Certified Semi-annual Shareholder Report for Management Investment Companies (n-csrs)

Name	Symbol	Market	Type
GraniteShares HIPS US High Income ETF	AMEX:HIPS	AMEX	Exchange Traded Fund

	Price Change	% Change	Price	High Price	Low Price	Open Price	Traded	Last Trade
	-0.025	-0.20%	12.71	12.75	12.67	12.67	52,059	01:00:00

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-23214

GraniteShares ETF Trust

(Exact name of registrant as specified in charter)

205 Hudson Street, 7th floor

New York, New York 10013

(Address of principal executive offices) (Zip code)

William Rhind

GraniteShares ETF Trust

205 Hudson Street, 7th floor

New York, New York 10013

(Name and address of agent for service)

Copy to:

W. Thomas Conner, Esq.

Vedder Price

1633 Broadway, 31^st Floor

New York, NY 10019

Registrant’s telephone number, including area code: 1-800-422-3554

Date of fiscal year end: June 30

Date of reporting period: December 31, 2019

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.

GraniteShares ETF Trust

Semi-Annual Report

December 31, 2019

GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF

GraniteShares HIPS US High Income ETF

GraniteShares XOUT U.S. Large Cap ETF

Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. Please contact your financial intermediary to elect to receive shareholder reports and other communications electronically. You may elect to receive all future reports in paper free of charge. Please contact your financial intermediary to continue receiving paper copies of your shareholder reports and for information about whether your election to receive reports in paper will apply to all funds held with your financial intermediary.

GraniteShares ETF Trust

Table of Contents

Shareholder Expense Example	2
GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF	3
Consolidated Schedule of Investments	3
Consolidated Statement of Assets and Liabilities	5
Consolidated Statement of Operations	6
Consolidated Statements of Changes in Net Assets	7
Consolidated Financial Highlights	8
Notes to Financial Statements	9
GraniteShares HIPS US High Income ETF	14
GraniteShares XOUT U.S. Large Cap ETF	16
Schedule of Investments	16
Statements of Assets and Liabilities	25
Statements of Operations	26
Statements of Changes in Net Assets	27
Financial Highlights	28
Notes to Financial Statements	30
Board Considerations Regarding Approval of Investment Advisory Agreement	35
Supplemental Information	38

Shareholder Expense Example (Unaudited)

December 31, 2019

As a shareholder of the Fund you incur two types of costs: (1) transaction costs, including brokerage commissions paid on purchases and sales of Fund shares; and (2) ongoing costs, including management fees and other fund expenses. The following examples are intended to help you understand your ongoing costs (in dollars and cents) of investing in the Fund and to compare these costs with the ongoing costs of investing in other funds.

The expense examples are based on an investment of $1,000 invested at July 1, 2019 and held for the entire period ended December 31, 2019.

ACTUAL EXPENSES

The first line under the Fund in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for the Fund under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

The second line under the Fund in the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line under the Fund in the table is useful in comparing ongoing Fund costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value 7/1/2019		Ending Account Value 12/31/2019		Annualized Expense Ratio for the Period			Expenses Paid During the Period⁽¹⁾
GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF
Actual	$	1,000.00	$	1,023.70		0.25	%	$	1.27
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.88		0.25	%	$	1.27
GraniteShares HIPS US High Income ETF
Actual	$	1,000.00	$	1,047.50		0.70	%	$	3.60
Hypothetical (5% return before expenses)	$	1,000.00	$	1,049.10		0.70	%	$	3.56
GraniteShares XOUT U.S. Large Cap ETF
Actual	$	1,000.00	$	1,113.30		0.60	%	$	1.52	(2)
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.12		0.60	%	$	3.05

⁽¹⁾Expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 184/366 (to reflect the six month period).

⁽²⁾Actual Expenses Paid are equal to the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 88/366 (to reflect commencement of operations to December 31, 2019).

See accompanying notes to consolidated financial statements.

GraniteShares ETF Trust

Consolidated Schedule of Investments

GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF

December 31, 2019 (Unaudited)

Investments	Principal		Value
U.S. TREASURY OBLIGATIONS – 99.6%^(a)
U.S. Treasury Bill, 1.72%, 01/02/20	$	4,860,000	$	4,860,000
U.S. Treasury Bill, 1.58%, 01/07/20^(b)		3,710,000		3,709,299
U.S. Treasury Bill, 1.67%, 01/09/20^(b)		5,120,000		5,118,605
U.S. Treasury Bill, 1.60%, 01/14/20^(b)		3,525,000		3,523,281
U.S. Treasury Bill, 1.66%, 01/16/20		4,640,000		4,637,487
U.S. Treasury Bill, 1.65%, 01/23/20		4,310,000		4,306,317
U.S. Treasury Bill, 1.54%, 01/30/20^(b)		4,935,000		4,929,434
U.S. Treasury Bill, 1.57%, 02/04/20^(b)		1,000,000		998,570
U.S. Treasury Bill, 1.56%, 02/06/20		5,675,000		5,666,807
U.S. Treasury Bill, 1.57%, 02/13/20		4,720,000		4,711,836
U.S. Treasury Bill, 1.58%, 02/18/20^(b)		4,180,000		4,171,896
U.S. Treasury Bill, 1.53%, 02/20/20^(b)		5,070,000		5,059,580
U.S. Treasury Bill, 1.52%, 02/27/20^(b)		3,545,000		3,536,701
U.S. Treasury Bill, 1.56%, 03/05/20^(b)		3,690,000		3,680,330
U.S. Treasury Bill, 1.55%, 03/12/20^(b)		3,500,000		3,489,809
U.S. Treasury Bill, 1.56%, 03/19/20		2,320,000		2,312,672
U.S. Treasury Bill, 1.56%, 03/26/20^(b)		450,000		448,422
Total United States Treasury Obligations (Cost $65,155,784)				65,161,046
Total Investments – 99.6%
(Cost $65,155,784)				65,161,046
Other Assets in Excess of Liabilities – 0.4%				232,940
Net Assets – 100.0%			$	65,393,986

(a)	Represents zero coupon bonds. Rates shown reflects the effective yield.
(b)	A portion or all of the security is owned by GraniteShares BCOM Cayman Limited, a wholly-owned subsidiary of the Fund. See Note 2.

At December 31, 2019, open futures contracts were as follows:

Description	Number of Contracts		Expiration Date	Contract Type	Notional Amount		Value/Unrealized Appreciation		Value/Unrealized Depreciation
Brent Crude^(a)		79	1/31/2020	Long	$	5,214,000	$	415,500	$	–
Coffee ‘C’^(a)		40	3/19/2020	Long		1,945,500		280,650		–
Copper^(a)		68	3/27/2020	Long		4,754,900		198,400		–
Corn^(a)		190	3/13/2020	Long		3,683,625		30,125		–
Cotton No. 2^(a)		24	3/09/2020	Long		828,600		33,520		–
Crude Oil^(a)		96	2/20/2020	Long		5,833,920		200,740		–
Gasoline RBOB^(a)		25	2/28/2020	Long		1,788,150		47,036		–

See accompanying notes to consolidated financial statements.

GraniteShares ETF Trust

Consolidated Schedule of Investments

GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF (continued)

December 31, 2019 (Unaudited)

Description	Number of Contracts		Expiration Date	Contract Type	Notional Amount			Value/Unrealized Appreciation		Value/Unrealized Depreciation
Gold 100 OZ^(a)		58	2/26/2020	Long	$	8,833,980		$	323,550	$	–
KC Hard Red Winter Wheat^(a)		31	3/13/2020	Long		753,300			79,350		–
Lean Hogs^(a)		46	2/14/2020	Long		1,314,220			–		(53,450	)
Live Cattle^(a)		51	2/28/2020	Long		2,568,870			17,670		–
LME Nickel^(a)		26	1/13/2020	Long		2,179,008			–		(560,118	)
LME Nickel^(a)		(26)	1/13/2020	Short		(2,179,008	)		–		(42,177	)
LME Nickel^(a)		25	3/16/2020	Long		2,103,750			57,615		–
LME Primary Aluminum^(a)		61	1/13/2020	Long		2,728,606			73,181		–
LME Primary Aluminum^(a)		(61)	1/13/2020	Short		(2,728,606	)		–		(62,837	)
LME Primary Aluminum^(a)		59	3/16/2020	Long		2,669,750			67,056		–
LME Primary Aluminum^(a)		(1)	3/16/2020	Short		(45,250	)		–		(1,156	)
LME Zinc^(a)		(34)	1/13/2020	Short		(1,938,850	)		–		(19,263	)
LME Zinc^(a)		34	1/13/2020	Long		1,938,850			–		(47,556	)
LME Zinc^(a)		(1)	3/16/2020	Short		(56,869	)		138		–
LME Zinc^(a)		32	3/16/2020	Long		1,819,800			31,606		–
Low Sulphur Gasoil^(a)		30	3/12/2020	Long		1,833,750			77,700		–
Natural Gas^(a)		179	2/26/2020	Long		3,862,820			–		(120,800	)
NY Harbour ULSD^(a)		18	2/28/2020	Long		1,524,474			56,990		–
Silver^(a)		31	3/27/2020	Long		2,777,755			143,350		–
Soybean^(a)		80	3/13/2020	Long		3,822,000			180,187		–
Soybean Meal^(a)		66	3/13/2020	Long		2,011,020			24,490		–
Soybean Oil^(a)		112	3/13/2020	Long		2,336,544			192,000		–
Sugar #11^(a)		137	2/28/2020	Long		2,059,165			236,062		–
Wheat (CBD)^(a)		75	3/13/2020	Long		2,095,313			162,188		–
Total Futures Contracts								$	2,929,104	$	(907,357	)
Net Unrealized Appreciation (Depreciation)								$	2,021,747

(a)	A portion or all of the security is owned by GraniteShares BCOM Cayman Limited, a wholly-owned subsidiary of the Fund. See Note 2.

The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of December 31, 2019:

	Level 1		Level 2		Level 3		Total
Asset Valuation Inputs
Investments in Securities
U.S. Treasury Obligations	$	65,161,046	$	–	$	–	$	65,161,046
Other Investments
Futures		2,929,104		–		–		2,929,104
Total	$	68,090,150	$	–	$	–	$	68,090,150
Liability Valuation Inputs
Other Investments
Futures	$	907,357	$	–	$	–	$	907,357

As of December 31, 2019, there were no Level 3 investments held in the Fund.

See accompanying notes to consolidated financial statements.

