| AltShares Merger Arbitrage ETF | Portfolio of Investments |
| February 28, 2023 (unaudited) |
| Shares | Value | |||||||
| COMMON STOCKS - 96.18% | ||||||||
| Aerospace & Defense - 4.26% | ||||||||
| Aerojet Rocketdyne Holdings, Inc.(a) | 55,971 | $ | 3,153,406 | |||||
| Airlines - 1.84% | ||||||||
| Spirit Airlines, Inc.(b) | 74,101 | 1,357,530 | ||||||
| Banks - 9.63% | ||||||||
| First Horizon Corp. | 144,896 | 3,589,074 | ||||||
| Home Capital Group, Inc. | 95,724 | 2,941,522 | ||||||
| Lakeland Bancorp, Inc. | 30,641 | 589,839 | ||||||
| 7,120,435 | ||||||||
| Biotechnology - 4.80% | ||||||||
| Horizon Therapeutics Plc(a)(b) | 32,406 | 3,548,133 | ||||||
| Commercial Services - 7.21% | ||||||||
| Evo Payments, Inc., Class A(a) | 53,501 | 1,811,009 | ||||||
| MoneyGram International, Inc.(a) | 162,444 | 1,762,517 | ||||||
| Vivint Smart Home, Inc.(a) | 156,890 | 1,763,444 | ||||||
| 5,336,970 | ||||||||
| Distribution/Wholesale - 1.89% | ||||||||
| IAA, Inc.(a) | 34,238 | 1,400,677 | ||||||
| Engineering & Construction - 1.29% | ||||||||
| Atlas Technical Consultants, Inc.(a) | 78,091 | 955,053 | ||||||
| Environmental Control - 2.17% | ||||||||
| Evoqua Water Technologies Corp.(a)(b) | 33,078 | 1,606,268 | ||||||
| Food - 0.12% | ||||||||
| Devro Plc | 22,117 | 87,126 | ||||||
| Healthcare - Products - 5.47% | ||||||||
| Apollo Endosurgery, Inc.(a) | 164,215 | 1,630,655 | ||||||
| Cardiovascular Systems, Inc.(a) | 120,687 | 2,378,741 | ||||||
| NuVasive, Inc.(a) | 800 | 34,584 | ||||||
| 4,043,980 | ||||||||
| Healthcare - Services - 7.25% | ||||||||
| Oak Street Health, Inc.(a) | 73,123 | 2,588,554 | ||||||
| Signify Health, Inc., Class A(a) | 96,469 | 2,777,343 | ||||||
| 5,365,897 | ||||||||
| Home Furnishings - 2.05% | ||||||||
| iRobot Corp.(a)(b) | 36,882 | 1,515,481 | ||||||
| Insurance - 1.02% | ||||||||
| Curtis Banks Group Plc | 183,901 | 756,522 | ||||||
| Internet - 0.89% | ||||||||
| Home24 SE(a) | 84,920 | 655,685 | ||||||
| Machinery - Diversified - 3.87% | ||||||||
| Altra Industrial Motion Corp. | 46,503 | 2,861,330 | ||||||
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| February 28, 2023 (unaudited) |
| Shares | Value | |||||||
| COMMON STOCKS - 96.18% (Continued) | ||||||||
| Media - 1.43% | ||||||||
| TEGNA, Inc.(b) | 60,872 | $ | 1,059,173 | |||||
| Miscellaneous Manufacturing - 0.62% | ||||||||
| va-Q-tec AG(a) | 16,843 | 457,841 | ||||||
| Pharmaceuticals - 2.22% | ||||||||
| Myovant Sciences Ltd.(a) | 60,998 | 1,644,506 | ||||||
| Retail - 3.76% | ||||||||
| TravelCenters of America, Inc.(a) | 32,997 | 2,783,297 | ||||||
| Software - 24.50% | ||||||||
| Coupa Software, Inc.(a)(b) | 54,795 | 4,438,395 | ||||||
| Duck Creek Technologies, Inc.(a) | 118,339 | 2,241,341 | ||||||
| EMIS Group Plc | 37,165 | 836,857 | ||||||
| ForgeRock, Inc., Class A(a)(b) | 105,093 | 2,148,101 | ||||||
| Magnet Forensics, Inc.(a) | 59,587 | 1,932,374 | ||||||
| Meltwater N.V.(a) | 220,221 | 372,591 | ||||||
| Sumo Logic, Inc.(a) | 193,456 | 2,296,323 | ||||||
| VMware, Inc., Class A(a)(b) | 35,015 | 3,856,202 | ||||||
| 18,122,184 | ||||||||
| Telecommunications - 3.38% | ||||||||
