UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
OF REGISTERED MANAGEMENT INVESTMENT COMPANY
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: January 31,
2020
Form N-Q is to be used by management investment
companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter),
to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to
rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form
N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the
information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond
to the collection of information contained in Form N-Q 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 the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington,
DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Schedule of Investments.
The Schedule(s) of Investments is attached
herewith.
Schedule of Investments
Reality Shares DIVS ETF
January 31, 2020 (Unaudited)
|
|
|
Principal / Shares
|
|
|
Value
|
|
|
Treasury Bills — 97.7%(a)
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Bill, 02/13/2020
|
|
$
|
6,260,000
|
|
|
$
|
6,257,453
|
|
|
U.S. Treasury Bill, 03/19/2020
|
|
|
7,543,000
|
|
|
|
7,528,739
|
|
|
U.S. Treasury Bill, 04/23/2020
|
|
|
708,000
|
|
|
|
705,606
|
|
|
U.S. Treasury Bill, 07/02/2020
|
|
|
170,000
|
|
|
|
168,940
|
|
|
U.S. Treasury Bill, 07/09/2020
|
|
|
7,871,000
|
|
|
|
7,819,682
|
|
|
U.S. Treasury Bill, 07/30/2020
|
|
|
8,579,000
|
|
|
|
8,515,531
|
|
|
U.S. Treasury Bill, 03/26/2020
|
|
|
5,778,000
|
|
|
|
5,765,408
|
|
|
U.S. Treasury Bill, 03/12/2020(b)
|
|
|
4,584,000
|
|
|
|
4,576,603
|
|
|
U.S. Treasury Bill, 03/05/2020
|
|
|
6,415,000
|
|
|
|
6,406,555
|
|
|
U.S. Treasury Bill, 05/07/2020(b)
|
|
|
3,330,000
|
|
|
|
3,316,697
|
|
|
U.S. Treasury Bill, 04/09/2020
|
|
|
3,673,000
|
|
|
|
3,662,697
|
|
|
U.S. Treasury Bill, 02/06/2020
|
|
|
5,086,000
|
|
|
|
5,085,382
|
|
|
(Cost $59,795,602)
|
|
|
|
|
|
|
59,809,293
|
|
|
|
|
|
|
|
|
|
|
|
|
Money Markets — 0.5%
|
|
|
|
|
|
|
|
|
|
Blackrock Federal FD 30 Instl, 1.49%(b)(c)
|
|
|
104,128
|
|
|
|
104,128
|
|
|
Goldman Sachs Financial Square Money Market Fund, Institutional Shares, 1.71%(c)
|
|
|
197,367
|
|
|
|
197,367
|
|
|
(Cost $301,495)
|
|
|
|
|
|
|
301,495
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments — 98.2%
|
|
|
|
|
|
|
|
|
|
(Cost $60,097,097)
|
|
|
|
|
|
|
60,110,788
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Assets in Excess of Liabilities — 1.8%
|
|
|
|
|
|
|
1,130,926
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets — 100.0%
|
|
|
|
|
|
$
|
61,241,714
|
|
|
(a)
|
The security was issued on a discount basis with no stated coupon rate.
|
|
(b)
|
All or a portion of the security has been pledged to the broker for swap positions.
|
|
(c)
|
Reflects the 7-day yield at January 31, 2020.
|
Dividend swaps outstanding at January 31, 2020:
|
|
|
|
|
|
|
|
|
|
Notional
|
|
|
Value/Unrealized
|
|
|
|
|
|
|
|
|
|
Expiration
|
|
Amount
|
|
|
Appreciation
|
|
|
Underlying Index
|
|
Counterparties*
|
|
Units
|
|
|
Date
|
|
Long (Short)**
|
|
|
(Depreciation)
|
|
|
S&P 500
|
|
Bank of America
|
|
|
10,000
|
|
|
12/31/2020
|
|
$
|
(579,780
|
)
|
|
$
|
25,220
|
|
|
S&P 500
|
|
BNP Paribas
|
|
|
129,600
|
|
|
12/31/2020
|
|
|
(7,246,666
|
)
|
|
|
594,134
|
|
|
S&P 500
|
|
JP Morgan
|
|
|
12,000
|
|
|
12/31/2020
|
|
|
(690,995
|
)
|
|
|
35,005
|
|
|
S&P 500
|
|
Morgan Stanley
|
|
|
50,000
|
|
|
12/31/2020
|
|
|
(2,774,202
|
)
|
|
|
250,798
|
|
|
S&P 500
|
|
Societe Generale
|
|
|
79,000
|
|
|
12/31/2020
|
|
|
(4,273,432
|
)
|
|
|
506,068
|
|
|
S&P 500
|
|
Bank of America
|
|
|
20,000
|
|
|
12/31/2021
|
|
|
(1,152,355
|
)
|
|
|
71,245
|
|
|
S&P 500
|
|
BNP Paribas
|
|
|
201,500
|
|
|
12/31/2021
|
|
|
(11,995,801
|
)
|
|
|
331,969
|
|
|
S&P 500
|
|
Morgan Stanley
|
|
|
73,700
|
|
|
12/31/2021
|
|
|
(4,410,092
|
)
|
|
|
98,874
|
|
|
S&P 500
|
|
Societe Generale
|
|
|
18,750
|
|
|
12/31/2021
|
|
|
(1,062,251
|
)
|
|
|
84,874
|
|
|
S&P 500
|
|
Bank of America
|
|
|
30,000
|
|
|
12/31/2022
|
|
|
(1,746,821
|
)
|
|
|
93,979
|
|
|
S&P 500
|
|
BNP Paribas
|
|
|
132,400
|
|
|
12/31/2022
|
|
|
(8,033,196
|
)
|
|
|
90,868
|
|
|
S&P 500
|
|
Morgan Stanley
|
|
|
85,000
|
|
|
12/31/2022
|
|
|
(5,250,381
|
)
|
|
|
(34,780
|
)
|
|
S&P 500
|
|
Societe Generale
|
|
|
12,000
|
|
|
12/31/2022
|
|
|
(697,761
|
)
|
|
|
38,559
|
|
|
S&P 500
|
|
Bank of America
|
|
|
55,000
|
|
|
12/31/2023
|
|
|
(3,163,250
|
)
|
|
|
233,000
|
|
|
S&P 500
|
|
BNP Paribas
|
|
|
91,000
|
|
|
12/31/2023
|
|
|
(5,504,428
|
)
|
|
|
114,822
|
|
|
Total Unrealized Appreciation/(Depreciation):
|
|
|
|
|
|
|
|
|
|
$
|
2,534,635
|
|
Cash received from the broker for swap positions in the amount of $40,000.
Cash and securities pledged to the broker for swap positions in the amount of $2,948,794.
|
*
|
At
contract maturity, the Fund pays to/receives from the counterparty the net difference between the expected dividend value and
the actual dividend value.
|
|
**
|
Represents
gross notional exposure on the fixed leg of the swap contract.
|
Schedule of Investments
Reality Shares DIVS ETF
January 31, 2020 (Unaudited) (continued)
For information on the Fund’s policies regarding the valuation
of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual or annual financial
statements.
Fair Valuation Measurement
Various inputs are used in determining
the value of the Fund’s investments. These inputs are summarized in three broad levels. Level 1 includes unadjusted quoted
prices in active markets for identical assets or liabilities. Level 2 includes observable inputs other than quoted prices included
in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices
by securities dealers or third-party valuation sources as approved by the Board of Trustees, or quoted prices for the identical
instrument in an inactive market, prices for similar securities, interest rates, credit risk, yield curves, default rates and similar
data. Level 3 includes unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available;
representing a fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability,
and would be based on the best information available. The inputs or methodology used for valuing securities are not necessarily
an indication of the risk associated with investing in those securities.
