| AltShares Merger Arbitrage ETF | Portfolio of Investments |
| August 31, 2022 (unaudited) |
| Shares | Value | |||||||
| COMMON STOCKS - 93.06% | ||||||||
| Airlines - 1.78% | ||||||||
| Spirit Airlines, Inc.(a) | 62,326 | $ | 1,413,554 | |||||
| Auto Parts & Equipment - 1.95% | ||||||||
| Tenneco, Inc., Class A(a)(b) | 81,896 | 1,544,558 | ||||||
| Banks - 2.32% | ||||||||
| First Horizon Corp.(b) | 81,318 | 1,839,413 | ||||||
| Biotechnology - 8.42% | ||||||||
| Biohaven Pharmaceutical Holding Co. Ltd.(a)(b) | 12,963 | 1,936,024 | ||||||
| ChemoCentryx, Inc.(a) | 46,343 | 2,362,566 | ||||||
| Global Blood Therapeutics, Inc.(a) | 34,910 | 2,370,389 | ||||||
| 6,668,979 | ||||||||
| Chemicals - 3.64% | ||||||||
| GCP Applied Technologies, Inc.(a)(b) | 32,628 | 1,025,172 | ||||||
| Rogers Corp.(a) | 5,869 | 1,470,302 | ||||||
| Zymergen, Inc.(a) | 164,275 | 389,331 | ||||||
| 2,884,805 | ||||||||
| Commercial Services - 8.35% | ||||||||
| Evo Payments, Inc., Class A(a) | 47,175 | 1,571,871 | ||||||
| LifeWorks, Inc. | 88,538 | 2,152,525 | ||||||
| MoneyGram International, Inc.(a)(b) | 49,192 | 506,678 | ||||||
| Nielsen Holdings Plc | 85,691 | 2,385,637 | ||||||
| 6,616,711 | ||||||||
| Computers & Computer Services - 3.85% | ||||||||
| Avast Plc(c) | 141,214 | 1,159,822 | ||||||
| Ping Identity Holding Corp.(a) | 67,193 | 1,890,811 | ||||||
| 3,050,633 | ||||||||
| Diversified Financial Services - 3.52% | ||||||||
| Brewin Dolphin Holdings Plc | 9,015 | 53,620 | ||||||
| Cowen, Inc., Class A(b) | 48,400 | 1,860,980 | ||||||
| Intertrust N.V.(a)(c) | 27,755 | 542,786 | ||||||
| Manning & Napier, Inc. | 26,024 | 331,286 | ||||||
| 2,788,672 | ||||||||
| Electric - 0.05% | ||||||||
| Albioma SA | 330 | 16,582 | ||||||
| ContourGlobal Plc(c) | 6,735 | 20,186 | ||||||
| 36,768 | ||||||||
| Electronics - 1.81% | ||||||||
| CyberOptics Corp.(a) | 26,958 | 1,435,244 | ||||||
| Energy - Alternate Sources - 1.97% | ||||||||
| Infrastructure and Energy Alternatives, Inc.(a) | 109,848 | 1,560,940 | ||||||
| Engineering & Construction - 1.31% | ||||||||
| HomeServe Plc | 7,470 | 102,920 | ||||||
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| August 31, 2022 (unaudited) |
| Shares | Value | |||||||
| COMMON STOCKS - 93.06% (Continued) | ||||||||
| Engineering & Construction - 1.31% (Continued) | ||||||||
| IBI Group, Inc.(a) | 63,442 | $ | 934,711 | |||||
| 1,037,631 | ||||||||
| Forest Products & Paper - 1.99% | ||||||||
| Resolute Forest Products, Inc.(a) | 77,772 | 1,575,661 | ||||||
| Gas - 1.78% | ||||||||
| South Jersey Industries, Inc.(b) | 41,693 | 1,411,308 | ||||||
| Healthcare - Products - 3.24% | ||||||||
| Hanger, Inc.(a) | 86,006 | 1,602,292 | ||||||
| Meridian Bioscience, Inc.(a) | 29,681 | 967,304 | ||||||
| 2,569,596 | ||||||||
| Healthcare - Services - 2.59% | ||||||||
| CareTech Holdings Plc | 52,302 | 452,657 | ||||||
| LHC Group, Inc.(a)(b) | 9,879 | 1,595,162 | ||||||
| 2,047,819 | ||||||||
| Holding Companies-Diversified - 0.54% | ||||||||
| Professional Holding Corp., Class A(a) | 15,350 | 429,186 | ||||||
| Home Furnishings - 2.37% | ||||||||
| iRobot Corp.(a) | 31,860 | 1,875,917 | ||||||
| Insurance - 2.39% | ||||||||
| Alleghany Corp.(a)(b) | 2,253 | 1,895,178 | ||||||
| Internet - 7.20% | ||||||||
| Mandiant, Inc.(a)(b) | 81,906 | 1,872,371 | ||||||
| Twitter, Inc.(a) | 37,953 | 1,470,679 | ||||||
| Zendesk, Inc.(a) | 30,809 | 2,365,207 | ||||||
