TFA TACTICAL INCOME FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
| Shares | Value | |||||||
| EXCHANGE-TRADED FUNDS - 54.02% | ||||||||
| Asset Allocation Fund - 1.36% | ||||||||
| SPDR Bloomberg Convertible Securities ETF | 4,570 | $ | 351,661 | |||||
| Debt Funds - 52.66% | ||||||||
| First Trust Exchange Traded Fund IV - SSI Strategic Convertible Securities ETF | 16,328 | 632,710 | ||||||
| FolioBeyond Rising Rates ETF | 9,690 | 289,731 | ||||||
| Invesco Senior Loan ETF | 3,500 | 76,195 | ||||||
| iShares 0-5 Year TIPS Bond ETF | 3,120 | 327,413 | ||||||
| iShares 1-3 Year Treasury Bond ETF | 15,850 | 1,321,098 | ||||||
| iShares Agency Bond ETF | 6,060 | 680,538 | ||||||
| iShares Core U.S. Aggregate Bond ETF | 11,930 | 1,277,703 | ||||||
| iShares Interest Rate Hedged Corporate Bond ETF | 6,748 | 631,140 | ||||||
| iShares Short Treasury Bond ETF | 5,600 | 617,400 | ||||||
| iShares TIPS Bond ETF | 22,650 | 2,821,511 | ||||||
| iShares Trust iShares 1-5 Year Investment Grade Corporate Bond ETF (d) | 10,000 | 517,200 | ||||||
| PGIM Ultra Short Bond ETF (d) | 31,000 | 1,525,510 | ||||||
| ProShares Short 20+ Year Treasury (a) | 36,923 | 653,168 | ||||||
| ProShares Short 7-10 Treasury (a) | 41,210 | 1,065,279 | ||||||
| ProShares UltraShort 20+ Year Treasury (a) | 51,730 | 1,059,430 | ||||||
| SPDR Bloomberg Short Term High Yield Bond ETF | 5,850 | 153,504 | ||||||
| WisdomTree Floating Rate Treasury Fund | 1 | 25 | ||||||
| 13,649,555 | ||||||||
| TOTAL EXCHANGE-TRADED FUNDS (Cost $14,208,400) | 14,001,216 | |||||||
OPTIONS PURCHASED - 0.52%
| Notional | Exercise | |||||||||||||||||||
| CALL OPTIONS PURCHASED - 0.52% | Contracts 1 | Amount | Price | Expiration | Value | |||||||||||||||
| SPDR S&P 500 ETF Trust | 15 | $ | 682,500 | $ | 455.00 | 5/20/2022 | 16,425 | |||||||||||||
| SPDR S&P 500 ETF Trust | 10 | 434,000 | 434.00 | 6/17/2022 | 29,445 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 20 | 886,000 | 443.00 | 7/15/2022 | 56,000 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 10 | 442,000 | 442.00 | 9/16/2022 | 32,285 | |||||||||||||||
| TOTAL CALL OPTIONS PURCHASED (Cost $130,807) | 134,155 | |||||||||||||||||||
| TOTAL OPTIONS PURCHASED (Cost $130,807) | 134,155 | |||||||||||||||||||
| SHORT-TERM INVESTMENTS - 26.16% | ||||||||||||||||||||
| Fidelity Government Portfolio - Institutional Class, 0.12% (b) | 495 | 495 | ||||||||||||||||||
| First American Treasury Obligations Fund - Institutional Class, 0.22% (b) | 6,781,457 | 6,781,457 | ||||||||||||||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $6,781,952) | 6,781,952 | |||||||||||||||||||
TFA TACTICAL INCOME FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
| Value | ||||
| TOTAL INVESTMENTS, AT VALUE (Cost $21,121,159) - 80.70% | $ | 20,917,323 | ||
| OPTIONS WRITTEN, AT VALUE (Premiums $123,690) - (0.29)% (c) | (74,200 | ) | ||
| OTHER ASSETS IN EXCESS OF LIABILITIES, NET - 19.59% | 5,077,313 | |||
| NET ASSETS - 100% | $ | 25,920,436 | ||
(a) Non-income producing security.
(b) Rate shown represents the 7-day effective yield at March 31, 2022, is subject to change and resets daily.
(c) Please refer to the Schedule of Options Written for details of options written.
(d) All or a portion of the security is held as collateral for written options.
1 Each option contract is equivalent to 100 shares of the underlying ETF. All options are non-income producing.
The following abbreviations are used in this portfolio:
ETF - Exchange-Traded Fund
The accompanying notes are an integral part of these financial statements.
TFA TACTICAL INCOME FUND
SCHEDULE OF OPTIONS WRITTEN
March 31, 2022 (Unaudited)
OPTIONS WRITTEN - (0.29)%
| Notional | Exercise | |||||||||||||||||||
| CALL OPTIONS WRITTEN - (0.03)% | Contracts 1 | Amount | Price | Expiration | Value | |||||||||||||||
| SPDR S&P 500 ETF Trust | 10 | $ | 484,000 | $ | 484.00 | 6/17/2022 | $ | 2,540 | ||||||||||||
| SPDR S&P 500 ETF Trust | 10 | 500,000 | 500.00 | 9/16/2002 | 4,110 | |||||||||||||||
| TOTAL CALL OPTIONS WRITTEN (Premiums $10,909) | 6,650 | |||||||||||||||||||
| PUT OPTIONS WRITTEN - (0.26)% | Notional | Exercise | ||||||||||||||||||
| Contracts 1 | Amount | Price | Expiration | Value | ||||||||||||||||
| SPDR S&P 500 ETF Trust | 20 | 886,000 | 443.00 | 7/15/2022 | 31,880 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 15 | 682,500 | 455.00 | 5/20/2022 | 19,050 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 10 | 403,000 | 403.00 | 6/17/2022 | 4,950 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 10 | 400,000 | 400.00 | 9/16/2022 | 11,670 | |||||||||||||||
| TOTAL PUT OPTIONS WRITTEN (Premiums $112,781) | 67,550 | |||||||||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums $123,690) | $ | 74,200 | ||||||||||||||||||
1 Each option contract is equivalent to 100 shares of the underlying ETF. All options are non-income producing.
The following abbreviations are used in this portfolio:
ETF - Exchange-Traded Fund
The accompanying notes are an integral part of these financial statements.
TACTICAL MODERATE ALLOCATION FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
| Shares | Value | |||||||
| COMMON STOCK - 2.08% | ||||||||
| Auto Manufacturers - 0.06% | ||||||||
| General Motors Co. (a) | 449 | $ | 19,639 | |||||
| Banks - 0.09% | ||||||||
| Bank OZK | 675 | 28,823 | ||||||
| Commercial Services - 0.07% | ||||||||
| Global Payments, Inc. | 168 | 22,989 | ||||||
| Computers - 0.22% | ||||||||
| Apple, Inc. | 416 | 72,638 | ||||||
| Diversified Financial Services 0.10% | ||||||||
| Intercontinental Exchange, Inc. | 247 | 32,634 | ||||||
| Healthcare-Products - 0.08% | ||||||||
| ResMed, Inc. | 103 | 24,979 | ||||||
| Insurance - 0.15% | ||||||||
| Berkshire Hathaway, Inc. - Class B (a) | 139 | 49,055 | ||||||
| Internet - 0.38% | ||||||||
| Alphabet, Inc. - Class A (a) | 17 | 47,283 | ||||||
| Amazon.com, Inc. (a) | 14 | 45,639 | ||||||
| Meta Platforms, Inc. - Class A (a) | 143 | 31,797 | ||||||
| 124,719 | ||||||||
| Oil & Gas - 0.07% | ||||||||
| Ovintiv, Inc. | 436 | 23,575 | ||||||
| Pharmaceuticals - 0.08% | ||||||||
| Johnson & Johnson | 141 | 24,989 | ||||||
| REITS - 0.08% | ||||||||
| Simon Property Group, Inc. | 205 | 26,970 | ||||||
| Retail - 0.24% | ||||||||
| Costco Wholesale Corp | 40 | 23,034 | ||||||
| Starbucks Corp. | 254 | 23,106 | ||||||
| Walmart Inc | 208 | 30,975 | ||||||
| 77,115 | ||||||||
| Semiconductors - 0.15% | ||||||||
| Microchip Technology, Inc. | 299 | 22,467 | ||||||
| NVIDIA Corp. | 97 | 26,467 | ||||||
| 48,934 | ||||||||
| Software - 0.31% | ||||||||
| Adobe, Inc. (a) | 81 | 36,905 | ||||||
| Microsoft Corp. | 205 | 63,203 | ||||||
| 100,108 | ||||||||
| TOTAL COMMON STOCK (Cost $550,182) | 677,167 | |||||||
TACTICAL MODERATE ALLOCATION FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
| EXCHANGE-TRADED FUNDS - 93.13% | Shares | Value | ||||||
| Alternative Fund - 0.05% | ||||||||