The following table summarizes valuation of the Fund's investments
under the fair value hierarchy levels as of January 31, 2020.
|
Valuation Inputs
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Treasury Bills
|
|
$
|
–
|
|
|
$
|
59,809,293
|
|
|
$
|
–
|
|
|
$
|
59,809,293
|
|
|
Money Markets
|
|
|
301,495
|
|
|
|
–
|
|
|
|
–
|
|
|
|
301,495
|
|
|
Other Financial Instruments***
|
|
|
–
|
|
|
|
2,569,415
|
|
|
|
–
|
|
|
|
2,569,415
|
|
|
Total Assets
|
|
$
|
301,495
|
|
|
$
|
62,378,708
|
|
|
$
|
–
|
|
|
$
|
62,680,203
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments***
|
|
$
|
–
|
|
|
$
|
(34,780
|
)
|
|
$
|
–
|
|
|
$
|
(34,780
|
)
|
|
Total Liabilities
|
|
$
|
–
|
|
|
$
|
(34,780
|
)
|
|
$
|
–
|
|
|
$
|
(34,780
|
)
|
|
***
|
Other financial instruments include dividend swaps. Dividend
swaps are presented at gross unrealized appreciation (depreciation).
|
|
Schedule
of Investments
|
|
Reality
Shares DIVCON Leaders Dividend ETF
|
|
January
31, 2020 (Unaudited)
|
|
|
|
Shares
|
|
|
Value
|
|
|
Common Stocks — 99.7%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense — 3.8%
|
|
|
|
|
|
|
|
|
|
HEICO Corp., Class A
|
|
|
6,111
|
|
|
$
|
587,572
|
|
|
L3Harris Technologies, Inc.
|
|
|
2,993
|
|
|
|
662,441
|
|
|
|
|
|
|
|
|
|
1,250,013
|
|
|
Air Freight & Logistics — 1.7%
|
|
|
|
|
|
|
|
|
|
Expeditors International of Washington, Inc.
|
|
|
7,834
|
|
|
|
572,195
|
|
|
|
|
|
|
|
|
|
|
|
|
Beverages — 1.8%
|
|
|
|
|
|
|
|
|
|
Brown-Forman Corp., Class B
|
|
|
8,991
|
|
|
|
608,151
|
|
|
|
|
|
|
|
|
|
|
|
|
Building Products — 3.3%
|
|
|
|
|
|
|
|
|
|
Lennox International, Inc.
|
|
|
2,192
|
|
|
|
510,692
|
|
|
Masco Corp.
|
|
|
12,382
|
|
|
|
588,393
|
|
|
|
|
|
|
|
|
|
1,099,085
|
|
|
Capital Markets — 13.2%
|
|
|
|
|
|
|
|
|
|
Cboe Global Markets, Inc.
|
|
|
4,723
|
|
|
|
581,968
|
|
|
FactSet Research Systems, Inc.
|
|
|
2,317
|
|
|
|
662,917
|
|
|
MarketAxess Holdings, Inc.
|
|
|
1,626
|
|
|
|
575,897
|
|
|
Moody's Corp.
|
|
|
2,533
|
|
|
|
650,449
|
|
|
MSCI, Inc.
|
|
|
2,238
|
|
|
|
639,620
|
|
|
S&P Global, Inc.
|
|
|
2,212
|
|
|
|
649,731
|
|
|
T Rowe Price Group, Inc.
|
|
|
4,615
|
|
|
|
616,241
|
|
|
|
|
|
|
|
|
|
4,376,823
|
|
|
Commercial Services & Supplies — 3.9%
|
|
|
|
|
|
|
|
|
|
Cintas Corp.
|
|
|
2,377
|
|
|
|
663,111
|
|
|
Rollins, Inc.
|
|
|
16,503
|
|
|
|
626,289
|
|
|
|
|
|
|
|
|
|
1,289,400
|
|
|
Consumer Finance — 1.9%
|
|
|
|
|
|
|
|
|
|
American Express Co.
|
|
|
4,795
|
|
|
|
622,727
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment Instruments & Components — 3.3%
|
|
|
|
|
|
|
|
|
|
Amphenol Corp., Class A
|
|
|
5,518
|
|
|
|
548,876
|
|
|
CDW Corp.
|
|
|
4,216
|
|
|
|
549,977
|
|
|
|
|
|
|
|
|
|
1,098,853
|
|
|
Entertainment — 1.9%
|
|
|
|
|
|
|
|
|
|
Activision Blizzard, Inc.
|
|
|
10,556
|
|
|
|
617,315
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing — 1.8%
|
|
|
|
|
|
|
|
|
|
Costco Wholesale Corp.
|
|
|
1,968
|
|
|
|
601,263
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products — 1.8%
|
|
|
|
|
|
|
|
|
|
Hershey Co. (The)
|
|
|
3,875
|
|
|
|
601,284
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies — 5.6%
|
|
|
|
|
|
|
|
|
|
Baxter International, Inc.
|
|
|
7,113
|
|
|
|
634,622
|
|
|
ResMed, Inc.
|
|
|
3,797
|
|
|
|
603,609
|
|
|
West Pharmaceutical Services, Inc.
|
|
|
4,056
|
|
|
|
632,533
|
|
|
|
|
|
|
|
|
|
1,870,764
|
|
|
Health Care Providers & Services — 3.4%
|
|
|
|
|
|
|
|
|
|
Humana, Inc.
|
|
|
1,718
|
|
|
|
577,661
|
|
|
UnitedHealth Group, Inc.
|
|
|
2,025
|
|
|
|
551,711
|
|
|
|
|
|
|
|
|
|
1,129,372
|
|
|
Hotels, Restaurants & Leisure — 1.7%
|
|
|
|
|
|
|
|
|
|
Domino’s Pizza, Inc.
|
|
|
1,987
|
|
|
|
559,837
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Durables — 1.9%
|
|
|
|
|
|
|
|
|
|
DR Horton, Inc.
|
|
|
10,753
|
|
|
|
636,578
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates — 1.8%
|
|
|
|
|
|
|
|
|
|
Honeywell International, Inc.
|
|
|
3,472
|
|
|
|
601,420
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Services — 7.7%
|
|
|
|
|
|
|
|
|
|
Amdocs Ltd.
|
|
|
8,381
|
|
|
|
603,013
|
|
|
Booz Allen Hamilton Holding Corp.
|
|
|
8,236
|
|
|
|
642,737
|
|
|
Mastercard, Inc., Class A
|
|
|
2,090
|
|
|
|
660,315
|
|
|
Visa, Inc., Class A
|
|
|
3,296
|
|
|
|
655,805
|
|
|
|
|
|
|
|
|
|
2,561,870
|
|
|
Life Sciences Tools & Services — 1.7%
|
|
|
|
|
|
|
|
|
|
Agilent Technologies, Inc.
|
|
|
6,875
|
|
|
|
567,600
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery — 8.6%
|
|
|
|
|
|
|
|
|
|
Cummins, Inc.
|
|
|
3,206
|
|
|
|
512,864
|
|
|
IDEX Corp.
|
|
|
3,503
|
|
|
|
573,966
|
|
|
Illinois Tool Works, Inc.