| Maxar Technologies, Inc.(b) | 48,541 | 2,499,861 | ||||||
| Transportation - 6.51% | ||||||||
| Atlas Air Worldwide Holdings, Inc.(a) | 22,688 | 2,287,177 | ||||||
| Atlas Corp.(b) | 164,719 | 2,530,084 | ||||||
| 4,817,261 | ||||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $72,419,767) | 71,148,616 | |||||||
| Yield | Shares | Value | ||||||||||
| SHORT-TERM INVESTMENTS - 2.55% | ||||||||||||
| Money Market Funds | ||||||||||||
| Morgan Stanley Institutional Liquidity Fund - Government Portfolio | 4.434 | %(c) | 941,715 | $ | 941,715 | |||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class | 4.545 | %(c) | 941,714 | 941,714 | ||||||||
| 1,883,429 | ||||||||||||
| TOTAL SHORT-TERM INVESTMENTS | ||||||||||||
| (Cost $1,883,429) | 1,883,429 | |||||||||||
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| February 28, 2023 (unaudited) |
| Total Investments - 98.73% | ||||
| (Cost $74,303,196) | $ | 73,032,045 | ||
| Other Assets in Excess of Liabilities - 1.27%(d) | 938,922 | |||
| NET ASSETS - 100.00% | $ | 73,970,967 | ||
Portfolio Footnotes
| (a) | Non-income-producing security. |
| (b) | Security, or a portion of security, is being held as collateral for short sales, swaps or forward foreign currency exchange contracts. At February 28, 2023, the aggregate fair market value of those securities was $13,674,750 representing 18.49% of net assets. |
| (c) | Rate shown is the 7-day effective yield as of February 28, 2023. |
| (d) | Includes cash held as collateral for short sales. |
| SCHEDULE OF SECURITIES SOLD SHORT | Shares | Value | ||||||
| SECURITIES SOLD SHORT - (0.05%) | ||||||||
| COMMON STOCKS SOLD SHORT - (0.05%) | ||||||||
| Healthcare - Products - (0.05%) | ||||||||
| Globus Medical, Inc., Class A | (600 | ) | $ | (35,004 | ) | |||
| TOTAL SECURITIES SOLD SHORT | ||||||||
| (Proceeds $35,228) | $ | (35,004 | ) | |||||
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 Depreciation |
|||||||||||||||||
| Morgan Stanley & Co./ Monthly | Broadcom, Inc. | Received 1 Month-Federal Rate Minus 40bps (-4.170%) | 05/06/2024 | $ | — | $ | — | $ | (148,024 | ) | USD | 2,473,984 | $ | (148,024 | ) | ||||||||||
| Morgan Stanley & Co./ Monthly | Provident Financial Services, Inc. | Received 1 Month-Federal Rate Minus 40bps (-4.170%) | 05/06/2024 | — | — | (37,125 | ) | USD | 658,238 | (37,125 | ) | ||||||||||||||
| Morgan Stanley & Co./ Monthly | Ritchie Bros Auctioneers, Inc. | Received 1 Month-Federal Rate Minus 40bps (-4.170%) | 05/06/2024 | — | — | (45,071 | ) | USD | 1,057,640 | (45,071 | ) | ||||||||||||||
| Morgan Stanley & Co./ Monthly | Xylem, Inc. | Received 1 Month-Federal Rate Minus 40bps (-4.170%) | 05/06/2024 | — | — | (13,598 | ) | USD | 1,615,868 | (13,598 | ) | ||||||||||||||
| $ | (243,818 | ) | $ | (243,818 | ) | ||||||||||||||||||||
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| February 28, 2023 (unaudited) |
OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||
| USD | 6,117,041 | CAD | 8,258,920 | Morgan Stanley & Co. | 03/15/2023 | $ | 63,710 | |||||
| USD | 4,357,897 | EUR | 4,069,300 | Morgan Stanley & Co. | 03/15/2023 | 50,432 | ||||||
