(a)
|
|
LETTER TO SHAREHOLDERS
|
3
|
||
EXPENSE EXAMPLES
|
6
|
||
INVESTMENT HIGHLIGHTS
|
7
|
||
SCHEDULE OF INVESTMENTS
|
10
|
||
SCHEDULE OF SECURITIES SOLD SHORT
|
16
|
||
STATEMENT OF ASSETS AND LIABILITIES
|
24
|
||
STATEMENT OF OPERATIONS
|
25
|
||
STATEMENTS OF CHANGES IN NET ASSETS
|
26
|
||
STATEMENT OF CASH FLOWS
|
27
|
||
FINANCIAL HIGHLIGHTS
|
28
|
||
NOTES TO FINANCIAL STATEMENTS
|
30
|
||
BASIS FOR TRUSTEES’ APPROVAL
|
|||
OF INVESTMENT ADVISORY AGREEMENT
|
41
|
||
STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM
|
45
|
||
NOTICE OF PRIVACY POLICY & PRACTICES
|
46
|
||
ADDITIONAL INFORMATION
|
47
|
Since
|
|||||||
Through
|
One
|
One
|
Three
|
Five
|
Inception
|
||
May 31, 2022
|
Month
|
Quarter
|
YTD
|
Year
|
Year
|
Year
|
Annualized
|
Convergence
|
|||||||
Long/Short Equity
|
|||||||
(CLSE-NAV)
|
1.49%
|
2.06%
|
-1.52%
|
7.62%
|
11.20%
|
9.62%
|
11.78%
|
Convergence
|
|||||||
Long/Short Equity
|
|||||||
(CLSE-Market)
|
1.57%
|
1.96%
|
-1.58%
|
7.56%
|
11.18%
|
9.60%
|
11.78%
|
Russell 3000®
|
|||||||
Total Return Index
|
-0.13%
|
-6.15%
|
-13.89%
|
-3.68%
|
15.60%
|
12.75%
|
12.99%
|
David J. Abitz, CFA
|
Justin Neuberg, CFA
|
President & Chief Investment Officer
|
Co-Portfolio Manager
|
Convergence Investment Partners, LLC
|
Convergence Investment Partners, LLC
|
Beginning
|
Ending
|
Expenses Paid
|
|
Account Value
|
Account Value
|
During Period
|
|
12/1/21
|
5/31/22
|
12/1/21 – 5/31/22*
|
|
Actual
|
$1,000.00
|
$1,042.00
|
$8.35
|
Hypothetical (5% return
|
|||
before expenses)
|
$1,000.00
|
$1,016.75
|
$8.25
|
*
|
Expenses are equal to the Fund’s annualized expense ratio of 1.64%, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). Excluding dividends on
short positions, interest and broker expenses, the Fund’s annualized expense ratio would be 1.21%.
|
Six
|
One
|
Five
|
Ten
|
|
Months
|
Year
|
Years
|
Years
|
|
Convergence Long/Short Equity ETF — NAV
|
4.20%
|
7.62%
|
9.62%
|
11.50%
|
Convergence Long/Short Equity ETF — Market
|
4.14%
|
7.56%
|
9.60%
|
11.50%
|
Russell 3000® Total Return Index
|
-10.50%
|
-3.68%
|
12.75%
|
14.00%
|
Schedule of Investments
|
Shares
|
Value
|
|||||||
COMMON STOCKS* – 110.74%
|
||||||||
Accommodation – 1.03%
|
||||||||
Hyatt Hotels Corp. – Class A (a)(b)
|
1,361
|
$
|
120,299
|
|||||
Red Rock Resorts, Inc. – Class A (b)
|
3,770
|
146,012
|
||||||
266,311
|
||||||||
Administrative and Support Services – 2.92%
|
||||||||
ABM Industries, Inc. (b)
|
2,058
|
99,504
|
||||||
MasterCard, Inc. – Class A (b)
|
793
|
283,791
|
||||||
WEX, Inc. (a)(b)
|
2,171
|
369,678
|
||||||
752,973
|
||||||||
Apparel Manufacturing – 0.27%
|
||||||||
PVH Corp. (b)
|
974
|
69,027
|
||||||
Beverage and Tobacco Product Manufacturing – 0.56%
|
||||||||
Coca-Cola Consolidated, Inc. (b)
|
256
|
144,632
|
||||||
Broadcasting (except Internet) – 0.50%
|
||||||||
Comcast Corp. – Class A
|
2,925
|
129,519
|
||||||
Building Material and Garden Equipment
|
||||||||
and Supplies Dealers – 1.59%
|
||||||||
Home Depot, Inc. (b)
|
1,349
|
408,410
|
||||||
Chemical Manufacturing – 12.00%
|
||||||||
AbbVie, Inc. (b)
|
2,779
|
409,541
|
||||||
Bristol-Myers Squibb Co. (b)
|
4,375
|
330,094
|
||||||
CF Industries Holdings, Inc. (b)
|
2,828
|
279,322
|
||||||
Lantheus Holdings, Inc. (a)(b)
|
3,767
|
258,115
|
||||||
Merck & Co, Inc. (b)
|
2,410
|
221,792
|
||||||
Mosaic Co. (b)
|
2,571
|
161,073
|
||||||
Pfizer, Inc. (b)
|
7,995
|
424,054
|
||||||
Procter & Gamble Co. (b)
|
1,711
|
253,023
|
||||||
Regeneron Pharmaceuticals, Inc. (a)(b)
|
518
|
344,335
|
||||||
Vertex Pharmaceuticals, Inc. (a)(b)
|
912
|
245,009
|
||||||
Westlake Corp. (b)
|
1,233
|
162,892
|
||||||
3,089,250
|
||||||||
Clothing and Clothing Accessories Stores – 0.88%
|
||||||||
Academy Sports & Outdoors, Inc. (b)
|
4,327
|
144,997
|
||||||
Dillard’s, Inc. – Class A
|
272
|
82,003
|
||||||
227,000
|
||||||||
Commercial & Professional Services – 0.26%
|
||||||||
Republic Services, Inc. (b)
|
495
|
66,251
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Computer and Electronic Product Manufacturing – 21.70%
|
||||||||
Alphabet, Inc. – Class A (a)(b)
|
228
|
$
|
518,755
|
|||||
Alphabet, Inc. – Class C (a)(b)
|
311
|
709,322
|
||||||
Amkor Technology, Inc. (b)
|
20,402
|
417,017
|
||||||
Apple, Inc. (b)
|
5,259
|
782,750
|
||||||
Broadcom, Inc. (b)
|
780
|
452,501
|
||||||
Hologic, Inc. (a)
|
2,589
|
194,874
|
||||||
HP, Inc. (b)
|
15,538
|
603,496
|
||||||
Jabil, Inc. (b)
|
10,000
|
615,200
|
||||||
Microchip Technology, Inc.
|
2,873
|
208,723
|
||||||
Moog, Inc. – Class A (b)
|
1,811
|
147,397
|
||||||
ON Semiconductor Corp. (a)(b)
|
7,841
|
475,792
|
||||||
Sonos, Inc. (a)(b)
|
4,200
|
92,946
|
||||||
Teradata Corp. (a)(b)
|
9,527
|
366,123
|
||||||
5,584,896
|
||||||||
Construction of Buildings – 1.63%
|
||||||||
Avantor, Inc. (a)(b)
|
10,560
|
338,343
|
||||||
Taylor Morrison Home Corp. – Class A (a)(b)
|
2,754
|
79,783
|
||||||
418,126
|
||||||||
Credit Intermediation and Related Activities – 6.78%
|
||||||||
Banner Corp. (b)
|
2,747
|
159,628
|
||||||
Citigroup, Inc. (b)
|
3,612
|
192,918
|
||||||
Discover Financial Services (b)
|
2,591
|
294,053
|
||||||
Hilltop Holdings, Inc. (b)
|
4,843
|
145,338
|
||||||
KeyCorp (b)
|
8,152
|
162,714
|
||||||
Mr. Cooper Group, Inc. (a)
|
3,830
|
166,069
|
||||||
Synchrony Financial (b)
|
7,780
|
288,171
|
||||||
Wells Fargo & Co. (b)
|
4,203
|
192,371
|
||||||
Wintrust Financial Corp. (b)
|
1,655
|
144,630
|
||||||
1,745,892
|
||||||||
Fabricated Metal Product Manufacturing – 1.22%
|
||||||||
Atkore, Inc. (a)
|
1,433
|
156,082
|
||||||
Nucor Corp. (b)
|
1,182
|
156,568
|
||||||
312,650
|
||||||||
Food Manufacturing – 3.26%
|
||||||||
Archer-Daniels-Midland Co. (b)
|
4,191
|
380,627
|
||||||
Bunge Ltd. – ADR (b)
|
2,576
|
304,792
|
||||||
Hostess Brands, Inc. – Class A (a)(b)
|
7,225
|
153,531
|
||||||
838,950
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
General Merchandise Stores – 0.92%
|
||||||||
Wal-Mart, Inc. (b)
|
1,847
|
$
|
237,580
|
|||||
Health and Personal Care Stores – 1.37%
|
||||||||
Albertsons Cos, Inc. (b)
|
5,039
|
153,941
|
||||||
CVS Health Corp.
|
2,057
|
199,015
|
||||||
352,956
|
||||||||
Heavy and Civil Engineering Construction – 0.61%
|
||||||||
Dycom Industries, Inc. (a)(b)
|
1,691
|
157,449
|
||||||
Insurance Carriers and Related Activities – 5.13%
|
||||||||
American International Group, Inc.
|
2,603
|
152,744
|
||||||
Axis Capital Holdings – ADR (b)
|
3,086
|
180,747
|
||||||
Centene Corp. (a)
|
2,413
|
196,514
|
||||||
Marsh & McLennan Companies, Inc. (b)
|
565
|
90,372
|
||||||
Radian Group, Inc. (b)
|
7,749
|
166,681
|
||||||
Unum Group (b)
|
3,100
|
112,995
|
||||||
Voya Financial, Inc. (b)
|
3,973
|
272,587
|
||||||
W. R. Berkley Corp. (b)
|
2,081
|
148,022
|
||||||
1,320,662
|
||||||||
Management of Companies and Enterprises – 0.50%
|
||||||||
Cushman & Wakefield PLC – ADR (a)(b)
|
6,891
|
128,655
|
||||||
Merchant Wholesalers, Durable Goods – 3.22%
|
||||||||
Allison Transmission Holdings, Inc. (b)
|
3,564
|
142,596
|
||||||
Avnet, Inc. (b)
|
7,419
|
359,450
|
||||||
InterDigital, Inc. (b)
|
5,011
|
327,168
|
||||||
829,214
|
||||||||
Merchant Wholesalers, Nondurable Goods – 4.38%
|
||||||||
AmerisourceBergen Corp. (b)
|
1,805
|
279,396
|
||||||
Cardinal Health, Inc. (b)
|
3,784
|
213,115
|
||||||
McKesson Corp. (b)
|
833
|
273,799
|
||||||
Univar Solutions, Inc. (a)(b)
|
6,647
|
204,196
|
||||||
Veritiv Corp. (a)(b)
|
1,086
|
157,850
|
||||||
1,128,356
|
||||||||
Motor Vehicle and Parts Dealers – 3.48%
|
||||||||
AutoNation, Inc. (a)(b)
|
3,495
|
417,862
|
||||||
Group 1 Automotive, Inc. (b)
|
1,025
|
184,080
|
||||||
Penske Automotive Group, Inc.