GraniteShares ETF Trust

Consolidated Statement of Assets and Liabilities

December 31, 2019

	GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF
Assets:
Investments at cost	$	65,155,784
Investments at value	$	65,161,046
Cash		13,580
Unrealized appreciation on open futures contracts		2,929,104
Total Assets		68,103,730
Liabilities:
Distributions to shareholders		968,910
Advisory fees payable		13,927
Due to broker		819,550
Unrealized depreciation on open future contracts		907,357
Total Liabilities		2,709,744
Net Assets	$	65,393,986

Net Assets Consist of:
Paid-in capital	$	63,289,541
Distributable earnings/accumulated (loss)		2,104,445
Net Assets	$	65,393,986

Shares Outstanding		2,702,000
Net Asset Value per share:	$	24.20

See accompanying notes to consolidated financial statements.

GraniteShares ETF Trust

Consolidated Statement of Operations

December 31, 2019

	GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF
	Six Months Ended December 31, 2019 (Unaudited)
Investment Income:
Interest	$	668,889
Total Investment Income		668,889
Expenses:
Advisory fees		85,153
Tax fees		57
Total Expenses		85,210
Net Investment Income		583,679
Net Realized and Unrealized Gain (Loss) on:
Net realized gain (loss) on:
Investments		280
Futures contracts		(37,210	)
Net realized loss		(36,930	)
Net change in unrealized appreciation (depreciation) on:
Investments		(10,380	)
Future contracts		999,123
Net change in unrealized appreciation		988,743
Net Realized and Unrealized Gain		951,813
Net Increase in Net Assets Resulting from Operations	$	1,535,492

See accompanying notes to consolidated financial statements.

GraniteShares ETF Trust

Consolidated Statements of Changes in Net Assets

December 31, 2019

	GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF
	Six Months Ended December 31, 2019 (Unaudited)			Year Ended June 30, 2019
Operations:
Net investment income	$	583,679		$	1,033,230
Net realized loss		(36,930	)		(5,845,353	)
Net change in unrealized gain		988,743			1,757,514
Net Increase (Decrease) in Net Assets Resulting from Operations		1,535,492			(3,054,609	)

Distributions to shareholders		(968,910	)		(499,719	)

From share transactions:
Proceeds from sales of shares		10,665,856			43,080,362
Cost of shares redeemed		(13,054,566	)		(2,361,563	)
Net increase (decrease) in net assets resulting from share transactions		(2,388,710	)		40,718,799
Total Increase (Decrease) in net assets		(1,822,128	)		37,164,471

Net Assets:
Beginning of year/period		67,216,114			30,051,643
End of year/period	$	65,393,986		$	67,216,114

Changes in Shares Outstanding:
Shares outstanding, beginning of year/period		2,802,000			1,152,000
Shares sold		450,000			1,750,000
Shares redeemed		(550,000	)		(100,000	)
Shares outstanding, end of year/period		2,702,000			2,802,000

See accompanying notes to consolidated financial statements.

GraniteShares ETF Trust

Consolidated Financial Highlights

GraniteShares Bloomberg Commodity Broad	Six Months Ended December 31, 2019			Year Ended June 30,						For the Period May 19, 2017^(a) to June 30,
Strategy No K-1 ETF	(Unaudited)			2019			2018			2017
Operating Performance:
Net asset value, beginning of year/period	$	23.99		$	26.09		$	24.39		$	25.00
Net investment income^(b)		0.20			0.48			0.32			0.01
Net realized and unrealized gain (loss)^(c)		0.37			(2.36	)		1.43			(0.62	)
Total gain (loss) from investment operations		0.57			(1.88	)		1.75			(0.61	)
Less distributions from:
Net investment income		(0.36	)		(0.22	)		(0.05	)		—
Net asset value, end of year/period	$	24.20		$	23.99		$	26.09		$	24.39
Total Return^(d)		2.37	%^(e)		(7.16	)%		7.19	%		(2.46	)%^(e)
Ratios to Average Net Assets and Supplemental Data:
Net assets, end of year/period (in 000’s)	$	65,394		$	67,216		$	30,052		$	2,487
Ratio of net investment income to average net assets		1.71	%^(f)		1.99	%		1.21	%		0.49	%^(f)
Ratio of operating expenses before waivers/reimbursements		0.25	%^(f)		0.26	%		0.52	%		1.85	%^(f)
Ratio of net operating expenses net of waivers/reimbursements		0.25	%^(f)		0.25	%		0.27	%		0.30	%^(f)
Portfolio turnover rate		—	%		—	%		—	%		—	%

(a)	Commencement of operations.
(b)	Per share data is calculated using the average daily shares outstanding method.
(c)	Calculation of the net gain (loss) per share (both realized and unrealized) may not correlate to the aggregate realized and unrealized gains (losses) presented in the Consolidated Statements of Operations due to the timing of sales and repurchases of Fund shares in relation to fluctuating market values of the investments of the Fund.
(d)	Total return would have been lower if certain fund expenses had not been reimbursed by the Adviser.
(e)	Not annualized.
(f)	Annualized.

See accompanying notes to consolidated financial statements.

Notes to Consolidated Financial Statements

December 31, 2019

1. ORGANIZATION

The GraniteShares ETF Trust (the “Trust”) was organized as a Delaware statutory trust on November 7, 2016. The Trust is registered with the Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), and the offering of each Fund’s shares (“Shares”) is registered under the Securities Act of 1933, as amended (the “Securities Act”). Each Fund is a non-diversified series of a management investment company under the 1940 Act. The Trust is an open-end management investment company currently consisting of three investment series. GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF (the “Fund”) commenced operations on May 19, 2017. The remaining Funds in the Trust are presented separately.

2. CONSOLIDATED SUBSIDIARY

The Fund invests in certain commodity-related investments through GraniteShares BCOM Cayman Limited, a wholly-owned subsidiary (the “Subsidiary”).

The following table reflects the net assets of the Subsidiary as a percentage of the Fund’s net assets at December 31, 2019:

Fund		Wholly Owned Subsidiary		Value				Percentage of Fund’s Net Assets
GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF		GraniteShares BCOM Cayman Limited		$	12,161,712				18.59	%

3. SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund follows the accounting and reporting guidance in the Accounting Standards Codifications 946, “Financial Services—Investment Companies” issued by the U.S. Financial Accounting Standards Board.

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.

Investment Transactions and Investment Income: Investment transactions are recorded on the trade date. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Fund is informed of the ex-dividend dates. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis.

Dividend Distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. The Fund distributes all or substantially all of its net investment income to shareholders in the form of dividends.

Futures contracts: The Fund, through its Subsidiary, invests in a combination of exchange-listed commodity futures contracts in the normal course of pursuing its investment objectives. A futures contract is a financial instrument in which a party agrees to pay a fixed price for securities or commodities at a specified future date. Futures contracts are traded at market prices on exchanges pursuant to terms common to all market participants. Upon entering into such contracts, the Fund is required to deposit with the broker, either in cash or in securities, an initial margin in an amount equal to a certain percentage of the contract amount. Subsequent fluctuations in the value of the contract are recorded for financial statement purposes as unrealized gains or losses by the Fund and variation margin receivable or payable. Payments received or paid by the Fund adjusts the variation margin account. When a contract is closed, the Fund records a realized gain or loss.

Futures contracts may be highly volatile. Price movements may be sudden and extreme, and are influenced by a variety of factors including, among other things, changing supply and demand relationships; climate; government agricultural, trade, fiscal, monetary and exchange control programs and policies; national and international political and economic events; crop diseases; the purchasing and marketing programs of different nations; and changes in interest rates.

Open futures contracts at December 31, 2019 are listed in the Consolidated Schedule of Investments. As of December 31, 2019, the balance of margin deposited with the broker by the Fund was $819,550 as presented on the Consolidated Statement of Assets and Liabilities as due to broker. At December 31, 2019 the Fund had a variation margin receivable from broker of $1,202,197. The variation margin payable/receivable is represented by the difference between the balance of margin on deposit with the broker and the unrealized appreciation/depreciation on open futures contracts as of December 31, 2019.

Notes to Consolidated Financial Statements (continued)

December 31, 2019

4. SECURITIES VALUATION

Investment Valuation: The Fund calculates its net asset value (“NAV”) each day the New York Stock Exchange (the “NYSE”) is open for trading as of the close of regular trading on the NYSE, normally 4:00 p.m. Eastern time (the “NAV Calculation Time”).

If a market quotation is not readily available or is deemed not to reflect market value, the Adviser determines the price of the security held by the Fund based on a determination of the security’s fair value pursuant to policies and procedures approved by the Board of Trustees (the “Board”). In addition, the Fund may use fair valuation to price securities that trade on a foreign exchange when a significant event has occurred after the foreign exchange closes but before the time at which the Fund’s NAV is calculated. Such valuations would typically be categorized as Level 2 or Level 3 in the fair value hierarchy described below.

Exchange-traded futures contracts are valued at the closing price in the market where such contracts are principally traded. If no closing price is available, exchange-traded futures contracts are fair valued at the mean of the last bid and asked prices, if available, and otherwise at the closing bid price. Such valuations are typically categorized as Level 1 in the fair value hierarchy described below.

Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Board or its delegate at fair value. These securities generally include but are not limited to, restricted securities (securities which may not be publicly sold without registration under the 1933 Act) 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 pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of the Fund’s net asset value (as may be the case in foreign markets on which the security is primarily traded) or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, does not reflect the security’s “fair value.” A variety of factors may be considered in determining the fair value of such securities.

Valuing the Fund’s investments using fair value pricing will result in using prices for those investments that may differ from current market valuations.

5. FAIR VALUE MEASUREMENT

The Financial Accounting Standards Board (FASB) established a framework for measuring fair value in accordance with U.S. GAAP. Under Fair Value Measurements and Disclosures, various inputs are used in determining the value of the exchange traded fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three Levels of inputs of the fair value hierarchy are defined as follows:

Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities.

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 securities, 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.

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement.

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 hierarchy classification of inputs used to value the Fund’s investments at December 31, 2019, is disclosed at the end of the Fund’s Consolidated Schedule of Investments.

6. ADVISORY AND OTHER AGREEMENTS

GraniteShares Advisors LLC (the “Adviser”), the investment adviser to the Fund, is a Delaware limited Liability Company located at 205 Hudson Street, 7th Floor, New York, NY 10013. The Adviser provides investment advisory services to exchange-traded funds. The Adviser serves as investment adviser to the Fund with overall responsibility for the portfolio management of the Fund, subject to the supervision of the Board of Trustees (the “Board”) of the Trust.

Notes to Consolidated Financial Statements (continued)

December 31, 2019

For its services, the Adviser receives a fee that is equal to 0.25% per annum of the average daily net assets of the Fund calculated daily and paid monthly. Pursuant to the Advisory Agreement, the Adviser is responsible for substantially all expenses of the Fund (excluding interest, taxes, brokerage commissions, expenses related to short sales, other expenditures which are capitalized in accordance with generally accepted accounting principles, other extraordinary expenses not incurred in the ordinary course of the Fund’s business, and amounts, if any, payable pursuant to a plan adopted in accordance with Rule 12b-1 under the 1940 Act).

