules, generally do not pay U.S. federal income tax at the partnership level. Rather, each partner is allocated a share of the MLP's income, gains, losses, deductions and expenses. A change in current tax law, or a change in the underlying business mix of a given MLP, could result in an MLP being treated as a corporation for U.S. federal income tax purposes, which would result in such MLP being required to pay U.S. federal income tax on its taxable income. The classification of an MLP as a corporation for U.S. federal income tax purposes would have the effect of reducing the amount of cash available for distribution by the MLP. Thus, if any of the MLPs owned by DFRA were treated as corporations for U.S. federal income tax purposes, it could result in a reduction in the value of your investment in DFRA and lower income.
Real Assets Industry Group Risk.The risks of investing in the Real Assets Industry Group include the risks of focusing investments in the real estate, infrastructure, commodities and natural resources related sectors, and adverse developments in these sectors may significantly affect the value of the Shares. Accordingly, DFRA is more susceptible to adverse developments affecting one or more of these sectors than a fund that invests more broadly, and the Fund may perform poorly during a downturn affecting issuers in those sectors. Companies involved in activities related to the Real Assets Industry Group can be adversely affected by, among other things, government regulation or deregulation, global political and economic developments, energy and commodity prices, the overall supply and demand for oil and gas, changes in tax zoning laws, environmental issues, and low inflation.
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TrimTabs ETF Trust
NOTES TO FINANCIAL STATEMENTS
July 31, 2024(Continued)
Real Estate Investment Trust ("REIT") Risk.A REIT is a company that pools investor funds to invest primarily in income producing real estate or real estate related loans or interests. DFRA may be subject to certain risks associated with direct investments in REITs. REITs may be affected by changes in their underlying properties and by defaults by borrowers or tenants. Mortgage REITs may be affected by the quality of the credit extended. Furthermore, REITs are dependent on specialized management skills. Some REITs may have limited diversification and may be subject to risks inherent in financing a limited number of properties. REITs depend generally on their ability to generate cash flow to make distributions to shareholders or unitholders and may be subject to defaults by borrowers and to self-liquidations.
Sector Focus Risk.To the extent that the Fund's investments are focused on a particular sector, the Fund is subject to loss due to adverse occurrences that may affect that industry or group of industries or sector. Focusing on a particular sector could increase the Fund's volatility over the short term.
Underlying ETFs Risk. In seeking to track its Underlying Index, each of DFHY and DFNV may invest a portion of its assets in Underlying ETFs. In those situations, the Fund's investment performance is directly related to the performance of the Underlying ETFs. The Fund's net asset value (or "NAV") will change with changes in the value of the Underlying ETFs based on their market valuations. An investment in the Fund will entail more costs and expenses than a direct investment in the Underlying ETFs. As the Underlying ETFs, or the Fund's allocations among the Underlying ETFs, change from time to time, or to the extent that the total annual fund operating expenses of any Underlying ETF changes, the weighted average operating expenses borne by the Fund may increase or decrease.
U.S. Treasury Securities Risk. U.S. Treasury securities may differ from other securities in their interest rates, maturities, times of issuance and other characteristics and may provide relatively lower returns than those of other securities. Similar to other issuers, changes to the financial condition or credit rating of a government may cause the value of U.S. Treasury securities or Underlying ETFs providing exposure to such securities to decline.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of FCF US Quality ETF, FCF International Quality ETF, Donoghue Forlines Tactical High Yield ETF, Donoghue Forlines Innovation ETF, and Donoghue Forlines Yield Enhanced Real Asset ETF and Board of Trustees of TrimTabs ETF Trust.
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of FCF US Quality ETF, FCF International Quality ETF, Donoghue Forlines Tactical High Yield ETF, Donoghue Forlines Innovation ETF, and Donoghue Forlines Yield Enhanced Real Asset ETF (the "Funds"), each a series of TrimTabs ETF Trust, as of July 31, 2024, the related statements of operations for the year then ended, the statements of changes in net assets and the financial highlights for each of the two years in the period then ended, 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 each of the Funds as of July 31, 2024, the results of their operations for the year then ended, the changes in net assets and the financial highlights for each of the two years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
The Funds' financial highlights for the years or periods ended July 31, 2022, and prior, were audited by other auditors whose report dated September 29, 2022, expressed an unqualified opinion on those financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Our audits 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 procedures included confirmation of securities owned as of July 31, 2024, by correspondence with the custodian. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the Funds' auditor since 2023.
