NPORT-EX 2 NPORT_WIX5_14745231_0222.htm

 

AltShares Merger Arbitrage ETF Portfolio of Investments
             February 28, 2022 (unaudited)

 

 

     Shares   Value 
COMMON STOCKS - 98.20%          
  Aerospace & Defense - 2.09%          
  Meggitt Plc(a)   117,418   $1,189,248 
  Ultra Electronics Holdings Plc   10,356    445,952 
           1,635,200 
  Auto Parts & Equipment - 2.33%          
  Veoneer, Inc.(a)(b)   51,286    1,818,089 
             
  Banks - 4.47%          
  Atlantic Capital Bancshares, Inc.(a)   14,818    479,214 
  Flagstar Bancorp, Inc.(b)   30,557    1,392,788 
  Old National Bancorp   35,020    640,166 
  TriState Capital Holdings, Inc.(a)(b)   29,319    973,391 
           3,485,559 
  Biotechnology - 4.41%          
  Arena Pharmaceuticals, Inc.(a)(b)   25,456    2,417,556 
  Swedish Orphan Biovitrum AB(a)   49,788    1,022,078 
           3,439,634 
  Chemicals - 8.48%          
  Atotech Ltd.(a)(b)   53,110    1,273,047 
  Ferro Corp.(a)(b)   42,100    914,833 
  GCP Applied Technologies, Inc.(a)   29,597    934,673 
  Kraton Corp.(a)   29,344    1,354,226 
  Rogers Corp.(a)(b)   7,841    2,140,593 
           6,617,372 
  Commercial Services - 5.74%          
  GreenSky, Inc., Class A(a)(b)   92,060    911,394 
  MoneyGram International, Inc.(a)   170,823    1,834,639 
  S&P Global, Inc.   4,623    1,737,007 
           4,483,040 
  Computers & Computer Services - 3.95%          
  Avast Plc(c)   144,646    1,219,752 
  McAfee Corp., Class A(b)   71,825    1,866,732 
           3,086,484 
  Construction Materials - 0.54%          
  Forterra, Inc.(a)   17,772    418,708 
             
  Diversified Financial Services - 2.62%          
  Intertrust N.V.(a)(c)   76,464    1,656,405 
  Sanne Group Plc   32,020    392,177 
           2,048,582 
  Electronics - 2.10%          
  Coherent, Inc.(a)(b)   6,216    1,643,013 
             
  Entertainment - 0.61%          
  DraftKings, Inc., Class A(a)   20,119    476,418 

 

   

 

 

AltShares Merger Arbitrage ETF Portfolio of Investments (Continued)
             February 28, 2022 (unaudited)

 

     Shares   Value 
COMMON STOCKS - 98.20% (Continued)          
  Environmental Control - 2.40%          
  US Ecology, Inc.(a)   39,417   $1,869,942 
             
  Food - 1.56%          
  Sanderson Farms, Inc.(b)   6,801    1,214,591 
             
  Forest Products & Paper - 1.18%          
  Verso Corp., Class A   34,772    921,806 
             
  Healthcare - Products - 2.35%          
  Apria, Inc.(a)(b)   37,745    1,409,398 
  Intersect ENT, Inc.(a)(b)   15,705    427,176 
           1,836,574 
  Healthcare - Services - 0.57%          
  SOC Telemed, Inc.(a)(b)   150,226    441,664 
             
  Insurance - 1.73%          
  American National Group, Inc.(b)   4,853    917,363 
  State Auto Financial Corp.(b)   8,298    431,579 
           1,348,942 
  Internet - 2.94%          
  Mimecast Ltd.(a)(b)   28,843    2,293,884 
             
  Leisure Time - 1.76%          
  Accell Group N.V.(a)   21,284    1,374,605 
             
  Machinery - Diversified - 4.76%          
  SPX FLOW, Inc.   21,568    1,852,476 
  Welbilt, Inc.(a)   77,489    1,831,840 
  Zardoya Otis SA   3,568    28,124 
           3,712,440 
  Media - 1.11%          
  Shaw Communications, Inc., Class B   29,014    870,077 
             
  Oil & Gas Services - 0.55%          
  FTS International, Inc., Class A(a)(b)   16,288    431,143 
             
