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

Name	Symbol	Market	Type
ALPS OShares US Small Cap Quality Dividend ETF	AMEX:OUSM	AMEX	Exchange Traded Fund

	Price Change	% Change	Price	High Price	Low Price	Open Price	Traded	Last Trade
	0.37	0.86%	43.50	43.525	43.33	43.36	13,941	15:22:14

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: 811-23167

OSI ETF Trust

(Exact name of registrant as specified in charter)

60 State Street

Suite 700

Boston, MA 02109

(Address of principal executive offices) (Zip code)

Connor O’Brien

60 State Street

Suite 700

Boston, MA 02109

(Name and Address of Agent for Service)

Registrant’s telephone number, including area code: (617) 855-7670

Date of fiscal year end: June 30

Date of reporting period: December 31, 2019

Item 1. Reports to Stockholders.

The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).

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Semiannual Report

December 31, 2019

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semiannual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website (www.oshares.com), 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. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as your brokerage firm).

Alternatively, you may elect to receive paper copies of all future reports free of charge by contacting your financial intermediary. Your election to receive reports in paper will apply to all funds held in your account(s) that you invest in through your financial intermediary.

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Before investing you should carefully consider a Fund’s investment objectives, risks, charges and expenses. This and other information is available in the Fund’s prospectus, a copy of which may be obtained by visiting the Fund’s website at www.oshares.com. Please read the prospectus carefully before you invest.

There are risks involved with investing, including possible loss of principal. Concentration in a particular industry or sector may subject the Funds to a greater degree to the risks particular to that industry or sector. A Fund’s emphasis on dividend paying stocks involves the risk that such stocks may fall out of favor with investors and underperform the market. Also, a company may reduce or eliminate its dividend after a Fund’s purchase of such a company’s securities. The securities of small and mid-capitalization companies are often more volatile and less liquid than the stocks of larger companies and may be more affected than other types of securities during market downturns. Compared to larger companies, small and mid-capitalization companies may have a shorter history of operations, and may have limited product lines, markets or financial resources. Returns on investments in foreign securities could be more volatile than, or trail the returns on, investments in U.S. securities. Exposures to foreign securities entail special risks, including political, diplomatic and economic risks; regulatory risks; and foreign market and trading risks. In addition, the Fund’s investments in securities denominated in other currencies could decline due to changes in local currency relative to the value of the U.S. dollar, which may affect the Fund’s returns. See the prospectus for specific risks regarding the Funds.

Individual shares of the Fund may be purchased or sold in the secondary market throughout the regular trading day on the NYSE Arca, Inc. through a brokerage account. However, shares are not individually redeemable directly from the Fund. Each Fund issues and redeems shares on a continuous basis, at net asset value (“NAV”), only in large blocks of shares (“Creation Units”), principally in-kind for securities included in the relevant Index.

Distributor: Foreside Fund Services, LLC

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Table of Contents

	i			Allocation of Portfolio Holdings and Sector Weightings
				Schedule of Investments
	1			O’Shares FTSE U.S. Quality Dividend ETF
	4			O’Shares FTSE Russell Small Cap Quality Dividend ETF
	8			O’Shares Global Internet Giants ETF
	10			O’Shares FTSE Europe Quality Dividend ETF
	14			Statements of Assets and Liabilities
	15			Statements of Operations
	16			Statements of Changes in Net Assets
	18			Financial Highlights
	19			Notes to Financial Statements
	28			Expense Examples
	30			Board Review and Approval of Investment Advisory and Sub-Advisory Agreements
	33			Additional Information

The O’Shares FTSE U.S. Quality Dividend ETF, O’Shares FTSE Russell Small Cap Quality Dividend ETF and O’Shares FTSE Europe Quality Dividend ETF (the “Funds”) are not in any way sponsored, endorsed, sold or promoted by the London Stock Exchange Group companies, which include FTSE International Limited (“FTSE”), Frank Russell Company (“Russell”), MTS Next Limited (“MTS”) and FTSE TMX Global Debt Capital Markets Inc. (“FTSE TMX”) (together “LSEG”). LSEG makes no claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to (i) the results to be obtained from the use of the FTSE USA Qual/Vol/Yield Factor 5% Capped Index, FTSE USA Small Cap ex Real Estate 2Qual/Vol/Yield 3% Capped Factor Index and FTSE Developed Europe Qual/Vol/Yield 5% Capped Factor Index (the “Indexes”) (upon which the Funds are based), (ii) the figure at which the Index is said to stand at any particular time on any particular day or otherwise, or (iii) the suitability of the Index for the purpose to which it is being put in connection with the Funds. LSEG has not provided nor will provide any financial or investment advice or recommendation in relation to the Indexes to the adviser or to the adviser’s clients. The Indexes are calculated by FTSE or its agent. LSEG shall not be (a) liable (whether in negligence or otherwise) to any person for any error in the Indexes or (b) under any obligation to advise any person of any error therein.

All rights in the Index vest in FTSE. “FTSE®”, “Russell®”, “MTS®”, “FTSE TMX®” and “FTSE-Russell” and other service marks and trademarks related to the FTSE or Russell indexes are trademarks of the London Stock Exchange Group companies and are used by FTSE, MTS, FTSE TMX and Russell under license.

The O’Shares Global Internet Giants Index (the “OGIG Index”) is the exclusive property of O’Shares Investment Advisers, LLC, which has contracted with S-Network Global Indexes Inc. (“S-Network”) to maintain and calculate the OGIG Index. S-Network shall have no liability for any errors or omissions in calculating the OGIG Index.

The O’Shares Global Internet Giants ETF is not sponsored, endorsed, sold or promoted by S-Network, its affiliates or their third party licensors and neither S-Network, its affiliates nor their third party licensors make any representation regarding the advisability of investing in the O’Shares Global Internet Giants ETF.

S-Network Global Indexes Inc. (“S-Network” or “SNGISM”) is the property of S-Network and has been licensed by S-Network for use by O’Shares Investment Advisers, LLC in connection with the OGIG Index.

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OSI ETF Trust

Allocation of Portfolio Holdings and Industries
December 31, 2019 (Unaudited)

O’Shares FTSE U.S. Quality Dividend ETF (OUSA)

The Fund seeks to track the performance (before fees and expenses) of the FTSE USA Qual/Vol/Yield Factor 5% Capped Index (the “U.S. Target Index”). The U.S. Target Index is designed to reflect the performance of publicly- listed large capitalization and mid-capitalization dividend-paying issuers in the United States exhibiting high quality, low volatility and high dividend yields, as determined by FTSE-Russell (the “Index Provider”). The quality and low volatility factors are designed to reduce exposure to high dividend equities that have experienced large price declines.

Market Exposure

Investment Type			% of Net Assets
Equity Securities					100%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company	% of Net Assets
Apple, Inc.		5.2%
Johnson & Johnson		5.1%
Exxon Mobil Corp.		4.9%
Procter & Gamble Co. (The)		3.8%
Chevron Corp.		3.2%
Pfizer, Inc.		3.0%
Home Depot, Inc. (The)		3.0%
Cisco Systems, Inc.		2.8%
Verizon Communications, Inc.		2.8%
Merck & Co., Inc.		2.7%

Sector Exposure

Sectors	% of Net Assets
Communication Services		5.0%
Consumer Discretionary		8.2%
Consumer Staples		15.0%
Energy		9.3%
Financials		2.3%
Health Care		19.6%
Industrials		11.1%
Information Technology		17.1%
Materials		1.7%
Real Estate		5.4%
Utilities		5.1%
Other(1)		0.2%
		100.0%

(1)

Includes cash and any non-equity securities and net other assets (liabilities).

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OSI ETF Trust

Allocation of Portfolio Holdings and Industries

December 31, 2019 (Unaudited)

O’Shares FTSE Russell Small Cap Quality Dividend ETF (OUSM)

The Fund seeks to track the performance (before fees and expenses) of the FTSE USA Small Cap ex Real Estate 2Qual/Vol/Yield 3% Capped Factor Index (the “U.S. Small Cap Target Index”). The U.S. Small Cap Target Index is designed to reflect the performance of publicly-listed small capitalization dividend-paying issuers in the United States exhibiting high quality, low volatility and high dividend yields, as determined by FTSE-Russell (the “Index Provider”). The quality and low volatility factors are designed to reduce exposure to high dividend equities that have experienced large price declines, as may occur with some dividend investing strategies.

Market Exposure

Investment Type	% of Net Assets
Equity Securities		100%
Rights		0%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company	% of Net Assets
Cypress Semiconductor Corp.		2.3%
Encompass Health Corp.		2.2%
Monolithic Power Systems, Inc.		2.1%
Watsco, Inc.		2.0%
Cabot Microelectronics Corp.		1.7%
Eaton Vance Corp.		1.7%
LogMeIn, Inc.		1.7%
Williams-Sonoma, Inc.		1.5%
Graco, Inc.		1.5%
MKS Instruments, Inc.		1.4%

Sector Exposure

Sectors	% of Net Assets
Communication Services		2.1%
Consumer Discretionary		14.4%
Consumer Staples		3.8%
Energy		1.4%
Financials		18.0%
Health Care		3.1%
Industrials		23.2%
Information Technology		18.6%
Materials		9.2%
Utilities		6.1%
Other(1)		0.1%
		100.0%

(1)

Includes cash and any non-equity securities and net other assets (liabilities).

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OSI ETF Trust

Allocation of Portfolio Holdings and Industries

December 31, 2019 (Unaudited)

O’Shares Global Internet Giants ETF (OGIG)

The Fund seeks to track the performance (before fees and expenses) of the O’Shares Global Internet Giants Index (the “Global Internet Giants Target Index”). The Global Internet Giants Target Index is a rules-based index intended to give investors a means of tracking stocks exhibiting quality and growth characteristics in the “internet sector”, as defined by O’Shares Investment Advisers, LLC (the “Index Provider”).

Market Exposure

Investment Type			% of Net Assets
Equity Securities					100%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company	% of Net Assets
Amazon.com, Inc.		6.0%
Alibaba Group Holding Ltd. (ADR)		5.9%
Facebook, Inc., Class A		5.8%
Alphabet, Inc., Class A		5.7%
Microsoft Corp.		4.7%
Tencent Holdings Ltd.		4.6%
Netflix, Inc.		2.3%
salesforce.com, Inc.		2.1%
Delivery Hero SE		2.0%
Shopify, Inc., Class A		1.9%

Sector Exposure

Sectors	% of Net Assets
Communication Services		33.4%
Consumer Discretionary		26.4%
Information Technology		40.1%
Other(1)		0.1%
		100.0%

(1)

Includes cash and any non-equity securities and net other assets (liabilities).

iii

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OSI ETF Trust

Allocation of Portfolio Holdings and Industries

December 31, 2019 (Unaudited)

O’Shares FTSE Europe Quality Dividend ETF (OEUR)

The Fund seeks to track the performance (before fees and expenses) of the FTSE Developed Europe Qual/Vol/Yield 5% Capped Factor Index (the “Europe Target Index”). The Europe Target Index is designed to reflect the performance of publicly-listed large capitalization and mid-capitalization dividend-paying issuers in Europe exhibiting high quality, low volatility and high dividend yields, as determined by FTSE-Russell (the “Index Provider”). The quality and low volatility factors are designed to reduce exposure to high dividend equities that have experienced large price declines.

Market Exposure

Investment Type			% of Net Assets
Equity Securities					99%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company	% of Net Assets
Novartis AG (Registered)		5.0%
Roche Holding AG		4.9%
Nestle SA (Registered)		4.7%
GlaxoSmithKline plc		3.8%
TOTAL SA		2.9%
Royal Dutch Shell plc, Class A		2.7%
BP plc		2.5%
Royal Dutch Shell plc, Class B		2.3%
Unilever NV		2.1%
Enel SpA		2.0%

Sector Exposure

Sectors	% of Net Assets
Communication Services		8.3%
Consumer Discretionary		5.0%
Consumer Staples		16.5%
Energy		12.4%
Financials		4.5%
Health Care		16.8%
Industrials		15.0%
Information Technology		0.2%
Materials		5.4%
Real Estate		6.6%
Utilities		8.2%
Other(1)		1.1%
		100.0%

(1)

Includes cash and any non-equity securities and net other assets (liabilities).

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OSI ETF Trust

O’Shares FTSE U.S. Quality Dividend ETF
Schedule of Investments

December 31, 2019 (Unaudited)

Investments	Shares		Value
Common Stocks – 99.8%
Aerospace & Defense – 2.8%
Boeing Co. (The)		25,732		$	8,382,456
Huntington Ingalls Industries, Inc.		1,599			401,157
Lockheed Martin Corp.		11,515			4,483,711
Raytheon Co.		15,899			3,493,646
					16,760,970
Air Freight & Logistics – 1.2%
CH Robinson Worldwide, Inc.		9,935			776,917
Expeditors International of Washington, Inc.		7,128			556,126
United Parcel Service, Inc., Class B		48,148			5,636,205
					6,969,248
Auto Components – 0.2%
Autoliv, Inc.		3,091			260,911
Gentex Corp.		10,566			306,203
Lear Corp.		2,592			355,622
					922,736
Beverages – 4.7%
Coca-Cola Co. (The)		207,933			11,509,092
Coca-Cola European Partners plc		8,989			457,360
Molson Coors Brewing Co., Class B		6,156			331,809
PepsiCo, Inc.		112,520			15,378,108
					27,676,369
Biotechnology – 3.6%
AbbVie, Inc.		83,884			7,427,090
Amgen, Inc.		39,498			9,521,783
Gilead Sciences, Inc.		64,985			4,222,725
					21,171,598
Capital Markets – 1.0%
Franklin Resources, Inc.		45,946			1,193,677
T. Rowe Price Group, Inc.		40,001			4,873,722
					6,067,399
Chemicals – 1.3%
Air Products & Chemicals, Inc.		12,002			2,820,350
Celanese Corp.		5,050			621,756
Dow, Inc.		32,156			1,759,898
Eastman Chemical Co.		5,055			400,659
LyondellBasell Industries NV, Class A		11,728			1,108,061
PPG Industries, Inc.		9,252			1,235,050
					7,945,774
Commercial Services & Supplies – 0.3%
Rollins, Inc.		5,184			171,902
Waste Management, Inc.		16,219			1,848,317
					2,020,219
Communications Equipment – 2.8%
Cisco Systems, Inc.		344,337			16,514,403
Containers & Packaging – 0.3%
Avery Dennison Corp.		3,308			432,753
International Paper Co.		17,131			788,882
Packaging Corp. of America		3,888			435,417
					1,657,052