|
|
|
3,270
|
|
|
|
572,185
|
|
|
Nordson Corp.
|
|
|
3,371
|
|
|
|
569,227
|
|
|
Xylem, Inc.
|
|
|
7,679
|
|
|
|
627,067
|
|
|
|
|
|
|
|
|
|
2,855,309
|
|
|
Personal Products — 1.8%
|
|
|
|
|
|
|
|
|
|
Estee Lauder Cos., Inc. (The), Class A
|
|
|
3,000
|
|
|
|
585,480
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals — 7.4%
|
|
|
|
|
|
|
|
|
|
Eli Lilly & Co.
|
|
|
4,798
|
|
|
|
669,993
|
|
|
Johnson & Johnson
|
|
|
4,042
|
|
|
|
601,732
|
|
|
Merck & Co., Inc.
|
|
|
6,361
|
|
|
|
543,484
|
|
|
Zoetis, Inc.
|
|
|
4,914
|
|
|
|
659,508
|
|
|
|
|
|
|
|
|
|
2,474,717
|
|
|
Semiconductors & Semiconductor Equipment — 5.4%
|
|
|
|
|
|
|
|
|
|
KLA Corp.
|
|
|
3,483
|
|
|
|
577,272
|
|
|
Skyworks Solutions, Inc.
|
|
|
5,641
|
|
|
|
638,279
|
|
|
Texas Instruments, Inc.
|
|
|
4,870
|
|
|
|
587,566
|
|
|
|
|
|
|
|
|
|
1,803,117
|
|
|
Software — 3.9%
|
|
|
|
|
|
|
|
|
|
Intuit, Inc.
|
|
|
2,335
|
|
|
|
654,687
|
|
|
Microsoft Corp.
|
|
|
3,869
|
|
|
|
658,620
|
|
|
|
|
|
|
|
|
|
1,313,307
|
|
|
Specialty Retail — 5.3%
|
|
|
|
|
|
|
|
|
|
Home Depot, Inc. (The)
|
|
|
2,678
|
|
|
|
610,852
|
|
|
Ross Stores, Inc.
|
|
|
5,251
|
|
|
|
589,110
|
|
|
TJX Cos., Inc. (The)
|
|
|
9,482
|
|
|
|
559,817
|
|
|
|
|
|
|
|
|
|
1,759,779
|
|
|
Textiles, Apparel & Luxury Goods — 1.7%
|
|
|
|
|
|
|
|
|
|
NIKE, Inc., Class B
|
|
|
5,963
|
|
|
|
574,237
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading Companies & Distributors — 3.4%
|
|
|
|
|
|
|
|
|
|
Fastenal Co.
|
|
|
16,033
|
|
|
|
559,231
|
|
|
W.W. Grainger, Inc.
|
|
|
1,847
|
|
|
|
559,031
|
|
|
|
|
|
|
|
|
|
1,118,262
|
|
|
Total Common Stocks
|
|
|
|
|
|
|
|
|
|
(Cost $28,290,242)
|
|
|
|
|
|
|
33,148,758
|
|
|
|
|
|
|
|
|
|
|
|
|
Treasury Bill — 0.2%(a)
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Bill, 03/26/2020
|
|
|
|
|
|
|
|
|
|
(Cost $64,861)
|
|
|
65,000
|
|
|
|
64,859
|
|
|
|
|
|
|
|
|
|
|
|
|
Money Markets — 0.1%
|
|
|
|
|
|
|
|
|
|
Goldman Sachs Financial Square Money Market Fund, Institutional Shares, 1.71%(b)
|
|
|
|
|
|
|
|
|
|
(Cost $26,853)
|
|
|
26,853
|
|
|
|
26,853
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments — 100.0%
|
|
|
|
|
|
|
|
|
|
(Cost $28,381,956)
|
|
|
|
|
|
|
33,240,470
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Assets in Excess of Liabilities — 0.0%(c)
|
|
|
|
|
|
|
2,352
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets — 100.0%
|
|
|
|
|
|
$
|
33,242,822
|
|
|
(a)
|
The security was issued on a discount basis with no stated coupon rate.
|
|
(b)
|
Reflects the 7-day yield at January 31, 2020.
|
|
(c)
|
Rounds to less than 0.1%.
|
Schedule
of Investments
Reality
Shares DIVCON Leaders Dividend ETF
January
31, 2020 (Unaudited) (continued)
For information on the Fund’s policies regarding the valuation
of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual or annual financial
statements.
Fair Valuation Measurement
Various inputs are used in determining the value of the Fund’s
investments. These inputs are summarized in three broad levels. Level 1 includes unadjusted quoted prices in active markets for
identical assets or liabilities. Level 2 includes observable inputs other than quoted prices included in Level 1 that are observable
for the asset or liability, either directly or indirectly. These inputs may include quoted prices by securities dealers or third-party
valuation sources as approved by the Board of Trustees, or quoted prices for the identical instrument in an inactive market, prices
for similar securities, interest rates, credit risk, yield curves, default rates and similar data. Level 3 includes unobservable
inputs for the asset or liability, to the extent relevant observable inputs are not available; representing a fund’s own
assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best
information available. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated
with investing in those securities.
The following table summarizes valuation of the Fund's investments
under the fair value hierarchy levels as of January 31, 2020.
|
Valuation Inputs
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks*
|
|
$
|
33,148,758
|
|
|
$
|
–
|
|
|
$
|
–
|
|
|
$
|
33,148,758
|
|
|
Treasury Bill
|
|
|
–
|
|
|
|
64,859
|
|
|
|
–
|
|
|
|
64,859
|
|
|
Money Markets
|
|
|
26,853
|
|
|
|
–
|
|
|
|
–
|
|
|
|
26,853
|
|
|
Total Assets
|
|
$
|
33,175,611
|
|
|
$
|
64,859
|
|
|
$
|
–
|
|
|
$
|
33,240,470
|
|
* See the Schedule of Investments for breakout by security category.
Schedule of Investments
Reality Shares DIVCON Dividend
Defender ETF
January 31, 2020 (Unaudited)
|
|
|
Shares
|
|
|
Value
|
|
|
Common Stocks(a) — 75.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense — 2.9%
|
|
|
|
|
|
|
|
|
|
HEICO Corp., Class A
|
|
|
1,008
|
|
|
$
|
96,919
|
|
|
L3Harris Technologies, Inc.
|
|
|
493
|
|
|
|
109,116
|
|
|
|
|
|
|
|
|
|
206,035
|
|
|
Air Freight & Logistics — 1.3%
|
|
|
|
|
|
|
|
|
|
Expeditors International of Washington, Inc.
|
|
|
1,292
|
|
|
|
94,368
|
|
|
|
|
|
|
|
|
|
|
|
|
Beverages — 1.4%
|
|
|
|
|
|
|
|
|
|
Brown-Forman Corp., Class B
|
|
|
1,483
|
|
|
|
100,310
|
|
|
|
|
|
|
|
|
|
|
|
|
Building Products — 2.5%
|
|
|
|
|
|
|
|
|
|
Lennox International, Inc.
|
|
|
361
|
|
|
|
84,106
|
|
|
Masco Corp.
|
|
|
2,042
|
|
|
|
97,036
|
|
|
|
|
|
|
|
|
|
181,142
|
|
|
Capital Markets — 10.0%
|
|
|
|
|
|
|
|
|
|
Cboe Global Markets, Inc.
|
|
|
778
|
|
|
|
95,865
|
|
|
FactSet Research Systems, Inc.