| 5,708,257 | ||||||||
| Media - 1.77% | ||||||||
| TEGNA, Inc.(b) | 65,651 | 1,404,931 | ||||||
| Oil & Gas - 0.00%(d) | ||||||||
| Diamondback Energy, Inc. | 1 | 110 | ||||||
| Pharmaceuticals - 1.33% | ||||||||
| Covetrus, Inc.(a) | 50,378 | 1,051,389 | ||||||
| Pipelines - 1.83% | ||||||||
| Shell Midstream Partners LP | 91,786 | 1,451,137 | ||||||
| Real Estate Investment Trusts - 2.52% | ||||||||
| CatchMark Timber Trust, Inc., Class A | 43,370 | 461,891 | ||||||
| Duke Realty Corp. | 26,059 | 1,533,572 | ||||||
| 1,995,463 | ||||||||
| Software - 16.06% | ||||||||
| 1Life Healthcare, Inc.(a) | 104,090 | 1,791,389 | ||||||
| Activision Blizzard, Inc.(b) | 29,045 | 2,279,742 | ||||||
| Avalara, Inc.(a) | 26,013 | 2,382,531 | ||||||
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| August 31, 2022 (unaudited) |
| Shares | Value | |||||||
| COMMON STOCKS - 93.06% (Continued) | ||||||||
| Software - 16.06% (Continued) | ||||||||
| Citrix Systems, Inc. | 18,395 | $ | 1,890,454 | |||||
| EMIS Group Plc | 42,206 | 924,719 | ||||||
| ManTech International Corp., Class A | 11,189 | 1,073,137 | ||||||
| VMware, Inc., Class A(b) | 20,564 | 2,386,041 | ||||||
| 12,728,013 | ||||||||
| Telecommunications - 4.82% | ||||||||
| Sierra Wireless, Inc.(a) | 61,921 | 1,905,928 | ||||||
| Switch, Inc., Class A(b) | 56,289 | 1,911,012 | ||||||
| 3,816,940 | ||||||||
| Transportation - 3.66% | ||||||||
| Atlas Air Worldwide Holdings, Inc.(a)(b) | 23,805 | 2,378,595 | ||||||
| USA Truck, Inc.(a) | 16,513 | 517,848 | ||||||
| 2,896,443 | ||||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $74,392,911) | 73,735,256 | |||||||
| Yield | Shares | Value | ||||||||||
| SHORT-TERM INVESTMENTS - 4.69% | ||||||||||||
| Money Market Funds | ||||||||||||
| Morgan Stanley Institutional Liquidity Fund - Government Portfolio | 2.116 | %(e) | 1,858,211 | $ | 1,858,211 | |||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class | 2.360 | %(e) | 1,858,210 | 1,858,210 | ||||||||
| 3,716,421 | ||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,716,421) | 3,716,421 | |||||||||||
| Total Investments - 97.75% (Cost $78,109,332) | 77,451,677 | |||||||||||
| Other Assets in Excess of Liabilities - 2.25%(f) | 1,784,044 | |||||||||||
| NET ASSETS - 100.00% | $ | 79,235,721 | ||||||||||
| 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 August 31, 2022, the aggregate fair market value of those securities was $ 13,484,253 representing 17.02 % 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 August 31, 2022, these securities had a total value of $1,722,794 or 2.17% of net assets. |
| (d) | Less than 0.005% of net assets. |
| (e) | Rate shown is the 7-day effective yield as of August 31, 2022. |
| (f) | Includes cash held as collateral for short sales. |
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| August 31, 2022 (unaudited) |
| SCHEDULE OF SECURITIES SOLD SHORT | Shares | Value | ||||||
| SECURITIES SOLD SHORT - (0.02%) | ||||||||
| COMMON STOCKS SOLD SHORT - (0.02%) | ||||||||
| Healthcare - Services - (0.02%) | ||||||||
| Ginkgo Bioworks Holdings, Inc. | (7,260 | ) | $ | (19,529 | ) | |||
| TOTAL COMMON STOCKS SOLD SHORT | ||||||||
| (Proceeds $19,983) | (19,529 | ) | ||||||
| TOTAL SECURITIES SOLD SHORT | ||||||||
| (Proceeds $19,983) | $ | (19,529 | ) | |||||
EQUITY SWAP CONTRACTS