Investments	Shares		Value
Distributors – 0.2%
Genuine Parts Co.		11,337		$	1,204,330
Diversified Telecommunication Services – 4.9%
AT&T, Inc.		321,448			12,562,188
Verizon Communications, Inc.		268,939			16,512,854
					29,075,042
Electric Utilities – 3.1%
Alliant Energy Corp.		8,748			478,691
American Electric Power Co., Inc.		24,942			2,357,268
Avangrid, Inc.		2,916			149,183
Duke Energy Corp.		37,041			3,378,510
Edison International		12,737			960,497
Entergy Corp.		8,461			1,013,628
Eversource Energy		13,284			1,130,070
Exelon Corp.		49,573			2,260,033
Pinnacle West Capital Corp.		6,087			547,404
PPL Corp.		41,646			1,494,258
Southern Co. (The)		53,126			3,384,126
Xcel Energy, Inc.		20,927			1,328,655
					18,482,323
Electrical Equipment – 1.2%
Eaton Corp. plc		25,476			2,413,087
Emerson Electric Co.		40,355			3,077,472
Rockwell Automation, Inc.		7,842			1,589,338
					7,079,897
Electronic Equipment, Instruments & Components – 0.3%
Avnet, Inc.		4,046			171,712
TE Connectivity Ltd.		16,524			1,583,660
					1,755,372
Equity Real Estate Investment Trusts (REITs) – 5.4%
AvalonBay Communities, Inc.		13,995			2,934,752
Duke Realty Corp.		28,733			996,173
Extra Space Storage, Inc.		10,544			1,113,657
Healthpeak Properties, Inc.		64,583			2,226,176
Host Hotels & Resorts, Inc.		121,945			2,262,080
Kimco Realty Corp.		32,273			668,374
Park Hotels & Resorts, Inc.		27,218			704,130
Prologis, Inc.		50,139			4,469,390
Public Storage		32,344			6,887,978
Simon Property Group, Inc.		59,190			8,816,942
WP Carey, Inc.		14,422			1,154,337
					32,233,989
Food & Staples Retailing – 0.9%
Sysco Corp.		22,866			1,955,958
Walgreens Boots Alliance, Inc.		52,799			3,113,029
					5,068,987
Food Products – 0.7%
General Mills, Inc.		31,255			1,674,018
Hormel Foods Corp.		16,438			741,518
Ingredion, Inc.		4,352			404,518
JM Smucker Co. (The)		4,212			438,596
Kellogg Co.		10,136			701,006
					3,959,656

See accompanying notes to the financial statements.

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OSI ETF Trust

O’Shares FTSE U.S. Quality Dividend ETF
Schedule of Investments

December 31, 2019 (Unaudited)

Investments	Shares		Value
Gas Utilities – 0.1%
Atmos Energy Corp.		4,353		$	486,927
Health Care Equipment & Supplies – 1.0%
Medtronic plc		52,636			5,971,554
Health Care Providers & Services – 1.9%
Cardinal Health, Inc.		14,453			731,033
UnitedHealth Group, Inc.		36,360			10,689,113
					11,420,146
Hotels, Restaurants & Leisure – 2.8%
Carnival Corp.		22,568			1,147,131
Darden Restaurants, Inc.		9,493			1,034,832
McDonald’s Corp.		38,933			7,693,550
Starbucks Corp.		58,492			5,142,617
Vail Resorts, Inc.		1,719			412,268
Yum! Brands, Inc.		12,381			1,247,138
					16,677,536
Household Durables – 0.3%
Garmin Ltd.		10,230			998,039
Leggett & Platt, Inc.		10,175			517,195
					1,515,234
Household Products – 5.4%
Clorox Co. (The)		9,720			1,492,409
Colgate-Palmolive Co.		65,856			4,533,527
Kimberly-Clark Corp.		29,259			4,024,575
Procter & Gamble Co. (The)		178,494			22,293,901
					32,344,412
Industrial Conglomerates – 2.7%
3M Co.		49,422			8,719,029
Honeywell International, Inc.		39,592			7,007,784
					15,726,813
Insurance – 1.3%
Fidelity National Financial, Inc.		30,458			1,381,270
Marsh & McLennan Cos., Inc.		54,661			6,089,782
					7,471,052
IT Services – 3.7%
Accenture plc, Class A		31,892			6,715,498
Amdocs Ltd.		7,234			522,223
Automatic Data Processing, Inc.		25,282			4,310,581
International Business Machines Corp.		41,986			5,627,803
Paychex, Inc.		32,467			2,761,643
Western Union Co. (The)		78,556			2,103,730
					22,041,478
Machinery – 1.6%
Cummins, Inc.		12,862			2,301,784
Dover Corp.		5,508			634,852
Illinois Tool Works, Inc.		24,458			4,393,391
PACCAR, Inc.		12,754			1,008,841
Pentair plc		7,243			332,236
Snap-on, Inc.		3,732			632,201
					9,303,305
Media – 0.2%
Omnicom Group, Inc.		10,973			889,032

Investments	Shares		Value
Metals & Mining – 0.1%
Nucor Corp.		11,852		$	667,031
Multi-Utilities – 1.9%
Ameren Corp.		11,137			855,322
CenterPoint Energy, Inc.		32,699			891,702
CMS Energy Corp.		10,816			679,677
Consolidated Edison, Inc.		14,580			1,319,053
Dominion Energy, Inc.		44,192			3,659,981
DTE Energy Co.		9,437			1,225,583
Public Service Enterprise Group, Inc.		25,494			1,505,421
WEC Energy Group, Inc.		13,740			1,267,240
					11,403,979
Oil, Gas & Consumable Fuels – 9.3%
Chevron Corp.		159,581			19,231,106
Equitrans Midstream Corp.		6,804			90,901
Exxon Mobil Corp.		420,541			29,345,351
Occidental Petroleum Corp.		63,998			2,637,358
Phillips 66		23,650			2,634,847
Valero Energy Corp.		16,158			1,513,197
					55,452,760
Pharmaceuticals – 13.1%
Bristol-Myers Squibb Co.		104,830			6,729,038
Eli Lilly & Co.		53,017			6,968,024
Johnson & Johnson		205,930			30,039,009
Merck & Co., Inc.		178,392			16,224,752
Pfizer, Inc.		456,716			17,894,133
					77,854,956
Professional Services – 0.1%
Robert Half International, Inc.		6,029			380,731
Road & Rail – 1.0%
Union Pacific Corp.		34,384			6,216,283
Semiconductors & Semiconductor Equipment – 4.1%
Intel Corp.		251,761			15,067,896
Maxim Integrated Products, Inc.		17,128			1,053,543
Texas Instruments, Inc.		63,487			8,144,747
					24,266,186
Software – 0.7%
Oracle Corp.		82,453			4,368,360
Specialty Retail – 4.4%
Home Depot, Inc. (The)		80,613			17,604,267
Lowe’s Cos., Inc.		30,503			3,653,039
Tiffany & Co.		4,387			586,323
TJX Cos., Inc. (The)		72,980			4,456,159
					26,299,788
Technology Hardware, Storage & Peripherals – 5.4%
Apple, Inc.		105,814			31,072,281
HP, Inc.		60,590			1,245,125
					32,317,406
Textiles, Apparel & Luxury Goods – 0.3%
Tapestry, Inc.		10,535			284,129
VF Corp.		16,334			1,627,846
					1,911,975

See accompanying notes to the financial statements.

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OSI ETF Trust

O’Shares FTSE U.S. Quality Dividend ETF
Schedule of Investments

December 31, 2019 (Unaudited)

Investments	Shares		Value
Tobacco – 3.3%
Altria Group, Inc.		151,263		$	7,549,536
Philip Morris International, Inc.		143,602			12,219,094
					19,768,630
Trading Companies & Distributors – 0.2%
Fastenal Co.		35,464			1,310,395
Total Common Stocks (Cost $538,937,028)					592,631,333
Total Investments — 99.8% (Cost $538,937,028)					592,631,333
Other Assets Less Liabilities — 0.2%					1,180,230
Net Assets — 100.0%				$	593,811,563

As of December 31, 2019, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative contracts, if any) for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	67,700,144
Aggregate gross unrealized depreciation		(14,075,026)
Net unrealized appreciation	$	53,625,118
Federal income tax cost of investments (including derivative contracts, if any)	$	539,006,215

See accompanying notes to the financial statements.

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OSI ETF Trust

O’Shares FTSE Russell Small Cap Quality Dividend ETF
Schedule of Investments

December 31, 2019 (Unaudited)

Investments	Shares		Value
Common Stocks – 99.9%
Aerospace & Defense – 0.1%
National Presto Industries, Inc.		1,386		$	122,509
Air Freight & Logistics – 0.2%
Forward Air Corp.		3,628			253,779
Airlines – 0.1%
Copa Holdings SA, Class A		593			64,091
Hawaiian Holdings, Inc.		847			24,809
					88,900
Auto Components – 0.6%
Cooper Tire & Rubber Co.		5,033			144,698
Dana, Inc.		11,979			218,018
Goodyear Tire & Rubber Co. (The)		15,933			247,838
					610,554
Automobiles – 1.0%
Thor Industries, Inc.		14,695			1,091,692
Banks – 4.0%
Bank of Hawaii Corp.		2,295			218,392
Cadence BanCorp		7,211			130,735
Cathay General Bancorp		5,099			194,017
City Holding Co.		927			75,968
Community Trust Bancorp, Inc.		998			46,547
CVB Financial Corp.		8,093			174,647
First Financial Bancorp		5,977			152,055
First Hawaiian, Inc.		7,902			227,973
First Horizon National Corp.		17,777			294,387
First Merchants Corp.		3,321			138,120
FNB Corp.		19,135			243,014
Great Western Bancorp, Inc.		3,329			115,649
Home BancShares, Inc.		9,729			191,272
International Bancshares Corp.		3,096			133,345
PacWest Bancorp		9,528			364,637
S&T Bancorp, Inc.		1,967			79,250
Sandy Spring Bancorp, Inc.		2,236			84,700
Stock Yards Bancorp, Inc.		1,210			49,683
Synovus Financial Corp.		8,132			318,774
TCF Financial Corp.		8,519			398,689
Umpqua Holdings Corp.		13,854			245,216
United Bankshares, Inc.		5,826			225,233
Washington Trust Bancorp, Inc.		1,016			54,651
WesBanco, Inc.		3,099			117,111
					4,274,065
Building Products – 3.2%
AO Smith Corp.		31,809			1,515,381
Apogee Enterprises, Inc.		1,769			57,492
Lennox International, Inc.		4,708			1,148,611
Quanex Building Products Corp.		3,053			52,145
Simpson Manufacturing Co., Inc.		8,114			650,986
					3,424,615

Investments	Shares		Value
Capital Markets – 10.2%
Artisan Partners Asset Management, Inc., Class A		20,906		$	675,682
BGC Partners, Inc., Class A		60,936			361,960
Brightsphere Investment Group, Inc.		22,035			225,198
Cohen & Steers, Inc.		7,180			450,617
Eaton Vance Corp.		39,600			1,848,924
Evercore, Inc., Class A		12,247			915,586
FactSet Research Systems, Inc.		4,354			1,168,178
Federated Investors, Inc., Class B		34,661			1,129,602
Janus Henderson Group plc		43,379			1,060,616
Lazard Ltd., Class A		37,805			1,510,688
LPL Financial Holdings, Inc.		7,000			645,750
Moelis & Co., Class A		17,478			557,898
Virtu Financial, Inc., Class A		4,661			74,529
Waddell & Reed Financial, Inc., Class A		23,256			388,840
					11,014,068
Chemicals – 4.4%
Cabot Corp.		10,407			494,541
HB Fuller Co.		3,334			171,934
Huntsman Corp.		33,302			804,576
Innophos Holdings, Inc.		2,393			76,528
Innospec, Inc.		1,734			179,365
NewMarket Corp.		836			406,731
Olin Corp.		18,772			323,817
Orion Engineered Carbons SA		4,940			95,342
PolyOne Corp.		7,409			272,577
Quaker Chemical Corp.		1,049			172,581
RPM International, Inc.		9,193			705,655
Sensient Technologies Corp.		2,809			185,647
Tredegar Corp.		4,765			106,498
Trinseo SA		3,566			132,691
Valvoline, Inc.		29,022			621,361
					4,749,844
Commercial Services & Supplies – 4.5%
ABM Industries, Inc.		11,215			422,918
Brady Corp., Class A		9,552			546,947
Covanta Holding Corp.		11,036			163,774
Deluxe Corp.		5,214			260,283
Healthcare Services Group, Inc.		50,161			1,219,916
Herman Miller, Inc.		9,686			403,422
HNI Corp.		9,752			365,310
KAR Auction Services, Inc.		21,683			472,473
McGrath RentCorp		2,712			207,576
MSA Safety, Inc.		5,312			671,224
Steelcase, Inc., Class A		5,884			120,387
					4,854,230
Communications Equipment – 0.2%
ADTRAN, Inc.		26,542			262,500
Construction & Engineering – 0.1%
Comfort Systems USA, Inc.		2,477			123,478
Consumer Finance – 0.2%
FirstCash, Inc.		2,993			241,326

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust

O’Shares FTSE Russell Small Cap Quality Dividend ETF
Schedule of Investments

December 31, 2019 (Unaudited)

Investments	Shares		Value
Containers & Packaging – 1.2%
Greif, Inc., Class A		2,373		$	104,887
Myers Industries, Inc.		5,302			88,437
Sonoco Products Co.		17,221			1,062,880
					1,256,204
Distributors – 0.1%
Core-Mark Holding Co., Inc.		3,666			99,679
Diversified Telecommunication Services – 0.9%
ATN International, Inc.		981			54,337
Cogent Communications Holdings, Inc.		14,080			926,605
					980,942
Electric Utilities – 2.7%
ALLETE, Inc.		4,175			338,885
El Paso Electric Co.		2,039			138,428
Hawaiian Electric Industries, Inc.		8,014			375,536
IDACORP, Inc.		3,613			385,868
MGE Energy, Inc.		1,783			140,536
OGE Energy Corp.		18,319			814,646
Otter Tail Corp.		3,111			159,563
PNM Resources, Inc.		3,389			171,856
Portland General Electric Co.		6,019			335,800
					2,861,118
Electrical Equipment – 0.9%
AZZ, Inc.		2,036			93,554
nVent Electric plc		26,169			669,403
Regal Beloit Corp.		2,681			229,521
					992,478
Electronic Equipment, Instruments & Components – 3.2%
AVX Corp.		13,926			285,065
Badger Meter, Inc.		3,698			240,111
Benchmark Electronics, Inc.		5,166			177,504
Dolby Laboratories, Inc., Class A		8,727			600,418
FLIR Systems, Inc.		18,372			956,630
National Instruments Corp.		29,266			1,239,122
					3,498,850
Energy Equipment & Services – 0.0%(a)
RPC, Inc.		8,553			44,818
Entertainment – 0.4%
Cinemark Holdings, Inc.		13,586			459,886
Food & Staples Retailing – 0.3%
PriceSmart, Inc.		2,286			162,352
Weis Markets, Inc.		2,885			116,813
					279,165
Food Products – 1.5%
B&G Foods, Inc.		5,251			94,150
Calavo Growers, Inc.		1,108			100,374
Cal-Maine Foods, Inc.		4,634			198,104
Flowers Foods, Inc.		15,537			337,774
J&J Snack Foods Corp.		1,342			247,290
Lancaster Colony Corp.		3,842			615,104
Tootsie Roll Industries, Inc.		1,504			51,347
					1,644,143