Pursuant to the Advisory Agreement, the Adviser has agreed to pay all expenses of the Fund, except for: (i) brokerage expenses and other fees, charges, taxes, levies or expenses (such as stamp taxes) incurred in connection with the execution of portfolio transactions or in connection with creation and redemption transactions; (ii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iii) compensation and expenses of the Independent Trustees; (iv) compensation and expenses of counsel to the Independent Trustees; (v) compensation and expenses of the Trust’s Chief Compliance Officer; (vi) extraordinary expenses; (vii) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; (viii) interest and taxes of any kind or nature; (ix) any fees and expenses related to the provision of securities lending services; and (x) the advisory fee payable to the Adviser under the Advisory Agreement.

This contractual arrangement may only be changed or eliminated by or with the consent of the Fund’s Board of Trustees.

During the period ended December 31, 2019, the Fund received no reimbursement payments from the Adviser.

The Adviser is the only related party involved with the operations of the Fund.

Administrator, Custodian, Accounting Agent and Transfer Agent Services: The Bank of New York Mellon (in each capacity, the “Administrator”, “Custodian,” “Accounting Agent” or “Transfer Agent”) serves as the Fund’s Administrator, Custodian, Accounting Agent and Transfer Agent pursuant to the Fund’s Administration and Accounting Agreement. The Bank of New York Mellon is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company.

Distribution and Service Fees: Foreside Fund Services, LLC. (“Distributor”) serves as the Fund’s distributor. The Trust has adopted a distribution and service plan (“Rule 12b-1 Plan”) pursuant to Rule 12b-1 under the 1940 Act. Under the Rule 12b-1 Plan, the Fund is authorized to pay an amount up to a maximum annual rate of 0.25% of its average net assets in connection with the sale and distribution of its shares and pay service fees in connection with the provision of ongoing services to shareholders. No distribution fees are currently charged to the Fund; there are no plans to impose these fees.

Share Transactions

The Fund issues and redeems shares at NAV only with certain authorized participants in large increments known as Creation Units. A Creation Unit consists of 50,000 shares. Purchases of Creation Units are made by tendering a basket of designated stocks to the fund and redemption proceeds are paid with a basket of securities from the fund’s portfolio with a balancing cash component to equate the market value of the basket of securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery. The Fund’s shares are available in smaller increments to investors in the secondary market at market prices and may be subject to commissions. Authorized participants pay a transaction fee to the shareholder servicing agent when purchasing and redeeming Creation Units of the fund. The transaction fee is used to defray the costs associated with the issuance and redemption of Creation Units.

7. INVESTMENT TRANSACTIONS

There were no cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the period ended December 31, 2019.

8. VALUATION OF DERIVATIVE INSTRUMENTS

The Fund has adopted authoritative standards of accounting for derivative instruments which establish disclosure requirements for derivative instruments. These standards improve financial reporting for derivative instruments by requiring enhanced disclosures that enables investors to understand how and why the fund uses derivatives instruments, how derivatives instruments are accounted for and how derivative instruments affect the Fund’s financial position and results of operations. The Fund uses derivative instruments as part of its principal investment strategy to achieve its investment objective.

Notes to Consolidated Financial Statements (continued)

December 31, 2019

The following is the location and fair values of the Fund’s derivative investments disclosed, if any, in the Consolidated Statement of Assets and Liabilities, categorized by primary market risk exposure as of December 31, 2019:

Fund		Asset Derivatives:		Commodity Risk
GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF		Unrealized appreciation on futures contracts		$	2,929,104

Fund		Liability Derivatives:		Commodity Risk
GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF		Unrealized depreciation on futures contracts		$	907,357

The following is the location and the effect of derivative investments, if any, on the Fund’s Consolidated Statement of Operations, categorized by primary market risk exposure during the period ended December 31, 2019:

Fund		Realized Gain (Loss)		Commodity Risk
GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF		Futures contracts		$	(37,210	)

Fund

Change in Unrealized

Gain (Loss):

Commodity Risk

GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF

Futures contracts

999,123

The following is a summary of the average volume derivative activity for the period ended December 31, 2019:

GraniteShares Bloomberg

Commodity Broad Strategy No

K-1 ETF

Futures contracts:

Average notional value of contracts

75,884,574

For the purpose of this calculation, the absolute value of quarterly outstanding notional amounts were used.

9. FEDERAL INCOME TAX MATTERS

The Fund intends to qualify as a ‘‘regulated investment company’’ under Subchapter M of the Internal Revenue Code of 1986, as amended. If so qualified, the Fund will not be subject to Federal income tax to the extent it distributes substantially all of its net investment income and net capital gains to its shareholders. Accounting for Uncertainty in Income Taxes provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the consolidated financial statements, and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax return to determine whether the tax positions are ‘‘more-likely-than-not’’ of being sustained by the applicable tax authority. Tax positions not deemed to meet the more- likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Interest and penalty related to income taxes would be recorded as income tax expense. Management of the Fund is required to analyze all open tax years, as defined by IRS statute of limitations, for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of June 30, 2019, the Fund did not have a liability for any unrecognized tax benefits. The Fund has no examination in progress and are not aware of any tax positions for which it is reasonably possible that the amounts of unrecognized tax benefits will significantly change in the next twelve months.

At June 30, 2019, the cost of investments and net unrealized appreciation (depreciation) for federal income tax purposes were as follows:

Fund		Federal Tax Cost of Investments				Gross Unrealized Appreciation				Gross Unrealized Depreciation				Net Unrealized Appreciation (Depreciation)
GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF		$	66,749,428			$	16,214			$	(572	)		$	15,642

The differences between book and tax basis cost of investments and net unrealized appreciation (depreciation) are primarily attributable to investments in pass through entities.

10. INDEMNIFICATION

In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnities. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. Management expects this risk of loss to be remote.

Notes to Consolidated Financial Statements (continued)

December 31, 2019

11. PRINCIPAL RISKS

The Fund is “non-diversified,” meaning that a relatively high percentage of its assets may be invested in a limited number of issuers of securities.

In the normal course of business, the Fund makes investments in financial instruments where the risk of potential loss exists due to changes in the market. The following is a description of select risks of investing in the Fund.

Fixed Income Securities: The Fund will invest in Fixed Income Securities. The Fixed Income Securities in which the Fund may invest include U.S. government securities, U.S. government agency securities, corporate bonds, debentures and notes, mortgage-backed and other asset-backed securities, event-linked bonds, bank certificates of deposit, fixed time deposits, bankers’ acceptances, commercial paper and other short-term fixed income securities with maturities of up to two years. The Fund’s Fixed Income Securities earn interest income for the Fund and can be used as collateral (also referred to as “margin”) for the Fund’s investments in Commodity Futures. The Fund does not target a specific duration or maturity for the debt securities in which it invests. The average duration of the portfolio of Fixed Income Securities will vary based on interest rates.

Commodity-linked derivative instruments: Commodities are assets that have tangible properties, such as oil, metals, and agricultural products. A commodity-linked instrument is a financial instrument whose value is linked to the movement of a commodity, commodity index, or commodity futures contract. The value of commodity-linked instruments may be affected by overall market movements and other factors affecting the value of a particular industry or commodity, such as weather, disease, embargoes, or political and regulatory developments.

●

Commodity Futures: The Fund expects to gain exposure to the commodity futures markets initially by investing in Commodity Futures through the Subsidiary. A Commodity Futures contract is a standardized contract traded on, or subject to the rules of, an exchange that calls for the future delivery of a specified quantity and type of underlying commodity at a specified time and place or, alternatively, may call for cash settlement.

The Fund’s prospectus contains additional information regarding risks associated with investments in the Fund.

12. SUBSEQUENT EVENTS

Management has evaluated the events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosures.

GraniteShares ETF Trust

Schedule of Invesments

GraniteShares HIPS US High Income ETF

December 31, 2019 (Unaudited)

Investments	Shares		Value
COMMON STOCKS – 65.9%
Capital Markets – 27.6%^(a)
Apollo Investment Corp.		8,915	$	155,656
Ares Capital Corp.		8,456		157,704
Bain Capital Specialty Finance, Inc.		7,804		154,207
Barings BDC, Inc.		15,125		155,485
BlackRock TCP Capital Corp.		11,113		156,138
Cohen & Steers, Inc.		2,508		157,402
FS KKR Capital Corp.		25,646		157,210
Golub Capital BDC, Inc.		8,580		158,344
Hercules Capital, Inc.		11,112		155,790
Main Street Capital Corp.		3,607		155,498
New Mountain Finance Corp.		11,388		156,471
Oaktree Specialty Lending Corp.		28,448		155,326
Prospect Capital Corp.		23,817		153,381
Solar Capital Ltd.		7,569		156,073
TPG Specialty Lending, Inc.		7,295		156,624
Total Capital Markets				2,341,309
Energy Equipment & Services – 1.1%
USA Compression Partners LP^(b)		4,851		87,997
Equity Real Estate Investment Trust (REIT) – 1.6%
Apple Hospitality REIT, Inc.		8,347		135,639
Mortgage Real Estate Investment Trust (REIT) – 21.9%
AGNC Investment Corp.		7,585		134,103
Annaly Capital Management, Inc.		14,038		132,238
Apollo Commercial Real Estate Finance, Inc.		7,170		131,139
ARMOUR Residential REIT, Inc.		7,631		136,366
Chimera Investment Corp.		6,372		131,008
Granite Point Mortgage Trust, Inc.		7,221		132,722
Invesco Mortgage Capital, Inc.		7,826		130,303
KKR Real Estate Finance Trust, Inc.		6,507		132,873
MFA Financial, Inc.		17,129		131,037
PennyMac Mortgage Investment Trust		5,931		132,202
Redwood Trust, Inc.		8,140		134,636
Starwood Property Trust, Inc.		5,363		133,324
TPG RE Finance Trust, Inc.		6,523		132,221
Two Harbors Investment Corp.		8,988		131,405
Total Mortgage Real Estate Investment Trust (REIT)				1,855,577
Oil, Gas & Consumable Fuels – 13.7%
Black Stone Minerals LP^(b)		6,592		83,850
BP Midstream Partners LP^(b)		5,422		84,638
CNX Midstream Partners LP^(b)		5,263		86,629
Crestwood Equity Partners LP^(b)		2,660		81,981
Energy Transfer LP^(b)		6,429		82,484
Holly Energy Partners LP^(b)		3,695		81,844
MPLX LP^(b)		3,252		82,796
NuStar Energy LP^(b)		3,201		82,746

See accompanying notes to financial statements.