| GBP | 719,700 | USD | 865,657 | Morgan Stanley & Co. | 03/15/2023 | 231 | ||||||
| USD | 11,961,839 | GBP | 9,739,300 | Morgan Stanley & Co. | 03/15/2023 | 244,257 | ||||||
| USD | 862,310 | NOK | 8,535,000 | Morgan Stanley & Co. | 03/15/2023 | 39,883 | ||||||
| $ | 398,513 | |||||||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Depreciation | ||||||||
| CAD | 1,607,280 | USD | 1,194,833 | Morgan Stanley & Co. | 03/15/2023 | $ | (16,786 | ) | ||||
| EUR | 2,994,480 | USD | 3,251,070 | Morgan Stanley & Co. | 03/15/2023 | (81,332 | ) | |||||
| GBP | 7,224,500 | USD | 8,839,985 | Morgan Stanley & Co. | 03/15/2023 | (148,018 | ) | |||||
| USD | 133,941 | GBP | 111,900 | Morgan Stanley & Co. | 03/15/2023 | (689 | ) | |||||
| NOK | 4,780,000 | USD | 473,524 | Morgan Stanley & Co. | 03/15/2023 | (12,926 | ) | |||||
| USD | 20,119 | NOK | 209,000 | Morgan Stanley & Co. | 03/15/2023 | (20 | ) | |||||
| $ | (259,771 | ) | ||||||||||
The following is a summary of investments classified by country exposure:
| Country | % of Net Assets(a) | ||
| United States | 82.22 | % | |
| Canada | 10.01 | % | |
| United Kingdom | 4.49 | % | |
| Germany | 1.51 | % | |
| Netherlands | 0.50 | % | |
| Other Assets in Excess of Liabilities | 1.27 | % | |
| 100.00 | % |
(a) These percentages represent long positions only and are not net of short positions.
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| February 28, 2023 (unaudited) |
Abbreviations:
| 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 |
| EUR - Euro |
| GBP - British pound |
| Ltd. - Limited |
| NOK - Norwegian krone |
| N.V. - Naamloze Vennootschap is the Dutch term for a public limited liability corporation. |
| Plc - Public Limited Company |
| SE - SE Regulation. A European Company which can operate on a Europe-wide basis and be governed by Community law directly applicable in all Member States |
| USD - United States Dollar |
| AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
| February 28, 2023 (unaudited) |
The following table summarizes the Merger Arbitrage ETF's investments and derivative financial instruments characterized in the fair value hierarchy as of February 28,2023.
| Investments in Securities at Fair Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Assets | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Aerospace & Defense | $ | 3,153,406 | $ | — | $ | — | $ | 3,153,406 | ||||||||
| Airlines | 1,357,530 | — | — | 1,357,530 | ||||||||||||
| Banks | 7,120,435 | — | — | 7,120,435 | ||||||||||||
| Biotechnology | 3,548,133 | — | — | 3,548,133 | ||||||||||||
| Commercial Services | 5,336,970 | — | — | 5,336,970 | ||||||||||||
| Distribution/Wholesale | 1,400,677 | — | — | 1,400,677 | ||||||||||||
| Engineering & Construction | 955,053 | — | — | 955,053 | ||||||||||||
| Environmental Control | 1,606,268 | — | — | 1,606,268 | ||||||||||||
| Food | 87,126 | — | — | 87,126 | ||||||||||||
| Healthcare - Products | 4,043,980 | — | — | 4,043,980 | ||||||||||||
| Healthcare - Services | 5,365,897 | — | — | 5,365,897 | ||||||||||||
| Home Furnishings | 1,515,481 | — | — | 1,515,481 | ||||||||||||
| Insurance | 756,522 | — | — | 756,522 | ||||||||||||
| Internet | 655,685 | — | — | 655,685 | ||||||||||||
