|
|
|
|
|
BARRON’S 400 ETF
|
|
STATEMENT OF INVESTMENTS
|
|
|
|
August 31, 2013 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Security Description
|
|
Shares
|
|
|
Value
|
|
|
COMMON STOCKS (99.50%)
|
|
|
|
|
|
|
|
|
|
Basic Materials (3.02%)
|
|
|
|
|
|
|
|
|
|
Axiall Corp.
|
|
|
3,068
|
|
|
$
|
122,812
|
|
|
Carpenter Technology Corp.
|
|
|
3,717
|
|
|
|
199,863
|
|
|
CF Industries Holdings, Inc.
|
|
|
885
|
|
|
|
168,451
|
|
|
FMC Corp.
|
|
|
2,832
|
|
|
|
188,639
|
|
|
Freeport-McMoRan Copper & Gold, Inc.
|
|
|
7,729
|
|
|
|
233,570
|
|
|
Kronos Worldwide, Inc.
|
|
|
9,912
|
|
|
|
146,797
|
|
|
Monsanto Co.
|
|
|
1,711
|
|
|
|
167,490
|
|
|
NewMarket Corp.
|
|
|
649
|
|
|
|
177,943
|
|
|
Olin Corp.
|
|
|
7,316
|
|
|
|
169,000
|
|
|
PPG Industries, Inc.
|
|
|
1,298
|
|
|
|
202,760
|
|
|
Sherwin-Williams Co.
|
|
|
1,062
|
|
|
|
183,089
|
|
|
Sigma-Aldrich Corp.
|
|
|
2,242
|
|
|
|
184,897
|
|
|
US Silica Holdings, Inc.
|
|
|
6,785
|
|
|
|
159,448
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Basic Materials
|
|
|
|
|
|
|
2,304,759
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Communications (7.83%)
|
|
|
|
|
|
|
|
|
|
8x8, Inc.
(a)
|
|
|
25,370
|
|
|
|
234,673
|
|
|
AOL, Inc.
|
|
|
4,661
|
|
|
|
153,487
|
|
|
Belo Corp., Class A
|
|
|
18,305
|
|
|
|
258,833
|
|
|
CalAmp Corp.
(a)
|
|
|
_15,812
|
|
|
|
259,159
|
|
|
Cisco Systems, Inc.
|
|
|
7,965
|
|
|
|
185,664
|
|
|
Dice Holdings, Inc.
(a)
|
|
|
18,408
|
|
|
|
153,339
|
|
|
F5 Networks, Inc.
(a)
|
|
|
1,829
|
|
|
|
152,502
|
|
|
FactSet Research Systems, Inc.
|
|
|
1,770
|
|
|
|
181,160
|
|
|
Google, Inc., Class A
(a)
|
|
|
236
|
|
|
|
199,868
|
|
|
InterDigital, Inc.
|
|
|
3,658
|
|
|
|
130,005
|
|
|
IPG Photonics Corp.
|
|
|
2,833
|
|
|
|
152,302
|
|
|
LIN Media LLC, Class A
(a)
|
|
|
15,930
|
|
|
|
267,624
|
|
|
Motorola Solutions, Inc.
|
|
|
2,773
|
|
|
|
155,316
|
|
|
NeuStar, Inc., Class A
(a)
|
|
|
3,894
|
|
|
|
196,803
|
|
|
NIC, Inc.
|
|
|
9,676
|
|
|
|
215,388
|
|
|
Omnicom Group, Inc.
|
|
|
3,009
|
|
|
|
182,496
|
|
|
OpenTable, Inc.
(a)
|
|
|
2,832
|
|
|
|
211,097
|
|
|
Plantronics, Inc.
|
|
|
4,130
|
|
|
|
178,416
|
|
|
priceline.com, Inc.
(a)
|
|
|
236
|
|
|
|
221,493
|
|
|
Scripps Networks Interactive, Inc., Class A
|
|
|
2,714
|
|
|
|
199,560
|
|
|
Shutterfly, Inc.
(a)
|
|
|
3,835
|
|
|
|
199,267
|
|
|
Sinclair Broadcast Group, Inc., Class A
|
|
|
9,735
|
|
|
|
232,861
|
|
|
Sirius XM Radio, Inc.
|
|
|
54,267
|
|
|
|
194,276
|
|
|
Stamps.com, Inc.
(a)
|
|
|
6,785
|
|
|
|
284,155
|
|
|
Starz, Class A
(a)
|
|
|
8,673
|
|
|
|
216,478
|
|
|
Symantec Corp.
|
|
|
7,080
|
|
|
|
181,319
|
|
|
T-Mobile US, Inc.
|
|
|
8,201
|
|
|
|
191,493
|
|
|
TripAdvisor, Inc.
(a)
|
|
|
3,422
|
|
|
|
253,125
|
|
|
ValueClick, Inc.
(a)
|
|
|
6,372
|
|
|
|
134,832
|
|
|
Walt Disney Co.
|
|
|
3,068
|
|
|
|
186,626
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Communications
|
|
|
|
|
|
|
5,963,617
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer, Cyclical (24.05%)
|
|
|
|
|
|
|
|
|
|
Advance Auto Parts, Inc.
|
|
|
2,301
|
|
|
|
184,241
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security Description
|
|
Shares
|
|
|
|
|
Value
|
|
|
Consumer, Cyclical (continued)
|
|
|
|
|
|
|
|
|
|
|
|
Alaska Air Group, Inc.
|
|
|
3,127
|
|
|
|
|
$
|
177,051
|
|
|
American Eagle Outfitters, Inc.
|
|
|
8,511
|
|
|
|
|
|
123,154
|
|
|
ANN, Inc.
(a)
|
|
|
6,018
|
|
|
|
|
|
208,825
|
|
|
Arctic Cat, Inc.
|
|
|
4,189
|
|
|
|
|
|
224,865
|
|
|
Bally Technologies, Inc.
(a)
|
|
|
3,481
|
|
|
|
|
|
251,085
|
|
|
Bed Bath & Beyond, Inc.
(a)
|
|
|
2,950
|
|
|
|
|
|
217,533
|
|
|
BorgWarner, Inc.
|
|
|
2,242
|
|
|
|
|
|
216,532
|
|
|
Buckle, Inc.
|
|
|
3,894
|
|
|
|
|
|
201,631
|
|
|
Carter’s, Inc.
|
|
|
3,068
|
|
|
|
|
|
225,928
|
|
|
Cheesecake Factory, Inc.
|
|
|
4,897
|
|
|
|
|
|
204,548
|
|
|
Chico’s FAS, Inc.
|
|
|
10,089
|
|
|
|
|
|
157,388
|
|
|
Chipotle Mexican Grill, Inc.
(a)
|
|
|
531
|
|
|
|
|
|
216,738
|
|
|
Coach, Inc.
|
|
|
3,599
|
|
|
|
|
|
190,063
|
|
|
Cooper Tire & Rubber Co.
|
|
|
6,903
|
|
|
|
|
|
220,413
|
|
|
Copart, Inc.
(a)
|
|
|
5,428
|
|
|
|
|
|
172,448
|
|
|
Crocs, Inc.
(a)
|
|
|
11,033
|
|
|
|
|
|
148,504
|
|
|
CVS Caremark Corp.
|
|
|
3,363
|
|
|
|
|
|
195,222
|
|
|
Deckers Outdoor Corp.
(a)
|
|
|
3,540
|
|
|
|
|
|
207,904
|
|
|
Dick’s Sporting Goods, Inc.
|
|
|
3,481
|
|
|
|
|
|
161,553
|
|
|
Dollar General Corp.
(a)
|
|
|
3,658
|
|
|
|
|
|
197,422
|
|
|
Dollar Tree, Inc.
(a)
|
|
|
3,835
|
|
|
|
|
|
202,105
|
|
|
DR Horton, Inc.
|
|
|
7,316
|
|
|
|
|
|
130,591
|
|
|
DSW, Inc., Class A
|
|
|
2,537
|
|
|
|
|
|
218,410
|
|
|
Express, Inc.
(a)
|
|
|
9,263
|
|
|
|
|
|
194,430
|
|
|
Family Dollar Stores, Inc.
|
|
|
3,009
|
|
|
|
|
|
214,211
|
|
|
Fastenal Co.
|
|
|
3,422
|
|
|
|
|
|
150,534
|
|
|
First Cash Financial Services, Inc.
(a)
|
|
|
3,140
|
|
|
|
|
|
173,548
|
|
|
Foot Locker, Inc.
|
|
|
4,947
|
|
|
|
|
|
159,293
|
|
|
Fossil Group, Inc.
(a)
|
|
|
1,652
|
|
|
|
|
|
191,863
|
|
|
Francesca’s Holdings Corp.
(a)
|
|
|
6,667
|
|
|
|
|
|
160,808
|
|
|
Gap, Inc.
|
|
|
4,838
|
|
|
|
|
|
195,649
|
|
|
Gentherm, Inc.
(a)
|
|
|
10,620
|
|
|
|
|
|
177,673
|
|
|
Genuine Parts Co.
|
|
|
2,360
|
|
|
|
|
|
181,744
|
|
|
GNC Holdings, Inc., Class A
|
|
|
4,366
|
|
|
|
|
|
222,098
|
|
|
Hanesbrands, Inc.
|
|
|
4,425
|
|
|
|
|
|
263,199
|
|
|
Hibbett Sports, Inc.
(a)
|
|
|
3,186
|
|
|
|
|
|
165,035
|
|
|
Home Depot, Inc.
|
|
|
2,478
|
|
|
|
|
|
184,586
|
|
|
HSN, Inc.
|
|
|
3,186
|
|
|
|
|
|
171,598
|
|
|
International Game Technology
|
|
|
10,325
|
|
|
|
|
|
195,039
|
|
|
Krispy Kreme Doughnuts, Inc.
(a)
|
|
|
11,800
|
|
|
|
|
|
232,696
|
|
|
Las Vegas Sands Corp.
|
|
|
3,304
|
|
|
|
|
|
186,180
|
|
|
LeapFrog Enterprises, Inc.
(a)
|
|
|
20,340
|
|
|
|
|
|
195,670
|
|
|
Lear Corp.
|
|
|
3,245
|
|
|
|
|
|
223,093
|
|
|
Lennar Corp., Class A
|
|
|
4,189
|
|
|
|
|
|
133,252
|
|
|
Lumber Liquidators Holdings, Inc.
