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| Name | Symbol | Market | Type |
|---|---|---|---|
| Stratified LargeCap Index ETF | AMEX:SSPY | AMEX | Exchange Traded Fund |
| Price Change | % Change | Price | High Price | Low Price | Open Price | Traded | Last Trade | |
|---|---|---|---|---|---|---|---|---|
| 0.00 | 0.00% | 78.4338 | 0 | 00:00:00 |
As filed with the Securities and Exchange Commission on March 19, 2020
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-23227
SYNTAX ETF TRUST
(Exact Name of Registrant as Specified in Charter)
One Liberty Plaza, 46th Floor, New York, NY 10006
(Address of Principal Executive Offices) (Zip Code)
Registrant’s Telephone Number, including Area Code: (212) 883-2290
Kathy Cuocolo,
One Liberty Plaza, 46th Floor,
New York, NY 10006
(Name and Address of Agent for Service)
Copies to:
Kathleen H. Moriarty
Counsel to the Trust
Chapman & Cutler LLP
1270 Avenue of the Americas, 30th Floor
New York, New York 10020
Date of fiscal year end: December 31
Date of reporting period: December 31, 2019
EXPLANATORY NOTE - The Registrant is filing this amendment to its Form N-CSR for the period ended December 31, 2019, originally filed with the Securities and Exchange Commission on March 6, 2020 (SEC Accession No. 0001104659-20-030057) to amend Item 4, “Principal Account Fees and Services”. The purpose of this amendment is to remove the two words, “in thousands” from the heading in the table. Except as set forth above, this amendment does not amend, update or change any other items or disclosures found in the original Form N-CSR filing.
| Item 1: | Report(s) to Shareholders. |
The Annual Report is attached.
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Dear Shareholder,
Enclosed is the report for the Syntax ETF Trust for the period ending December 31, 2019, together with Management's Discussion and Analysis for the Syntax Stratified LargeCap ETF (“the Fund”) and its respective index - the Syntax Stratified LargeCap Index (“the Index”).
From a performance standpoint, 2019 proved to be one of the strongest years for equity markets in recent times. The Fund returned 28.93%1 for the year, successfully tracking the Index that was up 29.33%. The S&P 500® Index returned 31.49% for the year its fourth strongest annual performance in 30 years. The S&P 500 Equal Weight Index returned 29.24% for the year.
In the first half of the year, we saw a reversal in the hawkish tone from the Fed which led to positive equity market momentum. US equities continued to rally in through the third quarter as economic data and earnings growth remained strong. The Fund returned 20.26% through Q3, closely tracking the Index 20.49% and the S&P 500 20.55%. In contrast with this strong performance, the US yield curve inverted deep into its term structure and the IPO market showed signs of weakness, especially for high valuation companies. While the S&P 500 rose during the quarter, so too did the VIX2, breaking its usual negative correlation. This is unusual, as the S&P 500 and the VIX have historically had a negative 70% correlation and there are only 7 other instances in 25 years of both indices rising in consecutive quarters.3
Equity markets climbed the ‘wall of worry’ in the fourth quarter as the Federal Reserve continued its dovish tone and geo-political uncertainty abated with clarity on Brexit and the announcement of the “phase one trade deal” between the US and China. Additionally, favorable unemployment data released in early December showed that joblessness decreased to 3.5%4 – its lowest point since 1969.
However, as we move further into 2020, the US presidential election, rising middle east tensions, and the progress of the US-China Trade deal may lead to continued uncertainty and persistent volatility throughout the year.
Related Business Risks:
While we optimistically await to see what next year will bring, we note that many of the major cap-weighted and equal-weighted indices still carry significant and diversifiable related business risk. The five largest holdings in the cap-weighted S&P 500 Index are all tech-related (Microsoft, Apple, Alphabet, Amazon and Facebook), representing over-exposure to the IT and Information sectors. In 2019, this concentration had a positive effect, propelling the S&P 500 to new highs, with the megacap tech stocks returning 51% on average5. It also saw those five stocks end the year with a 16.8% share of the S&P 500, greater than the smallest 295 stocks, which had a combined weight of 16.2% in the S&P 500. While the cap-weighted strategy benefited given its disproportional concentration in these correlated companies, we believe that this overexposure puts investors at risk of a market event that could negatively impact their performance.