COHEN & COMPANY, LTD.
Philadelphia, Pennsylvania
September 27, 2024
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INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENT APPROVAL - THE NEW ADVISORY AND SUB-ADVISORY AGREEMENTS(Unaudited)
March 12, 2024, Consideration of the Renewal of the Investment Advisory and Sub-Advisory Agreements
At a meeting held on March 12, 2024 (the "March 2024 Meeting"), the Board of Trustees (the "Board") of TrimTabs ETF Trust (the "Trust"), including the Trustees of the Trust who were not "interested persons," as that term is defined in the Investment Company Act of 1940 (the "Independent Trustees"), reviewed and unanimously approved the renewal of: (i) the investment advisory agreement (the "Advisory Agreement") between FCF Advisors LLC ("FCF") and the Trust, on behalf of each of FCF International Quality ETF ("TTAI"), FCF US Quality ETF ("TTAC"), Donoghue Forlines Innovation ETF ("DFNV"), Donoghue Forlines Tactical High Yield ETF ("DFHY"), and Donoghue Forlines Yield Enhanced Real Asset ETF ("DFRA" and, collectively with TTAC, TTAI, DFNV and DFHY, the "Renewal Funds" and, each, a "Renewal Fund"); and (ii) the sub-advisory agreement (the "Sub-Advisory Agreement") between FCF and Donoghue Forlines LLC ("Donoghue") with respect to each of DFNV, DFHY and DFRA (each, a "Sub-Advised Fund," and collectively, the "Sub-Advised Funds").
In evaluating the Advisory Agreement and Sub-Advisory Agreement, the Board, including the Independent Trustees, reviewed the materials furnished by FCF and Donoghue. The Board considered the following factors, among others, in connection with its renewal of the Advisory Agreement and Sub-Advisory Agreement, as it pertained to each Renewal Fund: (1) the nature, extent, and quality of the services provided by FCF and Donoghue; (2) the investment performance of each Renewal Fund; (3) a comparison of fees and expenses of each Renewal Fund to its respective peer group (each, a "Peer Group"); (4) the profitability to FCF and Donoghue; (5) the extent to which economies of scale might be realized as each Renewal Fund grows; and (6) any ancillary benefits derived by FCF and Donoghue from their relationships with the Renewal Funds. The Board also considered the materials that they had received at past meetings, including at routine quarterly meetings, relating to the nature, extent and quality of FCF's and Donoghue's services, including information concerning each Renewal Fund's advisory fee, sub-advisory fee, total expense ratio and performance.
In addition, prior to approving the Advisory Agreement and Sub-Advisory Agreement, the Independent Trustees met in executive session with counsel to the Independent Trustees without representatives of FCF or Donoghue. The Independent Trustees reviewed with counsel to the Independent Trustees the legal standards applicable to their consideration of the Advisory Agreement and Sub-Advisory Agreement for each Renewal Fund. The Independent Trustees relied upon the advice of counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement and Sub-Advisory Agreement and the weight to be given to each such factor.
Nature, Extent and Quality of Services
With respect to the nature, extent and quality of the services provided, the Board considered the portfolio management and other personnel of both FCF (who perform services for TTAC and TTAI) and Donoghue (who perform services for the Sub-Advised Funds), the compliance functions of FCF and Donoghue, and the financial conditions of FCF and Donoghue. Further, the Board evaluated the integrity of FCF's and Donoghue's personnel, the stock selection models on which FCF relies in managing each of TTAC and TTAI, and the management of each Renewal Fund's investments in accordance with its stated investment objective and policies. The Board also considered that the Sub-Advised Funds utilize index-based strategies pursuant to which FCF's affiliate serves as index provider. The Board further considered the demonstrated ability of the portfolio management teams for each Renewal Fund to continue to manage each Renewal Fund's investments in accordance with each Renewal Fund's stated investment objective.
Based on their review and other considerations, the Board concluded, in the exercise of its reasonable business judgment, that the nature, extent and quality of the services supported renewal of the Advisory Agreement and Sub-Advisory Agreement.