|
2,549
|
293,492
|
||||||
895,434
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Nonstore Retailers – 1.25%
|
||||||||
Box, Inc. – Class A (a)(b)
|
12,366
|
$
|
322,876
|
|||||
Oil and Gas Extraction – 2.39%
|
||||||||
APA Corp. (b)
|
8,171
|
384,119
|
||||||
Ovintiv, Inc. (b)
|
4,108
|
230,007
|
||||||
614,126
|
||||||||
Other Information Services – 1.37%
|
||||||||
Meta Platforms, Inc. (a)(b)
|
1,817
|
351,844
|
||||||
Paper Manufacturing – 1.22%
|
||||||||
Boise Cascade Co. (b)
|
2,592
|
200,414
|
||||||
Sylvamo Corp. (a)(b)
|
2,253
|
114,317
|
||||||
314,731
|
||||||||
Personal and Laundry Services – 0.56%
|
||||||||
Service Corp International (b)
|
2,070
|
144,962
|
||||||
Petroleum and Coal Products Manufacturing – 5.03%
|
||||||||
CVR Energy, Inc. (b)
|
6,656
|
229,166
|
||||||
Delek U.S. Holdings, Inc. (a)(b)
|
7,882
|
229,839
|
||||||
Exxon Mobil Corp. (b)
|
3,619
|
347,424
|
||||||
Marathon Petroleum Corp. (b)
|
2,271
|
231,165
|
||||||
PBF Energy, Inc. – Class A (a) (b)
|
7,773
|
258,064
|
||||||
1,295,658
|
||||||||
Primary Metal Manufacturing – 1.08%
|
||||||||
Encore Wire Corp. (b)
|
1,275
|
159,401
|
||||||
Steel Dynamics, Inc. (b)
|
1,393
|
118,934
|
||||||
278,335
|
||||||||
Professional, Scientific, and Technical Services – 4.37%
|
||||||||
Fluor Corp. (a)(b)
|
5,077
|
143,324
|
||||||
Gartner, Inc. (a)(b)
|
1,674
|
439,257
|
||||||
H&R Block, Inc. (b)
|
3,887
|
136,978
|
||||||
Henry Jack & Associates, Inc. (b)
|
1,726
|
324,695
|
||||||
Insperity, Inc. (b)
|
824
|
82,458
|
||||||
1,126,712
|
||||||||
Publishing Industries (except Internet) – 6.27%
|
||||||||
Cadence Design Systems, Inc. (a)(b)
|
2,336
|
359,113
|
||||||
Dropbox, Inc. (a)(b)
|
13,441
|
280,110
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Publishing Industries (except Internet) – 6.27% (Continued)
|
||||||||
Evolent Health, Inc. – Class A (a)
|
6,825
|
$
|
191,987
|
|||||
Microsoft Corp. (b)
|
2,884
|
784,074
|
||||||
1,615,284
|
||||||||
Rental and Leasing Services – 0.49%
|
||||||||
Avis Budget Group, Inc. (a)(b)
|
657
|
125,014
|
||||||
Securities, Commodity Contracts, and Other Financial
|
||||||||
Investments and Related Activities – 2.00%
|
||||||||
Evercore, Inc. – Class A (b)
|
2,247
|
256,607
|
||||||
SEI Investments Co. (b)
|
4,395
|
256,800
|
||||||
513,407
|
||||||||
Support Activities for Transportation – 0.88%
|
||||||||
CH Robinson Worldwide, Inc. (b)
|
755
|
81,925
|
||||||
Matson, Inc. (b)
|
1,625
|
146,055
|
||||||
227,980
|
||||||||
Telecommunications – 1.44%
|
||||||||
AT&T, Inc. (b)
|
17,430
|
371,085
|
||||||
Transportation Equipment Manufacturing – 3.61%
|
||||||||
Ford Motor Co. (b)
|
9,034
|
123,585
|
||||||
General Dynamics Corp. (b)
|
913
|
205,343
|
||||||
Lockheed Martin Corp. (b)
|
318
|
139,955
|
||||||
Tesla, Inc. (a)(b)
|
609
|
461,780
|
||||||
930,663
|
||||||||
Utilities – 3.11%
|
||||||||
DTE Energy Co. (b)
|
946
|
125,544
|
||||||
NRG Energy, Inc. (b)
|
4,610
|
212,244
|
||||||
Portland General Electric Co. (b)
|
2,367
|
116,575
|
||||||
UGI Corp. (b)
|
4,700
|
200,878
|
||||||
Vistra Corp. (b)
|
5,519
|
145,536
|
||||||
800,777
|
||||||||
Warehousing and Storage – 0.87%
|
||||||||
Landstar System, Inc. (b)
|
1,471
|
222,754
|
||||||
Waste Management and Remediation Services – 0.29%
|
||||||||
Clean Harbors, Inc. (a)(b)
|
791
|
73,879
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Wood Product Manufacturing – 0.30%
|
||||||||
Skyline Champion Corp. (a)(b)
|
1,468
|
$
|
77,995
|
|||||
TOTAL COMMON STOCKS (Cost $26,497,898)
|
28,512,275
|
|||||||
REAL ESTATE INVESTMENT TRUSTS – 3.73%
|
||||||||
Professional, Scientific, and Technical Services – 0.51%
|
||||||||
Extra Space Storage, Inc. (b)
|
731
|
130,264
|
||||||
Real Estate – 2.13%
|
||||||||
Apartment Income REIT Corp. (b)
|
2,244
|
100,666
|
||||||
Essex Property Trust, Inc. (b)
|
337
|
95,657
|
||||||
First Industrial Realty Trust, Inc. (b)
|
2,395
|
127,295
|
||||||
New Residential Investment Corp. (b)
|
6,832
|
77,202
|
||||||
PotlatchDeltic Corp. (b)
|
2,836
|
148,777
|
||||||
448,931
|
||||||||
Telecommunications – 0.41%
|
||||||||
Uniti Group, Inc. (b)
|
9,422
|
106,845
|
||||||
Wood Product Manufacturing – 0.68%
|
||||||||
Weyerhaeuser Co. (b)
|
4,427
|
174,955
|
||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $928,968)
|
961,661
|
|||||||
SHORT-TERM INVESTMENTS – 0.05%
|
||||||||
First American Government Obligations Fund, 0.657% (b)(c)
|
13,391
|
13,391
|
||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $13,391)
|
13,391
|
|||||||
Total Investments (Cost $27,440,257) – 114.52%
|
29,487,327
|
|||||||
Liabilities in Excess of Other Assets – (14.52)%
|
(3,738,140
|
)
|
||||||
TOTAL NET ASSETS – 100.00%
|
$
|
25,749,187
|
*
|
Unless otherwise noted, all or a portion of these securities, totaling $26,170,521, are pledged as collateral for securities sold short.
|
(a)
|
Non-income producing security.
|
(b)
|
All of a portion of this security is not pledged as collateral for securities sold short.
|
(c)
|
Seven day yield as of May 31, 2022.
|
ADR
|
American Depositary Receipt
|
PLC
|
Public Limited Company
|
Schedule of Securities Sold Short
|
Shares
|
Value
|
|||||||
SECURITIES SOLD SHORT (36.61)%
|
||||||||
COMMON STOCKS (35.49)%
|
||||||||
Accommodation – (0.23)%
|
||||||||
Caesars Entertainment, Inc.
|
(614
|
)
|
$
|
(30,804
|
)
|
|||
Las Vegas Sands Corp.
|
(792
|
)
|
(28,084
|
)
|
||||
(58,888
|
)
|
|||||||
Administrative and Support Services – (1.23)%
|
||||||||
Cardlytics, Inc.
|
(1,333
|
)
|
(34,538
|
)
|
||||
Cloudflare, Inc.
|
(1,464
|
)
|
(81,984
|
)
|
||||
nCino, Inc.
|
(2,717
|
)
|
(88,764
|
)
|
||||
Scotts Miracle-Gro Co. – Class A
|
(390
|
)
|
(36,902
|
)
|
||||
TripAdvisor, Inc.
|
(3,043
|
)
|
(75,588
|
)
|
||||
(317,776
|
)
|
|||||||
Air Transportation – (0.18)%
|
||||||||
United Continental Holdings, Inc.
|
(951
|
)
|
(45,296
|
)
|
||||
Ambulatory Health Care Services – (1.36)%
|
||||||||
1Life Healthcare, Inc.
|
(3,941
|
)
|
(33,380
|
)
|
||||
Accolade, Inc.
|
(1,891
|
)
|
(12,140
|
)
|
||||
Guardant Health, Inc.
|
(1,535
|
)
|
(62,905
|
)
|
||||
Natera, Inc.
|
(1,603
|
)
|
(58,814
|
)
|
||||
Novocure Ltd.
|
(734
|
)
|
(58,999
|
)
|
||||
Oak Street Health, Inc.
|
(3,246
|
)
|
(61,284
|
)
|
||||
Teladoc Health, Inc.
|
(1,776
|
)
|
(60,544
|
)
|
||||
(348,066
|
)
|
|||||||
Beverage and Tobacco Product Manufacturing – (0.49)%
|
||||||||
Boston Beer Company, Inc. – Class A
|
(165
|
)
|
(58,625
|
)
|
||||
Celsius Holdings, Inc.
|
(1,019
|
)
|
(68,364
|
)
|
||||
(126,989
|
)
|
|||||||
Broadcasting (except Internet) – (1.16)%
|
||||||||
Cable One, Inc.
|
(57
|
)
|
(74,277
|
)
|
||||
Liberty Broadband Corp. – Class A
|
(608
|
)
|
(74,182
|
)
|
||||
Liberty Broadband Corp. – Class C
|
(596
|
)
|
(74,601
|
)
|
||||
Madison Square Garden Co. – Class A
|
(466
|
)
|
(76,359
|
)
|
||||
(299,419
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Building Material and Garden Equipment
|
||||||||
and Supplies Dealers – (0.11)%
|
||||||||
GrowGeneration Corp.
|
(5,552
|
)
|
$
|
(28,593
|
)
|
|||
Chemical Manufacturing – (2.43)%
|
||||||||
Apellis Pharmaceuticals, Inc.
|
(1,102
|
)
|
(45,678
|
)
|
||||
Bridgebio Pharma, Inc.
|
(2,173
|
)
|
(14,842
|
)
|
||||
Denali Therapeutics, Inc.
|
(2,393
|
)
|
(58,126
|
)
|
||||
Diversey Holdings Ltd.
|
(3,283
|
)
|
(32,173
|
)
|
||||
Fate Therapeutics, Inc.
|
(2,240
|
)
|
(51,744
|
)
|
||||
Intellia Therapeutics, Inc.
|
(1,192
|
)
|
(54,999
|
)
|
||||
Inter Parfums, Inc.
|
(687
|
)
|
(50,701
|
)
|
||||
Intra-Cellular Therapies, Inc.
|
(906
|
)
|
(52,004
|
)
|
||||
Mirati Therapeutics, Inc.
|
(1,408
|
)
|
(55,137
|
)
|
||||
Moderna, Inc.
|
(438
|
)
|
(63,656
|
)
|
||||
Seagen, Inc.
|
(453
|
)
|
(61,463
|
)
|
||||
SpringWorks Therapeutics, Inc.
|
(1,424
|
)
|
(26,971
|
)
|
||||
TG Therapeutics, Inc.
|
(1,239
|
)
|
(5,476
|
)
|
||||
Ultragenyx Pharmaceutical, Inc.
|
(1,106
|
)
|
(51,871
|
)
|
||||
(624,841
|
)
|
|||||||
Clothing and Clothing Accessories Stores – (0.29)%
|
||||||||
KKR & Co, Inc.