| First Trust Exchange-Traded Fund III-First Trust Long/Short Equity ETF | 350 | $ | 17,741 | |||||
| Asset Allocation Fund - 38.52% | ||||||||
| HCM Defender 100 Index ETF (a) | 145,756 | 6,937,986 | ||||||
| HCM Defender 500 Index ETF | 135,157 | 5,618,314 | ||||||
| 12,556,300 | ||||||||
| Commodities Fund - 0.17% | ||||||||
| Invesco DB Commodity Index Tracking Fund (a) | 780 | 20,327 | ||||||
| iShares S&P GSCI Commodity Indexed Trust (a) | 1,479 | 33,499 | ||||||
| 53,826 | ||||||||
| Debt Funds - 38.47% | ||||||||
| First Trust Enhanced Short Maturity ETF | 1,324 | 78,818 | ||||||
| First Trust Exchange Traded Fund IV - SSI Strategic Convertible Securities ETF | 4,111 | 159,301 | ||||||
| iShares Convertible Bond ETF | 39,801 | 3,316,219 | ||||||
| iShares Core U.S. Aggregate Bond ETF | 310 | 33,201 | ||||||
| iShares Interest Rate Hedged Corporate Bond ETF | 1,701 | 159,095 | ||||||
| iShares TIPS Bond ETF | 1,340 | 166,924 | ||||||
| PGIM Ultra Short Bond ETF (d) | 20,000 | 984,200 | ||||||
| ProShares Short 20+ Year Treasury (a) | 9,303 | 164,570 | ||||||
| SPDR Bloomberg 1-3 Month T-Bill ETF (a) | 75,505 | 6,903,422 | ||||||
| Vanguard Long-Term Bond ETF | 110 | 10,086 | ||||||
| Vanguard Short-Term Bond ETF | 240 | 18,696 | ||||||
| Vanguard Short-Term Corporate Bond ETF | 5,500 | 429,495 | ||||||
| Vanguard Total Bond Market ETF | 990 | 78,745 | ||||||
| Vanguard Total International Bond ETF | 670 | 35,135 | ||||||
| 12,537,907 | ||||||||
| Equity Funds - 15.92% | ||||||||
| First Trust Exchange-Traded Fund VI-First Trust Dorsey Wright DALI 1 ETF | 1,206 | 32,502 | ||||||
| FlexShares Global Upstream Natural Resources Index Fund | 665 | 31,142 | ||||||
| Inspire Faithward Large Cap Momentum ESG ETF | 1,218 | 33,240 | ||||||
| Invesco DWA Utilities Momentum ETF | 653 | 23,998 | ||||||
| Invesco S&P 500 Equal Weight Energy ETF | 178 | 11,988 | ||||||
| Invesco S&P 500 Equal Weight Real Estate ETF | 791 | 32,051 | ||||||
| iShares MSCI Global Gold Miners ETF | 1,143 | 35,490 | ||||||
| iShares MSCI USA Min Vol Factor ETF | 416 | 32,269 | ||||||
| iShares S&P 500 Value ETF | 340 | 52,945 | ||||||
| iShares U.S. Energy ETF | 343 | 14,036 | ||||||
| John Hancock Multifactor Energy ETF | 389 | 12,144 | ||||||
| ProShares Ultra Dow30 | 460 | 33,925 | ||||||
| ProShares Ultra QQQ (a) | 960 | 69,043 | ||||||
| ProShares Ultra S&P500 | 510 | 33,461 | ||||||
| Vanguard FTSE All-World ex-US ETF | 860 | 49,527 | ||||||
| Vanguard FTSE Developed Markets ETF | 710 | 34,101 | ||||||
| Vanguard FTSE Emerging Markets ETF | 520 | 23,988 | ||||||
| Vanguard Growth ETF | 80 | 23,008 | ||||||
| Vanguard Large-Cap ETF | 120 | 25,019 | ||||||
| Vanguard Mega Cap Growth ETF | 18,134 | 4,268,744 | ||||||
| Vanguard Mid-Cap ETF | 160 | 38,054 | ||||||
| Vanguard Real Estate ETF | 90 | 9,753 | ||||||
| Vanguard Russell 2000 ETF | 140 | 11,599 | ||||||
| Vanguard Total Stock Market ETF | 1,010 | 229,947 | ||||||
| Vanguard Value ETF | 190 | 28,078 | ||||||
| 5,190,052 | ||||||||
| TOTAL EXCHANGE-TRADED FUNDS (Cost $31,859,116) | 30,355,826 | |||||||
TACTICAL MODERATE ALLOCATION FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
OPTIONS PURCHASED - 0.47%
| CALL OPTIONS PURCHASED - 0.42% | Contracts 1 | Notional Amount | Exercise Price | Expiration | Value | |||||||||||||||
| SPDR S&P 500 ETF Trust | 15 | $ | 652,500 | $ | 435.00 | 6/17/2022 | $ | 43,560 | ||||||||||||
| SPDR S&P 500 ETF Trust | 10 | 440,000 | 440.00 | 6/17/2022 | 25,150 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 10 | 467,000 | 467.00 | 9/16/2022 | 16,400 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 10 | 425,000 | 425.00 | 12/16/2022 | 52,540 | |||||||||||||||
| TOTAL CALL OPTIONS PURCHASED (Cost $131,167) | 137,650 | |||||||||||||||||||
| PUT OPTIONS PURCHASED - 0.05% | ||||||||||||||||||||
| SPDR S&P 500 ETF Trust | 10 | 415,000 | 415.00 | 9/16/2022 | 14,500 | |||||||||||||||
| TOTAL PUT OPTIONS PURCHASED (Cost $17,020) | 14,500 | |||||||||||||||||||
| TOTAL OPTIONS PURCHASED (Cost $148,187) | 152,150 | |||||||||||||||||||
| SHORT-TERM INVESTMENTS - 4.70% | ||||||||||||||||||||
| Fidelity Government Portfolio - Institutional Class, 0.12% (b) | 25 | 25 | ||||||||||||||||||
| First American Treasury Obligations Fund - Institutional Class, 0.22% (b) | 1,532,083 | 1,532,083 | ||||||||||||||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $1,532,108) | 1,532,108 | |||||||||||||||||||
| TOTAL INVESTMENTS, AT VALUE (Cost $34,089,593) - 100.38% | $ | 32,717,251 | ||||||||||||||||||
| OPTIONS WRITTEN, AT VALUE (Premiums $129,527) - (0.24)% (c) | (79,010 | ) | ||||||||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS, NET - (0.14)% | (43,574 | ) | ||||||||||||||||||
| NET ASSETS - 100% | $ | 32,594,667 | ||||||||||||||||||
| (a) | Non-income producing security. |
| (b) | Rate shown represents the 7-day effective yield at March 31, 2022, is subject to change and resets daily. |
| (c) | Please refer to the Schedule of Options Written for details of options written. |
| (d) | All or a portion of the security is held as collateral for written options. |
| 1 | Each option contract is equivalent to 100 shares of the underlying ETF. All options are non-income producing. |
The following abbreviations are used in this portfolio:
ETF - Exchange-Traded Fund
The accompanying notes are an integral part of these financial statements.
TACTICAL MODERATE ALLOCATION FUND
SCHEDULE OF OPTIONS WRITTEN
March 31, 2022 (Unaudited)
OPTIONS WRITTEN - (0.24)%
| CALL OPTIONS WRITTEN - (0.06)% | Contracts 1 | Notional Amount | Exercise Price | Expiration | Value | |||||||||||||||
| SPDR S&P 500 ETF Trust | 15 | $ | 727,500 | $ | 485.00 | 6/17/2022 | $ | 3,750 | ||||||||||||
| SPDR S&P 500 ETF Trust | 10 | 502,000 | 502.00 | 9/16/2022 | 3,840 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 10 | 490,000 | 490.00 | 12/16/2022 | 13,560 | |||||||||||||||
| TOTAL CALL OPTIONS WRITTEN (Premiums $27,588) | 21,150 | |||||||||||||||||||
PUT OPTIONS WRITTEN - (0.18)% (continued)
| Contracts 1 | Notional Amount | Exercise Price | Expiration | Value | ||||||||||||||||
| SPDR S&P 500 ETF Trust | 15 | 585,000 | 390.00 | 6/17/2022 | 6,000 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 10 | 432,000 | 432.00 | 6/17/2022 | 10,240 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 10 | 467,000 | 467.00 | 9/16/2022 | 30,310 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 10 | 375,000 | 375.00 | 12/16/2022 | 11,310 | |||||||||||||||
| TOTAL PUT OPTIONS WRITTEN (Premiums $101,939) | 57,860 | |||||||||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums $129,527) | $ | 79,010 | ||||||||||||||||||
| 1 | Each option contract is equivalent to 100 shares of the underlying ETF. All options are non-income producing. |
The following abbreviations are used in this portfolio:
ETF - Exchange-Traded Fund
The accompanying notes are an integral part of these financial statements.