Performance
With respect to the performance of each Renewal Fund, the Board considered each Renewal Fund's since inception, one-year, three-year and five-year performance, as applicable. In this regard, among other things, the Board considered each Renewal Fund's total return compared to the total return of its benchmark index and Peer Group. The Board observed that TTAC had outperformed its Peer Group median and average total returns as well as its benchmark for the since inception, one-year, three-year and five-year periods. The Board observed that TTAI had outperformed its Peer Group median and average total returns for the since inception, one-year and five-year periods but underperformed
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INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENT APPROVAL - THE NEW ADVISORY AND SUB-ADVISORY AGREEMENTS(Unaudited)(Continued)
its Peer Group median and average total returns for the three-year period, and that TTAI also outperformed its benchmark for the since inception, one-year, three-year and five-year periods.
The Board observed that DFHY had outperformed its benchmark for the since inception, one-year and three-year periods but underperformed its Peer Group median and average total returns for the since inception, one-year and three-year periods. The Board observed that DFNV had outperformed its Peer Group median and average total returns for the since inception and three-year periods, but underperformed its Peer Group median and average total returns for the one-year period and its benchmark for all three periods. Finally, the Board observed that DFRA outperformed its Peer Group median and average total returns for the since inception and one-year periods.
Based on their review and other considerations, the Board concluded, in the exercise of its reasonable business judgment, that each Renewal Fund's investment performance supported renewal of the Advisory Agreement and Sub-Advisory Agreement.
Comparative Fees and Expenses
The Board considered the fee structure of the Advisory Agreement with respect to each Renewal Fund and the Sub-Advisory Agreement with respect to the Sub-Advised Funds. The Board also reviewed information compiled by the Renewal Funds' administrator comparing each Renewal Fund's advisory fee and expense ratio to the advisory fees and expense ratios of each Renewal Fund's respective Peer Group. The Board noted that each Renewal Fund's advisory fee and expense ratio were both higher than the median and average, but below the maximum, advisory fees and expense ratios of their corresponding Peer Groups. Based on their review and other considerations, the Board concluded, in the exercise of its reasonable business judgment, that each Fund's fees and expenses supported renewal of the Advisory Agreement and Sub-Advisory Agreement.
Costs and Profitability
The Board also reviewed the compensation and benefits received by FCF and Donoghue from their relationships with the Renewal Funds. In this regard, the Board took into consideration that the advisory fee for each Renewal Fund was structured as a "unified fee," pursuant to which FCF would pay all of the Funds' expenses, except for the fee payment under the Advisory Agreement, payments under each Fund's Rule 12b-1 plan (if any), brokerage expenses, acquired fund fees and expenses, taxes, interest (including borrowing costs and dividend expenses on securities sold short), litigation expenses and other extraordinary expenses (including litigation to which the Trust or a Renewal Fund may be a party and indemnification of the Trustees and officers with respect thereto), and considered the benefits that accrue to each Renewal Fund as a result of this fee structure. The Board noted that FCF is therefore contractually responsible for compensating the Trust's other service providers and paying each Renewal Fund's other expenses out of its own fees and resources. The Board also considered the extent to which Donoghue would bear a portion of these expenses for each Sub-Advised Fund pursuant to the Sub-Advisory Agreement. For DFRA, the Board considered the extent to which Donoghue would bear a majority of these expenses under the Sub-Advisory Agreement, pursuant to which FCF delegates to Donoghue the obligation to pay the foregoing expenses (except for certain expenses paid by FCF). The Board also noted that under the Sub-Advisory Agreement for DFNV and DFHY, Donoghue would likely supplement a portion of the costs of operating DFNV and DFHY for some period of time and considered the benefits that would accrue to each Sub-Advised Fund.
Based on their review and other considerations, the Board concluded, in the exercise of its reasonable business judgment, that the profitability analysis supported renewal of the Advisory Agreement and Sub-Advisory Agreement.