|
(1,360
|
)
|
(74,542
|
)
|
||||
Computer and Electronic Product Manufacturing – (3.21)%
|
||||||||
Bloom Energy Corp.
|
(2,091
|
)
|
(36,634
|
)
|
||||
Calix, Inc.
|
(2,037
|
)
|
(75,247
|
)
|
||||
Enphase Energy, Inc.
|
(511
|
)
|
(95,143
|
)
|
||||
Itron, Inc.
|
(1,691
|
)
|
(87,273
|
)
|
||||
Marvell Technology, Inc.
|
(1,666
|
)
|
(98,543
|
)
|
||||
Mercury Systems, Inc.
|
(671
|
)
|
(40,133
|
)
|
||||
Universal Display Corp.
|
(741
|
)
|
(93,596
|
)
|
||||
Vertiv Holdings Co.
|
(2,838
|
)
|
(31,190
|
)
|
||||
ViaSat, Inc.
|
(3,408
|
)
|
(134,582
|
)
|
||||
Vicor Corp.
|
(511
|
)
|
(34,390
|
)
|
||||
Wolfspeed, Inc.
|
(1,307
|
)
|
(98,326
|
)
|
||||
(825,057
|
)
|
|||||||
Credit Intermediation and Related Activities – (1.76)%
|
||||||||
First Citizens BancShares, Inc. – Class A
|
(62
|
)
|
(43,425
|
)
|
||||
Flywire Corp.
|
(4,409
|
)
|
(85,138
|
)
|
||||
Independent Bank Corp.
|
(517
|
)
|
(43,066
|
)
|
||||
Old National Bancorp.
|
(2,899
|
)
|
(46,094
|
)
|
||||
Signature Bank
|
(224
|
)
|
(48,444
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Credit Intermediation and Related Activities – (1.76)% (Continued)
|
||||||||
Towne Bank
|
(1,600
|
)
|
$
|
(47,168
|
)
|
|||
UMB Financial Corp.
|
(511
|
)
|
(47,191
|
)
|
||||
Webster Financial Corp.
|
(892
|
)
|
(43,788
|
)
|
||||
Western Alliance Bancorp
|
(591
|
)
|
(48,090
|
)
|
||||
(452,404
|
)
|
|||||||
Data Processing, Hosting and Related Services – (0.17)%
|
||||||||
Legalzoom.com, Inc.
|
(1,690
|
)
|
(22,139
|
)
|
||||
Upwork, Inc.
|
(1,144
|
)
|
(20,878
|
)
|
||||
(43,017
|
)
|
|||||||
Electrical Equipment, Appliance, and
|
||||||||
Component Manufacturing – (0.72)%
|
||||||||
Generac Holdings, Inc.
|
(135
|
)
|
(33,356
|
)
|
||||
IPG Photonics Corp.
|
(718
|
)
|
(75,742
|
)
|
||||
Plug Power, Inc.
|
(1,965
|
)
|
(36,313
|
)
|
||||
Regal Rexnord Corp.
|
(301
|
)
|
(37,610
|
)
|
||||
(183,021
|
)
|
|||||||
Fabricated Metal Product Manufacturing – (0.40)%
|
||||||||
Axon Enterprise, Inc.
|
(331
|
)
|
(33,550
|
)
|
||||
Chart Industries, Inc.
|
(208
|
)
|
(36,583
|
)
|
||||
Stanley Black & Decker, Inc.
|
(280
|
)
|
(33,233
|
)
|
||||
(103,366
|
)
|
|||||||
Food and Beverage Stores – (0.49)%
|
||||||||
Duckhorn Portfolio Inc.
|
(3,122
|
)
|
(61,347
|
)
|
||||
Grocery Outlet Holding Corp.
|
(1,697
|
)
|
(64,910
|
)
|
||||
(126,257
|
)
|
|||||||
Food Manufacturing – (0.46)%
|
||||||||
Freshpet, Inc.
|
(803
|
)
|
(57,792
|
)
|
||||
Lamb Weston Holdings, Inc.
|
(921
|
)
|
(62,241
|
)
|
||||
(120,033
|
)
|
|||||||
Food Services and Drinking Places – (0.36)%
|
||||||||
Casey’s General Stores, Inc.
|
(310
|
)
|
(64,957
|
)
|
||||
Shake Shack, Inc. – Class A
|
(550
|
)
|
(26,758
|
)
|
||||
(91,715
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Furniture and Home Furnishings Stores – (0.33)%
|
||||||||
Floor & Decor Holdings, Inc. – Class A
|
(841
|
)
|
$
|
(63,445
|
)
|
|||
MillerKnoll, Inc.
|
(708
|
)
|
(21,382
|
)
|
||||
(84,827
|
)
|
|||||||
Furniture and Related Product Manufacturing – (0.04)%
|
||||||||
Purple Innovation, Inc.
|
(2,102
|
)
|
(10,888
|
)
|
||||
General Merchandise Stores – (0.59)%
|
||||||||
Five Below, Inc.
|
(532
|
)
|
(69,474
|
)
|
||||
Ollie’s Bargain Outlet Holdings, Inc.
|
(1,745
|
)
|
(81,962
|
)
|
||||
(151,436
|
)
|
|||||||
Insurance Carriers and Related Activities – (0.79)%
|
||||||||
Equitable Holdings, Inc.
|
(2,431
|
)
|
(73,927
|
)
|
||||
Goosehead Insurance, Inc.
|
(664
|
)
|
(34,382
|
)
|
||||
Kemper Corp.
|
(873
|
)
|
(46,121
|
)
|
||||
White Mountains Insurance Group Ltd.
|
(40
|
)
|
(49,794
|
)
|
||||
(204,224
|
)
|
|||||||
Leather and Allied Product Manufacturing – (0.20)%
|
||||||||
Crocs, Inc.
|
(462
|
)
|
(25,761
|
)
|
||||
Deckers Outdoor Corp.
|
(96
|
)
|
(25,782
|
)
|
||||
(51,543
|
)
|
|||||||
Machinery Manufacturing – (0.78)%
|
||||||||
Azenta, Inc.
|
(940
|
)
|
(72,042
|
)
|
||||
II-VI, Inc.
|
(2,062
|
)
|
(128,875
|
)
|
||||
(200,917
|
)
|
|||||||
Management of Companies and Enterprises – (0.92)%
|
||||||||
Azek Company, Inc.
|
(1,642
|
)
|
(34,597
|
)
|
||||
Cannae Holdings, Inc.
|
(3,060
|
)
|
(62,026
|
)
|
||||
First Interstate BancSystem, Inc.
|
(1,215
|
)
|
(46,255
|
)
|
||||
Norwegian Cruise Line Holdings Ltd.
|
(1,687
|
)
|
(27,009
|
)
|
||||
StoneCo Ltd.
|
(6,751
|
)
|
(67,780
|
)
|
||||
(237,667
|
)
|
|||||||
Merchant Wholesalers, Durable Goods – (0.50)%
|
||||||||
RBC Bearings, Inc.
|
(191
|
)
|
(35,600
|
)
|
||||
TD SYNNEX Corp.
|
(895
|
)
|
(92,946
|
)
|
||||
(128,546
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Mining (except Oil and Gas) – (0.38)%
|
||||||||
Martin Marietta Materials, Inc.
|
(108
|
)
|
$
|
(36,653
|
)
|
|||
Novagold Resources, Inc.
|
(5,260
|
)
|
(29,403
|
)
|
||||
Royal Gold, Inc.
|
(291
|
)
|
(32,907
|
)
|
||||
(98,963
|
)
|
|||||||
Miscellaneous Manufacturing – (1.19)%
|
||||||||
Align Technology, Inc.
|
(204
|
)
|
(56,639
|
)
|
||||
DexCom, Inc.
|
(145
|
)
|
(43,201
|
)
|
||||
Inari Medical, Inc.
|
(973
|
)
|
(64,023
|
)
|
||||
Insulet Corp.
|
(255
|
)
|
(54,437
|
)
|
||||
Nevro Corp.
|
(927
|
)
|
(40,399
|
)
|
||||
Peloton Interactive, Inc.
|
(1,731
|
)
|
(24,165
|
)
|
||||
YETI Holdings, Inc.
|
(541
|
)
|
(24,751
|
)
|
||||
(307,615
|
)
|
|||||||
Motion Picture and Sound Recording Industries – (0.06)%
|
||||||||
fuboTV, Inc.
|
(4,661
|
)
|
(15,335
|
)
|
||||
Motor Vehicle and Parts Dealers – (0.39)%
|
||||||||
CarMax, Inc.
|
(777
|
)
|
(77,133
|
)
|
||||
Carvana Co.
|
(830
|
)
|
(24,435
|
)
|
||||
(101,568
|
)
|
|||||||
Nonstore Retailers – (0.61)%
|
||||||||
DoorDash, Inc.
|
(955
|
)
|
(73,449
|
)
|
||||
Etsy, Inc.
|
(614
|
)
|
(49,808
|
)
|
||||
Wayfair, Inc. – Class A
|
(564
|
)
|
(33,496
|
)
|
||||
(156,753
|
)
|
|||||||
Oil and Gas Extraction – (0.51)%
|
||||||||
Equitrans Midstream Corp.
|
(7,963
|
)
|
(62,669
|
)
|
||||
Tellurian, Inc.
|
(14,420
|
)
|
(68,783
|
)
|
||||
(131,452
|
)
|
|||||||
Other Information Services – (0.24)%
|
||||||||
Sabre Corp.
|
(8,377
|
)
|
(62,911
|
)
|
||||
Performing Arts, Spectator Sports, and Related Industries – (0.24)%
|
||||||||
Madison Square Garden Entertainment Corp.
|
(903
|
)
|
(61,215
|
)
|
||||
Personal and Laundry Services – (0.28)%
|
||||||||
IAC/InterActiveCorp
|
(835
|
)
|
(71,225
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Petroleum and Coal Products Manufacturing – (0.34)%
|
||||||||
Quaker Chemical Corp.
|
(221
|
)
|
$
|
(34,564
|
)
|
|||
WD-40 Co.
|
(276
|
)
|
(52,106
|
)
|
||||
(86,670
|
)
|
|||||||
Plastics and Rubber Products Manufacturing – (0.12)%
|
||||||||
AptarGroup, Inc.
|
(288
|
)
|
(30,842
|
)
|
||||
Professional, Scientific, and Technical Services – (2.49)%
|
||||||||
Adaptive Biotechnologies Corp.
|
(1,708
|
)
|
(13,357
|
)
|
||||
Allogene Therapeutics, Inc.
|
(2,075
|
)
|
(16,455
|
)
|
||||
Ameresco, Inc.
|
(506
|
)
|
(29,712
|
)
|
||||
Coursera, Inc.
|
(1,603
|
)
|
(27,107
|
)
|
||||
Cytokinetics, Inc.
|
(1,433
|
)
|
(57,176
|
)
|
||||
Digital Turbine, Inc.
|
(3,235
|
)
|
(82,266
|
)
|
||||
DigitalOcean Holdings, Inc.
|
(995
|
)
|
(48,606
|
)
|
||||
Invitae Corp.
|
(2,833
|
)
|
(10,397
|
)
|
||||
JFrog Ltd.
|
(4,239
|
)
|
(79,057
|
)
|
||||
Kodiak Sciences, Inc.
|
(637
|
)
|
(4,612
|
)
|
||||
Magnite, Inc.
|
(4,608
|
)
|
(50,642
|
)
|
||||
Teledyne Technologies, Inc.