Investments	Shares		Value
Gas Utilities – 2.3%
National Fuel Gas Co.		5,892		$	274,214
New Jersey Resources Corp.		9,097			405,453
Northwest Natural Holding Co.		1,488			109,710
ONE Gas, Inc.		3,458			323,565
Southwest Gas Holdings, Inc.		2,260			171,692
Spire, Inc.		2,822			235,101
UGI Corp.		20,836			940,954
					2,460,689
Health Care Providers & Services – 3.2%
Encompass Health Corp.		35,025			2,426,182
Patterson Cos., Inc.		48,226			987,668
					3,413,850
Hotels, Restaurants & Leisure – 6.3%
BJ’s Restaurants, Inc.		2,360			89,586
Bloomin’ Brands, Inc.		6,762			149,237
Brinker International, Inc.		12,571			527,982
Cheesecake Factory, Inc. (The)		16,492			640,879
Cracker Barrel Old Country Store, Inc.		8,998			1,383,353
Dave & Buster’s Entertainment, Inc.		3,034			121,876
Dine Brands Global, Inc.		1,728			144,323
Dunkin’ Brands Group, Inc.		9,017			681,144
Extended Stay America, Inc.		20,698			307,572
Jack in the Box, Inc.		1,947			151,924
Six Flags Entertainment Corp.		14,450			651,840
Texas Roadhouse, Inc.		16,142			909,117
Wendy’s Co. (The)		15,723			349,208
Wyndham Destinations, Inc.		14,221			735,083
					6,843,124
Household Durables – 0.3%
Ethan Allen Interiors, Inc.		7,439			141,787
La-Z-Boy, Inc.		4,021			126,581
Tupperware Brands Corp.		6,475			55,556
					323,924
Household Products – 0.7%
Spectrum Brands Holdings, Inc.		5,051			324,729
WD-40 Co.		2,482			481,855
					806,584
Independent Power and Renewable Electricity Producers – 0.2%
Atlantica Yield plc		2,677			70,646
Pattern Energy Group, Inc., Class A		5,017			134,230
					204,876
Industrial Conglomerates – 0.9%
Carlisle Cos., Inc.		5,181			838,493
Raven Industries, Inc.		4,543			156,552
					995,045
Insurance – 2.0%
Assured Guaranty Ltd.		7,017			343,973
Employers Holdings, Inc.		2,569			107,256
First American Financial Corp.		17,972			1,048,127
Hanover Insurance Group, Inc. (The)		2,661			363,679
Safety Insurance Group, Inc.		2,747			254,180
					2,117,215

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust

O’Shares FTSE Russell Small Cap Quality Dividend ETF
Schedule of Investments

December 31, 2019 (Unaudited)

Investments	Shares		Value
IT Services – 3.1%
Jack Henry & Associates, Inc.		8,219		$	1,197,262
ManTech International Corp., Class A		4,482			358,022
MAXIMUS, Inc.		7,269			540,741
NIC, Inc.		31,551			705,165
Sabre Corp.		21,117			473,865
TTEC Holdings, Inc.		1,019			40,373
					3,315,428
Leisure Products – 0.1%
Acushnet Holdings Corp.		3,915			127,237
Machinery – 8.0%
Allison Transmission Holdings, Inc.		10,315			498,421
Crane Co.		3,890			336,018
Donaldson Co., Inc.		19,757			1,138,398
EnPro Industries, Inc.		1,599			106,941
Franklin Electric Co., Inc.		4,107			235,413
Graco, Inc.		30,903			1,606,956
Hillenbrand, Inc.		18,079			602,212
ITT, Inc.		7,045			520,696
Kennametal, Inc.		5,893			217,393
Lincoln Electric Holdings, Inc.		14,077			1,361,668
Lindsay Corp.		684			65,657
Mueller Industries, Inc.		3,889			123,476
Oshkosh Corp.		6,164			583,423
Toro Co. (The)		15,848			1,262,610
					8,659,282
Media – 0.5%
Gannett Co., Inc.		4,686			29,896
John Wiley & Sons, Inc., Class A		7,109			344,929
Scholastic Corp.		5,011			192,673
					567,498
Metals & Mining – 2.1%
Compass Minerals International, Inc.		5,137			313,152
Kaiser Aluminum Corp.		2,822			312,932
Reliance Steel & Aluminum Co.		10,995			1,316,761
Schnitzer Steel Industries, Inc., Class A		4,533			98,275
Worthington Industries, Inc.		4,266			179,940
					2,221,060
Multi-Utilities – 0.5%
Avista Corp.		3,772			181,396
Black Hills Corp.		2,604			204,518
NorthWestern Corp.		2,791			200,031
					585,945
Oil, Gas & Consumable Fuels – 1.4%
Antero Midstream Corp.		45,487			345,246
CVR Energy, Inc.		4,496			181,773
Delek US Holdings, Inc.		11,524			386,400
PBF Energy, Inc., Class A		17,748			556,755
					1,470,174

Investments	Shares		Value
Paper & Forest Products – 1.6%
Boise Cascade Co.		2,526		$	92,275
Domtar Corp.		13,838			529,165
Louisiana-Pacific Corp.		24,965			740,711
Neenah, Inc.		3,291			231,785
Schweitzer-Mauduit International, Inc.		4,221			177,240
					1,771,176
Personal Products – 0.7%
Inter Parfums, Inc.		3,182			231,363
Medifast, Inc.		2,294			251,377
Nu Skin Enterprises, Inc., Class A		6,685			273,951
					756,691
Professional Services – 1.1%
Exponent, Inc.		4,397			303,437
Forrester Research, Inc.*		7,173			299,114
Insperity, Inc.		3,711			319,294
Kelly Services, Inc., Class A		3,818			86,211
Korn Ferry		4,122			174,773
					1,182,829
Road & Rail – 0.5%
Ryder System, Inc.		3,721			202,088
Schneider National, Inc., Class B		6,011			131,160
Werner Enterprises, Inc.		4,132			150,363
					483,611
Semiconductors & Semiconductor Equipment – 9.3%
Cabot Microelectronics Corp.		12,920			1,864,614
Cypress Semiconductor Corp.		106,898			2,493,930
Kulicke & Soffa Industries, Inc.		42,544			1,157,197
MKS Instruments, Inc.		13,905			1,529,689
Monolithic Power Systems, Inc.		12,880			2,292,898
Power Integrations, Inc.		7,017			694,052
					10,032,380
Software – 2.7%
LogMeIn, Inc.		21,492			1,842,724
Progress Software Corp.		26,652			1,107,391
					2,950,115
Specialty Retail – 4.1%
American Eagle Outfitters, Inc.		38,383			564,230
Bed Bath & Beyond, Inc.		19,989			345,810
Buckle, Inc. (The)		8,515			230,246
Children’s Place, Inc. (The)		3,400			212,568
Designer Brands, Inc., Class A		14,853			233,786
Dick’s Sporting Goods, Inc.		13,414			663,859
GameStop Corp., Class A		14,061			85,491
Guess?, Inc.		5,630			125,999
Penske Automotive Group, Inc.		2,694			135,293
Signet Jewelers Ltd.		7,676			166,876
Williams-Sonoma, Inc.		22,634			1,662,241
					4,426,399
Textiles, Apparel & Luxury Goods – 1.9%
Carter’s, Inc.		8,872			970,064
Columbia Sportswear Co.		2,250			225,428
Oxford Industries, Inc.		2,329			175,653
Steven Madden Ltd.		16,903			726,998
					2,098,143

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust

O’Shares FTSE Russell Small Cap Quality Dividend ETF
Schedule of Investments

December 31, 2019 (Unaudited)

Investments	Shares		Value
Thrifts & Mortgage Finance – 1.7%
MGIC Investment Corp.		71,680		$	1,015,706
New York Community Bancorp, Inc.		25,659			308,421
Northwest Bancshares, Inc.		6,393			106,315
Provident Financial Services, Inc.		3,705			91,328
TFS Financial Corp.		2,788			54,868
TrustCo Bank Corp.		5,036			43,662
Walker & Dunlop, Inc.		3,273			211,698
					1,831,998
Tobacco – 0.5%
Universal Corp.		4,433			252,947
Vector Group Ltd.		24,624			329,715
					582,662
Trading Companies & Distributors – 3.2%
Applied Industrial Technologies, Inc.		4,293			286,300
Kaman Corp.		2,341			154,319
MSC Industrial Direct Co., Inc., Class A		11,572			908,055
Watsco, Inc.		11,880			2,140,182
					3,488,856
Transportation Infrastructure – 0.4%
Macquarie Infrastructure Corp.		8,825			378,063
Water Utilities – 0.4%
Aqua America, Inc.		9,553			448,418
Wireless Telecommunication Services – 0.2%
Telephone & Data Systems, Inc.		8,561			217,706
Total Common Stocks (Cost $102,974,236)					107,989,821

Investments	Number of Rights		Value
RIGHTS – 0.0%
Chemicals – 0.0%
A Schulman, Inc., CVR*‡(b) (Cost $—)		5,220		$	—
Total Investments — 99.9% (Cost $102,974,236)					107,989,821
Other Assets Less Liabilities — 0.1%					62,609
Net Assets — 100.0%				$	108,052,430

Non-income producing security.

‡

Value determined using significant unobservable inputs.

(a)

Represents less than 0.05% of net assets.

(b)

Security fair valued as of December 31, 2019 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at December 31, 2019 amounted to $0, which represents approximately 0.00% of net assets of the Fund.

Abbreviations
CVR			Contingent Value Rights

Aggregate gross unrealized appreciation	$	10,545,624
Aggregate gross unrealized depreciation		(5,587,869)
Net unrealized appreciation	$	4,957,755
Federal income tax cost of investments (including derivative contracts, if any)	$	103,032,066

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust

O’Shares Global Internet Giants ETF
Schedule of Investments

December 31, 2019 (Unaudited)

Investments	Shares		Value
Common Stocks – 99.9%
Entertainment – 7.9%
Activision Blizzard, Inc.		1,275		$	75,761
Bilibili, Inc., ADR*		35,437			659,837
Electronic Arts, Inc.*		1,030			110,735
NetEase, Inc., ADR		694			212,808
Netflix, Inc.*		3,204			1,036,718
Spotify Technology SA*		3,139			469,438
Tencent Music Entertainment Group, ADR*		49,588			582,163
Zynga, Inc., Class A*		76,956			470,971
					3,618,431
Interactive Media & Services – 25.5%
Alphabet, Inc., Class A*		1,946			2,606,453
Autohome, Inc., ADR*		2,905			232,429
Baidu, Inc., ADR*		1,387			175,317
Facebook, Inc., Class A*		12,992			2,666,608
IAC/InterActiveCorp*		1,077			268,292
JOYY, Inc., ADR*		8,078			426,438
Match Group, Inc.*		4,812			395,113
Momo, Inc., ADR		7,638			255,873
Pinterest, Inc., Class A*		34,843			649,474
Snap, Inc., Class A*		45,818			748,208
Tencent Holdings Ltd.		44,100			2,125,819
Twitter, Inc.*		9,129			292,584
Z Holdings Corp.		37,900			160,772
Zillow Group, Inc., Class C*		14,810			680,371
					11,683,751
Internet & Direct Marketing Retail – 26.4%
Alibaba Group Holding Ltd., ADR*		12,827			2,720,607
Amazon.com, Inc.*		1,490			2,753,282
Booking Holdings, Inc.*		107			219,749
Delivery Hero SE*		11,505			911,237
eBay, Inc.		2,715			98,039
Etsy, Inc.*		9,888			438,038
Expedia Group, Inc.		1,320			142,745
Grubhub, Inc.*		10,500			510,720
JD.com, Inc., ADR*		10,071			354,801
Just Eat plc*		36,029			398,445
Meituan Dianping, Class B*		63,700			833,059
MercadoLibre, Inc.*		1,301			744,094
Rakuten, Inc.		26,400			227,136
Takeaway.com NV*		6,390			589,602
Trip.com Group Ltd., ADR*		9,743			326,780
Wayfair, Inc., Class A*		5,672			512,579
Zalando SE*		6,151			311,945
					12,092,858

Investments	Shares		Value
IT Services – 7.0%
MongoDB, Inc.*		4,688		$	616,988
Okta, Inc.*		4,932			569,005
Shopify, Inc., Class A*		2,149			855,623
Twilio, Inc., Class A*		6,512			639,999
VeriSign, Inc.*		574			110,598
Wix.com Ltd.*		3,581			438,243
					3,230,456
Software – 33.1%
Adobe, Inc.*		2,427			800,449
Anaplan, Inc.*		10,370			543,388
Atlassian Corp. plc, Class A*		5,103			614,095
Avalara, Inc.*		6,158			451,073
Coupa Software, Inc.*		4,047			591,874
DocuSign, Inc.*		7,059			523,142
Elastic NV*		9,486			609,950
Fortinet, Inc.*		2,132			227,612
HubSpot, Inc.*		2,763			437,935
Intuit, Inc.		914			239,404
Microsoft Corp.		13,564			2,139,043
Palo Alto Networks, Inc.*		1,632			377,400
Proofpoint, Inc.*		2,868			329,189
RingCentral, Inc., Class A*		2,672			450,686
salesforce.com, Inc.*		6,048			983,647
ServiceNow, Inc.*		2,740			773,557
Smartsheet, Inc., Class A*		14,710			660,773
Splunk, Inc.*		2,938			440,024
Temenos AG (Registered)*		1,538			243,323
Trade Desk, Inc. (The), Class A*		2,224			577,751
VMware, Inc., Class A*		1,377			209,015
Workday, Inc., Class A*		2,909			478,385
Xero Ltd.*		9,517			535,198
Zendesk, Inc.*		7,171			549,514
Zoom Video Communications, Inc., Class A*		11,300			768,852
Zscaler, Inc.*		13,010			604,965
					15,160,244
Total Common Stocks (Cost $41,138,242)					45,785,740
Total Investments — 99.9% (Cost $41,138,242)					45,785,740
Other Assets Less Liabilities — 0.1%					42,400
Net Assets — 100.0%				$	45,828,140

Non-income producing security.