  Pharmaceuticals - 5.99%          
  BioDelivery Sciences International, Inc.(a)   246,698    1,376,575 
  Clinigen Group Plc   94,340    1,164,958 
  Vifor Pharma AG   12,132    2,131,798 
           4,673,331 
  Pipelines - 1.54%          
  Phillips 66 Partners LP(a)   28,465    1,200,369 
             
  Real Estate Investment Trusts - 4.09%          
  CyrusOne, Inc.(b)   25,568    2,310,069 
  MGM Growth Properties LLC, Class A(b)   23,411    886,574 
           3,196,643 
  Retail - 2.25%          
  Del Taco Restaurants, Inc.(b)   73,473    916,943 

 

   

 

 

AltShares Merger Arbitrage ETF Portfolio of Investments (Continued)
             February 28, 2022 (unaudited)

 

     Shares   Value 
COMMON STOCKS - 98.20% (Continued)
  Retail - 2.25% (Continued)          
  Vivo Energy Plc(c)   465,654   $843,311 
           1,760,254 
  Savings & Loans - 2.37%          
  Investors Bancorp, Inc.(b)   110,755    1,854,039 
             
  Semiconductors - 2.39%          
  CMC Materials, Inc.   10,042    1,862,088 
             
  Software - 16.20%          
  Activision Blizzard, Inc.(b)   21,340    1,739,210 
  Bottomline Technologies DE, Inc.(a)(b)   32,502    1,840,913 
  Cerner Corp.(b)   25,102    2,340,762 
  Citrix Systems, Inc.(b)   22,431    2,299,178 
  Nuance Communications, Inc.(a)(b)   41,448    2,301,193 
  Zynga, Inc., Class A(a)(b)   233,567    2,120,788 
           12,642,044 
  Telecommunications - 5.12%          
  NeoPhotonics Corp.(a)(b)   59,972    918,171 
  Resonant, Inc.(a)   210,161    922,607 
  Vonage Holdings Corp.(a)(b)   105,971    2,153,331 
           3,994,109 
Total Investments - 98.20%          
(Cost $76,618,933)        76,650,644 
           
Other Assets in Excess of Liabilities - 1.80%(d)        1,407,164 
           
NET ASSETS - 100.00%       $78,057,808 

 

Portfolio Footnotes

(a) Non-income-producing security.
(b) Security, or a portion of security, is being held as collateral for short sales or forward foreign currency exchange contracts. At February 28, 2022, the aggregate fair market value of those securities was $15,616,245, representing 20.01% of net assets.
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of February 28, 2022, these securities had a total value of $3,719,468 or 4.77% of net assets.
(d) Includes cash held as collateral for short sales.

 

   

 

 

AltShares Merger Arbitrage ETF Portfolio of Investments (Continued)
             February 28, 2022 (unaudited)

 

EQUITY SWAP CONTRACTS

 

Swap
Counterparty/
Payment
Frequency		  Reference
Obligation		  Rate
Paid/Received
by the Fund		  Termination
Date		   Upfront
Payments
Paid		    Upfront
Payments
Received		    Market
Value		  

Notional
Amount 

    Unrealized
Appreciation		 
Morgan Stanley & Co./ Monthly  New York Community Bancorp, Inc.  Received 1 Month-Federal Rate Minus 40 bps (-0.320%)  05/06/2022  $—   $—   $—   USD 609,981   $— 
Morgan Stanley & Co./ Monthly  New York Community Bancorp, Inc.  Received 1 Month-Federal Rate Minus 40 bps (-0.320%)  05/06/2022   —    —    —   USD 805,861    — 
Morgan Stanley & Co./ Monthly  Citizens Financial Group, Inc.  Received 1 Month-Federal Rate Minus 40 bps (-0.320%)  05/06/2022   —    —    —   USD 1,724,303    — 
Morgan Stanley & Co./ Monthly  DraftKings, Inc.  Received 1 Month-Federal Rate Minus 40 bps (-0.320%)  05/06/2022   —    —    —   USD 476,418    — 
Morgan Stanley & Co./ Monthly  MKS Instruments, Inc.  Received 1 Month-Federal Rate Minus 40 bps (-0.320%)  05/06/2022   —    —    —   USD 442,312    — 
Morgan Stanley & Co./ Monthly  NortonLifeLock, Inc.  Received 1 Month-Federal Rate Minus 40 bps (-0.320%)  05/06/2022   —    —    —   USD 108,443    — 
Morgan Stanley & Co./ Monthly  Meggitt Plc  Paid 1 Month SONIA Plus 58 bps (1.025%)  07/08/2022   —    —    —   GBP 142,521    — 
Morgan Stanley & Co./ Monthly  Goldman Sachs Group, Inc. (The)  Received 1 Month-Federal Rate Minus 40 bps (-0.320%)  05/06/2022   —    —    —   USD 942,643    — 
Morgan Stanley & Co./ Monthly  South State Corp.  Received 1 Month-Federal Rate Minus 40 bps (-0.320%)  05/06/2022   —    —    —   USD 480,060    — 