| Machinery - Diversified | 2,861,330 | — | — | 2,861,330 | ||||||||||||
| Media | 1,059,173 | — | — | 1,059,173 | ||||||||||||
| Miscellaneous Manufacturing | 457,841 | — | — | 457,841 | ||||||||||||
| Pharmaceuticals | 1,644,506 | — | — | 1,644,506 | ||||||||||||
| Retail | 2,783,297 | — | — | 2,783,297 | ||||||||||||
| Software | 13,683,789 | 4,438,395 | — | 18,122,184 | ||||||||||||
| Telecommunications | 2,499,861 | — | — | 2,499,861 | ||||||||||||
| Transportation | 4,817,261 | — | — | 4,817,261 | ||||||||||||
| Short-Term Investments | 1,883,429 | — | — | 1,883,429 | ||||||||||||
| TOTAL | $ | 68,593,650 | $ | 4,438,395 | $ | — | $ | 73,032,045 | ||||||||
| Other Financial Instruments** | ||||||||||||||||
| Assets | ||||||||||||||||
| Forward Foreign Currency Exchange Contracts | $ | — | $ | 398,513 | $ | — | $ | 398,513 | ||||||||
| Liabilities | ||||||||||||||||
| Common Stocks* | (35,004 | ) | — | — | (35,004 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts | — | (259,771 | ) | — | (259,771 | ) | ||||||||||
| Equity Swaps | (243,818 | ) | — | — | (243,818 | ) | ||||||||||
| TOTAL | $ | (278,822 | ) | $ | 138,742 | $ | — | $ | (140,080 | ) | ||||||
| * | 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, 2023 (unaudited) |
| Shares | Value | |||||||
| COMMON STOCKS - 98.14% | ||||||||
| Aerospace & Defense - 3.78% | ||||||||
| Aerojet Rocketdyne Holdings, Inc.(a) | 2,000 | $ | 112,680 | |||||
| Airlines - 0.32% | ||||||||
| SkyWest, Inc.(a) | 500 | 9,535 | ||||||
| Banks - 5.88% | ||||||||
| First Horizon Corp. | 3,000 | 74,310 | ||||||
| Home Capital Group, Inc. | 2,300 | 70,677 | ||||||
| Limestone Bancorp, Inc. | 1,100 | 30,305 | ||||||
| 175,292 | ||||||||
| Biotechnology - 7.54% | ||||||||
| Albireo Pharma, Inc.(a) | 415 | 18,488 | ||||||
| Aura Biosciences, Inc.(a)(b) | 6,970 | 69,630 | ||||||
| Horizon Therapeutics Plc(a) | 1,200 | 131,388 | ||||||
| Zai Lab Ltd., ADR(a) | 150 | 5,573 | ||||||
| 225,079 | ||||||||
| Commercial Services - 2.28% | ||||||||
| Block, Inc.(a) | 450 | 34,529 | ||||||
| LiveRamp Holdings, Inc.(a) | 300 | 7,089 | ||||||
| Moneylion, Inc.(a)(c) | 12,059 | 8,065 | ||||||
| PayPal Holdings, Inc.(a)(b) | 250 | 18,400 | ||||||
| 68,083 | ||||||||
| Distribution/Wholesale - 1.40% | ||||||||
| Uni-Select, Inc.(a) | 1,200 | 41,668 | ||||||
| Electronics - 1.27% | ||||||||
| National Instruments Corp. | 750 | 37,883 | ||||||
| Engineering & Construction - 0.04% | ||||||||
| Atlas Technical Consultants, Inc.(a) | 100 | 1,223 | ||||||
| Entertainment - 3.68% | ||||||||
| Caesars Entertainment, Inc.(a) | 1,500 | 76,140 | ||||||
| Cineplex, Inc.(a) | 5,600 | 33,735 | ||||||
| 109,875 | ||||||||
| Healthcare - Products - 5.40% | ||||||||
| Apollo Endosurgery, Inc.(a) | 10,000 | 99,300 | ||||||
| Cardiovascular Systems, Inc.(a) | 1,500 | 29,565 | ||||||
| Globus Medical, Inc., Class A(a) | 100 | 5,834 | ||||||
| Pacific Biosciences of California, Inc.(a) | 2,900 | 26,332 | ||||||
| 161,031 | ||||||||
| Healthcare - Services - 5.64% | ||||||||
| Cano Health, Inc.(a) | 16,500 | 27,225 | ||||||
| Catalent, Inc.(a) | 550 | 37,521 | ||||||