Abbreviations
ADR			American Depositary Receipt

Aggregate gross unrealized appreciation	$	6,672,968
Aggregate gross unrealized depreciation		(2,032,979)
Net unrealized appreciation	$	4,639,989
Federal income tax cost of investments (including derivative contracts, if any)	$	41,145,751

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust

O’Shares Global Internet Giants ETF
Schedule of Investments

December 31, 2019 (Unaudited)

O’Shares Global Internet Giants ETF invested, as a percentage of net assets, in the following countries as of December 31, 2019:

	Argentina					1.6%
	Canada					1.9%
	China					19.4%
	Germany					2.7%
	Israel					0.9%
	Japan					0.8%
	Netherlands					1.3%
	New Zealand					1.2%
	Switzerland					0.5%
	United Kingdom					0.9%
	United States					68.7%
	Other(1)					0.1%
						100.0%

(1)

Includes cash and any non-equity securities and net other assets (liabilities).

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust

O’Shares FTSE Europe Quality Dividend ETF
Schedule of Investments

December 31, 2019 (Unaudited)

Investments	Shares		Value
Common Stocks – 98.9%
Aerospace & Defense – 0.7%
BAE Systems plc		14,637		$	109,517
Meggitt plc		2,940			25,581
Thales SA		441			45,799
					180,897
Airlines – 0.1%
Deutsche Lufthansa AG (Registered)		672			12,379
International Consolidated Airlines Group SA		2,772			22,951
					35,330
Auto Components – 0.8%
Cie Generale des Etablissements Michelin SCA		756			92,584
Continental AG		609			78,792
Nokian Renkaat OYJ		1,071			30,812
					202,188
Beverages – 1.8%
Carlsberg A/S, Class B		357			53,295
Diageo plc		10,416			441,624
					494,919
Building Products – 0.9%
Cie de Saint-Gobain		2,436			99,806
Geberit AG (Registered)		252			141,360
					241,166
Capital Markets – 2.1%
3i Group plc		18,123			263,613
Amundi SA		462			36,250
Ashmore Group plc		4,242			29,109
DWS Group GmbH & Co. KGaA		231			8,220
Euronext NV		462			37,676
Partners Group Holding AG		223			204,358
					579,226
Chemicals – 3.0%
Air Liquide SA		1,640			232,322
BASF SE		4,053			306,408
Clariant AG (Registered)*		693			15,458
Croda International plc		462			31,336
EMS-Chemie Holding AG (Registered)		42			27,607
Evonik Industries AG		1,092			33,353
FUCHS PETROLUB SE		252			11,301
FUCHS PETROLUB SE (Preference)		441			21,860
Koninklijke DSM NV		672			87,577
Solvay SA		273			31,655
					798,877
Commercial Services & Supplies – 0.3%
Babcock International Group plc		1,995			16,634
ISS A/S		1,008			24,205
Securitas AB, Class B		1,134			19,558
Societe BIC SA		378			26,307
					86,704

Investments	Shares		Value
Construction & Engineering – 1.6%
Boskalis Westminster		294		$	7,524
Bouygues SA		1,239			52,683
HOCHTIEF AG		168			21,441
Skanska AB, Class B		3,255			73,612
Vinci SA		2,604			289,376
					444,636
Construction Materials – 0.2%
HeidelbergCement AG		504			36,751
Imerys SA		231			9,770
					46,521
Distributors – 0.1%
Inchcape plc		3,381			31,622
Diversified Financial Services – 0.1%
Sofina SA		147			31,780
Diversified Telecommunication Services – 5.7%
BT Group plc		73,206			186,628
Deutsche Telekom AG (Registered)		20,601			336,926
Elisa OYJ		1,197			66,174
Infrastrutture Wireless Italiane SpA		1,953			19,138
Koninklijke KPN NV		19,845			58,608
Orange SA		13,377			197,006
Proximus SADP		1,680			48,126
Swisscom AG (Registered)		252			133,397
Telefonica Deutschland Holding AG		7,119			20,649
Telefonica SA		30,744			214,895
Telekom Austria AG*		1,050			8,580
Telenor ASA		7,959			142,608
Telia Co. AB		26,985			116,028
					1,548,763
Electric Utilities – 3.7%
Acciona SA		126			13,267
EDP – Energias de Portugal SA		16,947			73,505
Endesa SA		3,633			97,017
Enel SpA		67,634			536,900
Fortum OYJ		1,596			39,413
Red Electrica Corp. SA		4,599			92,536
SSE plc		3,990			76,035
Terna Rete Elettrica Nazionale SpA		10,101			67,509
					996,182
Electrical Equipment – 2.0%
ABB Ltd. (Registered)		7,266			175,356
Legrand SA		1,092			89,040
Schneider Electric SE		2,604			267,454
Signify NV		567			17,732
					549,582
Equity Real Estate Investment Trusts (REITs) – 3.0%
Covivio		546			62,024
Gecina SA		840			150,487
Klepierre SA		2,583			98,145
Merlin Properties Socimi SA		5,817			83,513
Segro plc		21,420			254,591
Unibail-Rodamco-Westfield		987			155,827
					804,587

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust

O’Shares FTSE Europe Quality Dividend ETF
Schedule of Investments

December 31, 2019 (Unaudited)

Investments	Shares		Value
Food & Staples Retailing – 1.3%
Colruyt SA		420		$	21,913
ICA Gruppen AB		462			21,577
Jeronimo Martins SGPS SA		966			15,902
Kesko OYJ, Class B		294			20,817
Koninklijke Ahold Delhaize NV		9,807			245,431
Wm Morrison Supermarkets plc		12,495			33,073
					358,713
Food Products – 5.6%
Associated British Foods plc		1,491			51,316
Leroy Seafood Group ASA		987			6,548
Mowi ASA		2,562			66,534
Nestle SA (Registered)		11,702			1,266,211
Orkla ASA		8,337			84,401
Salmar ASA		315			16,106
Tate & Lyle plc		3,318			33,415
					1,524,531
Gas Utilities – 1.0%
Enagas SA		2,625			67,005
Italgas SpA		3,108			18,993
Naturgy Energy Group SA		2,814			70,755
Rubis SCA		504			30,974
Snam SpA		15,015			78,979
					266,706
Health Care Equipment & Supplies – 0.9%
Coloplast A/S, Class B		693			86,029
Koninklijke Philips NV		3,381			165,166
					251,195
Hotels, Restaurants & Leisure – 0.6%
Carnival plc		1,092			52,715
InterContinental Hotels Group plc		924			63,749
Sodexo SA		315			37,357
					153,821
Household Durables – 0.9%
Barratt Developments plc		4,179			41,333
Bellway plc		672			33,891
Electrolux AB, Series B		1,134			27,850
Persimmon plc		2,247			80,222
Taylor Wimpey plc		18,102			46,379
					229,675
Household Products – 0.4%
Henkel AG & Co. KGaA		420			39,602
Henkel AG & Co. KGaA (Preference)		630			65,201
					104,803
Independent Power and Renewable Electricity Producers – 0.1%
Uniper SE		840			27,825
Industrial Conglomerates – 2.0%
Investment AB Latour, Class B		1,029			16,796
Siemens AG (Registered)		3,948			516,462
					533,258

Investments	Shares		Value
Insurance – 2.2%
Admiral Group plc		5,628		$	172,152
Direct Line Insurance Group plc		33,306			137,882
Gjensidige Forsikring ASA		1,323			27,740
Sampo OYJ, Class A		6,090			265,990
					603,764
Machinery – 3.3%
Aalberts NV		399			17,919
Alfa Laval AB		1,449			36,515
Alstom SA		2,688			127,420
GEA Group AG		777			25,712
Georg Fischer AG (Registered)		13			13,197
IMI plc		1,470			22,960
Kone OYJ, Class B		3,381			221,183
OC Oerlikon Corp. AG (Registered)		1,197			14,042
Rational AG		10			8,048
Sandvik AB		5,922			115,548
Schindler Holding AG		168			42,713
Schindler Holding AG (Registered)		84			20,576
SKF AB, Class B		2,121			42,914
Trelleborg AB, Class B		1,218			21,931
Volvo AB, Class B		5,523			92,571
Wartsila OYJ Abp		3,339			36,918
Zardoya Otis SA		2,205			17,388
					877,555
Marine – 0.4%
Kuehne + Nagel International AG (Registered)		672			113,255
Media – 0.9%
ITV plc		27,132			54,274
Lagardere SCA		525			11,450
ProSiebenSat.1 Media SE		756			11,804
Publicis Groupe SA		1,155			52,326
RTL Group SA		546			26,955
WPP plc		6,552			92,570
					249,379
Metals & Mining – 1.5%
Norsk Hydro ASA		4,893			18,175
Rio Tinto plc		6,531			389,597
					407,772
Multiline Retail – 0.3%
Marks & Spencer Group plc		12,348			34,924
Next plc		525			48,810
					83,734
Multi-Utilities – 2.9%
A2A SpA		12,873			24,160
Centrica plc		44,772			52,966
Engie SA		13,104			211,813
Hera SpA		5,271			23,075
National Grid plc		27,615			345,453
Suez		2,289			34,649
Veolia Environnement SA		3,003			79,923
					772,039

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust

O’Shares FTSE Europe Quality Dividend ETF
Schedule of Investments

December 31, 2019 (Unaudited)

Investments	Shares		Value
Oil, Gas & Consumable Fuels – 12.4%
BP plc		108,286		$	676,519
Eni SpA		11,970			186,039
Equinor ASA		7,392			147,633
Galp Energia SGPS SA		2,730			45,660
OMV AG		504			28,332
Polski Koncern Naftowy ORLEN SA		1,701			38,545
Polskie Gornictwo Naftowe i Gazownictwo SA		13,398			15,311
Repsol SA		4,452			69,613
Royal Dutch Shell plc, Class A		24,564			727,295
Royal Dutch Shell plc, Class B		21,200			628,957
TOTAL SA		14,316			790,630
					3,354,534
Paper & Forest Products – 0.8%
Mondi plc		3,717			87,279
Svenska Cellulosa AB SCA, Class B		1,911			19,394
UPM-Kymmene OYJ		3,108			107,837
					214,510
Personal Products – 4.7%
L’Oreal SA		1,008			298,711
Unilever NV		9,660			555,505
Unilever plc		7,427			428,042
					1,282,258
Pharmaceuticals – 15.9%
GlaxoSmithKline plc		43,174			1,017,494
Novartis AG (Registered)		14,113			1,339,376
Novo Nordisk A/S, Class B		8,463			491,545
Orion OYJ, Class B		651			30,158
Recordati SpA		567			23,912
Roche Holding AG		4,122			1,336,612
Roche Holding AG – BR		168			53,366
					4,292,463
Professional Services – 2.0%
Adecco Group AG (Registered)		1,239			78,331
Bureau Veritas SA		1,806			47,154
DKSH Holding AG		273			14,857
Randstad NV		672			41,065
RELX plc		8,841			223,174
SGS SA (Registered)		49			134,145
					538,726
Real Estate Management & Development – 3.7%
Aroundtown SA		17,892			160,349
Castellum AB		4,809			113,019
Deutsche Wohnen SE		4,305			175,995
LEG Immobilien AG		1,113			131,868
PSP Swiss Property AG (Registered)		315			43,459
Swiss Prime Site AG (Registered)*		546			63,094
Vonovia SE		5,586			300,974
					988,758
Software – 0.2%
Sage Group plc (The)		5,061			50,217

Investments	Shares		Value
Specialty Retail – 1.4%
Dufry AG (Registered)*		84		$	8,329
Fielmann AG		210			16,972
Hennes & Mauritz AB, Class B		5,775			117,511
Industria de Diseno Textil SA		4,473			157,909
Kingfisher plc		23,919			68,760
					369,481
Textiles, Apparel & Luxury Goods – 1.0%
HUGO BOSS AG		294			14,276
Kering SA		357			234,509
Swatch Group AG (The)		84			23,421
					272,206
Tobacco – 2.5%
British American Tobacco plc		10,724			459,087
Imperial Brands plc		7,035			174,184
Swedish Match AB		903			46,572
					679,843
Trading Companies & Distributors – 1.0%
Bunzl plc		1,680			45,958
Ferguson plc		1,953			177,226
Howden Joinery Group plc		2,289			20,395
Travis Perkins plc		1,302			27,632
					271,211
Transportation Infrastructure – 0.7%
Aena SME SA		651			124,592
Aeroports de Paris		126			24,907
Flughafen Zurich AG (Registered)		84			15,328
Fraport AG Frankfurt Airport Services Worldwide		147			12,504
					177,331
Water Utilities – 0.6%
Pennon Group plc		3,171			43,058
Severn Trent plc		1,680			55,973
United Utilities Group plc		4,872			60,889
					159,920
Wireless Telecommunication Services – 1.6%
Vodafone Group plc		224,070			435,638
Total Common Stocks (Cost $25,585,994)					26,718,101
Total Investments — 98.9% (Cost $25,585,994)					26,718,101
Other Assets Less Liabilities — 1.1%					286,296
Net Assets — 100.0%				$	27,004,397

Non-income producing security.

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust

O’Shares FTSE Europe Quality Dividend ETF
Schedule of Investments

December 31, 2019 (Unaudited)

Abbreviations
OYJ			Public Limited Company
Preference			A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
SCA			Limited partnership with share capital

Aggregate gross unrealized appreciation	$	2,802,813
Aggregate gross unrealized depreciation		(1,676,022)
Net unrealized appreciation	$	1,126,791
Federal income tax cost of investments (including derivative contracts, if any)	$	25,591,310

O’Shares FTSE Europe Quality Dividend ETF invested, as a percentage of net assets, in the following countries as of December 31, 2019:

	Australia					1.4%
	Austria					0.1%
	Belgium					0.5%
	Denmark					2.4%
	Finland					3.0%
	France					14.4%
	Germany					8.9%
	Italy					3.6%
	Luxembourg					0.1%
	Netherlands					7.5%
	Norway					1.9%
	Poland					0.2%
	Portugal					0.5%
	Spain					3.7%
	Sweden					3.3%
	Switzerland					19.6%
	United Kingdom					26.9%
	United States					0.9%
	Other(1)					1.1%
						100.0%

(1)

Includes cash and any non-equity securities and net other assets (liabilities).