 

   

 

 

AltShares Merger Arbitrage ETF Portfolio of Investments (Continued)
             February 28, 2022 (unaudited)

 

Swap
Counterparty/
Payment
Frequency		  Reference
Obligation		  Rate
Paid/Received
by the Fund		  Termination
Date		  Upfront
Payments
Paid		   Upfront
Payments
Received		   Market
Value		 Notional
Amount		    Unrealized
Appreciation		 
Morgan Stanley & Co./ Monthly  Vici Properties, Inc.  Received 1 Month-Federal Rate Minus 40 bps (-0.320%)  05/06/2022   $—    $—   $ —   USD 894,692     $— 
Morgan Stanley & Co./ Monthly  Zardoya Otis SA  Paid 1 Month ESTR Plus 125 bps (0.683%)  01/05/2024   —    —    —   EUR 8,176     — 
Morgan Stanley & Co./ Monthly  Old National Bancorp  Received 1 Month-Federal Rate Minus 40 bps (-0.320%)  05/06/2022   —    —    —   USD 639,508     — 
Morgan Stanley & Co./ Monthly  Phillips 66  Received 1 Month-Federal Rate Minus 40 bps (-0.320%)  05/06/2022   —    —    —   USD 1,198,735     — 
Morgan Stanley & Co./ Monthly  Raymond James Financial, Inc.  Received 1 Month-Federal Rate Minus 40 bps (-0.320%)  05/06/2022   —    —    —   USD 809,765     — 
Morgan Stanley & Co./ Monthly  Agnico Eagle Mines Ltd.  Received 1 Month-Federal Rate Minus 40 bps (-0.320%)  05/06/2022   —    —    —   USD 2,582     — 
Morgan Stanley & Co./ Monthly  Nobina AB  Paid 1 Month STIBOR Plus 150 bps (1.435%)  01/04/2024   —    —    148   SEK 1,512,000     148 
Morgan Stanley & Co./ Monthly  Entegris, Inc.  Received 1 Month-Federal Rate Minus 40 bps (-0.320%)  05/06/2022   —    —    —   USD 588,987     — 
Morgan Stanley & Co./ Monthly  Take-Two Interactive Software, Inc.  Received 1 Month-Federal Rate Minus 40 bps (-0.320%)  05/06/2022   —    —    —   USD 1,445,526     — 
Morgan Stanley & Co./ Monthly  Advanced Micro Devices, Inc.  Received 1 Month-Federal Rate Minus 40 bps (-0.320%)  05/06/2022   —    —    —   USD 136,691     — 

 

   

 

 

AltShares Merger Arbitrage ETF Portfolio of Investments (Continued)
             February 28, 2022 (unaudited)

 

Swap
Counterparty/
Payment
Frequency		  Reference
Obligation		  Rate
Paid/Received
by the Fund		  Termination
Date		  Upfront
Payments
Paid		   Upfront
Payments
Received		   Market
Value		 Notional
Amount		    Unrealized
Appreciation		 
Morgan Stanley & Co./ Monthly  II-VI, Inc.  Received 1 Month-Federal Rate Minus 40 bps (-0.320%)  05/06/2022   $—    $—   $ —   USD 390,851     $— 
Morgan Stanley & Co./ Monthly  S&P Global, Inc.  Received 1 Month-Federal Rate Minus 40 bps (-0.330%)  05/06/2022   —    —    —   USD 1,743,999     — 
                      $148        $148 