TACTICAL GROWTH ALLOCATION FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
| COMMON STOCK - 9.86% | Shares | Value | ||||||
| Auto Manufacturers - 0.26% | ||||||||
| General Motors Co. (a) | 3,239 | $ | 141,673 | |||||
| Banks - 0.37% | ||||||||
| Bank OZK | 4,865 | 207,736 | ||||||
| Commercial Services - 0.30% | ||||||||
| Global Payments, Inc. | 1,212 | 165,850 | ||||||
| Computers - 1.14% | ||||||||
| Accenture PLC - Class A - Ireland | 160 | 53,957 | ||||||
| Apple, Inc. | 3,318 | 579,356 | ||||||
| 633,313 | ||||||||
| Diversified Financial Services - 0.52% | ||||||||
| Intercontinental Exchange, Inc. | 1,784 | 235,702 | ||||||
| Nasdaq, Inc. | 310 | 55,242 | ||||||
| 290,944 | ||||||||
| Healthcare-Products - 0.42% | ||||||||
| ResMed, Inc. | 744 | 180,427 | ||||||
| Thermo Fisher Scientific, Inc. | 90 | 53,159 | ||||||
| 233,586 | ||||||||
| Healthcare-Services - 0.10% | ||||||||
| UnitedHealth Group, Inc. | 110 | 56,097 | ||||||
| Insurance - 0.64% | ||||||||
| Berkshire Hathaway, Inc. - Class B (a) | 1,003 | 353,969 | ||||||
| Internet - 1.70% | ||||||||
| Airbnb, Inc. - Class A (a) | 310 | 53,246 | ||||||
| Alphabet, Inc. - Class A (a) | 120 | 333,762 | ||||||
| Amazon.com, Inc. (a) | 101 | 329,255 | ||||||
| Meta Platforms, Inc. - Class A (a) | 1,029 | 228,808 | ||||||
| 945,071 | ||||||||
| Oil & Gas - 0.31% | ||||||||
| Ovintiv, Inc. | 3,142 | 169,888 | ||||||
| Pharmaceuticals - 0.44% | ||||||||
| Eli Lilly & Co. | 230 | 65,865 | ||||||
| Johnson & Johnson | 1,015 | 179,889 | ||||||
| 245,754 | ||||||||
| REITS - 0.35% | ||||||||
| Simon Property Group, Inc. | 1,477 | 194,314 | ||||||
| Retail - 0.99% | ||||||||
| Costco Wholesale Corp | 285 | 164,117 | ||||||
| Starbucks Corp. | 1,821 | 165,656 | ||||||
| Walmart Inc | 1,499 | 223,231 | ||||||
| 553,004 | ||||||||
| Semiconductors - 0.74% | ||||||||
| Microchip Technology, Inc. | 2,153 | 161,776 | ||||||
| NVIDIA Corp. | 922 | 251,577 | ||||||
| 413,353 | ||||||||
TACTICAL GROWTH ALLOCATION FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
| COMMON STOCK - 9.86% (continued) | Shares | Value | ||||||
| Software - 1.48% | ||||||||
| Adobe, Inc. (a) | 688 | 313,467 | ||||||
| Microsoft Corp. | 1,655 | 510,253 | ||||||
| 823,720 | ||||||||
| Transportation - 0.10% | ||||||||
| JB Hunt Transport Services, Inc. | 280 | 56,221 | ||||||
| TOTAL COMMON STOCK (Cost $4,621,686) | 5,484,493 | |||||||
| EXCHANGE-TRADED FUNDS - 76.99% | ||||||||
| Alternative Fund - 0.39% | ||||||||
| First Trust Exchange-Traded Fund III-First Trust Long/Short Equity ETF | 4,250 | 215,432 | ||||||
| Asset Allocation Fund - 7.88% | ||||||||
| HCM Defender 100 Index ETF (a) | 49,239 | 2,343,776 | ||||||
| HCM Defender 500 Index ETF | 49,025 | 2,037,910 | ||||||
| 4,381,686 | ||||||||
| Commodities Fund - 0.64% | ||||||||
| Invesco DB Commodity Index Tracking Fund (a) | 10,360 | 269,982 | ||||||
| iShares S&P GSCI Commodity Indexed Trust (a) | 3,854 | 87,293 | ||||||
| 357,275 | ||||||||
| Debt Funds - 36.16% | ||||||||
| First Trust Enhanced Short Maturity ETF | 3,204 | 190,734 | ||||||
| First Trust Exchange Traded Fund IV - SSI Strategic Convertible Securities ETF | 9,946 | 385,408 | ||||||
| iShares Core U.S. Aggregate Bond ETF | 4,320 | 462,672 | ||||||
| iShares Interest Rate Hedged Corporate Bond ETF | 4,000 | 374,120 | ||||||
| iShares TIPS Bond ETF | 4,180 | 520,703 | ||||||
| iShares Trust iShares 1-5 Year Investment Grade Corporate Bond ETF (d) | 64,261 | 3,323,579 | ||||||
| PGIM Ultra Short Bond ETF (d) | 72,000 | 3,543,120 | ||||||
| PIMCO Enhanced Short Maturity Active Exchange-Traded Fund | 34,149 | 3,420,364 | ||||||
| ProShares Short 20+ Year Treasury (a) | 22,506 | 398,131 | ||||||
| SPDR Bloomberg 1-3 Month T-Bill ETF (a) | 44,574 | 4,075,401 | ||||||
| Vanguard Short-Term Corporate Bond ETF | 41,400 | 3,232,926 | ||||||
| Vanguard Total Bond Market ETF | 2,350 | 186,919 | ||||||
| 20,114,077 | ||||||||
TACTICAL GROWTH ALLOCATION FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
| EXCHANGE-TRADED FUNDS - 76.99% (continued) | Shares | Value | ||||||
| Equity Funds - 31.92% | ||||||||
| Communication Services Select Sector SPDR Fund | 1,430 | 98,355 | ||||||
| Consumer Discretionary Select Sector SPDR Fund | 660 | 122,100 | ||||||
| Consumer Staples Select Sector SPDR Fund | 730 | 55,400 | ||||||
| Energy Select Sector SPDR Fund | 2,200 | 168,168 | ||||||
| Financial Select Sector SPDR Fund | 5,610 | 214,975 | ||||||
| First Trust Exchange-Traded Fund VI-First Trust Dorsey Wright DALI 1 ETF | 2,238 | 60,314 | ||||||
| FlexShares Global Upstream Natural Resources Index Fund | 1,254 | 58,725 | ||||||
| Health Care Select Sector SPDR Fund | 760 | 104,112 | ||||||
| Industrial Select Sector SPDR Fund | 880 | 90,622 | ||||||
| Inspire Faithward Large Cap Momentum ESG ETF | 2,946 | 80,398 | ||||||
| Invesco DWA Utilities Momentum ETF | 1,576 | 57,918 | ||||||
| Invesco S&P 500 Equal Weight Energy ETF | 430 | 28,961 | ||||||
| Invesco S&P 500 Equal Weight ETF | 3,370 | 531,483 | ||||||
| Invesco S&P 500 Equal Weight Real Estate ETF | 1,913 | 77,515 | ||||||
| iShares MSCI Global Gold Miners ETF | 2,760 | 85,698 | ||||||
| iShares MSCI USA Min Vol Factor ETF | 1,007 | 78,113 | ||||||
| iShares S&P 500 Value ETF | 6,030 | 938,992 | ||||||
| iShares U.S. Energy ETF | 683 | 27,948 | ||||||
| John Hancock Multifactor Energy ETF | 939 | 29,315 | ||||||
| ProShares Ultra Dow30 | 8,920 | 657,850 | ||||||
| ProShares Ultra QQQ (a) | 18,380 | 1,321,890 | ||||||
| ProShares Ultra S&P500 | 58,268 | 3,822,963 | ||||||
| SPDR S&P 500 ETF Trust | 2,000 | 903,280 | ||||||
| Technology Select Sector SPDR Fund | 2,330 | 370,307 | ||||||
| VanEck Semiconductor ETF | 190 | 51,260 | ||||||
| Vanguard FTSE All-World ex-US ETF | 18,740 | 1,079,237 | ||||||
| Vanguard FTSE Developed Markets ETF | 9,520 | 457,246 | ||||||
| Vanguard FTSE Emerging Markets ETF | 9,980 | 460,377 | ||||||
| Vanguard Growth ETF | 1,800 | 517,680 | ||||||
| Vanguard Large-Cap ETF | 2,650 | 552,499 | ||||||
| Vanguard Mid-Cap ETF | 3,260 | 775,358 | ||||||
| Vanguard Russell 2000 ETF | 4,464 | 369,842 | ||||||
| Vanguard Total Stock Market ETF | 13,090 | 2,980,200 | ||||||
| Vanguard Value ETF | 3,560 | 526,097 | ||||||
| 17,755,198 | ||||||||
| TOTAL EXCHANGE-TRADED FUNDS (Cost $43,025,976) | 42,823,668 | |||||||
OPTIONS PURCHASED - 1.82%
| CALL OPTIONS PURCHASED - 1.74% | Contracts 1 | Notional Amount | Exercise Price | Expiration | Value | |||||||||||||||
| Invesco QQQ Trust Unit Series 1 | 10 | $ | 325,000 | $ | 325.00 | 12/16/2022 | 58,200 | |||||||||||||
| SPDR S&P 500 ETF Trust | 30 | 1,269,000 | 423.00 | 6/17/2022 | 114,810 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 20 | 848,000 | 424.00 | 6/17/2022 | 74,890 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 20 | 868,000 | 434.00 | 6/17/2022 | 58,890 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 35 | 1,638,000 | 468.00 | 6/17/2022 | 28,525 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 23 | 995,900 | 433.00 | 9/16/2022 | 89,091 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 20 | 868,000 | 434.00 | 9/16/2022 | 76,000 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 15 | 652,500 | 435.00 | 9/16/2022 | 55,912 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 45 | 1,975,500 | 439.00 | 9/16/2022 | 167,400 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 20 | 940,000 | 470.00 | 9/16/2022 | 29,640 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 50 | 2,200,000 | 440.00 | 12/16/2022 | 216,050 | |||||||||||||||
| TOTAL CALL OPTIONS PURCHASED (Cost $873,068) | 969,408 | |||||||||||||||||||
TACTICAL GROWTH ALLOCATION FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
OPTIONS PURCHASED - 1.82% (continued)
| PUT OPTIONS PURCHASED - 0.08% | Contracts 1 | Notional Amount | Exercise Price | Expiration | Value | |||||||||||||||
| SPDR S&P 500 ETF Trust | 15 | $ | 615,000 | $ | 410.00 | 6/17/2022 | $ | 9,165 | ||||||||||||
| SPDR S&P 500 ETF Trust | 20 | 830,000 | 415.00 | 6/17/2022 | 13,420 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 20 | 868,000 | 434.00 | 6/30/2022 | 21,820 | |||||||||||||||
| TOTAL PUT OPTIONS PURCHASED (Cost $65,866) | 44,405 | |||||||||||||||||||
| TOTAL OPTIONS PURCHASED (Cost 938,934) | 1,013,813 | |||||||||||||||||||
| SHORT-TERM INVESTMENTS - 14.58% | Shares | |||||||
| Fidelity Government Portfolio - Institutional Class, 0.12% (b) | 738 | 738 | ||||||
| First American Treasury Obligations Fund - Institutional Class, 0.22% (b) | 8,106,706 | 8,106,706 | ||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $8,107,444) | 8,107,444 | |||||||
| Value | ||||
| ||||
| TOTAL INVESTMENTS, AT VALUE (Cost $56,694,040) - 103.25% | $ | 57,429,418 | ||
| OPTIONS WRITTEN, AT VALUE (Premiums $805,803) - (0.82)% (c) | (456,089 | ) | ||
| LIABILITIES IN EXCESS OF OTHER ASSETS, NET - (2.43)% | (1,353,520 | ) | ||
| NET ASSETS - 100% | $ | 55,619,809 | ||
| (a) | Non-income producing security. |
| (b) | Rate shown represents the 7-day effective yield at March 31, 2022, is subject to change and resets daily. |
| (c) | Please refer to the Schedule of Options Written for details of options written. |
| (d) | All or a portion of the security is held as collateral for written options. |
| 1 | Each option contract is equivalent to 100 shares of the underlying ETF. All options are non-income producing. |
The following abbreviations are used in this portfolio:
ETF - Exchange-Traded Fund
The accompanying notes are an integral part of these financial statements.