| Swap Counterparty/ Payment Frequency | Reference Obligation | Rate Paid/Received by the Fund | Termination Date | Upfront Payments Made | Upfront Payments Received | Market Value | Notional Amount | Unrealized Appreciation | ||||||||||||||||||
| Morgan Stanley & Co./ Monthly | Broadcom, Inc. | Received 1 Month-Federal Rate Minus 40 bps (1.930%) | 05/06/2024 | $ | — | $ | — | $ | — | USD | 1,293,194 | $ | — | |||||||||||||
| Morgan Stanley & Co./ Monthly | Ginko Bioworks Holdings | Received 1 Month-Federal Rate Minus 40 bps (1.930%) | 05/06/2024 | — | — | — | USD | 386,090 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | Diamondback Energy, Inc. | Received 1 Month-Federal Rate Minus 40 bps (1.930%) | 05/06/2024 | — | — | — | USD | 25,641 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | Mastec, Inc. | Received 1 Month-Federal Rate Minus 40 bps (1.930%) | 05/06/2024 | — | — | — | USD | 427,053 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | NortonLifeLock, Inc. | Received 1 Month-Federal Rate Minus 40 bps (1.930%) | 05/06/2024 | — | — | 2,000 | USD | 88,000 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | PotlatchDeltic Corp. | Received 1 Month-Federal Rate Minus 40 bps (1.930%) | 05/06/2024 | — | — | 25,353 | USD | 488,392 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | Prologis, Inc. | Received 1 Month-Federal Rate Minus 40 bps (1.930%) | 05/06/2024 | — | — | — | USD | 1,541,185 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | Seacoast Banking Corp. of Florida | Received 1 Month-Federal Rate Minus 40 bps (1.930%) | 05/06/2024 | — | — | — | USD | 441,976 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | Telus Corp. | Received 1 Month-CABROVER Minus 40 bps (-2.100%) | 06/24/2024 | — | — | — | CAD | 1,393,395 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | Brewin Dolphin Holdings Plc | Paid 1 Month SONIA Plus 94 bps (2.630%) | 07/08/2024 | — | — | — | GBP | 818,150 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | Euromoney Institutional Investor Plc | Paid 1 Month SONIA Plus 94 bps (2.630%) | 07/08/2024 | — | — | — | GBP | 797,250 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | ContourGlobal Plc | Paid 1 Month SONIA Plus 94 bps (2.630%) | 07/08/2024 | — | — | — | GBP | 48,442 | — | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | Homeserve Plc | Paid 1 Month SONIA Plus 94 bps (2.630%) | 07/08/2024 | — | — | — | GBP | 1,097,406 | — | |||||||||||||||||
| $ | 27,353 | $ | — | |||||||||||||||||||||||
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| August 31, 2022 (unaudited) |
OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||
| USD | 5,326,158 | CAD | 6,875,290 | Morgan Stanley & Co. | 09/15/2022 | $ | 91,670 | |||||
| USD | 3,907,668 | EUR | 3,720,500 | Morgan Stanley & Co. | 09/15/2022 | 165,569 | ||||||
| GBP | 539,200 | USD | 626,457 | Morgan Stanley & Co. | 09/15/2022 | 83 | ||||||
| USD | 5,674,775 | GBP | 4,681,300 | Morgan Stanley & Co. | 09/15/2022 | 235,191 | ||||||
| NOK | 106,800 | USD | 10,640 | Morgan Stanley & Co. | 09/15/2022 | 109 | ||||||
| USD | 359,773 | NOK | 3,554,500 | Morgan Stanley & Co. | 09/15/2022 | 2,018 | ||||||
| USD | 3,134,711 | SEK | 31,923,950 | Morgan Stanley & Co. | 09/15/2022 | 138,110 | ||||||
| $ | 632,750 | |||||||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Depreciation | ||||||||
| CAD | 2,781,590 | USD | 2,159,209 | Morgan Stanley & Co. | 09/15/2022 | $ | (41,452 | ) | ||||
