NPORT-EX 2 832212LM123122.htm HTML

ROYCE QUANT SMALL-CAP QUALITY VALUE ETF

 

 

Schedule of investments (unaudited)

 

(Percentages shown based on Fund net assets)

    December 31, 2022

 

SECURITY

    SHARES      VALUE  
COMMON STOCKS - 99.8%      
COMMUNICATION SERVICES - 5.2%      

Diversified Telecommunication Services - 0.5%

      

EchoStar Corp., Class A Shares

      7,769      $ 129,587 * 
     

 

 

  

Entertainment - 0.8%

      

Playstudios Inc.

      18,570        72,051 * 

Sciplay Corp., Class A Shares

      7,498        120,568 * 
     

 

 

  

Total Entertainment

         192,619  
     

 

 

  

Interactive Media & Services - 2.7%

      

Cargurus Inc.

      5,344        74,870 * 

MediaAlpha Inc., Class A Shares

      7,755        77,162 * 

Outbrain Inc.

      19,048        68,954 * 

Shutterstock Inc.

      1,945        102,540  

TripAdvisor Inc.

      4,841        87,041 * 

Yelp Inc.

      2,927        80,024 * 

Ziff Davis Inc.

      1,634        129,250 * 

ZipRecruiter Inc., Class A Shares

      4,203        69,013 * 
     

 

 

  

Total Interactive Media & Services

         688,854  
     

 

 

  

Media - 1.2%

      

Entravision Communications Corp., Class A Shares

      18,418        88,406  

PubMatic Inc., Class A Shares

      3,666        46,962 * 

Scholastic Corp.

      2,632        103,859  

Thryv Holdings Inc.

      3,938        74,822 * 
     

 

 

  

Total Media

         314,049  
     

 

 

  

TOTAL COMMUNICATION SERVICES

         1,325,109  
     

 

 

  
CONSUMER DISCRETIONARY - 17.0%      

Auto Components - 0.6%

      

LCI Industries

      1,741        160,955  
     

 

 

  

Diversified Consumer Services - 1.7%

      

American Public Education Inc.

      8,475        104,158 * 

Frontdoor Inc.

      4,029        83,803 * 

Grand Canyon Education Inc.

      1,249        131,969 * 

Perdoceo Education Corp.

      8,839        122,862 * 
     

 

 

  

Total Diversified Consumer Services

         442,792  
     

 

 

  

Hotels, Restaurants & Leisure - 1.7%

      

Bloomin’ Brands Inc.

      6,275        126,253  

Golden Entertainment Inc.

      2,305        86,207 * 

Red Rock Resorts Inc., Class A Shares

      3,497        139,915  

SeaWorld Entertainment Inc.

      1,658        88,720 * 
     

 

 

  

Total Hotels, Restaurants & Leisure

         441,095  
     

 

 

  

 

See Notes to Schedule of Investments.

 

 

Royce Quant Small-Cap Quality Value ETF 2022 Quarterly Report    

  

 

 

1

ROYCE QUANT SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    December 31, 2022

 

SECURITY

    SHARES      VALUE  

Household Durables - 3.0%

      

Ethan Allen Interiors Inc.

      4,641      $ 122,615  

GoPro Inc., Class A Shares

      16,602        82,678 * 

Installed Building Products Inc.

      1,300        111,280  

La-Z-Boy Inc.

      4,919        112,252  

Skyline Champion Corp.

      2,035        104,823 * 

Taylor Morrison Home Corp., Class A Shares

      6,169        187,229 * 

Tupperware Brands Corp.

      9,862        40,829 * 

ZAGG Inc. CVR

      8,902        801 *(a)(b)  
     

 

 

  

Total Household Durables

         762,507  
     

 

 

  

Internet & Direct Marketing Retail - 0.8%

      

Liquidity Services Inc.

      3,855        54,201 * 

Revolve Group Inc.

      3,353        74,638 * 

Vivid Seats Inc., Class A Shares

      9,101        66,437 * 
     

 

 

  

Total Internet & Direct Marketing Retail

         195,276  
     

 

 

  

Leisure Products - 1.9%

      

MasterCraft Boat Holdings Inc.

      3,299        85,345 * 

Smith & Wesson Brands Inc.

      8,573        74,414  

Sturm Ruger & Co. Inc.

      2,317        117,286  

Vista Outdoor Inc.

      4,342        105,815 * 

YETI Holdings Inc.