TACTICAL GROWTH ALLOCATION FUND
SCHEDULE OF OPTIONS WRITTEN
March 31, 2022 (Unaudited)
OPTIONS WRITTEN - (0.82)%
| CALL OPTIONS WRITTEN - (0.12)% | Contracts 1 | Notional Amount | Exercise Price | Expiration | Value | |||||||||||||||
| Invesco QQQ Trust Unit Series 1 | 10 | $ | 410,000 | $ | 410.00 | 12/16/2022 | $ | 11,655 | ||||||||||||
| SPDR S&P 500 ETF Trust | 20 | 1,000,000 | 500.00 | 6/17/2022 | 1,540 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 20 | 1,006,000 | 503.00 | 6/17/2022 | 1,620 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 45 | 2,272,500 | 505.00 | 6/17/2022 | 3,195 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 20 | 1,040,000 | 520.00 | 6/17/2022 | 420 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 20 | 944,000 | 472.00 | 6/30/2022 | 16,860 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 23 | 1,173,000 | 510.00 | 9/16/2022 | 7,061 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 35 | 1,802,500 | 515.00 | 9/16/2022 | 8,400 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 20 | 1,080,000 | 540.00 | 9/16/2022 | 1,600 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 50 | 2,675,000 | 535.00 | 12/16/2022 | 13,500 | |||||||||||||||
| TOTAL CALL OPTIONS WRITTEN (Premiums $100,672) | 65,851 | |||||||||||||||||||
PUT OPTIONS WRITTEN - (0.70)% (continued)
| Contracts 1 | Notional Amount | Exercise Price | Expiration | Value | ||||||||||||||||
| Invesco QQQ Trust Unit Series 1 | 10 | 295,000 | 295.00 | 12/16/2022 | 10,400 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 20 | 770,000 | 385.00 | 6/17/2022 | 6,840 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 30 | 1,170,000 | 390.00 | 6/17/2022 | 12,000 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 20 | 816,000 | 408.00 | 6/17/2022 | 11,800 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 35 | 1,638,000 | 468.00 | 6/17/2022 | 79,783 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 20 | 730,000 | 365.00 | 6/30/2022 | 5,460 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 58 | 2,349,000 | 405.00 | 9/16/2022 | 72,500 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 45 | 1,917,000 | 426.00 | 9/16/2022 | 69,525 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 20 | 870,000 | 435.00 | 9/16/2022 | 36,280 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 50 | 2,025,000 | 405.00 | 12/16/2022 | 85,650 | |||||||||||||||
| TOTAL PUT OPTIONS WRITTEN (Premiums $705,131) | 390,238 | |||||||||||||||||||
| TOTAL OPTIONS WRITTEN (Premiums $805,803) | $ | 456,089 | ||||||||||||||||||
| 1 | Each option contract is equivalent to 100 shares of the underlying ETF. All options are non-income producing. |
The following abbreviations are used in this portfolio:
ETF - Exchange-Traded Fund
The accompanying notes are an integral part of these financial statements.
TFA QUANTITATIVE FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
| EXCHANGE-TRADED FUNDS - 69.70% | Shares | Value | ||||||
| Alternative Funds - 7.14% | ||||||||
| First Trust Exchange-Traded Fund III-First Trust Long/Short Equity ETF | 52,070 | $ | 2,639,428 | |||||
| Debt Funds - 14.12% | ||||||||
| PIMCO Enhanced Short Maturity Active Exchange-Traded Fund | 36,736 | 3,679,478 | ||||||
| SPDR Bloomberg 1-3 Month T-Bill ETF (a) | 16,819 | 1,537,761 | ||||||
| 5,217,239 | ||||||||
| Equity Funds - 48.44% | ||||||||
| Direxion Daily Real Estate Bear 3X Shares (a) | 4,430 | 155,227 | ||||||
| FT Cboe Vest Fund of Buffer ETFs (a) | 43,910 | 1,043,741 | ||||||
| Invesco QQQ Trust Series 1 | 5,625 | 2,039,288 | ||||||
| Invesco S&P 500 Equal Weight ETF | 11,610 | 1,831,013 | ||||||
| iShares Semiconductor ETF | 4,488 | 2,124,081 | ||||||
| iShares US Technology ETF | 12,973 | 1,336,738 | ||||||
| ProShares Ultra Dow30 | 7,550 | 556,812 | ||||||
| ProShares Ultra QQQ (a) | 11,950 | 859,444 | ||||||
| ProShares Ultra S&P500 | 49,073 | 3,219,679 | ||||||
| ProShares Ultra Technology (a) | 15,662 | 783,570 | ||||||
| Vanguard Mega Cap Growth ETF | 12,299 | 2,895,185 | ||||||
| Vanguard Total Stock Market ETF | 4,600 | 1,047,282 | ||||||
| 17,892,060 | ||||||||
| TOTAL EXCHANGE-TRADED FUNDS (Cost $26,292,305) | 25,748,727 | |||||||
| MUTUAL FUNDS - 8.26% | ||||||||
| Equity Fund - 8.26% | ||||||||
| Rydex Nasdaq 100 2X Strategy Fund | 5,297 | 2,047,184 | ||||||
| Rydex Russell 2000 2x Strategy Fund | 5,490 | 1,002,470 | ||||||
| TOTAL MUTUAL FUNDS (Cost $3,158,317) | 3,049,654 | |||||||
| SHORT-TERM INVESTMENTS - 24.78% | ||||||||
| First American Treasury Obligations Fund - Institutional Class, 0.22% (b) | 9,154,490 | 9,154,490 | ||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $9,154,490) | 9,154,490 | |||||||
| TOTAL INVESTMENTS, AT VALUE (Cost $38,605,112) - 102.74% | $ | 37,952,871 | ||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS, NET - (2.74)% | (1,013,214 | ) | ||||||
| NET ASSETS - 100% | $ | 36,939,657 | ||||||
| (a) | Non-income producing security. |
| (b) | Rate shown represents the 7-day effective yield at March 31, 2022, is subject to change and resets daily. |
The following abbreviations are used in this portfolio:
ETF - Exchange-Traded Fund
The accompanying notes are an integral part of these financial statements.