While the Syntax Stratified LargeCap ETF underperformed the S&P 500 Index this year, its performance was commensurate with its equal-weight counterpart, the S&P 500 Equal Weight Index, which returned 29.24% year to date. It is important to note that the equal-weight methodology can also leave investors open to related business risk. While cap weighting can cause an investor’s ownership to accumulate in the largest, most momentum-driven companies and industries, equal weighting can cause an investor’s ownership to accumulate in the sectors and industries that have the most company representatives. For example, as of 12/31/19, 18.8% of the S&P 500 Equal Weight Index was in the Industrials sector.
| 1 |
Syntax’s Stratified Weight™ approach is designed to control for business risk concentrations that regularly occur in cap-weighted and equal-weight indices. Instead of concentrating in the largest companies or most represented sectors or industries, index weight is spread across business risk groups to provide a diversified return from all the business opportunities of a benchmark.
The result this year is that the Fund broadly kept up with the S&P 500 while maintaining diversified exposure: just under 1.5% of the Index’s weight was allocated to the to the “big 5” megacap tech stocks as of 12/31/19. And instead of weighting by the number of companies in a sector or industry, each of the eight Syntax sectors had a target allocation of 12.5%.
The strong full-year performance of the Fund (28.93%), was consistent with our expectations.
We appreciate your support of The Syntax ETF Trust and look forward to serving your investment needs in the future.
1 This return may differ from that in the audited statements due to GAAP adjustments related to financial reporting as well as the timing of the conversion of assets into the ETF from the previous private limited partnership.
2 The CBOE Volatility Index, or VIX, is a real-time market index representing the market's expectations for volatility over the coming 30 days implied by S&P 500 index options
3 Source: Bloomberg. Syntax, LLC
4 Source: US Bureau of Labor Statistics
5 Source: S&P Dow Jones Indices Indexology® Blog; From “Hard to Beat” to Nigh-On Impossible by Chris Bennett; https://www.indexologyblog.com/2020/01/07/from-hard-to-beat-to-nigh-on-impossible/
| 2 |
Manager’s Note
Syntax Stratified LargeCap ETF (SSPY)
As an index fund, the Syntax Stratified LargeCap ETF (the “Fund”) is passively managed and seeks to track the returns (before fees and expenses) of its underlying index – the Syntax Stratified LargeCap Index (the “Index”). The Syntax Stratified LargeCap Index reweights the constituents of the widely tracked S&P 500® to address the related business risk concentrations that occur in capitalization-weighted indices. Its goal is to deliver an unbiased return that is representative of all the business opportunities in the market, not just the largest ones.
In accordance with its guidelines and procedures, Syntax, LLC (“Syntax” or the “Index Provider”) has contracted with S&P Opco, LLC (a subsidiary of S&P Dow Jones Indices LLC) to calculate and maintain the Index, which is a Stratified WeightTM version of the S&P 500 Index. Unlike the S&P 500 Index, which employs a market capitalization weighted methodology, the Index utilizes a patented investment technology to diversify the same constituents and use the same rebalancing schedule as the S&P 500, the only difference is the weighting scheme applied. The Fund generally invests in all of the securities comprising the Index in proportion to their weightings in the Index.
For the year ending December 31, 2019, on a market price basis, the Fund returned 28.90%. On a net asset value (“NAV”) basis, the Fund returned 28.93%. During the same time period, the Index returned 29.33%. During the year, the Fund fully replicated the components of the Index; therefore, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period.
