UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22911
Reality Shares ETF
Trust
(Exact name of registrant as specified in charter)
402 West Broadway, Suite 2800
San Diego, CA 92101
(Address of principal executive offices) (Zip code)
Eric R. Ervin
c/o Reality Shares Advisors, LLC
402 West Broadway, Suite 2800
San Diego, CA 92101
(Name and address of agent for service)
Registrant's telephone number, including area code: (619) 487-1445
Date of fiscal year end: October 31
Date of reporting period: October 31, 2019
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
| | | | | 1 | | | |
| | | | | 2 | | | |
| | | | | 10 | | | |
| Schedules of Investments | | | | | | | |
| | | | | 11 | | | |
| | | | | 13 | | | |
| | | | | 16 | | | |
| | | | | 19 | | | |
| | | | | 22 | | | |
| | | | | 25 | | | |
| | | | | 27 | | | |
| | | | | 29 | | | |
| | | | | 32 | | | |
| | | | | 37 | | | |
| | | | | 49 | | | |
| | | | | 50 | | | |
| | | | | 51 | | |
Fund Performance History (%)
|
| |
1 Year
|
| |
Total Return
As of October 31, 2019 |
| |||
| | | | | | | | |
Since Inception
(December 18, 2014) |
|
Fund | | | | | | | | | | |
NAV Return | | | | | 1.53% | | | | 3.98% | |
Market Price | | | | | 2.13% | | | | 4.06% | |
Index | | | | | | | | | | |
Barclays US Aggregate Bond Index | | | | | 11.51% | | | | 3.19% | |
HRFX Global Hedge Fund Index | | | | | 3.53% | | | | 1.13% | |
S&P 500 Total Return Index | | | | | 14.33% | | | | 11.05% | |
Fund Performance History (%)
|
| |
1 Year
|
| |
Total Return
As of October 31, 2019 |
| |||
| | | | | | | | |
Since Inception
(January 6, 2016) |
|
Fund | | | | | | | | | | |
NAV Return | | | | | 15.95% | | | | 12.74% | |
Market Price | | | | | 14.78% | | | | 12.65% | |
Index | | | | | | | | | | |
DIVCON Leaders Dividend Index | | | | | 16.43% | | | | 13.35% | |
S&P 500 Total Return Index | | | | | 14.33% | | | | 13.59% | |
Fund Performance History (%)
|
| |
1 Year
|
| |
Total Return
As of October 31, 2019 |
| |||
| | | | | | | | |
Since Inception
(January 14, 2016) |
|
Fund | | | | | | | | | | |
NAV Return | | | | | 12.22% | | | | 7.49% | |
Market Price | | | | | 12.61% | | | | 7.55% | |
Index | | | | | | | | | | |
DIVCON Dividend Defender Index | | | | | 12.32% | | | | 7.97% | |
S&P 500 Total Return Index | | | | | 14.33% | | | | 15.61% | |
HFRX Equity Hedged Index | | | | | 3.18% | | | | 3.09% | |
Fund Performance History (%)
|
| |
1 Year
|
| |
Total Return
As of October 31, 2019 |
| |||
| | | | | | | | |
Since Inception
(January 14, 2016) |
|
Fund | | | | | | | | | | |
NAV Return | | | | | 5.76% | | | | 1.89% | |
Market Price | | | | | 5.46% | | | | 1.86% | |
Index | | | | | | | | | | |
DIVCON Dividend Guard Index | | | | | 5.90% | | | | 2.54% | |
S&P 500 Total Return Index | | | | | 14.33% | | | | 15.61% | |
Fund Performance History (%)
|
| |
1 Year
|
| |
Total Return
As of October 31, 2019 |
| |||
| | | | | | | | |
Since Inception
(January 17, 2018) |
|
Fund | | | | | | | | | | |
NAV Return | | | | | 15.24% | | | | 1.37% | |
Market Price | | | | | 14.27% | | | | 1.03% | |
Index | | | | | | | | | | |
NASDAQ Blockchain Economy NTR Index | | | | | 15.74% | | | | 1.63% | |
MSCI ACWI Total Return Index | | | | | 12.59% | | | | 2.10% | |
Fund
|
| |
Beginning
Account Value |
| |
Ending
Account Value October 31, 2019 |
| |
Annualized
Expense Ratio for the Period |
| |
Expenses Paid
During Period Per $1,000 |
| ||||||||||||
Reality Shares DIVS ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual
|
| | | $ | 1,000.00 | | | | | $ | 1,000.50 | | | | | | 0.85% | | | | | $ | 4.29 | | |
Hypothetical(1)
|
| | | $ | 1,000.00 | | | | | $ | 1,020.92 | | | | | | 0.85% | | | | | $ | 4.33 | | |
Reality Shares DIVCON Leaders Dividend ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual
|
| | | $ | 1,000.00 | | | | | $ | 1,034.60 | | | | | | 0.43% | | | | | $ | 2.21 | | |
Hypothetical(1)
|
| | | $ | 1,000.00 | | | | | $ | 1,023.04 | | | | | | 0.43% | | | | | $ | 2.19 | | |
Reality Shares DIVCON Dividend Defender ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual
|
| | | $ | 1,000.00 | | | | | $ | 1,042.90 | | | | | | 0.92% | | | | | $ | 4.74 | | |
Hypothetical(1)
|
| | | $ | 1,000.00 | | | | | $ | 1,020.57 | | | | | | 0.92% | | | | | $ | 4.69 | | |
Reality Shares DIVCON Dividend Guard ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual
|
| | | $ | 1,000.00 | | | | | $ | 1,030.90 | | | | | | 0.85% | | | | | $ | 4.35 | | |
Hypothetical(1)
|
| | | $ | 1,000.00 | | | | | $ | 1,020.92 | | | | | | 0.85% | | | | | $ | 4.33 | | |
Reality Shares NASDAQ NexGen Economy ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual
|
| | | $ | 1,000.00 | | | | | $ | 1,024.70 | | | | | | 0.68% | | | | | $ | 3.47 | | |
Hypothetical(1)
|
| | | $ | 1,000.00 | | | | | $ | 1,021.78 | | | | | | 0.68% | | | | | $ | 3.47 | | |
| | |
Principal/
Shares |
| |
Value
|
| ||||||
Treasury Bills — 98.4%(a) | | | | | | | | | | | | | |
U.S. Treasury Bill, 11/07/2019(b) | | | | $ | 4,010,000 | | | | | $ | 4,008,939 | | |
U.S. Treasury Bill, 01/09/2020 | | | | | 10,416,000 | | | | | | 10,385,505 | | |
U.S. Treasury Bill, 02/13/2020 | | | | | 6,260,000 | | | | | | 6,232,644 | | |
U.S. Treasury Bill, 03/05/2020 | | | | | 6,415,000 | | | | | | 6,380,976 | | |
U.S. Treasury Bill, 03/12/2020(b) | | | | | 4,584,000 | | | | | | 4,558,326 | | |
U.S. Treasury Bill, 03/19/2020 | | | | | 7,543,000 | | | | | | 7,499,022 | | |
U.S. Treasury Bill, 03/26/2020 | | | | | 5,778,000 | | | | | | 5,742,206 | | |
U.S. Treasury Bill, 04/09/2020 | | | | | 3,673,000 | | | | | | 3,648,248 | | |
U.S. Treasury Bill, 04/23/2020 | | | | | 708,000 | | | | | | 702,824 | | |
U.S. Treasury Bill, 02/06/2020 | | | | | 5,086,000 | | | | | | 5,065,135 | | |
U.S. Treasury Bill, 01/30/2020 | | | | | 10,079,000 | | | | | | 10,040,700 | | |
(Cost $64,206,956) | | | | | | | | | |
|
64,264,525
|
| |
Money Markets — 0.2% | | | | | | | | | | | | | |
Blackrock Federal FD 30 Instl, 1.72%(b)(c) | | | | | 103,704 | | | | | | 103,704 | | |
Goldman Sachs Financial Square Money Market Fund,
Institutional Shares, 1.96%(c) |
| | | | 37,325 | | | | | | 37,325 | | |
(Cost $141,029) | | | | | | | | | |
|
141,029
|
| |
Total Investments — 98.6% | | | | | | | | | | | | | |
(Cost $64,347,985) | | | | | | | | | |
|
64,405,554
|
| |
Other Assets in Excess of Liabilities — 1.4% | | | | | | | | | | | 935,561 | | |
Net Assets — 100.0% | | | | | | | | | | $ | 65,341,115 | | |
Underlying Index
|
| |
Counterparties*
|
| |
Units
|
| |
Expiration
Date |
| |
Notional
Amount Long (Short)** |
| |
Value/Unrealized
Appreciation (Depreciation) |
| ||||||||||||
S&P 500 | | |
BNP Paribas
|
| | | | 144,000 | | | | | | 12/31/2019 | | | | | $ | (7,609,578) | | | | | $ | 751,062 | | |
S&P 500 | | |
JP Morgan
|
| | | | 84,500 | | | | | | 12/31/2019 | | | | | | (4,185,809) | | | | | | 720,261 | | |
S&P 500 | | |
Morgan Stanley
|
| | | | 35,000 | | | | | | 12/31/2019 | | | | | | (1,897,494) | | | | | | 134,606 | | |
S&P 500 | | |
Societe Generale
|
| | | | 24,000 | | | | | | 12/31/2019 | | | | | | (1,267,623) | | | | | | 125,817 | | |
S&P 500 | | |
Bank of America
|
| | | | 10,000 | | | | | | 12/31/2020 | | | | | | (577,725) | | | | | | 10,574 | | |
S&P 500 | | |
BNP Paribas
|
| | | | 129,600 | | | | | | 12/31/2020 | | | | | | (7,220,987) | | | | | | 403,381 | | |
S&P 500 | | |
JP Morgan
|
| | | | 12,000 | | | | | | 12/31/2020 | | | | | | (688,546) | | | | | | 17,414 | | |
S&P 500 | | |
Morgan Stanley
|
| | | | 50,000 | | | | | | 12/31/2020 | | | | | | (2,764,372) | | | | | | 177,128 | | |
S&P 500 | | |
Societe Generale
|
| | | | 79,000 | | | | | | 12/31/2020 | | | | | | (4,258,289) | | | | | | 389,281 | | |
S&P 500 | | |
Bank of America
|
| | | | 20,000 | | | | | | 12/31/2021 | | | | | | (1,147,049) | | | | | | 30,151 | | |
S&P 500 | | |
BNP Paribas
|
| | | | 201,500 | | | | | | 12/31/2021 | | | | | | (11,940,572) | | | | | | (80,282) | | |
S&P 500 | | |
Morgan Stanley
|
| | | | 73,700 | | | | | | 12/31/2021 | | | | | | (4,389,788) | | | | | | (51,806) | | |
S&P 500 | | |
Societe Generale
|
| | | | 18,750 | | | | | | 12/31/2021 | | | | | | (1,057,360) | | | | | | 46,265 | | |
S&P 500 | | |
Bank of America
|
| | | | 30,000 | | | | | | 12/31/2022 | | | | | | (1,736,169) | | | | | | 15,831 | | |
S&P 500 | | |
BNP Paribas
|
| | | | 147,400 | | | | | | 12/31/2022 | | | | | | (8,910,229) | | | | | | (302,069) | | |
S&P 500 | | |
Morgan Stanley
|
| | | | 70,000 | | | | | | 12/31/2022 | | | | | | (4,301,718) | | | | | | (213,717) | | |
S&P 500 | | |
Societe Generale
|
| | | | 12,000 | | | | | | 12/31/2022 | | | | | | (693,506) | | | | | | 7,294 | | |
S&P 500 | | |
Bank of America
|
| | | | 55,000 | | | | | | 12/31/2023 | | | | | | (3,139,461) | | | | | | 73,639 | | |
S&P 500 | | |
BNP Paribas
|
| | | | 81,000 | | | | | | 12/31/2023 | | | | | | (4,858,705) | | | | | | (126,685) | | |
Total Unrealized Appreciation/(Depreciation):
|
| | | | | | | | | | | | | | | | | | | | | | | |
$
|
2,128,145
|
| |
Valuation Inputs
|
| |
Level 1
|
| |
Level 2
|
| |
Level 3
|
| |
Total
|
| ||||||||||||
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Treasury Bills | | | | $ | — | | | | | $ | 64,264,525 | | | | | $ | — | | | | | $ | 64,264,525 | | |
Money Markets | | | | | 141,029 | | | | | | — | | | | | | — | | | | | | 141,029 | | |
Other Financial Instruments*** | | | | | — | | | | | | 2,902,704 | | | | | | — | | | | | | 2,902,704 | | |
Total Assets
|
| | | $ | 141,029 | | | | | $ | 67,167,229 | | | | | $ | — | | | | | $ | 67,308,258 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | $ | — | | | | | $ | (774,559) | | | | | $ | — | | | | | $ | (774,559) | | |
Total Liabilities
|
| | | $ | — | | | | | $ | (774,559) | | | | | $ | — | | | | | $ | (774,559) | | |
Industry
|
| |
% of Net
Assets |
| |||
Treasury Bills | | | | | 98.4% | | |
Money Markets | | | | | 0.2 | | |
Total Investments | | | | | 98.6 | | |
Other Assets in Excess of Liabilities | | | | | 1.4 | | |
Net Assets | | | | | 100.0% | | |
| | |
Shares
|
| |
Value
|
| ||||||
Common Stocks — 99.9% | | ||||||||||||
Aerospace & Defense — 1.5% | | ||||||||||||
Boeing Co. (The) | | | | | 1,412 | | | | |
$
|
479,953
|
| |
Air Freight & Logistics — 1.5% | | | | | | | | | | | | | |
Expeditors International of Washington, Inc. | | | | | 6,349 | | | | |
|
463,096
|
| |
Auto Components — 1.3% | | ||||||||||||
Lear Corp. | | | | | 3,452 | | | | |
|
406,542
|
| |
Banks — 6.0% | | ||||||||||||
Comerica, Inc. | | | | | 5,944 | | | | | | 388,857 | | |
PNC Financial Services Group, Inc. (The) | | | | | 3,432 | | | | | | 503,475 | | |
Regions Financial Corp. | | | | | 30,364 | | | | | | 488,860 | | |
SunTrust Banks, Inc. | | | | | 7,686 | | | | | | 525,261 | | |
| | | | | | | | | | | 1,906,453 | | |
Biotechnology — 1.3% | | ||||||||||||
AbbVie, Inc. | | | | | 5,069 | | | | |
|
403,239
|
| |
Building Products — 1.6% | | ||||||||||||
Lennox International, Inc. | | | | | 2,090 | | | | |
|
516,982
|
| |
Capital Markets — 11.9% | | ||||||||||||
Cboe Global Markets, Inc. | | | | | 4,185 | | | | | | 481,903 | | |
FactSet Research Systems, Inc. | | | | | 1,962 | | | | | | 497,406 | | |
MSCI, Inc. | | | | | 3,031 | | | | | | 710,951 | | |
Northern Trust Corp. | | | | | 4,893 | | | | | | 487,734 | | |
S&P Global, Inc. | | | | | 2,701 | | | | | | 696,831 | | |
T Rowe Price Group, Inc. | | | | | 4,766 | | | | | | 551,903 | | |
TD Ameritrade Holding Corp. | | | | | 9,130 | | | | | | 350,410 | | |
| | | | | | | | | | | 3,777,138 | | |
Chemicals — 3.2% | | ||||||||||||
Celanese Corp. | | | | | 4,965 | | | | | | 601,510 | | |
Westlake Chemical Corp. | | | | | 6,455 | | | | | | 407,891 | | |
| | | | | | | | | | | 1,009,401 | | |
Commercial Services & Supplies — 3.7% | | ||||||||||||
Cintas Corp. | | | | | 2,719 | | | | | | 730,513 | | |
Rollins, Inc. | | | | | 11,734 | | | | | | 447,183 | | |
| | | | | | | | | | | 1,177,696 | | |
Electrical Equipment — 1.5% | | ||||||||||||
Rockwell Automation, Inc. | | | | | 2,700 | | | | |
|
464,373
|
| |
Electronic Equipment Instruments & Components — 2.0% | | ||||||||||||
CDW Corp. | | | | | 5,042 | | | | |
|
644,922
|
| |
Entertainment — 1.6% | | ||||||||||||
Walt Disney Co. (The) | | | | | 3,920 | | | | |
|
509,286
|
| |
Food & Staples Retailing — 0.9% | | ||||||||||||
Walgreens Boots Alliance, Inc. | | | | | 5,435 | | | | |
|
297,729
|
| |
Gas Utilities — 1.1% | | ||||||||||||
UGI Corp. | | | | | 7,373 | | | | |
|
351,471
|
| |
Health Care Providers & Services — 1.3% | | ||||||||||||
UnitedHealth Group, Inc. | | | | | 1,673 | | | | |
|
422,767
|
| |
|
| | |
Shares
|
| |
Value
|
| ||||||
Hotels, Restaurants & Leisure — 4.9% | | ||||||||||||
Domino’s Pizza, Inc. | | | | | 1,754 | | | | | $ | 476,421 | | |
Marriott International, Inc., Class A | | | | | 3,992 | | | | | | 505,188 | | |
Starbucks Corp. | | | | | 6,785 | | | | | | 573,740 | | |
| | | | | | | | | | | 1,555,349 | | |
Household Products — 1.4% | | ||||||||||||
Church & Dwight Co., Inc. | | | | | 6,533 | | | | |
|
456,918
|
| |
Insurance — 1.7% | | ||||||||||||
Globe Life, Inc. | | | | | 5,528 | | | | |
|
538,040
|
| |
IT Services — 7.3% | | ||||||||||||
Broadridge Financial Solutions, Inc. | | | | | 4,754 | | | | | | 595,296 | | |
Jack Henry & Associates, Inc. | | | | | 3,321 | | | | | | 470,121 | | |
Mastercard, Inc., Class A | | | | | 2,341 | | | | | | 648,012 | | |
Visa, Inc., Class A | | | | | 3,441 | | | | | | 615,457 | | |
| | | | | | | | | | | 2,328,886 | | |
Machinery — 5.0% | | ||||||||||||
IDEX Corp. | | | | | 3,305 | | | | | | 514,027 | | |
Illinois Tool Works, Inc. | | | | | 3,474 | | | | | | 585,647 | | |
Snap-on, Inc. | | | | | 2,879 | | | | | | 468,327 | | |
| | | | | | | | | | | 1,568,001 | | |
Metals & Mining — 2.6% | | ||||||||||||
Nucor Corp. | | | | | 7,547 | | | | | | 406,406 | | |
Steel Dynamics, Inc. | | | | | 14,007 | | | | | | 425,252 | | |
| | | | | | | | | | | 831,658 | | |
Oil, Gas & Consumable Fuels — 3.3% | | ||||||||||||
Marathon Petroleum Corp. | | | | | 7,061 | | | | | | 451,551 | | |
Phillips 66 | | | | | 5,130 | | | | | | 599,287 | | |
| | | | | | | | | | | 1,050,838 | | |
Personal Products — 1.9% | | ||||||||||||
Estee Lauder Cos., Inc. (The), Class A | | | | | 3,195 | | | | |
|
595,133
|
| |
Pharmaceuticals — 2.1% | | ||||||||||||
Zoetis, Inc. | | | | | 5,087 | | | | |
|
650,729
|
| |
Road & Rail — 1.6% | | ||||||||||||
Union Pacific Corp. | | | | | 2,999 | | | | |
|
496,215
|
| |
Semiconductors & Semiconductor Equipment — 10.3% | | ||||||||||||
Analog Devices, Inc. | | | | | 5,006 | | | | | | 533,790 | | |