|
|
|
381
|
|
|
|
109,008
|
|
|
MarketAxess Holdings, Inc.
|
|
|
267
|
|
|
|
94,566
|
|
|
Moody's Corp.
|
|
|
417
|
|
|
|
107,081
|
|
|
MSCI, Inc.
|
|
|
369
|
|
|
|
105,460
|
|
|
S&P Global, Inc.
|
|
|
364
|
|
|
|
106,918
|
|
|
T Rowe Price Group, Inc.
|
|
|
760
|
|
|
|
101,483
|
|
|
|
|
|
|
|
|
|
720,381
|
|
|
Commercial Services & Supplies — 2.9%
|
|
|
|
|
|
|
|
|
|
Cintas Corp.
|
|
|
391
|
|
|
|
109,077
|
|
|
Rollins, Inc.
|
|
|
2,722
|
|
|
|
103,300
|
|
|
|
|
|
|
|
|
|
212,377
|
|
|
Consumer Finance — 1.4%
|
|
|
|
|
|
|
|
|
|
American Express Co.
|
|
|
791
|
|
|
|
102,727
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment Instruments & Components — 2.5%
|
|
|
|
|
|
|
|
|
|
Amphenol Corp., Class A
|
|
|
910
|
|
|
|
90,517
|
|
|
CDW Corp.
|
|
|
695
|
|
|
|
90,663
|
|
|
|
|
|
|
|
|
|
181,180
|
|
|
Entertainment — 1.4%
|
|
|
|
|
|
|
|
|
|
Activision Blizzard, Inc.
|
|
|
1,741
|
|
|
|
101,814
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing — 1.4%
|
|
|
|
|
|
|
|
|
|
Costco Wholesale Corp.
|
|
|
324
|
|
|
|
98,988
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products — 1.4%
|
|
|
|
|
|
|
|
|
|
Hershey Co. (The)
|
|
|
639
|
|
|
|
99,154
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies — 4.3%
|
|
|
|
|
|
|
|
|
|
Baxter International, Inc.
|
|
|
1,173
|
|
|
|
104,655
|
|
|
ResMed, Inc.
|
|
|
625
|
|
|
|
99,356
|
|
|
West Pharmaceutical Services, Inc.
|
|
|
668
|
|
|
|
104,175
|
|
|
|
|
|
|
|
|
|
308,186
|
|
|
Health Care Providers & Services — 2.6%
|
|
|
|
|
|
|
|
|
|
Humana, Inc.
|
|
|
282
|
|
|
|
94,820
|
|
|
UnitedHealth Group, Inc.
|
|
|
333
|
|
|
|
90,726
|
|
|
|
|
|
|
|
|
|
185,546
|
|
|
Hotels, Restaurants & Leisure — 1.3%
|
|
|
|
|
|
|
|
|
|
Domino’s Pizza, Inc.
|
|
|
327
|
|
|
|
92,132
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Durables — 1.5%
|
|
|
|
|
|
|
|
|
|
DR Horton, Inc.
|
|
|
1,773
|
|
|
|
104,962
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates — 1.4%
|
|
|
|
|
|
|
|
|
|
Honeywell International, Inc.
|
|
|
572
|
|
|
|
99,082
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Services — 5.9%
|
|
|
|
|
|
|
|
|
|
Amdocs Ltd.
|
|
|
1,383
|
|
|
|
99,507
|
|
|
Booz Allen Hamilton Holding Corp.
|
|
|
1,358
|
|
|
|
105,978
|
|
|
Mastercard, Inc., Class A
|
|
|
344
|
|
|
|
108,683
|
|
|
Visa, Inc., Class A
|
|
|
543
|
|
|
|
108,041
|
|
|
|
|
|
|
|
|
|
422,209
|
|
|
Life Sciences Tools & Services — 1.3%
|
|
|
|
|
|
|
|
|
|
Agilent Technologies, Inc.
|
|
|
1,134
|
|
|
|
93,623
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery — 6.5%
|
|
|
|
|
|
|
|
|
|
Cummins, Inc.
|
|
|
528
|
|
|
|
84,464
|
|
|
IDEX Corp.
|
|
|
577
|
|
|
|
94,542
|
|
|
Illinois Tool Works, Inc.
|
|
|
539
|
|
|
|
94,314
|
|
|
Nordson Corp.
|
|
|
556
|
|
|
|
93,886
|
|
|
Xylem, Inc.
|
|
|
1,267
|
|
|
|
103,463
|
|
|
|
|
|
|
|
|
|
470,669
|
|
|
Personal Products — 1.3%
|
|
|
|
|
|
|
|
|
|
Estee Lauder Cos., Inc. (The), Class A
|
|
|
494
|
|
|
|
96,409
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals — 5.7%
|
|
|
|
|
|
|
|
|
|
Eli Lilly & Co.
|
|
|
791
|
|
|
|
110,455
|
|
|
Johnson & Johnson
|
|
|
666
|
|
|
|
99,147
|
|
|
Merck & Co., Inc.
|
|
|
1,049
|
|
|
|
89,627
|
|
|
Zoetis, Inc.
|
|
|
810
|
|
|
|
108,710
|
|
|
|
|
|
|
|
|
|
407,939
|
|
|
Semiconductors & Semiconductor Equipment — 4.1%
|
|
|
|
|
|
|
|
|
|
KLA Corp.
|
|
|
574
|
|
|
|
95,135
|
|
|
Skyworks Solutions, Inc.
|
|
|
930
|
|
|
|
105,229
|
|
|
Texas Instruments, Inc.
|
|
|
803
|
|
|
|
96,882
|
|
|
|
|
|
|
|
|
|
297,246
|
|
|
Software — 3.0%
|
|
|
|
|
|
|
|
|
|
Intuit, Inc.
|
|
|
384
|
|
|
|
107,666
|
|
|
Microsoft Corp.
|
|
|
638
|
|
|
|
108,607
|
|
|
|
|
|
|
|
|
|
216,273
|
|
|
Specialty Retail — 4.0%
|
|
|
|
|
|
|
|
|
|
Home Depot, Inc. (The)
|
|
|
441
|
|
|
|
100,592
|
|
|
Ross Stores, Inc.
|
|
|
866
|
|
|
|
97,156
|
|
|
TJX Cos., Inc. (The)
|
|
|
1,564
|
|
|
|
92,339
|
|
|
|
|
|
|
|
|
|
290,087
|
|
|
Textiles, Apparel & Luxury Goods — 1.3%
|
|
|
|
|
|
|
|
|
|
NIKE, Inc., Class B
|
|
|
983
|
|
|
|
94,663
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading Companies & Distributors — 2.5%
|
|
|
|
|
|
|
|
|
|
Fastenal Co.
|
|
|
2,645
|
|
|
|
92,258
|
|
|
W.W. Grainger, Inc.