During this same time period, the S&P 500 Index returned 31.49% and the S&P 500 Equal Weight Index returned 29.24%. The S&P 500 is an unmanaged index weighted by market capitalization based on the average performance of approximately 505 equity securities. The S&P
Equal Weight 500 is an unmanaged index and is the equal-weight version of the S&P 500 Index. It includes the same companies as the S&P 500 Index, but each company is allocated a fixed weight or 0.2% of the index at each quarterly rebalance.
Both the S&P 500 Index and the S&P 500 Equal Weight Index were selected for their recognition in the marketplace. Their performance comparison is a useful measure for investors as a broad representation of the U.S. equity market using two different weighting methodologies: capitalization weighting and equal weighting. Both indices also use the same underlying universe as the Index. The performance of the Fund differed from the S&P 500 Index and the S&P 500 Equal Weight Index in part because the Fund seeks to track its Index that employs a Stratified Weight methodology.
| 3 |
Manager’s Note
Syntax Stratified LargeCap ETF (SSPY)
Portfolio Allocations
|
Due to rounding, numbers presented may not add up precisely to the totals provided and percentages may not precisely reflect the absolute figures. |
| 4 |
Manager’s Note
Syntax Stratified LargeCap ETF (SSPY)
Performance: Growth of $10,000
Performance Return (%) As of December 31, 2019
|
|
Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. The Growth of $10,000 chart represents a hypothetical investment based upon the historical performance of the Fund. It includes the reinvestment of dividends and capital gains at net asset value: actual returns may differ. Performance reflects contractual reimbursements in effect until May 1, 2020. In the absence of such reimbursements, performance would be reduced. The gross and net expense ratios of the Fund are 0.45% and 0.30%, respectively. Indexes are unmanaged and do not incur fees, expenses and other costs. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than that shown here. Please see important disclosures relating to Portability of Performance on page 6.
| 5 |
Manager’s Note
Syntax Stratified LargeCap ETF (SSPY)
A privately offered fund managed by Syntax Advisors, LLC was reorganized into the Syntax Stratified LargeCap ETF (“the Fund”) as of January 2, 2019 upon commencement of the ETF operations. For periods prior to the commencement of ETF operations, the Fund’s performance is that of the private fund. The Fund’s NAV price as of January 2, 2019 was used in calculating market price performance for January 2 and January 3, prior to the fund first trading on the New York Stock Exchange on January 4, 2019.
Portability of Performance: The returns were calculated using the methodology the SEC requires of registered funds. However, since the private fund did not calculate its returns on a per share basis, its returns have been calculated on its total net asset value. While the performance of the private fund is net of all fees and expenses, the performance of the private fund has not been restated to reflect the management and fee waivers applicable to the Fund. The Fund may be subject to higher fees which would negatively impact performance. The private fund began operations on January 1, 2015 and, on January 2, 2019, was reorganized into the Fund. Prior to the reorganization, the private fund had investment objectives, policies and strategies that were, in all material respects, the same as those of the Fund, and was managed in a manner that, in all material respects, complied with the investment guidelines and restrictions of the Fund. However, as a registered investment company, the Fund is subject to certain restrictions under the Investment Company Act of 1940 (the “1940 Act”) and the Internal Revenue Code of 1986 (the “Internal Revenue Code”) which did not apply to the private fund. If the private fund had been subject to the provisions of the 1940 Act and the Internal Revenue Code, its performance could have been adversely affected. However, these restrictions are not expected to have a material effect on the Fund’s investment performance.
Performance data current to the most recent month end is available by calling (866) 972-4492. The Fund is subject to certain risks, including but not limited to, equity securities risk, large-capitalization risk, index tracking risk, passive strategy/index risk, and market trading risk. Investing involves risk, including possible loss of principal.
Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Investors may purchase or sell individual shares on an exchange on which they are listed. Market returns are based upon the midpoint of the bid/ask spread at 4:00 p.m. Eastern time (when NAV is normally determined for most ETFs), and do not represent the returns you would receive if you traded shares at other times. Please see the prospectus for more details.