GraniteShares ETF Trust

Schedule of Invesments

GraniteShares HIPS US High Income ETF (Continued)

December 31, 2019 (Unaudited)

Investments	Shares		Value
COMMON STOCKS (continued)
Oil, Gas & Consumable Fuels (continued)
PBF Logistics LP^(b)		4,038	$	81,770
Plains All American Pipeline LP^(b)		4,442		81,688
SFL Corp. Ltd. (Norway)		5,722		83,198
Shell Midstream Partners LP^(b)		4,158		84,033
Sunoco LP^(b)		2,724		83,354
Williams Cos., Inc. (The)		3,509		83,234
Total Oil, Gas & Consumable Fuels				1,164,245
Total Common Stocks
(Cost $5,468,664)				5,584,767
INVESTMENT COMPANIES – 32.9%
Aberdeen Global Premier Properties Fund		28,411		184,103
Aberdeen Total Dynamic Dividend Fund		20,736		185,587
Advent Claymore Convertible Securities and Income Fund		11,975		186,211
BlackRock Enhanced Global Dividend Trust		16,857		185,259
BlackRock Enhanced International Dividend Trust		31,893		187,850
BlackRock Resources & Commodities Strategy Trust		23,356		188,483
Clough Global Opportunities Fund		19,269		181,899
Nuveen Floating Rate Income Fund		18,630		190,771
Nuveen Floating Rate Income Opportunity Fund		18,857		188,382
Tri-Continental Corp.		6,530		184,146
Voya Global Equity Dividend and Premium Opportunity Fund		29,306		181,404
Voya Infrastructure Industrials and Materials Fund		15,718		180,914
Western Asset Global High Income Fund, Inc.		18,649		186,863
Western Asset High Income Fund II, Inc.		27,792		187,318
Western Asset High Income Opportunity Fund, Inc.		37,086		188,026
Total Investment Companies
(Cost $2,767,631)				2,787,216
MONEY MARKET FUND – 1.4%
BlackRock Treasury Trust, Institutional Class, 1.51%^(c) (Cost $120,686)		120,686		120,686
Total Investments – 100.2%
(Cost $8,356,981)				8,492,669
Liabilities in Excess of Other Assets – (0.2)%				(17,836	)
Net Assets – 100.0%			$	8,474,833

(a)	To the extent the Fund invests more heavily in particular sectors of the economy its performance will be especially sensitive to developments that significantly affect those sectors.
(b)	Master Limited Partnership ("MLP")
(c)	Rate shown reflects the 7-day yield as of December 31, 2019.

The following table summarizes valuation of the Fund's investments under the fair value hierarchy levels as of December 31, 2019:

	Level 1		Level 2		Level 3		Total
Asset Valuation Inputs
Investments in Securities
Common Stocks	$	5,584,767	$	–	$	–	$	5,584,767
Investment Companies		2,787,216		–		–		2,787,216
Money Market Fund		120,686		–		–		120,686
Total	$	8,492,669	$	–	$	–	$	8,492,669

As of December 31, 2019, there were no Level 3 investments held in the Fund.

See accompanying notes to financial statements.

GraniteShares ETF Trust

Schedule of Investments

GraniteShares XOUT U.S. Large Cap ETF

December 31, 2019 (Unaudited)

Investments	Shares		Value
COMMON STOCKS – 99.8%
Aerospace & Defense – 3.3%
Boeing Co. (The)		674	$	219,562
General Dynamics Corp.		352		62,075
Lockheed Martin Corp.		339		132,000
Northrop Grumman Corp.		209		71,890
Raytheon Co.		315		69,218
United Technologies Corp.		990		148,262
Total Aerospace & Defense				703,007
Air Freight & Logistics – 0.6%
Expeditors International of Washington, Inc.		195		15,214
United Parcel Service, Inc., Class B		1,005		117,645
Total Air Freight & Logistics				132,859
Airlines – 0.6%
Alaska Air Group, Inc.		144		9,756
Delta Air Lines, Inc.		795		46,492
Southwest Airlines Co.		630		34,007
United Airlines Holdings, Inc.*		315		27,748
Total Airlines				118,003
Auto Components – 0.1%
Aptiv PLC		298		28,301
Banks – 6.9%
Bank of America Corp.		10,644		374,882
Citizens Financial Group, Inc.		522		21,198
First Republic Bank		181		21,258
Huntington Bancshares, Inc.		1,208		18,217
JPMorgan Chase & Co.		3,660		510,204
M&T Bank Corp.		150		25,463
PNC Financial Services Group, Inc. (The)		525		83,806
SVB Financial Group*		60		15,062
US Bancorp		1,842		109,212
Wells Fargo & Co.		5,189		279,168
Total Banks				1,458,470
Beverages – 1.5%
Brown-Forman Corp., Class B		556		37,585
Constellation Brands, Inc., Class A		225		42,694
PepsiCo, Inc.		1,664		227,419
Total Beverages				307,698
Biotechnology – 3.1%
AbbVie, Inc.		1,739		153,971
Alexion Pharmaceuticals, Inc.*		268		28,984
Amgen, Inc.		704		169,713
Biogen, Inc. (The)*		210		62,313
Gilead Sciences, Inc.		1,455		94,546
Incyte Corp.*		249		21,743
Regeneron Pharmaceuticals, Inc.*		134		50,315

See accompanying notes to financial statements.

GraniteShares ETF Trust

Schedule of Investments

GraniteShares XOUT U.S. Large Cap ETF (continued)

December 31, 2019 (Unaudited)

Investments	Shares		Value
COMMON STOCKS (continued)

Biotechnology (continued)
Vertex Pharmaceuticals, Inc.*		301	$	65,904
Total Biotechnology				647,489
Building Products – 0.1%
Allegion PLC		105		13,077
Masco Corp.		333		15,980
Total Building Products				29,057
Capital Markets – 2.3%
Bank of New York Mellon Corp. (The)		1,098		55,262
Cboe Global Markets, Inc.		135		16,200
CME Group, Inc.		435		87,313
E*TRADE Financial Corp.		285		12,931
Intercontinental Exchange, Inc.		675		62,471
MarketAxess Holdings, Inc.		45		17,060
Moody’s Corp.		225		53,417
MSCI, Inc.		105		27,109
Northern Trust Corp.		252		26,773
Raymond James Financial, Inc.		165		14,761
S&P Global, Inc.		285		77,819
T Rowe Price Group, Inc.		270		32,897
Total Capital Markets				484,013
Chemicals – 0.7%
Celanese Corp.		135		16,621
CF Industries Holdings, Inc.		255		12,174
International Flavors & Fragrances, Inc.		122		15,740
LyondellBasell Industries NV, Class A		420		39,682
RPM International, Inc.		150		11,514
Sherwin-Williams Co. (The)		105		61,272
Total Chemicals				157,003
Commercial Services & Supplies – 0.3%
Cintas Corp.		120		32,289
Copart, Inc.*		270		24,554
Total Commercial Services & Supplies				56,843
Communications Equipment – 1.4%
Arista Networks, Inc.*		90		18,306
Cisco Systems, Inc.		4,950		237,402
F5 Networks, Inc.*		60		8,379
Juniper Networks, Inc.		405		9,975
Motorola Solutions, Inc.		195		31,422
Total Communications Equipment				305,484
Construction & Engineering – 0.1%
Jacobs Engineering Group, Inc.		150		13,474
Construction Materials – 0.2%
Martin Marietta Materials, Inc.		75		20,973

See accompanying notes to financial statements.

GraniteShares ETF Trust

Schedule of Investments

GraniteShares XOUT U.S. Large Cap ETF (continued)

December 31, 2019 (Unaudited)

Investments	Shares		Value
COMMON STOCKS (continued)

Construction Materials (continued)
Vulcan Materials Co.		150	$	21,599
Total Construction Materials				42,572
Consumer Finance – 0.1%
Discover Financial Services		375		31,807
Containers & Packaging – 0.1%
Avery Dennison Corp.		90		11,774
Distributors – 0.1%
LKQ Corp.*		359		12,816
Pool Corp.		45		9,557
Total Distributors				22,373
Electrical Equipment – 0.3%
Emerson Electric Co.		718		54,755
Electronic Equipment, Instruments & Components – 0.6%
Amphenol Corp., Class A		345		37,339
CDW Corp.		167		23,854
Cognex Corp.		197		11,040
Keysight Technologies, Inc.*		210		21,552
Trimble, Inc.*		285		11,882
Zebra Technologies Corp., Class A*		60		15,327
Total Electronic Equipment, Instruments & Components				120,994
Energy Equipment & Services – 0.3%
Baker Hughes a GE Co.		1,170		29,987
Halliburton Co.		1,022		25,008
Total Energy Equipment & Services				54,995
Entertainment – 1.4%
Activision Blizzard, Inc.		870		51,695
Electronic Arts, Inc.*		344		36,984
Live Nation Entertainment, Inc.*		255		18,225
Netflix, Inc.*		521		168,580
Take-Two Interactive Software, Inc.*		135		16,528
Total Entertainment				292,012
Equity Real Estate Investment Trust (REIT) – 0.2%
SBA Communications Corp.		135		32,534
Food & Staples Retailing – 1.4%
Costco Wholesale Corp.		525		154,308
Kroger Co. (The)		915		26,526
Sysco Corp.		600		51,324
Walgreens Boots Alliance, Inc.		1,050		61,908
Total Food & Staples Retailing				294,066
Food Products – 0.1%
Lamb Weston Holdings, Inc.		174		14,969
Health Care Equipment & Supplies – 5.2%
Abbott Laboratories		2,037		176,934

See accompanying notes to financial statements.

GraniteShares ETF Trust

Schedule of Investments

GraniteShares XOUT U.S. Large Cap ETF (continued)

December 31, 2019 (Unaudited)

Investments	Shares		Value
COMMON STOCKS (continued)

Health Care Equipment & Supplies (continued)
Align Technology, Inc.*		90	$	25,113
Baxter International, Inc.		570		47,663
Becton Dickinson and Co.		311		84,583
Boston Scientific Corp.*		1,615		73,030
Cooper Cos., Inc. (The)		59		18,956
Danaher Corp.		854		131,072
Edwards Lifesciences Corp.*		240		55,990
Hologic, Inc.*		300		15,663
IDEXX Laboratories, Inc.*		105		27,419
Intuitive Surgical, Inc.*		135		79,805
Medtronic PLC		1,560		176,982
ResMed, Inc.		165		25,570
STERIS PLC		90		13,718
Stryker Corp.		440		92,374
Teleflex, Inc.		59		22,210
Varian Medical Systems, Inc.*		105		14,911
West Pharmaceutical Services, Inc.		75		11,275
Total Health Care Equipment & Supplies				1,093,268
Health Care Providers & Services – 3.5%
AmerisourceBergen Corp.		255		21,680
Anthem, Inc.		285		86,078
Centene Corp.*		480		30,178
Cigna Corp.		421		86,090
CVS Health Corp.		1,486		110,395
Henry Schein, Inc.*		165		11,009
Humana, Inc.		165		60,476
Laboratory Corp. of America Holdings*		105		17,763
UnitedHealth Group, Inc.		1,034		303,975
WellCare Health Plans, Inc.*		60		19,813
Total Health Care Providers & Services				747,457
Health Care Technology – 0.1%
Cerner Corp.		375		27,521
Hotels, Restaurants & Leisure – 1.6%
Carnival Corp.		789		40,105
Chipotle Mexican Grill, Inc.*		30		25,113
Darden Restaurants, Inc.		150		16,352
Domino’s Pizza, Inc.		45		13,220
Hilton Worldwide Holdings, Inc.		330		36,600
McDonald’s Corp.		908		179,430
MGM Resorts International		615		20,461
Total Hotels, Restaurants & Leisure				331,281
Household Durables – 0.3%
DR Horton, Inc.		435		22,946
Garmin Ltd.		210		20,488
Lennar Corp., Class A		345		19,248

See accompanying notes to financial statements.