| EUR | 3,148,900 | USD | 3,267,730 | Morgan Stanley & Co. | 09/15/2022 | (100,549 | ) | |||||
| GBP | 2,776,400 | USD | 3,326,412 | Morgan Stanley & Co. | 09/15/2022 | (100,286 | ) | |||||
| NOK | 3,447,700 | USD | 363,246 | Morgan Stanley & Co. | 09/15/2022 | (16,240 | ) | |||||
| SEK | 26,490,130 | USD | 2,579,092 | Morgan Stanley & Co. | 09/15/2022 | (92,546 | ) | |||||
| $ | (351,073 | ) | ||||||||||
The following is a summary of investments classified by country exposure:
| Country | % of Net Assets(a) | |||
| United States | 85.33 | % | ||
| Canada | 8.29 | % | ||
| United Kingdom | 1.96 | % | ||
| Czech Republic | 1.46 | % | ||
| Netherlands | 0.69 | % | ||
| France | 0.02 | % | ||
| Other Assets in Excess of Liabilities | 2.25 | % | ||
| 100.00 | % | |||
| (a) | These percentages represent long positions only and are not net of short positions. |
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| August 31, 2022 (unaudited) |
| Abbreviations: |
| bps - Basis Points. 100 Basis Points is equal to 1 percentage point. |
| CABROVER - Bank of Canada Overnight Lending Rate |
| CAD - Canadian dollar |
| EUR - Euro |
| GBP - British pound |
| LP - Limited Partnership |
| Ltd. - Limited |
| NOK - Norwegian krone |
| N.V. - Naamloze Vennootschap is the Dutch term for a public limited liability corporation. |
| 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 |
| USD - United States Dollar |
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| August 31, 2022 (unaudited) |
The following table summarizes the Merger Arbitrage ETF's investments and derivative financial instruments characterized in the fair value hierarchy as of August 31, 2022.
| Investments in Securities at Fair Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Assets | ||||||||||||||||
| Common Stocks* | $ | 73,735,256 | $ | — | $ | — | $ | 73,735,256 | ||||||||
| Short-Term Investments | 3,716,421 | — | — | 3,716,421 | ||||||||||||
| TOTAL | $ | 77,451,677 | $ | — | $ | — | $ | 77,451,677 | ||||||||
| Other Financial Instruments** | ||||||||||||||||
| Assets | ||||||||||||||||
| Forward Foreign Currency Exchange Contracts | $ | — | $ | 632,750 | $ | — | $ | 632,750 | ||||||||
| Equity Swaps | 27,353 | — | — | 27,353 | ||||||||||||
| Liabilities | ||||||||||||||||
| Common Stocks* | (19,529 | ) | — | — | (19,529 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts | — | (351,073 | ) | — | (351,073 | ) | ||||||||||
| TOTAL | $ | 7,824 | $ | 281,677 | $ | — | $ | 289,501 | ||||||||
| * | 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 |
| August 31, 2022 (unaudited) |
| Shares | Value | |||||||
| COMMON STOCKS - 94.23% | ||||||||
| Auto Parts & Equipment - 1.22% | ||||||||
| Tenneco, Inc., Class A(a) | 1,998 | $ | 37,682 | |||||
| Banks - 1.26% | ||||||||
| First Horizon Corp.(b) | 1,730 | 39,133 | ||||||
| Biotechnology - 5.68% | ||||||||
| Aura Biosciences, Inc.(a)(b) | 2,900 | 38,744 | ||||||
| Biohaven Pharmaceutical Holding Co. Ltd.(a) | 221 | 33,006 | ||||||
| ChemoCentryx, Inc.(a) | 710 | 36,196 | ||||||
| Global Blood Therapeutics, Inc.(a) | 1,000 | 67,900 | ||||||
| 175,846 | ||||||||
| Chemicals - 4.50% | ||||||||
| GCP Applied Technologies, Inc.(a) | 1,063 | 33,400 | ||||||
| Rogers Corp.(a)(b) | 422 | 105,719 | ||||||
| 139,119 | ||||||||
| Commercial Services - 6.67% | ||||||||
| Evo Payments, Inc., Class A(a) | 1,091 | 36,352 | ||||||
| GXO Logistics, Inc.(a) | 400 | 17,752 | ||||||
| Moneylion, Inc.(a)(c) | 12,059 | 17,245 | ||||||
