Core Alternative ETF
|
|||||||||
Schedule of Investments
|
|||||||||
July 31, 2023 (Unaudited)
|
|||||||||
Shares
|
Value
|
||||||||
COMMON STOCKS - 98.4%
|
|||||||||
Basic Materials - 3.8%
|
|||||||||
Air Products & Chemicals, Inc.
|
34,066
|
$
|
10,401,372
|
||||||
The Mosaic Co.
|
122,670
|
5,000,029
|
|||||||
15,401,401
|
|||||||||
Communications - 7.2%
|
|||||||||
Alphabet, Inc. - Class A (a)
|
81,071
|
10,759,743
|
|||||||
Cisco Systems, Inc.
|
186,978
|
9,730,335
|
|||||||
FactSet Research Systems, Inc.
|
19,562
|
8,510,253
|
|||||||
29,000,331
|
|||||||||
Consumer, Cyclical - 12.1%
|
|||||||||
Dollar General Corp.
|
44,386
|
7,495,020
|
|||||||
Genuine Parts Co.
|
63,521
|
9,891,490
|
|||||||
McDonald's Corp.
|
35,138
|
10,302,462
|
|||||||
Starbucks Corp.
|
97,778
|
9,931,311
|
|||||||
Walmart, Inc.
|
69,975
|
11,186,204
|
|||||||
48,806,487
|
|||||||||
Consumer, Non-Cyclical - 22.2%
|
|||||||||
Amgen, Inc.
|
39,123
|
9,160,650
|
|||||||
CVS Health Corp.
|
57,908
|
4,325,148
|
|||||||
Diageo PLC - ADR (b)
|
58,819
|
10,348,615
|
|||||||
Eli Lilly & Co.
|
25,459
|
11,572,389
|
|||||||
Johnson & Johnson
|
71,444
|
11,969,013
|
|||||||
Merck & Co., Inc.
|
97,223
|
10,368,833
|
|||||||
PepsiCo, Inc.
|
52,322
|
9,808,282
|
|||||||
The Procter & Gamble Co.
|
69,250
|
10,823,775
|
|||||||
UnitedHealth Group, Inc.
|
21,310
|
10,790,745
|
|||||||
89,167,450
|
|||||||||
Energy - 5.0%
|
|||||||||
Chevron Corp.
|
61,876
|
10,126,626
|
|||||||
Exxon Mobil Corp.
|
91,688
|
9,832,621
|
|||||||
19,959,247
|
|||||||||
Financial - 14.2%
|
|||||||||
Aflac, Inc.
|
152,189
|
11,009,352
|
|||||||
Capital One Financial Corp.
|
67,693
|
7,921,435
|
|||||||
Chubb Ltd. (b)
|
36,601
|
7,481,610
|
|||||||
CME Group, Inc.
|
28,642
|
5,698,612
|
|||||||
JPMorgan Chase & Co.
|
88,211
|
13,933,810
|
|||||||
Morgan Stanley
|
119,914
|
10,979,326
|
|||||||
57,024,145
|
|||||||||
Industrial - 11.2%
|
|||||||||
Emerson Electric Co.
|
105,400
|
9,628,290
|
|||||||
L3Harris Technologies, Inc.
|
37,986
|
7,197,967
|
|||||||
Lockheed Martin Corp.
|
19,813
|
8,843,929
|
|||||||
Norfolk Southern Corp.
|
39,499
|
9,226,571
|
|||||||
Waste Management, Inc.
|
62,905
|
10,303,210
|
|||||||
45,199,967
|
|||||||||
Technology - 18.2%
|
|||||||||
Accenture PLC - Class A (b)
|
31,020
|
9,813,177
|
|||||||
Advanced Micro Devices, Inc. (a)
|
80,506
|
9,209,887
|
|||||||
Apple, Inc.
|
52,060
|
10,227,187
|
|||||||
Broadridge Financial Solutions, Inc.
|
64,237
|
10,786,677
|
|||||||
Fiserv, Inc. (a)
|
93,806
|
11,839,255
|
|||||||
Microsoft Corp.
|
32,071
|
10,773,290
|
|||||||
Paychex, Inc.
|
84,206
|
10,565,327
|
|||||||
73,214,800
|
|||||||||
Utilities - 4.5%
|
|||||||||
NextEra Energy, Inc.
|
107,362
|
7,869,635
|
|||||||
The Southern Co.
|
139,733
|
10,108,285
|
|||||||
17,977,920
|
|||||||||
Total Common Stocks (Cost $362,207,600)
|
395,751,748
|
||||||||
MONEY MARKET FUNDS - 1.7%
|
|||||||||
Short-Term Investments - 1.7%
|
|||||||||
First American Government Obligations Fund - Class X, 5.10% (c)
|
6,784,453
|
6,784,453
|
|||||||
Total Money Market Funds (Cost $6,784,453)
|
6,784,453
|
||||||||
PURCHASED OPTIONS - 0.7%
|
Number of Contracts (d)
|
Notional Value
|
|||||||
PURCHASED PUT OPTIONS - 0.7%
|
|||||||||
CBOE S&P 500 Index
|
|||||||||
Expiration: August 2023, Exercise Price: $4,530
|
450
|
729,000
|
206,503,200
|
||||||
Expiration: August 2023, Exercise Price: $4,540
|
650
|
585,000
|
298,282,400
|
||||||
Expiration: August 2023, Exercise Price: $4,565
|
700
|
1,743,000
|
321,227,200
|
||||||
Total Purchased Options (Cost $5,280,624)
|
3,057,000
|
||||||||
Total Investments - 100.8% (Cost $374,272,677)
|
405,593,201
|
||||||||
Other Assets Less Liabilities - (0.8)%
|
(3,183,251
|
)
|
|||||||
Net Assets - 100%
|
$
|
402,409,950
|
Percentages are stated as a percent of net assets.
|
|||||||||
ADR
|
American Depositary Receipt
|
||||||||
CBOE
|
Chicago Board Options Exchange
|
||||||||
PLC
|
Public Limited Company
|
||||||||
(a)
|
Non-income producing security.
|
||||||||
(b)
|
Foreign issued security.
|
||||||||
(c)
|
The rate shown is the seven-day yield at period end.
|
||||||||
(d)
|
Each contract has a multiplier of 100.
|
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels.
|
|||||||||
Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs
|
|||||||||
(including quoted prices for similar securities, interest rates, prepayment speeds and credit risk). Level 3 includes significant
|
|||||||||
unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The level assigned to the
|
|||||||||
securities valuations may not be an indication of the risk or liquidity associated with investing in those securities.
|
|||||||||
The Fund did not hold any investments during the period with significant unobservable inputs which would be classified as Level 3.
|
|||||||||
The following is a summary of the inputs used to value the Fund’s investments carried at fair value as of July 31, 2023:
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Investments - Assets:
|
||||||||||||||||
Common Stocks*
|
$
|
395,751,748
|
$
|
-
|
$
|
-
|
$
|
395,751,748
|
||||||||
Money Market Funds
|
6,784,453
|
-
|
-
|
6,784,453
|
||||||||||||
Purchased Options
|
-
|
3,057,000
|
-
|
3,057,000
|
||||||||||||
Total Investments - Assets
|
$
|
402,536,201
|
$
|
3,057,000
|
$
|
-
|
$
|
405,593,201
|
* See the Schedule of Investments for industry classifications.
|