GraniteShares ETF Trust

Schedule of Investments

GraniteShares XOUT U.S. Large Cap ETF (continued)

December 31, 2019 (Unaudited)

Investments	Shares		Value
COMMON STOCKS (continued)

Household Durables (continued)
NVR, Inc.*	3	$	11,425
Total Household Durables			74,107
Household Products – 0.2%
Church & Dwight Co., Inc.	285		20,047
Clorox Co. (The)	150		23,031
Total Household Products			43,078
Independent Power & Renewable Electricity Producers – 0.1%
NRG Energy, Inc.	298		11,846
Industrial Conglomerates – 0.0%^**
Carlisle Cos., Inc.	62		10,034
Insurance – 0.5%
Allstate Corp. (The)	389		43,743
Arthur J Gallagher & Co.	225		21,427
Prudential Financial, Inc.	467		43,776
Total Insurance			108,946
Interactive Media & Services – 8.3%
Alphabet, Inc., Class A*	798		1,068,833
Facebook, Inc., Class A*	3,253		667,678
Twitter, Inc.*	899		28,813
Total Interactive Media & Services			1,765,324
Internet & Direct Marketing Retail – 5.7%
Amazon.com, Inc.*	564		1,042,182
Booking Holdings, Inc.*	49		100,633
eBay, Inc.	1,005		36,290
Expedia Group, Inc.	165		17,843
Total Internet & Direct Marketing Retail			1,196,948
IT Services – 4.4%
Akamai Technologies, Inc.*	195		16,844
Automatic Data Processing, Inc.	508		86,614
Broadridge Financial Solutions, Inc.	135		16,678
Cognizant Technology Solutions Corp., Class A	643		39,879
Gartner, Inc.*	105		16,181
Global Payments, Inc.	354		64,626
Jack Henry & Associates, Inc.	90		13,110
Paychex, Inc.	420		35,725
PayPal Holdings, Inc.*	1,395		150,897
VeriSign, Inc.*	135		26,012
Visa, Inc., Class A	2,348		441,189
Western Union Co. (The)	510		13,658
WEX, Inc.*	45		9,426
Total IT Services			930,839
Leisure Products – 0.1%
Hasbro, Inc.	150		15,841

See accompanying notes to financial statements.

GraniteShares ETF Trust

Schedule of Investments

GraniteShares XOUT U.S. Large Cap ETF (continued)

December 31, 2019 (Unaudited)

Investments	Shares		Value
COMMON STOCKS (continued)

Life Sciences Tools & Services – 1.6%
Agilent Technologies, Inc.	358	$	30,541
Illumina, Inc.*	179		59,381
IQVIA Holdings, Inc.*	225		34,765
Mettler-Toledo International, Inc.*	30		23,798
PerkinElmer, Inc.	120		11,652
Thermo Fisher Scientific, Inc.	479		155,613
Waters Corp.*	75		17,524
Total Life Sciences Tools & Services			333,274
Machinery – 0.8%
Caterpillar, Inc.	660		97,469
Cummins, Inc.	180		32,213
PACCAR, Inc.	390		30,849
Total Machinery			160,531
Media – 1.9%
Charter Communications, Inc., Class A*	285		138,248
Comcast Corp., Class A	5,308		238,701
Discovery, Inc., Class A*	810		26,519
Total Media			403,468
Metals & Mining – 0.2%
Newmont Goldcorp Corp.	974		42,320
Multiline Retail – 0.7%
Dollar General Corp.	300		46,794
Dollar Tree, Inc.*	272		25,581
Target Corp.	585		75,003
Total Multiline Retail			147,378
Oil, Gas & Consumable Fuels – 1.1%
Diamondback Energy, Inc.	192		17,829
EOG Resources, Inc.	677		56,706
HollyFrontier Corp.	195		9,888
Marathon Oil Corp.	884		12,005
Marathon Petroleum Corp.	735		44,284
Occidental Petroleum Corp.	1,051		43,312
Valero Energy Corp.	465		43,547
Total Oil, Gas & Consumable Fuels			227,571
Personal Products – 0.4%
Estee Lauder Cos., Inc. (The), Class A	448		92,530
Pharmaceuticals – 6.6%
Allergan PLC	391		74,747
Bristol-Myers Squibb Co.	1,919		123,181
Eli Lilly & Co.	1,122		147,464
Johnson & Johnson	3,026		441,403
Merck & Co., Inc.	3,040		276,488
Pfizer, Inc.	6,587		258,079

See accompanying notes to financial statements.

GraniteShares ETF Trust

Schedule of Investments

GraniteShares XOUT U.S. Large Cap ETF (continued)

December 31, 2019 (Unaudited)

Investments	Shares		Value
COMMON STOCKS (continued)

Pharmaceuticals (continued)
Zoetis, Inc.	540	$	71,469
Total Pharmaceuticals			1,392,831
Professional Services – 0.1%
Verisk Analytics, Inc.	193		28,823
Real Estate Management & Development – 0.1%
CBRE Group, Inc., Class A*	390		23,903
Road & Rail – 0.7%
CSX Corp.	931		67,367
JB Hunt Transport Services, Inc.	120		14,014
Norfolk Southern Corp.	309		59,986
Total Road & Rail			141,367
Semiconductors & Semiconductor Equipment – 6.5%
Advanced Micro Devices, Inc.*	1,380		63,287
Analog Devices, Inc.	435		51,695
Applied Materials, Inc.	1,080		65,923
Broadcom, Inc.	450		142,209
Cypress Semiconductor Corp.	420		9,799
Intel Corp.	5,246		313,973
KLA Corp.	195		34,743
Lam Research Corp.	180		52,632
Maxim Integrated Products, Inc.	315		19,376
Microchip Technology, Inc.	285		29,845
Micron Technology, Inc.*	1,259		67,709
NVIDIA Corp.	690		162,357
Qorvo, Inc.*	135		15,691
QUALCOMM, Inc.	1,365		120,434
Skyworks Solutions, Inc.	210		25,385
Teradyne, Inc.	195		13,297
Texas Instruments, Inc.	1,110		142,402
Universal Display Corp.	60		12,364
Xilinx, Inc.	285		27,865
Total Semiconductors & Semiconductor Equipment			1,370,986
Software – 10.8%
Adobe, Inc.*	593		195,577
ANSYS, Inc.*	104		26,771
Autodesk, Inc.*	270		49,534
Cadence Design Systems, Inc.*	330		22,889
Citrix Systems, Inc.	150		16,635
Fair Isaac Corp.*	30		11,240
Fortinet, Inc.*	210		22,420
Intuit, Inc.	315		82,508
Microsoft Corp.	9,058		1,428,447
NortonLifeLock, Inc.	735		18,757
Oracle Corp.	3,986		211,178
salesforce.com, Inc.*	1,049		170,609

See accompanying notes to financial statements.

GraniteShares ETF Trust

Schedule of Investments

GraniteShares XOUT U.S. Large Cap ETF (continued)

December 31, 2019 (Unaudited)

Investments	Shares		Value
COMMON STOCKS (continued)

Software (continued)
Synopsys, Inc.*	180	$	25,056
Tyler Technologies, Inc.*	45		13,501
Total Software			2,295,122
Specialty Retail – 3.3%
Advance Auto Parts, Inc.	88		14,094
AutoZone, Inc.*	30		35,739
Best Buy Co., Inc.	330		28,974
CarMax, Inc.*	192		16,833
Home Depot, Inc. (The)	1,287		281,055
Lowe’s Cos., Inc.	898		107,545
O’Reilly Automotive, Inc.*	90		39,444
Ross Stores, Inc.	435		50,643
Tiffany & Co.	137		18,310
TJX Cos., Inc. (The)	1,455		88,842
Tractor Supply Co.	135		12,614
Ulta Beauty, Inc.*	60		15,188
Total Specialty Retail			709,281
Technology Hardware, Storage & Peripherals – 7.9%
Apple, Inc.	5,383		1,580,718
HP, Inc.	1,768		36,332
NetApp, Inc.	270		16,808
Seagate Technology PLC	315		18,743
Western Digital Corp.	375		23,801
Total Technology Hardware, Storage & Peripherals			1,676,402
Textiles, Apparel & Luxury Goods – 1.1%
NIKE, Inc., Class B	1,844		186,816
VF Corp.	465		46,342
Total Textiles, Apparel & Luxury Goods			233,158
Trading Companies & Distributors – 0.3%
Fastenal Co.	672		24,831
United Rentals, Inc.*	90		15,009
WW Grainger, Inc.	60		20,311
Total Trading Companies & Distributors			60,151
Total Common Stocks
(Cost $19,744,009)			21,110,138
INVESTMENT COMPANY – 0.1%
iShares Core S&P 500 ETF
(Cost $28,630)	91		29,415

See accompanying notes to financial statements.

GraniteShares ETF Trust

Schedule of Investments

GraniteShares XOUT U.S. Large Cap ETF (continued)

December 31, 2019 (Unaudited)

Investments	Shares		Value
MONEY MARKET FUND – 0.2%
BlackRock Treasury Trust, Institutional Class,
1.51%^(a)
(Cost $44,886)		44,886	$	44,886
Total Investments – 100.2%
(Cost $19,817,525)				21,184,439
Liabilities in Excess of Other Assets – (0.2)%				(39,354	)
Net Assets – 100.0%			$	21,145,085

*	Non-income producing security.
**	Less than 0.05%
(a)	Rate shown reflects the 7-day yield as of December 31, 2019.

