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: 811-22668
ETF Series Solutions
(Exact name of registrant as specified in charter)
615 East Michigan Street
Milwaukee, WI 53202
(Address of principal executive offices) (Zip code)
Kristina R. Nelson
ETF Series Solutions
615 East Michigan Street
Milwaukee, WI 53202
(Name and address of agent for service)
(414) 765-6076
Registrant’s telephone number, including area code
Date of fiscal year end: October 31
Date of reporting period: January 31, 2020
Item 1. Schedule of Investments.
Gadsden Dynamic Multi-Asset ETF
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Schedule of Investments
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January 31, 2020 (Unaudited)
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Shares
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Security Description
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Value
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EXCHANGE TRADED FUNDS - 93.6%
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Emerging Market Equity - 12.0%
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36,037
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iShares Core MSCI Emerging Markets ETF
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$
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1,823,112
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21,801
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iShares MSCI Emerging Markets Small-Cap ETF
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938,315
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33,678
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iShares MSCI India Small-Cap ETF
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1,267,977
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70,562
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Schwab Emerging Markets Equity ETF
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1,819,088
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5,848,492
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Emerging Market Government Debt - 6.0%
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99,046
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Invesco Emerging Markets Sovereign Debt ETF
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2,956,523
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Global Equity - 2.7%
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49,457
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iShares MSCI Global Metals & Mining Producers ETF
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1,332,371
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High Yield Emerging Market Debt - 8.5%
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122,678
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VanEck Vectors Emerging Markets High Yield Bond ETF
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2,952,860
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35,928
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VanEck Vectors J.P. Morgan EM Local Currency Bond ETF
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1,206,462
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4,159,322
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International Developed Equity - 10.7%
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17,801
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Alpha Architect International Quantitative Momentum ETF
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472,261
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83,499
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Vanguard FTSE Europe ETF
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4,741,908
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5,214,169
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U.S. Corporate Debt - 5.2%
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24,157
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Vanguard Long-Term Corporate Bond ETF
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2,542,524
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U.S. Equity - 32.3%
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14,602
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Alpha Architect US Quantitative Momentum ETF
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501,608
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16,057
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Alpha Architect US Quantitative Value ETF
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457,464
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19,477
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Alpha Architect Value Momentum Trend ETF
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475,560
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26,647
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SPDR S&P Global Natural Resources ETF
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1,129,833
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71,465
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VanEck Vectors Junior Gold Miners ETF
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2,968,656
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21,134
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Vanguard Energy ETF
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1,518,901
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10,490
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Vanguard Growth ETF
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1,970,756
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16,367
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Vanguard S&P 500 ETF
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4,839,558
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11,777
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Vanguard Small-Cap ETF
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1,911,407
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15,773,743
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U.S. Government Debt - 16.2%
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17,899
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PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund
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2,652,632
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36,820
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Vanguard Extended Duration Treasury ETF
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5,279,620
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7,932,252
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TOTAL EXCHANGE TRADED FUNDS (Cost $45,387,429)
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45,759,396
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Principal
Amount
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U.S. GOVERNMENT BONDS - 5.3%
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United States Treasury Inflation Indexed Bonds
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2,165,936
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02/15/2049, 1.000%
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2,605,226
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TOTAL U.S. GOVERNMENT BONDS (Cost $2,434,576)
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2,605,226
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Shares
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SHORT-TERM INVESTMENTS - 1.1%
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535,562
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First American Treasury Obligations Fund, Class X, 1.50% (a)
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535,562
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TOTAL SHORT-TERM INVESTMENTS (Cost $535,562)
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535,562
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TOTAL INVESTMENTS - 100.0% (Cost $48,357,567)
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48,900,184
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Liabilities in Excess of Other Assets - (0.0)% (b)
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(7,553)
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NET ASSETS - 100.0%
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$
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48,892,631
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Percentages are stated as a percent of net assets.
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The Fund’s security classifications are defined by the Fund Adviser.
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(a)
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Annualized seven-day yield as of January 31, 2020.
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(b)
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Represents less than 0.05% of net assets.
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Summary of Fair Value Disclosure at January 31, 2020 (Unaudited)
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The Fund utilizes various methods to measure the fair value of its investments on a recurring basis. Accounting principles generally accepted in the United States of America (“U.S. GAAP”) establishes a hierarchy that prioritizes inputs to valuation
methods. The three levels of inputs are:
Level 1 - Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.
Level 2 - Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices
for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 - Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and
would be based on the best information available.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity
of markets, and other characteristics particular to the security.
To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is
greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is
determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The following is a summary of the inputs used to value the Fund’s investments as of January 31, 2020:
Assets^
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Level 1
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Level 2
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Level 3
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Total
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Exchange Traded Funds
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$
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45,759,396
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$
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-
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$
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-
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$
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45,759,396
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U.S. Government Bonds
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–
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2,605,226
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-
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2,605,226
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Short-Term Investments
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535,562
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-
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-
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535,562
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Total Investments in Securities
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$
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46,294,958
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$
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2,605,226
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$
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-
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$
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48,900,184
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^See Schedule of Investments for further disaggregation of investment categories.
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For the period ended January 31, 2020, the Fund did not recognize any transfers to or from Level 3.
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Item 2. Controls and Procedures.
(a)
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The Registrant’s President (principal executive officer) and Treasurer (principal financial officer) have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company
Act of 1940 (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 the evaluation of these
controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d‑15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).
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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 have
materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
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Item 3. Exhibits.
Separate certifications for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)). Filed herewith.
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) ETF Series Solutions
By (Signature and Title) * /s/ Kristina R. Nelson
Kristina R. Nelson, President (principal executive officer)
Date 3/30/2020
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/ Kristina R. Nelson
Kristina R. Nelson, President (principal executive officer)
Date 3/30/2020
By (Signature and Title) * /s/ Kristen M. Weitzel
Kristen M. Weitzel, Treasurer (principal financial officer)
Date 3/30/2020
* Print the name and title of each signing officer under his or her signature.