|
(283
|
)
|
(114,658
|
)
|
||||
Vimeo, Inc.
|
(4,152
|
)
|
(36,081
|
)
|
||||
Wix.com Ltd.
|
(1,137
|
)
|
(71,642
|
)
|
||||
(641,768
|
)
|
|||||||
Publishing Industries (except Internet) – (1.20)%
|
||||||||
Bentley Systems, Inc.
|
(2,323
|
)
|
(79,865
|
)
|
||||
BigCommerce Holdings, Inc.
|
(2,728
|
)
|
(50,550
|
)
|
||||
Bill.com Holdings, Inc.
|
(437
|
)
|
(51,671
|
)
|
||||
Fastly, Inc.
|
(3,306
|
)
|
(43,143
|
)
|
||||
Okta, Inc. – Class A
|
(1,002
|
)
|
(83,216
|
)
|
||||
(308,445
|
)
|
|||||||
Real Estate – (0.56)%
|
||||||||
MP Materials Corp.
|
(632
|
)
|
(24,920
|
)
|
||||
Opendoor Technologies, Inc.
|
(4,900
|
)
|
(35,427
|
)
|
||||
Redfin Corp.
|
(1,531
|
)
|
(15,004
|
)
|
||||
Zillow Group, Inc. – Class A
|
(846
|
)
|
(33,806
|
)
|
||||
Zillow Group, Inc. – Class C
|
(847
|
)
|
(33,795
|
)
|
||||
(142,952
|
)
|
|||||||
Rental and Leasing Services – (0.30)%
|
||||||||
AMERCO
|
(86
|
)
|
(42,138
|
)
|
||||
Triton International Ltd. – Class A
|
(550
|
)
|
(35,074
|
)
|
||||
(77,212
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Repair and Maintenance – (0.08)%
|
||||||||
Driven Brands Holdings, Inc.
|
(739
|
)
|
$
|
(21,387
|
)
|
|||
Securities, Commodity Contracts, and Other Financial
|
||||||||
Investments and Related Activities – (1.91)%
|
||||||||
Apollo Global Management, Inc.
|
(1,280
|
)
|
(73,779
|
)
|
||||
Blackstone, Inc.
|
(620
|
)
|
(73,030
|
)
|
||||
Brighthouse Financial, Inc.
|
(909
|
)
|
(44,650
|
)
|
||||
Clarivate PLC
|
(1,458
|
)
|
(21,535
|
)
|
||||
DraftKings, Inc.
|
(2,375
|
)
|
(32,181
|
)
|
||||
E2open Parent Holdings, Inc.
|
(11,240
|
)
|
(90,820
|
)
|
||||
S&P Global, Inc.
|
(215
|
)
|
(75,138
|
)
|
||||
The Beauty Health Company
|
(2,624
|
)
|
(37,444
|
)
|
||||
Trupanion, Inc.
|
(663
|
)
|
(44,341
|
)
|
||||
(492,918
|
)
|
|||||||
Specialty Trade Contractors – (0.34)%
|
||||||||
QuantumScape Corp.
|
(4,102
|
)
|
(52,465
|
)
|
||||
Sunrun, Inc.
|
(1,342
|
)
|
(35,053
|
)
|
||||
(87,518
|
)
|
|||||||
Support Activities for Mining – (0.83)%
|
||||||||
Civitas Resources, Inc.
|
(1,057
|
)
|
(80,702
|
)
|
||||
Liberty Oilfield Services, Inc. – Class A
|
(3,307
|
)
|
(53,805
|
)
|
||||
Northern Oil and Gas, Inc.
|
(2,387
|
)
|
(78,031
|
)
|
||||
(212,538
|
)
|
|||||||
Telecommunications – (1.13)%
|
||||||||
Bandwidth, Inc.
|
(1,443
|
)
|
(30,361
|
)
|
||||
T-Mobile US, Inc.
|
(590
|
)
|
(78,641
|
)
|
||||
Twilio, Inc. – Class A
|
(810
|
)
|
(85,187
|
)
|
||||
Zoom Video Communications, Inc.
|
(907
|
)
|
(97,457
|
)
|
||||
(291,646
|
)
|
|||||||
Transit and Ground Passenger Transportation – (0.17)%
|
||||||||
Lyft, Inc.
|
(2,524
|
)
|
(44,624
|
)
|
||||
Transportation Equipment Manufacturing – (0.70)%
|
||||||||
Boeing Co.
|
(256
|
)
|
(33,638
|
)
|
||||
Dana, Inc.
|
(4,645
|
)
|
(76,921
|
)
|
||||
Fox Factory Holding Corp.
|
(852
|
)
|
(69,881
|
)
|
||||
(180,440
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Utilities – (1.77)%
|
||||||||
Atmos Energy Corp.
|
(406
|
)
|
$
|
(47,222
|
)
|
|||
Brookfield Renewable Corp.
|
(1,275
|
)
|
(46,130
|
)
|
||||
First Solar, Inc.
|
(1,574
|
)
|
(111,139
|
)
|
||||
New Fortress Energy, Inc.
|
(1,323
|
)
|
(61,638
|
)
|
||||
NextEra Energy, Inc.
|
(626
|
)
|
(47,382
|
)
|
||||
OGE Energy Corp.
|
(1,032
|
)
|
(42,622
|
)
|
||||
Public Service Enterprise Group, Inc.
|
(692
|
)
|
(47,430
|
)
|
||||
Sunnova Energy International, Inc.
|
(2,547
|
)
|
(50,940
|
)
|
||||
(454,503
|
)
|
|||||||
Water Transportation – (0.45)%
|
||||||||
Frontline Ltd.
|
(5,129
|
)
|
(49,649
|
)
|
||||
Kirby Corp.
|
(618
|
)
|
(41,734
|
)
|
||||
Royal Caribbean Cruises Ltd.
|
(432
|
)
|
(25,086
|
)
|
||||
(116,469
|
)
|
|||||||
TOTAL COMMON STOCKS (Proceeds $13,178,636)
|
(9,136,297
|
)
|
||||||
REAL ESTATE INVESTMENT TRUSTS (1.12)%
|
||||||||
Arbor Realty Trust, Inc.
|
(4,105
|
)
|
(67,404
|
)
|
||||
DigitalBridge Group, Inc.
|
(4,736
|
)
|
(28,511
|
)
|
||||
Equity Commonwealth
|
(1,196
|
)
|
(32,591
|
)
|
||||
Independence Realty Trust, Inc.
|
(1,170
|
)
|
(27,507
|
)
|
||||
Kite Realty Group Trust
|
(1,625
|
)
|
(34,060
|
)
|
||||
Pebblebrook Hotel Trust
|
(1,428
|
)
|
(32,144
|
)
|
||||
Safehold, Inc.
|
(755
|
)
|
(33,862
|
)
|
||||
Washington Real Estate Investment Trust
|
(1,384
|
)
|
(33,617
|
)
|
||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Proceeds $311,813)
|
(289,696
|
)
|
||||||
Total Securities Sold Short (Proceeds $13,490,446)
|
$
|
(9,425,993
|
)
|
Statement of Assets and Liabilities
|
Assets
|
||||
Investments, at value (cost $27,440,257)
|
$
|
29,487,327
|
||
Receivable for investments sold
|
3,299,878
|
|||
Deposit for short sales at broker
|
5,243,464
|
|||
Dividends and interest receivable
|
34,071
|
|||
Cash
|
432
|
|||
Other assets
|
2,954
|
|||
Total Assets
|
38,068,126
|
|||
Liabilities
|
||||
Securities sold short, at value (proceeds $13,490,446)
|
9,425,993
|
|||
Payable for investments purchased
|
2,881,514
|
|||
Dividends payable on short positions
|
3,331
|
|||
Payable to broker for interest expense
|
146
|
|||
Payable to Adviser
|
7,527
|
|||
Accrued expenses and other liabilities
|
428
|
|||
Total Liabilities
|
12,318,939
|
|||
Net Assets
|
$
|
25,749,187
|
||
Net Assets Consist Of:
|
||||
Paid-in capital
|
16,343,832
|
|||
Total Distributable Earnings
|
9,405,355
|
|||
Net Assets
|
$
|
25,749,187
|
||
Net Assets
|
$
|
25,749,187
|
||
Shares of beneficial interest outstanding (unlimited
|
||||
number of shares authorized, $0.001 par value)
|
1,637,329
|
|||
Net asset value, redemption price and offering price per share
|
$
|
15.73
|
Statement of Operations
|
Investment Income
|
||||
Dividend income
|
$
|
235,472
|
||
Interest income
|
63
|
|||
Total Investment Income
|
235,535
|
|||
Expenses
|
||||
Management fees
|
128,739
|
|||
Administration and accounting fees
|
29,768
|
|||
Dividends on short positions
|
29,415
|
|||
Interest and broker expenses
|
27,365
|
|||
Federal and state registration fees
|
20,837
|
|||
Legal fees
|
6,425
|
|||
Trustees’ fees
|
6,217
|
|||
Chief Compliance Officer fees
|
3,998
|
|||
Transfer agent fees and expenses
|
3,495
|
|||
Insurance fees
|
2,752
|
|||
Reports to shareholders
|
1,710
|
|||
Pricing fees
|
1,501
|
|||
Custody fees
|
940
|
|||
Other expenses
|
685
|
|||
Total Expenses
|
263,847
|
|||
Expense reimbursement due from Adviser (Note 4)
|
(47,517
|
)
|
||
Net Expenses
|
216,330
|
|||
Net Investment Income
|
19,205
|
|||
Realized and Unrealized Gain (Loss) on Investments
|
||||
Net realized gain from:
|
||||
Investments
|
2,691,431
|
|||
Short transactions
|
693,916
|
|||
Change in net unrealized appreciation (depreciation) on:
|
||||
Investments
|
(4,566,472
|
)
|
||
Short transactions
|
2,349,555
|
|||
Realized and Unrealized Gain on Investments
|
1,168,430
|
|||
Net Increase in Net Assets from Operations
|
$
|
1,187,635
|
(a)
|
The Fund converted from a mutual fund to an ETF pursuant to an Agreement and Plan of Reorganization on February 22, 2022. See Note 1 in the Notes to Financial Statements for additional information about the
Reorganization.
|
Statements of Changes in Net Assets
|
Six Months Ended
|
Year Ended
|
|||||||
May 31, 2022(a)
|
November 30,
|
|||||||
(Unaudited)
|
2021
|
|||||||
From Operations
|
||||||||
Net investment income (loss)
|
$
|
19,205
|
$
|
(50,567
|
)
|
|||
Net realized gain (loss) from:
|
||||||||
Investments
|
2,691,431
|
9,853,452
|
||||||
Short transactions
|
693,916
|
(3,340,029
|
)
|
|||||
Change in net unrealized
|
||||||||
appreciation (depreciation) on:
|
||||||||
Investments
|
(4,566,472
|
)
|
(1,146,890
|
)
|
||||
Short transactions
|
2,349,555
|
1,511,174
|
||||||
Net increase in net assets from operations
|
1,187,635
|
6,827,140
|
||||||
From Distributions
|
||||||||
Net dividend and distributions
|
(4,719,158
|
)
|
(62,000
|
)
|
||||
Net decrease in net assets
|
||||||||
resulting from distributions paid
|
(4,719,158
|
)
|
(62,000
|
)
|
||||
From Capital Share Transactions
|
||||||||
Proceeds from shares sold
|
39,661,829
|
12,942,673
|
||||||
Net asset value of shares issued in
|
||||||||
reinvestment of distributions to shareholders
|
4,325,163
|
28,272
|
||||||
Payments for shares redeemed
|
(44,019,634
|
)
|
(12,959,595
|
)
|
||||
Net increase (decrease) in net assets from
|
||||||||
capital share transactions
|
(32,642
|
)
|
11,350
|
|||||
Total Increase (Decrease) In Net Assets
|
(3,564,165
|
)
|
6,776,490
|
|||||
Net Assets
|
||||||||
Beginning of period
|
29,313,352
|
22,536,862
|
||||||
End of period
|
$
|
25,749,187
|
$
|
29,313,352
|
(a)
|
The Fund converted from a mutual fund to an ETF pursuant to an Agreement and Plan of Reorganization on February 22, 2022. See Note 1 in the Notes to Financial Statements for additional information about the
Reorganization.