      2,684        110,876 * 
     

 

 

  

Total Leisure Products

         493,736  
     

 

 

  

Specialty Retail - 5.9%

      

Asbury Automotive Group Inc.

      1,053        188,750 * 

Big 5 Sporting Goods Corp.

      8,897        78,560  

Buckle Inc.

      4,876        221,126  

Chico’s FAS Inc.

      20,922        102,936 * 

Children’s Place Inc.

      2,870        104,525 * 

Group 1 Automotive Inc.

      1,119        201,834  

Haverty Furniture Cos. Inc.

      4,102        122,650  

MarineMax Inc.

      3,472        108,396 * 

OneWater Marine Inc., Class A Shares

      2,756        78,822 * 

Shoe Carnival Inc.

      4,365        104,367  

Torrid Holdings Inc.

      12,010        35,550 * 

Winmark Corp.

      361        85,135  

Zumiez Inc.

      4,001        86,982 * 
     

 

 

  

Total Specialty Retail

         1,519,633  
     

 

 

  

 

See Notes to Schedule of Investments.

 

 

 

2

  

    Royce Quant Small-Cap Quality Value ETF 2022 Quarterly Report

  

ROYCE QUANT SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    December 31, 2022

 

SECURITY

    SHARES      VALUE  

Textiles, Apparel & Luxury Goods - 1.4%

      

Kontoor Brands Inc.

      3,828      $ 153,082  

Movado Group Inc.

      3,192        102,942  

Oxford Industries Inc.

      1,249        116,382  
     

 

 

  

Total Textiles, Apparel & Luxury Goods

         372,406  
     

 

 

  

TOTAL CONSUMER DISCRETIONARY

         4,388,400  
     

 

 

  
CONSUMER STAPLES - 3.1%      

Beverages - 0.7%

      

National Beverage Corp.

      3,608        167,880  
     

 

 

  

Personal Products - 1.7%

      

BellRing Brands Inc.

      3,666        93,996 * 

Medifast Inc.

      950        109,582  

Olaplex Holdings Inc.

      30,508        158,947 * 

USANA Health Sciences Inc.

      1,578        83,950 * 
     

 

 

  

Total Personal Products

         446,475  
     

 

 

  

Tobacco - 0.7%

      

Vector Group Ltd.

      15,950        189,167  
     

 

 

  

TOTAL CONSUMER STAPLES

         803,522  
     

 

 

  
ENERGY - 2.3%      

Energy Equipment & Services - 1.1%

      

Cactus Inc., Class A Shares

      2,462        123,740  

Helix Energy Solutions Group Inc.

      24,032        177,356 * 
     

 

 

  

Total Energy Equipment & Services

         301,096  
     

 

 

  

Oil, Gas & Consumable Fuels - 1.2%

      

Chord Energy Corp.

      1,055        144,334  

REX American Resources Corp.

      2,824        89,973 * 

SandRidge Energy Inc.

      3,925        66,843 * 
     

 

 

  

Total Oil, Gas & Consumable Fuels

         301,150  
     

 

 

  

TOTAL ENERGY

         602,246  
     

 

 

  
FINANCIALS - 22.0%      

Banks - 6.2%

      

Bankwell Financial Group Inc.

      2,196        64,628  

Civista Bancshares Inc.

      3,642        80,161  

Customers Bancorp Inc.

      3,265        92,530 * 

Financial Institutions Inc.

      3,512        85,552  

First Business Financial Services Inc.

      2,176        79,533  

First Internet Bancorp

      1,922        46,666  

Hanmi Financial Corp.

      4,069        100,708  

HomeStreet Inc.

      2,702        74,521  

Independent Bank Corp.

      4,412        105,535  

Metrocity Bankshares Inc.

      4,207        90,997  

 

See Notes to Schedule of Investments.

 

 

Royce Quant Small-Cap Quality Value ETF 2022 Quarterly Report    

  

 

 

3

ROYCE QUANT SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    December 31, 2022

 

SECURITY

    SHARES      VALUE  

Banks - (continued)

      

Midland States Bancorp Inc.

      4,071      $ 108,370  

MidWestOne Financial Group Inc.

      3,019        95,853  

Northeast Bank

      1,643        69,170  

PacWest Bancorp

      6,706        153,903  

Parke Bancorp Inc.