 

Swap
Counterparty/
Payment
Frequency		  Reference
Obligation		  Rate
Paid/Received
by the Fund		  Termination
Date		  Upfront
Payments
Paid		   Upfront
Payments
Received		   Market
Value		 Notional
Amount		    Unrealized
Depreciation		 
Morgan Stanley & Co./ Monthly  National Express Group Plc  Received 1 Month SONIA Minus 35 bps (-0.120%)  07/08/2022  $—    $—   $ (32)   GBP 2,858    $(32) 
                      $(32)        $(32) 

 

   

 

 

AltShares Merger Arbitrage ETF Portfolio of Investments (Continued)
             February 28, 2022 (unaudited)

  

OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS  

 

Currency Purchased  Currency Sold  Counterparty  Settlement Date  Unrealized
Appreciation		 
CAD 310,100  USD 243,772  Morgan Stanley & Co.  03/15/2022  $898 
USD 397,409  CAD 503,480  Morgan Stanley & Co.  03/15/2022   162 
USD 3,333,360  EUR 2,936,090  Morgan Stanley & Co.  03/15/2022   39,571 
GBP 110,000  USD 147,089  Morgan Stanley & Co.  03/15/2022   492 
USD 3,315,371  GBP 2,452,200  Morgan Stanley & Co.  03/15/2022   25,383 
SEK 211,600  USD 22,278  Morgan Stanley & Co.  03/15/2022   69 
USD 1,109,182  SEK 10,176,750  Morgan Stanley & Co.  03/15/2022   34,437 
                $101,012 

 

Currency Purchased   Currency Sold   Counterparty  Settlement Date  Unrealized
Depreciation		 
CAD 672,150   USD 534,093  Morgan Stanley & Co.  03/15/2022  $(3,767)
USD 1,228,722   CAD 1,571,580  Morgan Stanley & Co.  03/15/2022   (11,256)
USD 22,308   CHF 20,600  Morgan Stanley & Co.  03/15/2022   (165)
EUR 147,110   USD 166,549  Morgan Stanley & Co.  03/15/2022   (1,517)
GBP 531,700   USD 718,654  Morgan Stanley & Co.  03/15/2022   (5,301)
USD 870,497   GBP 657,600  Morgan Stanley & Co.  03/15/2022   (11,770)
SEK 388,430   USD 42,241  Morgan Stanley & Co.  03/15/2022   (1,219)
                 $(34,995)

 

   

 

 

AltShares Merger Arbitrage ETF Portfolio of Investments (Continued)
             February 28, 2022 (unaudited)

 

The following is a summary of investments classified by country exposure:

 

Country  % of Net Assets(a) 
United States   78.44%
United Kingdom   6.80%
Netherlands   3.88%
Sweden   3.64%
Switzerland   2.73%
Czech Republic   1.56%
Canada   1.11%
Spain   0.04%
Other Assets in Excess of Liabilities   1.80%
    100.00%

 

(a) These percentages represent long positions only and are not net of short positions.

 

Abbreviations:
 
AB - Aktiebolag is the Swedish term for a limited company.
AG - Aktiengesellschaft is a German term that refers to a corporation that is limited by shares, i.e., owned by shareholders.
bps - Basis Points. 100 Basis Points is equal to 1 percentage point.
CAD - Canadian dollar
CHF - Swiss franc
ESTR - Euro Short-term Rate
EUR - Euro
GBP - British pound
LLC - Limited Liability Company
LP - Limited Partnership
Ltd. - Limited
Plc - Public Limited Company
SA - Generally designates corporations in various countries, mostly those employing civil law. This translates literally in all languages mentioned as anonymous company.
SEK - Swedish krona
SONIA - Sterling OverNight Index Average
S&P - Standard & Poor's
STIBOR - Stockholm Interbank Offered Rate
USD - United States Dollar

  

   

 

 

AltShares Merger Arbitrage ETF Portfolio of Investments (Continued)
             February 28, 2022 (unaudited)

 