Broadcom, Inc. | | | | | 2,072 | | | | | | 606,785 | | |
Lam Research Corp. | | | | | 3,313 | | | | | | 897,956 | | |
NVIDIA Corp. | | | | | 3,147 | | | | | | 632,610 | | |
Texas Instruments, Inc. | | | | | 4,976 | | | | | | 587,118 | | |
| | | | | | | | | | | 3,258,259 | | |
Software — 1.8% | | ||||||||||||
Intuit, Inc. | | | | | 2,208 | | | | |
|
568,560
|
| |
Specialty Retail — 7.3% | | ||||||||||||
Home Depot, Inc. (The) | | | | | 2,524 | | | | | | 592,080 | | |
Ross Stores, Inc. | | | | | 5,977 | | | | | | 655,498 | | |
TJX Cos., Inc. (The) | | | | | 10,373 | | | | | | 598,003 | | |
Tractor Supply Co. | | | | | 4,954 | | | | | | 470,729 | | |
| | | | | | | | | | | 2,316,310 | | |
| | |
Shares
|
| |
Value
|
| ||||||
Treasury Bill — 0.1%(a) | | | | | | | | | | | | | |
U.S. Treasury Bill, 12/26/2019
(Cost $29,922) |
| | | | 30,000 | | | | |
$
|
29,929
|
| |
Money Markets — 0.0%(b) | | | | | | | | | | | | | |
Goldman Sachs Financial Square Money Market Fund, Institutional Shares, 1.96%(c)
(Cost $7,862) |
| | | | 7,862 | | | | |
|
7,862
|
| |
Total Investments — 100.0%
(Cost $26,872,280) |
| | | | | | | | | | 31,730,037 | | |
Other Assets in Excess of Liabilities — 0.0%(b) | | | | | | | | | | | 4,883 | | |
Net Assets — 100.0% | | | | | | | | | | $ | 31,734,920 | | |
Valuation Inputs
|
| |
Level 1
|
| |
Level 2
|
| |
Level 3
|
| |
Total
|
| ||||||||||||
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 31,692,246 | | | | | $ | — | | | | | $ | — | | | | | $ | 31,692,246 | | |
Treasury Bill | | | | | — | | | | | | 29,929 | | | | | | — | | | | | | 29,929 | | |
Money Markets | | | | | 7,862 | | | | | | — | | | | | | — | | | | | | 7,862 | | |
Total Assets
|
| | | $ | 31,700,108 | | | | | $ | 29,929 | | | | | $ | — | | | | | $ | 31,730,037 | | |
Industry
|
| |
% of Net
Assets |
| |||
Aerospace & Defense | | | | | 1.5% | | |
Air Freight & Logistics | | | | | 1.5 | | |
Auto Components | | | | | 1.3 | | |
Banks | | | | | 6.0 | | |
Biotechnology | | | | | 1.3 | | |
Building Products | | | | | 1.6 | | |
Capital Markets | | | | | 11.9 | | |
Chemicals | | | | | 3.2 | | |
Commercial Services & Supplies | | | | | 3.7 | | |
Electrical Equipment | | | | | 1.5 | | |
Electronic Equipment Instruments & Components | | | | | 2.0 | | |
Entertainment | | | | | 1.6 | | |
Food & Staples Retailing | | | | | 0.9 | | |
Gas Utilities | | | | | 1.1 | | |
Health Care Providers & Services | | | | | 1.3 | | |
Hotels, Restaurants & Leisure | | | | | 4.9 | | |
Household Products | | | | | 1.4 | | |
Insurance | | | | | 1.7 | | |
IT Services | | | | | 7.3 | | |
Machinery | | | | | 5.0 | | |
Metals & Mining | | | | | 2.6 | | |
Oil, Gas & Consumable Fuels | | | | | 3.3 | | |
Personal Products | | | | | 1.9 | | |
Pharmaceuticals | | | | | 2.1 | | |
Road & Rail | | | | | 1.6 | | |
Semiconductors & Semiconductor Equipment | | | | | 10.3 | | |
Software | | | | | 1.8 | | |
Specialty Retail | | | | | 7.3 | | |
Technology Hardware, Storage & Peripherals | | | | | 3.3 | | |
Textiles, Apparel & Luxury Goods | | | | | 1.7 | | |
Trading Companies & Distributors | | | | | 3.3 | | |
Treasury Bill | | | | | 0.1 | | |
Money Markets | | | | | 0.0(a) | | |
Total Investments | | | | | 100.0 | | |
Other Assets in Excess of Liabilities | | | | | 0.0(a) | | |
Net Assets | | | | | 100.0% | | |
| | |
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Common Stocks(a) — 76.5% | | ||||||||||||
Aerospace & Defense — 1.1% | | ||||||||||||
Boeing Co. (The) | | | | | 204 | | | | |
$
|
69,342
|
| |
Air Freight & Logistics — 1.1% | | ||||||||||||
Expeditors International of Washington, Inc. | | | | | 937 | | | | |
|
68,345
|
| |
Auto Components — 1.0% | | ||||||||||||
Lear Corp. | | | | | 513 | | | | |
|
60,416
|
| |
Banks — 4.6% | | ||||||||||||
Comerica, Inc. | | | | | 885 | | | | | | 57,897 | | |
PNC Financial Services Group, Inc. (The) | | | | | 508 | | | | | | 74,523 | | |
Regions Financial Corp. | | | | | 4,518 | | | | | | 72,740 | | |
SunTrust Banks, Inc. | | | | | 1,142 | | | | | | 78,044 | | |
| | | | | | | | | | | 283,204 | | |
Biotechnology — 1.0% | | ||||||||||||
AbbVie, Inc. | | | | | 741 | | | | |
|
58,947
|
| |
Building Products — 1.3% | | ||||||||||||
Lennox International, Inc. | | | | | 308 | | | | |
|
76,187
|
| |
Capital Markets — 9.1% | | ||||||||||||
Cboe Global Markets, Inc. | | | | | 621 | | | | | | 71,508 | | |
FactSet Research Systems, Inc. | | | | | 288 | | | | | | 73,014 | | |
MSCI, Inc. | | | | | 447 | | | | | | 104,848 | | |
Northern Trust Corp. | | | | | 723 | | | | | | 72,069 | | |
S&P Global, Inc. | | | | | 402 | | | | | | 103,712 | | |
T Rowe Price Group, Inc. | | | | | 710 | | | | | | 82,218 | | |
TD Ameritrade Holding Corp. | | | | | 1,360 | | | | | | 52,197 | | |
| | | | | | | | | | | 559,566 | | |
Chemicals — 2.4% | | ||||||||||||
Celanese Corp. | | | | | 736 | | | | | | 89,166 | | |
Westlake Chemical Corp. | | | | | 940 | | | | | | 59,399 | | |
| | | | | | | | | | | 148,565 | | |
Commercial Services & Supplies — 2.9% | | ||||||||||||
Cintas Corp. | | | | | 402 | | | | | | 108,005 | | |
Rollins, Inc. | | | | | 1,740 | | | | | | 66,312 | | |
| | | | | | | | | | | 174,317 | | |
Electrical Equipment — 1.1% | | ||||||||||||
Rockwell Automation, Inc. | | | | | 395 | | | | |
|
67,936
|
| |
Electronic Equipment Instruments & Components — 1.6% | | ||||||||||||
CDW Corp. | | | | | 762 | | | | |
|
97,467
|
| |
Entertainment — 1.2% | | ||||||||||||
Walt Disney Co. (The) | | | | | 578 | | | | |
|
75,094
|
| |
Food & Staples Retailing — 0.7% | | ||||||||||||
Walgreens Boots Alliance, Inc. | | | | | 800 | | | | |
|
43,824
|
| |
Gas Utilities — 0.9% | | ||||||||||||
UGI Corp. | | | | | 1,090 | | | | |
|
51,960
|
| |
Health Care Providers & Services — 1.0% | | ||||||||||||
UnitedHealth Group, Inc. | | | | | 247 | | | | |
|
62,417
|
| |
|
| | |
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Value
|
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Hotels, Restaurants & Leisure — 3.8% | | ||||||||||||
Domino’s Pizza, Inc. | | | | | 257 | | | | | $ | 69,807 | | |
Marriott International, Inc., Class A | | | | | 595 | | | | | | 75,297 | | |
Starbucks Corp. | | | | | 1,009 | | | | | | 85,321 | | |
| | | | | | | | | | | 230,425 | | |
Household Products — 1.1% | | ||||||||||||
Church & Dwight Co., Inc. | | | | | 968 | | | | |
|
67,702
|
| |
Insurance — 1.3% | | ||||||||||||
Globe Life, Inc. | | | | | 816 | | | | |
|
79,421
|
| |
IT Services — 5.6% | | ||||||||||||
Broadridge Financial Solutions, Inc. | | | | | 698 | | | | | | 87,404 | | |
Jack Henry & Associates, Inc. | | | | | 491 | | | | | | 69,506 | | |
Mastercard, Inc., Class A | | | | | 348 | | | | | | 96,330 | | |
Visa, Inc., Class A | | | | | 511 | | | | | | 91,397 | | |
| | | | | | | | | | | 344,637 | | |
Machinery — 3.8% | | ||||||||||||
IDEX Corp. | | | | | 489 | | | | | | 76,054 | | |
Illinois Tool Works, Inc. | | | | | 513 | | | | | | 86,482 | | |
Snap-on, Inc. | | | | | 427 | | | | | | 69,460 | | |
| | | | | | | | | | | 231,996 | | |
Metals & Mining — 2.0% | | ||||||||||||
Nucor Corp. | | | | | 1,119 | | | | | | 60,258 | | |
Steel Dynamics, Inc. | | | | | 2,093 | | | | | | 63,544 | | |
| | | | | | | | | | | 123,802 | | |
Oil, Gas & Consumable Fuels — 2.5% | | ||||||||||||
Marathon Petroleum Corp. | | | | | 1,048 | | | | | | 67,019 | | |
Phillips 66 | | | | | 757 | | | | | | 88,433 | | |
| | | | | | | | | | | 155,452 | | |
Personal Products — 1.4% | | ||||||||||||
Estee Lauder Cos., Inc. (The), Class A | | | | | 472 | | | | |
|
87,919
|
| |
Pharmaceuticals — 1.6% | | ||||||||||||
Zoetis, Inc. | | | | | 757 | | | | |
|
96,835
|
| |
Road & Rail — 1.2% | | ||||||||||||
Union Pacific Corp. | | | | | 441 | | | | |
|
72,968
|
| |
Semiconductors & Semiconductor Equipment — 7.8% | | ||||||||||||
Analog Devices, Inc. | | | | | 737 | | | | | | 78,586 | | |
Broadcom, Inc. | | | | | 299 | | | | | | 87,562 | | |
Lam Research Corp. | | | | | 490 | | | | | | 132,810 | | |
NVIDIA Corp. | | | | | 469 | | | | | | 94,278 | | |
Texas Instruments, Inc. | | | | | 737 | | | | | | 86,959 | | |
| | | | | | | | | | | 480,195 | | |
Software — 1.4% | | ||||||||||||
Intuit, Inc. | | | | | 328 | | | | |
|
84,460
|
| |
Specialty Retail — 5.6% | | ||||||||||||
Home Depot, Inc. (The) | | | | | 374 | | | | | | 87,733 | | |
Ross Stores, Inc. | | | | | 881 | | | | | | 96,619 | | |
TJX Cos., Inc. (The) | | | | | 1,528 | | | | | | 88,089 | | |
Tractor Supply Co. | | | | | 730 | | | | | | 69,365 | | |
| | | | | | | | | | | 341,806 | | |
| | |
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Value
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Technology Hardware, Storage & Peripherals — 2.5% | | ||||||||||||
Apple, Inc. | | | | | 392 | | | | | $ | 97,514 | | |
NetApp, Inc. | | | | | 1,021 | | | | | | 57,053 | | |
| | | | | | | | | | | 154,567 | | |
Textiles, Apparel & Luxury Goods — 1.3% | | ||||||||||||
NIKE, Inc., Class B | | | | | 888 | | | | |
|
79,520
|
| |
Trading Companies & Distributors — 2.6% | | ||||||||||||
Fastenal Co. | | | | | 2,332 | | | | | | 83,812 | | |
W.W. Grainger, Inc. | | | | | 236 | | | | | | 72,886 | | |
| | | | | | | | | | | 156,698 | | |
Total Common Stocks
(Cost $4,013,602) |
| | | | | | | | | | 4,685,990 | | |
Treasury Bills — 20.8%(b) | | ||||||||||||
U.S. Treasury Bill, 12/26/2019 | | | | | 740,000 | | | | | | 738,268 | | |
U.S. Treasury Bill, 02/06/2020 | | | | | 173,000 | | | | | | 172,290 | | |
U.S. Treasury Bill, 04/09/2020 | | | | | 363,000 | | | | | | 360,554 | | |
(Cost $1,270,594)
|
| | | | | | | | |
|
1,271,112
|
| |
Money Markets — 0.1% | | ||||||||||||
Blackrock Federal FD 30 Instl, 1.72%(a)(c)
|
| | | | 214 | | | | | | 214 | | |
Goldman Sachs Financial Square Money Market Fund, Institutional Shares, 1.96%(c)
|
| | | | 8,535 | | | | | | 8,535 | | |
(Cost $8,749)
|
| | | | | | | | |
|
8,749
|
| |
Total Investments Before Securities Sold Short
(Cost $5,292,945) |
| | | | | | | | | | 5,965,851 | | |
Securities Sold Short | | ||||||||||||
Common Stocks — (19.8)% | | ||||||||||||
Aerospace & Defense — (2.0)% | | ||||||||||||
Arconic, Inc. | | | | | (4,454) | | | | |
|
(122,351)
|
| |
Airlines — (1.2)% | | ||||||||||||
American Airlines Group, Inc. | | | | | (2,340) | | | | |
|
(70,340)
|
| |
Chemicals — (0.8)% | | ||||||||||||
Mosaic Co. (The) | | | | | (2,353) | | | | |
|
(46,778)
|
| |
Diversified Telecommunication — (0.9)% | | ||||||||||||
CenturyLink, Inc. | | | | | (4,025) | | | | |
|
(52,084)
|
| |
|
| | |
Shares
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Value
|
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Electric Utilities — (2.8)% | | ||||||||||||
Avangrid, Inc. | | | | | (1,348) | | | | | $ | (67,467) | | |
FirstEnergy Corp. | | | | | (2,165) | | | | | | (104,613) | | |
| | | | | | | | | | | (172,080) | | |
Energy Equipment & Services — (1.0)% | | ||||||||||||
National Oilwell Varco, Inc. | | | | | (2,808) | | | | |
|
(63,517)
|
| |
Entertainment — (0.9)% | | ||||||||||||
Viacom, Inc., Class B | | | | | (2,404) | | | | |
|
(51,830)
|
| |
Independent Power and Renewable Electricity Producers — (1.2)% | | ||||||||||||
NRG Energy, Inc. | | | | | (1,869) | | | | |
|
(74,984)
|
| |
Industrial Conglomerates — (1.9)% | | ||||||||||||
General Electric Co. | | | | | (11,542) | | | | |
|
(115,189)
|
| |
Metals & Mining — (1.0)% | | ||||||||||||
Freeport-McMoRan, Inc. | | | | | (6,419) | | | | |
|
(63,035)
|
| |
Oil, Gas & Consumable Fuels — (4.7)% | | ||||||||||||
Hess Corp. | | | | | (1,663) | | | | | | (109,342) | | |
Marathon Oil Corp. | | | | | (4,848) | | | | | | (55,898) | | |
Noble Energy, Inc. | | | | | (2,953) | | | | | | (56,875) | | |
Williams Cos., Inc. (The) | | | | | (2,987) | | | | | | (66,640) | | |
| | | | | | | | | | | (288,755) | | |
Software — (1.4)% | | ||||||||||||
Symantec Corp. | | | | | (3,865) | | | | |
|
(88,431)
|
| |
Total Securities Sold Short
[Proceeds $(1,279,191)] |
| | | | | | | | | | (1,209,374) | | |
Total Investments — 77.6%
(Cost $4,013,754) |
| | | | | | | | | | 4,756,477 | | |
Other Assets in Excess of Liabilities — 22.4% | | | | | | | | | | | 1,369,878 | | |
Net Assets — 100.0% | | | | | | | | | | $ | 6,126,355 | | |
Valuation Inputs
|
| |
Level 1
|
| |
Level 2
|
| |
Level 3
|
| |
Total
|
| ||||||||||||
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 4,685,990 | | | | | $ | — | | | | | $ | — | | | | | $ | 4,685,990 | | |
Treasury Bills | | | | | — | | | | | | 1,271,112 | | | | | | — | | | | | | 1,271,112 | | |
Money Markets | | | | | 8,749 | | | | | | — | | | | | | — | | | | | | 8,749 | | |
Total Assets
|
| | | $ | 4,694,739 | | | | | $ | 1,271,112 | | | | | $ | — | | | | | $ | 5,965,851 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | (1,209,374) | | | | | $ | — | | | | | $ | — | | | | | $ | (1,209,374) | | |
Total Liabilities
|
| | | $ | (1,209,374) | | | | | $ | — | | | | | $ | — | | | | | $ | (1,209,374) | | |
Industry
|
| |
% of Net
Assets |
| |||
Aerospace & Defense | | | | | (0.9)% | | |
Air Freight & Logistics | | | | | 1.1 | | |
Airlines | | | | | (1.2) | | |
Auto Components | | | | | 1.0 | | |
Banks | | | | | 4.6 | | |
Biotechnology | | | | | 1.0 | | |
Building Products | | | | | 1.3 | | |
Capital Markets | | | | | 9.1 | | |
Chemicals | | | | | 1.6 | | |
Commercial Services & Supplies | | | | | 2.9 | | |
Diversified Telecommunication | | | | | (0.9) | | |
Electric Utilities | | | | | (2.8) | | |
Electrical Equipment | | | | | 1.1 | | |
Electronic Equipment Instruments & Components | | | | | 1.6 | | |
Energy Equipment & Services | | | | | (1.0) | | |
Entertainment | | | | | 0.3 | | |
Food & Staples Retailing | | | | | 0.7 | | |
Gas Utilities | | | | | 0.9 | | |
Health Care Providers & Services | | | | | 1.0 | | |
Hotels, Restaurants & Leisure | | | | | 3.8 | | |
Household Products | | | | | 1.1 | | |
Independent Power and Renewable Electricity Producers | | | | | (1.2) | | |
Industrial Conglomerates | | | | | (1.9) | | |
Insurance | | | | | 1.3 | | |
IT Services | | | | | 5.6 | | |
Machinery | | | | | 3.8 | | |
Metals & Mining | | | | | 1.0 | | |
Oil, Gas & Consumable Fuels | | | | | (2.2) | | |
Personal Products | | | | | 1.4 | | |
Pharmaceuticals | | | | | 1.6 | | |
Road & Rail | | | | | 1.2 | | |
Semiconductors & Semiconductor Equipment | | | | | 7.8 | | |
Software | | | | | 0.0(a) | | |
Specialty Retail | | | | | 5.6 | | |
Technology Hardware, Storage & Peripherals | | | | | 2.5 | | |
Textiles, Apparel & Luxury Goods | | | | | 1.3 | | |
Trading Companies & Distributors | | | | | 2.6 | | |
Treasury Bills | | | | | 20.8 | | |
Money Markets | | | | | 0.1 | | |