(a)
|
|
|
2,714
|
|
|
|
|
|
269,826
|
|
|
Macy’s, Inc.
|
|
|
4,239
|
|
|
|
|
|
188,339
|
|
|
Mattel, Inc.
|
|
|
4,189
|
|
|
|
|
|
169,655
|
|
|
McDonald’s Corp.
|
|
|
1,770
|
|
|
|
|
|
167,017
|
|
|
Michael Kors Holdings, Ltd.
(a)
|
|
|
3,009
|
|
|
|
|
|
222,937
|
|
|
MSC Industrial Direct Co., Inc., Class A
|
|
|
2,006
|
|
|
|
|
|
152,456
|
|
|
Multimedia Games Holding Co., Inc.
(a)
|
|
|
9,027
|
|
|
|
|
|
354,219
|
|
|
MWI Veterinary Supply, Inc.
(a)
|
|
|
1,298
|
|
|
|
|
|
197,399
|
|
|
NIKE, Inc., Class B
|
|
|
3,127
|
|
|
|
|
|
196,438
|
|
|
Nordstrom, Inc.
|
|
|
3,245
|
|
|
|
|
|
180,844
|
|
|
|
|
|
|
|
|
|
|
|
|
Security Description
|
|
Shares
|
|
|
Value
|
|
|
Consumer, Cyclical (continued)
|
|
|
|
|
|
|
|
|
|
Nu Skin Enterprises, Inc., Class A
|
|
|
4,189
|
|
|
$
|
350,661
|
|
|
O’Reilly Automotive, Inc.
(a)
|
|
|
1,652
|
|
|
|
202,717
|
|
|
Panera Bread Co., Class A
(a)
|
|
|
1,062
|
|
|
|
174,189
|
|
|
PetSmart, Inc.
|
|
|
2,773
|
|
|
|
195,302
|
|
|
Pier 1 Imports, Inc.
|
|
|
7,788
|
|
|
|
170,713
|
|
|
Polaris Industries, Inc.
|
|
|
1,947
|
|
|
|
212,632
|
|
|
Pool Corp.
|
|
|
3,717
|
|
|
|
193,619
|
|
|
Ralph Lauren Corp.
|
|
|
1,003
|
|
|
|
165,906
|
|
|
Ross Stores, Inc.
|
|
|
3,127
|
|
|
|
210,322
|
|
|
rue21, Inc.
(a)
|
|
|
6,195
|
|
|
|
253,066
|
|
|
Select Comfort Corp.
(a)
|
|
|
10,030
|
|
|
|
247,741
|
|
|
SHFL Entertainment, Inc.
(a)
|
|
|
11,210
|
|
|
|
255,252
|
|
|
Six Flags Entertainment Corp.
|
|
|
5,098
|
|
|
|
168,285
|
|
|
Spirit Airlines, Inc.
(a)
|
|
|
7,473
|
|
|
|
232,933
|
|
|
Standard Motor Products, Inc.
|
|
|
6,313
|
|
|
|
193,557
|
|
|
Starbucks Corp.
|
|
|
3,009
|
|
|
|
212,195
|
|
|
Steven Madden, Ltd.
(a)
|
|
|
3,894
|
|
|
|
210,276
|
|
|
Target Corp.
|
|
|
2,655
|
|
|
|
168,088
|
|
|
Texas Roadhouse, Inc.
|
|
|
8,791
|
|
|
|
218,456
|
|
|
Titan International, Inc.
|
|
|
8,496
|
|
|
|
137,975
|
|
|
TJX Cos, Inc.
|
|
|
3,894
|
|
|
|
205,292
|
|
|
Tractor Supply Co.
|
|
|
1,652
|
|
|
|
202,155
|
|
|
TRW Automotive Holdings Corp.
(a)
|
|
|
2,950
|
|
|
|
203,757
|
|
|
Ulta Salon Cosmetics & Fragrance, Inc.
(a)
|
|
|
1,947
|
|
|
|
193,220
|
|
|
Under Armour, Inc., Class A
(a)
|
|
|
3,422
|
|
|
|
248,574
|
|
|
UniFirst Corp.
|
|
|
2,006
|
|
|
|
192,335
|
|
|
US Airways Group, Inc.
(a)
|
|
|
11,741
|
|
|
|
189,735
|
|
|
Vera Bradley, Inc.
(a)
|
|
|
7,276
|
|
|
|
142,901
|
|
|
VF Corp.
|
|
|
1,062
|
|
|
|
198,817
|
|
|
Vitamin Shoppe, Inc.
(a)
|
|
|
3,363
|
|
|
|
141,650
|
|
|
Wabash National Corp.
(a)
|
|
|
18,290
|
|
|
|
190,582
|
|
|
WABCO Holdings, Inc.
(a)
|
|
|
2,478
|
|
|
|
193,259
|
|
|
Wal-Mart Stores, Inc.
|
|
|
2,360
|
|
|
|
172,233
|
|
|
Williams-Sonoma, Inc.
|
|
|
3,835
|
|
|
|
216,332
|
|
|
World Fuel Services Corp.
|
|
|
4,484
|
|
|
|
171,065
|
|
|
WW Grainger, Inc.
|
|
|
767
|
|
|
|
189,717
|
|
|
Wyndham Worldwide Corp.
|
|
|
2,832
|
|
|
|
168,108
|
|
|
Zumiez, Inc.
(a)
|
|
|
7,906
|
|
|
|
211,090
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer, Cyclical
|
|
|
|
|
|
|
18,330,190
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer, Non-Cyclical (22.91%)
|
|
|
|
|
|
|
|
|
|
Aaron’s, Inc.
|
|
|
6,195
|
|
|
|
167,699
|
|
|
Abaxis, Inc.
|
|
|
4,012
|
|
|
|
157,190
|
|
|
Acorda Therapeutics, Inc.
(a)
|
|
|
5,723
|
|
|
|
193,380
|
|
|
Air Methods Corp.
|
|
|
3,599
|
|
|
|
147,271
|
|
|
Akorn, Inc.
(a)
|
|
|
12,567
|
|
|
|
225,829
|
|
|
Alexion Pharmaceuticals, Inc.
(a)
|
|
|
1,888
|
|
|
|
203,451
|
|
|
Allergan, Inc.
|
|
|
1,593
|
|
|
|
140,789
|
|
|
Alliance Data Systems Corp.
(a)
|
|
|
1,121
|
|
|
|
219,380
|
|
|
Altria Group, Inc.
|
|
|
5,133
|
|
|
|
173,906
|
|
|
American Public Education, Inc.
(a)
|
|
|
5,369
|
|
|
|
214,867
|
|
|
Amgen, Inc.
|
|
|
1,888
|
|
|
|
205,679
|
|
|
Arbitron, Inc.
|
|
|
3,717
|
|
|
|
174,922
|
|
|
Automatic Data Processing, Inc.
|
|
|
2,773
|
|
|
|
197,327
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security Description
|
|
Shares
|
|
|
|
|
Value
|
|
|
Consumer, Non-Cyclical (continued)
|
|
|
|
|
|
|
|
|
|
|
|
Avis Budget Group, Inc.
(a)
|
|
|
6,844
|
|
|
|
|
$
|
183,214
|
|
|
Barrett Business Services, Inc.
|
|
|
3,717
|
|
|
|
|
|
238,892
|
|
|
Baxter International, Inc.
|
|
|
2,537
|
|
|
|
|
|
176,474
|
|
|
Becton Dickinson and Co.
|
|
|
1,947
|
|
|
|
|
|
189,599
|
|
|
Biogen Idec, Inc.
(a)
|
|
|
1,003
|
|
|
|
|
|
213,659
|
|
|
Bio-Reference Labs, Inc.
(a)
|
|
|
6,372
|
|
|
|
|
|
184,342
|
|
|
Cambrex Corp.
(a)
|
|
|
14,054
|
|
|
|
|
|
191,556
|
|
|
Cardtronics, Inc.
(a)
|
|
|
6,490
|
|
|
|
|
|
225,138
|
|
|
Celgene Corp.
(a)
|
|
|
1,593
|
|
|
|
|
|
222,988
|
|
|
Church & Dwight Co., Inc
|
|
|
2,832
|
|
|
|
|
|
168,079
|
|
|
Cigna Corp.
|
|
|
2,950
|
|
|
|
|
|
232,136
|
|
|
Clorox Co.
|
|
|
2,065
|
|
|
|
|
|
170,776
|
|
|
Colgate-Palmolive Co.
|
|
|
3,009
|
|
|
|
|
|
173,830
|
|
|
Cubist Pharmaceuticals, Inc.
(a)
|
|
|
3,658
|
|
|
|
|
|
231,771
|
|
|
Cyberonics, Inc.
(a)
|
|
|
3,599
|
|
|
|
|
|
183,081
|
|
|
Deluxe Corp.
|
|
|
4,366
|
|
|
|
|
|
171,802
|
|
|
Edwards Lifesciences Corp.
(a)
|
|
|
1,947
|
|
|
|
|
|
137,030
|
|
|
Emergent Biosolutions, Inc.
(a)
|
|
|
11,446
|
|
|
|
|
|
201,221
|
|
|
Estee Lauder Cos, Inc., Class A
|
|
|
2,655
|
|
|
|
|
|
173,531
|
|
|
FleetCor Technologies, Inc.
(a)
|
|
|
2,478
|
|
|
|
|
|
255,508
|
|
|
Fresh Market, Inc.
(a)
|
|
|
4,425
|
|
|
|
|
|
215,984
|
|
|
Gartner, Inc.
(a)
|
|
|
3,422
|
|
|
|
|
|
198,373
|
|
|
Gilead Sciences, Inc.
(a)
|
|
|
3,894
|
|
|
|
|
|
234,691
|
|
|
Grand Canyon Education, Inc.
(a)
|
|
|
7,316
|
|
|
|
|
|
252,475
|
|
|
Green Mountain Coffee Roasters, Inc.
(a)
|
|
|
3,363
|
|
|
|
|
|
290,260
|
|
|
Heartland Payment Systems, Inc.
|
|
|
5,841
|
|
|
|
|
|
215,825
|
|
|
Helen of Troy, Ltd.
(a)
|
|
|
4,720
|
|
|
|
|
|
189,650
|
|
|
Herbalife, Ltd.
|
|
|
4,248
|
|
|
|
|
|
259,170
|
|
|
Hershey Co.
|
|
|
2,065
|
|
|
|
|
|
189,877
|
|
|
Hi-Tech Pharmacal Co., Inc.
|
|
|
4,838
|
|
|
|
|
|
208,566
|
|
|
IDEXX Laboratories, Inc.