| Nielsen Holdings Plc | 4,200 | 116,928 | ||||||
| PayPal Holdings, Inc.(a) | 194 | 18,127 | ||||||
| 206,404 | ||||||||
| Computers & Computer Services - 1.15% | ||||||||
| Ping Identity Holding Corp.(a) | 1,268 | 35,682 | ||||||
| Entertainment - 3.13% | ||||||||
| Cineplex, Inc.(a) | 14,100 | 96,730 | ||||||
| Food - 0.00%(d) | ||||||||
| The Fresh Market, Inc. escrow shares(a) | 510 | — | ||||||
| Gas - 2.41% | ||||||||
| South Jersey Industries, Inc. | 2,207 | 74,707 | ||||||
| Healthcare - Products - 2.75% | ||||||||
| Meridian Bioscience, Inc.(a) | 2,207 | 71,926 | ||||||
| Pacific Biosciences of California, Inc.(a) | 2,250 | 13,185 | ||||||
| 85,111 | ||||||||
| Healthcare - Services - 3.12% | ||||||||
| Cano Health, Inc.(a) | 6,600 | 40,722 | ||||||
| LHC Group, Inc.(a)(b) | 342 | 55,223 | ||||||
| UpHealth, Inc.(a)(c) | 1,176 | 718 | ||||||
| 96,663 | ||||||||
| Home Furnishings - 1.14% | ||||||||
| iRobot Corp.(a) | 600 | 35,328 | ||||||
| Insurance - 8.42% | ||||||||
| Alleghany Corp.(a) | 165 | 138,795 | ||||||
| Hartford Financial Services Group, Inc. (The)(b) | 873 | 56,142 | ||||||
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| August 31, 2022 (unaudited) |
| Shares | Value | |||||||
| COMMON STOCKS - 94.23% (Continued) | ||||||||
| Insurance - 8.42% (Continued) | ||||||||
| Willis Towers Watson Plc | 317 | $ | 65,565 | |||||
| 260,502 | ||||||||
| Internet - 5.31% | ||||||||
| Mandiant, Inc.(a)(b) | 1,066 | 24,369 | ||||||
| Pinterest, Inc., Class A(a) | 605 | 13,939 | ||||||
| Twitter, Inc.(a) | 1,200 | 46,500 | ||||||
| Zendesk, Inc.(a) | 1,034 | 79,380 | ||||||
| 164,188 | ||||||||
| Machinery - Construction & Mining - 1.03% | ||||||||
| Bloom Energy Corp., Class A(a) | 1,250 | 31,763 | ||||||
| Machinery - Diversified - 0.65% | ||||||||
| Crane Holdings Co. | 214 | 20,193 | ||||||
| Media - 5.42% | ||||||||
| Paramount Global, Class B | 500 | 11,695 | ||||||
| Houghton Mifflin Harcourt Co.(a)(e) | 2,228 | 46,788 | ||||||
| TEGNA, Inc. | 4,000 | 85,600 | ||||||
| Warner Bros Discovery, Inc.(a) | 1,790 | 23,700 | ||||||
| 167,783 | ||||||||
| Oil & Gas - 4.48% | ||||||||
| Continental Resources, Inc. | 1,300 | 90,779 | ||||||
| EQT Corp. | 1,000 | 47,800 | ||||||
| 138,579 | ||||||||
| Pharmaceuticals - 3.03% | ||||||||
| Aerie Pharmaceuticals, Inc.(a) | 2,075 | 31,333 | ||||||
| Covetrus, Inc.(a) | 1,668 | 34,811 | ||||||
| Paratek Pharmaceuticals, Inc.(a)(b) | 11,038 | 27,705 | ||||||
| 93,849 | ||||||||
| Real Estate Investment Trusts - 3.61% | ||||||||
| Bluerock Residential Growth REIT, Inc. | 1,280 | 34,112 | ||||||
| Duke Realty Corp. | 345 | 20,303 | ||||||
| Healthcare Realty Trust, Inc. | 2,357 | 57,322 | ||||||
| 111,737 | ||||||||
| Retail - 1.01% | ||||||||
| Foot Locker, Inc. | 850 | 31,314 | ||||||
| Semiconductors - 4.16% | ||||||||
| Advanced Micro Devices, Inc.(a) | 1,214 | 103,032 | ||||||
| Magnachip Semiconductor Corp.(a)(b) | 2,207 | 25,822 | ||||||
| 128,854 | ||||||||
| Software - 16.69% | ||||||||
| 1Life Healthcare, Inc.(a) | 1,750 | 30,118 | ||||||
| Activision Blizzard, Inc.(b) | 898 | 70,484 | ||||||
| Avalara, Inc.(a) | 800 | 73,272 | ||||||
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| August 31, 2022 (unaudited) |
| Shares | Value | |||||||
| COMMON STOCKS - 94.23% (Continued) | ||||||||
| Software - 16.69% (Continued) | ||||||||
| Change Healthcare, Inc.(a)(b) | 2,500 | $ | 61,425 | |||||