Total Investments | | | | | 77.6 | | |
Other Assets in Excess of Liabilities | | | | | 22.4 | | |
Net Assets | | | | | 100.0% | | |
| | |
Shares
|
| |
Value
|
| ||||||
Common Stocks — 99.9% | | ||||||||||||
Aerospace & Defense — 1.4% | | ||||||||||||
Boeing Co. (The) | | | | | 586 | | | | |
$
|
199,187
|
| |
Air Freight & Logistics — 1.5% | | ||||||||||||
Expeditors International of Washington, Inc. | | | | | 2,790 | | | | |
|
203,503
|
| |
Auto Components — 1.2% | | ||||||||||||
Lear Corp. | | | | | 1,411 | | | | |
|
166,173
|
| |
Banks — 6.5% | | ||||||||||||
Comerica, Inc. | | | | | 2,787 | | | | | | 182,326 | | |
PNC Financial Services Group, Inc. (The) | | | | | 1,615 | | | | | | 236,920 | | |
Regions Financial Corp. | | | | | 14,875 | | | | | | 239,488 | | |
SunTrust Banks, Inc. | | | | | 3,445 | | | | | | 235,431 | | |
| | | | | | | | | | | 894,165 | | |
Biotechnology — 1.6% | | ||||||||||||
AbbVie, Inc. | | | | | 2,817 | | | | |
|
224,092
|
| |
Building Products — 1.5% | | ||||||||||||
Lennox International, Inc. | | | | | 827 | | | | |
|
204,567
|
| |
Capital Markets — 11.6% | | ||||||||||||
Cboe Global Markets, Inc. | | | | | 2,151 | | | | | | 247,688 | | |
FactSet Research Systems, Inc. | | | | | 834 | | | | | | 211,436 | | |
MSCI, Inc. | | | | | 1,011 | | | | | | 237,140 | | |
Northern Trust Corp. | | | | | 2,346 | | | | | | 233,849 | | |
S&P Global, Inc. | | | | | 1,044 | | | | | | 269,342 | | |
T Rowe Price Group, Inc. | | | | | 2,079 | | | | | | 240,748 | | |
TD Ameritrade Holding Corp. | | | | | 4,203 | | | | | | 161,311 | | |
| | | | | | | | | | | 1,601,514 | | |
Chemicals — 3.2% | | ||||||||||||
Celanese Corp. | | | | | 2,161 | | | | | | 261,805 | | |
Westlake Chemical Corp. | | | | | 2,938 | | | | | | 185,652 | | |
| | | | | | | | | | | 447,457 | | |
Commercial Services & Supplies — 3.6% | | ||||||||||||
Cintas Corp. | | | | | 1,100 | | | | | | 295,537 | | |
Rollins, Inc. | | | | | 5,146 | | | | | | 196,114 | | |
| | | | | | | | | | | 491,651 | | |
Electrical Equipment — 1.4% | | ||||||||||||
Rockwell Automation, Inc. | | | | | 1,149 | | | | |
|
197,617
|
| |
Electronic Equipment Instruments & Components — 2.0% | | ||||||||||||
CDW Corp. | | | | | 2,190 | | | | |
|
280,123
|
| |
Entertainment — 1.6% | | ||||||||||||
Walt Disney Co. (The) | | | | | 1,658 | | | | |
|
215,407
|
| |
Food & Staples Retailing — 1.6% | | ||||||||||||
Walgreens Boots Alliance, Inc. | | | | | 4,053 | | | | |
|
222,023
|
| |
Gas Utilities — 1.4% | | ||||||||||||
UGI Corp. | | | | | 4,111 | | | | |
|
195,971
|
| |
|
| | |
Shares
|
| |
Value
|
| ||||||
Health Care Providers & Services — 1.8% | | ||||||||||||
UnitedHealth Group, Inc. | | | | | 981 | | | | |
$
|
247,899
|
| |
Hotels, Restaurants & Leisure — 5.0% | | ||||||||||||
Domino’s Pizza, Inc. | | | | | 850 | | | | | | 230,877 | | |
Marriott International, Inc., Class A | | | | | 1,626 | | | | | | 205,770 | | |
Starbucks Corp. | | | | | 2,939 | | | | | | 248,522 | | |
| | | | | | | | | | | 685,169 | | |
Household Products — 1.5% | | ||||||||||||
Church & Dwight Co., Inc. | | | | | 2,958 | | | | |
|
206,883
|
| |
Insurance — 1.8% | | ||||||||||||
Globe Life, Inc. | | | | | 2,531 | | | | |
|
246,342
|
| |
IT Services — 7.2% | | ||||||||||||
Broadridge Financial Solutions, Inc. | | | | | 2,059 | | | | | | 257,828 | | |
Jack Henry & Associates, Inc. | | | | | 1,535 | | | | | | 217,295 | | |
Mastercard, Inc., Class A | | | | | 940 | | | | | | 260,201 | | |
Visa, Inc., Class A | | | | | 1,467 | | | | | | 262,388 | | |
| | | | | | | | | | | 997,712 | | |
Machinery — 4.9% | | ||||||||||||
IDEX Corp. | | | | | 1,430 | | | | | | 222,408 | | |
Illinois Tool Works, Inc. | | | | | 1,430 | | | | | | 241,070 | | |
Snap-on, Inc. | | | | | 1,284 | | | | | | 208,868 | | |
| | | | | | | | | | | 672,346 | | |
Metals & Mining — 3.0% | | ||||||||||||
Nucor Corp. | | | | | 3,801 | | | | | | 204,684 | | |
Steel Dynamics, Inc. | | | | | 6,972 | | | | | | 211,670 | | |
| | | | | | | | | | | 416,354 | | |
Oil, Gas & Consumable Fuels — 3.7% | | ||||||||||||
Marathon Petroleum Corp. | | | | | 3,534 | | | | | | 225,999 | | |
Phillips 66 | | | | | 2,375 | | | | | | 277,448 | | |
| | | | | | | | | | | 503,447 | | |
Personal Products — 1.7% | | ||||||||||||
Estee Lauder Cos., Inc. (The), Class A | | | | | 1,285 | | | | |
|
239,357
|
| |
Pharmaceuticals — 2.1% | | ||||||||||||
Zoetis, Inc. | | | | | 2,235 | | | | |
|
285,901
|
| |
Road & Rail — 1.5% | | ||||||||||||
Union Pacific Corp. | | | | | 1,231 | | | | |
|
203,681
|
| |
Semiconductors & Semiconductor Equipment — 8.8% | | ||||||||||||
Analog Devices, Inc. | | | | | 1,896 | | | | | | 202,170 | | |
Broadcom, Inc. | | | | | 749 | | | | | | 219,345 | | |
Lam Research Corp. | | | | | 1,163 | | | | | | 315,220 | | |
NVIDIA Corp. | | | | | 1,224 | | | | | | 246,048 | | |
Texas Instruments, Inc. | | | | | 1,997 | | | | | | 235,626 | | |
| | | | | | | | | | | 1,218,409 | | |
Software — 1.6% | | ||||||||||||
Intuit, Inc. | | | | | 848 | | | | |
|
218,360
|
| |
|
| | |
Shares
|
| |
Value
|
| ||||||
Total Common Stocks
(Cost $12,703,428) |
| | | | | | | | | $ | 13,776,005 | | |
Treasury Bill — 0.0%(a)(b) | | ||||||||||||
U.S. Treasury Bill, 12/26/2019
(Cost $4,987) |
| | | | 5,000 | | | | |
|
4,988
|
| |
Money Markets — 0.1% | | ||||||||||||
Goldman Sachs Financial Square Money Market Fund, Institutional Shares, 1.96%(c)
(Cost $10,001) |
| | | | 10,001 | | | | |
|
10,001
|
| |
Total Investments — 100.0%
(Cost $12,718,416) |
| | | | | | | | | | 13,790,994 | | |
Other Assets in Excess of Liabilities — 0.0%(b) | | | | | | | | | | | 2,281 | | |
Net Assets — 100.0% | | | | | | | | | | $ | 13,793,275 | | |
Valuation Inputs
|
| |
Level 1
|
| |
Level 2
|
| |
Level 3
|
| |
Total
|
| ||||||||||||
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 13,776,005 | | | | | $ | — | | | | | $ | — | | | | | $ | 13,776,005 | | |
Treasury Bill | | | | | — | | | | | | 4,988 | | | | | | — | | | | | | 4,988 | | |
Money Markets | | | | | 10,001 | | | | | | — | | | | | | — | | | | | | 10,001 | | |
Total Assets
|
| | | $ | 13,786,006 | | | | | $ | 4,988 | | | | | $ | — | | | | | $ | 13,790,994 | | |
Industry
|
| |
% of Net
Assets |
| |||
Aerospace & Defense | | | | | 1.4% | | |
Air Freight & Logistics | | | | | 1.5 | | |
Auto Components | | | | | 1.2 | | |
Banks | | | | | 6.5 | | |
Biotechnology | | | | | 1.6 | | |
Building Products | | | | | 1.5 | | |
Capital Markets | | | | | 11.6 | | |
Chemicals | | | | | 3.2 | | |
Commercial Services & Supplies | | | | | 3.6 | | |
Electrical Equipment | | | | | 1.4 | | |
Electronic Equipment Instruments & Components | | | | | 2.0 | | |
Entertainment | | | | | 1.6 | | |
Food & Staples Retailing | | | | | 1.6 | | |
Gas Utilities | | | | | 1.4 | | |
Health Care Providers & Services | | | | | 1.8 | | |
Hotels, Restaurants & Leisure | | | | | 5.0 | | |
Household Products | | | | | 1.5 | | |
Insurance | | | | | 1.8 | | |
IT Services | | | | | 7.2 | | |
Machinery | | | | | 4.9 | | |
Metals & Mining | | | | | 3.0 | | |
Oil, Gas & Consumable Fuels | | | | | 3.7 | | |
Personal Products | | | | | 1.7 | | |
Pharmaceuticals | | | | | 2.1 | | |
Road & Rail | | | | | 1.5 | | |
Semiconductors & Semiconductor Equipment | | | | | 8.8 | | |
Software | | | | | 1.6 | | |
Specialty Retail | | | | | 7.0 | | |
Technology Hardware, Storage & Peripherals | | | | | 3.2 | | |
Textiles, Apparel & Luxury Goods | | | | | 1.6 | | |
Trading Companies & Distributors | | | | | 3.4 | | |
Treasury Bill | | | | | 0.0(a) | | |
Money Markets | | | | | 0.1 | | |
Total Investments | | | | | 100.0 | | |
Other Assets in Excess of Liabilities | | | | | 0.0(a) | | |
Net Assets | | | | | 100.0% | | |
| | |
Shares
|
| |
Value
|
| ||||||
Common Stocks — 98.4% | | ||||||||||||
Automobiles — 1.7% | | ||||||||||||
Daimler AG | | | | | 19,797 | | | | |
$
|
1,157,555
|
| |
Banks — 11.0% | | ||||||||||||
Banco Santander SA | | | | | 201,310 | | | | | | 797,188 | | |
Bank of America Corp. | | | | | 27,397 | | | | | | 856,704 | | |
Barclays PLC | | | | | 132,071 | | | | | | 1,139,773 | | |
BOC Hong Kong Holdings Ltd. | | | | | 232,070 | | | | | | 799,455 | | |
Citigroup, Inc. | | | | | 12,753 | | | | | | 916,431 | | |
ING Groep NV | | | | | 76,083 | | | | | | 862,020 | | |
JPMorgan Chase & Co. | | | | | 9,422 | | | | | | 1,176,996 | | |
Mizuho Financial Group, Inc. | | | | | 523,708 | | | | | | 817,741 | | |
| | | | | | | | | | | 7,366,308 | | |
Capital Markets — 11.0% | | ||||||||||||
ASX Ltd. | | | | | 15,955 | | | | | | 904,878 | | |
CME Group, Inc. | | | | | 4,188 | | | | | | 861,681 | | |
Deutsche Boerse AG | | | | | 5,861 | | | | | | 908,570 | | |
Goldman Sachs Group, Inc. (The) | | | | | 4,345 | | | | | | 927,136 | | |
Intercontinental Exchange, Inc. | | | | | 8,145 | | | | | | 768,236 | | |
Nasdaq, Inc. | | | | | 10,687 | | | | | | 1,066,242 | | |
SBI Holdings, Inc. | | | | | 50,827 | | | | | | 1,114,287 | | |
TMX Group Ltd. | | | | | 9,324 | | | | | | 816,378 | | |
| | | | | | | | | | | 7,367,408 | | |
Communications Equipment — 1.6% | | ||||||||||||
Cisco Systems, Inc. | | | | | 23,199 | | | | |
|
1,102,185
|
| |
Consumer Finance — 1.4% | | ||||||||||||
American Express Co. | | | | | 8,077 | | | | |
|
947,271
|
| |
Diversified Financial Services — 1.2% | | ||||||||||||
Plus500 Ltd. | | | | | 77,865 | | | | |
|
806,058
|
| |
Diversified Telecommunication — 1.3% | | ||||||||||||
Swisscom AG | | | | | 1,688 | | | | |
|
862,176
|
| |
Electronic Equipment, Instruments & Components — 1.5% | | ||||||||||||
Hitachi Ltd. | | | | | 27,117 | | | | |
|
1,020,666
|
| |
Entertainment — 1.3% | | ||||||||||||
NetEase, Inc. | | | | | 3,065 | | | | |
|
876,161
|
| |
Food & Staples Retailing — 1.2% | | ||||||||||||
Walmart, Inc. | | | | | 6,931 | | | | |
|
812,729
|
| |
Industrial Conglomerates — 2.6% | | ||||||||||||
Fosun International Ltd. | | | | | 618,736 | | | | | | 811,540 | | |
Siemens AG | | | | | 8,197 | | | | | | 945,409 | | |
| | | | | | | | | | | 1,756,949 | | |
Insurance — 3.7% | | ||||||||||||
Ping An Insurance Group Co. of China Ltd., Class H | | | | | 89,062 | | | | | | 1,031,218 | | |
ZhongAn Online P&C Insurance Co. Ltd., Class H*,(a)
|
| | | | 434,540 | | | | | | 1,452,588 | | |
| | | | | | | | | | | 2,483,806 | | |
| | |
Shares
|
| |
Value
|
| | | ||||||||||
Interactive Media & Services — 7.8% | | | | ||||||||||||||||
Alphabet, Inc., Class A* | | | | | 791 | | | | | $ | 995,711 | | | | | ||||
Baidu, Inc.* | | | | | 11,018 | | | | | | 1,122,183 | | | | | ||||
Facebook, Inc., Class A* | | | | | 5,606 | | | | | | 1,074,390 | | | | | ||||
LINE Corp.* | | | | | 29,890 | | | | | | 1,097,860 | | | | | ||||
Tencent Holdings Ltd. | | | | | 23,597 | | | | | | 965,834 | | | | | ||||
| | | | | | | | | | | 5,255,978 | | | | | ||||
Internet & Direct Marketing Retail — 7.1% | | | | | | | | ||||||||||||
Alibaba Group Holding Ltd.* | | | | | 6,057 | | | | | | 1,070,090 | | | | | ||||
Amazon.com, Inc.* | | | | | 544 | | | | | | 966,503 | | | | | ||||
JD.com, Inc.* | | | | | 36,680 | | | | | | 1,142,582 | | | | | ||||
Overstock.com, Inc.* | | | | | 73,138 | | | | | | 770,143 | | | | | ||||
Rakuten, Inc. | | | | | 87,314 | | | | | | 838,369 | | | | | ||||
| | | | | | | | | | | 4,787,687 | | | | | ||||
IT Services — 20.1% | | | | ||||||||||||||||
Accenture PLC, Class A | | | | | 6,261 | | | | | | 1,160,915 | | | | | ||||
Atos SE | | | | | 11,076 | | | | | | 857,819 | | | | | ||||
Broadridge Financial Solutions, Inc. | | | | | 7,329 | | | | | | 917,737 | | | | | ||||
Digital Garage, Inc. | | | | | 36,134 | | | | | | 1,196,612 | | | | | ||||
Fujitsu Ltd. | | | | | 14,131 | | | | | | 1,257,614 | | | | | ||||
GMO internet, Inc. | | | | | 69,618 | | | | | | 1,183,644 | | | | | ||||
Infosys Ltd. | | | | | 75,316 | | | | | | 722,280 | | | | | ||||
International Business Machines Corp. | | | | | 8,935 | | | | | | 1,194,878 | | | | | ||||
Mastercard, Inc., Class A | | | | | 3,750 | | | | | | 1,038,038 | | | | | ||||
NTT Data Corp. | | | | | 70,872 | | | | | | 938,798 | | | | | ||||
PayPal Holdings, Inc.* | | | | | 9,342 | | | | | | 972,502 | | | | | ||||
Square, Inc., Class A* | | | | | 19,470 | | | | | | 1,196,042 | | | | | ||||
Visa, Inc., Class A | | | | | 4,997 | | | | | | 893,763 | | | | | ||||
| | | | | | | | | | | 13,530,642 | | | | | ||||
Professional Services — 1.3% | | | | ||||||||||||||||
Thomson Reuters Corp. | | | | | 13,470 | | | | |
|
905,992
|
| | | | ||||
Semiconductors & Semiconductor Equipment — 10.9% | | | | ||||||||||||||||
Advanced Micro Devices, Inc.* | | | | | 35,315 | | | | | | 1,198,238 | | | | | ||||
Intel Corp. | | | | | 22,687 | | | | | | 1,282,496 | | | | | ||||
Micron Technology, Inc.* | | | | | 17,391 | | | | | | 826,942 | | | | | ||||
NVIDIA Corp. | | | | | 6,147 | | | | | | 1,235,670 | | | | | ||||
Taiwan Semiconductor Manufacturing Co. Ltd. | | | | | 22,174 | | | | | | 1,144,844 | | | | | ||||
Texas Instruments, Inc. | | | | | 6,749 | | | | | | 796,314 | | | | | ||||
Xilinx, Inc. | | | | | 9,499 | | | | | | 861,939 | | | | | ||||
| | | | | | | | | | | 7,346,443 | | | | | ||||
Software — 6.9% | | | | ||||||||||||||||
DocuSign, Inc.* | | | | | 13,649 | | | | | | 903,427 | | | | | ||||
Microsoft Corp. | | | | | 8,563 | | | | | | 1,227,677 | | | | | ||||
Oracle Corp. | | | | | 20,675 | | | | | | 1,126,581 | | | | | ||||
SAP SE | | | | | 10,369 | | | | | | 1,374,722 | | | | | ||||
| | | | | | | | | | | 4,632,407 | | | | |
| | |
Shares
|
| |
Value
|
| ||||||
Technology Hardware, Storage & Peripherals — 4.8% | | ||||||||||||
Hewlett Packard Enterprise Co. | | | | | 67,561 | | | | | $ | 1,108,676 | | |
Samsung Electronics Co. Ltd. | | | | | 1,046 | | | | | | 1,117,128 | | |
Xiaomi Corp., Class B*,(a) | | | | | 862,172 | | | | | | 979,028 | | |
| | | | | | | | | | | 3,204,832 | | |
Total Common Stocks
(Cost $72,052,206) |
| | | | | | | | | | 66,223,253 | | |
Treasury Bill — 1.2%(b) | | | | ||||||||||
U.S. Treasury Bill, 12/26/2019
(Cost $817,930) |
| | | | 820,000 | | | | |
|
818,080
|
| |
|
| | |
Shares
|
| |
Value
|
| ||||||
Money Markets — 0.1% | | ||||||||||||
Goldman Sachs Financial Square Money Market Fund, Institutional Shares, 1.96%(c)
(Cost $61,159) |
| | | | 61,159 | | | | |
$
|
61,159
|
| |
Total Investments — 99.7%
(Cost $72,931,295) |
| | | | | | | | | | 67,102,492 | | |
Other Assets in Excess of Liabilities — 0.3% | | | | | | | | | | | 174,565 | | |
Net Assets — 100.0% | | | | | | | | | | $ | 67,277,057 | | |
Valuation Inputs
|
| |
Level 1
|
| |
Level 2
|
| |
Level 3
|
| |
Total
|
| ||||||||||||