(a)
|
|
|
1,888
|
|
|
|
|
|
177,132
|
|
|
Illumina, Inc.
(a)
|
|
|
3,245
|
|
|
|
|
|
252,590
|
|
|
Impax Laboratories, Inc.
(a)
|
|
|
10,856
|
|
|
|
|
|
221,245
|
|
|
Ingredion, Inc.
|
|
|
2,596
|
|
|
|
|
|
163,392
|
|
|
Intuitive Surgical, Inc.
(a)
|
|
|
354
|
|
|
|
|
|
136,828
|
|
|
J&J Snack Foods Corp.
|
|
|
2,478
|
|
|
|
|
|
190,608
|
|
|
Magellan Health Services, Inc.
(a)
|
|
|
3,245
|
|
|
|
|
|
182,401
|
|
|
Mastercard, Inc., Class A
|
|
|
354
|
|
|
|
|
|
214,552
|
|
|
MAXIMUS, Inc.
|
|
|
4,508
|
|
|
|
|
|
169,095
|
|
|
Mead Johnson Nutrition Co.
|
|
|
2,301
|
|
|
|
|
|
172,644
|
|
|
Medifast, Inc.
(a)
|
|
|
7,139
|
|
|
|
|
|
177,476
|
|
|
Medtronic, Inc.
|
|
|
3,785
|
|
|
|
|
|
195,873
|
|
|
Meridian Bioscience, Inc.
|
|
|
8,083
|
|
|
|
|
|
181,787
|
|
|
Monster Beverage Corp.
(a)
|
|
|
3,658
|
|
|
|
|
|
209,933
|
|
|
Moody’s Corp.
|
|
|
3,481
|
|
|
|
|
|
221,252
|
|
|
Mylan, Inc.
(a)
|
|
|
5,664
|
|
|
|
|
|
200,166
|
|
|
Myriad Genetics, Inc.
(a)
|
|
|
6,962
|
|
|
|
|
|
182,196
|
|
|
Paychex, Inc.
|
|
|
5,133
|
|
|
|
|
|
198,544
|
|
|
PepsiCo, Inc.
|
|
|
2,242
|
|
|
|
|
|
178,755
|
|
|
Perrigo Co.
|
|
|
1,534
|
|
|
|
|
|
186,458
|
|
|
Pharmacyclics, Inc.
(a)
|
|
|
1,829
|
|
|
|
|
|
203,934
|
|
|
Philip Morris International, Inc.
|
|
|
1,888
|
|
|
|
|
|
157,535
|
|
|
Prestige Brands Holdings, Inc.
(a)
|
|
|
7,198
|
|
|
|
|
|
233,719
|
|
|
Procter & Gamble Co.
|
|
|
2,242
|
|
|
|
|
|
174,629
|
|
|
|
|
|
|
|
|
|
|
|
|
Security Description
|
|
Shares
|
|
|
Value
|
|
|
Consumer, Non-Cyclical (continued)
|
|
|
|
|
|
|
|
|
|
Quanta Services, Inc.
(a)
|
|
|
5,959
|
|
|
$
|
155,768
|
|
|
Questcor Pharmaceuticals, Inc.
|
|
|
5,664
|
|
|
|
377,676
|
|
|
Regeneron Pharmaceuticals, Inc.
(a)
|
|
|
1,003
|
|
|
|
243,037
|
|
|
ResMed, Inc.
|
|
|
4,012
|
|
|
|
189,527
|
|
|
Robert Half International, Inc.
|
|
|
4,838
|
|
|
|
170,636
|
|
|
Rollins, Inc.
|
|
|
7,139
|
|
|
|
176,690
|
|
|
Salix Pharmaceuticals, Ltd.
(a)
|
|
|
3,540
|
|
|
|
236,968
|
|
|
Santarus, Inc.
(a)
|
|
|
11,387
|
|
|
|
256,435
|
|
|
Spectrum Pharmaceuticals, Inc.
|
|
|
14,991
|
|
|
|
114,831
|
|
|
STERIS Corp.
|
|
|
4,425
|
|
|
|
180,938
|
|
|
Stryker Corp.
|
|
|
2,655
|
|
|
|
177,593
|
|
|
Team, Inc.
(a)
|
|
|
3,776
|
|
|
|
147,264
|
|
|
Thoratec Corp.
(a)
|
|
|
4,897
|
|
|
|
174,970
|
|
|
Towers Watson & Co., Class A
|
|
|
2,596
|
|
|
|
213,521
|
|
|
United Therapeutics Corp.
(a)
|
|
|
2,832
|
|
|
|
200,817
|
|
|
UnitedHealth Group, Inc.
|
|
|
3,245
|
|
|
|
232,796
|
|
|
USANA Health Sciences, Inc.
(a)
|
|
|
3,658
|
|
|
|
277,825
|
|
|
Varian Medical Systems, Inc.
(a)
|
|
|
2,419
|
|
|
|
170,419
|
|
|
Verisk Analytics, Inc., Class A
(a)
|
|
|
2,950
|
|
|
|
183,431
|
|
|
WD-40 Co.
|
|
|
3,186
|
|
|
|
185,361
|
|
|
Western Union Co.
|
|
|
12,095
|
|
|
|
212,025
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer, Non-Cyclical
|
|
|
|
|
|
|
17,462,460
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services (0.20%)
|
|
|
|
|
|
|
|
|
|
Credit Acceptance Corp.
(a)
|
|
|
1,416
|
|
|
|
152,291
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Diversified Financial Services
|
|
|
|
|
|
|
152,291
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (5.31%)
|
|
|
|
|
|
|
|
|
|
Atwood Oceanics, Inc.
(a)
|
|
|
3,540
|
|
|
|
197,107
|
|
|
C&J Energy Services, Inc.
(a)
|
|
|
7,611
|
|
|
|
156,254
|
|
|
Cameron International Corp.
(a)
|
|
|
2,714
|
|
|
|
154,128
|
|
|
CARBO Ceramics, Inc.
|
|
|
1,888
|
|
|
|
154,042
|
|
|
Chevron Corp.
|
|
|
1,475
|
|
|
|
177,634
|
|
|
CVR Energy, Inc.
|
|
|
3,196
|
|
|
|
136,853
|
|
|
Delek US Holdings, Inc.
|
|
|
4,484
|
|
|
|
111,472
|
|
|
Ensco Plc, Class A
|
|
|
3,009
|
|
|
|
167,180
|
|
|
Exxon Mobil Corp.
|
|
|
1,947
|
|
|
|
169,701
|
|
|
Geospace Technologies Corp.
(a)
|
|
|
1,593
|
|
|
|
111,128
|
|
|
Halliburton Co.
|
|
|
4,189
|
|
|
|
201,072
|
|
|
Helmerich & Payne, Inc.
|
|
|
2,655
|
|
|
|
167,371
|
|
|
HollyFrontier Corp.
|
|
|
3,068
|
|
|
|
136,465
|
|
|
Marathon Petroleum Corp.
|
|
|
1,947
|
|
|
|
141,177
|
|
|
Noble Energy, Inc.
|
|
|
3,074
|
|
|
|
188,836
|
|
|
Oceaneering International, Inc.
|
|
|
2,773
|
|
|
|
215,129
|
|
|
Oil States International, Inc.
(a)
|
|
|
2,242
|
|
|
|
200,031
|
|
|
Phillips 66
|
|
|
2,655
|
|
|
|
151,601
|
|
|
Rex Energy Corp.
(a)
|
|
|
12,213
|
|
|
|
254,030
|
|
|
Rosetta Resources, Inc.
(a)
|
|
|
3,481
|
|
|
|
161,971
|
|
|
RPC, Inc.
|
|
|
10,738
|
|
|
|
153,339
|
|
|
Superior Energy Services, Inc.
(a)
|
|
|
6,549
|
|
|
|
160,843
|
|
|
Synergy Resources Corp.
(a)
|
|
|
25,842
|
|
|
|
241,881
|
|
|
Tesoro Corp.
|
|
|
3,009
|
|
|
|
138,685
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Energy
|
|
|
|
|
|
|
4,047,930
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security Description
|
|
Shares
|
|
|
Value
|
|
|
Financial (11.43%)
|
|
|
|
|
|
|
|
|
|
Alleghany Corp.
(a)
|
|
|
472
|
|
|
$
|
182,706
|
|
|
American Express Co.
|
|
|
2,714
|
|
|
|
195,164
|
|
|
Ameriprise Financial, Inc.
|
|
|
2,478
|
|
|
|
213,480
|
|
|
Amtrust Financial Services, Inc.
|
|
|
5,448
|
|
|
|
194,603
|
|
|
Bank of Hawaii Corp.
|
|
|
3,540
|
|
|
|
182,310
|
|
|
BB&T Corp.
|
|
|
5,605
|
|
|
|
190,346
|
|
|
BofI Holding, Inc.
(a)
|
|
|
4,956
|
|
|
|
321,000
|
|
|
BOK Financial Corp.
|
|
|
2,891
|
|
|
|
185,284
|
|
|
Brookline Bancorp, Inc.
|
|
|
18,703
|
|
|
|
169,262
|
|
|
CapitalSource, Inc.
|
|
|
18,538
|
|
|
|
214,113
|
|
|
Cardinal Financial Corp.
|
|
|
10,030
|
|
|
|
164,893
|
|
|
CBOE Holdings, Inc.
|
|
|
4,838
|
|
|
|
222,016
|
|
|
Cohen & Steers, Inc.
|
|
|
4,956
|
|
|
|
154,627
|
|
|
Columbia Banking System, Inc.
|
|
|
8,378
|
|
|
|
194,370
|
|
|
Commerce Bancshares, Inc.
|
|
|
4,543
|
|
|
|
196,212
|
|
|
Discover Financial Services
|
|
|
4,189
|
|
|
|
197,930
|
|
|
East West Bancorp, Inc.
|
|
|
6,903
|
|
|
|
201,775
|
|
|
Encore Capital Group, Inc.