| Oak Street Health, Inc.(a) | 1,000 | 35,400 | ||||||
| Signify Health, Inc., Class A(a) | 2,361 | 67,973 | ||||||
| 168,119 | ||||||||
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| February 28, 2023 (unaudited) |
| Shares | Value | |||||||
| COMMON STOCKS - 98.14% (Continued) | ||||||||
| Insurance - 1.46% | ||||||||
| Argo Group International Holdings Ltd. | 1,500 | $ | 43,575 | |||||
| Internet - 0.42% | ||||||||
| Pinterest, Inc., Class A(a)(b) | 500 | 12,555 | ||||||
| Machinery - Construction & Mining - 0.68% | ||||||||
| Bloom Energy Corp., Class A(a)(b) | 935 | 20,280 | ||||||
| Machinery - Diversified - 3.32% | ||||||||
| Altra Industrial Motion Corp. | 1,000 | 61,530 | ||||||
| Crane Holdings Co. | 314 | 37,611 | ||||||
| 99,141 | ||||||||
| Media - 8.56% | ||||||||
| Walt Disney Co. (The)(a) | 350 | 34,864 | ||||||
| Shaw Communications, Inc., Class B | 2,700 | 78,220 | ||||||
| Houghton Mifflin Harcourt Co.(a)(d) | 2,305 | 9,900 | ||||||
| TEGNA, Inc.(b) | 4,000 | 69,600 | ||||||
| Warner Bros Discovery, Inc.(a) | 1,000 | 15,620 | ||||||
| Paramount Global, Class B(b) | 500 | 10,710 | ||||||
| DISH Network Corp., Class A(a) | 3,200 | 36,512 | ||||||
| 255,426 | ||||||||
| Oil & Gas - 8.12% | ||||||||
| Baytex Energy Corp.(a) | 10,000 | 38,700 | ||||||
| EQT Corp.(b) | 2,300 | 76,314 | ||||||
| Occidental Petroleum Corp. | 400 | 23,424 | ||||||
| Ranger Oil Corp., Class A | 2,500 | 103,750 | ||||||
| 242,188 | ||||||||
| Pharmaceuticals - 7.72% | ||||||||
| Amryt Pharma Plc, ADR(a) | 1,449 | 21,170 | ||||||
| Bayer AG, ADR | 2,600 | 38,662 | ||||||
| Concert Pharmaceuticals, Inc.(a) | 2,000 | 16,760 | ||||||
| Johnson & Johnson | 350 | 53,641 | ||||||
| Myovant Sciences Ltd.(a) | 3,000 | 80,880 | ||||||
| Paratek Pharmaceuticals, Inc.(a)(b) | 11,038 | 19,316 | ||||||
| 230,429 | ||||||||
| Pipelines - 2.80% | ||||||||
| DCP Midstream LP(a) | 2,000 | 83,560 | ||||||
| Real Estate Investment Trusts - 0.91% | ||||||||
| Healthcare Realty Trust, Inc. | 1,400 | 27,300 | ||||||
| Semiconductors - 2.42% | ||||||||
| Advanced Micro Devices, Inc.(a)(b) | 500 | 39,290 | ||||||
| Magnachip Semiconductor Corp.(a)(b) | 1,000 | 9,580 | ||||||
| NVIDIA Corp. | 100 | 23,216 | ||||||
| 72,086 | ||||||||
| Software - 19.94% | ||||||||
| Activision Blizzard, Inc.(b) | 1,500 | 114,375 | ||||||
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| February 28, 2023 (unaudited) |
| Shares | Value | |||||||
| COMMON STOCKS - 98.14% (Continued) | ||||||||
| Software - 19.94% (Continued) | ||||||||
| Coupa Software, Inc.(a) | 1,226 | $ | 99,306 | |||||
| Duck Creek Technologies, Inc.(a) | 3,895 | 73,771 | ||||||
| Five9, Inc.(a)(b) | 300 | 19,800 | ||||||
| ForgeRock, Inc., Class A(a) | 2,000 | 40,880 | ||||||
| Magnet Forensics, Inc.(a) | 1,000 | 32,430 | ||||||
| Qualtrics International, Inc., Class A(a) | 4,000 | 67,680 | ||||||
| RingCentral, Inc., Class A(a)(b) | 1,200 | 39,648 | ||||||
| Snowflake, Inc., Class A(a) | 50 | 7,719 | ||||||
| Sumo Logic, Inc.(a) | 3,500 | 41,545 | ||||||
| VMware, Inc., Class A(a)(b) | 524 | 57,708 | ||||||
| 594,862 | ||||||||
| Telecommunications - 1.73% | ||||||||
| Maxar Technologies, Inc. | 1,000 | 51,500 | ||||||