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 66,223,253 | | | | | $ | — | | | | | $ | — | | | | | $ | 66,223,253 | | |
Treasury Bill | | | | | — | | | | | | 818,080 | | | | | | — | | | | | | 818,080 | | |
Money Markets | | | | | 61,159 | | | | | | — | | | | | | — | | | | | | 61,159 | | |
Total Assets
|
| | | $ | 66,284,412 | | | | | $ | 818,080 | | | | | $ | — | | | | | $ | 67,102,492 | | |
Industry
|
| |
% of Net
Assets |
| |||
Automobiles | | | | | 1.7% | | |
Banks | | | | | 11.0 | | |
Capital Markets | | | | | 11.0 | | |
Communications Equipment | | | | | 1.6 | | |
Consumer Finance | | | | | 1.4 | | |
Diversified Financial Services | | | | | 1.2 | | |
Diversified Telecommunication | | | | | 1.3 | | |
Electronic Equipment, Instruments & Components | | | | | 1.5 | | |
Entertainment | | | | | 1.3 | | |
Food & Staples Retailing | | | | | 1.2 | | |
Industrial Conglomerates | | | | | 2.6 | | |
Insurance | | | | | 3.7 | | |
Interactive Media & Services | | | | | 7.8 | | |
Internet & Direct Marketing Retail | | | | | 7.1 | | |
IT Services | | | | | 20.1 | | |
Professional Services | | | | | 1.3 | | |
Semiconductors & Semiconductor Equipment | | | | | 10.9 | | |
Software | | | | | 6.9 | | |
Technology Hardware, Storage & Peripherals | | | | | 4.8 | | |
Treasury Bill | | | | | 1.2 | | |
Money Markets | | | | | 0.1 | | |
Total Investments | | | | | 99.7 | | |
Other Assets in Excess of Liabilities | | | | | 0.3 | | |
Net Assets | | | | | 100.0% | | |
Country / Region
|
| |
% of Net
Assets |
| |||
United States | | | | | 47.6% | | |
China | | | | | 15.2 | | |
Japan | | | | | 14.1 | | |
Germany | | | | | 6.5 | | |
Canada | | | | | 2.5 | | |
Taiwan | | | | | 1.7 | | |
United Kingdom | | | | | 1.7 | | |
South Korea | | | | | 1.7 | | |
Australia | | | | | 1.3 | | |
Switzerland | | | | | 1.3 | | |
Netherlands | | | | | 1.3 | | |
France | | | | | 1.3 | | |
Israel | | | | | 1.2 | | |
Spain | | | | | 1.2 | | |
India | | | | | 1.1 | | |
Total Investments | | | | | 99.7 | | |
Other Assets in Excess of Liabilities | | | | | 0.3 | | |
Net Assets | | | | | 100.0% | | |
| | |
Reality Shares
DIVS ETF |
| |
Reality Shares
DIVCON Leaders Dividend ETF |
| |
Reality Shares
DIVCON Dividend Defender ETF |
| |
Reality Shares
DIVCON Dividend Guard ETF |
| ||||||||||||
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at value | | | | $ | 64,405,554(1) | | | | | $ | 31,730,037 | | | | | $ | 5,965,851 | | | | | $ | 13,790,994 | | |
Cash | | | | | — | | | | | | — | | | | | | — | | | | | | 6 | | |
Cash held at broker for securities sold short | | | | | — | | | | | | — | | | | | | 1,369,464 | | | | | | — | | |
Receivables | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividend receivable
|
| | | | 387 | | | | | | 28,701 | | | | | | 4,782 | | | | | | 12,018 | | |
Securities sold receivable
|
| | | | — | | | | | | 1,802,181 | | | | | | — | | | | | | — | | |
Unrealized appreciation on swaps (Note 7)
|
| | | | 2,902,704 | | | | | | — | | | | | | — | | | | | | — | | |
Total Assets | | | | | 67,308,645 | | | | | | 33,560,919 | | | | | | 7,340,097 | | | | | | 13,803,018 | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities sold short, at value | | | | | — | | | | | | — | | | | | | 1,209,374 | | | | | | — | | |
Payables | | | | | | | | | | | | | | | | | | | | | | | | | |
Capital stock payable
|
| | | | 665,565 | | | | | | 1,813,424 | | | | | | — | | | | | | — | | |
Interest payable
|
| | | | 371 | | | | | | — | | | | | | — | | | | | | — | | |
Advisory fees (Note 4)
|
| | | | 47,035 | | | | | | 12,575 | | | | | | 4,368 | | | | | | 9,743 | | |
Unrealized depreciation on swaps (Note 7)
|
| | | | 774,559 | | | | | | — | | | | | | — | | | | | | — | | |
Due to broker for swaps
|
| | | | 480,000 | | | | | | — | | | | | | — | | | | | | — | | |
Total Liabilities | | | | | 1,967,530 | | | | | | 1,825,999 | | | | | | 1,213,742 | | | | | | 9,743 | | |
Net Assets | | | | $ | 65,341,115 | | | | | $ | 31,734,920 | | | | | $ | 6,126,355 | | | | | $ | 13,793,275 | | |
Net Assets Consist of: | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid-in capital | | | | $ | 60,951,200 | | | | | $ | 29,021,812 | | | | | $ | 5,700,334 | | | | | $ | 14,305,605 | | |
Total distributable earnings (loss) | | | | | 4,389,915 | | | | | | 2,713,108 | | | | | | 426,021 | | | | | | (512,330) | | |
Net Assets | | | | $ | 65,341,115 | | | | | $ | 31,734,920 | | | | | $ | 6,126,355 | | | | | $ | 13,793,275 | | |
Shares outstanding (unlimited number of shares of beneficial interest authorized, no par value) | | | | | 2,454,348 | | | | | | 875,000 | | | | | | 200,000 | | | | | | 550,000 | | |
Net asset value (offering price and redemption price) per share | | | | $ | 26.62 | | | | | $ | 36.27 | | | | | $ | 30.63 | | | | | $ | 25.08 | | |
Investments, at cost | | | | $ | 64,347,985 | | | | | $ | 26,872,280 | | | | | $ | 5,292,945 | | | | | $ | 12,718,416 | | |
Securities sold short, proceeds | | | | $ | — | | | | | $ | — | | | | | $ | 1,279,191 | | | | | $ | — | | |
| | |
Reality Shares
NASDAQ NexGen Economy ETF |
| |||
Assets: | | | | | | | |
Investments, at value | | | | $ | 67,102,492 | | |
Receivables | | | | | | | |
Dividend receivable
|
| | | | 101,920 | | |
Reclaims receivable
|
| | | | 110,927 | | |
Total Assets | | | | | 67,315,339 | | |
Liabilities: | | | | | | | |
Due to custodian | | | | | 83 | | |
Payables | | | | | | | |
Advisory fees (Note 4)
|
| | | | 38,199 | | |
Total Liabilities | | | | | 38,282 | | |
Net Assets | | | | $ | 67,277,057 | | |
Net Assets Consist of: | | | | | | | |
Paid-in capital | | | | $ | 77,460,109 | | |
Total distributable earnings (loss) | | | | | (10,183,052) | | |
Net Assets | | | | $ | 67,277,057 | | |
Shares outstanding (unlimited number of shares of beneficial interest authorized, no par value) | | | | | 2,800,001 | | |
Net asset value (offering price and redemption price) per share | | | | $ | 24.03 | | |
Investments, at cost | | | | $ | 72,931,295 | | |
Due to Custodian, at cost | | | | $ | 81 | | |
| | |
Reality Shares
DIVS ETF |
| |
Reality Shares
DIVCON Leaders Dividend ETF |
| |
Reality Shares
DIVCON Dividend Defender ETF |
| |
Reality Shares
DIVCON Dividend Guard ETF |
| ||||||||||||
Investment Income: | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividend income | | | | $ | 3,921 | | | | | $ | 729,135 | | | | | $ | 75,459 | | | | | $ | 200,824 | | |
Interest income | | | | | 1,525,155 | | | | | | 1,770 | | | | | | 26,099 | | | | | | 71,141 | | |
Rebate income | | | | | — | | | | | | — | | | | | | 20,680 | | | | | | 56,667 | | |
Total Income
|
| | | | 1,529,076 | | | | | | 730,905 | | | | | | 122,238 | | | | | | 328,632 | | |
Expenses: | | | | | | | | | | | | | | | | | | | | | | | | | |
Advisory fees (Note 4) | | | | | 587,819 | | | | | | 163,150 | | | | | | 44,529 | | | | | | 113,793 | | |
Dividends on securities sold short | | | | | — | | | | | | — | | | | | | 30,868 | | | | | | 97,317 | | |
Total Expenses
|
| | | | 587,819 | | | | | | 163,150 | | | | | | 75,397 | | | | | | 211,110 | | |
Net Investment income | | | | | 941,257 | | | | | | 567,755 | | | | | | 46,841 | | | | | | 117,522 | | |
Realized and Unrealized Gain (Loss): | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on: | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments
|
| | | | (480) | | | | | | (2,195,172) | | | | | | (182,102) | | | | | | (305,752) | | |
Securities sold short
|
| | | | — | | | | | | — | | | | | | 65,656 | | | | | | (459,786) | | |
Swaps
|
| | | | 1,417,234 | | | | | | — | | | | | | — | | | | | | — | | |
In-kind redemptions
|
| | | | — | | | | | | 1,833,045 | | | | | | 19,086 | | | | | | 75,437 | | |
Net realized gain (loss) | | | | | 1,416,754 | | | | | | (362,127) | | | | | | (97,360) | | | | | | (690,101) | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments
|
| | | | 81,321 | | | | | | 5,307,926 | | | | | | 708,137 | | | | | | 1,347,966 | | |
Securities sold short
|
| | | | — | | | | | | — | | | | | | (44,710) | | | | | | 22,327 | | |
Swaps
|
| | | | (1,425,242) | | | | | | — | | | | | | — | | | | | | — | | |
Net change in unrealized appreciation (depreciation) | | | | | (1,343,921) | | | | | | 5,307,926 | | | | | | 663,427 | | | | | | 1,370,293 | | |
Net realized and unrealized gain on investments, swaps and securities sold short | | | | | 72,833 | | | | | | 4,945,799 | | | | | | 566,067 | | | | | | 680,192 | | |
Increase in net assets resulting from operations | | | | $ | 1,014,090 | | | | | $ | 5,513,554 | | | | | $ | 612,908 | | | | | $ | 797,714 | | |
| | |
Reality Shares
NASDAQ NexGen Economy ETF |
| |||
Investment Income: | | | | | | | |
Dividend income | | | | $ | 1,478,703 | | |
Non-cash dividend | | | | | 242,634 | | |
Interest income | | | | | 12,477 | | |
Foreign withholding tax | | | | | (125,796) | | |
Total Income | | | |
|
1,608,018
|
| |
Expenses: | | | | | | | |
Advisory fees (Note 4) | | | | | 500,071 | | |
Total Expenses | | | |
|
500,071
|
| |
Net Investment income | | | | | 1,107,947 | | |
Realized and Unrealized Gain (Loss): | | | | | | | |
Net realized gain (loss) on: | | | | | | | |
Investments
|
| | | | (841,927) | | |
In-kind redemptions
|
| | | | (870,476) | | |
Foreign currency transactions
|
| | | | (3,709) | | |
Net realized loss | | | | | (1,716,112) | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | |
Investments
|
| | | | 10,330,350 | | |
Foreign currency translations
|
| | | | (4) | | |
Net change in unrealized appreciation | | | | | 10,330,346 | | |
Net realized and unrealized gain on investments, foreign currency transactions and foreign translations | | | | | 8,614,234 | | |
Increase in net assets resulting from operations | | | | $ | 9,722,181 | | |
| | |
Reality Shares
DIVS ETF |
| |
Reality Shares DIVCON Leaders
Dividend ETF |
| ||||||||||||||||||
| | |
Year Ended
October 31, 2019 |
| |
Year Ended
October 31, 2018 |
| |
Year Ended
October 31, 2019 |
| |
Year Ended
October 31, 2018 |
| ||||||||||||
Increase (Decrease) in Net Assets Resulting from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | $ | 941,257 | | | | | $ | 526,662 | | | | | $ | 567,755 | | | | | $ | 507,667 | | |
Net realized gain (loss) | | | | | 1,416,754 | | | | | | 433,366 | | | | | | (362,127) | | | | | | 3,694,328 | | |
Net change in unrealized appreciation (depreciation) | | | | | (1,343,921) | | | | | | 586,067 | | | | | | 5,307,926 | | | | | | (2,292,492) | | |
Net increase in net assets resulting from operations | | | | | 1,014,090 | | | | | | 1,546,095 | | | | | | 5,513,554 | | | | | | 1,909,503 | | |
Distributions to Shareholders:
|
| | | | (1,089,637) | | | | | | (486,125) | | | | | | (568,034) | | | | | | (503,239) | | |
Shareholder Transactions: | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | | | 3,217,859 | | | | | | 30,160,125 | | | | | | — | | | | | | 51,752,967 | | |
Cost of shares redeemed | | | | | (11,841,877) | | | | | | (10,695,212) | | | | | | (18,467,609) | | | | | | (37,131,640) | | |
Net increase (decrease) in net assets resulting from shareholder transactions | | | | | (8,624,018) | | | | | | 19,464,913 | | | | | | (18,467,609) | | | | | | 14,621,327 | | |
Increase (Decrease) in net assets | | | | | (8,699,565) | | | | | | 20,524,883 | | | | | | (13,522,089) | | | | | | 16,027,591 | | |
Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year | | | | | 74,040,680 | | | | | | 53,515,797 | | | | | | 45,257,009 | | | | | | 29,229,418 | | |
End of year | | | | $ | 65,341,115 | | | | | $ | 74,040,680 | | | | | $ | 31,734,920 | | | | | $ | 45,257,009 | | |
Changes in Shares Outstanding: | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of year | | | | | 2,779,348 | | | | | | 2,054,348 | | | | | | 1,425,000 | | | | | | 975,000 | | |
Shares sold | | | | | 125,000 | | | | | | 1,125,000 | | | | | | — | | | | | | 1,625,000 | | |
Shares redeemed | | | | | (450,000) | | | | | | (400,000) | | | | | | (550,000) | | | | | | (1,175,000) | | |
Shares outstanding, end of year | | | | | 2,454,348 | | | | | | 2,779,348 | | | | | | 875,000 | | | | | | 1,425,000 | | |
| | |
Reality Shares DIVCON
Dividend Defender ETF |
| |
Reality Shares DIVCON
Dividend Guard ETF |
| ||||||||||||||||||
| | |
Year Ended
October 31, 2019 |
| |
Year Ended
October 31, 2018 |
| |
Year Ended
October 31, 2019 |
| |
Year Ended
October 31, 2018 |
| ||||||||||||
Increase (Decrease) in Net Assets Resulting from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | $ | 46,841 | | | | | $ | 23,609 | | | | | $ | 117,522 | | | | | $ | 21,256 | | |
Net realized gain (loss) | | | | | (97,360) | | | | | | 420,911 | | | | | | (690,101) | | | | | | (110,047) | | |
Net change in unrealized appreciation (depreciation) | | | | | 663,427 | | | | | | (208,026) | | | | | | 1,370,293 | | | | | | (473,309) | | |
Net increase (decrease) in net assets resulting from operations | | | | | 612,908 | | | | | | 236,494 | | | | | | 797,714 | | | | | | (562,100) | | |
Distributions to Shareholders:
|
| | | | (46,093) | | | | | | (15,899) | | | | | | (115,430) | | | | | | (16,462) | | |
Shareholder Transactions: | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | | | 741,249 | | | | | | 6,108,302 | | | | | | 2,349,512 | | | | | | 13,910,197 | | |
Cost of shares redeemed | | | | | (690,616) | | | | | | (4,732,035) | | | | | | (600,306) | | | | | | (4,305,396) | | |
Net increase in net assets resulting from shareholder transactions | | | | | 50,633 | | | | | | 1,376,267 | | | | | | 1,749,206 | | | | | | 9,604,801 | | |
Increase in net assets | | | | | 617,448 | | | | | | 1,596,862 | | | | | | 2,431,490 | | | | | | 9,026,239 | | |
Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year | | | | | 5,508,907 | | | | | | 3,912,045 | | | | | | 11,361,785 | | | | | | 2,335,546 | | |
End of year | | | | $ | 6,126,355 | | | | | $ | 5,508,907 | | | | | $ | 13,793,275 | | | | | $ | 11,361,785 | | |
Changes in Shares Outstanding: | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of year | | | | | 200,000 | | | | | | 150,000 | | | | | | 475,000 | | | | | | 100,000 | | |
Shares sold | | | | | 25,000 | | | | | | 225,000 | | | | | | 100,000 | | | | | | 550,000 | | |
Shares redeemed | | | | | (25,000) | | | | | | (175,000) | | | | | | (25,000) | | | | | | (175,000) | | |
Shares outstanding, end of year | | | | | 200,000 | | | | | | 200,000 | | | | | | 550,000 | | | | | | 475,000 | | |
| | |
Reality Shares NASDAQ NexGen
Economy ETF |
| |||||||||
| | |
Year Ended
October 31, 2019 |
| |
For the Period
January 17, 2018* to October 31, 2018 |
| ||||||
Increase (Decrease) in Net Assets Resulting from Operations: | | | | | | | | | | | | | |