Economies of Scale
The Board considered the information provided by FCF and Donoghue as to the extent to which economies of scale would be realized as a Renewal Fund grows and whether anticipated fee levels reflect economies of scale for the benefit of shareholders. The Board noted that, because the advisory fee schedule for each Renewal Fund does not currently include breakpoints, any reduction in fixed costs associated with the management of a Renewal Fund would be enjoyed by FCF and/or Donoghue; however, the Board also noted that the unified fee structure provides a level of certainty in expenses for each Renewal Fund. Based on their review, the current asset levels of the Renewal Funds, and other
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considerations, the Board concluded, in the exercise of its reasonable business judgment, that the possibility of realizing future economies of scale was not a material factor in connection with the renewal of the Advisory Agreement and Sub-Advisory Agreement at this time.
Ancillary Benefits
The Board then considered the extent to which FCF and Donoghue might derive ancillary (or fall-out) benefits as a result of their relationships with the Renewal Funds. For example, the Board noted that FCF and Donoghue may engage in soft dollar transactions in the future, although neither currently plans to do so. The Board also noted that FCF and Donoghue may obtain a reputational benefit from the success of any Renewal Fund. Based on their review and other considerations, the Board concluded, in the exercise of its reasonable business judgment, that ancillary benefits were not a material factor in connection with the renewal of the Advisory Agreement and Sub-Advisory Agreement.
Conclusion
Based on their review of the facts and circumstances related to the Advisory Agreement and Sub-Advisory Agreement, the Trustees concluded that each Renewal Fund and its shareholders could benefit from FCF's and, with respect to the Sub-Advised Funds, Donoghue's continued management. Thus, the Board determined that the renewal of the Advisory Agreement with respect to each Renewal Fund and the Sub-Advisory Agreement with respect to each Sub-Advised Fund was appropriate and in the best interest of each Renewal Fund and its shareholders. In their deliberations, the Board did not identify any particular information that was all-important or controlling, and each Trustee may have attributed different weights to different factors. Based on their review, including consideration of each of the factors referenced above, the Trustees determined, in the exercise of their reasonable business judgment, that the advisory and sub-advisory arrangements for each Renewal Fund, as outlined in the Advisory Agreement and Sub-Advisory Agreement, respectively, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the Board considered relevant.
After full consideration of the above factors as well as other factors, the Board, including the Independent Trustees, unanimously approved the continuance of the Advisory Agreement on behalf of each Renewal Fund and the Sub-Advisory Agreement with respect to the Sub-Advised Funds.
July 17, 2024, Consideration of the Approval of a New Investment Advisory and New Sub-Advisory Agreements
FCF Advisors LLC ("FCF") is the investment adviser to each of FCF International Quality ETF ("TTAI"), FCF US Quality ETF ("TTAC"), Donoghue Forlines Innovation ETF ("DFNV"), Donoghue Forlines Tactical High Yield ETF ("DFHY"), and Donoghue Forlines Yield Enhanced Real Asset ETF ("DFRA") (each, a "Fund," and collectively, the "Funds"), each a series of TrimTabs ETF Trust (the "Trust"). On August 6, 2024, FCF entered into a definitive agreement with Abacus Life, Inc. ("ABL"), pursuant to which ABL will acquire FCF (the "Transaction"). The closing of the Transaction may be deemed to constitute an "assignment" under the Investment Company Act of 1940, as amended (the "1940 Act"), of the current investment advisory agreement between the Trust, on behalf of the Funds, and FCF (the "Existing Advisory Agreement"), which would result in the automatic termination of the Existing Advisory Agreement. In addition, each of the current sub-advisory agreements between FCF and Donoghue Forlines LLC ("Donoghue") (each, an "Existing Sub-Advisory Agreement," and together, the "Existing Sub-Advisory Agreements") with respect to DFNV, DFHY and DFRA (each, a "Sub-Advised Fund," and collectively, the "Sub-Advised Funds") includes a provision requiring its automatic termination upon termination of the Existing Advisory Agreement. Consequently, the termination of the Existing Advisory Agreement upon the closing of the Transaction will result in the termination of the Existing Sub-Advisory Agreements. To provide for a continuous investment program for the Funds after the close of the Transaction, at a meeting of the Board of Trustees of the Trust (the "Board") held on July 17, 2024 (the "July 2024 Meeting"), the Board, including a majority of the Trustees who were not "interested persons," as that term is defined in the 1940 Act (the "Independent Trustees"), reviewed and unanimously approved: (i) a new investment advisory agreement between the Trust, on behalf of each Fund, and FCF (the "New Advisory Agreement"); and (ii) new sub-advisory agreements between FCF and Donoghue with respect to each Sub-Advised Fund (each, a "New Sub-Advisory Agreement," and together, the "New Sub-Advisory Agreements").