      3,385        70,205  

PCB Bancorp

      3,768        66,656  

RBB Bancorp

      4,041        84,255  

Summit Financial Group Inc.

      2,816        70,090  

Unity Bancorp Inc.

      2,560        69,965  
     

 

 

  

Total Banks

         1,609,298  
     

 

 

  

Capital Markets - 4.1%

      

Artisan Partners Asset Management Inc., Class A Shares

      5,185        153,995  

Cohen & Steers Inc.

      2,006        129,507  

Diamond Hill Investment Group Inc.

      631        116,748  

Donnelley Financial Solutions Inc.

      2,303        89,011 * 

Evercore Inc., Class A Shares

      1,787        194,926  

Moelis & Co., Class A Shares

      4,524        173,586  

Open Lending Corp., Class A Shares

      10,420        70,335 * 

Victory Capital Holdings Inc., Class A Shares

      4,552        122,130  
     

 

 

  

Total Capital Markets

         1,050,238  
     

 

 

  

Consumer Finance - 2.3%

      

Atlanticus Holdings Corp.

      3,265        85,543 * 

Bread Financial Holdings Inc.

      4,770        179,638  

Encore Capital Group Inc.

      2,241        107,434 * 

Enova International Inc.

      3,828        146,880 * 

Green Dot Corp., Class A Shares

      5,218        82,549 * 
     

 

 

  

Total Consumer Finance

         602,044  
     

 

 

  

Diversified Financial Services - 1.1%

      

Jackson Financial Inc., Class A Shares

      7,965        277,102  
     

 

 

  

Insurance - 3.8%

      

American Equity Investment Life Holding Co.

      5,135        234,259  

Brighthouse Financial Inc.

      4,011        205,644 * 

Genworth Financial Inc., Class A Shares

      51,634        273,144 * 

Investors Title Co.

      661        97,530  

Oscar Health Inc., Class A Shares

      18,332        45,097 * 

Stewart Information Services Corp.

      2,670        114,089  
     

 

 

  

Total Insurance

         969,763  
     

 

 

  

Thrifts & Mortgage Finance - 4.5%

      

Enact Holdings Inc.

      7,898        190,500  

FS Bancorp Inc.

      2,430        81,259  

 

See Notes to Schedule of Investments.

 

 

 

4

  

    Royce Quant Small-Cap Quality Value ETF 2022 Quarterly Report

  

ROYCE QUANT SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    December 31, 2022

 

SECURITY

    SHARES      VALUE  

Thrifts & Mortgage Finance - (continued)

      

Home Bancorp Inc.

      2,121      $ 84,903  

Luther Burbank Corp.

      7,706        85,614  

Merchants Bancorp

      4,299        104,552  

MGIC Investment Corp.

      14,228        184,964  

Mr. Cooper Group Inc.

      4,119        165,295 * 

NMI Holdings Inc., Class A Shares

      5,469        114,302 * 

Radian Group Inc.

      7,855        149,795  
     

 

 

  

Total Thrifts & Mortgage Finance

         1,161,184  
     

 

 

  

TOTAL FINANCIALS

         5,669,629  
     

 

 

  
HEALTH CARE - 16.0%      

Biotechnology - 4.3%

      

Agenus Inc.

      16,887        40,529 * 

Anika Therapeutics Inc.

      2,829        83,738 * 

Arcus Biosciences Inc.

      3,544        73,290 * 

Catalyst Pharmaceuticals Inc.

      4,448        82,733 * 

Dynavax Technologies Corp.

      6,779        72,129 * 

Eagle Pharmaceuticals Inc.

      2,215        64,745 * 

Emergent BioSolutions Inc.

      4,986        58,885 * 

Ironwood Pharmaceuticals Inc.

      8,665        107,359 * 

Ligand Pharmaceuticals Inc.

      908        60,654 * 

Organogenesis Holdings Inc.

      19,251        51,785 * 

REGENXBIO Inc.

      2,861        64,888 * 

Vanda Pharmaceuticals Inc.

      7,721        57,058 * 

Vir Biotechnology Inc.

      5,969        151,075 * 

Xencor Inc.

      2,868        74,683 * 

XOMA Corp.

      3,108        57,187 * 
     

 

 

  

Total Biotechnology

         1,100,738  
     

 

 

  

Health Care Equipment & Supplies - 5.6%

      

AngioDynamics Inc.

      3,206        44,147 * 

Atrion Corp.