Net investment income | | | | $ | 1,107,947 | | | | | $ | 998,855 | | |
Net realized gain (loss) | | | | | (1,716,112) | | | | | | 1,210,048 | | |
Net change in unrealized appreciation (depreciation) | | | | | 10,330,346 | | | | | | (16,161,440) | | |
Net increase (decrease) in net assets resulting from operations | | | | | 9,722,181 | | | | | | (13,952,537) | | |
Distributions to Shareholders:
|
| | | | (1,149,910) | | | | | | (802,580) | | |
Shareholder Transactions: | | | | | | | | | | | | | |
Proceeds from shares sold | | | | | — | | | | | | 157,904,493 | | |
Cost of shares redeemed | | | | | (27,642,715) | | | | | | (56,801,875) | | |
Net increase (decrease) in net assets resulting from shareholder transactions | | | | | (27,642,715) | | | | | | 101,102,618 | | |
Increase (Decrease) in net assets | | | | | (19,070,444) | | | | | | 86,347,501 | | |
Net Assets: | | | | | | | | | | | | | |
Beginning of year/period | | | | | 86,347,501 | | | | | | — | | |
End of year/period | | | | $ | 67,277,057 | | | | | $ | 86,347,501 | | |
Changes in Shares Outstanding: | | | | | | | | | | | | | |
Shares outstanding, beginning of year/period | | | | | 4,075,001 | | | | | | — | | |
Shares sold | | | | | — | | | | | | 6,525,001 | | |
Shares redeemed | | | | | (1,275,000) | | | | | | (2,450,000) | | |
Shares outstanding, end of year/period | | | | | 2,800,001 | | | | | | 4,075,001 | | |
| | |
Year Ended
October 31, 2019 |
| |
Year Ended
October 31, 2018 |
| |
Year Ended
October 31, 2017 |
| |
Year Ended
October 31, 2016 |
| |
For the Period
December 18, 2014(1) to October 31, 2015 |
| |||||||||||||||
Per Share Operational Performance: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of year/period | | | | $ | 26.64 | | | | | $ | 26.05 | | | | | $ | 24.17 | | | | | $ | 23.96 | | | | | $ | 23.00 | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(2)
|
| | | | 0.36 | | | | | | 0.20 | | | | | | (0.02) | | | | | | (0.12) | | | | | | (0.17) | | |
Net realized and unrealized gain
|
| | | | 0.02 | | | | | | 0.61 | | | | | | 1.90 | | | | | | 0.79 | | | | | | 1.13 | | |
Total from investment operations | | | | | 0.38 | | | | | | 0.81 | | | | | | 1.88 | | | | | | 0.67 | | | | | | 0.96 | | |
Distributions to Shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income
|
| | | | (0.24) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Realized gains
|
| | | | (0.16) | | | | | | (0.22) | | | | | | — | | | | | | (0.46) | | | | | | — | | |
Total distributions
|
| | | | (0.40) | | | | | | (0.22) | | | | | | — | | | | | | (0.46) | | | | | | — | | |
Net asset value, end of year/period | | | | $ | 26.62 | | | | | $ | 26.64 | | | | | $ | 26.05 | | | | | $ | 24.17 | | | | | $ | 23.96 | | |
Total Return at Net Asset Value | | | | | 1.53% | | | | | | 3.12% | | | | | | 7.77% | | | | | | 2.88% | | | | | | 4.17%(3) | | |
Net assets, end of year/period (000’s) | | | | $ | 65,341 | | | | | $ | 74,041 | | | | | $ | 53,516 | | | | | $ | 32,132 | | | | | $ | 30,053 | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | | | 0.85% | | | | | | 0.85% | | | | | | 0.85% | | | | | | 0.85% | | | | | | 0.85%(4) | | |
Net investment income (loss) | | | | | 1.36% | | | | | | 0.75% | | | | | | (0.09)% | | | | | | (0.51)% | | | | | | (0.82)%(4) | | |
Portfolio turnover rate(5) | | | | | 0.00%(6) | | | | | | 0.00%(6) | | | | | | 0.00%(6) | | | | | | 0.00%(6) | | | | | | 1,475.00%(3) | | |
| | |
Year Ended
October 31, 2019 |
| |
Year Ended
October 31, 2018 |
| |
Year Ended
October 31, 2017 |
| |
For the Period
January 6, 2016(1) to October 31, 2016 |
| ||||||||||||
Per Share Operational Performance: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of year/period | | | | $ | 31.76 | | | | | $ | 29.98 | | | | | $ | 24.36 | | | | | $ | 24.06 | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2)
|
| | | | 0.50 | | | | | | 0.39 | | | | | | 0.33 | | | | | | 0.24 | | |
Net realized and unrealized gain
|
| | | | 4.51 | | | | | | 1.77 | | | | | | 5.57 | | | | | | 0.33 | | |
Total from investment operations | | | | | 5.01 | | | | | | 2.16 | | | | | | 5.90 | | | | | | 0.57 | | |
Distributions to Shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income
|
| | | | (0.50) | | | | | | (0.36) | | | | | | (0.28) | | | | | | (0.27) | | |
Realized gains
|
| | | | (0.00)(3) | | | | | | (0.02) | | | | | | — | | | | | | — | | |
Total distributions
|
| | | | (0.50) | | | | | | (0.38) | | | | | | (0.28) | | | | | | (0.27) | | |
Net asset value, end of year/period | | | | $ | 36.27 | | | | | $ | 31.76 | | | | | $ | 29.98 | | | | | $ | 24.36 | | |
Total Return at Net Asset Value | | | | | 15.95% | | | | | | 7.19% | | | | | | 24.29% | | | | | | 2.38%(4) | | |
Net assets, end of year/period (000’s) | | | | $ | 31,735 | | | | | $ | 45,257 | | | | | $ | 29,229 | | | | | $ | 4,264 | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | | | 0.43% | | | | | | 0.43% | | | | | | 0.43% | | | | | | 0.43%(5) | | |
Net investment income | | | | | 1.50% | | | | | | 1.18% | | | | | | 1.18% | | | | | | 1.19%(5) | | |
Portfolio turnover rate(6) | | | | | 65.52%(7) | | | | | | 0.26% | | | | | | 3.35% | | | | | | 3.38%(4) | | |
| | |
Year Ended
October 31, 2019 |
| |
Year Ended
October 31, 2018 |
| |
Year Ended
October 31, 2017 |
| |
For the Period
January 14, 2016(1) to October 31, 2016 |
| ||||||||||||
Per Share Operational Performance: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of year/period | | | | $ | 27.54 | | | | | $ | 26.08 | | | | | $ | 22.44 | | | | | $ | 23.55 | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(2)
|
| | | | 0.26 | | | | | | 0.12 | | | | | | 0.03 | | | | | | (0.04) | | |
Net realized and unrealized gain (loss)
|
| | | | 3.09 | | | | | | 1.41 | | | | | | 3.61 | | | | | | (1.07) | | |
Total from investment operations | | | | | 3.35 | | | | | | 1.53 | | | | | | 3.64 | | | | | | (1.11) | | |
Distributions to Shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income
|
| | | | (0.26) | | | | | | (0.07) | | | | | | — | | | | | | — | | |
Net asset value, end of year/period | | | | $ | 30.63 | | | | | $ | 27.54 | | | | | $ | 26.08 | | | | | $ | 22.44 | | |
Total Return at Net Asset Value | | | | | 12.22% | | | | | | 5.89% | | | | | | 16.23% | | | | | | (4.72)%(3) | | |
Net assets, end of year/period (000’s) | | | | $ | 6,126 | | | | | $ | 5,509 | | | | | $ | 3,912 | | | | | $ | 2,805 | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | | | 1.44%(4) | | | | | | 1.21%(5) | | | | | | 1.38%(6) | | | | | | 1.54%(7)(8) | | |
Net investment income (loss) | | | | | 0.89% | | | | | | 0.42% | | | | | | 0.11% | | | | | | (0.19)%(7) | | |
Portfolio turnover rate(9) | | | | | 57.30%(10) | | | | | | 36.94% | | | | | | 69.11% | | | | | | 4.18%(3) | | |
| | |
Year Ended
October 31, 2019 |
| |
Year Ended
October 31, 2018 |
| |
Year Ended
October 31, 2017 |
| |
For the Period
January 14, 2016(1) to October 31, 2016 |
| ||||||||||||
Per Share Operational Performance: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of year/period | | | | $ | 23.92 | | | | | $ | 23.36 | | | | | $ | 20.23 | | | | | $ | 23.71 | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2)
|
| | | | 0.21 | | | | | | 0.09 | | | | | | 0.01 | | | | | | (0.00)(3) | | |
Net realized and unrealized gain (loss)
|
| | | | 1.16 | | | | | | 0.62(4) | | | | | | 3.12 | | | | | | (3.47) | | |
Total from investment operations | | | | | 1.37 | | | | | | 0.71 | | | | | | 3.13 | | | | | | (3.47) | | |
Distributions to Shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income
|
| | | | (0.21) | | | | | | (0.15) | | | | | | — | | | | | | (0.01) | | |
Net asset value, end of year/period | | | | $ | 25.08 | | | | | $ | 23.92 | | | | | $ | 23.36 | | | | | $ | 20.23 | | |
Total Return at Net Asset Value | | | | | 5.76% | | | | | | 3.03% | | | | | | 15.47% | | | | | | (14.66)%(5) | | |
Net assets, end of year/period (000’s) | | | | $ | 13,793 | | | | | $ | 11,362 | | | | | $ | 2,336 | | | | | $ | 2,528 | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | | | 1.58%(6) | | | | | | 1.29%(7) | | | | | | 1.41%(8) | | | | | | 1.43%(9)(10) | | |
Net investment income (loss) | | | | | 0.88% | | | | | | 0.38% | | | | | | 0.06% | | | | | | (0.01)%(9) | | |
Portfolio turnover rate(11) | | | | | 64.70% | | | | | | 309.32% | | | | | | 267.04% | | | | | | 64.92%(5) | | |
| | |
Year Ended
October 31, 2019 |
| |
For the Period
January 17, 2018(1) to October 31, 2018 |
| ||||||
Per Share Operational Performance: | | | | | | | | | | | | | |
Net asset value, beginning of year/period | | | | $ | 21.19 | | | | | $ | 24.00 | | |
Investment operations: | | | | | | | | | | | | | |
Net investment income(2)
|
| | | | 0.34 | | | | | | 0.21 | | |
Net realized and unrealized gain (loss)
|
| | | | 2.86 | | | | | | (2.86) | | |
Total from investment operations | | | | | 3.20 | | | | | | (2.65) | | |
Distributions to Shareholders from: | | | | | | | | | | | | | |
Net investment income
|
| | | | (0.36) | | | | | | (0.16) | | |
Net asset value, end of year/period | | | | $ | 24.03 | | | | | $ | 21.19 | | |
Total Return at Net Asset Value | | | | | 15.24% | | | | | | (11.09)%(3) | | |
Net assets, end of year/period (000’s) | | | | $ | 67,277 | | | | | $ | 86,348 | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | |
Ratio to average net assets of: | | | | | | | | | | | | | |
Expenses | | | | | 0.68% | | | | | | 0.68%(4) | | |
Net investment income | | | | | 1.51% | | | | | | 1.14%(4) | | |
Portfolio turnover rate(5) | | | | | 20.72% | | | | | | 31.18%(3) | | |
Fund
|
| |
Commencement of
Operations Date |
|
Reality Shares DIVS ETF | | |
December 18, 2014
|
|
Reality Shares DIVCON Leaders Dividend ETF | | |
January 6, 2016
|
|
Reality Shares DIVCON Dividend Defender ETF | | |
January 14, 2016
|
|
Reality Shares DIVCON Dividend Guard ETF | | |
January 14, 2016
|
|
Reality Shares NASDAQ NexGen Economy ETF | | |
January 17, 2018
|
|
Fund
|
| |
Advisory Fee
|
|
Reality Shares DIVS ETF | | |
0.85%
|
|
Reality Shares DIVCON Leaders Dividend ETF | | |
0.43%
|
|
Reality Shares DIVCON Dividend Defender ETF | | |
0.85%
|
|
Reality Shares DIVCON Dividend Guard ETF | | |
0.85%
|
|
Reality Shares NASDAQ NexGen Economy ETF | | |
0.68%
|
|
Fund
|
| |
Purchases
|
| |
Sales
|
| ||||||
Reality Shares DIVS ETF | | | | $ | — | | | | | $ | — | | |
Reality Shares DIVCON Leaders Dividend ETF | | | | | 24,913,656 | | | | | | 24,888,388 | | |
Reality Shares DIVCON Dividend Defender ETF | | | | | 2,087,215 | | | | | | 2,058,675 | | |
Reality Shares DIVCON Dividend Guard ETF | | | | | 10,059,763 | | | | | | 3,875,199 | | |
Reality Shares NASDAQ NexGen Economy ETF | | | | | 15,170,842 | | | | | | 15,895,940 | | |
Fund
|
| |
Purchases
|
| |
Sales
|
| ||||||
Reality Shares DIVS ETF | | | | $ | — | | | | | $ | — | | |
Reality Shares DIVCON Leaders Dividend ETF | | | | | — | | | | | | 18,349,683 | | |
Reality Shares DIVCON Dividend Defender ETF | | | | | 563,668 | | | | | | 513,392 | | |
Reality Shares DIVCON Dividend Guard ETF | | | | | 1,203,984 | | | | | | 582,031 | | |
Reality Shares NASDAQ NexGen Economy ETF | | | | | — | | | | | | 27,384,642 | | |
| | |
Equity Contracts
|
| |
Total
|
| ||||||
Asset Derivatives: | | | | | | | | | | | | | |
Reality Shares DIVS ETF | | | | | | | | | | | | | |
Unrealized Appreciation on Swaps
|
| | | $ | 2,902,704 | | | | | $ | 2,902,704 | | |
Liability Derivatives: | | | | | | | | | | | | | |
Reality Shares DIVS ETF | | | | | | | | | | | | | |
Unrealized Depreciation on Swaps
|
| | | | (774,559) | | | | | | (774,559) | | |
Total
|
| | | $ | 2,128,145 | | | | | $ | 2,128,145 | | |
| | |
Equity Contracts
|
| |
Total
|
| ||||||
Reality Shares DIVS ETF | | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | |
Swaps
|
| | | $ | 1,417,234 | | | | | $ | 1,417,234 | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | |
Swaps
|
| | | | (1,425,242) | | | | | | (1,425,242) | | |
Amounts Not Offset in the Statement of Assets and Liabilities
|
| |||||||||||||||||||||||||||||||||
Description
|
| |
Counterparty
|
| |
Gross Amounts of
Assets in the Statement of Assets and Liabilities |
| |
Financial
Instruments Available for Offset |
| |
Financial
Instruments Collateral Pledged |
| |
Cash Collateral
Pledged/ (Received)* |
| |
Net Amount Due
from Counterparty |
| |||||||||||||||
Reality Shares DIVS ETF | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized Appreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
on Swaps
|
| |
BNP Paribas
|
| | | $ | 1,154,443 | | | | | $ | (509,036) | | | | | $ | — | | | | | $ | — | | | | | $ | 645,407 | | |
Unrealized Appreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
on Swaps
|
| |
JP Morgan
|
| | | | 737,675 | | | | | | — | | | | | | — | | | | | | (480,000) | | | | | | 257,675 | | |
Unrealized Appreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
on Swaps
|
| |
Morgan Stanley
|
| | | | 311,734 | | | | | | (265,523) | | | | | | — | | | | | | — | | | | | | 46,211 | | |
Unrealized Appreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
on Swaps
|
| |
Bank of America
|
| | | | 130,195 | | | | | | — | | | | | | — | | | | | | — | | | | | | 130,195 | | |
Unrealized Appreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
on Swaps
|
| |
Societe Generale
|
| | | | 568,657 | | | | | | — | | | | | | — | | | | | | — | | | | | | 568,657 | | |
Total
|
| | | | | | $ | 2,902,704 | | | | | $ | (774,559) | | | | | $ | — | | | | | $ | (480,000) | | | | | $ | 1,648,145 | | |
Amounts Not Offset in the Statement of Assets and Liabilities
|
| |||||||||||||||||||||||||||||||||
Description
|
| |
Counterparty
|
| |
Gross Amounts of
Assets in the Statement of Assets and Liabilities |
| |
Financial
Instruments Available for Offset |
| |
Financial
Instruments Collateral Pledged |
| |
Cash Collateral
Pledged/ (Received)* |
| |
Net Amount Due
from Counterparty |
| |||||||||||||||
Reality Shares DIVS ETF | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized Depreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
on Swaps
|
| |
BNP Paribas
|
| | | $ | 509,036 | | | | | $ | (509,036) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Unrealized Depreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
on Swaps
|
| |
Morgan Stanley
|
| | | | 265,523 | | | | | | (265,523) | | | | | | — | | | | | | — | | | | | | — | | |
Total
|
| | | | | | $ | 774,559 | | | | | $ | (774,559) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Fund
|
| |
Cost
|
| |
Gross
Unrealized Appreciation |
| |
Gross
Unrealized Depreciation |
| |
Net Unrealized
Appreciation (Depreciation) |