The Syntax Stratified LargeCap Index™ is the property of Syntax, LLC, which has contracted with S&P Opco, LLC (a subsidiary of S&P Dow Jones Indices LLC) to calculate and maintain the Index. The Index is not sponsored by S&P Dow Jones Indices or its affiliates or its third-party licensors (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices will not be liable for any errors or omissions in calculating the Index. “Calculated by S&P Dow Jones Indices” and the related stylized mark(s) are service marks of S&P Dow Jones Indices and have been licensed for use by Syntax, LLC, the parent company of Syntax Advisors, LLC. S&P® is a registered trademark of Standard & Poor’s Financial Services LLC (“SPFS”), and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”).
The Syntax Stratified LargeCap Index™ is the property of Syntax, LLC, the Fund’s index provider. Syntax®, Stratified®, Stratified Indices®, Stratified Weight™, and FIS™ are trademarks or registered trademarks of Locus LP. Performance of an index is not illustrative of any particular investment. It is not possible to invest directly in an index.
This report is submitted for the general information of the shareholders of the Funds. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ risks, objectives, fees and expenses, experience of its management, and other information.
This report is only intended for the recipient it is addressed and delivered to by Syntax Advisors, LLC and may not be redistributed without prior written consent. The report is provided for informational purposes and is not intended to be, nor should it be construed or used as an offer to sell, or a solicitation of any offer to buy shares or limited partnership interests in any funds managed by Syntax Advisors, LLC. These securities shall not be offered or sold in any jurisdiction in which such offer, solicitation or sale would be unlawful until the requirements of the laws of such jurisdiction have been satisfied. If any offer is made, it shall be pursuant to the offering documents prepared by or on behalf of a specific fund which contains detailed information concerning the investment terms and the risks, fees and expenses associated with an investment in that fund. In the case of any inconsistency between the descriptions or terms in this document and the offering documents, the offering documents shall control.
Index performance does not represent actual fund or portfolio performance and such performance does not reflect the actual investment experience of any investor. An investor cannot invest directly in an index. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in a portfolio invested in accordance with an index. None of the Syntax Indices or the benchmark indices portrayed herein charge management fees or incur brokerage expenses, and no such fees or expenses were deducted from the performance shown; provided, however, that the returns of any investment portfolio invested in accordance with such indices would be net of such fees and expenses. Additionally, none of these indices lend securities, and no revenues from securities lending were added to the performance shown.
THESE MATERIALS DO NOT CONSTITUTE AN OFFER OR SOLICITATION TO BUY ANY SECURITIES OR TO PARTICIPATE IN ANY PARTICULAR TRADING STRATEGY.
| 6 |
| Security Description | Shares | Value |
| COMMON STOCK—99.8% | ||
|
3M Co.
|
470 | $82,917 |
|
Abbott Laboratories
|
2,449 | 212,720 |
|
AbbVie, Inc.
|
1,031 | 91,285 |
|
ABIOMED, Inc.(a)
|
175 | 29,853 |
|
Accenture PLC, Class A
|
512 | 107,812 |
|
Activision Blizzard, Inc.
|
3,606 | 214,269 |
|
Adobe, Inc.(a)
|
1,330 | 438,647 |
|
Advance Auto Parts, Inc.
|
613 | 98,178 |
|
Advanced Micro Devices, Inc.(a)
|
1,707 | 78,283 |
|
AES Corp.
|
11,175 | 222,382 |
|
Aflac, Inc.
|
1,989 | 105,218 |
|
Agilent Technologies, Inc.
|
1,263 | 107,747 |
|
Air Products & Chemicals, Inc.
|
138 | 32,429 |
|
Akamai Technologies, Inc.(a)
|
1,873 | 161,790 |
|
Alaska Air Group, Inc.
|
1,411 | 95,595 |
|
Albemarle Corp.