The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of December 31, 2019:

	Level 1		Level 2		Level 3		Total
Asset Valuation Inputs
Investments in Securities
Common Stocks	$	21,110,138	$	–	$	–	$	21,110,138
Money Market Fund		44,886		–		–		44,886
Investment Company		29,415		–		–		29,415
Total	$	21,184,439	$	–	$	–	$	21,184,439

As of December 31, 2019, there were no Level 3 investments held in the Fund.

See accompanying notes to financial statements.

GraniteShares ETF Trust

Statements of Assets and Liabilities

December 31, 2019 (Unaudited)

	GraniteShares HIPS US High Income ETF			GraniteShares XOUT U.S. Large Cap ETF
Assets:
Investments at cost	$	8,356,981		$	19,817,525
Investments at value	$	8,492,669		$	21,184,439
Capital shares receivable		847,459			—
Securities sold receivable		4,393,684			—
Dividends and interest receivable		72,971			9,871
Total Assets		13,806,783			21,194,310
Liabilities:
Securities purchased payable		4,425,753			—
Distributions to shareholders		53,750			28,882
Advisory fees payable		4,980			8,508
Capital shares payable		847,467			—
Capital gains payable		—			11,835
Total Liabilities		5,331,950			49,225
Net Assets	$	8,474,833		$	21,145,085

Net Assets Consist of:
Paid-in capital	$	8,935,229		$	19,773,031
Distributable earnings/accumulated (loss)		(460,396	)		1,372,054
Net Assets	$	8,474,833		$	21,145,085

Shares Outstanding		500,000			750,000
Net Asset Value per share:	$	16.95		$	28.19

See accompanying notes to financial statements.

GraniteShares ETF Trust

Statements of Operations

	GraniteShares HIPS US High Income ETF			GraniteShares XOUT U.S. Large Cap ETF
	Six Months Ended December 31, 2019 (Unaudited)			For the Period from October 4, 2019^(a) to December 31, 2019
Investment Income:
Dividends	$	293,703		$	47,878
Total Investment Income		293,703			47,878
Expenses:
Advisory fees		28,622			19,003
Tax fees		57			—
Total Expenses		28,679			19,003
Net Investment Income		265,024			28,875
Net Realized and Unrealized Gain (Loss) on:
Net realized gain (loss) on:
Investments		(51,252	)		16,983
In-Kind redemptions		98,770			—
Net realized gain		47,518			16,983
Net change in unrealized appreciation (depreciation) on:
Investments		78,202			1,366,914
Net change in unrealized appreciation		78,202			1,366,914
Net Realized and Unrealized Gain		125,720			1,383,897
Net Increase in Net Assets Resulting from Operations	$	390,744		$	1,412,772

(a)	Commencement of operations.

See accompanying notes to financial statements.

GraniteShares ETF Trust

Statements of Changes in Net Assets

	GraniteShares HIPS US High Income ETF						GraniteShares XOUT U.S. Large Cap ETF
	Six Months Ended December 31, 2019 (Unaudited)			Year Ended June 30, 2019			For the Period October 4, 2019^(a) to December 31, 2019
Operations:
Net investment income	$	265,024		$	247,926		$	28,875
Net realized gain		47,518			67,749			16,983
Net change in unrealized gain		78,202			8,093			1,366,914
Net Increase in Net Assets Resulting from Operations		390,744			323,768			1,412,772

Distributions to shareholders		(317,125	)		(141,263	)		(40,718	)
Tax return of capital to shareholders		—			(423,112	)		—
Total distributions to shareholders		(317,125	)		(564,375	)		(40,718	)

From share transactions:
Proceeds from sales of shares		1,679,481			2,534,818			19,773,031
Cost of shares redeemed		(847,468	)		(2,511,002	)		—
Net increase in net assets resulting from share transactions		832,013			23,816			19,773,031
Total Increase (Decrease) in net assets		905,632			(216,791	)		21,145,085

Net Assets:
Beginning of period		7,569,201			7,785,992			—
End of period	$	8,474,833		$	7,569,201		$	21,145,085

Changes in Shares Outstanding:
Shares outstanding, beginning of period		450,000			450,000			—
Shares sold		100,000			150,000			750,000
Shares redeemed		(50,000	)		(150,000	)		—
Shares outstanding, end of period		500,000			450,000			750,000

(a)	Commencement of operations.

See accompanying notes to financial statements.

GraniteShares ETF Trust

Financial Highlights

										Year ended
GraniteShares HIPS US High Income ETF	Six Months Ended December 31, 2019 (Unaudited)			Year Ended June 30, 2019			Year Ended June 30, 2018^(a)			2017			2016			For the Period January 6, 2015^* to November 30, 2015
Operating Performance:
Net asset value, beginning of year/period	$	16.82		$	17.30		$	17.49		$	17.41		$	16.54		$	20.00
Net investment income^(b)		0.54			0.56			0.29			0.57			0.74			0.63
Distributions of net realized gains from investments in other investment companies		–			–	^(c)		–	^(c)		–			–			–
Net realized and unrealized gain (loss)^(d)		0.24			0.25			0.27			0.80			1.42			(3.01	)
Total gain (loss) from investment operations		0.78			0.81			0.56			1.37			2.16			(2.38	)
Less distributions from:
Net investment income		(0.65	)		(0.32	)		(0.58	)		(0.48	)		(0.85	)		(0.59	)
Tax return of capital to shareholders		—			(0.97	)		(0.17	)		(0.81	)		(0.44	)		(0.49	)
Total distributions		(0.65	)		(1.29	)		(0.75	)		(1.29	)		(1.29	)		(1.08	)
Net asset value, end of year/period	$	16.95		$	16.82		$	17.30		$	17.49		$	17.41		$	16.54
Total Return^(e)		4.75	%^(f)		4.95	%		3.38	%^(f)		7.87	%		14.02	%		(12.39	)%^(f)
Ratios to Average Net Assets and Supplemental Data:
Net assets, end of year/period (in 000’s)	$	8,475		$	7,569		$	7,786		$	10,494		$	6,966		$	4,962
Ratio of net investment income to average net assets		6.48	%^(g)		3.33	%		2.92	%^(g)		3.18	%		4.49	%		3.72	%^(g)
Ratio of investment income (loss) excluding tax expense to average net assets		6.48	%^(g)		3.33	%		2.92	%^(g)		3.18	%		4.50	%		3.72	%^(g)
Ratio of operating expenses before waivers/reimbursements		0.70	%^(g)		0.73	%		0.98	%^(g)		0.75	%		0.76	%		0.75	%^(g)
Ratio of net operating expenses net of waivers/reimbursements		0 .70	%^(g)		0.70	%		0.70	%^(g)		0.75	%		0.75	%		0.75	%^(g)
Portfolio turnover rate		47	%^(f)		112	%		33	%^(f)		88	%		54	%		23	%^(f)

*	Commencement of operations.
(a)	For the period December 1, 2017 to June 30, 2018.
(b)	Per share data is calculated using the average daily shares outstanding method.
(c)	Amount represents less than $0.005 per share.
(d)	Calculation of the net gain (loss) per share (both realized and unrealized) may not correlate to the aggregate realized and unrealized gains (losses) presented in the Statement of Operations due to the timing of sales and repurchases of Fund shares in relation to fluctuating market values of the investments of the Fund.
(e)	Total return would have been lower if certain fees had not been reimbursed by the Adviser.
(f)	Not annualized.
(g)	Annualized.

See accompanying notes to financial statements.

GraniteShares ETF Trust

Consolidated Financial Highlights

GraniteShares XOUT U.S. Large Cap ETF	For the Period October 4, 2019^(a) to December 31, 2019
Operating Performance:
Net asset value, beginning of year/period	$	25.37
Net investment income^(b)		0.06
Net realized and unrealized gain^(c)		2.81
Total gain from investment operations		2.87
Less distributions from:
Net investment income		(0.04	)
Net realized gains		(0.01	)
Net asset value, end of year/period	$	28.19
Total Return^(d)		11.33	%(e)
Ratios to Average Net Assets and Supplemental Data:
Net assets, end of year/period (in 000’s)	$	21,145
Ratio of net investment income to average net assets		0.91	%(f)
Ratio of operating expenses before waivers/reimbursements		0.60	%(f)
Ratio of net operating expenses net of waivers/reimbursements		0.60	%(f)
Portfolio turnover rate		9	%(e)

(a)	Commencement of operations.
(b)	Per share data is calculated using the average daily shares outstanding method.
(c)	Calculation of the net gain (loss) per share (both realized and unrealized) may not correlate to the aggregate realized and unrealized gains (losses) presented in the Consolidated Statements of Operations due to the timing of sales and repurchases of Fund shares in relation to fluctuating market values of the investments of the Fund.
(d)	Total return would have been lower if certain fund expenses had not been reimbursed by the Adviser.
(e)	Not annualized.
(f)	Annualized.

See accompanying notes to financial statements

GraniteShares ETF Trust

Notes to Financial Statements

December 31, 2019

1. ORGANIZATION

GraniteShares HIPS US High Income ETF (“HIPS”) and Graniteshares XOUT U.S. Large Cap ETF (“XOUT”) (each, a “Fund”, and collectively, the “Funds”) are each a diversified series of GraniteShares ETF Trust (the “Trust”), an open-end management investment company consisting of three investment series, organized as a Delaware statutory trust on November 7, 2016. The remaining Fund in the Trust is presented separately. The Trust is registered with the SEC under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and the offering of the Funds’ shares is registered under the Securities Act of 1933, as amended (the “Securities Act”). The investment objective of HIPS and XOUT are to track the performance, before fees and expenses, of the TFMS HIPS 300 Index and XOUT U.S. Large Cap Index (each, an “Index”, and collectively, the “Indexes”), respectively. HIPS and XOUT commenced operations on January 6, 2015 and October 4, 2019, respectively.

On December 13, 2017, the shareholders of the Master Income ETF (the “Reorganizing Fund”), a series of the ETF Series Solutions, approved an Agreement and Plan of Reorganization providing for the transfer of all assets and liabilities of the Reorganizing Fund to the GraniteShares ETF Trust. HIPS, a new series of the Trust, assumed the financial and performance history of the Master Income ETF. The tax-free merger took place on December 15, 2017.

HIPS fiscal year was changed to June 30. As a result, HIPS had a shortened fiscal year covering the transitional period between the Fund’s prior fiscal year end November 30, 2017 and June 30, 2018.

2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Funds follow the accounting and reporting guidance in the Accounting Standards Codifications 946, “Financial Services—Investment Companies” issued by the U.S. Financial Accounting Standards Board.

The following is a summary of significant accounting policies followed by the Funds in the preparation of its financial statements.

Investment Transactions and Investment Income: Investment transactions are recorded on the trade date. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as each Fund is informed of the ex-dividend dates. Interest income, including accretion of discounts and amortization of premiums, is recorded on the accrual basis. Withholding taxes on foreign dividends have been provided for in accordance with each Fund’s understanding of the applicable tax rules and regulations.