(a)
|
|
|
5,547
|
|
|
|
237,799
|
|
|
Erie Indemnity Co., Class A
|
|
|
2,360
|
|
|
|
174,074
|
|
|
Fidelity National Financial, Inc., Class A
|
|
|
6,903
|
|
|
|
163,670
|
|
|
Fifth Third Bancorp
|
|
|
10,738
|
|
|
|
196,398
|
|
|
First American Financial Corp.
|
|
|
7,080
|
|
|
|
147,972
|
|
|
First Financial Bankshares, Inc.
|
|
|
3,717
|
|
|
|
213,728
|
|
|
Franklin Resources, Inc.
|
|
|
3,550
|
|
|
|
163,868
|
|
|
Greenlight Capital Re, Ltd., Class A
(a)
|
|
|
7,198
|
|
|
|
193,266
|
|
|
Hanmi Financial Corp.
|
|
|
10,443
|
|
|
|
170,534
|
|
|
Higher One Holdings, Inc.
(a)
|
|
|
19,293
|
|
|
|
143,154
|
|
|
Home BancShares, Inc.
|
|
|
10,030
|
|
|
|
254,962
|
|
|
HomeStreet, Inc.
|
|
|
6,844
|
|
|
|
134,348
|
|
|
Huntington Bancshares, Inc.
|
|
|
23,718
|
|
|
|
195,436
|
|
|
JPMorgan Chase & Co.
|
|
|
3,422
|
|
|
|
172,914
|
|
|
MarketAxess Holdings, Inc.
|
|
|
4,425
|
|
|
|
224,613
|
|
|
Ocwen Financial Corp.
(a)
|
|
|
4,248
|
|
|
|
214,269
|
|
|
Oritani Financial Corp.
|
|
|
11,517
|
|
|
|
178,629
|
|
|
Outerwall, Inc.
(a)
|
|
|
3,304
|
|
|
|
205,410
|
|
|
Portfolio Recovery Associates, Inc.
(a)
|
|
|
4,248
|
|
|
|
225,314
|
|
|
Reinsurance Group of America, Inc.
|
|
|
2,950
|
|
|
|
191,190
|
|
|
Signature Bank
(a)
|
|
|
2,301
|
|
|
|
201,844
|
|
|
Stewart Information Services Corp.
|
|
|
6,903
|
|
|
|
211,162
|
|
|
SVB Financial Group
(a)
|
|
|
2,537
|
|
|
|
210,064
|
|
|
T Rowe Price Group, Inc.
|
|
|
2,301
|
|
|
|
161,392
|
|
|
ViewPoint Financial Group, Inc.
|
|
|
8,319
|
|
|
|
165,465
|
|
|
Webster Financial Corp.
|
|
|
7,434
|
|
|
|
196,704
|
|
|
Wells Fargo & Co.
|
|
|
4,779
|
|
|
|
196,321
|
|
|
World Acceptance Corp.
(a)
|
|
|
2,183
|
|
|
|
187,018
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Financial
|
|
|
|
|
|
|
8,711,609
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial (13.51%)
|
|
|
|
|
|
|
|
|
|
3M Co.
|
|
|
1,652
|
|
|
|
187,634
|
|
|
Agilent Technologies, Inc.
|
|
|
4,012
|
|
|
|
187,120
|
|
|
Albany International Corp., Class A
|
|
|
5,900
|
|
|
|
190,393
|
|
|
American Railcar Industries, Inc.
|
|
|
3,835
|
|
|
|
135,644
|
|
|
AMETEK, Inc.
|
|
|
4,130
|
|
|
|
177,260
|
|
|
Amphenol Corp., Class A
|
|
|
2,419
|
|
|
|
183,288
|
|
|
|
|
|
|
|
|
|
|
|
|
Security Description
|
|
Shares
|
|
|
Value
|
|
|
Industrial (continued)
|
|
|
|
|
|
|
|
|
|
Applied Industrial Technologies, Inc.
|
|
|
3,953
|
|
|
$
|
188,242
|
|
|
AZZ, Inc.
|
|
|
3,745
|
|
|
|
140,587
|
|
|
Boeing Co.
|
|
|
2,124
|
|
|
|
220,726
|
|
|
CAI International, Inc.
(a)
|
|
|
6,136
|
|
|
|
134,501
|
|
|
Carlisle Cos, Inc.
|
|
|
2,537
|
|
|
|
168,964
|
|
|
Caterpillar, Inc.
|
|
|
1,947
|
|
|
|
160,705
|
|
|
Celadon Group, Inc.
|
|
|
8,559
|
|
|
|
155,260
|
|
|
CH Robinson Worldwide, Inc.
|
|
|
3,068
|
|
|
|
174,477
|
|
|
CSX Corp.
|
|
|
7,670
|
|
|
|
188,759
|
|
|
Cummins, Inc.
|
|
|
1,475
|
|
|
|
181,720
|
|
|
Deere & Co.
|
|
|
1,947
|
|
|
|
162,847
|
|
|
DXP Enterprises, Inc.
(a)
|
|
|
2,478
|
|
|
|
168,454
|
|
|
Emerson Electric Co.
|
|
|
3,068
|
|
|
|
185,215
|
|
|
FEI Co.
|
|
|
2,714
|
|
|
|
212,452
|
|
|
Gentex Corp.
|
|
|
9,145
|
|
|
|
206,037
|
|
|
Graco, Inc.
|
|
|
3,009
|
|
|
|
209,095
|
|
|
Hexcel Corp.
(a)
|
|
|
6,195
|
|
|
|
220,357
|
|
|
Illinois Tool Works, Inc.
|
|
|
2,773
|
|
|
|
198,186
|
|
|
InvenSense, Inc.
(a)
|
|
|
15,163
|
|
|
|
270,962
|
|
|
JB Hunt Transport Services, Inc.
|
|
|
2,537
|
|
|
|
182,664
|
|
|
Joy Global, Inc.
|
|
|
2,832
|
|
|
|
139,108
|
|
|
Knight Transportation, Inc.
|
|
|
10,974
|
|
|
|
178,657
|
|
|
Lincoln Electric Holdings, Inc.
|
|
|
3,099
|
|
|
|
193,780
|
|
|
Lindsay Corp.
|
|
|
1,947
|
|
|
|
148,011
|
|
|
LSB Industries, Inc.
(a)
|
|
|
4,366
|
|
|
|
131,067
|
|
|
Mettler-Toledo International, Inc.
(a)
|
|
|
826
|
|
|
|
181,910
|
|
|
Middleby Corp.
(a)
|
|
|
1,180
|
|
|
|
219,410
|
|
|
Movado Group, Inc.
|
|
|
4,602
|
|
|
|
196,091
|
|
|
NACCO Industries, Inc., Class A
|
|
|
3,127
|
|
|
|
173,799
|
|
|
Nordson Corp.
|
|
|
2,655
|
|
|
|
176,956
|
|
|
Norfolk Southern Corp.
|
|
|
2,360
|
|
|
|
170,298
|
|
|
Proto Labs, Inc.
(a)
|
|
|
3,599
|
|
|
|
255,674
|
|
|
Rockwell Automation, Inc.
|
|
|
1,888
|
|
|
|
183,570
|
|
|
Rogers Corp.
(a)
|
|
|
3,599
|
|
|
|
199,637
|
|
|
Smith & Wesson Holding Corp.
(a)
|
|
|
17,582
|
|
|
|
192,347
|
|
|
Snap-on, Inc.
|
|
|
2,124
|
|
|
|
198,807
|
|
|
Sturm Ruger & Co., Inc
|
|
|
3,068
|
|
|
|
160,671
|
|
|
Swift Transportation Co.
(a)
|
|
|
12,839
|
|
|
|
230,588
|
|
|
TAL International Group, Inc.
|
|
|
4,071
|
|
|
|
174,239
|
|
|
Taser International, Inc.
(a)
|
|
|
21,771
|
|
|
|
253,413
|
|
|
Textainer Group Holdings, Ltd.
|
|
|
4,248
|
|
|
|
148,085
|
|
|
Timken Co.
|
|
|
3,068
|
|
|
|
171,992
|
|
|
TransDigm Group, Inc.
|
|
|
1,188
|
|
|
|
162,756
|
|
|
Triumph Group, Inc.
|
|
|
2,360
|
|
|
|
169,849
|
|
|
Union Pacific Corp.
|
|
|
1,248
|
|
|
|
191,618
|
|
|
Valmont Industries, Inc.
|
|
|
1,062
|
|
|
|
143,328
|
|
|
Wabtec Corp.
|
|
|
3,540
|
|
|
|
207,161
|
|
|
Waters Corp.
(a)
|
|
|
1,829
|
|
|
|
180,797
|
|
|
Worthington Industries, Inc.
|
|
|
5,900
|
|
|
|
196,647
|
|
|
Zebra Technologies Corp., Class A
(a)
|
|
|
3,894
|
|
|
|
177,566
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Industrial
|
|
|
|
|
|
|
10,299,381
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Technology (10.85%)
|
|
|
|
|
|
|
|
|
|
3D Systems Corp.
(a)
|
|
|
5,251
|
|
|
|
269,900
|
|
|
|
|
|
|
|
|
|
|
|
|
Security Description
|
|
Shares
|
|
|
Value
|
|
|
Technology (continued)
|
|
|
|
|
|
|
|
|
|
Accenture Plc, Class A
|
|
|
2,242
|
|
|
$
|
161,985
|
|
|
Activision Blizzard, Inc.
|
|
|
11,623
|
|
|
|
189,687
|
|
|
Apple, Inc.
|
|
|
413
|
|
|
|
201,152
|
|
|
Cadence Design Systems, Inc.
(a)
|
|
|
11,977
|
|
|
|
161,330
|
|
|
Cerner Corp.
(a)
|
|
|
3,776
|
|
|
|
173,923
|
|
|
Cirrus Logic, Inc.
(a)
|
|
|
7,560
|
|
|
|
170,100
|
|
|
Citrix Systems, Inc.
(a)
|
|
|
2,360
|
|
|
|
167,017
|
|
|
Cognizant Technology Solutions Corp., Class A
(a)
|
|
|
2,183
|
|
|
|
160,014
|
|
|
CommVault Systems, Inc.
(a)
|
|
|
2,301
|
|
|
|
192,893
|
|
|
Computer Programs & Systems, Inc.
|
|
|
3,304
|
|
|
|
181,588
|
|
|
Cray, Inc.
(a)
|
|
|
8,673
|
|
|
|
212,142
|
|
|
Ebix, Inc.
|
|
|
11,151
|
|
|
|
126,787
|
|
|
EMC Corp.
|
|
|
7,257
|
|
|
|
187,085
|
|
|
EPAM Systems, Inc.