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust

Statements of Assets and Liabilities
December 31, 2019 (Unaudited)

	O’Shares FTSE U.S. Quality Dividend ETF			O’Shares FTSE Russell Small Cap Quality Dividend ETF			O’Shares Global Internet Giants ETF			O’Shares FTSE Europe Quality Dividend ETF
ASSETS
Investments in securities, at value(1)		$	592,631,333		$	107,989,821		$	45,785,740		$	26,718,101
Cash			2,228,905			112,451			59,552			105,747
Foreign cash(2)			—			—			1			—
Receivables:
Securities sold			—			137,187			—			—
Dividends			899,981			135,015			984			51,898
Capital shares issued			1,826,740			—			—			—
Foreign tax reclaims			—			—			235			222,760
Total Assets			597,586,959			108,374,474			45,846,512			27,098,506
LIABILITIES
Cash denominated in foreign currency(2)			—			—			—			3,651
Payables:
Securities purchased			1,823,567			—			—			—
Income distributions			1,716,955			278,365			—			79,638
Investment management fees			234,874			43,679			18,372			10,820
Total Liabilities			3,775,396			322,044			18,372			94,109
Net Assets		$	593,811,563		$	108,052,430		$	45,828,140		$	27,004,397
NET ASSETS CONSIST OF:
Paid-in capital		$	534,959,683		$	105,833,912		$	46,145,593		$	28,113,093
Distributable earnings (loss)			58,851,880			2,218,518			(317,453)			(1,108,696)
Net Assets		$	593,811,563		$	108,052,430		$	45,828,140		$	27,004,397
The Funds have an unlimited number of shares authorized with no par value. Net asset value is calculated by dividing the net assets by the number of outstanding shares.
Shares Outstanding			16,200,000			3,654,000			1,750,000			1,050,000
Net Asset Value		$	36.66		$	29.57		$	26.19		$	25.72
(1) Investments in securities, at cost		$	538,937,028		$	102,974,236		$	41,138,242		$	25,585,994
(2) Cost of foreign cash		$	—		$	—		$	1		$	(3,651)

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust

Statements of Operations
For the six months ended December 31, 2019 (Unaudited)

	O’Shares FTSE U.S. Quality Dividend ETF			O’Shares FTSE Russell Small Cap Quality Dividend ETF			O’Shares Global Internet Giants ETF			O’Shares FTSE Europe Quality Dividend ETF
INVESTMENT INCOME
Dividend income		$	8,543,104		$	1,403,257		$	25,307		$	316,157
Foreign withholding tax on dividends			—			(225)			(108)			(20,526)
Total Investment Income			8,543,104			1,403,032			25,199			295,631
EXPENSES
Investment management fees (Note 4)			1,306,127			243,897			113,775			61,606
Total Expenses			1,306,127			243,897			113,775			61,606
Net Investment Income (Loss)			7,236,977			1,159,135			(88,576)			234,025
NET REALIZED GAIN (LOSS) FROM:
Transactions in investment securities			575,573			(4,432,912)			(2,474,737)			(618,361)
In-kind redemptions of investments			10,862,278			4,305,829			609,203			194,978
Foreign currency transactions			—			—			(8,695)			(9,770)
Net Realized Gain (Loss)			11,437,851			(127,083)			(1,874,229)			(433,153)
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM:
Investments in securities			27,749,027			7,512,266			3,833,854			2,082,562
Translation of assets and liabilities denominated in foreign currencies			—			—			6			883
Net Change in Unrealized Appreciation (Depreciation)			27,749,027			7,512,266			3,833,860			2,083,445
Net Realized and Unrealized Gain (Loss)			39,186,878			7,385,183			1,959,631			1,650,292
Net Increase (Decrease) in Net Assets Resulting from Operations		$	46,423,855		$	8,544,318		$	1,871,055		$	1,884,317

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust

Statements of Changes in Net Assets

	O’Shares FTSE U.S. Quality Dividend ETF						O’Shares FTSE Russell Small Cap Quality Dividend ETF
	Six Months Ended December 31, 2019 (Unaudited)			Year Ended June 30, 2019			Six Months Ended December 31, 2019 (Unaudited)			Year Ended June 30, 2019
OPERATIONS
Net investment income (loss)		$	7,236,977		$	12,384,843		$	1,159,135		$	2,516,077
Net realized gain (loss)			11,437,851			17,024,316			(127,083)			5,968,739
Net change in unrealized appreciation (depreciation)			27,749,027			15,574,374			7,512,266			(7,662,265)
Net Increase (Decrease) in Net Assets Resulting from Operations			46,423,855			44,983,533			8,544,318			822,551
DISTRIBUTIONS
Distributable earnings			(7,468,068)			(12,107,636)			(1,074,524)			(2,452,943)
Total Distributions			(7,468,068)			(12,107,636)			(1,074,524)			(2,452,943)
CAPITAL TRANSACTIONS
Proceeds from shares issued			115,854,977			289,837,022			21,050,239			34,332,774
Cost of shares redeemed			(57,573,498)			(237,407,319)			(18,037,527)			(71,934,364)
Net Increase (Decrease) from Capital Transactions			58,281,479			52,429,703			3,012,712			(37,601,590)
Total Increase (Decrease) in Net Assets			97,237,266			85,305,600			10,482,506			(39,231,982)
NET ASSETS
Beginning of period		$	496,574,297		$	411,268,697		$	97,569,924		$	136,801,906
End of Period		$	593,811,563		$	496,574,297		$	108,052,430		$	97,569,924
SHARE TRANSACTIONS
Beginning of period			14,550,000			13,400,000			3,554,000			5,054,000
Shares issued in-kind			3,300,000			9,000,000			750,000			1,200,000
Shares redeemed in-kind			(1,650,000)			(7,850,000)			(650,000)			(2,700,000)
Shares Outstanding, End of Period			16,200,000			14,550,000			3,654,000			3,554,000

See accompanying notes to the financial statements.

TABLE OF CONTENTS

OSI ETF Trust

Statements of Changes in Net Assets

	O’Shares Global Internet Giants ETF						O’Shares FTSE Europe Quality Dividend ETF
	Six Months Ended December 31, 2019 (Unaudited)			Year Ended June 30, 2019			Six Months Ended December 31, 2019 (Unaudited)			Year Ended June 30, 2019
OPERATIONS
Net investment income (loss)		$	(88,576)		$	(139,180)		$	234,025		$	979,353
Net realized gain (loss)			(1,874,229)			(2,098,870)			(433,153)			(414,151)
Net change in unrealized appreciation (depreciation)			3,833,860			3,516,406			2,083,445			435,828
Net Increase (Decrease) in Net Assets Resulting from Operations			1,871,055			1,278,356			1,884,317			1,001,030
DISTRIBUTIONS
Distributable earnings			—			—			(370,949)			(1,031,170)
Total Distributions			—			—			(370,949)			(1,031,170)
CAPITAL TRANSACTIONS
Proceeds from shares issued			—			8,374,599			1,198,543			5,975,740
Cost of shares redeemed			(4,877,371)			(12,553,104)			(1,205,246)			(21,146,226)
Net Increase (Decrease) from Capital Transactions			(4,877,371)			(4,178,505)			(6,703)			(15,170,486)
Total Increase (Decrease) in Net Assets			(3,006,316)			(2,900,149)			1,506,665			(15,200,626)
NET ASSETS
Beginning of period		$	48,834,456		$	51,734,605		$	25,497,732		$	40,698,358
End of Period		$	45,828,140		$	48,834,456		$	27,004,397		$	25,497,732
SHARE TRANSACTIONS
Beginning of period			1,950,000			2,150,000			1,050,000			1,700,000
Shares issued in-kind			—			350,000			50,000			250,000
Shares redeemed in-kind			(200,000)			(550,000)			(50,000)			(900,000)
Shares Outstanding, End of Period			1,750,000			1,950,000			1,050,000			1,050,000

See accompanying notes to the financial statements.

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OSI ETF Trust

Financial Highlights for a share outstanding throughout the period

				PER SHARE OPERATING PERFORMANCE																								RATIOS/SUPPLEMENTAL DATA
				Investment Operations									Distributions															Ratios to Average Net Assets of(2)													Total Return(3)(4)
	Net asset value, beginning of period			Net investment income (loss)(1)			Net realized and unrealized gain (loss)			Total investment operations			Net investment income			Net realized gains			Tax return of capital			Total distributions			Net asset value, end of period			Expenses		Expenses net of reimbursements		Net investment income before reimbursements		Net investment income net of reimbursements		Net investment income (loss) net of reimbursement excluding special dividends(10)		Net investment income (loss) per share excluding special dividends(11)			Net asset value(5)		Market value(6)		Portfolio turnover rate(3)(7)		Ending net assets (thousands)
O’Shares FTSE U.S. Quality Dividend ETF
For the six months ended 12/31/19 (unaudited)		$	34.13		$	0.47		$	2.54		$	3.01		$	(0.48)		$	—		$	—		$	(0.48)		$	36.66		0.48%		0.48%		2.67%		2.67%		2.67%		$	0.47		8.88%		8.88%		19%		$	593,812
Year ended June 30, 2019			30.69			0.89			3.44			4.33			(0.89)			—			—			(0.89)			34.13		0.48		0.48		2.76		2.76		2.71			0.88		14.31		14.16		15			496,574
Year ended June 30, 2018			29.25			0.78			1.46			2.24			(0.80)			—			—			(0.80)			30.69		0.48(12)		0.48(12)		2.53		2.54		2.54			0.78		7.67		7.70		18			411,269
Year ended June 30, 2017			27.71			0.69			1.49			2.18			(0.64)			—			—			(0.64)			29.25		0.48(12)		0.48(12)		2.46		2.47		2.45			0.68		8.00		8.15		17			413,932
For the period 07/14/15* – 06/30/16			25.00			0.69			2.60			3.29			(0.58)			—			—			(0.58)			27.71		0.49(12)		0.48(12)		2.74		2.76		2.75			0.69		13.39		13.27		7			213,332
O’Shares FTSE Russell Small Cap Quality Dividend ETF
For the six months ended 12/31/19 (unaudited)			27.45			0.32			2.10			2.42			(0.30)			—			—			(0.30)			29.57		0.48		0.48		2.29		2.29		2.29		$	0.32		8.86		8.86		35			108,052
Year ended June 30, 2019			27.07			0.58			0.38(8)			0.96			(0.58)			—			—			(0.58)			27.45		0.48		0.48		2.16		2.16		2.03			0.54		3.65		3.53		52			97,570
Year ended June 30, 2018			25.41			0.66			1.70			2.36			(0.66)			—(9)			(0.04)			(0.70)			27.07		0.48		0.48		2.51		2.51		2.51			0.66		9.39		9.35		64			136,802
For the period 12/30/16** – 06/30/17			25.00			0.38			0.25			0.63			(0.22)			—			—			(0.22)			25.41		0.48		0.48		2.99		2.99		2.86			0.36		2.52		2.68		7			38,223
O’Shares Global Internet Giants ETF
For the six months ended 12/31/19 (unaudited)			25.04			(0.05)			1.20			1.15			—			—			—			—			26.19		0.48		0.48		(0.37)		(0.37)		(0.37)		$	(0.05)		4.59		4.44		24			45,828
Year ended June 30, 2019			24.06			(0.06)			1.04			0.98			—			—			—			—			25.04		0.48		0.48		(0.28)		(0.28)		(0.31)			(0.07)		4.07		3.69		55			48,834
For the period 06/05/18** – 06/30/18			25.00			(0.01)			(0.93)			(0.94)			—			—			—			—			24.06		0.48		0.48		(0.48)		(0.48)		(0.48)			(0.01)		(3.76)		(3.52)		8			51,735
O’Shares FTSE Europe Quality Dividend ETF
For the six months ended 12/31/19 (unaudited)			24.28			0.22			1.57			1.79			(0.35)			—			—			(0.35)			25.72		0.48		0.48		1.83		1.83		1.83		$	0.22		7.48		7.32		21			27,004
Year ended June 30, 2019			23.94			0.76			0.44			1.20			(0.86)			—			—			(0.86)			24.28		0.48		0.48		3.23		3.23		3.15			0.74		5.16		5.25		35			25,498
Year ended June 30, 2018			24.69			0.69			(0.55)			0.14			(0.89)			—			—			(0.89)			23.94		0.60(12)		0.58(12)		2.75		2.77		2.76			0.69		0.53		(0.41)		30			40,698
Year ended June 30, 2017			23.17			0.75			1.34			2.09			(0.57)			—			—			(0.57)			24.69		0.61(12)		0.58(12)		3.21		3.24		3.05			0.70		9.18		8.91		30			62,947
For the period 08/19/15* – 06/30/16			25.00			1.04			(2.32)(8)			(1.28)			(0.55)			—			—			(0.55)			23.17		0.66(12)		0.58(12)		5.14		5.22		5.21			1.04		(5.06)		(4.24)		7			25,483

Commencement of Prior Fund investment operations.

Commencement of investment operations.

(1)

Net investment income (loss) per share is based on average shares outstanding.

(2)

Annualized for periods less than one year.

(3)

Not annualized for periods less than one year.

(4)

Had certain expenses not been waived during the periods, if applicable, total returns would have been lower.

(5)

Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at net asset value.

(6)

Market value total return is calculated assuming an initial investment made at market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at market value. The market value is determined by the mid point of the bid/ask spread at 4:00 p.m. from the NYSE Arca, Inc. Exchange. Market value returns may vary from net asset value returns.

(7)

In-kind transactions are not included in portfolio turnover calculations.

(8)

The amount shown for a share outstanding throughout the period is not in accordance with the aggregate net realized and unrealized gain (loss) for that period because of the timing of sales and repurchases of the Fund shares in relation to fluctuating market value of the investments in the Fund.

(9)

Per share amount is less than $0.01.

(10)

This ratio reflects the exclusion of large, non-recurring dividends (special dividends) recognized by the Funds during each period. If a special dividend was received during a period, this ratio will be lower than the net investment income (loss) per share ratio presented for the same period herein.

(11)

This ratio reflects the exclusion of large, non-recurring dividends (special dividends) recognized by the Funds during the period. If a special dividend was received during a period, this ratio will be lower than the net investment income (loss) of average net assets ratio presented for the same period herein.