|
|
|
303
|
|
|
|
91,709
|
|
|
|
|
|
|
|
|
|
183,967
|
|
Total Common Stocks
(Cost $4,787,364)
|
|
|
|
|
|
|
5,461,469
|
|
|
|
|
|
|
|
|
|
|
|
|
Treasury Bills — 22.8%(b)
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Bill, 02/06/2020
|
|
|
173,000
|
|
|
|
172,979
|
|
|
U.S. Treasury Bill, 03/26/2020
|
|
|
1,110,000
|
|
|
|
1,107,581
|
|
U.S. Treasury Bill, 04/09/2020
|
|
|
363,000
|
|
|
|
361,982
|
|
|
(Cost $1,642,462)
|
|
|
|
|
|
|
1,642,542
|
|
|
|
|
|
|
|
|
|
|
|
|
Money Markets — 0.3%
|
|
|
|
|
|
|
|
|
|
Blackrock Federal FD 30 Instl, 1.49%(c)
|
|
|
1,939
|
|
|
|
1,939
|
|
Goldman Sachs Financial Square Money Market Fund, Institutional Shares, 1.71%(c)
|
|
|
20,129
|
|
|
|
20,129
|
|
|
(Cost $22,068)
|
|
|
|
|
|
|
22,068
|
|
Total Investments Before Securities Sold Short
(Cost $6,451,894)
|
|
|
|
|
|
|
7,126,079
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities Sold Short
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks — (25.0)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense— (1.5)%
|
|
|
|
|
|
|
|
|
|
Arconic, Inc.
|
|
|
(3,557
|
)
|
|
|
(106,533
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Automobiles— (1.3)%
|
|
|
|
|
|
|
|
|
|
Ford Motor Co.
|
|
|
(10,515
|
)
|
|
|
(92,742
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication— (1.6)%
|
|
|
|
|
|
|
|
|
|
CenturyLink, Inc.
|
|
|
(8,244
|
)
|
|
|
(112,613
|
)
|
Schedule of Investments
Reality Shares DIVCON Dividend
Defender ETF
January
31, 2020 (Unaudited) (Continued)
|
|
|
|
Shares
|
|
|
Value
|
|
|
Electric Utilities— (1.6)%
|
|
|
|
|
|
|
|
|
|
Avangrid, Inc.
|
|
|
(2,122
|
)
|
|
$
|
(113,018
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services— (1.4)%
|
|
|
|
|
|
|
|
|
|
Halliburton Co.
|
|
|
(4,768
|
)
|
|
|
(103,990
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Food Products— (3.5)%
|
|
|
|
|
|
|
|
|
|
Conagra Brands, Inc.
|
|
|
(3,529
|
)
|
|
|
(116,175
|
)
|
|
Kraft Heinz Co. (The)
|
|
|
(4,648
|
)
|
|
|
(135,721
|
)
|
|
|
|
|
|
|
|
|
(251,896
|
)
|
|
Hotels, Restaurants & Leisure— (1.7)%
|
|
|
|
|
|
|
|
|
|
Wynn Resorts Ltd.
|
|
|
(997
|
)
|
|
|
(125,782
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Insurance— (3.1)%
|
|
|
|
|
|
|
|
|
|
Loews Corp.
|
|
|
(1,890
|
)
|
|
|
(97,240
|
)
|
|
Progressive Corp. (The)
|
|
|
(1,539
|
)
|
|
|
(124,182
|
)
|
|
|
|
|
|
|
|
|
(221,422
|
)
|
|
Metals & Mining— (2.5)%
|
|
|
|
|
|
|
|
|
|
Freeport-McMoRan, Inc.
|
|
|
(16,555
|
)
|
|
|
(183,760
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels— (3.3)%
|
|
|
|
|
|
|
|
|
|
Noble Energy, Inc.
|
|
|
(5,553
|
)
|
|
|
(109,783
|
)
|
|
Williams Cos., Inc. (The)
|
|
|
(6,162
|
)
|
|
|
(127,492
|
)
|
|
|
|
|
|
|
|
|
(237,275
|
)
|
|
Software— (1.6)%
|
|
|
|
|
|
|
|
|
|
NortonLifeLock, Inc.
|
|
|
(4,006
|
)
|
|
|
(113,851
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Technology Hardware, Storage & Peripherals— (1.9)%
|
|
|
|
|
|
|
|
|
|
Western Digital Corp.
|
|
|
(2,131
|
)
|
|
|
(139,580
|
)
|
|
|
|
|
|
|
|
|
|
|
Total Securities Sold Short
[Proceeds $(1,814,429)]
|
|
|
|
|
|
|
(1,802,462
|
)
|
|
|
|
|
|
|
|
|
|
|
Total Investments — 73.9%
(Cost $4,637,465)
|
|
|
|
|
|
|
5,323,617
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Assets in Excess of Liabilities — 26.1%
|
|
|
|
|
|
|
1,880,032
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets — 100.0%
|
|
|
|
|
|
$
|
7,203,649
|
|
|
(a)
|
Substantially all the securities, or a portion thereof, have been pledged as collateral for open short positions by the Fund. The aggregate market value of the collateral at January 31, 2020 was $6,742,429 which includes cash in the amount of $1,884,179.
|
|
(b)
|
The security was issued on a discount basis with no stated coupon rate.
|
|
(c)
|
Reflects the 7-day yield at January 31, 2020.
|
Schedule of Investments
Reality Shares DIVCON Dividend
Defender ETF
January
31, 2020 (Unaudited) (Continued)
For
information on the Fund’s policies regarding the valuation of investments and other significant accounting policies, please
refer to the Fund’s most recent semi-annual or annual financial statements.
Fair Valuation Measurement
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three broad levels. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices by securities dealers or third-party valuation sources as approved by the Board of Trustees, or quoted prices for the identical instrument in an inactive market, prices for similar securities, interest rates, credit risk, yield curves, default rates and similar data. Level 3 includes unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing a fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes valuation of the Fund's investments under the fair value hierarchy levels as of January 31, 2020.
|
Valuation Inputs
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks*
|
|
$
|
5,461,469
|
|
|
$
|
–
|
|
|
$
|
–
|
|
|
$
|
5,461,469
|
|
|
Treasury Bills
|
|
|
–
|
|
|
|
1,642,542
|
|
|
|
–
|
|
|
|
1,642,542
|
|
|
Money Markets
|
|
|
22,068
|
|
|
|
–
|
|
|
|
–
|
|
|
|
22,068
|
|
|
Total Assets
|
|
$
|
5,483,537
|
|
|
$
|
1,642,542
|
|
|
$
|
–
|
|
|
$
|
7,126,079
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks*
|
|
$
|
(1,802,462
|
)
|
|
$
|
–
|
|
|
$
|
–
|
|
|
$
|
(1,802,462
|
)
|
|
Total Liabilities
|
|
$
|
(1,802,462
|
)
|
|
$
|
–
|
|
|
$
|
–
|
|
|
$
|
(1,802,462
|
)
|
*
See the Schedule of Investments for breakout by security category.
Schedule of Investments
Reality Shares DIVCON Dividend Guard ETF
January 31, 2020 (Unaudited)
|
|
|
Shares
|
|
|
Value
|
|
|
Common Stocks — 99.7%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense — 3.8%
|
|
|
|
|
|
|
|
|
|
HEICO Corp., Class A
|
|
|
2,607
|
|
|
$
|
250,663
|
|
|
L3Harris Technologies, Inc.
|
|
|
1,277
|
|
|
|
282,638
|
|
|
|
|
|
|
|
|
|
533,301
|
|
|
Air Freight & Logistics — 1.7%
|
|
|
|
|
|
|
|
|
|
Expeditors International of Washington, Inc.
|
|
|
3,342
|
|
|
|
244,100
|
|
|
|
|
|
|
|
|
|
|
|
|
Beverages — 1.8%
|
|
|
|
|
|
|
|
|
|
Brown-Forman Corp., Class B
|
|
|
3,837
|
|
|
|
259,535
|
|
|
|
|
|
|
|
|
|
|
|
|
Building Products — 3.3%
|
|
|
|
|
|
|
|
|
|
Lennox International, Inc.