TFA MULTIDIMENTIONAL TACTICAL FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
| COMMON STOCK - 77.87% | Shares | Value | ||||||
| Aerospace & Defense - 0.56% | ||||||||
| Boeing Co. (a) | 925 | $ | 177,138 | |||||
| Auto Manufacturers - 0.71% | ||||||||
| Tesla, Inc. (a) | 206 | 221,985 | ||||||
| Banks - 0.56% | ||||||||
| JPMorgan Chase & Co. | 1,293 | 176,262 | ||||||
| Beverages - 1.97% | ||||||||
| Boston Beer Co., Inc. - Class A (a) | 470 | 182,581 | ||||||
| Constellation Brands, Inc. - Class A | 1,903 | 438,299 | ||||||
| 620,880 | ||||||||
| Biotechnology - 1.44% | ||||||||
| BioMarin Pharmaceutical, Inc. (a) | 5,880 | 453,348 | ||||||
| Commercial Services - 1.41% | ||||||||
| Automatic Data Processing, Inc. | 1,952 | 444,158 | ||||||
| Computers - 2.02% | ||||||||
| Apple, Inc. | 1,105 | 192,944 | ||||||
| Fortinet, Inc. (a) | 1,296 | 442,895 | ||||||
| 635,839 | ||||||||
| Cosmetics & Personal Care - 1.25% | ||||||||
| Estee Lauder Cos., Inc. - Class A | 1,449 | 394,592 | ||||||
| Distribution & Wholesale - 1.36% | ||||||||
| Pool Corp. | 1,013 | 428,347 | ||||||
| Diversified Financial Services - 3.62% | ||||||||
| Charles Schwab Corp. | 6,350 | 535,369 | ||||||
| Mastercard, Inc. - Class A | 1,179 | 421,351 | ||||||
| Visa, Inc., Class A | 824 | 182,738 | ||||||
| 1,139,458 | ||||||||
| Electric - 2.09% | ||||||||
| NextEra Energy, Inc. | 5,560 | 470,988 | ||||||
| NRG Energy, Inc. | 4,927 | 189,000 | ||||||
| 659,988 | ||||||||
| Electronics - 1.37% | ||||||||
| Honeywell International, Inc. | 2,210 | 430,022 | ||||||
| Energy - Alternate Sources - 1.53% | ||||||||
| Enphase Energy, Inc. (a) | 2,389 | 482,052 | ||||||
| Entertainment - 1.45% | ||||||||
| Caesars Entertainment, Inc. (a) | 5,907 | 456,965 | ||||||
| Environmental Control - 0.61% | ||||||||
| Waste Management, Inc. | 1,211 | 191,944 | ||||||
| Healthcare - Products - 6.90% | ||||||||
| ABIOMED, Inc. (a) | 1,390 | 460,424 | ||||||
| Align Technology, Inc. (a) | 903 | 393,708 | ||||||
| Quidel Corp. (a) | 3,998 | 449,615 | ||||||
| Repligen Corp. (a) | 2,214 | 416,431 | ||||||
| Thermo Fisher Scientific, Inc. | 771 | 455,391 | ||||||
| 2,175,569 | ||||||||
| Healthcare - Services - 3.40% | ||||||||
| Anthem, Inc. | 900 | 442,098 | ||||||
| Humana, Inc. | 438 | 190,604 | ||||||
| UnitedHealth Group, Inc. | 863 | 440,104 | ||||||
| 1,072,806 | ||||||||
TFA MULTIDIMENTIONAL TACTICAL FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
| COMMON STOCK - 77.87% (continued) | Shares | Value | ||||||
| Internet - 7.14% | ||||||||
| Alphabet, Inc. - Class A | 152 | $ | 422,765 | |||||
| Amazon.com, Inc. | 143 | 466,173 | ||||||
| Etsy, Inc. | 3,050 | 379,054 | ||||||
| Meta Platforms, Inc. - Class A | 1,965 | 436,937 | ||||||
| Netflix, Inc. | 1,042 | 390,323 | ||||||
| Roku, Inc. - Class A | 1,228 | 153,831 | ||||||
| 2,249,083 | ||||||||
| Machinery-Diversified - 0.59% | ||||||||
| Deere & Co. | 447 | 185,711 | ||||||
| Media - 3.30% | ||||||||
| Charter Communications, Inc. - Class A (a) | 755 | 411,868 | ||||||
| Fox Corp. - Class B | 12,302 | 446,316 | ||||||
| Walt Disney Co. (a) | 1,331 | 182,560 | ||||||
| 1,040,744 | ||||||||
| Mining - 3.26% | ||||||||
| Alcoa Corp. | 6,480 | 583,394 | ||||||
| Royal Gold, Inc. | 3,150 | 445,032 | ||||||
| 1,028,426 | ||||||||
| Miscellaneous Manufacturing - 1.27% | ||||||||
| 3M Co. | 2,687 | 400,041 | ||||||
| Office/Business Equipment - 1.14% | ||||||||
| Zebra Technologies Corp. - Class A (a) | 870 | 359,919 | ||||||
| Oil & Gas - 6.16% | ||||||||
| Chevron Corp. | 1,149 | 187,092 | ||||||
| Devon Energy Corp. | 9,710 | 574,152 | ||||||
| EOG Resources, Inc. | 4,880 | 581,842 | ||||||
| Marathon Oil Corp. | 23,850 | 598,874 | ||||||
| 1,941,960 | ||||||||
| Pharmaceuticals - 5.67% | ||||||||
| AbbVie, Inc. | 3,660 | 593,323 | ||||||
| CVS Health Corp. | 5,450 | 551,594 | ||||||
| Merck & Co., Inc. | 2,340 | 191,997 | ||||||
| Sarepta Therapeutics, Inc. (a) | 5,750 | 449,190 | ||||||
| 1,786,104 | ||||||||
| Retail - 5.94% | ||||||||
| Chipotle Mexican Grill, Inc. (a) | 122 | 193,008 | ||||||
| Costco Wholesale Corp. | 591 | 340,327 | ||||||
| Domino's Pizza, Inc. | 997 | 405,789 | ||||||
| McDonald's Corp. | 1,800 | 445,104 | ||||||
| Walmart, Inc. | 3,283 | 488,904 | ||||||
| 1,873,132 | ||||||||
| Semiconductors - 2.10% | ||||||||
| Advanced Micro Devices, Inc. (a) | 1 | 109 | ||||||
| NVIDIA Corp. | 698 | 190,456 | ||||||
| ON Semiconductor Corp. (a) | 7,536 | 471,829 | ||||||
| 662,394 | ||||||||
| Software - 4.91% | ||||||||
| Activision Blizzard, Inc. | 2,420 | 193,866 | ||||||
| Microsoft Corp. | 1,449 | 446,741 | ||||||
| MSCI, Inc. | 528 | 265,521 | ||||||
| Paychex, Inc. | 1,480 | 201,976 | ||||||
| Take-Two Interactive Software, Inc. (a) | 2,850 | 438,159 | ||||||
| 1,546,263 | ||||||||
TFA MULTIDIMENTIONAL TACTICAL FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
| COMMON STOCK - 77.87% (continued) | Shares | Value | ||||||
| Transportation - 2.73% | ||||||||
| CSX Corp. | 12,230 | $ | 458,014 | |||||
| Expeditors International of Washington, Inc. | 3,891 | 401,396 | ||||||
| 859,410 | ||||||||
| Water - 1.41% | ||||||||
| American Water Works Co., Inc. | 2,690 | 445,276 | ||||||
| TOTAL COMMON STOCK (Cost $25,224,993) | 24,539,816 | |||||||
| EXCHANGE-TRADED FUNDS - 15.74% | ||||||||
| Asset Allocation Funds - 1.43% | ||||||||
| SPDR Bloomberg Convertible Securities ETF | 5,868 | 451,543 | ||||||
| Commodity Funds - 0.16% | ||||||||
| SPDR Gold Shares (a) | 284 | 51,305 | ||||||
| Debt Funds - 14.15% | ||||||||
| First Trust California Municipal High Income ETF | 8,575 | 436,896 | ||||||
| First Trust Long Duration Opportunities ETF | 14,489 | 374,034 | ||||||
| First Trust Low Duration Strategic Focus ETF | 23,135 | 449,050 | ||||||
| First Trust Preferred Securities and Income ETF | 22,541 | 428,730 | ||||||
| First Trust Tcw Unconstrained Plus Bond Etf | 17,133 | 437,405 | ||||||
| Invesco Taxable Municipal Bond | 14,019 | 415,944 | ||||||
| iShares 20+ Year Treasury Bond ETF | 3,310 | 437,185 | ||||||
| iShares 7-10 Year Treasury Bond ETF | 1,703 | 183,021 | ||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF | 3,700 | 447,478 | ||||||
| iShares JP Morgan USD Emerging Markets Bond ETF | 4,241 | 414,600 | ||||||
| iShares Preferred & Income Securities ETF | 11,959 | 435,547 | ||||||
| 4,459,890 | ||||||||
| TOTAL EXCHANGE-TRADED FUNDS (Cost $5,172,692) | 4,962,738 | |||||||
| SHORT-TERM INVESTMENTS - 6.90% | ||||||||
| Fidelity Government Portfolio - Institutional Class, 0.12% (b) | 2,035,093 | 2,035,093 | ||||||
| First American Treasury Obligations Fund - Institutional Class, 0.22% (b) | 138,652 | 138,652 | ||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $2,173,745) | 2,173,745 | |||||||
| TOTAL INVESTMENTS, AT VALUE (Cost $32,571,430) - 100.51% | $ | 31,676,299 | ||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS, NET - (0.51)% | (161,282 | ) | ||||||
| NET ASSETS - 100% | $ | 31,515,017 | ||||||
(a) Non-income producing security.
(b) Rate shown represents the 7-day effective yield at March 31, 2022, is subject to change and resets daily.
The following abbreviations are used in this portfolio:
ETF - Exchange-Traded Fund
The accompanying notes are an integral part of these financial statements.