(12)

Reference Note 4 in the Notes to the Financial Statements.

See accompanying notes to the financial statements.

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OSI ETF Trust
Notes to Financial Statements
December 31, 2019 (Unaudited)

1. Organization

OSI ETF Trust (the “Trust”) was organized as a Delaware statutory trust on April 12, 2016 and is authorized to issue multiple series or portfolios. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust currently consists of four operational exchange-traded funds (each a “Fund” and collectively, the “Funds”). The O’Shares FTSE U.S. Quality Dividend ETF, O’Shares FTSE Russell Small Cap Quality Dividend ETF and O’Shares FTSE Europe Quality Dividend ETF are diversified series of the Trust, pursuant to the 1940 Act. The O’Shares Global Internet Giants ETF is a non-diversified series of the Trust, pursuant to the 1940 Act. O’Shares Investment Advisers, LLC (the “Adviser”) is the investment adviser to each fund.

Each Fund seeks to track the performance (before fees and expenses) of a specified benchmark index (each, a “Target Index”). There can be no assurance that the Funds’ investment objectives will be achieved.

2. Significant Accounting Policies

The Trust, which is an investment company, follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, “Financial Services — Investment Companies.”

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

Investment Company Modernization

In October 2016, the Securities and Exchange Commission (“SEC”) issued Final Rule Release No. 33-10231, Investment Company Reporting Modernization (the “Release”). The Release called for the adoption of new rules and forms as well as amendments to current rules and forms to modernize the reporting and disclosure of information by registered investment companies. The SEC adopted amendments to Regulation S-X, which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The Funds have updated disclosures in these financial statements to reflect the amendments, which were effective August 1, 2017. The first filing compliance date for Form N-PORT is no later than June 1, 2020, reflecting March 2020 data.

Investment Valuation

The net asset value (“NAV”) of each Fund’s shares is calculated each business day as of the close of regular trading on the NYSE, generally 4:00 p.m., Eastern Time. NAV per share is computed by dividing the net assets by the number of each Fund’s shares outstanding.

When calculating the NAV of each Fund’s shares, securities held by the Funds are valued at market quotations when reliable market quotations are readily available. Exchange traded securities and instruments (including equity securities, depositary receipts and ETFs) are generally valued at the last reported sale price on the principal exchange on which such securities are traded (at the NASDAQ Official Closing Price for NASDAQ listed securities), as of the close of regular trading on the NYSE on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and asked prices. Over-the-counter securities and instruments not traded on an exchange are generally valued at the last traded price. In the absence of a recorded transaction sale price; or if the last sale price is unavailable, securities are valued at the mean between last bid and ask, as quoted. If an ask price is unavailable, last bid price is used. Such valuations would typically be categorized as Level 1 or Level 2 in the fair value hierarchy described below.

When reliable market quotations are not readily available, securities are priced at their fair value in accordance with the Trust’s valuation guidelines, which were approved by the Board of Trustees (the “Trustees”). The Funds may use fair value pricing in a variety of circumstances, including but not limited to, situations when the value of a Fund’s security has been materially affected by events occurring after the close of the market on which such security is

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OSI ETF Trust

Notes to Financial Statements (continued)

December 31, 2019 (Unaudited)

principally traded (such as a corporate action or other news that may materially affect the price of such security) or trading in such security has been suspended or halted. Such valuations would typically be categorized as Level 2 or Level 3 in the fair value hierarchy described below. Fair value pricing involves subjective judgments and it is possible that a fair value determination for a security is materially different than the value that could be realized upon the sale of such security. In addition, fair value pricing could result in a difference between the prices used to calculate a Fund’s NAV and the prices used by the Fund’s Target Index. This may adversely affect the Fund’s ability to track its Target Index. Securities of non-exchange traded investment companies are valued at their NAV.

The Funds disclose the fair market value of their investments in a hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs) and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the hierarchy are as follows:

•

Level 1 — Quoted prices in active markets for identical assets.

•

Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

•

Level 3 — Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the valuations as of December 31, 2019 for each Fund based upon the three levels defined above:

	Level 1 – Quoted Prices			Level 2 – Other Significant Observable Inputs			Level 3 – Significant Unobservable Inputs			Total
O’Shares FTSE U.S. Quality Dividend ETF
Investments
Common Stocks*		$	592,631,333		$	—		$	—		$	592,631,333
Total Investments		$	592,631,333		$	—		$	—		$	592,631,333
O’Shares FTSE Russell Small Cap Quality Dividend ETF
Investments
Common Stocks*		$	107,989,821		$	—		$	—		$	107,989,821
Rights			—			—			—			—
Total Investments		$	107,989,821		$	—		$	—		$	107,989,821
O’Shares Global Internet Giants ETF
Investments
Common Stocks*		$	45,785,740		$	—		$	—		$	45,785,740
Total Investments		$	45,785,740		$	—		$	—		$	45,785,740
O’Shares FTSE Europe Quality Dividend ETF
Investments
Common Stocks*		$	26,718,101		$	—		$	—		$	26,718,101
Total Investments		$	26,718,101		$	—		$	—		$	26,718,101

See Schedules of Investments for segregation by industry type.

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OSI ETF Trust

Notes to Financial Statements (continued)

December 31, 2019 (Unaudited)

Real Estate Investment Trusts (“REITs”)

Certain Funds may invest in REITs. Equity REITs invest primarily in real property while mortgage REITs make construction, development and long-term mortgage loans. Their value may be affected by changes in the value of the underlying property of the REIT, the creditworthiness of the issuer, property taxes, interest rates, and tax and regulatory requirements, such as those relating to the environment.

REITs are dependent upon management skill, are not diversified and are subject to heavy cash flow dependency, default by borrowers, self-liquidation and the possibility of failing to qualify for tax free income status under the Internal Revenue Code of 1986 and failing to be exempt from registration as a registered investment company under the 1940 Act.

Distributions from REIT investments may be comprised of return of capital, capital gains and income. The actual character of amounts received during the year is not known until after the REIT’s fiscal year end. The Funds record the character of distributions received from REITs during the year based on estimates available. The characterization of distributions received by the Funds may be subsequently revised based on information received from the REITs after their tax reporting periods have concluded.

Foreign Currency Translation

The books and records of the Funds are maintained in U.S. dollars. The Funds’ assets and liabilities in foreign currencies are translated into U.S. dollars at the prevailing exchange rate at the valuation date. Transactions denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the date of the transaction. The Funds’ income earned and expense incurred in foreign denominated currencies are translated into U.S. dollars at the prevailing exchange rate on the date of such activity.

The Funds do not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments from the fluctuations that result from changes in the market prices of investments held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) on investments in securities and net change in unrealized appreciation (depreciation) on investment securities on the Statements of Operations.

Net realized gains (losses) on foreign currency transactions reported on the Statements of Operations arise from sales of foreign currency, realized currency gains or losses, including foreign exchange contracts, between the trade and settlement dates on securities transactions and the difference in the amounts of dividends and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net changes in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies reported on the Statements of Operations arise from changes (due to the changes in the exchange rate) in the value of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held at period end.

Taxes and Distributions

Each of the Funds intends to qualify (or continue to qualify) as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute substantially all of its net investment income and net capital gains to shareholders. Accordingly, no provision for Federal income taxes is required in the financial statements. As of June 30, 2019 (the Funds’ tax year end), management of the Funds has reviewed the open tax years and major jurisdictions and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. Management is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months. On an ongoing basis, management will monitor the tax positions taken to determine if adjustment to conclusions are necessary based on factors including but not limited to further implementation on guidance expected from FASB and ongoing analysis of tax law, regulation, and interpretations thereof.

Each Fund intends to pay income dividends monthly from its net investment income. Capital gains, if any, may be paid at least annually. The amount of any distribution will vary, and there is no guarantee the Fund will pay either income dividends or capital gain distributions. Dividends may be declared and paid more frequently to improve a

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OSI ETF Trust

Notes to Financial Statements (continued)

December 31, 2019 (Unaudited)

Fund’s tracking of its Target Index or to comply with the distribution requirements of the Internal Revenue Code.

3. Investment Transactions and Related Income

Throughout the reporting period, investment transactions are accounted for no later than one business day following the trade date. For financial reporting purposes, investment transactions are accounted for on trade date on the last business day of the reporting period. Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premiums and accretion of discounts. Dividend income received or paid from the Fund, net of any applicable foreign withholding taxes, is recorded on the ex-dividend date, except for dividends of foreign securities where the dividend may not be known until after the ex-date. For those cases, dividend income, net of withholding taxes, is recorded when the Fund becomes aware of the dividends. Non-cash dividends, if any, are recorded at the fair market value of the asset received. Large, non-recurring dividends recognized by the Funds are presented separately on the Statements of Operations as “Special Dividends” and the impact of these dividends is presented in the Financial Highlights. Gains or losses realized on sales of securities are determined using the specific identification method by comparing the identified cost of the security lot sold with the net sales proceeds.

4. Investment Management Fees

The Adviser acts as the investment adviser to the O’Shares FTSE U.S. Quality Dividend ETF and O’Shares FTSE Europe Quality Dividend ETF pursuant to an investment advisory agreement with the Trust (the “OUSA/OEUR Advisory Agreement”). AGF Investments LLC (formerly known as FFCM, LLC) acts as the sub-adviser to the O’Shares FTSE U.S. Quality Dividend ETF and O’Shares FTSE Europe Quality Dividend ETF pursuant to a sub-advisory agreement with the Adviser (the “OUSA/OEUR Sub-Advisory Agreement”).

The Adviser acts as the investment adviser to the O’Shares FTSE Russell Small Cap Quality Dividend ETF and O’Shares Global Internet Giants ETF pursuant to an investment advisory agreement with the Trust (the “OUSM/OGIG Advisory Agreement” and, together with the OUSA/OEUR Advisory Agreement, the “Advisory Agreements”). Vident Investment Advisory, LLC (together with AGF Investments LLC, each a “Sub-Adviser”) acts as the sub-adviser to the O’Shares FTSE Russell Small Cap Quality Dividend ETF and O’Shares Global Internet Giants ETF pursuant to a sub-advisory agreement with the Adviser (the “OUSM/OGIG Sub-Advisory Agreement” and, together with the OUSA/OEUR Sub-Advisory Agreement, the “Sub-Advisory Agreements”).

Pursuant to the Advisory Agreements, the Adviser has the overall responsibility for the Funds’ investment program.

Each Sub-Adviser is responsible for trading portfolio securities and other investment instruments on behalf of the Funds, including selecting broker-dealers to execute purchase and sale transactions, as instructed by the Adviser or in connection with any rebalancing or reconstitution of a Target Index, subject to the overall supervision and oversight of the Adviser and the Trustees. The Adviser oversees each Sub-Adviser for compliance with the Funds’ investment objective, policies, strategies and restrictions. The Board of Trustees supervises and oversees the Adviser and each Sub-Adviser, establishes policies that they must follow in their management activities, and oversees the hiring and termination of sub-advisers recommended by the Adviser.

Under the Advisory Agreements, the Funds pay the Adviser a unitary management fee for its services payable on a monthly basis at the annual rate listed in the table below, based on the average daily net assets of each Fund.

Fund	Management Fee
O’Shares FTSE U.S. Quality Dividend ETF		0.48%
O’Shares FTSE Russell Small Cap Quality Dividend ETF		0.48%
O’Shares Global Internet Giants ETF		0.48%
O’Shares FTSE Europe Quality Dividend ETF		0.48%

Pursuant to the Sub-Advisory Agreements, the Adviser compensates each Sub-Adviser out of the management fee it receives from the Funds.

Under the Advisory Agreements, the Adviser bears all of the ordinary operating expenses of the Funds, except for (i) the management fee, (ii) payments under the Funds’ Rule 12b-1 plan, (iii) brokerage expenses (including any costs incidental to transactions in portfolio securities or instruments), (iv) acquired fund fees and expenses, (v) taxes,

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OSI ETF Trust

Notes to Financial Statements (continued)

December 31, 2019 (Unaudited)

(vi) interest (including borrowing costs and dividend expenses on securities sold short and overdraft charges), (vii) litigation expenses (including litigation to which the Trust or a Fund may be a party and indemnification of the Trustees and officers with respect thereto) and (viii) other extraordinary or non-routine expenses.

On June 28, 2018, the O’Shares FTSE U.S. Quality Dividend ETF the (“OUSA Prior Fund”), and O’Shares FTSE Europe Quality Dividend ETF the (“OEUR Prior Fund”) series of FQF Trust (each, a “Prior Fund” and collectively, the “Prior Funds”) were reorganized into corresponding newly created, identically named exchange traded funds of the Trust (each, a “New Fund”) via a tax-free reorganization. Each New Fund has the same name, ticker symbol and underlying index as the corresponding Prior Fund, is managed in accordance with the same investment objective, and is subject to substantially the same investment strategies, policies, and risks as the corresponding Prior Fund. Each New Fund is operated in a substantially similar manner as the corresponding Prior Fund, except that each New Fund is advised by O’Shares Investment Advisers, LLC and sub-advised by the Prior Funds’ adviser, FFCM, LLC. The same portfolio managers who managed the Prior Funds continue to manage the New Funds. All of the assets and liabilities of each Prior Fund were transferred to the corresponding New Fund in exchange for shares of beneficial interest of the corresponding New Fund. Each New Fund has adopted the financial performance and operating history of the corresponding Prior Fund. The information for the periods prior to June 28, 2018 is that of the Prior Funds.

Prior to June 28, 2018, when the following Funds became part of the Trust in connection with the tax-free reorganizations, the unitary management fee was 0.48% for the OUSA Prior Fund and was 0.58% for the OEUR Prior Fund.

Prior to June 28, 2018, FFCM, LLC, the former Adviser of the Prior Funds bore all of the costs of the Prior Funds, except for the advisory fee, distribution fees (including any payments under the Funds’ 12b-1 plan), brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, taxes, interest (including borrowing costs and dividend expenses on securities sold short), compensation and expenses of the Independent Trustees (including Independent Trustee counsel fees), litigation expenses and other extraordinary expenses (including litigation to which the Trust or the Funds may be a party and indemnification of the Trustees and officers with respect thereto).