| Citrix Systems, Inc. | 1,000 | 102,770 | ||||||
| Five9, Inc.(a)(b) | 850 | 83,393 | ||||||
| ManTech International Corp., Class A | 280 | 26,855 | ||||||
| Momentive Global, Inc.(a) | 1,105 | 7,834 | ||||||
| RingCentral, Inc., Class A(a) | 250 | 10,760 | ||||||
| Snowflake, Inc., Class A(a) | 100 | 18,095 | ||||||
| Unity Software, Inc.(a) | 400 | 17,088 | ||||||
| VMware, Inc., Class A(b) | 124 | 14,388 | ||||||
| 516,482 | ||||||||
| Telecommunications - 5.10% | ||||||||
| Sierra Wireless, Inc.(a) | 1,472 | 45,308 | ||||||
| Switch, Inc., Class A | 3,312 | 112,443 | ||||||
| 157,751 | ||||||||
| Transportation - 2.29% | ||||||||
| Atlas Air Worldwide Holdings, Inc.(a) | 500 | 49,960 | ||||||
| XPO Logistics, Inc.(a) | 400 | 20,968 | ||||||
| 70,928 | ||||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $3,140,332) | 2,916,328 | |||||||
| Maturity Date | Rate | Principal Amount | Value | |||||||||||
| CORPORATE BONDS - 2.44% | ||||||||||||||
| Auto Parts & Equipment - 1.47% | ||||||||||||||
| Meritor, Inc.(f) | 12/15/2028 | 4.500 | % | $ | 13,000 | $ | 13,310 | |||||||
| Tenneco, Inc.(f) | 04/15/2029 | 5.125 | % | 33,000 | 32,018 | |||||||||
| 45,328 | ||||||||||||||
| Entertainment - 0.97% | ||||||||||||||
| Peninsula Pacific Entertainment LLC / Peninsula Pacific Entertainment Finance In(f) | 11/15/2027 | 8.500 | % | 28,000 | 30,093 | |||||||||
| TOTAL CORPORATE BONDS | ||||||||||||||
| (Cost $77,274) | 75,421 | |||||||||||||
| CONVERTIBLE CORPORATE BONDS - 3.30% | ||||||||||||||
| Auto Manufacturers - 0.75% | ||||||||||||||
| Lightning eMotors, Inc.(f) | 05/15/2024 | 7.500 | % | 34,365 | 23,091 | |||||||||
| Healthcare - Services - 0.31% | ||||||||||||||
| UpHealth, Inc.(f) | 06/15/2026 | 6.250 | % | 31,000 | 9,610 | |||||||||
| Software - 2.24% | ||||||||||||||
| Kaleyra, Inc.(f) | 06/01/2026 | 6.125 | % | 87,000 | 69,382 | |||||||||
| TOTAL CONVERTIBLE CORPORATE BONDS | ||||||||||||||
| (Cost $152,075) | 102,083 | |||||||||||||
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| August 31, 2022 (unaudited) |
| Shares | Value | |||||||
| WARRANTS(a) - 0.00%(d) | ||||||||
| Commercial Services - 0.00%(d) | ||||||||
| Moneylion, Inc., Exercise Price $11.50, Expires 09/22/2026 | 440 | $ | 86 | |||||
| Healthcare - Services - 0.00%(d) | ||||||||
| UpHealth, Inc., Exercise Price $11.50, Expires 07/01/2024(c) | 117 | 10 | ||||||
| TOTAL WARRANTS | ||||||||
| (Cost $0) | 96 | |||||||
| PRIVATE INVESTMENTS(a)(c)(e)(g) - 0.03% | ||||||||
| Fast Capital LLC | 400 | 800 | ||||||
| TOTAL PRIVATE INVESTMENTS | ||||||||
| (Cost $414) | 800 | |||||||
| Yield | Shares | Value | ||||||||||
| SHORT-TERM INVESTMENTS - 1.50% | ||||||||||||
| Money Market Funds | ||||||||||||
| Morgan Stanley Institutional Liquidity Fund - Government Portfolio | 2.116 | %(h) | 23,280 | $ | 23,280 | |||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class | 2.360 | %(h) | 23,281 | 23,281 | ||||||||
| 46,561 | ||||||||||||
| TOTAL SHORT-TERM INVESTMENTS | ||||||||||||
| (Cost $46,561) | 46,561 | |||||||||||
| Total Investments - 101.50% | ||||||||||||
| (Cost $3,416,656) | 3,141,289 | |||||||||||
| Liabilities in Excess of Other Assets - (1.50)%(i) | (46,343 | ) | ||||||||||
| NET ASSETS - 100.00% | $ | 3,094,946 | ||||||||||
Portfolio Footnotes
| (a) | Non-income-producing security. |