|
476 | 34,767 |
|
Alexandria Real Estate Equities, Inc., REIT
|
270 | 43,627 |
|
Alexion Pharmaceuticals, Inc.(a)
|
818 | 88,467 |
|
Align Technology, Inc.(a)
|
396 | 110,500 |
|
Allegion PLC
|
1,290 | 160,657 |
|
Allergan PLC
|
481 | 91,953 |
|
Alliance Data Systems Corp.
|
961 | 107,824 |
|
Alliant Energy Corp.
|
999 | 54,665 |
|
Allstate Corp.
|
1,446 | 162,603 |
|
Alphabet, Inc., Class A(a)
|
39 | 52,236 |
|
Alphabet, Inc., Class C(a)
|
39 | 52,144 |
|
Altria Group, Inc.
|
4,744 | 236,773 |
|
Amazon.com, Inc.(a)
|
26 | 48,044 |
|
Amcor PLC(a)
|
5,009 | 54,298 |
|
Ameren Corp.
|
704 | 54,067 |
|
American Airlines Group, Inc.
|
3,466 | 99,405 |
|
American Electric Power Co., Inc.
|
984 | 92,998 |
|
American Express Co.
|
339 | 42,202 |
|
American International Group, Inc.
|
1,536 | 78,843 |
|
American Tower Corp. REIT
|
199 | 45,734 |
|
American Water Works Co., Inc.
|
1,331 | 163,513 |
|
Ameriprise Financial, Inc.
|
541 | 90,120 |
|
AmerisourceBergen Corp.
|
1,870 | 158,987 |
|
AMETEK, Inc.
|
537 | 53,560 |
|
Amgen, Inc.
|
383 | 92,330 |
|
Amphenol Corp., Class A
|
1,111 | 120,244 |
|
Analog Devices, Inc.
|
1,783 | 211,892 |
|
ANSYS, Inc.(a)
|
1,665 | 428,588 |
|
Anthem, Inc.
|
596 | 180,010 |
|
AO Smith Corp.
|
1,705 | 81,226 |
|
Aon PLC
|
205 | 42,699 |
|
Apache Corp.
|
2,477 | 63,386 |
|
Apartment Investment & Management Co. REIT, Class A
|
1,551 | 80,109 |
|
Apple, Inc.
|
768 | 225,523 |
|
Applied Materials, Inc.
|
2,354 | 143,688 |
| Security Description | Shares | Value |
|
Aptiv PLC
|
2,543 | $241,509 |
|
Archer-Daniels-Midland Co.
|
7,019 | 325,331 |
|
Arconic, Inc.
|
1,671 | 51,417 |
|
Arista Networks, Inc.(a)
|
822 | 167,195 |
|
Arthur J Gallagher & Co.
|
448 | 42,663 |
|
Assurant, Inc.
|
609 | 79,828 |
|
AT&T, Inc.
|
4,145 | 161,987 |
|
Atmos Energy Corp.
|
1,481 | 165,665 |
|
Autodesk, Inc.(a)
|
2,354 | 431,865 |
|
Automatic Data Processing, Inc.
|
628 | 107,074 |
|
AutoZone, Inc.(a)
|
77 | 91,731 |
|
AvalonBay Communities, Inc., REIT
|
380 | 79,686 |
|
Avery Dennison Corp.
|
1,221 | 159,731 |
|
Baker Hughes Co.
|
10,064 | 257,940 |
|
Ball Corp.
|
835 | 53,999 |
|
Bank of America Corp.
|
2,302 | 81,076 |
|
Bank of New York Mellon Corp.
|
1,579 | 79,471 |
|
Baxter International, Inc.
|
2,519 | 210,639 |
|
Becton Dickinson and Co.
|
197 | 53,578 |
|
Berkshire Hathaway, Inc., Class B(a)
|
1,408 | 318,912 |
|
Best Buy Co., Inc.
|
1,870 | 164,186 |
|
Biogen, Inc.(a)
|
306 | 90,799 |
|
BlackRock, Inc.
|
182 | 91,491 |
|
Boeing Co.