Investments in Securities at Value  Level 1   Level 2   Level 3   Total 
Assets                    
Common Stocks*  $76,650,644   $—   $—   $76,650,644 
                     
Other Financial Instruments**                    
Assets                    
Forward Foreign Currency Exchange Contracts  $—   $101,012   $—   $101,012 
Equity Swaps   148    —    —    148 
Liabilities                    
Forward Foreign Currency Exchange Contracts   —    (34,995)   —    (34,995)
Equity Swaps   (32)   —    —    (32)
TOTAL  $116   $66,017   $—   $66,133 

 

*Refer to Portfolio of Investments for sector information.
**Other financial instruments are instruments such as securities sold short, equity swaps and forward foreign currency exchange contracts.

 

   

 

 

AltShares Event-Driven ETF Portfolio of Investments
             February 28, 2022 (unaudited)

 

     Shares   Value 
COMMON STOCKS - 92.51%          
  Auto Parts & Equipment - 4.06%          
  Meritor, Inc.(a)   841   $29,948 
  Tenneco, Inc., Class A(a)   762    14,691 
  Veoneer, Inc.(a)   2,278    80,755 
           125,394 
  Banks - 3.06%          
  First Horizon Corp.   1,622    38,085 
  TriState Capital Holdings, Inc.(a)(b)   1,695    56,274 
           94,359 
  Biotechnology - 1.12%          
  Arena Pharmaceuticals, Inc.(a)   364    34,569 
             
  Chemicals - 9.81%          
  Ferro Corp.(a)(b)   1,368    29,727 
  GCP Applied Technologies, Inc.(a)   997    31,485 
  Kraton Corp.(a)   2,278    105,130 
  Rogers Corp.(a)   500    136,500 
           302,842 
  Commercial Services - 7.44%          
  Bakkt Holdings, Inc.(a)(c)   2,490    14,218 
  Moneylion, Inc.(a)(c)   10,452    25,189 
  PayPal Holdings, Inc.(a)   182    20,371 
  S&P Global, Inc.   452    169,958 
           229,736 
  Electronics - 3.41%          
  Coherent, Inc.(a)(b)   398    105,199 
             
  Energy - Alternate Sources - 1.27%          
  Renewable Energy Group, Inc.(a)   638    39,237 
             
  Entertainment - 2.87%          
  Cineplex, Inc.(a)   8,115    88,609 
             
  Environmental Control - 1.77%          
  US Ecology, Inc.(a)   1,150    54,556 
             
  Food - 1.98%          
  Sanderson Farms, Inc.(b)   277    49,469 
  Stryve Foods, Inc., Class A(a)(c)   4,198    11,545 
           61,014 
  Forest Products & Paper - 1.65%          
  Verso Corp., Class A   1,920    50,899 
             
  Healthcare - Products - 2.42%          
  Apria, Inc.(a)(b)   2,000    74,680 
             
  Healthcare - Services - 0.08%          
  UpHealth, Inc.(a)(c)   1,176    2,622 
             
  Insurance - 6.42%          
  American National Group, Inc.   160    30,245 

 

   

 

 

AltShares Event-Driven ETF Portfolio of Investments (Continued)
             February 28, 2022 (unaudited)

 

     Shares   Value 
COMMON STOCKS - 92.51% (Continued)          
  Insurance - 6.42% (Continued)          
  Hartford Financial Services Group, Inc. (The)(b)   819   $56,904 
  Willis Towers Watson Plc   500    111,150 
           198,299 
  Internet - 2.48%          
  Mimecast Ltd.(a)(b)   686    54,558 
  Pinterest, Inc., Class A(a)   819    21,908 
           76,466 
  Machinery - Diversified - 3.50%          
  SPX FLOW, Inc.   526    45,178 
  Welbilt, Inc.(a)   2,668    63,072 
           108,250 
  Media - 3.09%          
  Discovery, Inc., Class A(a)(b)   1,678    47,068 
  Houghton Mifflin Harcourt Co.(a)   2,305    48,290 
           95,358 
  Pharmaceuticals - 1.55%          
  BioDelivery Sciences International, Inc.(a)   1,412    7,879 
  Paratek Pharmaceuticals, Inc.(a)   11,396    40,114 
           47,993 
  Real Estate Investment Trusts - 5.35%          
  Bluerock Residential Growth REIT, Inc.(b)   1,200    31,860 
  CyrusOne, Inc.(b)   898    81,134 
  Healthcare Trust of America, Inc., Class A   1,174    34,504 
  Preferred Apartment Communities, Inc.   704    17,783 
           165,281 
  Retail - 1.01%          
  Del Taco Restaurants, Inc.   2,507    31,287 
             