| Transportation - 2.83% | ||||||||
| Atlas Corp. | 5,500 | 84,480 | ||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $3,142,126) | 2,927,850 | |||||||
| Maturity Date | Rate | Principal Amount | Value | |||||||||||
| CONVERTIBLE CORPORATE BONDS - 2.21% | ||||||||||||||
| Auto Manufacturers - 0.01% | ||||||||||||||
| Lightning eMotors, Inc.(e) | 05/15/2024 | 7.500 | % | $ | 365 | $ | 210 | |||||||
| Healthcare - Services - 0.30% | ||||||||||||||
| UpHealth, Inc.(e) | 06/15/2026 | 6.250 | % | 31,000 | 8,970 | |||||||||
| Software - 1.90% | ||||||||||||||
| Kaleyra, Inc.(e) | 06/01/2026 | 6.125 | % | 73,000 | 56,750 | |||||||||
| TOTAL CONVERTIBLE CORPORATE BONDS | ||||||||||||||
| (Cost $104,365) | 65,930 | |||||||||||||
| Shares | Value | |||||||
| WARRANTS(a) - 0.00%(f) | ||||||||
| Commercial Services - 0.00%(f) | ||||||||
| Moneylion, Inc., Exercise Price $11.50, Expires 09/22/2026 | 440 | $ | 30 | |||||
| TOTAL WARRANTS | ||||||||
| (Cost $0) | 30 | |||||||
| PRIVATE INVESTMENTS(a)(c)(d)(g) - 0.03% | ||||||||
| Fast Capital LLC | 400 | 800 | ||||||
| TOTAL PRIVATE INVESTMENTS | ||||||||
| (Cost $414) | 800 | |||||||
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| February 28, 2023 (unaudited) |
| Shares | Value | |||||||
| RIGHTS(a) - 0.07% | ||||||||
| Contra Abiomed, Inc. CVR, Expires 12/31/2030(c) | 200 | $ | 300 | |||||
| Contra Cincor Pharma, Inc. CVR, Expires 12/31/2027(c)(d) | 639 | 1,959 | ||||||
| TOTAL RIGHTS | ||||||||
| (Cost $2,159) | 2,259 | |||||||
| Yield | Shares | Value | ||||||||||
| SHORT-TERM INVESTMENTS - 4.50% | ||||||||||||
| Money Market Funds | ||||||||||||
| Morgan Stanley Institutional Liquidity Fund - Government Portfolio | 4.434 | %(h) | 67,127 | $ | 67,127 | |||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class | 4.545 | %(h) | 67,127 | 67,127 | ||||||||
| 134,254 | ||||||||||||
| TOTAL SHORT-TERM INVESTMENTS | ||||||||||||
| (Cost $134,254) | 134,254 | |||||||||||
| Total Investments - 104.95% | ||||||||||||
| (Cost $3,383,318) | 3,131,123 | |||||||||||
| Liabilities in Excess of Other Assets - (4.95)%(i) | (147,745 | ) | ||||||||||
| NET ASSETS - 100.00% | $ | 2,983,378 | ||||||||||
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 February 28, 2023, the aggregate fair market value of those securities was $332,971, representing 11.16% 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 $11,124 or 0.37% of net assets. |
| Restricted Security | Acquisition Date | Acquisition Cost | |||||
| Contra Abiomed, Inc. CVR, Expires 12/31/2030 | 12/21/2022 | $ | 204 | ||||
| Contra Cincor Pharma, Inc. CVR, Expires 12/31/2027 | 02/23/2023 | 1,955 | |||||
| Fast Capital LLC | 08/18/2020 | 414 | |||||
| Moneylion, Inc. | 06/19/2020 | 94,269 | |||||
| Total | $ | 96,842 |
| (d) | Security fair valued using significant unobservable inputs and classified as a Level 3 security. As of February 28, 2023, the total fair market value of these securities was $12,659, representing 0.42% of net assets. |
| (e) | 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, 2023, these securities had a total value of $65,930 or 2.21% of net assets. |
