NPORT-EX 2 rsst.htm RSST ETF - 04.30.24 PART F

Return Stacked U.S. Stocks & Managed Futures ETF
  
Consolidated Schedule of Investments
  
as of April 30, 2024 (Unaudited)
  
   
EXCHANGE TRADED FUNDS - 75.2%
  
Shares
    
Value
  
iShares Core S&P 500 ETF(a)
    
178,656
    
$
90,121,232
  
TOTAL EXCHANGE TRADED FUNDS (Cost $86,951,549)
      
90,121,232
  
                 
SHORT-TERM INVESTMENTS - 6.6%
                
Money Market Funds - 6.6%
                
First American Government Obligations Fund - Class X, 5.23%(b)
    
7,924,632
      
7,924,632
  
TOTAL SHORT-TERM INVESTMENTS (Cost $7,924,632)
      
7,924,632
  
                 
TOTAL INVESTMENTS - 81.8% (Cost $94,876,181)
    
$
98,045,864
  
Other Assets in Excess of Liabilities - 18.2%
      
21,857,165
  
TOTAL NET ASSETS - 100.0%
          
$
119,903,029
  
                 
Percentages are stated as a percent of net assets.
          

(a)
Fair value of this security exceeds 25% of the Fund’s net assets.  Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov.
(b)
The rate shown represents the annualized 7-day effective yield as of April 30, 2024.
Return Stacked U.S. Stocks & Managed Futures ETF
  
Consolidated Schedule of Open Futures Contracts
  
as of April 30, 2024 (Unaudited)
  
   
The Return Stacked U.S. Stocks & Managed Futures ETF & CFC had the following futures contracts outstanding with PhillipCapital Inc.
  
Description
  
Contracts
Purchased
  
Expiration Date
  
Notional
    
Value / Unrealized
Appreciation
(Depreciation)
  
   Brent Crude Oil(a)
    
57
  
05/31/2024
  
$
4,920,810
    
$
(18,052
)
   Copper(a)
    
106
  
07/29/2024
    
12,095,925
      
112,583
  
   Crude Oil(a)
    
40
  
05/21/2024
    
3,277,200
      
(80,840
)
   Euro STOXX 50 Quanto Index (EUR)
    
221
  
06/21/2024
    
11,571,881
      
(177,375
)
   FTSE 100 Index (GBP)
    
172
  
06/21/2024
    
17,570,865
      
344,576
  
   German Stock Index (EUR)
    
34
  
06/21/2024
    
16,445,955
      
(497,745
)
   Gold(a)
    
97
  
06/26/2024
    
22,338,130
      
18,730
  
   Nasdaq 100 Index
    
22
  
06/21/2024
    
7,731,350
      
(321,852
)
   Nikkei 225 Index
    
41
  
06/13/2024
    
7,828,950
      
(176,521
)
   NY Harbor ULSD(a)
    
4
  
05/31/2024
    
424,637
      
(1,448
)
   Reformulated Gasoline Blendstock(a)
    
10
  
05/31/2024
    
1,130,304
      
1,577
  
   S&P 500 Index
    
173
  
06/21/2024
    
43,829,550
      
(1,508,882
)
   S&P/Toronto Stock Exchange 60 Index (CAD)
    
47
  
06/20/2024
    
8,932,343
      
(142,094
)
   Silver(a)
    
43
  
07/29/2024
    
5,730,610
      
(423,973
)
   U.S. Treasury 5 Year Note
    
485
  
06/28/2024
    
50,799,961
      
(115,406
)
                     
$
(2,986,722
)
                       
–
  
Description
  
Contracts
Sold
  
Expiration Date
  
Notional
    
Value / Unrealized
Appreciation
(Depreciation)
  
   Australian Dollar/US Dollar Cross Currency Rate
    
(107)
06/17/2024
  
$
6,946,440
    
$
(51,207
)
   British Pound/US Dollar Cross Currency Rate
    
(49)

06/17/2024
    
3,830,269
      
(34,771
)
   Canadian Dollar/US Dollar Cross Currency Rate
    
(123)
06/18/2024
    
8,945,175
      
35,840
  
   Euro/US Dollar Cross Currency Rate
    
(235)
06/17/2024
    
31,426,844
      
(44,295
)
   Euro-Bund
    
(127)
06/06/2024
    
17,664,275
      
97,835
  
   Japanese Yen/US Dollar Cross Currency Rate
    
(788)
06/17/2024
    
62,926,725
      
2,635,579
  
   Long Gilt (GBP)
    
(82)
06/26/2024
    
9,834,291
      
137,461
  
   Low Sulphur Gas Oil(a)
    
(12)
06/12/2024
    
931,500
      
8,815
  
   Natural Gas(a)
    
(172)
05/29/2024
    
3,424,520
      
40,203
  
   U.S. Treasury 10 Year Notes
    
(616)
06/18/2024
    
66,181,500
      
877,566
  
   U.S. Treasury 2 Year Notes
    
(1,006)
06/28/2024
    
203,872,188
      
698,153
  
   U.S. Treasury Long Bonds
    
(78)
06/18/2024
    
8,877,375
      
34,433
  
                     
$
4,435,612
  
Total Unrealized Appreciation (Depreciation)
    
$
1,448,890
  

(a)    All or a portion of the investment is a holding of Return Stacked Cayman Subsidiary. 
CAD - Canadian Dollar
EUR - Euro
GBP - Great British Pound
Summary of Fair Value Exposure at April 30, 2024 (Unaudited)

The Fund utilizes various methods to measure the fair value of its investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are:

• 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 spreads, credit risk, yield curves, default rates and similar data.
• Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

The following is a summary of the inputs used to value the Fund's investments as of April 30, 2024:

Return Stacked U.S. Stocks & Managed Futures ETF

  
   
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets:
                        
  Exchange Traded Funds
  
$
90,121,232
    
$
–
    
$
–
    
$
90,121,232
  
  Money Market Funds
    
7,924,632
      
–
      
–
      
7,924,632
  
Total Assets
  
$
98,045,864
    
$
–
    
$
–
    
$
98,045,864
  
                                 
Other Financial Instruments(a):
                                
Assets
                                
  Futures Contracts
  
$
5,043,351
    
$
–
    
$
–
    
$
5,043,351
  
Total Assets
  
$
5,043,351
    
$
–
    
$
–
    
$
5,043,351
  
                                 
Liabilities
                                
  Futures Contracts
  
$
(3,594,461
)
  
$
–
    
$
–
    
$
(3,594,461
)
Total Liabilities
  
$
(3,594,461
)
  
$
–
    
$
–
    
$
(3,594,461
)
                                 
(a) The fair value of the Fund's investment represents the net unrealized appreciation (depreciation) as of April 30, 2024.