FFCM, LLC had agreed to waive its fees and reimburse expenses for each Prior Fund until at least November 1, 2018 so that the total annual fund operating expenses after fee waiver and expense reimbursement for each Fund (except for distribution fees (including payments under a Rule 12b-1 plan), brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, taxes, interest (including borrowing costs and dividend expenses on securities sold short), litigation expenses and other extraordinary expenses (including litigation to which the Trust or a Fund may be a party and indemnification of the Trustees and officers with respect thereto)) were limited to the ratios below:

Fund	Expense Limitation
OUSA Prior Fund		0.48%
OEUR Prior Fund		0.58%

5. Administration, Fund Accounting and Transfer Agency Fees

JPMorgan Chase Bank, N.A. (“Administrator”) acts as administrator, fund accounting agent and transfer agent to the Funds pursuant to an administration agreement. The Administrator provides the Funds with all required general administrative services, including, without limitation, office space, equipment, and personnel; clerical and general back office services; bookkeeping, internal accounting, and secretarial services; the determination of NAVs; and the preparation and filing of all reports, registration statements, proxy statements, and all other materials required to be filed or furnished by the Funds under federal and state securities laws.

6. Custodian Fees

JPMorgan Chase Bank, N.A. acts as custodian to the Funds. The custodian holds cash, securities and other assets of the Funds as required by the 1940 Act. As compensation for the services, the Custodian is entitled to fees and reasonable out-of-pocket expenses.

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OSI ETF Trust

Notes to Financial Statements (continued)

December 31, 2019 (Unaudited)

7. Distribution, Service Plan and Fund Officers

Foreside Fund Services, LLC (the “Distributor”) serves as the Funds’ Distributor. The Trust has entered into a Distribution Agreement (“Distribution Agreement”), under which the Distributor, as agent, receives orders from Authorized Participants to create and redeem shares in Creation Unit Aggregations and transmits such orders to the Trust’s custodian and transfer agent. The Trust has adopted a distribution and service plan (“Plan”) pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Plan, each Fund is authorized to pay an amount up to 0.25% of its average daily net assets each year to finance any activity primarily intended to result in the sale of Creation Units of the Funds or the provision of investor services, including but not limited to: (i) marketing and promotional services, including advertising; (ii) facilitating communications with beneficial owners of shares of the Funds; (iii) wholesaling services; and (iv) such other services and obligations as may be set forth in the Distribution Agreement with the Distributor.

No distribution or service fees are currently paid by any Funds and there are no current plans to impose these fees. In the event Rule 12b-1 fees were charged, over time they would increase the cost of an investment in a Fund and may cost a shareholder more than paying other types of sales charges.

Foreside Fund Officer Services, LLC (“FFOS”), an affiliate of the Distributor, provides a Chief Compliance Officer, AML Compliance Officer, and Principal Financial Officer and Treasurer. FFOS does not have a role in determining the investment policies of the Trust or Funds, or which securities are to be purchased or sold by the Trust or a Fund.

8. Issuance and Redemption of Fund Shares

The Funds are exchange-traded funds or ETFs. Individual Fund shares may only be purchased and sold on a national securities exchange through a broker-dealer and investors may pay a commission to such broker-dealers in connection with their purchase or sale. The price of Fund shares is based on market price, and because ETF shares trade at market prices rather than NAV, shares may trade at a price greater than NAV (a premium) or less than NAV (a discount). The Funds will only issue or redeem shares aggregated into blocks of 50,000 shares or multiples thereof (“Creation Units”) to Authorized Participants who have entered into agreements with the Funds’ Distributor. An Authorized Participant is either (1) a “Participating Party,” (i.e., a broker-dealer or other participant in the clearing process of the Continuous Net Settlement System of the NSCC) (“Clearing Process”), or (2) a participant of DTC (“DTC Participant”), and, in each case, must have executed an agreement (“Participation Agreement”) with the distributor with respect to creations and redemptions of Creation Units. The Funds will issue or redeem Creation Units in return for a basket of assets that the Funds specify each day.

Shares are listed on the NYSE Arca, Inc.TM and are publicly traded. If a shareholder buys or sells Fund shares on the secondary market, a shareholder will pay or receive the market price, which may be higher or lower than NAV. Authorized participant transaction will be priced at NAV if the authorized participant purchases or redeems Fund shares in Creation Units.

Authorized Participants purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to JPMorgan Chase Bank, N.A., the Funds’ administrator, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash.

9. Investment Transactions

For the period ended December 31, 2019, the cost of securities purchased and proceeds from sales of securities, excluding in-kind transactions, were as follows:

Fund	Purchases			Sales
O’Shares FTSE U.S. Quality Dividend ETF		$	104,904,350		$	104,834,047
O’Shares FTSE Russell Small Cap Quality Dividend ETF			35,389,934			35,287,187
O’Shares Global Internet Giants ETF			11,403,894			11,527,833
O’Shares FTSE Europe Quality Dividend ETF			5,419,332			5,483,071

10. In-Kind Transactions

During the period presented in this report, certain Funds of the Trust delivered securities of the Funds in exchange for the redemption of shares (redemption-in-kind). Cash and securities were transferred for redemptions at fair value. For financial reporting purposes, the Funds recorded net realized gains and losses in connection with each transaction.

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Notes to Financial Statements (continued)

December 31, 2019 (Unaudited)

For the period ended December 31, 2019 the value of the securities transferred for redemptions, and the net realized gains recorded in connection with the transactions were as follows:

Fund	Value			Realized Gain
O’Shares FTSE U.S. Quality Dividend ETF		$	57,080,449		$	10,862,278
O’Shares FTSE Russell Small Cap Quality Dividend ETF			17,981,861			4,305,829
O’Shares Global Internet Giants ETF			4,880,027			609,203
O’Shares FTSE Europe Quality Dividend ETF			1,188,279			194,978

During the period presented in this report, the Funds received securities in exchange for subscription of shares (subscription-in-kind). For the period ended December 31, 2019, the value of the securities received for subscriptions were as follows:

Fund	Value
O’Shares FTSE U.S. Quality Dividend ETF		$	115,381,467
O’Shares FTSE Russell Small Cap Quality Dividend ETF			20,968,238
O’Shares FTSE Europe Quality Dividend ETF			1,182,785

11. Principal Risks

Some principal risks apply to all Funds while others are specific to the investment strategy of certain Funds. Each Fund may be subject to other principal risks in addition to these identified principal risks. This section discusses certain principal risks encountered by the Funds.

Authorized Participants Concentration Risk. Each Fund has a limited number of financial institutions that may purchase and redeem Fund shares directly from the Funds (“Authorized Participants”). To the extent they cannot or are otherwise unwilling to engage in creation and redemption transactions with the Funds and no other Authorized Participant steps in, shares of the Funds may trade like closed-end fund shares at a significant discount to NAV and may face trading halts and/or delisting from the Exchange. This risk may be more pronounced in volatile markets, potentially where there are significant redemptions in ETFs generally.

Concentration Risk. To the extent that a Fund’s Target Index is concentrated in a particular industry or group of industries, the Fund is also expected to be concentrated in that industry or group of industries, which may subject the Fund to a greater loss as a result of adverse economic, business or other developments affecting that industry or group of industries.

Depositary Receipts Risk. The risks of investments in depositary receipts are substantially similar to Foreign Investment Risks. In addition, depositary receipts may not track the price of the underlying foreign securities, and their value may change materially at times when the U.S. markets are not open for trading.

Europe Risk. Decreasing imports or exports, changes in governmental or European Union (the “E.U.”) regulations on trade, changes in the exchange rate of the euro, the default or threat of default by an E.U. member country on its sovereign debt, and/or an economic recession in an E.U. member country may have a significant adverse effect on the securities of E.U. issuers. The European financial markets have recently experienced volatility and adversity due to concerns about economic downturns, or rising government debt levels, in several European countries. These events have adversely affected the exchange rate of the euro and may continue to significantly affect every country in Europe. The risk of investing in Europe may be heightened due to the recent withdrawal of the United Kingdom from membership in the E.U. In addition, if one or more other countries were to exit the E.U. or abandon the use of the euro as a currency, the value of investments tied to those countries or the euro could decline significantly and unpredictably. Any such event could have a material adverse impact on the value and risk profile of the Funds’ portfolios.

Flash Crash Risk. Sharp price declines in securities owned by a Fund may trigger trading halts, which may result in the Fund’s shares trading in the market at an increasingly large discount to NAV during part (or all) of a trading day.

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OSI ETF Trust

Notes to Financial Statements (continued)

December 31, 2019 (Unaudited)

Foreign Investment Risk. Returns on investments in foreign securities could be more volatile than, or trail the returns on, investments in U.S. securities. Exposures to foreign securities entail special risks, including due to: differences in information available about foreign issuers; differences in investor protection standards in other jurisdictions; capital controls risks, including the risk of a foreign jurisdiction imposing restrictions on the ability to repatriate or transfer currency or other assets; political, diplomatic and economic risks; regulatory risks; and foreign market and trading risks, including the costs of trading and risks of settlement in foreign jurisdictions. In addition, a Fund’s investments in securities denominated in other currencies could decline due to changes in local currency relative to the value of the U.S. dollar, which may affect such Fund’s returns.

Index-Related Risk. Each Fund is managed with an investment strategy that attempts to track the performance of the Target Index. As a result, the Funds expect to hold constituent securities of the Target Index regardless of their current or projected performance. Maintaining investments in securities regardless of market conditions or the performance of individual securities could cause a Fund’s return to be lower than if the Funds employed an active strategy.

There is no assurance that the Index Provider will compile each Target Index accurately, or that each Target Index will be determined, composed or calculated accurately. While the Index Provider provides descriptions of what each Target Index is designed to achieve, the Index Provider does not guarantee the quality, accuracy or completeness of data in respect of its indices, and does not guarantee that each Target Index will be in line with its described index methodology. Any gains, losses or costs to a Fund that are caused by Index Provider errors will therefore be borne by the Fund and its shareholders. To the extent a Target Index is new it will have a limited performance history. The foregoing risks may be greater for a new index.

Internet Companies Risk. Companies involved with the internet, technology and e-commerce are exposed to risks associated with rapid advances in technology, obsolescence of current products and services, the finite life of patents and the constant threat of global competition and substitutes. In addition to these risks, these companies may be adversely impacted by market and economic cyclicality and changing industry standards.

Market Events Risk. The market values of a Fund’s investments, and therefore the value of such Fund’s shares, will go up and down, sometimes rapidly or unpredictably. Market risk may affect a single issuer, industry or section of the economy, or it may affect the market as a whole. Turbulence in the financial markets and reduced liquidity may negatively affect issuers, which could have an adverse effect on a Fund. In addition, there is a risk that policy changes by the U.S. Government, Federal Reserve and/or other government actors, such as increasing interest rates, could cause increased volatility in financial markets and disruption in the creation/redemption process of a Fund, which could have a negative impact on the Fund.

Mid-Capitalization Securities Risk. The securities of mid-capitalization companies are often more volatile and less liquid than the securities of larger companies and may be more affected than other types of securities during market downturns. Compared to larger companies, mid-capitalization companies may have a shorter history of operations, and may have limited product lines, markets or financial resources.

Multifactor Risk. A Fund’s Target Index, and thus the corresponding Fund, seeks to achieve specific factor exposures identified in the Fund’s principal investment strategies. There can be no assurance that targeting exposure to such factors will enhance a Fund’s performance over time, and targeting exposure to certain factors may detract from performance in some market environments. There is no guarantee the Index Provider’s methodology will be successful in creating an index that achieves the specific factor exposures identified above.

Non-Diversification Risk. The O’Shares Global Internet Giants ETF is classified as “non-diversified” under the 1940 Act, which means that the Fund may invest a relatively high percentage of its assets in a limited number of issuers. As a result, the Fund may be more susceptible to a single adverse economic or regulatory occurrence affecting one or more of these issuers, experience increased volatility and be highly invested in certain issuers.

REIT Risk. A REIT is a company that owns or finances income-producing real estate. Each Fund, through its investments in REITs, is subject to the risks of investing in the real estate market, including decreases in property revenues, increases in interest rates, increases in property taxes and operating expenses, legal and regulatory changes, a lack of credit or capital, defaults by borrowers or tenants, environmental problems and natural disasters.

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OSI ETF Trust

Notes to Financial Statements (continued)

December 31, 2019 (Unaudited)

REITs are subject to additional risks, including those related to adverse governmental actions, declines in property value and the real estate market, and the potential failure to qualify for tax-free pass through of income and exemption from registration as an investment company. REITs are dependent upon specialized management skills and may invest in relatively few properties, a small geographic area or a small number of property types. As a result, investments in REITs may be volatile. To the extent a Fund invests in REITs concentrated in specific geographic areas or property types, the Fund may be subject to a greater loss as a result of adverse developments affecting such areas or property types. REITs are pooled investment vehicles with their own fees and expenses and a Fund will indirectly bear a proportionate share of those fees and expenses.

Sampling Risk. To the extent a Fund uses a representative sampling approach, it will hold a smaller number of securities than are in its Target Index. As a result, an adverse development respecting a security held by a Fund could result in a greater decline in NAV than would be the case if the Fund held all of the securities in its Target Index. Conversely, a positive development relating to a security in a Fund’s Target Index that is not held by the Fund could cause the Fund to underperform the Target Index. To the extent the assets in a Fund are smaller, these risks will be greater.

Sector Risk. To the extent a Target Index, and thereby a Fund, emphasizes, from time to time, investments in a particular sector, the Funds are subject to a greater degree to the risks particular to that sector. Market conditions, interest rates, and economic, regulatory, or financial developments could significantly affect all the securities in a single sector. If the Funds invest in a few sectors, it may have increased exposure to the price movements of those sectors.

Volatility Risk. There is a risk that the present and future volatility of a security, relative to the market index, will not be the same as it historically has been and thus that a Fund’s Target Index will not be exposed to the less volatile securities in the index universe. Volatile stocks are subject to sharp swings in value.

The Funds’ prospectus contain additional information regarding the principal risks associated with an investment in a Fund.

12. Guarantees and Indemnifications

In the normal course of business, the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. Additionally, under the Funds’ organizational documents, the officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. The Adviser is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.

13. New Accounting Pronouncements

On August 28, 2018, the FASB issued ASU 2018-13, “Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement,” which amends the fair value measurement disclosure requirements of ASC 820. The amendments of ASU 2018-13 include new, eliminated, and modified disclosure requirements of ASC 820. In addition, the amendments clarify that materiality is an appropriate consideration of entities when evaluating disclosure requirements. The ASU is effective for all entities for fiscal years beginning after December 15, 2019, including interim periods therein. Early adoption is permitted for any eliminated or modified disclosures upon issuance of this ASU. The Funds have early adopted ASU 2018-13 for these financial statements.