(a)
|
|
|
7,434
|
|
|
|
237,739
|
|
|
Fortinet, Inc.
(a)
|
|
|
7,257
|
|
|
|
143,689
|
|
|
iGATE Corp.
(a)
|
|
|
8,850
|
|
|
|
206,648
|
|
|
Intel Corp.
|
|
|
7,965
|
|
|
|
175,071
|
|
|
International Business Machines Corp.
|
|
|
826
|
|
|
|
150,555
|
|
|
Intuit, Inc.
|
|
|
2,537
|
|
|
|
161,176
|
|
|
j2 Global, Inc.
|
|
|
4,661
|
|
|
|
229,507
|
|
|
Jack Henry & Associates, Inc.
|
|
|
3,894
|
|
|
|
194,311
|
|
|
KLA-Tencor Corp.
|
|
|
3,186
|
|
|
|
175,708
|
|
|
Kulicke & Soffa Industries, Inc.
(a)
|
|
|
15,694
|
|
|
|
173,576
|
|
|
LSI Corp.
|
|
|
25,519
|
|
|
|
189,096
|
|
|
Manhattan Associates, Inc.
(a)
|
|
|
2,360
|
|
|
|
206,500
|
|
|
Medidata Solutions, Inc.
(a)
|
|
|
3,245
|
|
|
|
290,232
|
|
|
Mentor Graphics Corp.
|
|
|
10,207
|
|
|
|
226,187
|
|
|
MICROS Systems, Inc.
(a)
|
|
|
4,130
|
|
|
|
201,957
|
|
|
Microsoft Corp.
|
|
|
6,195
|
|
|
|
206,913
|
|
|
Monotype Imaging Holdings, Inc.
|
|
|
7,800
|
|
|
|
200,850
|
|
|
NVIDIA Corp.
|
|
|
13,629
|
|
|
|
201,027
|
|
|
Oracle Corp.
|
|
|
4,838
|
|
|
|
154,139
|
|
|
Pitney Bowes, Inc.
|
|
|
12,390
|
|
|
|
202,205
|
|
|
QUALCOMM, Inc.
|
|
|
2,596
|
|
|
|
172,063
|
|
|
Rudolph Technologies, Inc.
(a)
|
|
|
15,222
|
|
|
|
157,548
|
|
|
Seagate Technology Plc
|
|
|
5,428
|
|
|
|
208,001
|
|
|
Skyworks Solutions, Inc.
(a)
|
|
|
8,260
|
|
|
|
209,473
|
|
|
SolarWinds, Inc.
(a)
|
|
|
2,950
|
|
|
|
107,528
|
|
|
Syntel, Inc.
|
|
|
2,773
|
|
|
|
199,296
|
|
|
Teradata Corp.
(a)
|
|
|
3,009
|
|
|
|
176,207
|
|
|
Ultratech, Inc.
(a)
|
|
|
4,189
|
|
|
|
118,465
|
|
|
Virtusa Corp.
(a)
|
|
|
7,906
|
|
|
|
208,086
|
|
|
Western Digital Corp.
|
|
|
3,658
|
|
|
|
226,795
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Technology
|
|
|
|
|
|
|
8,266,151
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities (0.39%)
|
|
|
|
|
|
|
|
|
|
Pike Electric Corp.
|
|
|
11,918
|
|
|
|
132,290
|
|
|
Questar Corp.
|
|
|
7,375
|
|
|
|
161,660
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Utilities
|
|
|
|
|
|
|
293,950
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS
|
|
|
|
|
|
|
|
|
|
(Cost $74,591,338)
|
|
|
|
|
|
|
75,832,338
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 Day Yield
|
|
|
Shares
|
|
|
Value
|
|
|
SHORT TERM INVESTMENTS (0.43%)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dreyfus Treasury Prime Cash Management, Institutional Class
|
|
|
0.000%
(b)
|
|
|
|
326,128
|
|
|
$
|
326,128
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT TERM INVESTMENTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $326,128)
|
|
|
|
|
|
|
|
|
|
|
326,128
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS (99.93%)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $74,917,466)
|
|
|
|
|
|
|
|
|
|
$
|
76,158,466
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET OTHER ASSETS AND LIABILITIES (0.07%)
|
|
|
|
|
|
|
|
|
|
|
51,170
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS (100.00%)
|
|
|
|
|
|
|
|
|
|
$
|
76,209,636
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
Non-income producing security.
|
Common Abbreviations:
LLC - Limited Liability Company.
Ltd. - Limited.
Plc - Public Limited Company.
See Notes to
Quarterly Statement of Investments.
ALPS ETF Trust
Notes to Quarterly Statement of Investments (unaudited)
1.
Portfolio Valuation
All Funds’ Shares are listed on the New York Stock Exchange (“NYSE”), with the exception of VelocityShares
Emerging Markets DR ETF, VelocityShares Russia Select DR ETF and VelocityShares Emerging Asia DR ETF which are listed on The NASDAQ Stock Market LLC (“NASDAQ”). The Funds’ Net Asset Value (“NAV”) is determined daily, as of
the close of regular trading on the listed exchange, normally 4:00 p.m. Eastern time, on each day the NYSE or NASDAQ are open for trading. The NAV is computed by dividing the value of all assets of the Fund (including accrued interest and
dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding.
Portfolio securities listed on any exchange other than the National Association of Securities Dealer Automated Quotation (“NASDAQ”) exchange
are valued at the last sale price on the business day as of which such value is being determined. If there has been no sale on such day, the securities are valued at the mean of the most recent bid and asked prices on such day. Securities traded on
the NASDAQ are valued at the NASDAQ Official Closing Price as determined by NASDAQ. Portfolio securities traded on more than one securities exchange are valued at the last sale price on the business day as of which such value is being determined at
the close of the exchange representing the principal market for such securities. Portfolio securities traded in the over-the-counter market, but excluding securities traded on the NASDAQ, are valued at the closing bid prices. Short-term investments
that mature in less than 60 days are valued at amortized cost, which approximates market value.
U.S. Equity High Volatility Put Write Index
Fund’s listed put options are valued at the mean of the most recent bid and asked prices. Other equity securities that are traded in over the counter markets are valued at the NASDAQ Official Closing Price as of the close of regular trading on
the NYSE on the day the securities are valued or, if there are no sales, at the mean of the most recent bid and asked prices.
The Funds’
investments are valued at market value or, in the absence of market value with respect to any portfolio securities, at fair value according to procedures adopted by the Trust’s Board of Trustees (the “Board”). When market quotations
are not readily available or when events occur that make established valuation methods unreliable, securities of the Fund may be valued in good faith by or under the direction of the Board. These securities generally include, but are not limited to,
restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security
whose market price is not available from a pre-established primary pricing source or the pricing source is not willing to provide a price; a security with respect to which an event has occurred that is most likely to materially affect the value of
the security after the market has closed but before the calculation of the Fund’s NAV or make it difficult or impossible to obtain a reliable market quotation; or a security whose price, as provided by the pricing service, does not reflect the
security’s “fair value” due to the security being de-listed from a national exchange or the security’s primary trading market is temporarily closed at a time when, under normal conditions, it would be open. As a general
principle, the current “fair value” of a security would be the amount which the owner might reasonably expect to receive from the closing sale prices on the applicable exchange and fair value prices may not reflect the actual value of a
security. A variety of factors may be considered in determining the fair value of such securities.
The accounting records of the Funds are maintained in U.S.
dollars.
Some of the Funds invest in foreign securities which may involve a number of risk factors and special
considerations not present with investments in securities of U.S. corporations. Investment in non-U.S. issuers may involve unique risks compared to investing in securities of U.S. issuers. These risks may include, but are not limited to:
(i) less information about non-U.S. issuers or markets may be available due to less rigorous disclosure, accounting standards or regulatory practices; (ii) many non-U.S. markets are smaller, less liquid and more volatile thus, in a
changing market, the advisers may not be able to sell the Fund’s portfolio securities at times, in amounts and at prices they consider reasonable; (iii) currency exchange rates or controls may adversely affect the value of the Fund’s
investments; (iv) the economies of non-U.S. countries may grow at slower rates than expected or may experience downturns or recessions; and, (v) withholdings and other non-U.S. taxes may decrease the Fund’s return.
Because foreign markets may be open on different days than the days during which investors may purchase the shares of each Fund, the value of the
Funds’ securities may change on the days when investors are not able to purchase the shares of the Funds. The value of securities denominated in foreign currencies is converted into U.S. dollars using exchange rates determined daily as of the
close of regular trading on the NYSE. Any use of a different rate from the rates used by the Index may adversely affect the Funds’ ability to track their Index.
2. Fair Value Measurements
The Funds disclose
the classification of their fair value measurements following a three-tier hierarchy based on the inputs used to measure fair value. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability,
including assumptions about risk. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability that are developed based on market data obtained from sources
independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability that are developed based on the best information
available.