|
Statement of Cash Flows
|
CASH FLOWS FROM OPERATING ACTIVITIES:
|
||||
Net increase (decrease) in net assets resulting from operations
|
$
|
1,187,635
|
||
Adjustments to reconcile net increase in net assets from
|
||||
operations to net cash used in operating activities:
|
||||
Purchases of investments
|
(47,691,705
|
)
|
||
Purchases of short-term investments, net
|
57,658
|
|||
Proceeds from sales of long-term investments
|
49,738,832
|
|||
Return of capital distributions received from underlying investments
|
19,970
|
|||
Decrease in dividends and interest receivable
|
12,047
|
|||
Increase in receivable for investment securities sold
|
(912,183
|
)
|
||
Decrease in other assets
|
12,107
|
|||
Proceeds from securities sold short
|
12,607,799
|
|||
Purchases to cover securities sold short
|
(9,949,372
|
)
|
||
Increase in payable for investment securities purchased
|
331,129
|
|||
Decrease in payable for fund shares redeemed
|
(6,824
|
)
|
||
Decrease in dividends payable on short positions
|
(136
|
)
|
||
Decrease in payable to broker for interest expense
|
(1,783
|
)
|
||
Decrease in payable to Adviser
|
(9,588
|
)
|
||
Decrease in accrued expenses and other liabilities
|
(85,982
|
)
|
||
Unrealized appreciation on investments
|
4,566,472
|
|||
Unrealized depreciation on short transactions
|
(2,349,555
|
)
|
||
Net realized loss on investments
|
(2,691,431
|
)
|
||
Net realized loss on short transactions
|
(693,916
|
)
|
||
Net cash provided in operating activities
|
4,141,174
|
|||
CASH FLOWS FROM FINANCING ACTIVITIES:
|
||||
Proceeds from shares sold
|
39,681,829
|
|||
Payment on shares redeemed
|
(44,019,634
|
)
|
||
Cash distributions paid to shareholders
|
(393,995
|
)
|
||
Net cash used by financing activities
|
(4,731,800
|
)
|
||
Net change in cash
|
$
|
(590,626
|
)
|
|
CASH:
|
||||
Beginning Balance
|
5,834,522
|
|||
Ending Balance
|
$
|
5,243,896
|
||
SUPPLEMENTAL DISCLOSURES:
|
||||
Cash paid for interest
|
29,148
|
|||
Non-cash financing activities – distributions reinvested
|
4,325,163
|
|||
Non-cash financing activities – (increase)/decrease in
|
||||
receivable for Fund shares sold
|
(20,000
|
)
|
||
Non-cash financing activities – decrease in payable for Fund shares redeemed
|
6,824
|
|||
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE
|
||||
BEGINNING OF PERIOD TO THE STATEMENT OF ASSETS AND LIABILITIES
|
||||
Cash
|
—
|
|||
Deposit with brokers short sale proceeds
|
5,834,522
|
|||
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE
|
||||
END OF PERIOD TO THE STATEMENT OF ASSETS AND LIABILITIES
|
||||
Cash
|
432
|
|||
Deposit with brokers short sale proceeds
|
5,243,464
|
(a)
|
The Fund converted from a mutual fund to an ETF pursuant to an Agreement and Plan of Reorganization on February 22, 2022. See Note 1 in the Notes to Financial Statements for additional information about the
Reorganization.
|
Financial Highlights
|
Six Months Ended
|
||||
May 31, 2022(8)
|
||||
(Unaudited)
|
||||
Net Asset Value, Beginning of Year
|
$
|
17.94
|
||
Income from investment operations:
|
||||
Net investment income(1)
|
0.01
|
|||
Net realized and unrealized gain on investments
|
0.65
|
|||
Total from Investment Operations
|
0.66
|
|||
Less distributions paid:
|
||||
From net investment income
|
—
|
|||
From net realized gains
|
(2.87
|
)
|
||
Total distributions paid
|
(2.87
|
)
|
||
Net Asset Value, End of Period
|
$
|
15.73
|
||
Market Price, End of Period
|
$
|
15.72
|
||
Total Return on NAV(2)(4)
|
4.20
|
%
|
||
Total Return on Market Price(4)(6)
|
4.14
|
%
|
||
Supplemental Data and Ratios:
|
||||
Net assets at end of period (000’s)
|
$
|
29,313
|
||
Ratio of expenses to average net assets:
|
||||
Before waiver, expense reimbursement and recoupments(3)(5)
|
2.00
|
%
|
||
After waiver, expense reimbursement and recoupments(3)(5)
|
1.64
|
%
|
||
Ratio of net investment income to average net assets:
|
||||
Before waiver, expense reimbursement and recoupments(5)
|
(0.21
|
)%
|
||
After waiver, expense reimbursement and recoupments(5)
|
0.15
|
%
|
||
Portfolio turnover rate
|
121.53
|
%(7)
|
(1)
|
Per share net investment income was calculated using the daily average shares outstanding method.
|
(2)
|
Total return on net asset value (NAV) represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends.
|
(3)
|
The ratio of expenses to average net assets includes dividends on short positions, interest and broker expenses. The annualized before waiver, expense reimbursement and recoupments and after waiver, expense
reimbursement and recoupments ratios excluding dividends on short positions, interest and broker expenses were 1.57% and 1.21%, 1.95% and 1.50%, 1.69% and 1.50%, 1.32% and 1.32%, 1.27% and 1.27%, 1.28% and 1.28% for the periods ended May 31,
2022, November 30, 2021, November 30, 2020, November 30, 2019, November 30, 2018, November 30, 2017, respectively.
|
(4)
|
Not annualized for periods less than a full year.
|
(5)
|
Annualized for periods less than a full year.
|
(6)
|
Total return on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and
redemption at market price on the last day of the period.
|
(7)
|
Excludes the impact of in-kind transactions.
|
(8)
|
The Fund converted from a mutual fund to an ETF pursuant to an Agreement and Plan of Reorganization on February 22, 2022. See Note 1 in the Notes to Financial Statements for additional information about the
Reorganization.
|
2021
|
2020
|
2019
|
2018
|
2017
|
||||||||||||||
$
|
14.03
|
$
|
19.76
|
$
|
19.83
|
$
|
21.03
|
$
|
18.47
|
|||||||||
(0.03
|
)
|
0.00
|
(2)
|
0.14
|
0.01
|
0.04
|
||||||||||||
3.98
|
(1.10
|
)
|
0.65
|
1.47
|
3.32
|
|||||||||||||
3.95
|
(1.10
|
)
|
0.79
|
1.48
|
3.36
|
|||||||||||||
(0.04
|
)
|
(0.13
|
)
|
(0.07
|
)
|
(0.04
|
)
|
(0.18
|
)
|
|||||||||
—
|
(4.50
|
)
|
(0.79
|
)
|
(2.64
|
)
|
(0.62
|
)
|
||||||||||
(0.04
|
)
|
(4.63
|
)
|
(0.86
|
)
|
(2.68
|
)
|
(0.80
|
)
|
|||||||||
$
|
17.94
|
$
|
14.03
|
$
|
19.76
|
$
|
19.83
|
$
|
21.03
|
|||||||||
$
|
—
|
$
|
—
|
$
|
—
|
$
|
—
|
$
|
—
|
|||||||||
28.26
|
%
|
-7.68
|
%
|
4.72
|
%
|
7.69
|
%
|
18.81
|
%
|
|||||||||
—
|
%
|
—
|
%
|
—
|
%
|
—
|
%
|
—
|
%
|
|||||||||
$
|
29,313
|
$
|
22,537
|
$
|
67,741
|
$
|
112,861
|
$
|
128,565
|
|||||||||
2.56
|
%
|
2.58
|
%
|
2.18
|
%
|
2.20
|
%
|
2.11
|
%
|
|||||||||
2.11
|
%
|
2.39
|
%
|
2.18
|
%
|
2.20
|
%
|
2.11
|
%
|
|||||||||
(0.63
|
)%
|
(0.13
|
)%
|
0.76
|
%
|
0.03
|
%
|
0.20
|
%
|
|||||||||
(0.18
|
)%
|
0.06
|
%
|
0.76
|
%
|
0.03
|
%
|
0.20
|
%
|
|||||||||
303.76
|
%
|
251.72
|
%
|
239.08
|
%
|
193.55
|
%
|
214.61
|
%
|
(1)
|
Organization
|
Trust for Professional Managers (the “Trust”) was organized as a Delaware statutory trust under a Declaration of Trust dated May 29, 2001. The Trust is registered under the Investment Company Act of 1940, as
amended (the “1940 Act”), as an open-end management investment company. The Convergence Long/Short Equity ETF (the “Fund”) represents a distinct diversified series with its own investment objectives and policies within the Trust. The investment
objective of the Fund is to seek long-term capital growth. The Fund is an actively managed exchange-traded fund (“ETF”). The Trust may issue an unlimited number of shares of beneficial interest at $0.001 par value. The Fund became effective on
February 22, 2022 and commenced operations on February 22, 2022. Costs incurred by the Fund in connection with the organization, registration and the initial public offering of shares were paid by Convergence Investment Partners, LLC (the
“Adviser”), the Fund’s investment adviser.
|
|
The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946
“Financial Services–Investment Companies.”
|
|
The Fund is the accounting and performance survivor of the Convergence Long/Short Equity Fund (the “Target Fund”). The Fund became a series of the Trust on February 22, 2022 following a reorganization
(“Reorganization”), pursuant to an Agreement and Plan of Reorganization, which resulted in the conversion of the Target Fund organized as a mutual fund to an ETF. The Fund was established as a “shell” fund organized solely in connection with
the Reorganization for the purpose of acquiring the assets and liabilities of the Target Fund and continuing the operations of the Target Fund as an ETF. The Fund had no performance history prior to the Reorganization.
|
|
The Reorganization was accomplished by a tax-free exchange of shares (with an exception for fractional mutual fund shares) of the Acquiring Fund for shares of the Target Fund of equivalent aggregate net asset
value. Fees and expenses incurred to affect the Reorganization were borne by the Adviser. The management fee of the Fund is lower than the management fee of the Target Fund therefore, the Fund is expected to experience lower overall expenses as
compared to the Target Fund. The Reorganization did not result in a material change to the Target Fund’s investment portfolio as compared to the Fund. There are no material differences in accounting policies of the Target Fund as compared to
the Fund. The Fund did not purchase or sell securities following the Reorganization for purposes of realigning its investment portfolio. Accordingly, the acquisition of the Target Fund did not affect the Fund’s portfolio turnover ratios for the
period ended May 31, 2022.
|
|
(2)
|
Significant Accounting Policies
|
The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of the financial statements. These policies are in conformity with generally accepted accounting
principles in the United States of America (“GAAP”).
|
(a)
|
Investment Valuation
|
Each security owned by the Fund, including long and short positions of common stock and real estate investment trusts, that is listed on a securities exchange, except those listed on the NASDAQ Stock Market LLC
(“NASDAQ”), is valued at its last sale price on that exchange on the date as of which assets are valued. When the security is listed on more than one exchange, the Fund will use the price of the exchange that the Fund generally consider to be
the principal exchange on which the stock is traded.
|
|
Fund securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there has been no sale on such exchange or on NASDAQ on such day,
the security shall be valued at, (i) the mean between the most recent quoted bid and asked prices at the close of the exchange on such day or (ii) the last sales price on the Composite Market for the day such security is being valued.