In connection with the Transaction, the Board, including the Independent Trustees, reviewed the materials furnished by FCF and ABL at the July 2024 Meeting. At the July 2024 Meeting, the Board considered that it had last approved the Existing Advisory Agreement for the Funds and the Existing Sub-Advisory Agreements for the
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Sub-Advised Funds at a meeting of the Board held on March 12, 2024 (the "March 2024 Meeting"). At the July 2024 Meeting, FCF represented that the Board could continue to rely on the materials FCF and Donoghue provided at the March 2024 Meeting. As such, the Board determined that its considerations for approving the Existing Advisory Agreement and Existing Sub-Advisory Agreements from the March 2024 Meeting remained relevant for approving the New Advisory Agreement and New Sub-Advisory Agreements.
Accordingly, at the July 2024 Meeting, the Board considered the following factors, among others, in connection with its approval of the New Advisory Agreement and New Sub-Advisory Agreements, as it pertained to each Fund: (1) the nature, extent, and quality of the services provided by FCF and Donoghue; (2) the investment performance of each Fund; (3) a comparison of fees and expenses of each Fund to its respective peer group ("Peer Group"); (4) the profitability to FCF and Donoghue; (5) the extent to which economies of scale might be realized as each Fund grows; and (6) any ancillary benefits derived by FCF and Donoghue from their relationships with the Funds. The Board also considered the materials that they had received at past meetings, including at the March 2024 Meeting, relating to the nature, extent and quality of FCF's and Donoghue's services, including information concerning each Fund's advisory fee, sub-advisory fee, total expense ratio and performance.
With respect to the Transaction, the Board considered information about the structure and material terms and conditions of the Transaction, including whether there would be any material changes to FCF's resources, operations, staffing or other functions related to operation or administration of the Funds. The Board also considered ABL's business approach, regulatory and compliance record, and plans with respect to the Funds and the Trust immediately after the Transaction. Further, the Board considered commitments from FCF and ABL that: (i) the Funds would not bear any expenses in connection with obtaining shareholder approvals of the New Advisory Agreement and New Sub-Advisory Agreements; (ii) neither FCF nor ABL will take any steps that would impose any "unfair burden" (as that term is used in Section 15(f)(1)(B) of the 1940 Act) on the Funds as a result of the Transaction; (iii) no changes to FCF's personnel are planned as a result of the Transaction; and (iv) no changes to the Funds' investment objectives, investment strategies or policies are planned in connection with the Transaction.
Prior to approving the New Advisory Agreement and New Sub-Advisory Agreements, the Independent Trustees met in executive session with counsel to the Independent Trustees without representatives of FCF or Donoghue. The Independent Trustees reviewed with counsel to the Independent Trustees the legal standards applicable to their consideration of the New Advisory Agreement and New Sub-Advisory Agreement for each Fund and Sub-Advised Fund, respectively. The Independent Trustees relied upon the advice of counsel and their own business judgment in determining the material factors to be considered in evaluating the New Advisory Agreement and New Sub-Advisory Agreements and the weight to be given to each such factor.
Nature, Extent and Quality of Services
With respect to the nature, extent and quality of the services provided, the Board considered the portfolio management and other personnel of both FCF (who perform services for TTAC and TTAI) and Donoghue (who perform services for the Sub-Advised Funds), the compliance functions of FCF and Donoghue, and the financial conditions of FCF and Donoghue. The Board noted that the same portfolio management teams currently providing services to the Funds would continue to provide services to the Funds under the New Advisory Agreement and New Sub-Advisory Agreements. Further, the Board evaluated the integrity of FCF's and Donoghue's personnel and the ability of such personnel to manage each Fund's investments in accordance with each Fund's stated investment objective and policies after the Transaction. The Board also considered that there were no proposed changes to the stock selection models on which FCF currently relies in managing each of TTAC and TTAI or to the Sub-Advised Funds' index-based strategies pursuant to which FCF's affiliate serves as index provider. The Board further considered whether FCF may benefit from the infrastructure and resources to be provided by ABL after the Transaction.