Various inputs are used in determining the value of the Funds’ investments as of the end of the reporting period. When inputs used
fall into different levels of the fair value hierarchy, the level in the hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The
designated input levels are not necessarily an indication of the risk or liquidity associated with these investments. These inputs are categorized in the following hierarchy under applicable financial accounting standards:
|
|
|
|
|
Level 1
–Unadjusted quoted prices in active markets for identical investments, unrestricted assets or liabilities
that a Fund has the ability to access at the measurement date;
|
|
|
|
Level 2
–Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or
inputs other than quoted prices that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and
|
|
|
|
Level 3
–Significant unobservable prices or inputs (including the Fund’s own assumptions in determining the fair
value of investments) where there is little or no market activity for the asset or liability at the measurement date.
|
The following is a summary of the inputs used as of August 31, 2013 in valuing the Funds’ assets:
Cohen & Steers Global Realty Majors ETF
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities at Value*
|
|
Level 1 -
Unadjusted
Quoted
Prices
|
|
|
Level 2 - Other
Significant
Observable
Inputs
|
|
|
Level 3 -
Significant
Unobservable
Inputs
|
|
|
Total
|
|
|
Common Stocks
|
|
$
|
104,528,633
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
104,528,633
|
|
|
Short Term
Investments
|
|
|
158,642
|
|
|
|
-
|
|
|
|
-
|
|
|
|
158,642
|
|
|
TOTAL
|
|
$
|
104,687,275
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
104,687,275
|
|
ALPS Equal Sector Weight ETF
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities at Value*
|
|
Level 1 -
Unadjusted
Quoted
Prices
|
|
|
Level 2 - Other
Significant
Observable
Inputs
|
|
|
Level 3 -
Significant
Unobservable
Inputs
|
|
|
Total
|
|
|
Exchange Traded
Funds
|
|
$
|
109,485,011
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
109,485,011
|
|
|
Short Term
Investments
|
|
|
65,120
|
|
|
|
-
|
|
|
|
-
|
|
|
|
65,120
|
|
|
TOTAL
|
|
$
|
109,550,131
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
109,550,131
|
|
Jefferies | TR/J CRB Global Commodity Equity Index Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities at Value*
|
|
Level 1 -
Unadjusted
Quoted
Prices
|
|
|
Level 2 - Other
Significant
Observable
Inputs
|
|
|
Level 3 -
Significant
Unobservable
Inputs
|
|
|
Total
|
|
|
Common Stocks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cayman Islands
|
|
$
|
-
|
|
|
$
|
449
|
|
|
$
|
-
|
|
|
$
|
449
|
|
|
Other*
|
|
|
62,975,905
|
|
|
|
-
|
|
|
|
-
|
|
|
|
62,975,905
|
|
|
Short Term Investments
|
|
|
150,351
|
|
|
|
-
|
|
|
|
-
|
|
|
|
150,351
|
|
|
TOTAL
|
|
$
|
63,126,256
|
|
|
$
|
449
|
|
|
$
|
-
|
|
|
$
|
63,126,705
|
|
Alerian MLP ETF
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities at Value*
|
|
Level 1 -
Unadjusted
Quoted
Prices
|
|
|
Level 2 - Other
Significant
Observable
Inputs
|
|
|
Level 3 -
Significant
Unobservable
Inputs
|
|
|
Total
|
|
|
Master Limited Partnerships Shares
|
|
$
|
7,228,613,220
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
7,228,613,220
|
|
|
Short Term Investments
|
|
|
7,978,505
|
|
|
|
-
|
|
|
|
-
|
|
|
|
7,978,505
|
|
|
TOTAL
|
|
$
|
7,236,591,725
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
7,236,591,725
|
|
ALPS Sector Dividend Dogs ETF
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities at Value*
|
|
Level 1
-
Unadjusted
Quoted
Prices
|
|
|
Level 2 - Other
Significant
Observable
Inputs
|
|
|
Level 3 -
Significant
Unobservable
Inputs
|
|
|
Total
|
|
|
Common Stocks
|
|
$
|
348,843,164
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
348,843,164
|
|
|
Short Term
Investments
|
|
|
1,177,523
|
|
|
|
-
|
|
|
|
-
|
|
|
|
1,177,523
|
|
|
TOTAL
|
|
$
|
350,020,687
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
350,020,687
|
|
ALPS International Sector Dividend Dogs ETF
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities at Value*
|
|
Level 1 -
Unadjusted
Quoted
Prices
|
|
|
Level 2 - Other
Significant
Observable
Inputs
|
|
|
Level 3 -
Significant
Unobservable
Inputs
|
|
|
Total
|
|
|
Common Stocks
|
|
$
|
14,390,389
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
14,390,389
|
|
|
Short Term
Investments
|
|
|
4,736
|
|
|
|
-
|
|
|
|
-
|
|
|
|
4,736
|
|
|
TOTAL
|
|
$
|
14,395,125
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
14,395,125
|
|
U.S. Equity High Volatility Put Write Index Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities at Value
|
|
Level 1 -
Unadjusted
Quoted Prices
|
|
|
Level 2 - Other
Significant
Observable
Inputs
|
|
|
Level 3 -
Significant
Unobservable
Inputs
|
|
|
Total
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short Term
Investments
|
|
$
|
-
|
|
|
$
|
12,899,640
|
|
|
$
|
-
|
|
|
$
|
12,899,640
|
|
|
TOTAL
|
|
$
|
-
|
|
|
$
|
12,899,640
|
|
|
$
|
-
|
|
|
$
|
12,899,640
|
|
|
|
|
|
Other Financial
Instruments**
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Written Options
|
|
$
|
(251,959
|
)
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
(251,959
|
)
|
|
TOTAL
|
|
$
|
(251,959
|
)
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
(251,959
|
)
|
|
|
|
ALPS | GS Momentum Builder ® Growth Markets Equities and U.S. Treasuries Index ETF
|
|
|
Investments in Securities at Value*
|
|
Level 1 -
Unadjusted
Quoted Prices
|
|
|
Level 2 - Other
Significant
Observable
Inputs
|
|
|
Level 3 -
Significant
Unobservable
Inputs
|
|
|
Total
|
|
|
Exchange Traded
Funds
|
|
$
|
8,320,425
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
8,320,425
|
|
|
Short Term
Investments
|
|
|
8
|
|
|
|
-
|
|
|
|
-
|
|
|
|
8
|
|
|
TOTAL
|
|
$
|
8,320,433
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
8,320,433
|
|
ALPS | GS Momentum Builder ® Multi-Asset Index ETF
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities at Value*
|
|
Level 1
-
Unadjusted
Quoted
Prices
|
|
|
Level 2 - Other
Significant
Observable
Inputs
|
|
|
Level 3
-
Significant
Unobservable
Inputs
|
|
|
Total
|
|
|
Exchange Traded Funds
|
|
$
|
12,370,187
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
12,370,187
|
|
|
TOTAL
|
|
$
|
12,370,187
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
12,370,187
|
|
ALPS | GS Momentum Builder ® Asia ex-Japan Equities and U.S. Treasuries Index ETF
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities at Value*
|
|
Level 1 -
Unadjusted
Quoted
Prices
|
|
|
Level 2 - Other
Significant
Observable
Inputs
|
|
|
Level 3 -
Significant
Unobservable
Inputs
|
|
|
Total
|
|
|
Exchange Traded Funds
|
|
$
|
8,796,172
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
8,796,172
|
|
|
TOTAL
|
|
$
|
8,796,172
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
8,796,172
|
|
ALPS | GS Risk-Adjusted Return U.S. Large Cap Index ETF
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities at Value*
|
|
Level 1
-
Unadjusted
Quoted
Prices
|
|
|
Level 2 - Other
Significant
Observable
Inputs
|
|
|
Level 3 -
Significant
Unobservable
Inputs
|
|
|
Total
|
|
|
Common Stocks
|
|
$
|
11,511,685
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
11,511,685
|
|
|
Short Term Investments
|
|
|
9,023
|
|
|
|
-
|
|
|
|
-
|
|
|
|
9,023
|
|
|
TOTAL
|
|
$
|
11,520,708
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
11,520,708
|
|
VelocityShares Emerging Markets DR ETF
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities at Value*
|
|
Level 1 -
Unadjusted
Quoted Prices
|
|
|
Level 2 - Other
Significant
Observable
Inputs
|
|
|
Level 3 -
Significant
Unobservable
Inputs
|
|
|
Total
|
|
|
Common Stocks
|
|
$
|
2,074,918
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
2,074,918
|
|
|
Preferred Stock
|
|
|
225,644
|
|
|
|
-
|
|
|
|
-
|
|
|
|
225,644
|
|
|
Short Term Investments
|
|
|
4,048
|
|
|
|
-
|
|
|
|
-
|
|
|
|
4,048
|
|
|
TOTAL
|
|
$
|
2,304,610
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
2,304,610
|
|
|
|
|
VelocityShares Russia Select DR ETF
|
|
|
Investments in Securities at Value*
|
|
Level 1 -
Unadjusted
Quoted Prices
|
|
|
Level 2 - Other
Significant
Observable
Inputs
|
|
|
Level 3 -
Significant
Unobservable
Inputs
|
|
|
Total
|
|
|
Common Stocks
|
|
$
|
2,364,709
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
2,364,709
|
|
|
Short Term Investments
|
|
|
2,966
|
|
|
|
-
|
|
|
|
-
|
|
|
|
2,966
|
|
|
TOTAL
|
|
$
|
2,367,675
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
2,367,675
|
|
VelocityShares Emerging Asia DR ETF
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities at Value*
|
|
Level 1 -
Unadjusted
Quoted Prices
|
|
|
Level 2 - Other
Significant
Observable
Inputs
|
|
|
Level 3 -
Significant
Unobservable
Inputs
|
|
|
Total
|
|
|
Common Stocks
|
|
$
|
2,439,034
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
2,439,034
|
|
|
Preferred Stock
|
|
|
62,682
|
|
|
|
-
|
|
|
|
-
|
|
|
|
62,682
|
|
|
Short Term Investments
|
|
|
4,451
|
|
|
|
-
|
|
|
|
-
|
|
|
|
4,451
|
|
|
TOTAL
|
|
$
|
2,506,167
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
2,506,167
|
|
|
|
|
VelocityShares Tail Risk Hedged Large Cap ETF
|
|
|
Investments in Securities at Value*
|
|
Level 1 -
Unadjusted
Quoted Prices
|
|
|
Level 2 - Other
Significant
Observable
Inputs
|
|
|
Level 3 -
Significant
Unobservable
Inputs
|
|
|
Total
|
|
|
Exchange Traded Funds
|
|
$
|
1,069,701
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
1,069,701
|
|
|
Short Term Investments
|
|
|
213,407
|
|
|
|
-
|
|
|
|
-
|
|
|
|
213,407
|
|
|
TOTAL
|
|
$
|
1,283,108
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
1,283,108
|
|
|
|
|
|
Other Financial Instruments**
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return Swap Contracts
|
|
$
|
(20,527
|
)
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
(20,527
|
)
|
|
TOTAL
|
|
$
|
(20,527
|
)
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
(20,527
|
)
|
VelocityShares Volatility Hedged Large Cap ETF
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities at Value*
|
|
Level
1 -
Unadjusted
Quoted
Prices
|
|
|
Level 2 - Other
Significant
Observable
Inputs
|
|
|
Level 3 -
Significant
Unobservable
Inputs
|
|
|
Total
|
|
|
Exchange Traded Funds
|
|
$
|
4,357,013
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
4,357,013
|
|
|
Short Term Investments
|
|
|
774,019
|
|
|
|
-
|
|
|
|
-
|
|
|
|
774,019
|
|
|
TOTAL
|
|
$
|
5,131,032
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
5,131,032
|
|
|
|
|
|
Other Financial Instruments**
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return Swap Contracts
|
|
$
|
(13,615
|
)
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
(13,615
|
)
|
|
TOTAL
|
|
$
|
(13,615
|
)
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
(13,615
|
)
|
|
|
|
Barron’s 400 ETF
|
|
|
Investments in Securities at Value*
|
|
Level 1
-
Unadjusted
Quoted
Prices
|
|
|
Level 2 - Other
Significant
Observable
Inputs
|
|
|
Level 3 -
Significant
Unobservable
Inputs
|
|
|
Total
|
|
|
Common Stocks
|
|
$
|
75,832,338
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
75,832,338
|
|
|
Short Term Investments
|
|
|
326,128
|
|
|
|
-
|
|
|
|
-
|
|
|
|
326,128
|
|
|
TOTAL
|
|
$
|
76,158,466
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
76,158,466
|
|
*For detailed descriptions, see the accompanying Statement of Investments.