      129        72,169  

Avanos Medical Inc.

      3,925        106,210 * 

Embecta Corp.

      3,353        84,797  

Heska Corp.

      773        48,050 * 

Inogen Inc.

      2,513        49,531 * 

iRadimed Corp.

      1,747        49,423  

LeMaitre Vascular Inc.

      1,499        68,984  

Meridian Bioscience Inc.

      2,287        75,951 * 

Merit Medical Systems Inc.

      1,705        120,407 * 

Neogen Corp.

      5,463        83,201 * 

NuVasive Inc.

      2,049        84,501 * 

 

See Notes to Schedule of Investments.

 

 

Royce Quant Small-Cap Quality Value ETF 2022 Quarterly Report    

  

 

 

5

ROYCE QUANT SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    December 31, 2022

 

SECURITY

    SHARES      VALUE  

Health Care Equipment & Supplies - (continued)

      

Orthofix Medical Inc.

      3,537      $ 72,615 * 

QuidelOrtho Corp.

      1,594        136,558 * 

Semler Scientific Inc.

      1,045        34,485 * 

Sensus Healthcare Inc.

      2,628        19,500 * 

Surmodics Inc.

      1,624        55,411 * 

Utah Medical Products Inc.

      726        72,985  

Varex Imaging Corp.

      3,830        77,749 * 

Zynex Inc.

      5,512        76,672  
     

 

 

  

Total Health Care Equipment & Supplies

         1,433,346  
     

 

 

  

Health Care Providers & Services - 0.9%

      

Fulgent Genetics Inc.

      2,549        75,909 * 

National Research Corp.

      1,994        74,376  

US Physical Therapy Inc.

      1,143        92,618  
     

 

 

  

Total Health Care Providers & Services

         242,903  
     

 

 

  

Health Care Technology - 1.3%

      

Allscripts Healthcare Solutions Inc.

      6,138        108,274 * 

Computer Programs & Systems Inc.

      2,457        66,880 * 

HealthStream Inc.

      3,198        79,438 * 

NextGen Healthcare Inc.

      5,031        94,482 * 
     

 

 

  

Total Health Care Technology

         349,074  
     

 

 

  

Life Sciences Tools & Services - 0.5%

      

Cytek Biosciences Inc.

      4,729        48,283 * 

Maravai LifeSciences Holdings Inc., Class A Shares

      4,106        58,757 * 

OmniAb Inc., $ 12.50 EARNOUT

      298        0 *(a)(b)(c)(d)  

OmniAb Inc., $ 15.00 EARNOUT

      298        0 *(a)(b)(c)(d)  

OmniAb Inc., NASDAQ

      4,454        16,034 * 
     

 

 

  

Total Life Sciences Tools & Services

         123,074  
     

 

 

  

Pharmaceuticals - 3.4%

      

Amphastar Pharmaceuticals Inc.

      2,738        76,719 * 

Arvinas Inc.

      1,749        59,833 * 

Corcept Therapeutics Inc.

      3,408        69,217 * 

Harmony Biosciences Holdings Inc.

      1,452        80,005 * 

Innoviva Inc.

      7,729        102,409 * 

Pacira BioSciences Inc.

      1,586        61,235 * 

Phibro Animal Health Corp., Class A Shares

      6,399        85,811  

Prestige Consumer Healthcare Inc.

      2,219        138,909 * 

ProPhase Labs Inc.

      5,509        53,052  

 

See Notes to Schedule of Investments.

 

 

 

6

  

    Royce Quant Small-Cap Quality Value ETF 2022 Quarterly Report

  

ROYCE QUANT SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    December 31, 2022

 

SECURITY

    SHARES      VALUE  

Pharmaceuticals - (continued)

      

SIGA Technologies Inc.

      5,659      $ 41,650  

Supernus Pharmaceuticals Inc.

      2,770        98,806 * 
     

 

 

  

Total Pharmaceuticals

         867,646  
     

 

 

  

TOTAL HEALTH CARE

         4,116,781  
     

 

 

  
INDUSTRIALS - 15.0%      

Building Products - 1.8%

      

Apogee Enterprises Inc.

      2,599        115,552  

Insteel Industries Inc.

      3,514        96,705  

Quanex Building Products Corp.

      4,874        115,416  

Simpson Manufacturing Co. Inc.

      1,503        133,256  
     

 

 

  

Total Building Products

         460,929  
     

 

 

  

Commercial Services & Supplies - 1.2%

      

ACCO Brands Corp.