  Savings & Loans - 0.98%          
  Investors Bancorp, Inc.(b)   1,815    30,383 
             
  Semiconductors - 6.24%          
  Advanced Micro Devices, Inc.(a)   666    82,144 
  CMC Materials, Inc.   506    93,828 
  Magnachip Semiconductor Corp.(a)(b)   913    16,617 
           192,589 
  Software - 16.45%          
  Activision Blizzard, Inc.   842    68,623 
  Bottomline Technologies DE, Inc.(a)   1,113    63,040 
  Cerner Corp.   788    73,481 
  Change Healthcare, Inc.(a)(b)   1,060    22,705 
  Citrix Systems, Inc.   550    56,375 
  Five9, Inc.(a)(b)   500    55,000 
  Kaleyra, Inc.(a)   3,021    23,353 
  Momentive Global, Inc.(a)   1,500    23,580 

 

   

 

 

AltShares Event-Driven ETF Portfolio of Investments (Continued)
             February 28, 2022 (unaudited)

 

     Shares   Value 
COMMON STOCKS - 92.51% (Continued)
  Software - 16.45% (Continued)          
  Nuance Communications, Inc.(a)(b)   2,196   $121,922 
           508,079 
  Telecommunications - 3.14%          
  NeoPhotonics Corp.(a)   2,094    32,059 
  Vonage Holdings Corp.(a)   3,191    64,841 
           96,900 
  Transportation - 1.36%          
  Canadian Pacific Railway Ltd.(b)   600    42,168 
             
TOTAL COMMON STOCKS
(Cost $3,019,446)		        2,856,769 

 

     Maturity
Date		  Rate   Principal
Amount		   Value 
CONVERTIBLE CORPORATE BONDS - 6.08%
  Auto Manufacturers - 0.91%                  
  Lightning eMotors, Inc.(d)  05/15/2024   7.500%  $35,553   $28,127 
                     
  Healthcare - Services - 2.39%                  
  UpHealth, Inc.(d)  06/15/2026   6.250%   87,000    73,822 
                     
  Software - 2.78%                  
  Kaleyra, Inc.(d)  06/01/2026   6.125%   87,000    85,970 
                     
TOTAL CONVERTIBLE CORPORATE BONDS
(Cost $209,577)		                187,919 

 

     Shares   Value 
WARRANTS(a) - 0.11%
  Auto Manufacturers - 0.10%          
  Lightning eMotors, Inc., Exercise Price $11.50, Expires 05/18/2025(c)   3,391   $3,171 
             
  Commercial Services - 0.01%          
  Moneylion, Inc., Exercise Price $11.50, Expires 09/22/2026   440    160 
             
  Healthcare - Services - 0.00%(e)          
  UpHealth, Inc., Exercise Price $11.50, Expires 07/01/2024(c)   117    38 
             
TOTAL WARRANTS
(Cost $0)		        3,369 
             
PRIVATE INVESTMENTS(a)(c)(f)(g) - 0.08%          
  Fast Capital LLC   400    400 
  Fuse LLC   1,100    1,919 
  Fuse Sponsor Capital, Z2 Shares   110    258 
             
TOTAL PRIVATE INVESTMENTS
(Cost $1,530)		        2,577 

 

   

 

 

AltShares Event-Driven ETF Portfolio of Investments (Continued)
             February 28, 2022 (unaudited)

 

     Maturity
Date		  Rate   Principal
Amount		   Value 
CORPORATE BONDS - 1.44%
  Entertainment - 1.00%
  Peninsula Pacific Entertainment LLC / Peninsula Pacific Entertainment Finance In(d)  11/15/2027   8.500%  $28,000   $31,001 
                     
  Packaging & Containers - 0.44%                  
  Flex Acquisition Co., Inc.(d)  07/15/2026   7.875%   13,000    13,406 
                     