|
|
|
936
|
|
|
|
218,069
|
|
|
Masco Corp.
|
|
|
5,282
|
|
|
|
251,001
|
|
|
|
|
|
|
|
|
|
469,070
|
|
|
Capital Markets — 13.2%
|
|
|
|
|
|
|
|
|
|
Cboe Global Markets, Inc.
|
|
|
2,015
|
|
|
|
248,288
|
|
|
FactSet Research Systems, Inc.
|
|
|
989
|
|
|
|
282,963
|
|
|
MarketAxess Holdings, Inc.
|
|
|
694
|
|
|
|
245,801
|
|
|
Moody's Corp.
|
|
|
1,081
|
|
|
|
277,590
|
|
|
MSCI, Inc.
|
|
|
955
|
|
|
|
272,939
|
|
|
S&P Global, Inc.
|
|
|
944
|
|
|
|
277,281
|
|
|
T Rowe Price Group, Inc.
|
|
|
1,969
|
|
|
|
262,921
|
|
|
|
|
|
|
|
|
|
1,867,783
|
|
|
Commercial Services & Supplies — 3.9%
|
|
|
|
|
|
|
|
|
|
Cintas Corp.
|
|
|
1,015
|
|
|
|
283,154
|
|
|
Rollins, Inc.
|
|
|
7,041
|
|
|
|
267,206
|
|
|
|
|
|
|
|
|
|
550,360
|
|
|
Consumer Finance — 1.9%
|
|
|
|
|
|
|
|
|
|
American Express Co.
|
|
|
2,046
|
|
|
|
265,714
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment Instruments & Components — 3.3%
|
|
|
|
|
|
|
|
|
|
Amphenol Corp., Class A
|
|
|
2,354
|
|
|
|
234,152
|
|
|
CDW Corp.
|
|
|
1,799
|
|
|
|
234,680
|
|
|
|
|
|
|
|
|
|
468,832
|
|
|
Entertainment — 1.9%
|
|
|
|
|
|
|
|
|
|
Activision Blizzard, Inc.
|
|
|
4,504
|
|
|
|
263,394
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing — 1.8%
|
|
|
|
|
|
|
|
|
|
Costco Wholesale Corp.
|
|
|
840
|
|
|
|
256,637
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products — 1.8%
|
|
|
|
|
|
|
|
|
|
Hershey Co. (The)
|
|
|
1,653
|
|
|
|
256,496
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies — 5.6%
|
|
|
|
|
|
|
|
|
|
Baxter International, Inc.
|
|
|
3,035
|
|
|
|
270,783
|
|
|
ResMed, Inc.
|
|
|
1,620
|
|
|
|
257,531
|
|
|
West Pharmaceutical Services, Inc.
|
|
|
1,731
|
|
|
|
269,950
|
|
|
|
|
|
|
|
|
|
798,264
|
|
|
Health Care Providers & Services — 3.4%
|
|
|
|
|
|
|
|
|
|
Humana, Inc.
|
|
|
733
|
|
|
|
246,464
|
|
|
UnitedHealth Group, Inc.
|
|
|
864
|
|
|
|
235,397
|
|
|
|
|
|
|
|
|
|
481,861
|
|
|
Hotels, Restaurants & Leisure — 1.7%
|
|
|
|
|
|
|
|
|
|
Domino’s Pizza, Inc.
|
|
|
848
|
|
|
|
238,924
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Durables — 1.9%
|
|
|
|
|
|
|
|
|
|
DR Horton, Inc.
|
|
|
4,588
|
|
|
|
271,610
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates — 1.8%
|
|
|
|
|
|
|
|
|
|
Honeywell International, Inc.
|
|
|
1,481
|
|
|
|
256,539
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Services — 7.7%
|
|
|
|
|
|
|
|
|
|
Amdocs Ltd.
|
|
|
3,576
|
|
|
|
257,293
|
|
|
Booz Allen Hamilton Holding Corp.
|
|
|
3,514
|
|
|
|
274,233
|
|
|
Mastercard, Inc., Class A
|
|
|
892
|
|
|
|
281,818
|
|
|
Visa, Inc., Class A
|
|
|
1,406
|
|
|
|
279,752
|
|
|
|
|
|
|
|
|
|
1,093,096
|
|
|
Life Sciences Tools & Services — 1.7%
|
|
|
|
|
|
|
|
|
|
Agilent Technologies, Inc.
|
|
|
2,933
|
|
|
|
242,148
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery — 8.6%
|
|
|
|
|
|
|
|
|
|
Cummins, Inc.
|
|
|
1,368
|
|
|
|
218,839
|
|
|
IDEX Corp.
|
|
|
1,495
|
|
|
|
244,956
|
|
|
Illinois Tool Works, Inc.
|
|
|
1,396
|
|
|
|
244,272
|
|
|
Nordson Corp.
|
|
|
1,439
|
|
|
|
242,989
|
|
|
Xylem, Inc.
|
|
|
3,276
|
|
|
|
267,518
|
|
|
|
|
|
|
|
|
|
1,218,574
|
|
|
Personal Products — 1.8%
|
|
|
|
|
|
|
|
|
|
Estee Lauder Cos., Inc. (The), Class A
|
|
|
1,280
|
|
|
|
249,805
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals — 7.4%
|
|
|
|
|
|
|
|
|
|
Eli Lilly & Co.
|
|
|
2,047
|
|
|
|
285,843
|
|
|
Johnson & Johnson
|
|
|
1,725
|
|
|
|
256,801
|
|
|
Merck & Co., Inc.
|
|
|
2,714
|
|
|
|
231,884
|
|
|
Zoetis, Inc.
|
|
|
2,097
|
|
|
|
281,438
|
|
|
|
|
|
|
|
|
|
1,055,966
|
|
|
Semiconductors & Semiconductor Equipment — 5.4%
|
|
|
|
|
|
|
|
|
|
KLA Corp.
|
|
|
1,486
|
|
|
|
246,289
|
|
|
Skyworks Solutions, Inc.
|
|
|
2,407
|
|
|
|
272,352
|
|
|
Texas Instruments, Inc.
|
|
|
2,078
|
|
|
|
250,711
|
|
|
|
|
|
|
|
|
|
769,352
|
|
|
Software — 3.9%
|
|
|
|
|
|
|
|
|
|
Intuit, Inc.
|
|
|
997
|
|
|
|
279,539
|
|
|
Microsoft Corp.
|
|
|
1,651
|
|
|
|
281,050
|
|
|
|
|
|
|
|
|
|
560,589
|
|
|
Specialty Retail — 5.3%
|
|
|
|
|
|
|
|
|
|
Home Depot, Inc. (The)
|
|
|
1,143
|
|
|
|
260,718
|
|
|
Ross Stores, Inc.
|
|
|
2,240
|
|
|
|
251,306
|
|
|
TJX Cos., Inc. (The)
|
|
|
4,046
|
|
|
|
238,876
|
|
|
|
|
|
|
|
|
|
750,900
|
|
|
Textiles, Apparel & Luxury Goods — 1.7%
|
|
|
|
|
|
|
|
|
|
NIKE, Inc., Class B
|
|
|
2,545
|
|
|
|
245,083
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading Companies & Distributors — 3.4%
|
|
|
|
|
|
|
|
|
|
Fastenal Co.
|
|
|
6,841
|
|
|
|
238,614
|
|
|
W.W. Grainger, Inc.