      21,794        121,828  

Ennis Inc.

      4,668        103,443  

Heritage-Crystal Clean Inc.

      2,475        80,388 * 
     

 

 

  

Total Commercial Services & Supplies

         305,659  
     

 

 

  

Construction & Engineering - 1.5%

      

Comfort Systems USA Inc.

      1,242        142,929  

MYR Group Inc.

      1,208        111,221 * 

Sterling Infrastructure Inc.

      3,965        130,052 * 
     

 

 

  

Total Construction & Engineering

         384,202  
     

 

 

  

Electrical Equipment - 1.6%

      

Atkore Inc.

      1,538        174,440 * 

Encore Wire Corp.

      1,013        139,348  

GrafTech International Ltd.

      21,612        102,873  
     

 

 

  

Total Electrical Equipment

         416,661  
     

 

 

  

Machinery - 2.4%

      

Allison Transmission Holdings Inc.

      4,130        171,808  

Hillenbrand Inc.

      3,576        152,588  

Kadant Inc.

      566        100,539  

Mueller Industries Inc.

      2,240        132,160  

Omega Flex Inc.

      764        71,296  
     

 

 

  

Total Machinery

         628,391  
     

 

 

  

Marine - 1.4%

      

Eagle Bulk Shipping Inc.

      2,189        109,319  

Genco Shipping & Trading Ltd.

      7,853        120,622  

Matson Inc.

      2,125        132,834  
     

 

 

  

Total Marine

         362,775  
     

 

 

  

 

See Notes to Schedule of Investments.

 

 

Royce Quant Small-Cap Quality Value ETF 2022 Quarterly Report    

  

 

 

7

ROYCE QUANT SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    December 31, 2022

 

SECURITY

    SHARES      VALUE  

Professional Services - 2.0%

      

CRA International Inc.

      965      $ 118,145  

Forrester Research Inc.

      1,991        71,198 * 

Heidrick & Struggles International Inc.

      3,512        98,231  

Kforce Inc.

      1,764        96,720  

Korn Ferry

      2,547        128,929  
     

 

 

  

Total Professional Services

         513,223  
     

 

 

  

Road & Rail - 1.5%

      

ArcBest Corp.

      1,706        119,488  

Covenant Logistics Group Inc.

      2,917        100,841  

PAM Transportation Services Inc.

      2,559        66,278 * 

U-Haul Holding Co.

      1,578        94,980  
     

 

 

  

Total Road & Rail

         381,587  
     

 

 

  

Trading Companies & Distributors - 1.6%

      

BlueLinx Holdings Inc.

      1,814        128,993 * 

Boise Cascade Co.

      3,009        206,628  

Hudson Technologies Inc.

      7,905        79,999 * 
     

 

 

  

Total Trading Companies & Distributors

         415,620  
     

 

 

  

TOTAL INDUSTRIALS

         3,869,047  
     

 

 

  
INFORMATION TECHNOLOGY - 12.1%      

Communications Equipment - 0.4%

      

NetScout Systems Inc.

      3,575        116,223 * 
     

 

 

  

Electronic Equipment, Instruments & Components - 2.8%

      

Belden Inc.

      1,810        130,139  

Methode Electronics Inc.

      2,831        125,611  

Sanmina Corp.

      3,158        180,922 * 

TTM Technologies Inc.

      7,847        118,333 * 

Vishay Intertechnology Inc.

      7,492        161,602  
     

 

 

  

Total Electronic Equipment, Instruments & Components

         716,607  
     

 

 

  

IT Services - 0.7%

      

Cass Information Systems Inc.

      2,315        106,073  

Hackett Group Inc.

      4,191        85,371  
     

 

 

  

Total IT Services

         191,444  
     

 

 

  

Semiconductors & Semiconductor Equipment - 4.3%

      

Alpha & Omega Semiconductor Ltd.

      2,695        76,996 * 

Axcelis Technologies Inc.

      1,388        110,152 * 

Cohu Inc.

      3,548        113,713 * 

Kulicke & Soffa Industries Inc.

      2,991        132,382  

MaxLinear Inc.

      2,729        92,650 * 

NVE Corp.

      1,568        101,528  

Photronics Inc.

      6,030        101,485 * 

Power Integrations Inc.

      1,675        120,131  

 

See Notes to Schedule of Investments.