Distributions received from the Funds’ investments in master limited partnerships (“MLPs”) generally are comprised of ordinary income and return of capital from the MLPs. The Funds allocate distributions between investment income and return of capital based on estimates. Such estimates are based on information provided by each MLP and other industry sources. These estimates may subsequently be revised based on actual allocations received from MLPs after their tax reporting periods are concluded, as the actual character of these distributions is not known until after the fiscal year end of the Funds.

Distributions received from the Funds’ investments in real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain, or a return of capital. The proper characterization of REIT distributions is generally not known until after the end of each calendar year. As such, the Funds must use estimates in reporting the character of its income and distributions for financial statement purposes. The actual character of distributions to the Funds’ shareholders will be reflected on the Form 1099 received by shareholders after the end of the calendar year. Due to the nature of REIT investments, a portion of the distributions received by the Funds’ shareholders may represent a return of capital.

Distributions received from the Funds’ investments in closed-end funds (“CEFs”) are recorded as ordinary income, net realized capital gain or return of capital based on information reported by the CEFs and management’s estimates of such amounts based on historical information. These estimates are adjusted with the tax returns after the actual source of distributions has been disclosed by the CEFs and may differ from the estimated amounts.

Dividend Distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. The Funds distribute all or substantially all of their net investment income to shareholders in the form of dividends.

GraniteShares ETF Trust

Notes to Financial Statements (continued)

December 31, 2019

3. SECURITIES VALUATION

The NAV per share of each Fund is calculated by dividing the sum of the value of the securities held by each Fund, plus cash and other assets, minus all liabilities (including estimated accrued expenses) by the total number of shares outstanding of each Fund, rounded to the nearest cent. The Fund’s shares will not be priced on the days on which the New York Stock Exchange Arca, Inc. (“NYSE Arca”) is closed for trading. The offering and redemption price per share for each Fund is equal to the Fund’s NAV per share.

Equity securities listed on an exchange or on the NASDAQ National Market System are valued at the last quoted sale price or the official closing price of the day, respectively. Foreign equity securities are valued as of the close of trading on the foreign stock exchange on which the security is primarily traded or as of 4 p.m. Eastern time. The value is then converted into its U.S. dollar equivalent at the foreign exchange rate in effect at 4 p.m. Eastern time on the day that the value of the security is determined.

Investments in open-end mutual funds are valued at the closing NAV. Investments in closed-end funds are valued at closing quoted sale price or the official closing price of the day, respectively. Registered fund positions held by HIPS and XOUT at December 31, 2019 are represented by closed-ended (single class) registered funds, respectively.

Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Board or its delegate at fair value. These securities generally include but are not limited to, restricted securities (securities which may not be publicly sold without registration under the 1933 Act) 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 pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of each Fund net asset value (as may be the case in foreign markets on which the security is primarily traded) or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, does not reflect the security’s “fair value.” A variety of factors may be considered in determining the fair value of such securities.

Valuing each Fund’s investments using fair value pricing will result in using prices for those investments that may differ from current market valuations.

4. FAIR VALUE MEASUREMENT

Level 1 -	Unadjusted quoted prices in active markets for identical assets or liabilities.
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 securities, 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.

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement.

The hierarchy classification of inputs used to value each Fund’s investments at December 31, 2019, is disclosed at the end of each Fund’s Schedule of Investments.

GraniteShares ETF Trust

Notes to Financial Statements (continued)

December 31, 2019

5. ADVISORY AND OTHER AGREEMENTS

GraniteShares Advisors LLC (the “Adviser”), the investment adviser to the Funds, is a Delaware limited Liability Company located at 205 Hudson Street, 7th Floor, New York, NY 10013. The Adviser provides investment advisory services to exchange-traded funds. The Adviser serves as investment adviser to the Funds with overall responsibility for the portfolio management of the Funds, subject to the supervision of the Board of Trustees (the “Board”) of the Trust.

For its services, the Adviser receives a fee that is equal to 0.70% per annum of the average daily net assets of HIPS and 0.60% per annum of the average daily net assets of XOUT, calculated daily and paid monthly. Pursuant to the Advisory Agreement, the Adviser is responsible for substantially all expenses of each Fund (excluding interest, taxes, brokerage commissions, expenses related to short sales, other expenditures which are capitalized in accordance with generally accepted accounting principles, other extraordinary expenses not incurred in the ordinary course of each Fund’s business, and amounts, if any, payable pursuant to a plan adopted in accordance with Rule 12b-1 under the 1940 Act).

Pursuant to the Advisory Agreement, the Adviser has agreed to pay all expenses of each Fund, except for: (i) brokerage expenses and other fees, charges, taxes, levies or expenses (such as stamp taxes) incurred in connection with the execution of portfolio transactions or in connection with creation and redemption transactions; (ii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iii) compensation and expenses of the Independent Trustees; (iv) compensation and expenses of counsel to the Independent Trustees; (v) compensation and expenses of the Trust’s Chief Compliance Officer; (vi) extraordinary expenses; (vii) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; (viii) interest and taxes of any kind or nature; (ix) any fees and expenses related to the provision of securities lending services; and (x) the advisory fee payable to the Adviser under the Advisory Agreement.

During the period ended December 31, 2019, the Funds received no reimbursed payments from the Adviser.

The Adviser is the only related party involved with the operations of the Funds.

The Bank of New York Mellon (in each capacity, the “Administrator”, “Custodian,” “Accounting Agent” or “Transfer Agent”) serves as the Funds’ Administrator, Custodian, Accounting Agent and Transfer Agent pursuant to the Fund Administration and Accounting Agreement. The Bank of New York Mellon is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company.

Foreside Fund Services, LLC. (“Distributor”) serves as the Funds’ distributor. The Trust has adopted a distribution and service plan (“Rule 12b-1 Plan”) pursuant to Rule 12b-1 under the 1940 Act. Under the Rule 12b-1 Plan, the Funds are authorized to pay an amount up to a maximum annual rate of 0.25% of its average net assets in connection with the sale and distribution of its shares and pay service fees in connection with the provision of ongoing services to shareholders. No distribution fees are currently charged to the Funds; there are no plans to impose these fees.

6. SHARE TRANSACTIONS

Shares of the Funds are listed and traded on NYSE Arca. Market prices for the shares may be different from their NAV. The Funds issue and redeem shares on a continuous basis at NAV only in blocks of 50,000 shares, called “Creation Units.” Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, shares generally trade in the secondary market at market prices that change throughout the day. Except when aggregated in Creation Units, shares are not redeemable securities of the Funds. Creation Units may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a Depository Trust Company participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem shares directly from the Fund. Rather, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.

GraniteShares ETF Trust

Notes to Financial Statements (continued)

December 31, 2019

The Funds currently offer one class of shares, which have no front-end sales load, no deferred sales charge, and no redemption fee. A fixed transaction fee is imposed for the transfer and other transaction costs associated with the purchase or sale of a Creation Unit. The standard fixed transaction fee for each Fund is $750, payable to the Custodian. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units of up to a maximum of 2% of the value of the Creation Units subject to the transaction. Variable fees are imposed to compensate each Fund for the transaction costs associated with the cash transactions. There were no variable fees received during the year. The Funds may issue an unlimited number of shares of beneficial interest, with no par value. All shares of the Funds have equal rights and privileges.

7. INVESTMENT TRANSACTIONS

During the period ended December 31, 2019, purchases and sales of securities by HIPS, excluding short-term securities and in-kind transactions, were $3,754,104 and $3,760,582, respectively, and purchases and sales of securities by XOUT, excluding short-term securities and in-kind transactions, were $1,170,767 and $1,171,208, respectively.

During the period ended December 31, 2019, in-kind transactions for HIPS associated with creations and redemptions were $1,661,703 and $840,426, respectively, and in-kind transactions for XOUT associated with creations and redemptions were $19,756,097 and $ -, respectively.

8. FEDERAL INCOME TAX MATTERS

The Funds intend to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended. If so qualified, the Funds will not be subject to Federal income tax to the extent they distribute substantially all of their net investment income and net capital gains to its shareholders. Accounting for Uncertainty in Income Taxes provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements, and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are ’‘more-likely-than-not’’ of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Interest and penalty related to income taxes would be recorded as income tax expense. Management of the Funds is required to analyze all open tax years, as defined by IRS statute of limitations, for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of June 30, 2019, the Funds did not have a liability for any unrecognized tax benefits. The Funds have no examination in progress and are not aware of any tax positions for which it is reasonably possible that the amounts of unrecognized tax benefits will significantly change in the next twelve months.

At June 30, 2019, the cost of investments and net unrealized appreciation (depreciation) for federal income tax purposes were as follows:

Federal Tax Cost of Investments				Gross Unrealized Appreciation				Gross Unrealized Depreciation				Net Unrealized Appreciation (Depreciation)
$	7,515,135			$	86,688			$	(68,504	)		$	18,184

9. INDEMNIFICATION

In the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against each Fund that has not yet occurred. Management expects this risk of loss to be remote.

10. PRINCIPAL RISKS

In the normal course of business, the Funds make investments in financial instruments where the risk of potential loss exists due to changes in the market. The following is a description of select risks of investing in the Fund.

REIT Investment Risk: Investments in REITs involve unique risks. REITs may have limited financial resources, may trade less frequently and in limited volume, and may be more volatile than other securities. The risks of investing in REITs include certain risks associated with the direct ownership of real estate and the real estate industry in general. REITs are also subject to heavy cash flow dependency, defaults by borrowers and self-liquidation.

GraniteShares ETF Trust

Notes to Financial Statements (continued)

December 31, 2019

MLP Risk: MLP investment returns are enhanced during periods of declining or low interest rates and tend to be negatively influenced when interest rates are rising. In addition, most MLPs are fairly leveraged and typically carry a portion of a “floating” rate debt. As such, a significant upward swing in interest rates would also drive interest expense higher. Furthermore, most MLPs grow by acquisitions partly financed by debt, and higher interest rates could make it more difficult to make acquisitions. MLP investments also entail many of the general tax risks of investing in a partnership. Limited partners in an MLP typically have limited control and limited rights to vote on matters affecting the partnership. Additionally, there is always the risk that an MLP will fail to qualify for favorable tax treatment.

Business Development Company (“BDC”) Risk: BDC’s may carry risks similar to those of a private equity or venture capital fund. BDC company securities are not redeemable at the option of the shareholder and they may trade in the market at a discount to their net asset value. BDCs usually trade at a discount to their NAV because they invest in unlisted securities and have limited access to capital markets. BDC’s are subject to management and other expenses, which will be indirectly paid by each Fund.