| (f) | Less than 0.005% of net assets. |
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| February 28, 2023 (unaudited) |
| (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 February 28, 2023. |
| (i) | Includes cash held as collateral for short sales and written option contracts. |
| SCHEDULE OF SECURITIES SOLD SHORT | Shares | Value | ||||||
| SECURITIES SOLD SHORT - (4.48%) | ||||||||
| COMMON STOCKS SOLD SHORT - (0.50%) | ||||||||
| Semiconductors - (0.50%) | ||||||||
| Broadcom, Inc. | (25 | ) | $ | (14,857 | ) | |||
| (14,857 | ) | |||||||
| TOTAL COMMON STOCKS SOLD SHORT | ||||||||
| (Proceeds $14,793) | (14,857 | ) | ||||||
| EXCHANGE-TRADED FUNDS SOLD SHORT - (3.98%) | ||||||||
| Equity Funds Sold Short - (3.98%) | ||||||||
| SPDR S&P 500 ETF Trust | (300 | ) | (118,878 | ) | ||||
| TOTAL EXCHANGE-TRADED FUNDS SOLD SHORT | ||||||||
| (Proceeds $116,062) | (118,878 | ) | ||||||
| TOTAL SECURITIES SOLD SHORT | ||||||||
| (Proceeds $130,855) | $ | (133,735 | ) | |||||
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 Depreciation |
|||||||||||||||||
| Morgan Stanley & Co./ Monthly | Broadcom, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-4.180%) | 10/06/2023 | $ | — | $ | — | $ | (2,600 | ) | USD | 20,577 | $ | (2,600 | ) | ||||||||||
| Morgan Stanley & Co./ Monthly | Peoples Bancorp, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-4.170%) | 10/06/2023 | — | — | (2,030 | ) | USD | 28,769 | (2,030 | ) | ||||||||||||||
| $ | (4,630 | ) | $ | (4,630 | ) | ||||||||||||||||||||
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| February 28, 2023 (unaudited) |
OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||
| USD | 85,858 | CAD | 115,000 | Morgan Stanley & Co. | 03/15/2023 | $ | 1,569 | |||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Depreciation | ||||||||
| CAD | 171,540 | USD | 127,428 | Morgan Stanley & Co. | 03/15/2023 | $ | (1,700 | ) | ||||
| USD | 258,503 | CAD | 353,330 | Morgan Stanley & Co. | 03/15/2023 | (467 | ) | |||||
| $ | (2,167 | ) | ||||||||||
The following is a summary of investments classified by country exposure:
| Country | % of Net Assets(a) | |||
| United States | 86.99 | % | ||
| Canada | 12.74 | % | ||
| United Kingdom | 3.42 | % | ||
| Germany | 1.29 | % | ||
| Republic of Korea | 0.32 | % | ||
| China | 0.19 | % | ||
| Liabilities in Excess of Other Assets | (4.95 | )% | ||
| 100.00 | % | |||
| (a) | These percentages represent long positions only and are not net of short positions. |
|
Abbreviations: |
| ADR - American Depositary Receipt |
| 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 |
| CVR - Contingent Value Rights |
| ETF - Exchange-Traded Fund |
| LLC - Limited Liability Company |
| LP - Limited Partnership |
| Ltd. - Limited |
| Plc - Public Limited Company |
| S&P - Standard & Poor's |
| SPDR - Standard & Poor's Depositary Receipt |
| USD - United States Dollar |
| AltShares Event-Driven ETF | Portfolio of Investments (Continued) |
| February 28, 2023 (unaudited) |
The following table summarizes the Event-Driven ETF's investments and derivative financial instruments characterized in the fair value hierarchy as of February 28,2023.