|
310 | 100,986 |
|
Booking Holdings, Inc.(a)
|
23 | 47,236 |
|
BorgWarner, Inc.
|
5,432 | 235,640 |
|
Boston Properties, Inc., REIT
|
313 | 43,150 |
|
Boston Scientific Corp.(a)
|
1,759 | 79,542 |
|
Bristol-Myers Squibb Co.
|
1,421 | 91,214 |
|
Broadcom, Inc.
|
447 | 141,261 |
|
Broadridge Financial Solutions, Inc.
|
662 | 81,783 |
|
Brown-Forman Corp., Class B
|
2,484 | 167,918 |
|
Cabot Oil & Gas Corp.
|
7,391 | 128,677 |
|
Cadence Design Systems, Inc.(a)
|
3,113 | 215,918 |
|
Campbell Soup Co.
|
2,841 | 140,402 |
|
Capital One Financial Corp.
|
1,013 | 104,248 |
|
Capri Holdings Ltd.(a)
|
3,272 | 124,827 |
|
Cardinal Health, Inc.
|
2,956 | 149,514 |
|
CarMax, Inc.(a)
|
972 | 85,215 |
|
Carnival Corp.
|
1,485 | 75,483 |
|
Caterpillar, Inc.
|
727 | 107,363 |
|
Cboe Global Markets, Inc.
|
366 | 43,920 |
|
CBRE Group, Inc., Class A(a)
|
726 | 44,497 |
|
CDW Corp.
|
575 | 82,133 |
|
Celanese Corp.
|
1,274 | 156,855 |
|
Centene Corp.(a)
|
2,932 | 184,335 |
|
CenterPoint Energy, Inc.
|
8,151 | 222,278 |
|
CenturyLink, Inc.
|
15,551 | 205,429 |
|
Cerner Corp.
|
1,465 | 107,516 |
|
CF Industries Holdings, Inc.
|
879 | 41,963 |
|
CH Robinson Worldwide, Inc.
|
518 | 40,508 |
|
Charles Schwab Corp.
|
2,117 | 100,685 |
| 7 |
| Security Description | Shares | Value |
|
Charter Communications, Inc., Class A(a)
|
446 | $216,346 |
|
Chevron Corp.
|
4,033 | 486,017 |
|
Chipotle Mexican Grill, Inc.(a)
|
389 | 325,636 |
|
Chubb Ltd.
|
1,026 | 159,707 |
|
Church & Dwight Co., Inc.
|
3,885 | 273,271 |
|
Cigna Corp. (a)
|
891 | 182,201 |
|
Cimarex Energy Co.
|
2,472 | 129,755 |
|
Cincinnati Financial Corp.
|
1,501 | 157,830 |
|
Cintas Corp.
|
454 | 122,162 |
|
Cisco Systems, Inc.
|
3,505 | 168,100 |
|
Citigroup, Inc.
|
1,038 | 82,926 |
|
Citizens Financial Group, Inc.
|
879 | 35,696 |
|
Citrix Systems, Inc.
|
957 | 106,131 |
|
Clorox Co.
|
1,792 | 275,144 |
|
CME Group, Inc.
|
207 | 41,549 |
|
CMS Energy Corp.
|
867 | 54,482 |
|
Coca-Cola Co.
|
4,372 | 241,990 |
|
Cognizant Technology Solutions Corp., Class A
|
2,058 | 127,637 |
|
Colgate-Palmolive Co.
|
3,958 | 272,469 |
|
Comcast Corp., Class A
|
4,854 | 218,284 |
|
Comerica, Inc.
|
1,960 | 140,630 |
|
Conagra Brands, Inc.
|
4,791 | 164,044 |
|
Concho Resources, Inc.
|
670 | 58,672 |
|
ConocoPhillips
|
843 | 54,820 |
|
Consolidated Edison, Inc.
|
2,408 | 217,852 |
|
Constellation Brands, Inc., Class A
|
871 | 165,272 |
|
Cooper Companies, Inc.