Based on their review and other considerations, the Board concluded, in the exercise of its reasonable business judgment, that the nature, extent and quality of the services to be provided after the Transaction supported approval of the New Advisory Agreement for each Fund and New Sub-Advisory Agreement for each Sub-Advised Fund.
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Performance
The Board noted that it considered each Fund's since inception, one-year, three-year and five-year performance, as applicable, at the March 2024 Meeting. The Board recalled that each Fund had periods of outperformance and that the investment objectives and principal investment strategies of the Funds would remain the same after the Transaction. The Board also considered that FCF's and Donoghue's ability to implement the Funds' investment strategies is expected to be unchanged by the Transaction.
Based on their review and other considerations, the Board concluded, in the exercise of its reasonable business judgment, that FCF's and Donoghue's performance record in managing each of the Funds and Sub-Advised Funds, respectively, demonstrated that their continued management of the Funds following the Transaction will benefit the Funds and, therefore, supported approval of the New Advisory Agreement and New Sub-Advisory Agreements.
Comparative Fees and Expenses
The Board considered that there would be no changes to the advisory and sub-advisory fees under the New Advisory Agreement and the New Sub-Advisory Agreements, respectively. The Board also observed that at the March 2024 Meeting it considered information compiled by the Funds' administrator comparing each Fund's advisory fee and expense ratio to the advisory fees and expense ratios of each Fund's respective Peer Group. The Board recalled that each Fund's advisory fee and expense ratio were both higher than the median and average, but below the maximum, advisory fees and expense ratios of their corresponding Peer Groups. The Board also considered that ABL does not expect changes in fees of the Funds after the Transaction.
Based on their review and other considerations, the Board concluded, in the exercise of its reasonable business judgment, that each Fund's fees and expenses, which would not change after the Transaction, supported approval of the New Advisory Agreement and New Sub-Advisory Agreements.
Economies of Scale
The Board noted that it considered information provided by FCF and Donoghue pertaining to economies of scale at the March 2024 Meeting. The Board also considered whether economies of scale would be realized with FCF being part of a larger organization, which could increase FCF's profitability. Notwithstanding the potential for FCF to realize increased profitability after the Transaction, the Board noted that each Fund's advisory fee would continue to benefit from the unified fee structure, which provides a level of certainty in expenses for each Fund.
Based on their review, the current asset levels of the Funds, and other considerations, the Board concluded, in the exercise of its reasonable business judgment, that the possibility of realizing some additional economies of scale after the Transaction was not a material factor in connection with the approval of the New Advisory Agreement and New Sub-Advisory Agreements at this time.
Cost and Profitability
The Board also reviewed the compensation and benefits received by FCF and Donoghue from their relationships with the Funds. In this regard, the Board took into consideration that the advisory fee for each Fund was, and will continue to be after the Transaction, structured as a "unified fee," pursuant to which FCF pays all of the Funds' expenses, except for the fee payment under the New Advisory Agreement, payments under each Fund's Rule 12b-1 plan (if any), brokerage expenses, acquired fund fees and expenses, taxes, interest (including borrowing costs and dividend expenses on securities sold short), litigation expenses and other extraordinary expenses (including litigation to which the Trust or a Fund may be a party and indemnification of the Trustees and officers with respect thereto), and considered the benefits that accrue to each Fund as a result of this fee structure. The Board noted that FCF is therefore contractually responsible for compensating the Trust's other service providers and paying each Fund's other expenses out of its own fees and resources. The Board also considered the extent to which Donoghue bears a portion of these expenses for each Sub-Advised Fund pursuant to the applicable Existing Sub-Advisory Agreement and would continue to do so immediately after the Transaction pursuant to the New Sub-Advisory Agreements. For DFRA, the Board considered the extent to which Donoghue bears a majority of these expenses under the Existing Sub-Advisory Agreement and will continue to do so under the New Sub-Advisory Agreement, pursuant to which FCF delegates to Donoghue the obligation to pay the foregoing expenses (except for certain expenses paid by FCF). The Board also noted that under the
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Existing Sub-Advisory Agreement for DFNV and DFHY, Donoghue supplements a portion of the costs of operating DFNV and DFHY and noted that Donoghue would continue to supplement such costs under the New Sub-Advisory Agreement.