|
|
|
788
|
|
|
|
238,504
|
|
|
|
|
|
|
|
|
|
477,118
|
|
Total Common Stocks
(Cost $12,719,433)
|
|
|
|
|
|
|
14,145,051
|
|
|
|
|
|
|
|
|
|
|
|
|
Treasury Bill — 0.2%(a)
|
|
|
|
|
|
|
|
|
U.S. Treasury Bill, 03/26/2020
(Cost $29,935)
|
|
|
30,000
|
|
|
|
29,934
|
|
|
|
|
|
|
|
|
|
|
|
|
Money Markets — 0.1%
|
|
|
|
|
|
|
|
|
Goldman Sachs Financial Square Money Market Fund, Institutional Shares, 1.71%(b)
(Cost $13,800)
|
|
|
13,800
|
|
|
|
13,800
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments — 100.0%
(Cost $12,763,168)
|
|
|
|
|
|
|
14,188,785
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities in Excess of Other Assets — (0.0)%(c)
|
|
|
|
|
|
|
(4,106
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets — 100.0%
|
|
|
|
|
|
$
|
14,184,679
|
|
|
(a)
|
The security was issued on a discount basis with no stated coupon rate.
|
|
(b)
|
Reflects the 7-day yield at January 31, 2020.
|
|
(c)
|
Rounds to less than 0.1%.
|
Schedule of Investments
Reality Shares DIVCON Dividend Guard ETF
January 31, 2020 (Unaudited) (Continued)
For
information on the Fund’s policies regarding the valuation of investments and other significant accounting policies, please
refer to the Fund’s most recent semi-annual or annual financial statements.
Fair Valuation Measurement
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three broad levels. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices by securities dealers or third-party valuation sources as approved by the Board of Trustees, or quoted prices for the identical instrument in an inactive market, prices for similar securities, interest rates, credit risk, yield curves, default rates and similar data. Level 3 includes unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing a fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes valuation of the Fund's investments under the fair value hierarchy levels as of January 31, 2020.
|
Valuation Inputs
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks*
|
|
$
|
14,145,051
|
|
|
$
|
–
|
|
|
$
|
–
|
|
|
$
|
14,145,051
|
|
|
Treasury Bill
|
|
|
–
|
|
|
|
29,934
|
|
|
|
–
|
|
|
|
29,934
|
|
|
Money Markets
|
|
|
13,800
|
|
|
|
–
|
|
|
|
–
|
|
|
|
13,800
|
|
|
Total Assets
|
|
$
|
14,158,851
|
|
|
$
|
29,934
|
|
|
$
|
–
|
|
|
$
|
14,188,785
|
|
* See the Schedule of Investments for breakout by security category.
Schedule
of Investments
Reality
Shares NASDAQ NexGen Economy ETF
January
31, 2020 (Unaudited)
|
|
|
Shares
|
|
|
Value
|
|
|
Common Stocks — 98.6%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Automobiles — 1.3%
|
|
|
|
|
|
|
|
|
|
Daimler AG
|
|
|
17,470
|
|
|
$
|
809,356
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks — 10.2%
|
|
|
|
|
|
|
|
|
|
Banco Santander SA
|
|
|
177,633
|
|
|
|
696,321
|
|
|
Bank of America Corp.
|
|
|
24,174
|
|
|
|
793,632
|
|
|
Barclays PLC
|
|
|
116,536
|
|
|
|
1,025,517
|
|
|
BOC Hong Kong Holdings Ltd.
|
|
|
204,695
|
|
|
|
684,083
|
|
|
Citigroup, Inc.
|
|
|
11,258
|
|
|
|
837,708
|
|
|
ING Groep NV
|
|
|
67,141
|
|
|
|
729,823
|
|
|
JPMorgan Chase & Co.
|
|
|
8,317
|
|
|
|
1,100,838
|
|
|
Mizuho Financial Group, Inc.
|
|
|
461,923
|
|
|
|
692,554
|
|
|
|
|
|
|
|
|
|
6,560,476
|
|
|
Capital Markets — 10.9%
|
|
|
|
|
|
|
|
|
|
ASX Ltd.
|
|
|
14,083
|
|
|
|
807,685
|
|
|
CME Group, Inc.
|
|
|
3,694
|
|
|
|
802,004
|
|
|
Deutsche Boerse AG
|
|
|
5,172
|
|
|
|
842,833
|
|
|
Goldman Sachs Group, Inc. (The)
|
|
|
3,838
|
|
|
|
912,485
|
|
|
Intercontinental Exchange, Inc.
|
|
|
7,209
|
|
|
|
719,026
|
|
|
Nasdaq, Inc.
|
|
|
9,427
|
|
|
|
1,097,868
|
|
|
SBI Holdings, Inc.
|
|
|
44,836
|
|
|
|
1,066,450
|
|
|
TMX Group Ltd.
|
|
|
8,233
|
|
|
|
762,263
|
|
|
|
|
|
|
|
|
|
7,010,614
|
|
|
Communications Equipment — 1.5%
|
|
|
|
|
|
|
|
|
|
Cisco Systems, Inc.
|
|
|
20,470
|
|
|
|
941,006
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance — 1.4%
|
|
|
|
|
|
|
|
|
|
American Express Co.
|
|
|
7,128
|
|
|
|
925,713
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services — 1.3%
|
|
|
|
|
|
|
|
|
|
Plus500 Ltd.
|
|
|
68,802
|
|
|
|
808,272
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication — 1.3%
|
|
|
|
|
|
|
|
|
|
Swisscom AG
|
|
|
1,493
|
|
|
|
819,838
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment, Instruments & Components — 1.5%
|
|
|
|
|
|
|
|
|
|
Hitachi Ltd.
|
|
|
23,920
|
|
|
|
933,539
|
|
|
|
|
|
|
|
|
|
|
|
|
Entertainment — 1.3%
|
|
|
|
|
|
|
|
|
|
NetEase, Inc.
|
|
|
2,709
|
|
|
|
868,939
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing — 1.1%
|
|
|
|
|
|
|
|
|
|
Walmart, Inc.
|
|
|
6,125
|
|
|
|
701,251
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates — 2.5%
|
|
|
|
|
|
|
|
|
|
Fosun International Ltd.
|
|
|
545,722
|
|
|
|
732,324
|
|
|
Siemens AG
|
|
|
7,235
|
|
|
|
895,110
|
|
|
|
|
|
|
|
|
|
1,627,434
|
|
|
Insurance — 3.4%
|
|
|
|
|
|
|
|
|
|
Ping An Insurance Group Co. of China Ltd., Class H
|
|
|
78,550
|
|
|
|
897,292
|
|
|
ZhongAn Online P&C Insurance Co. Ltd., Class H*,(a)
|
|
|
383,274
|
|
|
|
1,253,739
|
|
|
|
|
|
|
|
|
|
2,151,031
|
|
|
Interactive Media & Services — 8.6%
|
|
|
|
|
|
|
|
|
|
Alphabet, Inc., Class A*
|
|
|
700
|
|
|
|
1,002,946
|
|
|
Baidu, Inc.*
|
|
|
9,732
|
|
|
|
1,202,486
|
|
|
Facebook, Inc., Class A*
|
|
|
4,956
|
|
|
|
1,000,666
|
|
|
LINE Corp.*
|
|
|
26,368
|
|
|
|
1,300,733
|
|
|
Tencent Holdings Ltd.