| |
Net Unrealized
Appreciation (Depreciation) on Swaps, Currency and Securities Sold Short |
| |||||||||||||||
Reality Shares DIVS ETF | | | | $ | 64,347,985 | | | | | $ | 57,569 | | | | | $ | — | | | | | $ | 57,569 | | | | | $ | 2,128,146 | | |
Reality Shares DIVCON Leaders Dividend ETF | | | | | 26,872,301 | | | | | | 5,794,299 | | | | | | (936,563) | | | | | | 4,857,736 | | | | | | — | | |
Reality Shares DIVCON Dividend Defender ETF | | | | | 5,292,948 | | | | | | 930,716 | | | | | | (257,813) | | | | | | 672,903 | | | | | | 68,239 | | |
Reality Shares DIVCON Dividend Guard ETF | | | | | 12,748,823 | | | | | | 1,536,084 | | | | | | (493,913) | | | | | | 1,042,171 | | | | | | — | | |
Reality Shares NASDAQ NexGen Economy ETF | | | | | 73,010,386 | | | | | | 5,683,726 | | | | | | (11,591,620) | | | | | | (5,907,894) | | | | | | (2,291) | | |
Fund
|
| |
Undistributed
Ordinary Income |
| |
Undistributed
Long-term Capital Gains |
| |
Accumulated
Capital and Other Losses |
| |
Net Unrealized
Appreciation (Depreciation) |
| |
Total
Distributable Earnings (Loss) |
| |||||||||||||||
Reality Shares DIVS ETF | | | | $ | 787,519 | | | | | $ | 1,416,681 | | | | | $ | — | | | | | $ | 2,185,715 | | | | | $ | 4,389,915 | | |
Reality Shares DIVCON Leaders Dividend ETF | | | | | 50,544 | | | | | | — | | | | | | (2,195,172) | | | | | | 4,857,736 | | | | | | 2,713,108 | | |
Reality Shares DIVCON Dividend Defender ETF | | | | | 8,458 | | | | | | — | | | | | | (323,579) | | | | | | 741,142 | | | | | | 426,021 | | |
Reality Shares DIVCON Dividend Guard ETF | | | | | 31,312 | | | | | | — | | | | | | (1,585,813) | | | | | | 1,042,171 | | | | | | (512,330) | | |
Reality Shares NASDAQ NexGen Economy ETF | | | | | 130,962 | | | | | | — | | | | | | (4,403,829) | | | | | | (5,910,185) | | | | | | (10,183,052) | | |
Fund
|
| |
Total Distributable
Earnings (Loss) |
| |
Paid-in Capital
|
| ||||||
Reality Shares DIVS ETF | | | | $ | — | | | | | $ | — | | |
Reality Shares DIVCON Leaders Dividend ETF | | | | | (1,833,045) | | | | | | 1,833,045 | | |
Reality Shares DIVCON Dividend Defender ETF | | | | | (19,086) | | | | | | 19,086 | | |
Reality Shares DIVCON Dividend Guard ETF | | | | | (63,736) | | | | | | 63,736 | | |
Reality Shares NASDAQ NexGen Economy ETF | | | | | 932,551 | | | | | | (932,551) | | |
| | |
2019
|
| |
2018
|
| ||||||||||||||||||||||||||||||
Fund
|
| |
Ordinary
Income |
| |
Long-Term
Capital Gains |
| |
Return
Of Capital |
| |
Ordinary
Income |
| |
Long-Term
Capital Gains |
| |
Return
Of Capital |
| ||||||||||||||||||
Reality Shares DIVS ETF | | | | $ | 656,217 | | | | | $ | 433,420 | | | | | $ | — | | | | | $ | — | | | | | $ | 486,125 | | | | | $ | — | | |
Reality Shares DIVCON Leaders Dividend ETF | | | | | 568,034 | | | | | | — | | | | | | — | | | | | | 503,239 | | | | | | — | | | | | | — | | |
Reality Shares DIVCON Dividend Defender ETF | | | | | 46,093 | | | | | | — | | | | | | — | | | | | | 15,899 | | | | | | — | | | | | | — | | |
Reality Shares DIVCON Dividend Guard ETF | | | | | 115,430 | | | | | | — | | | | | | — | | | | | | 16,462 | | | | | | — | | | | | | — | | |
Reality Shares NASDAQ NexGen Economy ETF | | | | | 1,149,910 | | | | | | — | | | | | | — | | | | | | 802,580 | | | | | | — | | | | | | — | | |
Fund
|
| |
Non-Expiring
Short Term Losses |
| |
Non-Expiring
Long Term Losses |
| |
Total
|
| |||||||||
Reality Shares DIVS ETF | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Reality Shares DIVCON Leaders Dividend ETF | | | | | 483,488 | | | | | | 1,711,684 | | | | | | 2,195,172 | | |
Reality Shares DIVCON Dividend Defender ETF | | | | | 170,706 | | | | | | 152,873 | | | | | | 323,579 | | |
Reality Shares DIVCON Dividend Guard ETF | | | | | 1,555,457 | | | | | | 30,356 | | | | | | 1,585,813 | | |
Reality Shares NASDAQ NexGen Economy ETF | | | | | 3,319,636 | | | | | | 1,084,193 | | | | | | 4,403,829 | | |
Fund
|
| |
Ordinary
Income |
| |
Per share
|
| |
Long-term
capital gains |
| |
Per share
|
| ||||||||||||
Reality Shares DIVS ETF | | | | $ | 887,996 | | | | | $ | 0.37 | | | | | $ | 1,416,687 | | | | | $ | 0.60 | | |
Reality Shares Divcon Leaders Dividend ETF | | | | | 135,405 | | | | | | 0.16 | | | | | | — | | | | | | — | | |
Reality Shares Divcon Dividend Defender ETF | | | | | 14,654 | | | | | | 0.07 | | | | | | — | | | | | | — | | |
Reality Shares Divcon Dividend Guard ETF | | | | | 59,309 | | | | | | 0.11 | | | | | | — | | | | | | — | | |
Reality Shares Nasdaq NexGen Economy ETF | | | | | 192,700 | | | | | | 0.08 | | | | | | — | | | | | | — | | |
Name, Address(1) and Age
|
| |
Position with
Trust and Length of Term(2) |
| |
Principal Occupations
in the Past 5 Years |
| |
Number of Portfolios
in Fund Complex(3) Overseen by Trustee |
| |
Other Directorships Held
in the Past 5 Years |
|
Michael S. Rosen(4)
(Born: 1961) |
| |
Trustee
(since 2014) |
| | Co-Founder and CEO of Context Capital Management, LLC (2001 – present) | | | 7 | | | None | |
|
Nathaniel R. Singer
(Born: 1961) |
| |
Trustee
(since 2014) |
| | Swap Financial Group, Municipal Adviser (January 2008 – present) | | | 7 | | |
Municipal Securities
Rulemaking Board |
|
|
Robert J. Buscher
(Born: 1958) |
| |
Trustee
(since 2018) |
| | Chief Financial Officer of Pacific Ridge School (2012 – present) | | | 7 | | | None | |
Name, Address(5) and Age
|
| |
Position with Trust and Length of Term(6)
|
| |
Principal Occupations in Past 5 Years
|
|
Eric Ervin
(Born: 1976) |
| |
President
(since 2014) |
| | President, CEO and Co-Founder of Reality Shares, Inc. (October 2011 – present) | |
Ted J. Uhl
(Born: 1975) |
| |
Chief Compliance Officer
(since 2014) |
| | Deputy Chief Compliance Officer of ALPS (June 2010 – present) | |
Fund
|
| |
QDI
|
| |
DRD
|
| ||||||
Reality Shares DIVS ETF | | | | | 0.00% | | | | | | 0.00% | | |
Reality Shares Divcon Leaders Dividend ETF | | | | | 100.00% | | | | | | 100.00% | | |
Reality Shares Divcon Dividend Defender ETF | | | | | 100.00% | | | | | | 100.00% | | |
Reality Shares Divcon Dividend Guard ETF | | | | | 78.53% | | | | | | 94.81% | | |
Reality Shares Nasdaq NexGen Economy ETF | | | | | 100.00% | | | | | | 46.45% | | |
Fund
|
| |
Gross Foreign
Income |
| |
Foreign Taxes
Paid |
| ||||||
Reality Shares DIVS ETF | | | | $ | — | | | | | $ | — | | |
Reality Shares Divcon Leaders Dividend ETF | | | | | — | | | | | | — | | |
Reality Shares Divcon Dividend Defender ETF | | | | | — | | | | | | — | | |
Reality Shares Divcon Dividend Guard ETF | | | | | — | | | | | | — | | |
Reality Shares Nasdaq NexGen Economy ETF | | | | | 1,719,375 | | | | | | 125,464 | | |
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been several amendments and/or edits during the period covered by this report to provisions of the code of ethics that applies to the registrant’s principal executive officer and principal financial officer. The full code of ethics is attached hereto as Exhibit (a)(1). |
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the registrant’s board of Trustees has determined that Robert Buscher is qualified to serve as an audit committee financial expert serving on its audit committee and that he is “independent,” as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $82,000 for 2018 and $67,500 for 2019. |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item are $0 for 2018 and $0 for 2019. |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax services in regard to the year-end audit, tax compliance, tax advice, and tax planning are $21,500 for 2018 and $23,000 for 2019. |
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2018 and $0 for 2019. |
(e)(1) | Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
REALITY SHARES ETF TRUST
Audit and Non-Audit Services Pre-Approval Policy
A. | Policy |
The Audit Committee will pre-approve any engagement of the independent auditors, including fees and compensation to be paid to the independent auditors, to provide any audit and any non-audit services to the Trust and any non-audit services to the Trust’s investment advisor and to any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the Trust, if the engagement relates directly to the operations and financial reporting of the Trust, as provided in Rule 2-01(c)(7)(ii) of Regulation S-X. The Audit Committee Chair shall have the authority to grant pre-approval and may delegate this authority to one or more Audit Committee members who are independent Trustees as defined in Section 10A(i) of the Securities and Exchange Act of 1934, as amended. All such delegated pre-approvals shall be reported to the Audit Committee no later than the next Audit Committee meeting.
Pre-Approval for services provided to the Trust other than audit, review or attest services is not required if: (1) the aggregate amount of all such non-audit services provided to the Trust constitutes not more than 5% of the total amount of revenues paid by the Trust to the independent auditors during the fiscal year in which the non-audit services are provided; (2) such services were not recognized by the Trust at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and are approved by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals had been delegated by the Audit Committee prior to the completion of the audit.
B. | Prohibited and Conditionally Prohibited Non-Audit Services |
The independent auditors may not provide (except as described below) any of the following services to the Trust and the Trust’s investment advisor.
1. Conditionally Prohibited Non-Audit Services
The following services may be provided if the Trust and the Audit Committee can reasonably conclude that the result of the service would not be subject to audit procedures in connection with the audit of the Trusts financial statements:
- Bookkeeping
- Financial information systems design and implementation
- Appraisal or valuation services, fairness opinions, or contribution-in-kind reports
- Actuarial services
- Internal audit outsourcing services
2. Prohibited Non-Audit Services
- Management functions or human resources
- Broker or dealer, investment adviser or investment banking services
- Legal services and expert services unrelated to the audit
- Any other service that the Public Company Accounting Oversight Board determined by regulation, is prohibited.
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows: |
(b) N/A
(c) 100%
(d) N/A
(f) | The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was less than fifty percent. |
(g) | The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $21,500 for 2018 and $23,000 for 2019. |
(h) | Not applicable. |
Item 5. Audit Committee of Listed Registrants.
(a) | The registrant has a separately designated audit committee consisting of all the independent directors of the registrant. The members of the audit committee are Robert Buscher and Nathaniel Singer. |
(b) | Not applicable |
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Reality Shares ETF Trust
By (Signature and Title)* /s/ Eric R. Ervin
Eric R. Ervin, President and Treasurer
(principal executive officer)
Date: January 9, 2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* /s/ Eric R. Ervin
Eric R. Ervin, President and Treasurer
(principal executive officer)
Date: January 9, 2020
By (Signature and Title)* /s/ Eric R. Ervin
Eric R. Ervin, President and Treasurer
(principal financial officer)
Date: January 9, 2020
* Print the name and title of each signing officer under his or her signature.
EX-99.CODE ETH
EXHIBIT B
REALITY SHARES ADVISORS, LLC
CODE OF ETHICS
DATED: NOVEMBER 2019
This Code of Ethics (the “Code”) is based on the principle that Reality Shares Advisors, LLC (“RSA” or the “Firm”) and all its officers, directors and employees have a fiduciary duty to place the interest of clients ahead of their own. This Code applies to all of the Firm’s "Supervised Persons" (as such term is defined below). RSA and its Supervised Persons shall avoid activities, interests, and relationships that might interfere with making decisions in the best interests of RSA’s clients.
1. | Definitions |
(a) | “Access Person” means, for the purposes of the Code, all Supervised Persons of the Firm. The term Access Person may also include any independent contractors, who have access to non-public information regarding purchases or sales of securities for or nonpublic information regarding clients’ portfolios, or who have access to any recommendations or holdings that are non-public. The CCO will make the determination of whether any independent contractors are Access Persons and notify them of the requirements. Directors, officers and partners of RSA are presumed to be Access Persons. |
(b) | “Automatic Investment Plan” means a program in which regular periodic purchases (or withdrawals) are made automatically in (or from) investment accounts in accordance with a predetermined schedule and allocation. An automatic investment plan includes a dividend reinvestment plan. |
(c) | “Beneficial Ownership” means any interest in a security for which an Access Person can directly or indirectly receive a monetary benefit, which may include the right to buy or sell a security, to direct the purchase or sale of a security, or to vote or direct the voting of a security (see Appendix 1 of this section for Examples of Beneficial Ownership). Note: This broad definition of “beneficial ownership” does not necessarily apply for purposes of other securities laws or for purposes of estate or income tax reporting or liability. An employee may declare that the reporting or recording of any securities transaction should not be construed as an admission that he or she has any direct or indirect beneficial ownership in the security for other purposes. |
(d) | “Covered Securities” – please refer to “Securities” below. |
(e) | “Federal Securities Laws” means the Securities Act of 1933, the Securities Exchange Act of 1934, the Investment Company Act of 1940, the Investment Advisers Act of 1940, the Bank Secrecy Act of 1970 (as it applies to funds and investment advisers), Title V of the Gramm-Leach-Bliley Act of 1999, the Sarbanes-Oxley Act of 2002, any rules adopted by the SEC under any of these statutes and any rules adopted thereunder by the SEC, Department of Labor or the Department of Treasury. |
(f) | “Initial Public Offering” (IPO) means an offering of securities registered under the Securities Act of 1933, as amended, the issuer of which, immediately before |
the registration, was not subject to the reporting requirements of Section 13 or 15(d) of the Exchange Act.