TOTAL CORPORATE BONDS
(Cost $44,527)		                44,407 

 

     Yield   Shares   Value 
SHORT-TERM INVESTMENTS - 3.38%
Money Market Funds
  Morgan Stanley Institutional Liquidity Fund - Government Portfolio   0.026%(h)   52,121   $52,121 
  State Street Institutional U.S. Government Money Market Fund, Premier Class   0.099%(h)   52,122    52,122 
                104,243 
TOTAL SHORT-TERM INVESTMENTS
(Cost $104,243)		             104,243 
                  
Total Investments - 103.60%
(Cost $3,379,323)		             3,199,284 
                
Liabilities in Excess of Other Assets - (3.60)%(i)             (111,237)
                
NET ASSETS - 100.00%            $3,088,047 

 

Portfolio Footnotes

(a)Non-income-producing security.
(b)Security, or a portion of security, is being held as collateral for short sales or forward foreign currency exchange contracts. At February 28, 2022, the aggregate fair market value of those securities was $733,088, representing 23.7% of net assets.
(c)Restricted securities (including private placements) - The Fund may own investment securities that have other legal or contractual limitations. At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $59,360 or 1.92% of net assets.

 

Restricted Security  Acquisition Date  Acquisition Cost 
Bakkt Holdings, Inc.  10/06/2021  $24,900 
Fast Capital LLC  08/18/2020   414 
Fuse LLC  06/19/2020   1,014 
Fuse Sponsor Capital, Z2 Shares  06/19/2020   102 
Lightning eMotors, Inc., Exercise Price $11.50, Expires 05/18/2025  04/28/2021   — 
Moneylion, Inc.  09/14/2021   91,912 
Stryve Foods, Inc.  07/09/2021   41,980 
UpHealth, Inc.  05/25/2021   11,760 
UpHealth, Inc., Exercise Price $11.50, Expires 07/01/2024  04/06/2021   — 
Total     $172,082 

 

   

 

 

AltShares Event-Driven ETF Portfolio of Investments (Continued)
             February 28, 2022 (unaudited)

 

(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of February 28, 2022, these securities had a total value of $232,326 or 7.52% of net assets.
(e) Less than 0.005% of net assets.
(f) Represents a holding that is a direct investment into a private company and is not a listed or publicly traded entity.
(g) Security fair valued using significant unobservable inputs and classified as a Level 3 security.  As of February 28, 2022, the total fair market value of these securities was $2,577, representing 0.08% of net assets.
(h) Rate shown is the 7-day effective yield as of February 28, 2022.
(i) Includes cash held as collateral for short sales.
 

 

   

 

 

AltShares Event-Driven ETF Portfolio of Investments (Continued)
             February 28, 2022 (unaudited)

 

       
SCHEDULE OF SECURITIES SOLD SHORT  Shares   Value 
         
COMMON STOCKS SOLD SHORT - (0.99%)
  Real Estate Investment Trusts - (0.99%)          
  Healthcare Realty Trust, Inc.   (1,174)  $(30,618)
             
TOTAL COMMON STOCKS          
(Proceeds $30,801)        (30,618)
             
TOTAL SECURITIES SOLD SHORT
(Proceeds $30,801)		       $(30,618)

 

EQUITY SWAP CONTRACTS  

 

Swap
Counterparty/
Payment
Frequency		  Reference
Obligation		  Rate
Paid/Received
by the Fund		  Termination
Date		  Upfront
Payments
Paid		   Upfront
Payments
Received		   Market
Value		   Notional
Amount		  Unrealized
Appreciation		 
Morgan Stanley & Co./ Monthly  Citizens Financial Group, Inc.  Received 1 Month-Federal Rate Minus 40 bps (-0.320%)  10/06/2023  $—   $—   $—   USD 28,254  $— 
Morgan Stanley & Co./ Monthly  Raymond James Financial, Inc.  Received 1 Month-Federal Rate Minus 40 bps (-0.320%)  10/06/2023   —    —    —   USD 46,382   — 
Morgan Stanley & Co./ Monthly  Entegris, Inc.  Received 1 Month-Federal Rate Minus 40 bps (-0.320%)  10/06/2023   —    —    —   USD 29,749   — 
Morgan Stanley & Co./ Monthly  II-VI, Inc.  Received 1 Month-Federal Rate Minus 40 bps (-0.320%)  10/06/2023   —    —    —   USD 25,075   — 
Morgan Stanley & Co./ Monthly  S&P Global, Inc.  Received 1 Month-Federal Rate Minus 40 bps (-0.320%)  10/06/2023   —    —    —   USD 169,441   — 
                      $—     $— 