| Investments in Securities at Fair Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Assets | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Aerospace & Defense | $ | 112,680 | $ | — | $ | — | $ | 112,680 | ||||||||
| Airlines | 9,535 | — | — | 9,535 | ||||||||||||
| Banks | 175,292 | — | — | 175,292 | ||||||||||||
| Biotechnology | 225,079 | — | — | 225,079 | ||||||||||||
| Commercial Services | 68,083 | — | — | 68,083 | ||||||||||||
| Distribution/Wholesale | 41,668 | — | — | 41,668 | ||||||||||||
| Electronics | 37,883 | — | — | 37,883 | ||||||||||||
| Engineering & Construction | 1,223 | — | — | 1,223 | ||||||||||||
| Entertainment | 109,875 | — | — | 109,875 | ||||||||||||
| Healthcare - Products | 161,031 | — | — | 161,031 | ||||||||||||
| Healthcare - Services | 168,119 | — | — | 168,119 | ||||||||||||
| Insurance | 43,575 | — | — | 43,575 | ||||||||||||
| Internet | 12,555 | — | — | 12,555 | ||||||||||||
| Machinery - Construction & Mining | 20,280 | — | — | 20,280 | ||||||||||||
| Machinery - Diversified | 99,141 | — | — | 99,141 | ||||||||||||
| Media | 245,526 | — | 9,900 | 255,426 | ||||||||||||
| Oil & Gas | 242,188 | — | — | 242,188 | ||||||||||||
| Pharmaceuticals | 230,429 | — | — | 230,429 | ||||||||||||
| Pipelines | 83,560 | — | — | 83,560 | ||||||||||||
| Real Estate Investment Trusts | 27,300 | — | — | 27,300 | ||||||||||||
| Semiconductors | 72,086 | — | — | 72,086 | ||||||||||||
| Software | 495,556 | 99,306 | — | 594,862 | ||||||||||||
| Telecommunications | 51,500 | — | — | 51,500 | ||||||||||||
| Transportation | 84,480 | — | — | 84,480 | ||||||||||||
| Convertible Corporate Bonds* | — | 65,930 | — | 65,930 | ||||||||||||
| Warrants* | 30 | — | — | 30 | ||||||||||||
| Private Investments | — | — | 800 | 800 | ||||||||||||
| Rights | — | 300 | 1,959 | 2,259 | ||||||||||||
| Short-Term Investments | 134,254 | — | — | 134,254 | ||||||||||||
| TOTAL | $ | 2,952,928 | $ | 165,536 | $ | 12,659 | $ | 3,131,123 | ||||||||
| Other Financial Instruments** | ||||||||||||||||
| Assets | ||||||||||||||||
| Forward Foreign Currency Exchange Contracts | $ | — | $ | 1,569 | $ | — | $ | 1,569 | ||||||||
| Liabilities | ||||||||||||||||
| Common Stocks* | (14,857 | ) | — | — | (14,857 | ) | ||||||||||
| Exchange-Traded Funds* | (118,878 | ) | — | — | (118,878 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts | — | (2,167 | ) | — | (2,167 | ) | ||||||||||
| Equity Swaps | (4,630 | ) | — | — | (4,630 | ) | ||||||||||
| TOTAL | $ | (138,365 | ) | $ | (598 | ) | $ | — | $ | (138,963 | ) | |||||
| * | 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, 2023:
| 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 February 28, 2023 | Net
change in Unrealized Appreciation (Depreciation) from investments still held as of February 28, 2023 | ||||||||||||||||||||||||
| Common Stock | $ | 46,788 | $ | 11 | $ | 11 | $ | - | $ | 36,888 | $ | - | $ | 9,900 | $ | 11 | ||||||||||||||||
| Rights | - | - | 4 | 1,955 | - | - | 1,959 | 4 | ||||||||||||||||||||||||
| Private Investments | 400 | - | 400 | - | - | - | 800 | 400 | ||||||||||||||||||||||||
| Total | $ | 47,188 | $ | 11 | $ | 415 | $ | 1,955 | $ | 36,888 | $ | - | $ | 12,659 | $ | 415 | ||||||||||||||||