NPORT-EX 2 NPORT_WIX7_87985941_0223.htm

 

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