Based on their review and other considerations, the Board concluded, in the exercise of its reasonable business judgment, that the profitability analysis supported approval of the New Advisory Agreement and New Sub-Advisory Agreements.
Ancillary Benefits
The Board then considered the extent to which FCF and Donoghue might derive ancillary (or fall-out) benefits as a result of their relationships with the Funds. For example, the Board noted that FCF and Donoghue may engage in soft dollar transactions in the future, although neither currently plans to do so. The Board also noted that FCF and Donoghue may obtain a reputational benefit from the success of any Fund.
Based on their review and other considerations, the Board concluded, in the exercise of its reasonable business judgment, that ancillary benefits were not a material factor in connection with the approval of the New Advisory Agreement and New Sub-Advisory Agreements.
Conclusion
Based on their review of the facts and circumstances related to the New Advisory Agreement and New Sub-Advisory Agreements, the Trustees concluded that each Fund and its shareholders could benefit from FCF's and, with respect to the Sub-Advised Funds, Donoghue's management under the New Advisory Agreement and New Sub-Advisory Agreements. Thus, the Board determined that the approval of the New Advisory Agreement with respect to each Fund and the New Sub-Advisory Agreement with respect to each Sub-Advised Fund was appropriate and in the best interest of each Fund and its shareholders. In their deliberations, the Board did not identify any particular information that was all-important or controlling, and each Trustee may have attributed different weights to different factors. Based on their review, including consideration of each of the factors referenced above, the Trustees determined, in the exercise of their reasonable business judgment, that the advisory and sub-advisory arrangements for each Fund, as outlined in the New Advisory Agreement and New Sub-Advisory Agreements, respectively, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the Board considered relevant.
After full consideration of the above factors as well as other factors, the Board, including the Independent Trustees, unanimously approved the New Advisory Agreement on behalf of each Fund and the New Sub-Advisory Agreements with respect to the Sub-Advised Funds.
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| (b) | Financial Highlights are included within the financial statements filed under Item 7 of this Form. |
Item 8. Changes in and Disagreements with Accountants for Open-End Investment Companies.
There were no changes in or disagreements with accountants during the period covered by this report.
Item 9. Proxy Disclosure for Open-End Investment Companies.
There were no matters submitted to a vote of shareholders during the period covered by this report.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Investment Companies.
All fund expenses, including Trustee compensation, are paid by the Investment Adviser pursuant to the Investment Advisory Agreement. Additional information related to those fees is available in the Funds' Statement of Additional Information.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
See Item 7(a).
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 15. 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 16. 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 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable to open-end investment companies.
Item 18. Recovery of Erroneously Awarded Compensation.
(a) Not applicable.
(b) Not applicable.
Item 19. 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) Any policy required by the listing standards adopted pursuant to Rule 10D-1 under the Exchange Act (17 CFR 240.10D-1) by the registered national securities exchange or registered national securities association upon which the registrant's securities are listed.
Not applicable.
(3) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)).Filed herewith.
(4) 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.
| (5) | Change in the registrant's independent public accountant. Provide the information called for by Item 4 of Form 8-K under the Exchange Act (17 CFR 249.308). Unless otherwise specified by Item 4, or related to and necessary for a complete understanding of information not previously disclosed, the information should relate to events occurring during the reporting period. Not applicable to open-end investment companies. |
| (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) | TrimTabs ETF Trust |
| By (Signature and Title)* | /s/ Jacob Pluchenik | |
| Jacob Pluchenik, President (Principal Executive Officer) |
| Date | 10/7/2024 |
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/ Jacob Pluchenik | |
| Jacob Pluchenik, President (Principal Executive Officer) |
| Date | 10/7/2024 |
| By (Signature and Title)* | /s/ Vince (Qijun) Chen | |
| Vince (Qijun) Chen, Treasurer (Principal Financial Officer) |
| Date | 10/7/2024 |
* Print the name and title of each signing officer under his or her signature.