| (b) | Security, or a portion of security, is being held as collateral for short sales, written option contracts or forward foreign currency exchange contracts. At August 31, 2022, the aggregate fair market value of those securities was $298,299, representing 9.64% 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 $18,773 or 0.61% of net assets. |
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| August 31, 2022 (unaudited) |
| Restricted Security | Acquisition Date | Acquisition Cost | ||||
| Fast Capital LLC | 08/18/2020 | $ | 414 | |||
| Moneylion, Inc. | 06/19/2020 | 94,269 | ||||
| UpHealth, Inc. | 06/08/2021 | 11,760 | ||||
| UpHealth, Inc., Exercise Price $11.50, Expires 07/01/2024 | 04/06/2021 | — | ||||
| Total | $ | 106,443 | ||||
| (d) | Less than 0.005% of net assets. |
| (e) | Security fair valued using significant unobservable inputs and classified as a Level 3 security. As of August 31, 2022, the total fair market value of these securities was $47,588, representing 1.54% of net assets. |
| (f) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of August 31, 2022, these securities had a total value of $177,504 or 5.74% of net assets. |
| (g) | Represents a holding that is a direct investment into a private company and is not a listed or publicly traded entity. |
| (h) | Rate shown is the 7-day effective yield as of August 31, 2022. |
| (i) | Includes cash held as collateral for short sales and written option contracts. |
| SCHEDULE OF SECURITIES SOLD SHORT | Shares | Value | ||||||
| SECURITIES SOLD SHORT - (0.38%) | ||||||||
| COMMON STOCKS SOLD SHORT - (0.38%) | ||||||||
| Auto Parts & Equipment - (0.16%) | ||||||||
| Tenneco, Inc., Class A | (258 | ) | $ | (4,866 | ) | |||
| Semiconductors - (0.22%) | ||||||||
| Broadcom, Inc. | (14 | ) | (6,987 | ) | ||||
| TOTAL SECURITIES SOLD SHORT | ||||||||
| (Proceeds $12,643) | $ | (11,853 | ) | |||||
EQUITY SWAP CONTRACTS
| Swap Counterparty/ Payment Frequency | Reference Obligation | Rate
Paid/Received by the Fund | Termination Date | Upfront Payments Made | Upfront Payments Received | Market Value | Notional Amount | Unrealized Appreciation | |||||||||||||||||
| Morgan Stanley & Co./ Monthly | Prologis, Inc. | Received 1 Month-Federal Rate Minus 40 bps (1.930%) | 10/06/2023 | $ | — | $ | — | $ | — | USD | 20,420 | $ | — | ||||||||||||
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| August 31, 2022 (unaudited) |
OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||
| USD | 146,781 | CAD | 189,410 | Morgan Stanley & Co. | 09/15/2022 | $ | 2,573 | |||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Depreciation | ||||||||
| CAD | 60,820 | USD | 47,263 | Morgan Stanley & Co. | 09/15/2022 | $ | (957 | ) | ||||
The following is a summary of investments classified by country exposure:
| Country | % of Net Assets(a) | |||
| United States | 93.95 | % | ||
| Canada | 4.60 | % | ||
| United Kingdom | 2.12 | % | ||
| Republic of Korea | 0.83 | % | ||
| Liabilities in Excess of Other Assets | (1.50 | )% | ||
| 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 |
| LLC - Limited Liability Company |
| Ltd. - Limited |
| Plc - Public Limited Company |
| REIT - Real Estate Investment Trust |
| USD - United States Dollar |
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| August 31, 2022 (unaudited) |
The following table summarizes the Event-Driven ETF's investments and derivative financial instruments characterized in the fair value hierarchy as of August 31, 2022.