 

 

 

8

  

    Royce Quant Small-Cap Quality Value ETF 2022 Quarterly Report

  

ROYCE QUANT SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    December 31, 2022

 

SECURITY

    SHARES      VALUE  

Semiconductors & Semiconductor Equipment - (continued)

      

Semtech Corp.

      2,977      $ 85,410 * 

SiTime Corp.

      847        86,072 * 

SMART Global Holdings Inc.

      5,404        80,411 * 
     

 

 

  

Total Semiconductors & Semiconductor Equipment

         1,100,930  
     

 

 

  

Software - 3.4%

      

Adeia Inc.

      8,416        79,784  

American Software Inc., Class A Shares

      4,855        71,271  

CommVault Systems Inc.

      1,668        104,817 * 

Consensus Cloud Solutions Inc.

      3,194        171,710 * 

CoreCard Corp.

      1,712        49,597 * 

InterDigital Inc.

      2,425        119,989  

Progress Software Corp.

      2,363        119,213  

Rimini Street Inc.

      12,961        49,381 * 

Teradata Corp.

      3,383        113,872 * 
     

 

 

  

Total Software

         879,634  
     

 

 

  

Technology Hardware, Storage & Peripherals - 0.5%

      

Avid Technology Inc.

      2,422        64,401 * 

Immersion Corp.

      8,556        60,149 * 
     

 

 

  

Total Technology Hardware, Storage & Peripherals

         124,550  
     

 

 

  

TOTAL INFORMATION TECHNOLOGY

         3,129,388  
     

 

 

  
MATERIALS - 4.7%      

Chemicals - 2.2%

      

AdvanSix Inc.

      2,957        112,425  

American Vanguard Corp.

      4,007        86,992  

Chase Corp.

      984        84,880  

Intrepid Potash Inc.

      1,921        55,460 * 

Tronox Holdings PLC

      10,524        144,284  

Valhi Inc.

      4,024        88,528  
     

 

 

  

Total Chemicals

         572,569  
     

 

 

  

Metals & Mining - 1.5%

      

Alpha Metallurgical Resources Inc.

      893        130,726  

TimkenSteel Corp.

      6,218        112,981 * 

Warrior Met Coal Inc.

      3,978        137,798  
     

 

 

  

Total Metals & Mining

         381,505  
     

 

 

  

Paper & Forest Products - 1.0%

      

Clearwater Paper Corp.

      2,539        95,999 * 

Sylvamo Corp.

      3,413        165,838  
     

 

 

  

Total Paper & Forest Products

         261,837  
     

 

 

  

TOTAL MATERIALS

         1,215,911  
     

 

 

  

 

See Notes to Schedule of Investments.

 

 

Royce Quant Small-Cap Quality Value ETF 2022 Quarterly Report    

  

 

 

9

ROYCE QUANT SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    December 31, 2022

 

SECURITY

          SHARES      VALUE  
REAL ESTATE - 1.7%        

Real Estate Management & Development - 1.7%

        

Douglas Elliman Inc.

        21,417      $ 87,167  

Forestar Group Inc.

        8,121        125,145 * 

Marcus & Millichap Inc.

        2,820        97,149  

Newmark Group Inc., Class A Shares

        12,269        97,784  

Stratus Properties Inc.

        1,506        29,051  
       

 

 

  

TOTAL REAL ESTATE

           436,296  
       

 

 

  
UTILITIES - 0.7%        

Electric Utilities - 0.7%

        

Genie Energy Ltd., Class B Shares

        7,940        82,100  

Otter Tail Corp.

        1,706        100,159  
       

 

 

  

TOTAL UTILITIES

           182,259  
       

 

 

  

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS

(Cost - $26,289,550)

           25,738,588  
       

 

 

  
     RATE               
SHORT-TERM INVESTMENTS - 0.2%        

Dreyfus Treasury Cash Management, Institutional Class

(Cost - $43,685)

      4.168 %      43,685        43,685 (e)  
       

 

 

  

TOTAL INVESTMENTS - 100.0%

(Cost - $26,333,235)

           25,782,273  

Other Assets in Excess of Liabilities - 0.0%††

           12,160  
       

 

 

  

TOTAL NET ASSETS - 100.0%

         $ 25,794,433  
       

 

 

  

 

††

Represents less than 0.1%.

 

*

Non-income producing security.