Investment Company Risk: The risks of investment in investment companies typically reflect the risks of the types of instruments in which the investment companies invest in. By investing in another investment company, each Fund becomes a shareholder of that investment company and bears its proportionate share of the fees and expenses of the other investment company. The Funds may be subject to statutory limits with respect to the amount it can invest in other investment companies, which may adversely affect the Funds’ ability to achieve its investment objective.

Sector Risk: To the extent the Funds invest more heavily in particular sectors of the economy, performance will be especially sensitive to developments that significantly affect those sectors.

11. SUBSEQUENT EVENTS

Board Considerations Regarding Approval of Investment Advisory Agreement

GRANITESHARES ETF TRUST

GraniteShares XOUT U.S. Large Cap ETF

GraniteShares ETF Trust (the “Trust”) was organized as a Delaware statutory trust on November 7, 2016, and is authorized to establish multiple series, with each series representing interests in a separate portfolio of securities and other assets of the Trust (each, a “Fund” and collectively, the “Funds”). The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). On August 20, 2019, GraniteShares Advisors LLC (“GraniteShares” or the “Adviser”) was approved to serve as the investment adviser to GraniteShares XOUT U.S. Large Cap ETF (the “New Fund” or “XOUT”), pursuant to Amendment No. 2, dated September 24, 2019, to the Amended and Restated Investment Advisory Agreement, dated August 17, 2018, between GraniteShares and the Trust (as amended, the “Advisory Agreement”).

Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), GraniteShares provides a continuous program of investment management for each Fund and, among other services, determines, in its discretion, the securities to be purchased, retained or sold with respect to each Fund. GraniteShares will provide those same services to the New Fund.

The 1940 Act provides, in substance, that an investment advisory agreement between a fund and its investment adviser may be entered into only if it is approved by the fund’s board of trustees, including by a vote of a majority of the trustees who are not “interested person[s],” as defined by the 1940 Act, of the fund, cast in person at a meeting called for the purpose of considering such approval. At a meeting held in person on August 20, 2019 (the “August Meeting”), the Trustees who are not “interested persons” (collectively, the “Independent Trustees”) considered the approval of the Advisory Agreement with respect to the New Fund. As part of its review process, counsel to the Trust reviewed and discussed with the Independent Trustees various factors relevant to the consideration of the Advisory Agreement and the legal responsibilities of the Trustees related to such consideration. In this connection, the Independent Trustees also took into account their previous discussions with counsel regarding the foregoing. The Trustees, including the Independent Trustees, discussed the Advisory Agreement in light of the regulatory requirements and criteria and assessed information concerning the New Fund’s proposed investment advisory fee and expense structure, investment objective, index provider and index construction methodology, and peer funds and market opportunity, among other things.

Following an analysis and discussion of the factors identified below, in the exercise of their reasonable business judgment and in light of their respective fiduciary duties, the Trustees unanimously concluded that it was in the best interest of the New Fund to approve the Advisory Agreement for an initial term of two years from commencement of the New Fund’s operations. In making determinations regarding the factors identified below, the Trustees considered information received (both oral and written) at the August Meeting as well as information obtained through the Board’s accumulated experience overseeing the existing Funds. In this regard, the Board’s conclusions were also based on its knowledge of how well the Adviser performs its duties obtained through Board meetings, discussions and reports during the year.

Nature, Extent and Quality of Services to Be Provided by the Adviser: With respect to the nature, extent and quality of services to be provided by the Adviser for the New Fund, the Independent Trustees considered the functions to be performed by the Adviser for the New Fund and the nature and quality of services provided by GraniteShares in the past, including the firm’s management capabilities demonstrated with respect to the existing Funds. The Trustees considered the responsibilities to be assumed by the Adviser, including, among other things: responsibility for the general management of the day-to-day investment and reinvestment of the assets of the New Fund to track the performance of the underlying index; determining the daily basket of deposit securities and cash components; executing portfolio security trades for purchases and redemptions of shares; and monitoring and coordinating the provision of services to the New Fund by each of the third-party service providers, including the fund administrator, transfer agent, custodian and distributor.

In considering the nature, extent and quality of the services to be provided by the Adviser, the Board considered the qualifications, experience and responsibilities of the Adviser’s investment personnel and the quality of the compliance infrastructure, including the regular reports provided by the Trust’s Chief Compliance Officer regarding compliance procedures and practices.

The Board also noted the distinctive nature of the New Fund, as an ETF, which is constructed to track the performance of a defined index of securities, before fund fees and expenses. Therefore, the New Fund does not follow traditional methods of active management, which may involve the buying and selling of securities based upon analysis of economic and market factors. Rather, the Adviser employs a “passive management”—or indexing—investment approach to seek achieve the New Fund’s investment objective. In this connection, the Board considered the Adviser’s expected efforts to promote the New Fund and the Adviser’s prior experience in organizing, managing and overseeing ETFs and coordinating their operation and administration. The Board also considered the acceptability of the terms of the Advisory Agreement, including the scope of services required to be performed by the Adviser, noting that the terms were consistent with the services provided for the existing Funds.

Based on the foregoing, the Board concluded that the Adviser and its personnel were qualified to serve the New Fund in such capacity, and that the nature, quality and extent of services proposed to be provided by the Adviser would be satisfactory and adequate for the New Fund.

Investment Performance: With respect to investment performance, the Board noted that the New Fund has no operating history. Consequently, the Board considered the investment objective and strategies of the New Fund and noted the following:

GraniteShares XOUT U.S. Large Cap ETF: The New Fund seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of the XOUT U.S. Large Cap Index (the “Index”). The Index utilizes a proprietary, quantitative methodology developed by XOUT Capital, LLC (the “Index Provider”), designed to identify companies that have a risk of being disrupted and as a result could underperform their relevant sector. The companies identified are then excluded from the index selection. In order to identify the companies to be excluded, each eligible company receives a score, the XOUT Score, based on the following 7 quantitative factors:

Revenue growth

Hiring growth

Capital deployment

Share repurchases

Profitability and deposit growth (for banks)

Earning sentiment

Management performance

Each quantitative factor receives a quintile score from 1 to 5, 5 being the best. The quintile scores are weighted to achieve an aggregate quintile score for each company. Companies scoring below the median quintile are excluded from the index selection. The Index is market capitalization weighted and reconstituted on a quarterly basis.

The Board also noted that the Index Provider is deemed to be affiliated with the Adviser and publishes information regarding the market value of the Index.

In addition to the foregoing, the Board considered the Adviser’s plans for implementing the above-described Index strategy and its ability to manage the New Fund. The Board also considered the Adviser’s overall performance record in managing the existing Funds, as well as the portfolio managers’ expertise, and determined that the Adviser’s performance was expected to be acceptable.

Comparative Fees, Costs of Services to Be Provided and the Profits to Be Realized by the Adviser from Its Relationship with the New Fund: The Board noted that the proposed advisory fee for the New Fund is a unitary fee pursuant to which the Adviser assumes substantially all expenses of the Fund (excluding interest, taxes, brokerage commissions, expenses related to short sales, other expenditures which are capitalized in accordance with generally accepted accounting principles, other extraordinary expenses not incurred in the ordinary course of the New Fund’s business, and amounts, if any, payable pursuant to a plan adopted in accordance with Rule 12b-1 under the 1940 Act.) In this connection, the Board reviewed information provided in the meeting materials comparing the New Fund’s proposed unitary fee to certain other funds identified by the Adviser, taking into account the uniqueness of the New Fund’s strategy. Specifically, the Adviser identified six ETFs focusing on U.S. large cap stocks and employing certain similar screens to identify target stocks. Based on the information presented by the Adviser, the average advisory fee charged by these funds is 0.61%, above the New Fund’s proposed unitary fee of 60 basis points. The fee data provided by the Adviser also indicated that for the broader universe of approximately 200 U.S. large cap mutual funds, the average fee advisory fee is 0.96%.

The Board concluded that the New Fund’s proposed unitary fee was reasonable given the nature, extent and anticipated quality of the services expected to be provided under the Advisory Agreement.

With respect to the costs of advisory services to be provided and estimated level of profitability, the Trustees noted that the New Fund is newly organized and has no assets, and that they would have the opportunity in the future to periodically reexamine this matter.

Economies of Scale to Be Realized: With respect to economies of scale, the Board was of the view that New Fund benefits from economies of scale (if any) by virtue of a unitary fee arrangement set at a competitive level at the New Fund’s inception, that subsumes economies of scale in the fee itself. The Board also noted the start-up status of the New Fund.

Overall Conclusions

Based on the foregoing, the Trustees determined that the proposed advisory fee for the New Fund is fair and reasonable in light of the extent and anticipated quality of the services expected to be provided and the other benefits to be received and that the approval of the Advisory Agreement is in the best interest of the New Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Trustee, in the exercise of his business judgment, may attribute different weights to different factors. At the August Meeting, the Board, including all of the Independent Trustees, approved the Advisory Agreement for an initial term of two years term of two years from commencement of operations with respect to the New Fund.

GraniteShares ETF Trust

Supplemental Information

Quarterly Portfolio Holdings Information

The Funds will be required to file their complete schedule of portfolio holdings with the SEC for their first and third quarters on Form N-PORT. Copies of the filings will be available without charge on the SEC’s website at www.sec.gov. You will also be able obtain copies of Form N-PORT by visiting the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Proxy Voting Information

A description of the Funds proxy voting policies and procedures, as well as a record of how the Funds voted proxies during the most recent 12-month period ended June 30, is available without charge upon request by calling 1-844-476-8747. This information will also be available on the SEC’s website at www.sec.gov.

Premium/Discount Information

Information about the differences between the daily market price on the secondary market for the shares of a Fund and the Fund’s net asset value may be found on the Fund’s website at www.graniteshares.com.

Authorized for distribution only when accompanied or preceded by a prospectus. Investors should carefully consider the fund’s investment goals, risks, charges and expense before investing. A prospectus contains this and other important information. Please read carefully before investing.

Distributor, Foreside Fund Services, LLC

GraniteShares ETF Trust

205 Hudson Street, 7^th Floor

New York, NY 10013

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

(a)	Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.

(b)	Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s Board of Trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

Item 11. Controls and Procedures.

	(a)	The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

	(b)	There have been no changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

	(a)(1)	Not applicable.

	(a)(2)	Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

	(a)(3)	Not applicable.

	(a)(4)	Not applicable.

	(b)	Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)

GraniteShares ETF Trust

By (Signature and Title)*
	William Rhind, Trustee, President and Chief Financial Officer
	(principal executive officer and principal financial officer)

Date

3/2/2020

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)*
	William Rhind, Trustee, President and Chief Financial Officer
	(principal executive officer and principal financial officer)

Date

3/2/2020

^*Print the name and title of each signing officer under his or her signature.

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HIPS GraniteShares HIPS US High Income ETF