| Investments in Securities at Fair Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Assets | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Auto Parts & Equipment | $ | 37,682 | $ | — | $ | — | $ | 37,682 | ||||||||
| Banks | 39,133 | — | — | 39,133 | ||||||||||||
| Biotechnology | 175,846 | — | — | 175,846 | ||||||||||||
| Chemicals | 139,119 | — | — | 139,119 | ||||||||||||
| Commercial Services | 206,404 | — | — | 206,404 | ||||||||||||
| Computers & Computer Services | 35,682 | — | — | 35,682 | ||||||||||||
| Entertainment | 96,730 | — | — | 96,730 | ||||||||||||
| Food | — | — | — | — | ||||||||||||
| Gas | 74,707 | — | — | 74,707 | ||||||||||||
| Healthcare - Products | 85,111 | — | — | 85,111 | ||||||||||||
| Healthcare - Services | 96,663 | — | — | 96,663 | ||||||||||||
| Home Furnishings | 35,328 | — | — | 35,328 | ||||||||||||
| Insurance | 260,502 | — | — | 260,502 | ||||||||||||
| Internet | 164,188 | — | — | 164,188 | ||||||||||||
| Machinery - Construction & Mining | 31,763 | — | — | 31,763 | ||||||||||||
| Machinery - Diversified | 20,193 | — | — | 20,193 | ||||||||||||
| Media | 120,995 | — | 46,788 | 167,783 | ||||||||||||
| Oil & Gas | 138,579 | — | — | 138,579 | ||||||||||||
| Pharmaceuticals | 93,849 | — | — | 93,849 | ||||||||||||
| Real Estate Investment Trusts | 111,737 | — | — | 111,737 | ||||||||||||
| Retail | 31,314 | — | — | 31,314 | ||||||||||||
| Semiconductors | 128,854 | — | — | 128,854 | ||||||||||||
| Software | 516,482 | — | — | 516,482 | ||||||||||||
| Telecommunications | 157,751 | — | — | 157,751 | ||||||||||||
| Transportation | 70,928 | — | — | 70,928 | ||||||||||||
| Corporate Bonds* | — | 75,421 | — | 75,421 | ||||||||||||
| Convertible Corporate Bonds* | — | 102,083 | — | 102,083 | ||||||||||||
| Warrants* | 96 | — | — | 96 | ||||||||||||
| Private Investments | — | — | 800 | 800 | ||||||||||||
| Short-Term Investments | 46,561 | — | — | 46,561 | ||||||||||||
| TOTAL | $ | 2,916,197 | $ | 177,504 | $ | 47,588 | $ | 3,141,289 | ||||||||
| Other Financial Instruments** | ||||||||||||||||
| Assets | ||||||||||||||||
| Forward Foreign Currency Exchange Contracts | $ | — | $ | 2,573 | $ | — | $ | 2,573 | ||||||||
| Equity Swaps | 0 | — | — | 0 | ||||||||||||
| Liabilities | ||||||||||||||||
| Common Stocks* | (11,853 | ) | — | — | (11,853 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts | — | (957 | ) | — | (957 | ) | ||||||||||
| TOTAL | $ | (11,853 | ) | $ | 1,616 | $ | — | $ | (10,237 | ) | ||||||
| * | 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 August 31, 2022:
| Investments in Securities | Balance
as of May 31, 2022 | Realized
Gain (Loss) | Change
in Unrealized Appreciation (Depreciation) | Purchases | Sales Proceeds | Transfers
out of Level 3 | Balance
as of August 31, 2022 | Net
change in Unrealized Appreciation (Depreciation) from investments still held as of August 31, 2022 | ||||||||||||||||||||||||
| Common Stock | $ | 46,788 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 46,788 | $ | - | ||||||||||||||||
| Private Investments | 400 | - | 400 | - | - | - | 800 | 400 | ||||||||||||||||||||||||
| Total | $ | 47,188 | $ | - | $ | 400 | $ | - | $ | - | $ | - | $ | 47,588 | $ | 400 | ||||||||||||||||