|
|
|
20,816
|
|
|
|
999,932
|
|
|
|
|
|
|
|
|
|
5,506,763
|
|
|
Internet & Direct Marketing Retail — 6.9%
|
|
|
|
|
|
|
|
|
|
Alibaba Group Holding Ltd.*
|
|
|
5,345
|
|
|
|
1,104,223
|
|
|
Amazon.com, Inc.*
|
|
|
492
|
|
|
|
988,290
|
|
|
JD.com, Inc.*
|
|
|
32,353
|
|
|
|
1,219,385
|
|
|
Overstock.com, Inc.*
|
|
|
64,547
|
|
|
|
524,122
|
|
|
Rakuten, Inc.
|
|
|
77,010
|
|
|
|
608,207
|
|
|
|
|
|
|
|
|
|
4,444,227
|
|
|
IT Services — 20.9%
|
|
|
|
|
|
|
|
|
|
Accenture PLC, Class A
|
|
|
5,533
|
|
|
|
1,135,427
|
|
|
Atos SE
|
|
|
9,776
|
|
|
|
814,049
|
|
|
Broadridge Financial Solutions, Inc.
|
|
|
6,471
|
|
|
|
771,020
|
|
|
Digital Garage, Inc.
|
|
|
31,880
|
|
|
|
1,195,665
|
|
|
Fujitsu Ltd.
|
|
|
12,467
|
|
|
|
1,336,017
|
|
|
GMO internet, Inc.
|
|
|
61,417
|
|
|
|
1,202,444
|
|
|
Infosys Ltd.
|
|
|
66,429
|
|
|
|
728,062
|
|
|
International Business Machines Corp.
|
|
|
7,883
|
|
|
|
1,133,024
|
|
|
Mastercard, Inc., Class A
|
|
|
3,309
|
|
|
|
1,045,445
|
|
|
NTT Data Corp.
|
|
|
62,511
|
|
|
|
896,845
|
|
|
PayPal Holdings, Inc.*
|
|
|
8,264
|
|
|
|
941,187
|
|
|
Square, Inc., Class A*
|
|
|
17,195
|
|
|
|
1,284,295
|
|
|
Visa, Inc., Class A
|
|
|
4,412
|
|
|
|
877,856
|
|
|
|
|
|
|
|
|
|
13,361,336
|
|
|
Professional Services — 1.5%
|
|
|
|
|
|
|
|
|
|
Thomson Reuters Corp.
|
|
|
11,885
|
|
|
|
954,841
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment — 11.4%
|
|
|
|
|
|
|
|
|
|
Advanced Micro Devices, Inc.*
|
|
|
31,156
|
|
|
|
1,464,332
|
|
|
Intel Corp.
|
|
|
20,022
|
|
|
|
1,280,007
|
|
|
Micron Technology, Inc.*
|
|
|
15,350
|
|
|
|
814,932
|
|
|
NVIDIA Corp.
|
|
|
5,432
|
|
|
|
1,284,288
|
|
|
Taiwan Semiconductor Manufacturing Co. Ltd.
|
|
|
19,562
|
|
|
|
1,055,174
|
|
|
Texas Instruments, Inc.
|
|
|
5,956
|
|
|
|
718,591
|
|
|
Xilinx, Inc.
|
|
|
8,394
|
|
|
|
709,125
|
|
|
|
|
|
|
|
|
|
7,326,449
|
|
|
Software — 6.8%
|
|
|
|
|
|
|
|
|
|
DocuSign, Inc.*
|
|
|
12,050
|
|
|
|
946,046
|
|
|
Microsoft Corp.
|
|
|
7,562
|
|
|
|
1,287,279
|
|
|
Oracle Corp.
|
|
|
18,244
|
|
|
|
956,898
|
|
|
SAP SE
|
|
|
9,148
|
|
|
|
1,196,284
|
|
|
|
|
|
|
|
|
|
4,386,507
|
|
|
Technology Hardware, Storage & Peripherals — 4.8%
|
|
|
|
|
|
|
|
|
|
Hewlett Packard Enterprise Co.
|
|
|
59,607
|
|
|
|
830,326
|
|
|
Samsung Electronics Co. Ltd.
|
|
|
929
|
|
|
|
1,088,788
|
|
|
Xiaomi Corp., Class B*,(a)
|
|
|
760,432
|
|
|
|
1,128,176
|
|
|
|
|
|
|
|
|
|
3,047,290
|
|
|
Total Common Stocks
|
|
|
|
|
|
|
|
|
|
(Cost $64,994,257)
|
|
|
|
|
|
|
63,184,882
|
|
|
|
|
|
|
|
|
|
|
|
|
Treasury Bill — 1.1%(b)
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Bill, 03/26/2020
|
|
|
|
|
|
|
|
|
|
(Cost $698,496)
|
|
|
700,000
|
|
|
|
698,474
|
|
|
|
|
|
|
|
|
|
|
|
|
Money Markets — 0.1%
|
|
|
|
|
|
|
|
|
|
Goldman Sachs Financial Square Money Market Fund, Institutional Shares, 1.71%(c)
|
|
|
|
|
|
|
|
|
|
(Cost $53,607)
|
|
|
53,607
|
|
|
|
53,607
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments — 99.8%
|
|
|
|
|
|
|
|
|
|
(Cost $65,746,360)
|
|
|
|
|
|
|
63,936,963
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Assets in Excess of Liabilities — 0.2%
|
|
|
|
|
|
|
103,325
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets — 100.0%
|
|
|
|
|
|
$
|
64,040,288
|
|
|
*
|
Non-income producing securities.
|
|
(a)
|
Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. At January 31, 2020, the net value of these securities amounted to $2,381,915, which represents 3.7% of net assets.
|
|
(b)
|
The security was issued on a discount basis with no stated coupon rate.
|
|
(c)
|
Reflects the 7-day yield at January 31, 2020.
|
Schedule
of Investments
Reality
Shares NASDAQ NexGen Economy ETF
January
31, 2020 (Unaudited) (Continued)
For information on the Fund’s policies regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual or annual financial statements.
Fair Valuation Measurement
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three broad levels. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices by securities dealers or third-party valuation sources as approved by the Board of Trustees, or quoted prices for the identical instrument in an inactive market, prices for similar securities, interest rates, credit risk, yield curves, default rates and similar data. Level 3 includes unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing a fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes valuation of the Fund's investments under the fair value hierarchy levels as of January 31, 2020.
|
Valuation Inputs
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks*
|
|
$
|
63,184,882
|
|
|
$
|
–
|
|
|
$
|
–
|
|
|
$
|
63,184,882
|
|
|
Treasury Bill
|
|
|
–
|
|
|
|
698,474
|
|
|
|
–
|
|
|
|
698,474
|
|
|
Money Markets
|
|
|
53,607
|
|
|
|
–
|
|
|
|
–
|
|
|
|
53,607
|
|
|
Total Assets
|
|
$
|
63,238,489
|
|
|
$
|
698,474
|
|
|
$
|
–
|
|
|
$
|
63,936,963
|
|
*
See the Schedule of Investments for breakout by security category.
Item 2. Controls and Procedures.
|
|
(a)
|
The registrant’s principal executive and principal financial officer, 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)).
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|
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(b)
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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.
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Item 3. Exhibits.
Certifications pursuant to Rule 30a-2(a)
under the 1940 Act and Section 302 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
(principal executive officer)
Date: March 23, 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
(principal executive officer)
Date: March 23, 2020
By (Signature and Title)* /s/ Kasey Price
Kasey Price, Treasurer
(principal financial officer)
Date: March 23, 2020
* Print the name and title of each signing officer
under his or her signature.
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