 

   

 

 

AltShares Event-Driven ETF Portfolio of Investments (Continued)
             February 28, 2022 (unaudited)

 

OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS

 

Currency Purchased  Currency Sold  Counterparty  Settlement
Date		  Unrealized
Appreciation		 
CAD 153,650  USD 120,402  Morgan Stanley & Co.  03/15/2022  $828 
USD 10,966  CAD 13,810  Morgan Stanley & Co.  03/15/2022   70 
                $898 

 

Currency Purchased  Currency Sold  Counterparty  Settlement
Date		  Unrealized
Depreciation		  
CAD 11,030  USD 8,755  Morgan Stanley & Co.  03/15/2022   $ (53 )
USD 204,452  CAD 261,320  Morgan Stanley & Co.  03/15/2022     (1,729 )
             $ (1,782 )

 

The following is a summary of investments classified by country exposure:

 

Country  % of Net Assets(a) 
United States   91.86%
Canada   4.23%
United Kingdom   3.60%
Sweden   2.61%
Italy   0.76%
Republic of Korea   0.54%
Liabilities in Excess of Other Assets   (3.60)%
    100.00%

 

(a) These percentages represent long positions only and are not net of short positions.

 

Abbreviations:
 
bps - Basis Points. 100 Basis Points is equal to 1 percentage point.
CAD - Canadian dollar
ETF - Exchange-Traded Fund
EUR - Euro
LLC - Limited Liability Company
Ltd. - Limited
Plc - Public Limited Company
REIT - Real Estate Investment Trust
S&P - Standard & Poor's
USD - United States Dollar

 

   

 

 

AltShares Event-Driven ETF Portfolio of Investments (Continued)
             February 28, 2022 (unaudited)

 

Investments in Securities at Value  Level 1   Level 2   Level 3   Total 
Assets                
Common Stocks*  $2,856,769   $—   $—   $2,856,769 
Convertible Corporate Bonds*   —    187,919    —    187,919 
Warrants*   3,369    —    —    3,369 
Private Investments   —    —    2,577    2,577 
Corporate Bonds*   —    44,407    —    44,407 
Short-Term Investments   104,243    —    —    104,243 
TOTAL  $2,964,381   $232,326   $2,577   $3,199,284 
                     
Other Financial Instruments**                    
Assets                    
Forward Foreign Currency Exchange Contracts  $—   $898   $—   $898 
Equity Swaps   0    —    —    0 
Liabilities                    
Common Stocks*   (30,618)   —    —    (30,618)
Forward Foreign Currency Exchange Contracts   —    (1,782)   —    (1,782)
TOTAL  $(30,618)  $(884)  $—   $(31,502)

 

*Refer to Portfolio of Investments for sector information.
**Other financial instruments are instruments such as securities sold short, equity swaps and forward foreign currency exchange contracts.

 

   

 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund’s assets and liabilities during the period ended February 28, 2022:

 

Investments in Securities  Balance as of
May 31, 2021		   Realized Gain
(Loss)		   Change in
Unrealized
Appreciation
(Depreciation)		   Purchases   Sales Proceeds   Transfers into
Level 3		   Transfers out of
Level 3		   Balance as of  
February 28, 2022		   Net change in Unrealized
Appreciation (Depreciation)
from investments still held as
of February 28, 2022		 
Common Stock  $-   $             -   $41   $77,099   $(77,140)  $            -   $-   $-   $                          - 
Convertible Corporate Bonds   156,815    -    7,900    -    -    -    (164,715)   -    - 
Private Investments   1,500    -    1,047    30    -    -    -    2,577    2,697 
Total  $158,315   $-   $8,988   $77,129   $(77,140)  $-   $(164,715)  $2,577   $2,697