TFA ALPHAGEN GROWTH FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
| COMMON STOCK - 3.04% | Shares | Value | ||||||
| Computers - 0.50% | ||||||||
| Accenture PLC - Class A - Ireland | 410 | $ | 138,264 | |||||
| Apple, Inc. | 810 | 141,434 | ||||||
| 279,698 | ||||||||
| Diversified Financial Services - 0.25% | ||||||||
| Nasdaq, Inc. | 800 | 142,560 | ||||||
| Healthcare - Products - 0.25% | ||||||||
| Thermo Fisher Scientific, Inc. | 240 | 141,756 | ||||||
| Healthcare - Services - 0.26% | ||||||||
| UnitedHealth Group, Inc. | 290 | 147,891 | ||||||
| Internet - 0.24% | ||||||||
| Airbnb, Inc. - Class A (a) | 800 | 137,408 | ||||||
| Pharmaceuticals - 0.53% | ||||||||
| Eli Lilly & Co. | 590 | 168,958 | ||||||
| Zoetis, Inc. - Class A | 700 | 132,013 | ||||||
| 300,971 | ||||||||
| Semiconductors - 0.27% | ||||||||
| NVIDIA Corp. | 560 | 152,802 | ||||||
| Software - 0.48% | ||||||||
| Adobe, Inc. (a) | 280 | 127,574 | ||||||
| Microsoft Corp. | 460 | 141,823 | ||||||
| 269,397 | ||||||||
| Transportation - 0.26% | ||||||||
| JB Hunt Transport Services, Inc. | 730 | 146,577 | ||||||
| TOTAL COMMON STOCK (Cost $1,644,762) | 1,719,060 | |||||||
| EXCHANGE-TRADED FUNDS - 79.52% | ||||||||
| Alternative Funds - 5.00% | ||||||||
| First Trust Exchange-Traded Fund III-First Trust Long/Short Equity ETF | 55,790 | 2,827,995 | ||||||
| Debt Funds - 8.34% | ||||||||
| iShares Short Treasury Bond ETF | 15,200 | 1,675,800 | ||||||
| iShares TIPS Bond ETF | 17,030 | 2,121,427 | ||||||
| Vanguard Long-Term Bond ETF | 600 | 55,014 | ||||||
| Vanguard Short-Term Bond ETF | 1,200 | 93,480 | ||||||
| Vanguard Total Bond Market ETF | 7,800 | 620,412 | ||||||
| Vanguard Total International Bond ETF | 2,900 | 152,076 | ||||||
| 4,718,209 | ||||||||
TFA ALPHAGEN GROWTH FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
| EXCHANGE-TRADED FUNDS - 79.52% (continued) | Shares | Value | ||||||
| Equity Funds - 66.18% | ||||||||
| Communication Services Select Sector SPDR Fund | 3,640 | $ | 250,359 | |||||
| Consumer Discretionary Select Sector SPDR Fund | 1,670 | 308,950 | ||||||
| Consumer Staples Select Sector SPDR Fund | 14,510 | 1,101,164 | ||||||
| Energy Select Sector SPDR Fund | 11,530 | 881,353 | ||||||
| Financial Select Sector SPDR Fund | 14,290 | 547,593 | ||||||
| FT Cboe Vest Fund of Buffer ETFs (a) | 240,100 | 5,707,177 | ||||||
| Health Care Select Sector SPDR Fund | 1,910 | 261,651 | ||||||
| Industrial Select Sector SPDR Fund | 2,240 | 230,675 | ||||||
| Invesco QQQ Trust Series 1 | 900 | 326,286 | ||||||
| Invesco S&P 500 Equal Weight ETF | 12,050 | 1,900,406 | ||||||
| iShares MSCI Canada ETF | 24,050 | 967,051 | ||||||
| iShares MSCI United Kingdom ETF | 13,680 | 460,195 | ||||||
| ProShares Ultra Dow30 | 22,820 | 1,682,975 | ||||||
| ProShares Ultra QQQ (a) | 47,010 | 3,380,959 | ||||||
| ProShares Ultra S&P500 | 40,650 | 2,667,047 | ||||||
| SPDR S&P 500 ETF Trust | 6,200 | 2,800,168 | ||||||
| Technology Select Sector SPDR Fund | 5,940 | 944,044 | ||||||
| VanEck Semiconductor ETF | 500 | 134,895 | ||||||
| Vanguard FTSE All-World ex-US ETF | 34,800 | 2,004,132 | ||||||
| Vanguard FTSE Emerging Markets ETF | 20,500 | 945,665 | ||||||
| Vanguard Growth ETF | 3,260 | 937,576 | ||||||
| Vanguard Large-Cap ETF | 4,750 | 990,327 | ||||||
| Vanguard Mid-Cap ETF | 5,970 | 1,419,905 | ||||||
| Vanguard Real Estate ETF | 900 | 97,533 | ||||||
| Vanguard Russell 2000 ETF | 7,900 | 654,515 | ||||||
| Vanguard Total Stock Market ETF | 21,040 | 4,790,177 | ||||||
| Vanguard Value ETF | 7,180 | 1,061,060 | ||||||
| 37,453,838 | ||||||||
| TOTAL EXCHANGE-TRADED FUNDS (Cost $45,260,266) | 45,000,042 | |||||||
| SHORT-TERM INVESTMENTS - 23.23% | ||||||||
| Fidelity Government Portfolio - Institutional Class, 0.12% (b) | ||||||||
| First American Treasury Obligations Fund - Institutional Class, 0.22% (b) | 1,767 | 1,767 | ||||||
| 13,144,797 | 13,144,797 | |||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $13,146,564) | 13,146,564 | |||||||
| TOTAL INVESTMENTS, AT VALUE (Cost $60,051,592) - 105.79% | $ | 59,865,666 | ||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS, NET - (5.79)% | (3,276,928 | ) | ||||||
| NET ASSETS - 100% | $ | 56,588,738 | ||||||
(a) Non-income producing security.
(b) Rate shown represents the 7-day effective yield at March 31, 2022, is subject to change and resets daily.
The following abbreviations are used in this portfolio:
ETF - Exchange-Traded Fund
PLC - Public Limited Company
The accompanying notes are an integral part of these financial statements.
Tactical Investment Series Trust
NOTES TO THE SCHEDULES OF INVESTMENTS
March 31, 2022 (Unaudited)
The following is a summary of significant accounting policies consistently followed by the TFA Tactical Income Fund (fka Tactical Conservative Allocation Fund) (“Income Fund”), Tactical Moderate Allocation Fund (“Moderate Fund”), Tactical Growth Allocation Fund (“Growth Fund”), TFA Quantitative Fund (“Quantitative Fund”), TFA Multidimensional Tactical Fund (“Multidimensional Fund”) and TFA AlphaGen Growth Fund (“AlphaGen Fund”), (each a “Fund” and collectively, the “Funds”), each a diversified series of the Tactical Investment Series Trust (the “Trust”). The policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The Funds are an investment companies that follow the accounting and reporting guidance of Accounting Standards Codification Topic 946 applicable to investment companies.
SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value, as described in Note 3.
Processes and Structure
The Funds’ Board of Trustees (the “Board”) has adopted guidelines for valuing securities including in circumstances in which market quotes are not readily available and has delegated to Tactical Fund Advisors, LLC (the “Adviser”) the responsibility for determining fair value prices, subject to review by the Board.
Fair Value Pricing Policy
The Board has adopted guidelines for fair value pricing and has delegated to the Adviser the responsibility for determining fair value prices, subject to oversight by the Board. If market quotations are not readily available, the security will be valued at fair value (the amount which the owner might reasonably expect to receive for the security upon its current sale) as determined in good faith by the Adviser (“Fair Value Pricing”), subject to oversight by the Board. The Adviser must use reasonable diligence in determining whether market quotations are readily available. If, for example, the Adviser determines that one source of market value is unreliable, the Adviser must diligently seek market quotations from other sources, such as other brokers or pricing services, before concluding that market quotations are not available. Fair Value Pricing is not permitted when market quotations are readily available.
Fixed income securities generally are valued using market quotations provided by a pricing service. If the Adviser decides that a price provided by the pricing service does not accurately reflect the fair market value of the securities, when prices are not readily available from a pricing service, or when restricted or illiquid securities are being valued, securities are valued at fair value as determined in good faith by the Adviser, in conformity with guidelines adopted by and subject to review of the Board. Short term investments in fixed income securities with maturities of less than 60 days when acquired, or which subsequently are within 60 days of maturity, may be valued by using the amortized cost method of valuation, when the Board has determined that it will represent fair value.
Fair Value Measurements
GAAP defines fair value as the price that each Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date and also establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. The three-tier hierarchy seeks to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect each Fund’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
Equity securities (common stocks, exchange-traded funds/notes (“ETFs”/”ETNs”) and mutual funds) – Securities traded on a national securities exchange (or reported on the NASDAQ national market) are stated at the last reported sales price on the day of valuation. To the extent these securities are actively traded, and valuation adjustments are not applied, they are categorized in Level 1 of the fair value hierarchy. Certain foreign securities may be fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, exchange-traded funds, and the movement of the certain indexes of securities based on a statistical analysis of the historical relationship and that are categorized in Level 2. Preferred stock and other equities traded on inactive markets or valued by reference to similar instruments are also categorized in Level 2.
Tactical Investment Series Trust
NOTES TO THE SCHEDULES OF INVESTMENTS
March 31, 2022 (Unaudited)(continued)
Valuation of Fund of Funds – The Funds may invest in portfolios of open-end or closed-end investment companies (the “Underlying Funds”). The Underlying Funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value based upon the methods established by the board of directors of the Underlying Funds. The shares of many closed-end investment companies, after their initial public offering, frequently trade at a price per share, which is different than the net asset value per share. The difference represents a market premium or market discount of such shares. There can be no assurances that the market discount or market premium on shares of any closed end investment company purchased by a Fund will not change.
Derivative instruments (put and call options) – Under normal circumstances, options are valued at the closing bid and ask quotations on the valuation date. On days when the closing market quotations are not considered to be reflective of fair value, options will be valued at the average of the bid and ask quotations on the valuation date. These securities will be categorized in Level 2 of the fair value hierarchy if valued at other than closing price.
Money market funds – Money market funds are generally priced at the ending NAV provided by the service agent of the money market fund. The money market funds will be categorized as Level 1 within the fair value hierarchy.