“Composite Market” means a consolidation of the trade information provided by national securities and foreign exchanges and over-the-counter markets, as published by an approved independent pricing service (“Pricing Service”).
|
|
Debt securities, including short-term debt instruments having a maturity of 60 days or less, are valued at the mean in accordance with prices supplied by a Pricing Service. Pricing Services may use various
valuation methodologies such as the mean between the bid and the asked prices, matrix pricing and other analytical pricing models as well as market transactions and dealer quotations. If a price is not available from a Pricing Service, the most
recent quotation obtained from one or more broker-dealers known to follow the issue will be obtained. Quotations will be valued at the mean between the bid and the offer. In the absence of available quotations, the securities will be priced at
fair value, as described below. Any discount or premium is accreted or amortized using the constant yield method until maturity.
|
|
Redeemable securities issued by open-end, registered investment companies are valued at the net asset value (“NAV”) of such companies for purchase and/or redemption orders placed on that day. If, on a particular
day, a share of an investment company is not listed on NASDAQ, such security’s fair value will be determined as described below. Money market mutual funds are valued at cost. If cost does not represent current market value the securities will
be priced at fair value.
|
|
When market quotations are not readily available, any security or other asset is valued at its fair value as determined under procedures approved by the Trust’s Board of Trustees. These fair value procedures will
also be used to price a security when corporate events, events in the securities market or world events cause the Adviser to believe that a security’s last sale price may not reflect its actual fair market value. The intended effect of using
fair value pricing procedures is to ensure that the Fund is accurately priced.
|
|
FASB Accounting Standards Codification, “Fair Value Measurements and Disclosures” Topic 820 (“ASC 820”), establishes an authoritative definition of fair value and sets out a hierarchy for measuring fair value.
ASC 820 requires an entity to evaluate certain factors to determine whether there has been a significant decrease in volume and level of activity for the security such that recent transactions and quoted
|
prices may not be determinative of fair value and further analysis and adjustment may be necessary to estimate fair value. ASC 820 also requires enhanced disclosures regarding the inputs and valuation techniques
used to measure fair value in those instances as well as expanded disclosure of valuation levels for each class of investments. These inputs are summarized in the three broad levels listed below:
|
Level 1—
|
Quoted prices in active markets for identical securities.
|
|
Level 2—
|
Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
|
|
Level 3—
|
Significant unobservable inputs (including a Fund’s own assumptions in determining the fair value of investments).
|
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the inputs used to value the Fund’s
investments carried at fair value as of May 31, 2022:
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||||
Assets(1):
|
|||||||||||||||||
Common Stock
|
$
|
28,512,275
|
$
|
—
|
$
|
—
|
$
|
28,512,275
|
|||||||||
Real Estate Investment Trusts
|
961,661
|
—
|
—
|
961,661
|
|||||||||||||
Short-Term Investments
|
13,391
|
—
|
—
|
13,391
|
|||||||||||||
Total Investments
|
29,487,327
|
—
|
—
|
29,487,327
|
|||||||||||||
Total Assets
|
$
|
29,487,327
|
$
|
—
|
$
|
—
|
$
|
29,487,327
|
|||||||||
Liabilities:
|
|||||||||||||||||
Securities Sold Short
|
|||||||||||||||||
Common Stocks
|
$
|
(9,136,297
|
)
|
$
|
—
|
$
|
—
|
$
|
(9,136,297
|
)
|
|||||||
Real Estate Investment Trusts
|
(289,696
|
)
|
—
|
—
|
(289,696
|
)
|
|||||||||||
Total Securities Sold Short
|
(9,425,993
|
)
|
—
|
—
|
(9,425,993
|
)
|
|||||||||||
Total Liabilities
|
$
|
(9,425,993
|
)
|
$
|
—
|
$
|
—
|
$
|
(9,425,993
|
)
|
(1)
|
See the Schedule of Investments for industry classifications.
|
The Fund did not hold any Level 3 securities during the six months ended May 31, 2022.
|
|
Except for securities sold short, the Fund did not engage in any derivative securities or engage in hedging activities during the six months ended May 31, 2022.
|
(b)
|
Short Positions
|
The Fund may sell a security it does not own in anticipation of a decline in the fair value of that security. When the Fund sells a security short, it must borrow the security sold short and deliver it to the
broker-dealer through which it made the short sale. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in size, will be recognized upon the termination of a short sale. For financial statement purposes,
an amount equal to the settlement amount is included in the Statement of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the short positions. Subsequent
fluctuations in
|
the market prices of the securities sold, but not yet purchased, may require purchasing the securities at prices which could differ from the amount reflected in the Statement of Assets and Liabilities. The Fund
is liable for any dividends or interest payable on securities while those securities are in a short position. Such amounts are recorded on the ex-dividend date as a dividend expense, and interest expense is accrued daily. As collateral for its
short positions, the Fund is required under the 1940 Act to maintain segregated assets consisting of cash, cash equivalents or liquid securities. The segregated assets are valued consistent with Note 2a above. The amount of segregated assets is
required to be adjusted daily to the extent additional collateral is required based on the change in fair value of the securities sold short. The Fund’s securities sold short and deposits for short sales are held with one major securities
broker-dealer. The Fund does not require this broker-dealer to maintain collateral in support of the receivable for proceeds on securities sold short.
|
(c)
|
Federal Income Taxes
|
The Fund complies with the requirements of Subchapter M of the Internal Revenue Code, as amended, necessary to qualify as a regulated investment company and makes the requisite distributions of income and capital
gains to their shareholders sufficient to relieve them from all or substantially all federal income taxes. Therefore, no federal income tax provision has been provided.
|
|
As of and during the year ended November 30, 2021, the Fund did not have a liability for any unrecognized tax benefits. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as
income tax expense in the Statement of Operations. During the year ended November 30, 2021, the Fund did not incur any interest or penalties. The Fund is not subject to examination by U.S. taxing authorities for the tax periods prior to the
year ended November 30, 2018.
|
(d)
|
Distributions to Shareholders
|
The Fund will distribute any net investment income and any net capital gains at least annually. Distributions from net realized gains for book purposes may include short-term capital gains. All short-term capital
gains are included in ordinary income for tax purposes. Distributions to shareholders are recorded on the ex-dividend date. The Fund may also pay a special distribution at the end of the calendar year to comply with federal tax requirements.
|
(e)
|
Use of Estimates
|
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets
and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
|
(f)
|
Share Valuation
|
The NAV per share of the Fund is calculated by dividing the sum of the fair value of the securities held by the Fund, plus cash or other assets, minus all liabilities
|
(including estimated accrued expenses) by the total number of shares outstanding for the Fund, rounded to the nearest cent. The Fund’s shares will not be priced on the days on which the New York Stock Exchange is
closed for trading. The Fund does not charge a redemption fee, and therefore the offering and redemption price per share are equal to the Fund’s NAV per share.
|
(g)
|
Allocation of Income, Expenses and Gains/Losses
|
Expenses associated with a specific fund in the Trust are charged to that Fund. Common Trust expenses are typically allocated evenly between the funds of the Trust, or by other equitable means.
|
(h)
|
Other
|
Investment transactions are recorded on the trade date. The Fund determines the gain or loss from investment transactions on the identified cost basis by comparing original cost of the security lot sold with the
net sale proceeds. Dividend income and expense is recognized on the ex-dividend date and interest income and expense is recognized on an accrual basis. Dividend income from real estate investment trusts (“REITs”) is recognized on the ex-date
and included in dividend income. The calendar year-end classification of distributions received from REITs during the fiscal year are reported subsequent to year end; accordingly, the Fund estimates the character of REIT distributions based on
the most recent information available and adjusts for actual classifications in the calendar year the information is reported.
|
|
Withholding taxes on foreign dividends, net of any reclaims, have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates.
|
(3)
|
Federal Tax Matters
|
The tax character of distributions paid by the Fund during the fiscal years ended November 30, 2021 and November 30, 2020 was as follows:
|
November 30, 2021
|
November 30, 2020
|
||||||||
Ordinary Income
|
$
|
62,000
|
$
|
8,367,012
|
|||||
Long-Term Capital Gain
|
$
|
—
|
$
|
7,113,297
|
The Fund designated as long-term capital gain dividend, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Fund related to net capital gain to zero
for the tax year ended November 30, 2021. The Fund utilized earnings and profits distributed to shareholders on redemption of shares as part of the dividend paid deduction. The amounts designated as gain for the fiscal years ended November 30,
2021 and 2020 were as follows:
|
November 30, 2021
|
November 30, 2020
|
||||||||
Long-term
|
$
|
1,489,805
|
$
|
1,075,752
|
As of November 30, 2021, the components of distributable earnings on a tax basis were as follows:
|
Cost basis of investments for federal income tax purposes(1)
|
$
|
15,458,348
|
|||
Gross tax unrealized appreciation
|
$
|
8,880,412
|
|||
Gross tax unrealized depreciation
|
(662,674
|
)
|
|||
Net tax unrealized appreciation
|
8,217,738
|
||||
Undistributed ordinary income
|
2,017,130
|
||||
Undistributed long-term capital gain
|
2,702,010
|
||||
Total distributable earnings
|
4,719,140
|
||||
Other accumulated losses
|
—
|
||||
Total distributable earnings
|
$
|
12,936,878
|
(1)
|
Includes securities sold short.
|
The tax basis of distributable earnings for tax and financial reporting purposes differs principally due to the deferral of losses on wash sales.
|
|
Income and capital gains distributions may differ from GAAP, primarily due to timing differences in the recognition of income, gains and losses, and equalization by the Fund. To the extent that these differences
are attributable to permanent book and tax accounting differences, the components of net assets have been adjusted. Additionally, GAAP requires that certain components of net assets relating to permanent differences be reclassified between
financial and tax reporting. These reclassifications are due to equalization and have no effect on net assets or NAV per share. For the year ended November 30, 2021, the following table shows the reclassifications made:
|
Paid-in capital
|
$
|
1,497,557
|
|||
Total distributable earnings
|
$
|
(1,497,557
|
)
|
(4)
|
Investment Adviser
|
The Trust has an Investment Advisory Agreement (the “Agreement”) with the Adviser to furnish investment advisory services to the Fund. For the six months ended May 31, 2022, under the terms of the Agreement, the
Fund compensated the Adviser for its management services at the annual rate of 0.97% of the Fund’s average daily net assets. This represents a blended rate of 1.00% pre-Reorganization and 0.95% post-Reorganization.
|
|
Prior to the Reorganization, the Adviser contractually agreed to waive its management fee and/or reimburse the Fund’s other expenses at least through the expiration date listed below, at the discretion of the
Adviser and the Board of Trustees, to the extent necessary to ensure that the Fund’s operating expenses (exclusive of front-end or contingent deferred loads, Rule 12b-1 plan fees, shareholder servicing plan fees, taxes, leverage (i.e., any
expenses incurred in connection with borrowings made by the Fund), interest (including interest incurred in connection with bank and custody overdrafts), brokerage commissions and other transactional expenses, expenses incurred in connection
with any merger or reorganization, dividends or interest on short
|
positions, acquired fund fees and expenses or extraordinary expenses such as litigation) did not exceed 1.50% of the Fund’s average daily net assets (the “Expense Limitation Cap”).