(g) | “Limited Offering” or “Private Placement” means an offering that is exempt from registration under the Securities Act of 1933 pursuant to section 4(2) or section 4(6) (15 U.S.C. 77d(2) or 77(d)(6)) or pursuant to 230.504, 230.505, or 230.506 of this chapter. This includes private funds and other private offerings/placements. |
(h) | “Personal Account” means every account for which an Access Person may directly or indirectly influence or control the investment decisions of the account and otherwise be deemed to have Beneficial Ownership. This typically includes, but may not be limited to, accounts of (a) any Access Person, (b) the spouse of such Access Person, (c) any children living in the same household of such Access Person, and/or (d) any other person residing in the same household of such Access Person, if such Access person has a beneficial interest in such account(s). Each of the above accounts is considered a personal account of the Access Person. Any account where the Access Person has given written discretionary authority to a third party, such as an outside investment adviser, would not be considered a “Personal Account” (Please note the Access Person shall provide the CCO with a copy of the written discretionary authority). |
(i) | “Prohibited Transactions” means transactions in IPOs (including Secondary Offerings), transactions in the securities issued by the Reality Shares Trust, or transactions that would otherwise violate the provisions of this Code. |
(j) | “Purchase or sale of a security” means the buying or selling of any Securities (as that term is defined below) and includes, among other things, the writing of an option to purchase or sell a Security or the purchase or sale of a Security that is exchangeable for or convertible into a Security. |
(k) | “Reportable Fund” means (i) any mutual fund for which the Firm serves as an investment adviser or sub-adviser as defined in section 2(a)(2) of the Investment Company Act of 1940; or (ii) any mutual fund whose investment adviser or principal underwriter controls the Firm, is controlled by the Firm, or is under common control with the Firm. For purposes of this section, control has the same meaning as it does in section 2(a)(9) of the Investment Company Act. Notably, all ETFs that are formed under the Reality Shares ETF Trust (“RS ETFs”) are Reportable Funds. |
(l) | “Restricted Securities” means any securities that have been identified by the Firm as securities restricted for trading purposes. |
(m) | “Secondary Offering” means an offering of securities of a publicly traded company that prior to the offering were not registered under the Securities Act of 1933, as amended. |
(n) | “Securities”(or “covered Securities”) means securities that are covered by the Code. Such covered securities include, but are not necessarily limited to: |
• | Equity securities, including common and preferred stock |
• | Reportable Funds (as defined above) |
• | Restricted Securities (as defined above); |
• | Corporate and Municipal bonds; |
• | Exchange Trade Funds; |
• | Closed End Funds; |
• | Initial Public Offerings (as defined above); |
• | Limited Offerings and Private Placements (as defined above); |
• | Investments convertible into, or exchangeable for, stock or debt securities; |
• | Cryptocurrency, virtual currency, ICOs, Alt Coins, Tokens; |
• | Any derivative instrument relating to any of the above securities, including options, warrants and futures; and |
• | Any interest in a partnership investment (such as limited partnerships) in any of the foregoing. |
(o) | “Supervised Persons” means all officers, directors and employees of the Firm and any other person(s) that the Firm may deem from time to time to be a supervised person (such as certain independent contractors). |
2. | Fiduciary Obligations and Ethical Principles |
The Firm and its Supervised Persons have an ongoing fiduciary responsibility to the Firm’s clients and shall assure that the needs of the clients always come first. The Firm holds its supervised persons to a very high standard of integrity and business practices. In serving its clients, RSA and its Supervised Persons shall at all times deal with clients in an honest and ethical manner and comply with all the Federal Securities Laws.
While affirming its confidence in the integrity and good faith of its Supervised Persons, the Firm understands that the knowledge of present or future client portfolio transactions and the power to influence client portfolio transactions, if held by such individuals, places them in a position where their personal interests might become conflicted with the interests of the Firm’s clients. Such conflicts of interest could arise, for example, if securities are bought or sold for personal accounts in a manner that either competes with the purchase or sale of securities for client accounts or results in an advantageous position for the personal accounts.
Because RSA is a fiduciary to its clients, Supervised Persons shall avoid actual and potential conflicts of interest with the Firm’s clients. Therefore, in view of the foregoing and in accordance with the provisions of Rule 204A-1 under the Investment Advisers Act of 1940, as amended (“Advisers Act”), and Rule 17j-1 under the Investment Company Act of 1940, as amended (“1940 Act”), RSA has adopted this Code to outline and prohibit certain types of activities that are deemed to create conflicts of interest (or at least the potential for or the appearance of such a conflict) and to outline pre-approval and reporting requirements, along with enforcement procedures. Please note that for all pre-approval, reporting and review requirements listed below, the Chief Compliance Officer (“CCO”) will report to and/or obtain pre-approval from the CEO.
In addition, Supervised Persons shall adhere to the following general principles as well as to the Code’s specific provisions:
(a) | At all times, the interests of the Firm’s clients shall come first; |
(b) | Personal securities transactions shall be conducted consistent with the Code in a manner that avoids any actual or potential conflict of interest; and |
(c) | No inappropriate advantage should ever be taken that is contrary to the Firm’s responsibilities and duties to its clients. |
3. | Unlawful Actions |
It is unlawful for any Supervised Person:
(a) | To employ any device, scheme or artifice to defraud a client; |
(b) | To make any untrue statement of a material fact to any of the Firm’s clients or omit to state a material fact necessary in order to make the statements made to a client, in light of the circumstances under which they are made, not misleading; |
(c) | To engage in any act, practice or course of business that operates or would operate as a fraud or deceit on a client; or |
(d) | To engage in any manipulative practice with respect to a client. |
This Code does not attempt to identify all possible conflicts of interest, and literal compliance with each of its specific provisions will not shield Access Persons from liability for personal trading or other conduct that violates a fiduciary duty to Firm clients.
4. | Procedures Regarding Trading by Access Persons in Personal Accounts |
(a) | Preclearance Approval of Certain Transactions: |
Any Access Person wanting to purchase or sell any Covered Security in any Personal Account shall obtain written pre-approval by the CCO or her designee, either through completion of a written form (see Appendix 2 – Pre Approval Form), or through an electronic retention facility. All transactions requested and approved through an electronic retention facility acknowledge and agree the same certifications as outlined in these policies.
Access Persons wanting to purchase or sell cryptocurrency, virtual currency, ICOs, alt coins, tokens, or derivative instruments (e.g. futures, options, etc.) thereof (“Crypto Instruments”) in any personal account shall obtain written pre-approval by the CCO or his designee by means of an electronic request, including email. Any such purchase or sale of Crypto Instruments (“Transaction”) may incur up to a 24-hour waiting period between time of authorization and permission to execute for such Transaction, at the discretion of the CCO or his designee. There will be a mandatory 30-day holding period for assets effected from any such Transaction.
At the discretion of the CCO or CEO, Access Person transactions may be aggregated with trades being placed for the RS ETFs’ portfolios, so long as it is in the same direction (i.e., all buys or all sells), for the same security and is completed in accordance with the Firm’s written policy and procedures regarding aggregated block trades.
(b) | Exempt Securities: |
No Access Person shall be required to pre-clear or report transactions in any Personal Account in the following securities:
• | Open-end mutual funds (this excludes closed-end mutual funds, Reportable Funds and ETFs) |
• | U.S. treasury bonds, treasury notes, treasury bills, U.S. Savings Bonds, and other instruments issued by the U.S. government or its agencies or instrumentalities |
• | Debt instruments issued by a banking institution, such as bankers’ acceptances and bank certificates of deposit (this excludes corporate or high yield bonds which shall be reported) |
• | Commercial paper |
• | Repurchase agreements |
(c) | Exempt Transactions: |
No Access Person shall be required to pre-clear or report the following transactions in any Personal Account:
• | Transactions that take place in any exempt security listed in 4(b) above; |
• | Transactions that take place in an account where the Access Person has no direct or indirect influence or control (e.g., discretionary managed accounts) |
• | Purchases that are part of an Automatic Reinvestment Plan |
(d) | Blackout Period: No Access Person may knowingly purchase or sell shares of any Covered Security in a Personal Account within three (3) days before and one (1) day after any client transaction in the same Covered Security. This will be checked by the CCO during the pre-approval process. |
(f) | Misuse of Non-Public Information: No Supervised Person shall divulge or act upon any material, non-public information as such activity is defined hereto in Appendix 3: Reality Shares Advisors, LLC Insider Trading Policy, which is incorporated herein. Upon initial execution of this Code and annually thereafter, all Supervised Persons are required to read the Insider Trading Policy, sign and date the acknowledgment of receipt and understanding form (See Appendix 4 for the Insider Trading Acknowledgement Form) and send the executed form to the CCO within 15 days of receipt. |
(g) | Excess Trading: While active trading may not in and of itself raise issues under applicable laws and regulations, RSA believes a very high level of personal trading can be time consuming and can increase the possibility of actual or perceived conflicts with fund portfolio transactions. Accordingly, an unusually high level of personal trading is strongly discouraged and may be monitored by the CCO to the extent appropriate. |
5. | Conflicts of Interest Issues |
(a) | Political Contributions: RSA requires all Access Persons and their direct family members to comply with the provisions under Rule 206(4)-5 of the Advisers Act as well as this Political Contributions Policy. All Access Persons and their direct family members are required to attain pre-approval prior to making individual political contributions in excess of $250 per candidate, per election. Beginning in 2016, RSA will require quarterly attestations of all political contributions, including, but not limited to, those noted above, from all Access Persons. |
(b) | Gifts: No Supervised Person shall accept or give any gift or other item (for the purpose of this Code “gifts” include but are not limited to cash, merchandise, prizes, travel expenses, entertainment tickets) of more than $100.00 in value annually, from any person or entity that does business with or on behalf of the Firm. All gifts given and received shall be reported to the CCO or his designee at the time the gift was given and/or received. Meals, entertainment and travel in the presence of the person or entity that does or seeks to do business with RSA are permitted outside the $100.00 annual limit, but shall be reported to the CCO or his designee prior to the event. See Appendix 5 for Gift Reporting Form. |
(c) | Outside Business Activities: All Access Persons are to avoid any business activity, outside employment or professional service that directly competes with RSA or conflicts with the business interests of RSA. While associated with RSA, no Supervised Person will accept outside employment or receive outside compensation without completing the Reality Shares Advisors, LLC Outside Business Activities Form (Appendix 6) and obtaining written pre-approval from the CCO or his designee. (Please note: This procedure shall be followed even if the outside activity is performed without receiving compensation.) |
(d) | Service on Boards: No Supervised Person shall serve on the board of directors of a company, institution, endowment, charity, or any other organization without prior written authorization by the CCO or her designee. If board service is authorized, such Supervised Person shall at all times assure that they have no role in making any type of investment decisions with respect to the company, unless otherwise approved by the CCO or his designee. To receive pre- clearance authorization, please complete the Reality Shares Advisors, LLC Outside Business Activities Form found in Appendix 6. |
(e) | Professional Conduct: While associated with RSA, no Supervised Person may be involved with any type of activity which may bring negative publicity to RSA or its affiliates. |
6. | Reporting and Compliance Procedures |
(a) | Brokerage Statements: All Access Persons shall complete the Outside Brokerage Account Form (see Appendix 7) and otherwise provide all necessary information to the CCO so that the Firm may be aware of each of the Access Person’s Personal Account(s). |
(b) | Submission of Quarterly Transaction Reports: In order for the Firm to monitor compliance with the Code and to comply with Rule 204A-1 under the Advisers Act and Rule 17j-1 under the 1940 Act, every Access Person shall be required to report or attest to the CCO or his designee, for each Personal Account, the information described below, or in the alternative cause the Firm to receive or be provided with quarterly brokerage account statements that contain the following information: |
(i) | The date of the transaction (either trade date or settlement date), the name of the Security, the symbol, the number of shares, the maturity date and/or the interest rate, if applicable, and the principal amount of each Security involved; |
(ii) | The nature of the transaction (i.e., purchase, sale, or any other type of acquisition or disposition); |
(iii) | The price of the Security at which the transaction was effected; |
(iv) | The name of the broker, dealer or bank with or through whom the transaction was effected; and |
(v) | The name and account number of the Personal Account. |
The above reporting shall be done within 30 days of the end of each quarter. Therefore, for transactions in Personal Accounts for which RSA has not timely received a duplicate statement (i.e., within the 30 day reporting period), the Access Person is required to complete and submit Reality Shares Advisors, LLC Personal Securities Transaction Report (see Appendix 8) within the required reporting period.
(c) | Initial and Annual Holdings Reports: No later than 10 days after becoming an Access Person each Access Person shall submit to the CCO or his designee a report of his or her holdings in Securities (including Securities held in all Personal Accounts), utilizing the Reality Shares Advisors, LLC Initial Holdings Report; (see Appendix 9). Annually thereafter, each Access Person shall submit to the CCO or his designee a report of his or her holdings in Securities (including Securities held in all Personal Accounts), utilizing the Reality Shares Advisors, LLC Annual Holdings Report; (see Appendix 9) The report shall include the following information, which shall be as of a date no more than 45 days prior to the date the report was submitted: |
(i) | The title and type of security, and as applicable the exchange ticker symbol or CUSIP number, number of shares, and principal amount of each reportable security in which the Access Person has any direct or indirect beneficial ownership; |
(ii) | The name of the broker, dealer or bank with which the Access Person maintains an account in which the securities are held; and |
(iii) | The date the Access Person submits the report. |
7. | Administration of the Code |
(a) | The CCO or her designee will review all reports and other information submitted under this Code. This review may include, but not be limited to: (1) an assessment of whether Supervised Persons and Access Persons followed the required procedures as outlined within this Code; (2) an assessment of whether each Access Person has traded in the same securities as the Firm did for the RS ETFs’ portfolios, and if so, determining whether the RS ETF’s terms for the transactions were more favorable; (3) an assessment of any trading patterns that may indicate abuse; and (4) performing any other assessment that may be necessary to determine whether there have been any violations of the Code. |
(b) | Supervised Persons are required to immediately report any potential violation or violation of this Code of which he or she becomes aware, to the CCO. No |
Supervised Person will be sanctioned for reporting a potential or actual violation.
(c) | Each Supervised Person shall be requested to annually submit to the CCO the Code of Ethics Acknowledgment Form (Appendix 10), which states that the Supervised Person has read, understands and agrees to abide by the Code. As changes to the Code occur, the Supervised Person shall receive a copy of the Code and training as necessary. Upon receipt, each Supervised Person is required to read and understand the requirements of the Code and then re-sign the Acknowledgment Form, which shall be submitted no later than 30 days from the date of receipt of the Code. |
(d) | This Code does not amend or supersede any other Code(s) of Ethics that may affect the duties and obligations of any person affected hereby. |
(e) | No less frequently than annually, the CCO or his designee will furnish to the Board of the RS ETFs a written report that: |
(i) | Describes any issues arising under the Code during the reporting period, including, but not limited to, information about material violations of the Code and sanctions imposed in response to the material violations; and |
(ii) | Certifies that the Firm has adopted procedures reasonably necessary to prevent Supervised Persons and Access Persons from violating the code. |
8. | Violations of the Code |
The CCO or his designee will assess whether any violation has occurred. If it is determined that a violation has occurred, the CCO will report such violation to the CEO, who may impose such sanctions as he deems appropriate, including, but not limited to suspension of personal trading privileges for a period, disgorging of profits made by the violator, fines and/or dismissal from RSA.
9. | Exceptions |
The CCO may grant written exceptions to the provisions of the Code based on equitable considerations (e.g., rapid markets, hardship, satisfaction of a court order, etc.). The exceptions may be granted to individuals or classes of individuals with respect to particular transactions, classes of transactions or all transactions, and may apply to past as well as future transactions, provided that no exception will be granted where the exceptions would result in a violation of Rule 204A-1 of the Advisers Act, Rule 17j-1 of the 1940 Act, or any other Federal Securities Laws.
10. | Recordkeeping Requirements |
The CCO or her designee, will be responsible for maintaining the following records pertaining to the Code for a minimum of five years from the end of the fiscal year in which the information was obtained and/or in effect, the first two years on-site in an accessible place, with the exception of (c) below, which will be kept for five years after the individual ceases to be deemed an Access Person.
(a) | A list of all of the Firm’s Access Persons, which will include every person who was deemed an Access Person at anytime within the past five years, even if they are no longer deemed as such. |
(b) | Copies of the Code and all amendments thereto. |
(c) | Copies of all the written acknowledgments required in section 7(c) above submitted by each Supervised Person. |
(d) | A record of any violation of the Code and any action taken as a result of the violation. |
(e) | Copies of each report submitted by an Access Person required in sections 6(b) and (c) above. |
(f) | Copies of all brokerage statements submitted in accordance with section 6(a) above. |
(g) | All pre-clearance decisions and the reasons supporting the decision. |
(h) | Copies of all written exceptions granted under this Code. |
Any Supervised Person having questions relating to the Code should contact the CCO or CEO.
Code of Ethics – Appendix 1
Reality Shares Advisors, LLC
EXAMPLES OF BENEFICIAL OWNERSHIP
• | Securities held by an Access Person for their own benefit, regardless of the form in which held; |
• | Securities held by others for a Access Person’s benefit, such as securities held by custodians, brokers, relatives, executors or administrators; |
• | Securities held by a pledge for an Access Person’s account; |
• | Securities held by a trust in which an Access Person has an income or remainder interest, unless the Access Person’s only interest is to receive principal (a) if some other remainderman dies before distribution or (b) if some other person can direct by Will a distribution of trust property or income to the Access Person; |
• | Securities held by an Access Person as trustee or co-trustee, where the Access Person or any member of their immediate family (i.e., spouse, children or their descendants, stepchildren, parents and their ancestors, and stepparents, in each case treating a legal adoption as a blood relationship) has an income or remainder interest in the trust; |
• | Securities held by a trust of which the Access Person is the settler, if the Access Person has the power to revoke the trust without obtaining the consent of all the beneficiaries; |
• | Securities held by a general or limited partnership in which the Access Person is either the general partner of such partnership or a controlling partner of such entity (e.g., Access Person owns more than 25% of the partnership’s general or limited partnership interests); |
• | Securities held by a personal holding company controlled by a Access Person alone or jointly with others; |
• | Securities held in the name of minor children of a Access Person or in the name of any relative of a Access Person or of their spouse (including an adult child) who is presently sharing the Access Person’s home; |
• | Securities held in the name of any person other than a Access Person and those listed above, if by reason of any contract, understanding, relationship, agreement, or other arrangement the Access Person obtains benefits equivalent to those of ownership; and |
• | Securities held in the name of any person other than an Access Person, even though the Access Person does not obtain benefits equivalent to those of ownership (as described above), if the Access Person can vest or re-vest title in himself. |
Code of Ethics – Appendix 2
REALITY SHARES ADVISORS, LLC
PERSONAL TRADING PRE-APPROVAL FORM
Reality Shares Advisors, LLC (“RSA”) has established written policies and procedures regarding employee personal trading. Importantly, in order to avoid any potential or real conflicts of interest and to adhere to applicable state and federal regulations, Access Persons shall obtain written pre-approval from the Chief Compliance Officer (CCO) prior to executing certain transactions in personal accounts. (See RSA’s Code of Ethics for details on transactions that require pre-approval)
Section I – Pre-Approval Request: (Please complete the following)
Name of Security:
___________________________________________________________________________________
Symbol or CUSIP:
___________________________________________________________________________________
Type of Transaction (Buy or Sell):
___________________________________________________________________________________
If Sell, Date of Purchase:
___________________________________________________________________________________
Amount of Shares:
___________________________________________________________________________________
Approximate Dollar Amount of Trade:
___________________________________________________________________________________
Name
of Personal Account:
___________________________________________________________________________________
Account Number:
___________________________________________________________________________________
Name of Broker-Dealer:
___________________________________________________________________________________
Section II: Certification of Access Person
By signing below, I certify to the following:
• | I do not have any inside information regarding this security. |
• | To the best of my knowledge, this transaction would not be in conflict with any transaction for any RSA ETF portfolio. |
• | If approved, I understand and agree that the requested transaction outlined above shall be completed no later than the close of business on the next trading day from the date of approval, unless an extension of time is given in writing by the CCO or CEO. |
Signature: | Date: | ||||
Name (Print): | Title: | ||||
For Compliance Use Only:
Permission from Compliance has been ¨ Approved ¨ Denied for this Access Person to make the transaction described above.