 

(a)

Security is valued in good faith in accordance with procedures approved by the Board of Trustees (Note 1).

 

(b)

Security is valued using significant unobservable inputs (Note 1).

 

(c)

Value is less than $1.

 

(d)

Restricted security (Note 2).

 

(e)

Rate shown is one-day yield as of the end of the reporting period.

Abbreviation(s) used in this schedule:

 

CVR    — Contingent Value Rights

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 

See Notes to Schedule of Investments.

 

 

 

10

  

    Royce Quant Small-Cap Quality Value ETF 2022 Quarterly Report

  

Notes to Schedule of Investments (unaudited)

 

1. Organization and significant accounting policies

Royce Quant Small-Cap Quality Value ETF (the “Fund”) is a separate diversified investment series of Legg Mason ETF Investment Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

The Fund is an actively managed exchange-traded fund (“ETF”). ETFs are funds that trade like other publicly-traded securities. Unlike shares of a mutual fund, which can be bought from and redeemed by the issuing fund by all shareholders at a price based on net asset value (“NAV”), shares of the Fund may be directly purchased from and redeemed by the Fund at NAV solely by certain large institutional investors who have entered into agreements with the Fund’s distributor (“Authorized Participants”). Also unlike shares of a mutual fund, shares of the Fund are listed on a national securities exchange and trade in the secondary market at market prices that change throughout the day.

Shares of the Fund are listed and traded at market prices on NASDAQ. The market price for the Fund’s shares may be different from the Fund’s NAV. The Fund issues and redeems shares at NAV only in blocks of a specified number of shares or multiples thereof (“Creation Units”). Only Authorized Participants may purchase or redeem Creation Units directly with the Fund at NAV. Creation Units are issued and redeemed principally in-kind (although under some circumstances its shares are created and redeemed partially for cash). Except when aggregated in Creation Units, shares of the Fund are not redeemable securities. Shareholders who are not Authorized Participants may not redeem shares directly from the Fund at NAV.

The Fund seeks to achieve long-term growth of capital.

The Fund follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”), including, but not limited to, ASC 946.

(a) Investment valuation. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each

 

   

 

 

11

Notes to Schedule of Investments (unaudited) (cont’d)

 

fund on the day of valuation. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will use the currency exchange rates, generally determined as of 4:00 p.m. (London Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.

Pursuant to policies adopted by the Board of Trustees, the Fund’s manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s manager is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Fund’s manager and the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

 

 

 

 

12

    

Notes to Schedule of Investments (unaudited) (cont’d)

 

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.

The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

 

  •  

Level 1 – unadjusted quoted prices in active markets for identical investments

 

  •  

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

 

  •  

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Fund’s assets carried at fair value:

 

ASSETS

  

DESCRIPTION

    QUOTED PRICES
(LEVEL 1)		      OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)		      SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)		     TOTAL  

Long-Term Investments†:

           

Common Stocks:

           

Consumer Discretionary

    $ 4,387,599        —      $ 801     $ 4,388,400  

Health Care

      4,116,781        —        0 *      4,116,781  

Other Common Stocks

      17,233,407        —        —       17,233,407  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Long-Term Investments

      25,737,787        —        801       25,738,588  
  

 

 

     

 

 

     

 

 

    

 

 

  

Short-Term Investments†

      43,685        —        —       43,685  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Investments

    $ 25,781,472        —      $ 801     $ 25,782,273  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

†

See Schedule of Investments for additional detailed categorizations.

 

*

Amount represents less than $1.

 

   

 

 

13

Notes to Schedule of Investments (unaudited) (cont’d)

 

2. Restricted securities

The following Fund investments are restricted as to resale and, in the absence of readily ascertainable market values, are valued in good faith in accordance with procedures approved by the Board of Trustees.

 

Security

    Number of
Shares		      Acquisition
Date		      Cost     Fair Value
at 12/31/2022		     Value Per
Share		     Percent of
Net Assets		  

OmniAb Inc., $12.50 EARNOUT

      298        11/2      $ 0 (a)    $ 0 (a)    $ 0.00 (b)      0.00 (c)% 

OmniAb Inc., $15.00 EARNOUT

      298        11/2        0 (a)      0 (a)      0.00 (b)      0.00 (c) 

 

(a)

Amount represents less than $1.

 

(b)

Amount represents less than $0.005 per share.

 

(c)

Amount represents less than 0.005%.

 

 

 

14