|
|
Pursuant to the Reorganization, any previously waived expenses are no longer subject to recoupment and have expired.
|
|
After the Reorganization, under the terms of the Agreement, the Adviser has agreed to pay all expenses of the Fund except interest charges on any borrowings, dividends, and other expenses on securities sold
short, taxes, brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investments, acquired fund fees and expenses, accrued deferred tax liability, extraordinary expenses,
distribution fees and expenses paid by the Fund under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act, and the unitary management fee payable to the Adviser.
|
|
(5)
|
Related Party Transactions
|
U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services” or the “Administrator”), acts as the Fund’s administrator under an Administration Agreement. The Administrator
prepares various federal and state regulatory filings, reports and returns for the Fund; prepares reports and materials to be supplied to the Trustees; monitors the activities of the Fund’s custodian, transfer agent and accountants; coordinates
the preparation and payment of the Fund’s expenses and reviews the Fund’s expense accruals. Fund Services also serves as the fund accountant and transfer agent to the Fund. U.S. Bank National Association (“U.S. Bank”), an affiliate of Fund
Services, serves as the Fund’s custodian. The Trust’s Chief Compliance Officer is also an employee of Fund Services. Fees incurred for the period ended May 31, 2022, and owed as of May 31, 2022 were as follows:
|
Incurred
|
Owed
|
||||||||
Fund Administration and Accounting
|
$
|
29,768
|
$
|
—
|
|||||
Pricing
|
$
|
1,501
|
$
|
—
|
|||||
Transfer Agency
|
$
|
3,495
|
$
|
—
|
|||||
Custody
|
$
|
940
|
$
|
—
|
|||||
Chief Compliance Officer
|
$
|
3,998
|
$
|
—
|
The Adviser paid the above referenced expenses for any periods following the Reorganization due to the unitary fee structure adopted by the Fund in connection with the Reorganization.
|
|
The Fund had a line of credit with U.S. Bank through February 18, 2022 (see Note 9).
|
|
Quasar Distributors, LLC (“Quasar”), a wholly owned broker-dealer subsidiary of Foreside Financial Group, LLC, acts as the Fund’s principal underwriter in a continuous public offering of Fund shares.
|
|
Certain officers of the Fund are also employees of Fund Services. A Trustee of the Trust is affiliated with Fund Services and U.S. Bank.
|
(6)
|
Capital Share Transactions
|
Transactions in the Fund were as follows:
|
Six Months Ended
|
Year Ended
|
||||||||
May 31, 2022
|
November 30, 2021
|
||||||||
Shares sold
|
2,552,535
|
836,583
|
|||||||
Shares reinvested
|
283,803
|
1,964
|
|||||||
Shares redeemed
|
(2,832,685
|
)
|
(811,170
|
)
|
|||||
Net increase
|
3,653
|
27,377
|
(7)
|
Investment Transactions
|
The aggregate purchases and sales of securities (excluding short-term investments and securities sold short), creations in-kind and redemptions in-kind for the Fund for the six months ended May 31, 2022 is
summarized below. There were no purchases or sales of U.S. government securities for the Fund.
|
Purchases
|
Sales
|
Creations In-Kind
|
Redemptions In-Kind
|
$37,068,891
|
$38,622,877
|
$10,622,814
|
$11,115,955
|
(8)
|
Creation and Redemption Transactions
|
Shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc. (the “Exchange”). The Fund issues and redeems shares on a continuous basis at NAV only in large blocks of shares called “Creation Units.” A
Creation Unit generally consists of 10,000 shares. Creation Units are to be issued and redeemed principally in kind for a basket of securities and a balancing cash amount. Shares generally will trade in the secondary market in amounts less than
a Creation Unit at market prices that change throughout the day. Market prices for the shares may be different from their NAV. The NAV is determined as of the close of trading (generally, 4:00 p.m. Eastern Time) on each day the NYSE is open for
trading. The NAV of the shares of each Fund will be equal to a Fund’s total assets minus a Fund’s total liabilities divided by the total number of shares outstanding. The NAV that is published will be rounded to the nearest cent; however, for
purposes of determining the price of Creation Units, the NAV will be calculated to five decimal places.
|
|
Only “Authorized Participants” may purchase or redeem shares directly from the Fund. An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net
Settlement System of National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors will not qualify as Authorized Participants or
have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the shares directly from the Fund. Rather, most retail investors will purchase shares in the secondary market with the assistance of a
broker and will be subject to customary brokerage commissions or fees. Securities received or delivered in connection with in-kind creates and redeems are valued as of the close of business on the effective date of the creation or redemption.
|
Creation Unit Transaction Fee
|
|
Authorized Participants will be required to pay to the Custodian a fixed transaction fee (the “Creation Transaction Fee”) in connection with the issuance of Creation Units. The standard Creation Transaction Fee
will be the same regardless of the number of Creation Units purchased by an investor on the applicable Business Day. The Creation Transaction Fee for the Fund is $300.
|
|
An additional variable fee of up to a maximum of 2% of the value of the Creation Units subject to the transaction may be imposed for cash purchases, non-standard orders, or partial purchase of Creation Units. The
variable charge is primarily designed to cover additional costs (e.g., brokerage, taxes) involved with buying the securities with cash. The Fund may determine to not charge a variable fee on certain orders when the Adviser has determined that
doing so is in the best interests of Fund shareholders.
|
|
A creation unit will generally not be issued until the transfer of good title of the deposit securities to the Funds and the payment of any cash amounts have been completed. To the extent contemplated by the
applicable participant agreement, Creation Units of the Fund will be issued to such authorized participant notwithstanding the fact that the Fund’s deposits have not been received in part or in whole, in reliance on the undertaking of the
authorized participant to deliver the missing deposit securities as soon as possible. If the Fund or its agents do not receive all of the deposit securities, or the required cash amounts, by such time, then the order may be deemed rejected and
the authorized participant shall be liable to the Fund for losses, if any.
|
|
(9)
|
Line of Credit
|
The Fund had a line of credit in the amount of the lesser of 33.33% of the fair value of unencumbered assets of the Fund or $4,000,000 through February 18, 2022. The unsecured line of credit was intended to
provide short-term financing, if necessary, subject to certain restrictions, in connection with shareholder redemptions. The credit facility was with the Fund’s custodian, U.S. Bank. Interest was accrued at the prime rate of 3.25%. There were
no loans outstanding for the Fund as of May 31, 2022. The following table provides information regarding usage of the line of credit for the six months ended May 31, 2022.
|
Average
|
Maximum
|
Maximum
|
||
Days
|
Amount of
|
Interest
|
Amount of
|
Borrowing
|
Utilized
|
Borrowing
|
Expense*
|
Borrowing
|
Dates
|
3
|
$37,333
|
$10
|
$44,000
|
1/27/2022
|
* Interest expense is included within Interest and broker expenses on the Statement of Operations.
|
(10)
|
Recent Market Events
|
U.S. and international markets have experienced significant periods of volatility in recent years and months due to a number of economic, political and global macro factors including the impact of COVID-19 as a
global pandemic and related public health crisis, growth concerns in the U.S. and overseas, uncertainties regarding interest rates, rising inflation, trade tensions, and the threat of tariffs imposed by the
|
U.S. and other countries. In particular, the global spread of COVID-19 has resulted in disruptions to business operations and supply chains, stress on the global healthcare system, growth concerns in the U.S. and
overseas, staffing shortages and the inability to meet consumer demand, and widespread concern and uncertainty. The global recovery from COVID-19 is proceeding at slower than expected rates due to the emergence of variant strains and may last
for an extended period of time. Health crises and related political, social and economic disruptions caused by the spread of COVID-19 may also exacerbate other pre-existing political, social and economic risks in certain countries. As a result
of continuing political tensions and armed conflicts, including the war between Ukraine and Russia, the U.S. and the European Union imposed sanctions on certain Russian individuals and companies, including certain financial institutions, and
have limited certain exports and imports to and from Russia. The war has contributed to recent market volatility and may continue to do so. These developments, as well as other events, could result in further market volatility and negatively
affect financial asset prices, the liquidity of certain securities and the normal operations of securities exchanges and other markets, despite government efforts to address market disruptions. Continuing market volatility as a result of recent
market conditions or other events may have adverse effects on your account.
|
|
(11)
|
Results of Shareholder Meeting
|
A Special Joint Meeting of Shareholders (the “Meeting”) took place on April 6, 2022. The Meeting was held for all series in the Trust. All Trust shareholders of record, in the aggregate across all series of the
Trust, were entitled to attend or submit proxies. As of the record date, February 7, 2022, the Trust had 534,673,511 shares outstanding. The results of the voting for the proposals were as follows:
|
Proposal 1: To approve the election of four Trustees to the Board of Trustees of the Trust to serve until his or her successor is elected and qualified.
|
For Votes
|
Votes Withheld
|
Broker Non-Vote
|
||
Vincent P. Lyles
|
465,453,094
|
2,962,687
|
15,025,189
|
|
Erik K. Olstein
|
465,703,874
|
2,711,906
|
15,025,189
|
|
Lisa Zúñiga Ramírez
|
465,728,682
|
2,662,552
|
15,025,189
|
|
Gregory M. Wesley
|
465,394,219
|
2,984,741
|
15,025,189
|
Accordingly, effective April 6, 2022, the Board of Trustees of Trust for Professional Managers consists of the following individuals, each of whom have been elected by shareholders:
|
Michael D. Akers, Independent Trustee
|
|
Gary A. Drska, Independent Trustee
|
|
Vincent P. Lyles, Independent Trustee
|
|
Erik K. Olstein, Independent Trustee
|
|
Lisa Zúñiga Ramírez, Independent Trustee
|
|
Gregory M. Wesley, Independent Trustee
|
|
Joseph C. Neuberger, Interested Trustee
|
Proposal 2: To approve one or more adjournments of the Special Meeting to a later date to solicit additional proxies.
|
For Votes
|
Votes Against
|
Broker Votes Abstained
|
476,848,750
|
2,932,139
|
3,647,484
|
(12)
|
Subsequent Events
|
Management has evaluated the Fund’s related events and transactions that occurred subsequent to May 31, 2022, through the date of issuance of the Fund’s financial statements. Management has determined that there
were no subsequent events requiring recognition or disclosure in the financial statements.
|
1.
|
NATURE, EXTENT AND QUALITY OF SERVICES TO BE PROVIDED TO THE FUND
|
2.
|
INVESTMENT PERFORMANCE OF THE FUND AND THE ADVISER
|
3.
|
COSTS OF SERVICES PROVIDED AND PROFITS TO BE REALIZED BY THE ADVISER
|
4.
|
EXTENT OF ECONOMIES OF SCALE AS THE FUND GROWS
|
5.
|
BENEFITS TO BE DERIVED FROM THE RELATIONSHIP WITH THE FUND
|
•
|
information we receive about you on applications or other forms;
|
•
|
information you give us orally; and
|
•
|
information about your transactions with us or others.
|
Other
|
|||||
Directorships
|
|||||
Term of
|
Number of
|
Principal
|
Held by
|
||
Office and
|
Portfolios
|
Occupation(s)
|
Trustee
|
||
Position(s)
|
Length
|
in Trust
|
During the
|
During the
|
|
Name, Address
|
Held with
|
of Time
|
Overseen
|
Past Five
|
Past Five
|
and Year of Birth
|
the Trust
|
Served
|
by Trustee
|
Years
|
Years
|
Independent Trustees
|
|||||
Michael D. Akers, Ph.D.