14. Subsequent Events

Management has evaluated subsequent events and transactions for potential recognition or disclosure through the date the financial statements were issued and has determined that there are no material events that would require disclosure in the Funds’ financial statements.

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OSI ETF Trust

Expense Examples (Unaudited)
December 31, 2019

As a shareholder, you incur two types of costs: (1) transaction costs for purchasing and selling shares and (2) ongoing costs, including management fees, other operational and investment related expenses. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.

Actual Expenses

The actual expense examples are based on an investment of $1,000 invested at the beginning of a six month period and held through the period ended December 31, 2019.

The first line in the following tables 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 under the heading “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The hypothetical expense examples are based on an investment of $1,000 invested at the beginning of a six month period and held through the period ended December 31, 2019.

The second line in the following tables provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ 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 Funds 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 transaction costs, such as brokerage charges. Therefore, the second line for each Fund in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

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OSI ETF Trust

Expense Examples (Unaudited)
December 31, 2019

	Beginning Account Value 07/01/19			Ending Account Value 12/31/19			Expenses Paid During the Period*			Annualized Expense Ratio During Period
O’Shares FTSE U.S. Quality Dividend ETF
Actual		$	1,000.00		$	1,088.80		$	2.52		0.48%
Hypothetical		$	1,000.00		$	1,022.72		$	2.44		0.48%
O’Shares FTSE Russell Small Cap Quality Dividend ETF
Actual		$	1,000.00		$	1,088.60		$	2.52		0.48%
Hypothetical		$	1,000.00		$	1,022.72		$	2.44		0.48%
O’Shares Global Internet Giants ETF
Actual		$	1,000.00		$	1,045.90		$	2.47		0.48%
Hypothetical		$	1,000.00		$	1,022.72		$	2.44		0.48%
O’Shares FTSE Europe Quality Dividend ETF
Actual		$	1,000.00		$	1,074.80		$	2.50		0.48%
Hypothetical		$	1,000.00		$	1,022.72		$	2.44		0.48%

Expenses are equal to the average account value over the period multiplied by the Fund’s annualized expense ratio, multiplied by 184 days in the most recent fiscal half-year divided by 366 days in the fiscal year (to reflect the one half year period).

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OSI ETF Trust

Board Review and Approval of Investment Advisory and Sub-Advisory Agreements (Unaudited)
December 31, 2019

At the November 13, 2019 meeting (the “Meeting”) of the Board of Trustees (the “Board”) of OSI ETF Trust (the “Trust”), the Board, including those Trustees (the “Independent Trustees”) who are not “interested persons” (as that term is defined in the Investment Company Act of 1940 (the “1940 Act”)) of the Trust, approved (i) the continuation of the investment advisory agreement (the “Investment Advisory Agreement”) between O’Shares Investment Advisers, LLC (the “Adviser”) and the Trust, on behalf of the O’Shares FTSE Russell Small Cap Quality Dividend ETF, O’Shares Global Internet Giants ETF, O’Shares U.S. Large Cap Quality Growth ETF, O’Shares U.S. Small Cap Quality Growth ETF, O’Shares Quality Robotics and Artificial Intelligence ETF and O’Shares Quality Artificial Intelligence ETF (each a “Fund” and collectively, the “Funds”), and (ii) the continuation of the investment sub-advisory agreement (the “Sub-Advisory Agreement”) between the Adviser and Vident Investment Advisory, LLC (the “Sub-Adviser”), on behalf of the Funds (the Investment Advisory Agreement and the Sub-Advisory Agreement are collectively referred to as the “Advisory Agreements”). Under the Investment Advisory Agreement, the Adviser is obligated to pay all of the ordinary operating expenses of each Fund, except for certain excluded items (the “Unified Fee”).

In considering approval of the continuation of the Advisory Agreements, the Independent Trustees met in executive session with independent counsel, who provided assistance and advice. The Board, including the Independent Trustees, evaluated the terms of the Advisory Agreements, reviewed the information provided by the Adviser and Sub-Adviser in connection with the consideration of approving the continuation of the Advisory Agreements, and reviewed the duties and responsibilities of the Trustees in evaluating and approving the Advisory Agreements.

In considering the approval of the continuation of the Advisory Agreements, the Board, including the Independent Trustees, reviewed the materials provided for the Meeting by the Adviser and Sub-Adviser, including: (i) a copy of the Investment Advisory Agreement; (ii) a copy of the Sub-Advisory Agreement; (iii) information describing the nature, extent and quality of the services that the Adviser and Sub-Adviser provide and expect to provide to each Fund, and the fees that the Adviser and Sub-Adviser charge for such services; (iv) information concerning the financial condition, businesses, operations and compliance programs of the Adviser and Sub-Adviser; (v) a copy of the current Form ADV for each of the Adviser and Sub-Adviser; and (vi) memoranda on the responsibilities of trustees in considering investment advisory arrangements under the 1940 Act.

In addition, the Board considered data compiled by the Adviser from an unaffiliated third party database comparing the Unified Fee of each Fund with the net expense ratios (i.e., after fee waivers and reimbursements) of other U.S.-listed ETFs having similar investment objectives and strategies (each a “Peer Group”). The Board discussed the criteria used by the Adviser for selecting the Peer Group. The Board, including the Independent Trustees, concluded that the data was useful for the purpose of reviewing the Advisory Agreements.

During their review of this information, the Board, including the Independent Trustees, focused on and analyzed the factors that they deemed relevant. In particular, the Board considered and reviewed the following with respect to each Fund:

(a) The nature, extent and quality of services provided and to be provided to each Fund by the Adviser and Sub-Adviser; Personnel and operations of the Adviser and Sub-Adviser; Possible conflicts of interest. The Board reviewed the services that the Adviser and Sub-Adviser provide and expect to provide to each Fund. In connection with the advisory services provided and to be provided to each Fund, the Board noted the Adviser’s responsibilities as each Fund’s investment adviser, including: overall supervisory responsibility for the general management and investment of each Fund’s securities portfolio; ultimate responsibility, subject to oversight by the Board, for oversight of the Sub-Adviser as sub-adviser to the Funds; responsibility for daily monitoring of tracking error and quarterly reporting to the Board; responsibility for general oversight of compliance by each Fund and the Sub-Adviser with relevant law and compliance policies and procedures; and implementation of Board directives as they relate to each Fund.

The Board also noted the responsibilities that the Sub-Adviser has as the Funds’ sub-adviser, including: implementation of the investment management program of the Funds; management of the day-to-day investment and reinvestment of the assets of the Funds; determining daily baskets of deposit securities and cash components; executing portfolio security trades for purchases and redemptions of Fund shares conducted on a cash-in-lieu basis, as well as during index rebalances and reconstitutions; and oversight of general Fund portfolio compliance with relevant law and the Trust’s compliance policies and procedures.

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OSI ETF Trust

Board Review and Approval of Investment Advisory and Sub-Advisory Agreements (Unaudited)
December 31, 2019

The Board considered the experience and background of the personnel dedicated by the Adviser and Sub-Adviser to the management of the Funds, and the Adviser’s and Sub-Adviser’s procedures to manage potential conflicts of interest. The Board also considered the financial strength and resources of the Adviser’s and Sub-Advisers’ parent organizations. Based on their consideration and review of the foregoing information, the Board concluded that each Fund was likely to benefit from the nature, extent and quality of these services, as well as the Adviser’s and Sub-Adviser’s ability to render such services based on their experience, personnel, operations and resources.

(b) Comparison of services provided and fees charged by the Adviser and Sub-Adviser and other investment advisers to similar clients, and the cost of the services provided. The Board compared both the services rendered and the fees paid pursuant to the Investment Advisory Agreement for the Funds to the contractual advisory fees of other registered investment advisers providing services to similar ETFs in each Fund’s Peer Group. In particular, the Board compared each Fund’s Unified Fee to the net expense ratios of the other ETFs in the Peer Group.

The Board considered that the sub-advisory fees paid by the Adviser to the Sub-Adviser pursuant to the Sub-Advisory Agreement were the product of arms-length negotiations between the Adviser and Sub-Adviser, and that the sub-advisory fees were paid entirely by the Adviser from the Unified Fee. The Board also considered information about the fee rates charged to other comparable accounts and clients (including other ETFs) that are managed by the Adviser and Sub-Adviser.

The Board considered the appropriateness of the Unified Fee of each Fund compared to the net expense ratios of the ETFs in the Peer Group. The Board noted that (i) the Unified Fee of the O’Shares FTSE Russell Small Cap Quality Dividend ETF and O’Shares U.S. Large Cap Quality Growth ETF was above the median and average, but below the maximum, net expense ratio of the other ETFs in the respective Peer Group; (ii) the Unified Fee of the O’Shares U.S. Small Cap Quality Growth ETF was above the median, but below the average and maximum, net expense ratio of the other ETFs in its Peer Group; (iii) the Unified Fee of the O’Shares Quality Robotics and Artificial Intelligence ETF and O’Shares Quality Artificial Intelligence ETF was above the average and equal to the median, but below the maximum, net expense ratio of the other ETFs in the respective Peer Group; and (iv) the Unified Fee of the O’Shares Global Internet Giants ETF was below the median, average and maximum net expense ratio of the other ETFs in its Peer Group.

The Board received information regarding the costs and the profitability of the Adviser and Sub-Adviser in connection with serving as adviser and sub-adviser, respectively, to the Funds. The Board noted the Adviser’s assumption of the contractual obligation to limit each Fund’s ordinary operating expenses through the Unified Fee, which cannot be changed without shareholder approval. The Board also considered the Adviser’s representation that it would continue to monitor the Funds’ expense ratios as compared to those of their peer groups and seek to ensure that the Funds remain competitive.

After (i) comparing each Fund’s Unified Fee with the net expense ratios of the other ETFs in the Peer Group, (ii) the nature, extent and quality of services provided and to be provided by the Adviser and Sub-Adviser and the costs incurred by the Adviser and Sub-Adviser in rendering those services, and (iii) the Adviser absorbing each Fund’s ordinary operating expenses under the Unified Fee, the Board concluded that the fees paid to the Adviser and Sub-Adviser with respect to the Funds were fair and reasonable.

(c) The Adviser’s and Sub-Adviser’s profitability and the extent to which economies of scale were realized as each Fund grew and whether fee levels reflect such economies of scale; “Fall-out” benefits. The Board discussed with the representatives from the Adviser and Sub-Adviser the advisers’ profitability with respect to the Funds. The Board acknowledged the Adviser’s contractual obligation to limit each Fund’s expenses through the Unified Fee, and the effect of such obligation on the Adviser’s profitability based on information presented to the Board.

The Board noted that the Funds had not yet reached a size sufficient to experience economies of scale, though the Board would address economies of scale for each Fund when assets under management reached appropriate levels. The Board considered fall-out benefits received and to be received by the Adviser and Sub-Adviser from their relationship with the Funds and the Trust. The Board noted that none of the other service providers to each Fund or the Trust

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Board Review and Approval of Investment Advisory and Sub-Advisory Agreements (Unaudited)
December 31, 2019

were affiliates of the Adviser or Sub-Adviser. The Board also noted the Adviser’s and Sub-Adviser’s potential positive reputational benefits from the success of each Fund.

(d) Investment performance of the Adviser and Sub-Adviser. The Board discussed with the representatives from the Adviser and Sub-Adviser the performance of the Funds, including tracking difference with respect to each Fund’s underlying index. In particular, the Board considered the investment performance of the Funds relative to their stated objectives and the success of the Adviser and Sub-Adviser in reaching such objectives. The Board also considered each Fund’s investment performance compared to: (i) its corresponding underlying index that it seeks to track, and (ii) the secondary benchmark index that each Fund uses for comparison purposes, if any. In addition, consideration was given to tracking difference data provided to the Board for the Meeting and throughout the year by the Adviser and Sub-Adviser. The Board also considered each Fund’s investment performance compared to the Fund’s respective Peer Group.

The Board considered that each of the O’Shares FTSE Russell Small Cap Quality Dividend ETF and the O’Shares Global Internet Giants ETF outperformed its respective Peer Group for the 1-year and since-inception periods ended September 30, 2019. The Board discussed with the Adviser the reasons for the relative outperformance compared to each Fund’s respective Peer Group. The Board received and considered information about the premium/discount history of the Funds, which illustrated the number of times that the market price of the Funds trading on the secondary market closed above or below the net asset value (“NAV”) of the Funds, and by how much, measured in basis points. The Board concluded that the performance of the Funds, including the tracking difference, was reasonable in light of the respective investment objectives and policies of the Funds.

The Board noted that because the O’Shares U.S. Large Cap Quality Growth ETF, O’Shares U.S. Small Cap Quality Growth ETF, O’Shares Quality Robotics and Artificial Intelligence ETF and O’Shares Quality Artificial Intelligence ETF had not commenced operations, it was not possible to assess the Adviser’s and Sub-Adviser’s investment performance with respect to those Funds. For purposes of comparison, the Board considered the performance of the Adviser and Sub-Adviser with respect to the operational series of the Trust, including tracking difference.

Conclusion. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, the Board, including the Independent Trustees, concluded that the Unified Fees were reasonable in relation to the services provided and to be provided by the Adviser and Sub-Adviser to each Fund, as well as the costs incurred and benefits gained by the Adviser and Sub-Adviser in providing such services. The Board also found the advisory fees to be reasonable in comparison to the fees charged by advisers to other comparable ETFs of similar size. As a result, the Board, including the Independent Trustees, determined that the approval of the continuation of the Advisory Agreements on behalf of each Fund would be in the best interest of each Fund and its shareholders.

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Additional Information (Unaudited)

Proxy Voting Information

A description of OSI ETF Trust’s proxy voting policies and procedures is attached to the Funds’ Statement of Additional Information, which is available without charge by visiting the Trust’s website at www.oshares.com or the Securities and Exchange Commission’s (“SEC”) SEC’s website at www.sec.gov or by calling collect 1-617-855-7670.

In addition, a description of how each Fund voted proxies relating to its portfolio securities during the most recent 12-month year ended June 30 will be available without charge upon request by calling collect 1-617-855-7670 or on the SEC’s website at www.sec.gov.

Quarterly Portfolio Holdings Information

OSI ETF Trust will file its complete schedule of portfolio holdings with the SEC for the first and third quarters of on Form N-Q. The Form N-Q will be available on the SEC’s website at www.sec.gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information about the Public Reference Room may be obtained by calling 1-800-SEC-0330. In addition, the Funds’ full portfolio holdings are updated daily and available on the O’Shares Investment Funds’ website at www.oshares.com.

This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.

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OSI ETF Trust

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