Compliance Approval/Denial by:___________________________ Date: _____________________________
Code of Ethics – Appendix 3
REALITY SHARES ADVISORS, LLC
INSIDER TRADING POLICY
The Insider Trading and Securities Fraud Enforcement Act of 1988 (“1988 Act”) further extends the safeguards of the Securities Exchange Act of 1934 as it pertains to "insider trading." The insider trading laws prohibit buying or selling securities while in possession or aware of material, non-public information (as defined below) or passing on such information (“tipping”) to others who buy or sell securities.
The term “insider trading” is generally used to refer to (i) a person’s use of material, nonpublic information in connection with transactions in securities and (ii) certain communications of material, nonpublic information.
The laws concerning insider trading generally prohibit:
• | The purchase or sale of securities by an insider, on the basis of material, nonpublic information; |
• | The purchase or sale of securities by a non-insider, on the basis of material, nonpublic information if the information was disclosed to the non-insider in violation of an insider’s duty to keep the information confidential or was misappropriated; and/or |
• | The communication of material, nonpublic information in violation of a confidentiality obligation where the information leads to a purchase or sale of securities. |
Who Is An Insider?
The concept of “insider” is broad. It includes the officers, directors, employees and majority shareholders of a company. In addition, a person can be considered a “temporary insider” of a company if he or she enters into a confidential relationship in the conduct of the company’s affairs and, as a result, is given access to company information that is intended to be used solely for company purposes. A temporary insider includes, among others, a company’s attorneys, accountants, consultants, investment bankers, commercial bankers and the employees of such organizations. In order for a person to be considered a temporary insider of a particular company, the company shall expect that the person receiving the information will keep the information confidential and the relationship between the company and the person shall at least imply such a duty. Analysts usually are not considered insiders of the company that they follow, although if an analyst is given confidential information by a company’s representative in a manner in which the analyst knows or should know to be a breach of that representative’s duties to the company, the analyst may become a temporary insider.
What is Material Information?
Trading on inside information is not a basis for liability unless the information is “material.” “Material” information generally is defined as information that a reasonable investor would likely consider important in making his or her investment decision or information that is reasonably certain to have a substantial effect on the price of a company’s securities. Information that should be considered material includes, but is not limited to: dividend changes, earnings estimates, changes in previously released earnings estimates, significant merger or acquisition proposals or agreement, major litigation, liquidity problems and extraordinary management developments. Material information does not have to relate to a company’s business; it can be significant market information. (For example, a reporter for The Wall Street Journal was found
criminally liable for disclosing to others the dates on which reports on various companies would appear in The Wall Street Journal and whether or not those reports would be favorable.)
What is Nonpublic Information?
Information is nonpublic unless it has been effectively communicated to the market place. For information to be considered public, one shall be able to point to some fact to show that the information has been disseminated to the public. For example, information found in a report filed with the SEC or appearing in Dow Jones, Reuters, The Wall Street Journal or another publication of general circulation is considered public. Market rumors are not considered public information.
1. | Penalties for Insider Trading |
Penalties for trading on or communicating material, nonpublic information is severe, both for the individuals involved in the unlawful conduct and for its employers. A person can be subject to some or all of the penalties set forth below even if he or she does not personally benefit from the violation. Penalties include:
• | Civil injunctions; |
• | Disgorgement of profits; |
• | Jail sentences; |
• | Fines for the person who committed the violation of up to three times the profit gained or loss avoided (per violation, or illegal trade), whether or not the person actually benefited from the violation; and |
• | Fines for the employer or other controlling person of the person who committed the violation of up to the greater of $5,000,000 or three times the amount of the profit gained or loss avoided per violation, or illegal trade. |
In addition, any violation of the procedures set forth in this section can be expected to result in serious sanctions by RSA, including immediate termination of the persons involved.
A. | Policies |
The Firm’s employees are prohibited from acting upon material non-public information. In working with clients, Supervised Persons may receive insider information. Supervised Persons are prohibited from using inside information when placing any trades of securities for RS ETFs’ portfolios. Furthermore, Supervised Persons may not transact any trades for their own accounts or for the benefit of any third-parties based upon such information. If a Supervised Person is unsure or suspects that he/she may have obtained or may be perceived to have obtained insider information, please notify the CCO immediately.
It is unlawful for RSA or any of its Supervised Persons to engage in any type of insider trading, which generally means that no “insider” may:
• | Purchase or sell a security on the basis of material, non-public information; or |
• | Communicate material, non-public information to another where the communication leads to, or is intended to lead to, a purchase or sale of securities; or |
• | Transact any trades for their own accounts or for the benefit of any other party based upon such material, non-public information. |
B. | Procedures |
RSA’s Supervised Persons are prohibited from buying or selling or recommending the purchase or sale of any security (or a derivative of such security) while in possession of material non-public information relating to that security or its issuer. Any Supervised Person who becomes aware of information, which could be classified as material, non-public information, should immediately advise the CCO. In addition, if inside information is received the CCO will place that security on the Firm’s restricted list. Supervised Persons shall be careful to assure that insider information is not communicated (or tipped) in any way. Prior to purchasing/selling a security personally, the Supervised Person shall first check to be sure that it is not on the Firm’s restricted list.
To avoid possible violations, the Firm will exercise great care in the supervision of employees and of the securities transactions of their personnel. If there is any question as to whether a contemplated purchase or sale would violate the insider trading rules, Supervised Persons will be required to consult with the CCO prior to effecting the transaction.
To assure that all Supervised Persons are properly informed of and understand RSA’s policy with respect to insider trading, the following internal controls have been established:
• | Mandatory training for new employees and required disclosure of outside brokerage accounts; |
• | Annual review and reporting of all outside brokerage accounts; |
• | Periodic review of employee and RSA’s trading to help assure compliance with the policy set forth in this section; |
• | Annual attestation of compliance with RSA’s inside information policies; and |
• | Quarterly compliance reviews of outside brokerage account statements. |
Should anyone suspect that insider trading may be occurring, please immediately notify the CCO.
Code of Ethics – Appendix 4
REALITY SHARES ADVISORS, LLC
INSIDER TRADING POLICIES AND PROCEDURES
ACKNOWLEDGEMENT FORM AND
CERTIFICATE OF COMPLIANCE
______________________________________
NAME (PLEASE PRINT)
1. | Reality Shares Advisors, LLC Insider Trading Policies and Procedures (“Insider Trading Policy”) as of December 12, 2013, has been provided to me for my review. |
2. | I certify that I have read and understand the Insider Trading Policy and will comply with these policies and procedures during the course of my association with RSA. |
3. | I agree to promptly report to the CCO or CEO any violation, or possible violation, of the Insider Trading Policy of which I became aware. |
4. | I understand that violation of the Insider Trading Policy will be grounds for disciplinary action up to and including dismissal and may also be a violation of federal and/or state securities laws. |
______________________________________
SIGNATURE
______________________________________
DATE
Code of Ethics – Appendix 5
REALITY SHARES ADVISORS, LLC
GIFT REPORTING
FORM
Reality Shares Advisors, LLC | Date: | ||||
______________________ | |||||
Quarterly Gift Reporting Form | Submitted by: | ||||
______________________ | |||||
Name | Relationship | Description of Gift(s) | Estimated | Giving or | Reason |
With Person(s) | Value | Receiving | for Gift | ||
For Compliance Use Only: | ¨ Reviewed by CCO |
Code of Ethics – Appendix 6
Reality Shares Advisors, LLC (“RSA”) requires its Supervised Persons to obtain prior written permission to have any outside employment or to receive any employment compensation other than through their affiliation with RSA. The firm’s Codes of Ethics also require you to notify the CCO or CEO prior to accepting certain outside employment.
Instructions: Please check all that apply:
1. | I understand that I shall provide written documentation to RSA prior to accepting (a) any board position or assignment with a non-public entity (including any church, not-for-profit organization or college/university) where I am to serve in an investment-related position, (b) any type of board position regardless if investment related or not, and/or (c) any outside compensation while still employed or associated with RSA. |
2. | I do not have any outside employment nor do I receive any compensation other than through my employment at or association with RSA. |
3. | I have accepted a position or assignment with a non-public company for which I hold an investment related position: |
(Name of Company) |
(Title/Main Responsibilities) | (Start Date) |
4. | __ I have accepted " outside employment (including a board position or assignment) and/or |
I am receiving outside compensation while I am associated with RSA: |
(Name of Company) |
(Title/Position) | (Start Date) |
5. | I have not accepted, but request permission to accept outside employment and/or compensation in addition to my employment at RSA: |
(Name of Company) |
(Title/Position) | (Start Date) |
ACKNOWLEDGEMENT: I hereby certify that all information provided above is true and correct.
Signature: | Date: | ||||
Name (Print): | Title: | ||||
For Compliance Use Only:
Permission from Compliance has been “¨ Granted” ¨ Denied for this Supervised Person to engage in outside business activity as outlined above.
Compliance Approval by: | Date: |
Code of Ethics – Appendix 7
REALITY SHARES ADVISORS, LLC
OUTSIDE BROKERAGE ACCOUNTS REPORTING FORM
Instructions. Please provide the following information for each brokerage account you hold for all Personal Accounts (as defined in the RSA Code of Ethics). If you have no such accounts, mark the appropriate box at the bottom of this form. Once the form is completed, please print and sign your name and return the form as instructed in the RSA Code of Ethics. RSA will send a letter requesting that copies of duplicate statements be provided to RSA’s CCO. Any questions should be directed to the CCO or CEO. If you have more than three outside brokerage accounts to report, please use additional forms.
1. Please Check One: 0 Employee 0 Investment Advisory Representative 0 Independent Contractor
Name IAR | ID Number | Telephone Number |
2. ¨ Add Account ¨ Remove Account ¨ Existing Account
Account Registration | Account Number |
Name and Address of Financial Institution
Account Type (e.g. Custodial, IRA) | Date Opened | Relationship to you |
3. ¨ Add Account ¨ Remove Account ¨ Existing Account
Account Registration | Account Number |
Name and Address of Financial Institution
Account Type (e.g. Custodial, IRA) | Date Opened | Relationship to you |
4. ¨ Add Account ¨ Remove Account ¨ Existing Account
Account Registration | Account Number |
Name and Address of Financial Institution
Account Type (e.g. Custodial, IRA) | Date Opened | Relationship to you |
5. Acknowledgement and Certification. I acknowledge that the above list represents all brokerage accounts for my Personal Accounts. I hereby acknowledge that I have received a copy of RSA’s Code of Ethics. I further acknowledge that it is my responsibility to read, understand and comply by the policies outlined in RSA’s Code of Ethics.
¨ | By marking this box, I have acknowledged and agreed to the statement above. |
¨ | I do not have any brokerage accounts to report. |
Signature | Date | |
Print Name | Title/Affiliation |
Code of Ethics – Appendix 8
REALITY SHARES ADVISORS, | Submitted | |||||
QUARTERLY PERSONAL SECURITIES TRANSACTION | Date | |||||
______________________ | ||||||
No | ||||||
Applicable | ||||||
Account Name | Acct | Full Security | Ticker Symbol/ | Date of | Transaction Type: | No. of |
# | Name | CUSIP | Transaction | Buy/Sell | Shares | |
Short/Long | ||||||
Code of Ethics – Appendix 9
REALITY SHARES ADVISORS, LLC
INITIAL/ANNUAL HOLDINGS REPORT
Holdings Declaration
In compliance with Rule 204A-1 of the Investment Advisers Act of 1940 and Rule 17j-1 of the Investment Company Act of 1940, Reality Shares Advisors, LLC (“RSA”) requires each Access Person to complete this declaration of personal securities holdings within 10 days of hire and annually thereafter. The Access Person shall provide information on all personal reportable securities holdings owned by the Access Person as of the date of this report, including securities in Personal Accounts (as such term is defined in the Code of Ethics).
Date:
No Securities Held by Access Person
I certify that I do not have any securities holdings to report that are held by me or any immediate family member living in the same household.
Securities Held by Access Person
In lieu of listing each security, I am attaching a copy of each account brokerage statement for my Personal Accounts (as such term is defined in the firm’s Code of Ethics), dated within 45 days of the date of this report, which lists the securities I am required to declare and includes all required information about each security as outlined in the RSA Code of Ethics.
In lieu of listing each security, I am listing all Personal Accounts and hereby certify that the brokerage firm(s) has been instructed to provide the CCO with duplicate electronic statements quarterly, which contain all my securities holdings, other than what is listed below in “Securities Not Held in Any Account”, if applicable. Also, it is my belief that the CCO is receiving such brokerage statements in a timely manner.
Signature: | Date: | |||
Name (Print): | Title: |
Firm Principal:
I have received and reviewed this initial holdings report:
Principal or Designee Signature | Date | Printed Name of Principal or Designee |
REALITY SHARES ADVISORS, LLC
INITIAL/ANNUAL HOLDINGS REPORT
Brokerage accounts:
Owner’s name: | ||
Brokerage Firm: | ||
Account number: | ||
Owner’s name: | ||
Brokerage Firm: | ||
Account number: | ||
Owner’s name: | ||
Brokerage Firm: | ||
Account number: | ||
Owner’s name: | ||
Brokerage Firm: | ||
Account number: | ||
Partnerships: | ||
Owner’s name: | ||
Partnership: | ||
Owner’s name: | ||
Partnership: | ||
Owner’s name: | ||
Partnership: | ||
Owner’s name: | ||
Partnership: | ||
Securities Not Held in Any Account: | ||
Owner’s name: | ||
Security: | ||
Type: | ||
Symbol/CUSIP #: | ||
Number of Shares: | ||
Principal Amount: | ||
Location: | ||
Owner’s name: | ||
Security: | ||
Type: | ||
Symbol/CUSIP #: | ||
Number of Shares: | ||
Principal Amount: | ||
Location: |
Addendum
Samples
of Account Types for Inclusion and Exclusion on
Initial and Annual Holdings Declaration
College Savings Programs
If the program does not invest in any type of security and is not held at a brokerage firm, it does not need to be reported.
Foundations
If the employee owns/created the foundation, it should be reported as an outside business activity, but not a security holding. Donations to foundations or charities do not need to be reported. An employee should not donate to a foundation or charity in exchange for receiving business from the foundation or charity.
Private Partnerships
Private partnerships and private funds need to be reported.
Real Estate
Ownership in real property does not need to be reported. Investments in REITs or private placements/funds that invest in real estate do need to be reported.
Annuities/Insurance Programs
The product needs to be reported only if it invests in securities.
401Ks
The holdings do not need to be reported if the 401K only invests in unaffiliated third party open end mutual funds. If the 401K invests in any other type of security that is not considered “exempt”, then the holdings need to be reported.
IRA’s
IRA’s need to be reported if the account holds any type of reportable security.
Code of Ethics – Appendix 10
REALITY SHARES ADVISORS, LLC
CODE ACKNOWLEDGEMENT FORM AND
CERTIFICATE OF COMPLIANCE
NAME (PLEASE PRINT)
1. | RSA’s Codes of Ethics (“Code”), dated March 15, 2018 has been provided to me for my review. |
2. | I have read and understand the Code and will comply with these policies and procedures during the course of my association with RSA. |
3. | I agree to promptly report to the CCO or CEO any violation, or possible violation of this Code, which I become aware. |
4. | I understand that a violation of this Code and/or a violation of federal and/or state securities laws will be grounds for disciplinary action as decided by the CEO, which could include but not be limited to dismissal of employment. |
5. | I certify I will obtain written pre-approval for all required personal securities transactions as required by the Code. |
6. | I certify I will report all required securities transactions, holdings, gifts, new outside brokerage accounts, and outside business activities as required by the Code. |
7. | I certify that I have executed the Reality Shares Advisors, LLC Insider Trading Policy Acknowledgement Form and agree to comply with the Firm’s Insider Trading Policy. |
SIGNATURE
DATE
Internal Use Only |
I have received this completed acknowledgement of the E-mail Retention Policy:
Principal or Designee Signature | Date | Printed Name of Principal or Designee |
EX-99.CERT
Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act
I, Eric R. Ervin, certify that:
1. | I have reviewed this report on Form N-CSR of Reality Shares ETF Trust; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
5. | The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
Date: | January, 9, 2020 | /s/ Eric R. Ervin |
Eric R. Ervin, President and Treasurer | ||
(principal executive officer) |
Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act
I, Eric R. Ervin, certify that:
1. | I have reviewed this report on Form N-CSR of Reality Shares ETF Trust; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3 (d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
5. | The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
Date: | January 9, 2020 | /s/Eric R. Ervin, President and Treasurer |
Eric R. Ervin, President and Treasurer | ||
(principal financial officer) |
EX-99.906CERT
Certification Pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act
I, Eric R. Ervin, President and Treasurer, of Reality Shares ETF Trust (the “Registrant”), certify that:
1. | The Form N-CSR of the Registrant (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. |
Date: | January 9, 2020 | /s/ Eric R. Ervin |
Eric R. Ervin, President and Treasurer | ||
(principal executive officer) |
I, Eric R. Ervin, of Reality Shares ETF Trust (the “Registrant”), certify that:
1. | The Form N-CSR of the Registrant (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. |
Date: | January 9, 2020 | /s/ Eric R. Ervin |
Eric R. Ervin, President and Treasurer | ||
(principal financial officer) |