|
Trustee
|
Indefinite
|
26
|
Professor Emeritus,
|
Independent
|
615 E. Michigan St.
|
Term; Since
|
Department
|
Trustee, USA
|
||
Milwaukee, WI 53202
|
August 22,
|
of Accounting,
|
MUTUALS
|
||
Year of Birth: 1955
|
2001
|
(June 2019–
|
(an open-end
|
||
present), Professor,
|
investment
|
||||
Department
|
company)
|
||||
of Accounting,
|
(2001–2021).
|
||||
(2004–May 2019),
|
|||||
Chair, Department
|
|||||
of Accounting
|
|||||
(2004–2017),
|
|||||
Marquette University.
|
|||||
Gary A. Drska
|
Trustee
|
Indefinite
|
26
|
Retired;
|
Independent
|
615 E. Michigan St.
|
Term; Since
|
Former Pilot,
|
Trustee, USA
|
||
Milwaukee, WI 53202
|
August 22,
|
Frontier/Midwest
|
MUTUALS
|
||
Year of Birth: 1956
|
2001
|
Airlines, Inc.
|
(an open-end
|
||
(airline company)
|
investment
|
||||
(1986–2021).
|
company)
|
||||
(2001–2021).
|
|||||
Vincent P. Lyles
|
Trustee
|
Indefinite
|
26
|
System Vice
|
Independent
|
615 E. Michigan St.
|
Term; Since
|
President of
|
Director, BMO
|
||
Milwaukee, WI 53202
|
April 6,
|
Community
|
Funds, Inc. (an
|
||
Year of Birth: 1961
|
2022
|
Relations, Advocate
|
open-end
|
||
Aurora Health
|
investment
|
||||
Care (health care
|
company)
|
||||
provider) (2019–
|
(2017–2022).
|
||||
present); President
|
|||||
and Chief Executive
|
|||||
Officer, Boys & Girls
|
|||||
Club of Greater
|
|||||
Milwaukee
|
|||||
(2012–2018).
|
Other
|
|||||
Directorships
|
|||||
Term of
|
Number of
|
Principal
|
Held by
|
||
Office and
|
Portfolios
|
Occupation(s)
|
Trustee
|
||
Position(s)
|
Length
|
in Trust
|
During the
|
During the
|
|
Name, Address
|
Held with
|
of Time
|
Overseen
|
Past Five
|
Past Five
|
and Year of Birth
|
the Trust
|
Served
|
by Trustee
|
Years
|
Years
|
Erik K. Olstein
|
Trustee
|
Indefinite
|
26
|
Retired; President
|
Trustee, The
|
615 E. Michigan St.
|
Term; Since
|
and Chief Operating
|
Olstein Funds
|
||
Milwaukee, WI 53202
|
April 6,
|
Officer (2000–
|
(an open-end
|
||
Year of Birth: 1967
|
2022
|
2020), Vice
|
investment
|
||
President of Sales
|
company)
|
||||
and Chief Operating
|
(1995–2018).
|
||||
Officer (1995–2000),
|
|||||
Olstein Capital
|
|||||
Management, L.P.
|
|||||
(asset management
|
|||||
firm); Secretary and
|
|||||
Assistant Treasurer,
|
|||||
The Olstein Funds
|
|||||
(1995–2018).
|
|||||
Lisa Zúñiga Ramírez
|
Trustee
|
Indefinite
|
26
|
Retired; Principal
|
N/A
|
615 E. Michigan St.
|
Term; Since
|
and Senior Portfolio
|
|||
Milwaukee, WI 53202
|
April 6,
|
Manager, Segall,
|
|||
Year of Birth: 1969
|
2022
|
Bryant & Hamill, LLC
|
|||
(asset management
|
|||||
firm) (2018–2020);
|
|||||
Partner and Senior
|
|||||
Portfolio Manager,
|
|||||
Denver Investments
|
|||||
LLC (asset
|
|||||
management firm)
|
|||||
(2009–2018).
|
|||||
Gregory M. Wesley
|
Trustee
|
Indefinite
|
26
|
Senior Vice
|
N/A
|
615 E. Michigan St.
|
Term; Since
|
President of
|
|||
Milwaukee, WI 53202
|
April 6,
|
Strategic Alliances
|
|||
Year of Birth: 1969
|
2022
|
and Business
|
|||
Development, Medical
|
|||||
College of Wisconsin
|
|||||
(2016–present).
|
Other
|
|||||
Directorships
|
|||||
Term of
|
Number of
|
Principal
|
Held by
|
||
Office and
|
Portfolios
|
Occupation(s)
|
Trustee
|
||
Position(s)
|
Length
|
in Trust
|
During the
|
During the
|
|
Name, Address
|
Held with
|
of Time
|
Overseen
|
Past Five
|
Past Five
|
and Year of Birth
|
the Trust
|
Served
|
by Trustee
|
Years
|
Years
|
Interested Trustee and Officers
|
|||||
Joseph C. Neuberger*
|
Chairperson
|
Indefinite
|
26
|
President
|
Trustee, Buffalo
|
615 E. Michigan St.
|
and
|
Term; Since
|
(2017–present),
|
Funds (an
|
|
Milwaukee, WI 53202
|
Trustee
|
August 22,
|
Chief Operating
|
open-end
|
|
Year of Birth: 1962
|
2001
|
Officer (2016–
|
investment
|
||
2020), Executive
|
company)
|
||||
Vice President
|
(2003–2017);
|
||||
(1994–2017), U.S.
|
Trustee, USA
|
||||
Bancorp Fund
|
MUTUALS
|
||||
Services, LLC.
|
(an open-end
|
||||
investment
|
|||||
company)
|
|||||
(2001–2018).
|
|||||
John P. Buckel
|
President
|
Indefinite
|
N/A
|
Vice President,
|
N/A
|
615 E. Michigan St.
|
and
|
Term; Since
|
U.S. Bancorp Fund
|
||
Milwaukee, WI 53202
|
Principal
|
January 24,
|
Services, LLC
|
||
Year of Birth: 1957
|
Executive
|
2013
|
(2004–present).
|
||
Officer
|
|||||
Jennifer A. Lima
|
Vice
|
Indefinite
|
N/A
|
Vice President,
|
N/A
|
615 E. Michigan St.
|
President,
|
Term; Since
|
U.S. Bancorp Fund
|
||
Milwaukee, WI 53202
|
Treasurer
|
January 24,
|
Services, LLC
|
||
Year of Birth: 1974
|
and
|
2013
|
(2002–present).
|
||
Principal
|
|||||
Financial
|
|||||
and
|
|||||
Accounting
|
|||||
Officer
|
*
|
Mr. Neuberger is deemed to be an “interested person” of the Trust as defined by the 1940 Act due to his position and material business relationship with the Trust.
|
Other
|
|||||
Directorships
|
|||||
Term of
|
Number of
|
Principal
|
Held by
|
||
Office and
|
Portfolios
|
Occupation(s)
|
Trustee
|
||
Position(s)
|
Length
|
in Trust
|
During the
|
During the
|
|
Name, Address
|
Held with
|
of Time
|
Overseen
|
Past Five
|
Past Five
|
and Year of Birth
|
the Trust
|
Served
|
by Trustee
|
Years
|
Years
|
Deanna B. Marotz
|
Chief
|
Indefinite
|
N/A
|
Senior Vice President
|
N/A
|
615 E. Michigan St.
|
Compliance
|
Term; Since
|
US Bancorp Fund
|
||
Milwaukee, WI 53202
|
Officer,
|
October 21,
|
Services, LLC
|
||
Year of Birth: 1965
|
Vice
|
2021
|
(2021–present);
|
||
President
|
Chief Compliance
|
||||
and Anti-
|
Officer of Keeley-Teton
|
||||
Money
|
Advisors, LLC and
|
||||
Laundering
|
Teton Advisors, Inc
|
||||
Officer
|
(since 2017); Chief
|
||||
Compliance Officer
|
|||||
of Keeley Asset
|
|||||
Management Corp.
|
|||||
(2015–2017).
|
|||||
Jay S. Fitton
|
Secretary
|
Indefinite
|
N/A
|
Assistant Vice
|
N/A
|
615 E. Michigan St.
|
Term; Since
|
President, U.S.
|
|||
Milwaukee, WI 53202
|
July 22, 2019
|
Bancorp Fund
|
|||
Year of Birth: 1970
|
Services, LLC
|
||||
(2019–present);
|
|||||
Partner, Practus, LLP
|
|||||
(2018–2019);
|
|||||
Counsel, Drinker
|
|||||
Biddle & Reath, LLP
|
|||||
(2016–2018).
|
|||||
Kelly A. Strauss
|
Assistant
|
Indefinite
|
N/A
|
Assistant Vice
|
N/A
|
615 E. Michigan St.
|
Treasurer
|
Term; Since
|
President, U.S.
|
||
Milwaukee, WI 53202
|
April 23,
|
Bancorp Fund
|
|||
Year of Birth: 1987
|
2015
|
Services, LLC
|
|||
(2011–present).
|
|||||
Melissa Aguinaga
|
Assistant
|
Indefinite
|
N/A
|
Assistant Vice
|
N/A
|
615 E. Michigan St.
|
Treasurer
|
Term; Since
|
President, U.S.
|
||
Milwaukee, WI 53202
|
July 1,
|
Bancorp Fund
|
|||
Year of Birth: 1987
|
2015
|
Services, LLC
|
|||
(2010–present).
|
|||||
Laura A. Carroll
|
Assistant
|
Indefinite
|
N/A
|
Assistant Vice
|
N/A
|
615 E. Michigan St.
|
Treasurer
|
Term; Since
|
President, U.S.
|
||
Milwaukee, WI 53202
|
August 20,
|
Bancorp Fund
|
|||
Year of Birth: 1985
|
2018
|
Services, LLC
|
|||
(2007–present).
|
Investment Adviser
|
Convergence Investment Partners, LLC
|
3801 PGA Boulevard
|
|
Suite 1001
|
|
Palm Beach Gardens, Florida 33410
|
|
Legal Counsel
|
Godfrey & Kahn, S.C.
|
833 East Michigan Street
|
|
Suite 1800
|
|
Milwaukee, Wisconsin 53202
|
|
Independent Registered Public
|
Cohen & Company, Ltd.
|
Accounting Firm
|
342 North Water Street
|
Suite 830
|
|
Milwaukee, Wisconsin 53202
|
|
Transfer Agent, Fund Accountant and
|
U.S. Bancorp Fund Services, LLC
|
Fund Administrator
|
615 East Michigan Street
|
Milwaukee, Wisconsin 53202
|
|
Custodian
|
U.S. Bank National Association
|
Custody Operations
|
|
1555 North River Center Drive
|
|
Milwaukee, Wisconsin 53212
|
|
Distributor
|
Quasar Distributors, LLC
|
111 East Kilbourn Avenue
|
|
Suite 2200
|
|
Milwaukee, Wisconsin 53202
|
|
(b)
|
Not applicable.
|
(a)
|
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
|
(b)
|
Not Applicable.
|
(a)
|
The Registrant’s President and Treasurer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d‑15(b) under the Securities Exchange Act of 1934. Based on their
review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made
known to them by others within the Registrant and by the Registrant’s service provider.
|
(b)
|
There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred
during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
|
(a)
|
(1) Any code of ethics or amendment thereto,
that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not Applicable.
|