**Other financial instruments are instruments not reflected in the Statement of Investments, such as written options and swaps.
Each Fund recognizes transfers between levels as of the end of the period. For the period ended
August 31, 2013, the Funds did not have any significant transfers between Level 1 and Level 2 securities. The Funds did not have any securities which used significant unobservable inputs (Level 3) in determining fair value.
3. Derivative Instruments and Hedging Activities
The following discloses the Funds’ use of derivative instruments and hedging activities. Derivatives are financial contracts whose value depends
on, or is derived from, the value of an underlying asset, reference rate or index, and may relate to stocks, bonds, interest rates, currencies or currency exchange rates, commodities, and related indexes. Certain Fund’s investment objectives
may permit the Fund to purchase investment securities but also allow certain Funds to enter into various types of derivative contracts, including, but not limited to, futures contracts, swap contracts, foreign currency transactions, and purchased
and written options. In doing so, the Funds may employ strategies in differing combinations to permit them to increase, decrease, or change the level or types of exposure to market factors. Central to those strategies are features inherent to
derivatives that make them more attractive for this purpose than equity or debt securities: they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate
receipt or delivery of the underlying security (or securities) to the contract. This may allow the Funds to pursue their objectives more quickly and efficiently than if they were to make direct purchases or sales of securities capable of affecting a
similar response to market factors. Each Fund may, but is not required to, use derivative instruments for risk management purposes or as part of its investment strategies.
A Fund’s use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in
securities and other traditional investments. Derivatives are subject to a number of risks including liquidity risk, market risk, credit risk, default risk, counterparty risk and management risk. They also involve the risk of mispricing or improper
valuation and the risk that changes in the value of the derivative may not correlate exactly with the change in the value of the underlying asset, rate or index. Also, suitable derivative transactions may not be available in all circumstances and
there can be no assurance that a Fund will engage in these transactions to reduce exposure to other risks when that would be beneficial.
Market
Risk Factors:
In pursuit of their investment objectives, certain Funds may seek to use derivatives to increase or decrease their exposure to the following market risk factors:
Credit Risk:
Credit risk is the risk an issuer will be unable to make principal and interest payments when due, or will default
on its obligations.
Equity Risk:
Equity risk relates to the change in value of equity securities as they relate to increases
or decreases in the general market.
Interest Rate Risk:
Interest rate risk refers to the fluctuations in value of
fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general
interest rates will tend to increase the value of such investments. In addition, debt securities
with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Swaps:
Swap agreements are contracts between parties in which one party agrees to make periodic payments to the other party (the
“Counterparty”) based on the change in market value or level of a specified rate, index or asset. In return, the Counterparty agrees to make periodic payments to the first party based on the return of a different specified rate, index or
asset. Swap agreements will usually be done on a net basis, the Funds receiving or paying only the net amount of the two payments. The net amount of the excess, if any, of the Funds’ obligations over its entitlements with respect to each swap
is accrued on a daily basis and an amount of cash or highly liquid securities having an aggregate value at least equal to the accrued excess is maintained in an account at the Trust’s custodian bank. The use of interest rate and index swaps is
a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio security transactions. These transactions generally do not involve the delivery of securities or other underlying
assets or principal. The use of swap agreements involves certain risks. For example, if the Counterparty under a swap agreement defaults on its obligation to make payments due from it, as a result of its bankruptcy or otherwise, the Funds may lose
such payments altogether, or collect only a portion thereof, which collection could involve costs or delays.
Swap Risk:
The VelocityShares
Tail Risk Hedged Large Cap ETF and the VelocityShares Volatility Hedged Large Cap ETF Funds expects to use swap agreements in addition to other derivatives to obtain exposure to the Underlying Volatility ETFs and/or VIX Short-Term Futures Index as a
means to achieve their investment objectives. A small percentage of swap contracts are cleared through a central clearinghouse. Most swap agreements provide that when the period payment dates for both parties are the same, the payments are made on a
net basis (i.e., the two payment streams are netted out, with only the net amount paid by one party to the other). The Fund’s obligations or rights under a swap contract entered into on a net basis will generally be equal only to the net amount
to be paid or received under the agreement, based on the relative values of the positions held by each counterparty. Most swap agreements are traded over the counter rather than being entered into or traded on exchanges and often there is no central
clearing or guaranty function for swaps. Unlike in futures contracts, the counterparty to swap agreements or forward contracts is generally a single bank or other financial institution, rather than a clearing organization backed by a group of
financial institutions.
As a result, the VelocityShares Tail Risk Hedged Large Cap ETF and the VelocityShares Volatility Hedged Large Cap ETF Funds
are subject to credit risk with respect to amounts they expect to receive from counterparties to swaps entered into as part of the Fund’s principal investment strategy. If a counterparty becomes bankrupt or otherwise fails to perform its
obligations due to financial difficulties, the Fund could suffer significant losses on these contracts and the value of an investor’s investment in the Fund may decline. The Fund seeks to mitigate these risks by generally requiring that the
counterparties agree to post collateral for the benefit of the Fund, marked-to-market daily, in an amount approximately equal to what the counterparty owes the Fund. In the event of the bankruptcy of a counterparty, the Fund will have direct access
to the collateral received from the counterparty. To the extent any such collateral is otherwise insufficient, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of
bankruptcy proceedings. The Fund typically enters into swap transactions only with large, well capitalized and well established financial institutions. Swaps have terms that make them less marketable than futures contracts. Swaps are less marketable
because they are not traded on an exchange, do not have uniform terms and conditions, and are
entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the
counterparty. Swap agreements may entail breakage costs if terminated prior to the final maturity date.
If the Volatility Component has a dramatic
intraday move in value that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter
into another swap agreement or to invest in other instruments necessary to achieve the desired exposure to the Underlying Volatility ETFs consistent with the Fund’s objective. This, in turn, may prevent the fund from achieving its investment
objective, even if the value of the Fund’s benchmark reverses all or part of its intraday move by the end of the day.
Option
Writing/Purchasing:
The U.S. Equity High Volatility Put Write Index Fund (the “Fund”) seeks to track the performance of the NYSE Arca U.S. Equity High Volatility Put Write Index (the “Index”). The Fund’s investment
objective permits the Fund to purchase derivative contracts, written options. In doing so, the Fund will employ strategies in differing combinations to permit them to increase, decrease, or change the level or types of exposure to market factors.
Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity or debt securities; they require little or no initial cash investment, they can focus exposure on only certain selected risk
factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Fund to pursue their objectives more quickly and efficiently than if they were to make direct purchases
or sales of securities capable of affecting a similar response to market factors.
Market Risk Factors
: In pursuit of the U.S. Equity High
Volatility Put Write Index Fund’s investment objective, the Fund will use derivatives to increase or decrease their exposure to the following market risk factors:
Equity Risk:
The value of the options sold by the Fund is based on the value of the stocks underlying such options. Accordingly,
the Fund is exposed to equity risk, which is the risk that the value of the stocks underlying options written by the Fund will fall due to general market and economic conditions, perceptions regarding the industries in which the issuers of such
stock participate, or factors relating to specific companies. In such event, the value of the options sold by the Fund will likely decline. Additionally, if the value of the stocks underlying the options sold by the Fund increases, the Fund’s
returns will not increase accordingly.
The U.S. Equity High Volatility Put Write Index Fund will seek to track the performance of the Index by
selling listed 60-day put options in proportion to their weightings in the Index. By selling an option, the Fund will receive premiums from the buyer of the option, which will increase the Fund’s return if the option is not exercised and thus
expires worthless. However, if the option’s underlying stock declines below the strike price, the option will finish in-the-money and the Fund will be required to buy the underlying stock at the strike price, effectively paying the buyer the
difference between the strike price and the closing price. Therefore, by writing a put option, the Fund is exposed to the amount by which the price of the underlying stock is less than the strike price. Accordingly, the potential return to the Fund
is limited to the amount of option premiums it receives, while the Fund can potentially lose up to the entire strike price of each option it sells. Further, if the value of the stocks underlying the options sold by the Fund increases, the
Fund’s returns will not increase accordingly.
As the seller of a listed put option, the Fund incurs an obligation to buy the underlying instrument from
the purchaser of the option at the option’s strike price, upon exercise by the option purchaser. If a listed put option sold by the Fund is exercised prior to the end of a 60-day period, the Fund will buy the underlying stock at the time of
exercise and at the strike price, and will hold the stock until the end of the 60-day period. Each put option sold by the Fund will be covered through investments in three month Treasury bills at least equal to the Fund’s maximum liability
under the option (i.e., the strike price). Every 60 days, the options included within the Index are exercised or expire and new option positions are established, and the Fund will enter into new option positions accordingly and sell any underlying
stocks it owns as a result of the Fund’s prior option positions having been exercised. This 60-day cycle likely will cause the Fund to have frequent and substantial portfolio turnover. If the Fund receives additional inflows (and issues more
Shares accordingly in large numbers known as “Creation Units,” as further defined herein) during a 60-day period, the Fund will sell additional listed put options which will be exercised or expire at the end of such 60-day period.
Conversely, if the U.S. Equity High Volatility Put Write Index Fund redeems Shares in Creation Unit size during a 60-day period, the Fund will terminate the appropriate portion of the options it has sold accordingly.