Hierarchy of Fair Value Inputs
The Funds utilize various methods to measure the fair value of most of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. The three levels of inputs are as follows:
| ● | Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. |
| ● | Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data. |
| ● | Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available. |
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in the security.
The following tables present information about each Fund’s investments measured at fair value as of March 31, 2022, by major security type:
| Income Fund | ||||||||||||||||
| Financial Instruments – Assets | ||||||||||||||||
| Security Classification (1) | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
| Exchange-Traded Funds (2) | $ | 14,001,216 | $ | — | $ | — | $ | 14,001,216 | ||||||||
| Short-Term Investments | 6,781,952 | — | — | 6,781,952 | ||||||||||||
| Call Options Purchased | 72,425 | 61,730 | — | 134,155 | ||||||||||||
| Total Assets | $ | 20,855,593 | $ | 61,730 | $ | — | $ | 20,917,323 | ||||||||
Tactical Investment Series Trust
NOTES TO THE SCHEDULES OF INVESTMENTS
March 31, 2022 (Unaudited)(continued)
| Derivative Instruments – Liabilities | ||||||||||||||||
| Security Classification (1) | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
| Call Options Written | $ | 6,650 | $ | — | $ | — | $ | 6,650 | ||||||||
| Put Options Written | 62,600 | 4,950 | — | 67,550 | ||||||||||||
| Total Liabilities | $ | 69,250 | $ | 4,950 | $ | — | $ | 74,200 | ||||||||
| Moderate Fund | ||||||||||||||||
| Financial Instruments – Assets | ||||||||||||||||
| Security Classification (1) | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
| Common Stock (2) | $ | ,677,168 | $ | — | $ | — | $ | 677,168 | ||||||||
| Exchange-Traded Funds (2) | 30,355,826 | — | — | 30,355,826 | ||||||||||||
| Short-Term Investments | 1,532,107 | — | — | 1,532,107 | ||||||||||||
| Call Options Purchased | 137,650 | — | — | 137,650 | ||||||||||||
| Put Options Purchased | 14,500 | — | — | 14,500 | ||||||||||||
| Total Assets | $ | 32,717,251 | $ | — | $ | — | $ | 32,717,251 | ||||||||
| Derivative Instruments – Liabilities | ||||||||||||||||
| Security Classification (1) | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
| Call Options Written | $ | 17,310 | $ | 3,840 | $ | — | $ | 21,150 | ||||||||
| Put Options Written | 27,550 | 30,310 | — | 57,860 | ||||||||||||
| Total Liabilities | $ | 44,860 | $ | 34,150 | $ | — | $ | 79,010 | ||||||||
| Growth Fund | ||||||||||||||||
| Financial Instruments – Assets | ||||||||||||||||
| Security Classification (1) | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
| Common Stock (2) | $ | 5,484,493 | $ | — | $ | — | $ | 5,484,493 | ||||||||
| Exchange-Traded Funds (2) | 42,823,668 | — | — | 42,823,668 | ||||||||||||
| Short-Term Investments | 8,107,444 | — | — | 8,107,444 | ||||||||||||
| Call Options Purchased | 441,615 | 527,793 | — | 969,408 | ||||||||||||
| Put Options Purchased | 44,405 | — | — | 44,405 | ||||||||||||
| Total Assets | $ | 56,901,625 | $ | 527,793 | $ | — | $ | 57,429,418 | ||||||||
| Derivative Instruments – Liabilities | ||||||||||||||||
| Security Classification (1) | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
| Call Options Written | $ | 54,196 | $ | 11,655 | $ | — | $ | 65,851 | ||||||||
| Put Options Written | 310,455 | 79,783 | — | 390,238 | ||||||||||||
| Total Liabilities | $ | 364,651 | $ | 91,438 | $ | — | $ | 456,089 | ||||||||
Tactical Investment Series Trust
NOTES TO THE SCHEDULES OF INVESTMENTS
March 31, 2022 (Unaudited)(continued)
| Quantitative Fund | ||||||||||||||||
| Financial Instruments – Assets | ||||||||||||||||
| Security Classification (1) | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
| Exchange-Traded Funds (2) | $ | 25,748,727 | $ | — | $ | — | $ | 25,748,727 | ||||||||
| Mutual Funds (2) | 3,049,654 | — | — | 3,046,654 | ||||||||||||
| Short-Term Investments | 9,154,490 | — | — | 9,154,490 | ||||||||||||
| Total Assets | $ | 37,952,871 | $ | — | $ | — | $ | 37,952,871 | ||||||||
| Multidimensional Fund | ||||||||||||||||
| Financial Instruments – Assets | ||||||||||||||||
| Security Classification (1) | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
| Common Stock (2) | $ | 24,539,816 | $ | — | $ | — | $ | 24,539,816 | ||||||||
| Exchange-Traded Funds (2) | 4,962,738 | — | — | 4,962,738 | ||||||||||||
| Short-Term Investments | 2,173,745 | — | — | 2,173,745 | ||||||||||||
| Total Assets | $ | 31,676,299 | $ | — | $ | — | $ | 31,676,299 | ||||||||
| AlphaGen Fund | ||||||||||||||||
| Financial Instruments – Assets | ||||||||||||||||
| Security Classification (1) | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
| Common Stock (2) | $ | 1,719,060 | $ | — | $ | — | $ | 1,719,060 | ||||||||
| Exchange-Traded Funds (2) | 45,000,042 | — | — | 45,000,042 | ||||||||||||
| Short-Term Investments | 13,146,564 | — | — | 13,146,564 | ||||||||||||
| Total Assets | $ | 59,865,666 | $ | — | $ | — | $ | 59,865,666 | ||||||||
(1) As of and for the three month period ended March 31, 2022, the Funds held no securities that were considered to be “Level 3” securities (those valued using significant unobservable inputs). Therefore, a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value is not applicable.
(2) All common stock, ETFs and mutual funds held in the Funds are Level 1 securities. For a detailed break-out of common stock by industry and ETFs and mutual funds by investment type, please refer to the Schedules of Investments.
INVESTMENT RISKS
Equity Risk: The net asset value of the Funds will fluctuate based on changes in the value of its holdings in U.S. and foreign equity securities. Equity prices can fall rapidly in response to developments affecting a specific company or industry, or to changing economic, political or market conditions.
Small and Medium Capitalization Stock Risk: The earnings and prospects of small and medium sized companies are more volatile than larger companies and may experience higher failure rates than larger companies. Small and medium sized companies normally have a lower trading volume than larger companies, which may tend to make their market price fall more disproportionately than larger companies in response to selling pressures and may have limited markets, product lines, or financial resources and lack management experience.
Large Capitalization Risk: The Underlying Funds invest in large-capitalization companies. Large Capitalization Companies may be less able than smaller capitalization companies to adapt to changing market conditions. Large-capitalization companies may be more mature and subject to more limited growth potential compared with smaller capitalization companies. During different market cycles, the performance of large capitalization companies has trailed the overall performance of the broader securities markets.
Tactical Investment Series Trust
NOTES TO THE SCHEDULES OF INVESTMENTS
March 31, 2022 (Unaudited)(continued)
Exchange-Traded Fund Risk: The Fund may invest in ETFs as part of its principal investment strategies. ETFs are subject to investment advisory and other expenses, which will be indirectly paid by a Fund. As a result, your cost of investing in a Fund will be higher than the cost of investing directly in ETFs and may be higher than other mutual funds that invest directly in stocks and bonds. ETFs are listed on national stock exchanges and are traded like stocks listed on an exchange. The market price for a Fund’s shares may deviate from a Fund’s net asset value, particularly during times of market stress, with the result that investors may pay significantly more or receive significantly less for Fund shares than the Fund’s net asset value, which is reflected in the bid and ask price for Fund shares or in the closing price.
Leverage Risk: The use of leverage by the funds or ETFs in which the Funds invest, such as borrowing money to purchase securities, will cause a fund to incur additional expenses and magnify the funds’ gains or losses. Investments in derivative instruments, such as futures, options and swap agreements, have the economic effect of creating financial leverage in a fund’s portfolio because such investments may give rise to losses that exceed the amount the funds have invested in those instruments. Financial leverage will magnify, sometimes significantly, investment exposure to any increase or decrease in prices associated with a particular reference asset resulting in increased volatility in the value of the fund’s portfolio. Accordingly, the value of the Funds’ portfolios are likely to experience greater volatility over short-term periods.
Options Risk: There are risks associated with the sale and purchase of call and put options. As a seller (writer) of a put option, the Funds will tend to lose money if the value of the reference index or security falls below the strike price. As the seller (writer) of a call option, the Funds will tend to lose money if the value of the reference index or security rises above the strike price. As the buyer of a put or call option, the Funds risk losing the entire premium invested if the value of the reference index or security is below (above) the call (put) strike at maturity.
Short Position Risk: The Funds may also take short positions, including shares of an ETF. A “short” position is, in effect, similar to a sale in which the Funds sell a security it does not own but, has borrowed in anticipation that the market price of the security will decline. The Funds must replace a short security position by purchasing it at the market price at the time of replacement. Therefore, the potential loss on a “short” position is unlimited.
Underlying Fund Risk: Other investment companies including mutual funds and ETFs in which the Fund invests are subject to investment advisory and other expenses, which will be indirectly paid by the Funds. As a result, the cost of investing in the Funds will be higher than the cost of investing directly in the underlying funds and may be higher than other mutual funds that invest directly in stocks and bonds. Each of the underlying funds is subject to its own specific risks, but the Adviser expects the principal investments risks of such underlying funds will be similar to the risks of investing in the Funds.