Put Option Risk. Options are generally subject to volatile swings in price based on changes in value of the underlying instrument, and the options
written by the Fund may be particularly subject to this risk because the underlying stocks are selected by the Index Provider to have high volatility. The Fund will incur a form of economic leverage through its use of options, which will increase
the volatility of the Fund’s returns and may increase the risk of loss to the Fund. While the Fund will collect premiums on the options it writes, the Fund’s risk of loss if one or more of its options is exercised and expires in-the-money
may substantially outweigh the gains to the Fund from the receipt of such option premiums. The Fund will either earmark or segregate sufficient liquid assets to cover its obligations under each option on an ongoing basis. Moreover, the options sold
by the Fund may have imperfect correlation to the returns of their underlying stocks.
Transactions in written put option contracts during the
period ended August 31, 2013, were as follows:
U.S. Equity High Volatility Put Write Index Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
Written Put Options
|
|
|
|
|
Contracts
|
|
|
Premiums
|
|
|
Options Outstanding at February 27, 2013
(1)
|
|
|
-
|
|
|
$
|
-
|
|
|
Options Written
|
|
|
(10,526)
|
|
|
|
576,852
|
|
|
Options Expired
|
|
|
4,847
|
|
|
|
(241,193
|
)
|
|
Options Closed
|
|
|
542
|
|
|
|
(25,950
|
)
|
|
Options Outstanding at August 31, 2013
|
|
|
(5,137)
|
|
|
$
|
(309,709
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Market Value at end of Period
|
|
|
|
|
|
$
|
(251,959
|
)
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
The Fund’s inception date was February 27, 2013.
|
The average written option contracts volume and the average notional value during the period ended
August 31, 2013, were as follows:
U.S. Equity High Volatility Put Write Index Fund
|
|
|
|
|
Average Written Option Contract Volume
|
|
Average Written Option Contract Notional Value
|
|
1,919
|
|
$ 67,514
|
4. Unrealized Appreciation and Depreciation on
Investments (Tax Basis)
As of August 31, 2013, the costs of investments for federal income tax purposes and accumulated net unrealized
appreciation/(depreciation) on investments were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cohen & Steers
Global Realty
Majors
ETF
|
|
|
ALPS Equal
Sector
Weight ETF
|
|
|
Jefferies
| TR/J CRB
Global Commodity
Equity Index Fund
|
|
|
Gross appreciation (excess of value over tax cost)
|
|
$
|
8,525,840
|
|
|
$
|
17,583,005
|
|
|
$
|
4,059,029
|
|
|
Gross depreciation (excess of tax cost over value)
|
|
|
(3,397,212)
|
|
|
|
0
|
|
|
|
(17,495,075)
|
|
|
Net unrealized appreciation /(depreciation)
|
|
$
|
5,128,628
|
|
|
$
|
17,583,005
|
|
|
$
|
(13,436,046)
|
|
|
Cost of investments for income tax purposes
|
|
$
|
99,558,647
|
|
|
$
|
91,967,126
|
|
|
$
|
76,562,751
|
|
|
|
|
|
|
|
Alerian MLP ETF
|
|
|
ALPS Sector
Dividend Dogs
ETF
|
|
|
ALPS International
Sector Dividend Dogs
ETF
|
|
|
Gross appreciation (excess of value over tax cost)
|
|
$
|
1,878,192,219
|
|
|
$
|
22,942,599
|
|
|
$
|
197,192
|
|
|
Gross depreciation (excess of tax cost over value)
|
|
|
(60,565,214)
|
|
|
|
(6,583,027)
|
|
|
|
(213,392)
|
|
|
Net unrealized appreciation /(depreciation)
|
|
$
|
1,817,627,005
|
|
|
$
|
16,359,572
|
|
|
$
|
(16,200)
|
|
|
Cost of investments for income tax purposes
|
|
$
|
5,418,964,720
|
|
|
$
|
333,661,115
|
|
|
$
|
14,411,325
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Equity High
Volatility Put
Write Index
Fund
|
|
|
ALPS /
GS
Momentum
Builder
®
Growth
Markets Equities
and U.S.
Treasuries Index
ETF
|
|
|
ALPS / GS
Momentum
Builder
®
Multi-
Asset Index ETF
|
|
|
Gross appreciation (excess of value over tax cost)
|
|
$
|
27,771
|
|
|
$
|
0
|
|
|
$
|
160,402
|
|
|
Gross depreciation (excess of tax cost over value)
|
|
|
(27,410)
|
|
|
|
(1,284)
|
|
|
|
(1,154)
|
|
|
Net unrealized appreciation /(depreciation)
|
|
$
|
361
|
|
|
$
|
(1,284)
|
|
|
$
|
159,248
|
|
|
Cost of investments for income tax purposes
|
|
$
|
12,899,279
|
|
|
$
|
8,321,717
|
|
|
$
|
12,210,939
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ALPS / GS
Momentum
Builder
®
Asia
ex-Japan
Equities
and
U.S. Treasuries
Index ETF
|
|
|
ALPS / GS Risk-
Adjusted Return
U.S. Large Cap
Index ETF
|
|
|
VelocityShares
Emerging Markets DR
ETF
|
|
|
Gross appreciation (excess of value over tax cost)
|
|
$
|
0
|
|
|
$
|
468,141
|
|
|
$
|
81,933
|
|
|
Gross depreciation (excess of tax cost over value)
|
|
|
(368,630)
|
|
|
|
(499,877)
|
|
|
|
(276,251)
|
|
|
Net unrealized appreciation /(depreciation)
|
|
$
|
(368,630)
|
|
|
$
|
(31,736)
|
|
|
$
|
(194,318)
|
|
|
Cost of investments for income tax purposes
|
|
$
|
9,164,802
|
|
|
$
|
11,552,444
|
|
|
$
|
2,498,928
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
VelocityShares
Russia Select
DR ETF
|
|
|
VelocityShares
Emerging Asia DR
ETF
|
|
|
VelocityShares Tail
Risk Hedged Large Cap
ETF
|
|
|
Gross appreciation (excess of value over tax cost)
|
|
$
|
77,130
|
|
|
$
|
131,962
|
|
|
$
|
27,622
|
|
|
Gross depreciation (excess of tax cost over value)
|
|
|
(222,668)
|
|
|
|
(150,008)
|
|
|
|
0
|
|
|
Net unrealized appreciation /(depreciation)
|
|
$
|
(145,538)
|
|
|
$
|
(18,046)
|
|
|
$
|
27,622
|
|
|
Cost of investments for income tax purposes
|
|
$
|
2,513,213
|
|
|
$
|
2,524,213
|
|
|
$
|
1,255,486
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
VelocityShares
Volatility
Hedged
Large
Cap ETF
|
|
|
Barron’s 400 ETF
|
|
|
Gross appreciation (excess of value over tax cost)
|
|
$
|
112,852
|
|
|
$
|
3,137,197
|
|
|
Gross depreciation (excess of tax cost over value)
|
|
|
0
|
|
|
|
(1,896,228)
|
|
|
Net unrealized appreciation /(depreciation)
|
|
$
|
112,852
|
|
|
$
|
1,240,969
|
|
|
Cost of investments for income tax purposes
|
|
$
|
5,018,180
|
|
|
$
|
74,917,497
|
|
5. Return of Capital Estimates
The Alerian MLP ETF (“Alerian Fund”) expects that a portion of the distributions it receives from Master Limited Partnerships
(“MLPs”) may be treated as a tax-deferred return of capital, thus reducing the Alerian Fund’s current tax liability. Return of capital distributions are not taxable income to the shareholder, but reduce the investor’s tax basis
in the investor’s Fund Shares. Such a reduction in tax basis will result in larger taxable gains and/or lower tax losses on a subsequent sale of Fund Shares. Shareholders who periodically receive the payment of dividends or other distributions
consisting of a return of capital may be under the impression that they are receiving net profits from the Fund when, in fact, they are not. Shareholders should not assume that the source of the distributions is from the net profits of the Fund.
6. Master Limited Partnerships
MLPs are publicly traded partnerships engaged in the transportation, storage and processing of minerals and natural resources. By confining their
operations to these specific activities, their interests, or units, are able to trade on public securities exchanges exactly like the shares of a corporation, without entity level taxation. Of the seventy MLPs eligible for inclusion in the Index,
approximately two-thirds trade on the NYSE and the rest trade on the NASDAQ. To qualify as a MLP and to not be taxed as a corporation, a partnership must receive at least 90% of its income from qualifying sources as set forth in Section 7704(d)
of the Internal Revenue Code of 1986, as amended (the “Code”). These qualifying sources include natural resource based activities such as the processing, transportation and storage of mineral or natural resources. MLPs generally have two
classes of owners, the general partner and limited partners. The general partner of an MLP is typically owned by a major energy company, an investment fund, the direct management of the MLP, or is an entity owned by one or more of such parties. The
general partner may be structured as a private or publicly traded corporation or other entity. The general partner typically controls the operations and management of the MLP through an up to 2% equity interest in the MLP plus, in many cases,
ownership of common units and subordinated units. Limited partners typically own the remainder of the partnership, through ownership of common units, and have a limited role in the partnership’s operations and management. MLPs are typically
structured such that common units and general partner interests have first priority to receive quarterly cash distributions up to an established minimum amount (“minimum quarterly distributions” or “MQD”). Common and general
partner interests also accrue arrearages in distributions to the extent the MQD is not paid. Once common and general partner interests have been paid, subordinated units receive distributions of up to the MQD; however, subordinated units do not
accrue arrearages. Distributable cash in excess of the MQD is paid to both common and subordinated units and is distributed to both common and subordinated units generally on a pro rata basis. The general partner is also eligible to receive
incentive distributions if the general partner operates the business in a manner which results in distributions paid per common unit surpassing specified target levels. As the general partner increases cash distributions to the limited partners, the
general partner receives an increasingly higher percentage of the incremental cash distributions.
Item 2. Controls and Procedures.
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(a)
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The registrant’s Principal Executive Officer and Principal Financial Officer have evaluated the registrant’s disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date.
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(b)
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There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company
Act of 1940) during 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.
Separate
certifications for the registrant’s Principal Executive Officer and Principal Financial Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act of 1940, are attached as
Exhibit 99 Cert.
-2-
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.
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ALPS ETF TRUST
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By:
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/s/ Thomas A. Carter
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Thomas A. Carter
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President (Principal Executive Officer)
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Date:
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October 29, 2013
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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.
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By:
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/s/ Thomas A. Carter
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Thomas A. Carter
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President (Principal Executive Officer)
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Date:
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October 29, 2013
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By:
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/s/ Patrick D. Buchanan
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Patrick D. Buchanan
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Treasurer (Principal Financial Officer)
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Date:
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October 29, 2013
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-3-
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