DERIVATIVE TRANSACTIONS
As of March 31, 2022, portfolio securities valued at $2,042,710, $984,200 and $6,866,699 were held in a segregated account by the custodian as collateral for options written by the Income Fund, Moderate Fund and Growth Fund, respectively.
As of March 31, 2022, the location on the Statements of Assets and Liabilities for financial derivative instrument fair values is as follows:
| Income Fund: | ||||||
| Assets | Location | Equity Contracts | ||||
| Call options purchased, at value | Investments, at value | $ | 134,155 | |||
| Total Assets | $ | 134,155 | ||||
| Liabilities | Location | Equity Contracts | ||||
| Call options written, at value | Options written, at value | $ | 6,650 | |||
| Put options written, at value | Options written, at value | 67,550 | ||||
| Total Liabilities | $ | 74,200 | ||||
Tactical Investment Series Trust
NOTES TO THE SCHEDULES OF INVESTMENTS
March 31, 2022 (Unaudited)(continued)
| Moderate Fund: | ||||||
| Assets | Location | Equity Contracts | ||||
| Call options purchased, at value | Investments, at value | $ | 137,650 | |||
| Put options purchased, at value | Investments, at value | 14,500 | ||||
| Total Assets | $ | 152,150 | ||||
| Liabilities | Location | Equity Contracts | ||||
| Call options written, at value | Options written, at value | $ | 21,150 | |||
| Put options written, at value | Options written, at value | 57,860 | ||||
| Total Liabilities | $ | 79,010 | ||||
| Growth Fund: | ||||||
| Assets | Location | Equity Contracts | ||||
| Call options purchased, at value | Investments, at value | $ | 969,408 | |||
| Put options purchased, at value | Investments, at value | 44,405 | ||||
| Total Assets | $ | 1,013,813 | ||||
| Liabilities | Location | Equity Contracts | ||||
| Call options written, at value | Options written, at value | $ | 65,851 | |||
| Put options written, at value | Options written, at value | 390,238 | ||||
| Total Liabilities | $ | 456,089 | ||||
There were no financial derivative instruments held by the Quantitative Fund, Multidimensional Fund or AlphaGen Growth Fund at March 31, 2022.
Realized and unrealized gains and losses on derivatives contracts entered into by the Funds for the three month period ended March 31, 2022, are recorded in the following locations in the Statements of Operations:
| Income Fund: | ||||||
| Net change in unrealized appreciation (depreciation) on: | Location | Equity Contracts | ||||
| Call options purchased | Investments | $ | (148,344 | ) | ||
| Call options written | Options written | 26,549 | ||||
| Put options written | Options written | (62,827 | ) | |||
| $ | (184,622 | ) | ||||
| Net realized gain (loss) on: | Location | Total | ||||
| Call options purchased | Investments | $ | (13,001 | ) | ||
| Put options written | Options written | 100,040 | ||||
| $ | 87,039 | |||||
Tactical Investment Series Trust
NOTES TO THE SCHEDULES OF INVESTMENTS
March 31, 2022 (Unaudited)(continued)
| Moderate Fund: | ||||||
| Net change in unrealized appreciation (depreciation) on: | Location | Equity Contracts | ||||
| Call options purchased | Investments | $ | (41,383 | ) | ||
| Put options purchased | Investments | 6,796 | ||||
| Call options written | Options written | 17,519 | ||||
| Put options written | Options written | (2,575 | ) | |||
| $ | (19,643 | ) | ||||
| Net realized gain (loss) on: | Location | Total | ||||
| Call options purchased | Investments | $ | (35,373 | ) | ||
| Put options purchased | Investments | (7,687 | ) | |||
| Call options written | Options written | 7,829 | ||||
| Put options written | Options written | (22,466 | ) | |||
| $ | (57,697 | ) | ||||
| Growth Fund: | ||||||
| Net change in unrealized appreciation (depreciation) on: | Location | Equity Contracts | ||||
| Call options purchased | Investments | $ | (434,797 | ) | ||
| Put options purchased | Investments | 13,383 | ||||
| Call options written | Options written | 105,468 | ||||
| Put options written | Options written | (37,448 | ) | |||
| $ | (353,394 | ) | ||||
| Net realized gain (loss) on: | Location | Total | ||||
| Call options purchased | Investments | $ | (107,779 | ) | ||
| Put options purchased | Investments | (48,979 | ) | |||
| Call options written | Options written | 33,043 | ||||
| Put options written | Options written | 193 | ||||
| $ | (123,522 | ) | ||||
For the three-month period ended March 31, 2022, the average month-end notional value of purchased and written option contracts for the Funds was as follow:
| Fund: | Purchased Options | Written Options | ||||||
| Income Fund | $ | 2,535,000 | $ | 3,446,000 | ||||
| Moderate Fund | 2,848,500 | 3,774,500 | ||||||
| Growth Fund | 16,411,400 | 26,664,625 | ||||||
The primary risk category for all open options positions during the fiscal year was equity risk.
The Quantitative Fund, Multidimensional Fund or AlphaGen Growth Fund did not invest in any financial derivative instruments during the three month period ended March 31, 2022
The selling of written call options may tend to reduce the volatility of a Fund because the premiums received from selling the options will reduce any losses on the underlying securities, but only by the amount of the premiums. However, selling the options may also limit a Fund’s gain on the underlying securities. Written call options expose a Fund to minimal counterparty risk since they are exchange-traded and the exchange’s clearing house guarantees the options against default.
Tactical Investment Series Trust
NOTES TO THE SCHEDULES OF INVESTMENTS
March 31, 2022 (Unaudited)(continued)
The Funds engage in option transactions involving individual securities and stock indexes. An option involves either: (a) the right or the obligation to buy or sell a specific instrument at a specific price until the expiration date of the option; or (b) the right to receive payments or the obligation to make payments representing the difference between the closing price of a stock index and the exercise price of the option expressed in dollars times a specified multiple until the expiration date of the option. The Funds may purchase and write options. Options are sold (written) on securities and stock indexes. The purchaser of an option on a security pays the seller (the writer) a premium for the right granted but is not obligated to buy or sell the underlying security. The purchaser of an option on a stock index pays the seller a premium for the right granted, and in return the seller of such an option is obligated to make the payment. A writer of an option may terminate the obligation prior to expiration of the option by making an offsetting purchase of an identical option. Options are traded on organized exchanges and in the over-the-counter market. To cover the potential obligations involved in writing options, a Fund will either: (a) own the underlying security, or in the case of an option on a market index, will hold a portfolio of stocks substantially replicating the movement of the index; or (b) a Fund will segregate with the custodian high grade liquid assets sufficient to purchase the underlying security or equal to the market value of the stock index option, marked to market daily.
The purchase of options limits a Fund’s potential loss to the amount of the premium paid and can afford a Fund the opportunity to profit from favorable movements in the price of an underlying security to a greater extent than if transactions were affected in the security directly. However, the purchase of an option could result in a Fund losing a greater percentage of its investment than if the transaction were affected directly. When a Fund writes a call option, it will receive a premium, but it will give up the opportunity to profit from a price increase in the underlying security above the exercise price as long as its obligation as a writer continues, and it will retain the risk of loss should the price of the security decline. When a Fund writes a put option, it will assume the risk that the price of the underlying security or instrument will fall below the exercise price, in which case a Fund may be required to purchase the security or instrument at a higher price than the market price of the security or instrument. In addition, there can be no assurance that a Fund can affect a closing transaction on a particular option it has written. Further, the total premium paid for any option may be lost if a Fund does not exercise the option.
The Funds engage in option transactions involving securities and stock indices in order to gain exposure to particular securities or markets, in connection with hedging transactions, or to try to enhance returns. Options require additional skills and techniques beyond normal portfolio management. The Funds use of options involves risk that such instruments may not work as intended due to unanticipated developments, especially in abnormal market conditions, or if the Adviser makes an error in judgment, or other causes. The use of options may magnify the increase or decrease in the performance of a Fund, and may also subject a Fund to higher price volatility.
The premiums paid for the options represent the cost of the investment and the options are valued daily at their closing price. The Funds recognize a realized gain or loss when the option is sold or expired. Option holdings within a Fund, which may include put options and call options, are subject to loss of value with the passage of time and may experience a total loss of value upon expiration. With options, there is minimal counterparty risk to each Fund since they are exchange traded.
TAX MATTERS
For U.S. Federal income tax purposes, the cost of securities owned, gross appreciation, gross depreciation, and net unrealized appreciation/(depreciation) of investments on March 31, 2022 were as follows:
| Fund |
Cost | Gross Appreciation | Gross Depreciation | Net Appreciation (Depreciation) | |||||||||||||
| Income Fund | $ | 20,997,469 | $ | 93,455 | $ | (247,801 | ) | $ | (154,346 | ) | |||||||
| Moderate Fund | 33,960,066 | 329,429 | (1,651,254 | ) | (1,321,825 | ) | |||||||||||
| Growth Fund | 55,888,237 | 2,367,018 | (1,281,926 | ) | 1,085,092 | ||||||||||||
| Quantitative Fund | 38,605,112 | 226,762 | (879,003 | ) | (652,241 | ) | |||||||||||
| Multidimensional Fund | 32,571,430 | 781,641 | (1,676,772 | ) | (895,131 | ) | |||||||||||
| AlphaGen Fund | 60,051,592 | 789,979 | (975,906 | ) | (185,927 | ) | |||||||||||