|
334 | 107,311 |
|
Copart, Inc.(a)
|
512 | 46,561 |
|
Corning, Inc.
|
4,139 | 120,486 |
|
Corteva, Inc.(a)
|
1,497 | 44,251 |
|
Costco Wholesale Corp.
|
1,629 | 478,796 |
|
Coty, Inc., Class A
|
24,539 | 276,064 |
|
Crown Castle International Corp. REIT
|
319 | 45,346 |
|
CSX Corp.
|
544 | 39,364 |
|
Cummins, Inc.
|
290 | 51,898 |
|
CVS Health Corp.
|
5,748 | 427,019 |
|
Danaher Corp.
|
534 | 81,958 |
|
Darden Restaurants, Inc.
|
2,745 | 299,232 |
|
DaVita, Inc.(a)
|
970 | 72,779 |
|
Deere & Co.
|
613 | 106,208 |
|
Delta Air Lines, Inc.
|
1,678 | 98,129 |
|
DENTSPLY SIRONA, Inc.
|
938 | 53,081 |
|
Devon Energy Corp.
|
5,064 | 131,512 |
|
Diamondback Energy, Inc.
|
623 | 57,852 |
|
Digital Realty Trust, Inc., REIT
|
1,395 | 167,037 |
|
Discover Financial Services
|
1,220 | 103,480 |
|
Discovery, Inc., Class A(a)
|
1,957 | 64,072 |
|
Discovery, Inc., Class C(a)
|
2,105 | 64,181 |
|
DISH Network Corp., Class A(a)
|
4,649 | 164,900 |
|
Dollar General Corp.
|
684 | 106,690 |
|
Dollar Tree, Inc.(a)
|
1,127 | 105,994 |
| Security Description | Shares | Value |
|
Dominion Energy, Inc.
|
1,120 | $92,758 |
|
Dover Corp.
|
698 | 80,451 |
|
Dow, Inc.(a)
|
993 | 54,347 |
|
DR Horton, Inc.
|
2,894 | 152,658 |
|
DTE Energy Co.
|
726 | 94,286 |
|
Duke Energy Corp.
|
586 | 53,449 |
|
Duke Realty Corp. REIT
|
1,236 | 42,852 |
|
DuPont de Nemours, Inc.
|
816 | 52,387 |
|
DXC Technology Co.
|
3,383 | 127,167 |
|
E*TRADE Financial Corp.
|
2,338 | 106,075 |
|
Eastman Chemical Co.
|
404 | 32,021 |
|
Eaton Corp. PLC
|
1,271 | 120,389 |
|
eBay, Inc.
|
1,278 | 46,149 |
|
Ecolab, Inc.
|
285 | 55,002 |
|
Edison International
|
2,910 | 219,443 |
|
Edwards Lifesciences Corp.(a)
|
341 | 79,552 |
|
Electronic Arts, Inc.(a)
|
2,023 | 217,493 |
|
Eli Lilly & Co.
|
746 | 98,047 |
|
Emerson Electric Co.
|
348 | 26,538 |
|
Entergy Corp.
|
766 | 91,767 |
|
EOG Resources, Inc.
|
700 | 58,632 |
|
Equifax, Inc.
|
457 | 64,035 |
|
Equinix, Inc., REIT
|
288 | 168,106 |
|
Equity Residential, REIT
|
979 | 79,221 |
|
Essex Property Trust, Inc., REIT
|
264 | 79,427 |
|
Estee Lauder Companies, Inc., Class A
|
1,338 | 276,351 |
|
Everest Re Group Ltd.
|
289 | 80,007 |
|
Evergy, Inc.
|
842 | 54,806 |
|
Eversource Energy
|
650 | 55,296 |
|
Exelon Corp.
|
4,824 | 219,926 |
|
Expedia Group, Inc.
|
402 | 43,472 |
|
Expeditors International of Washington, Inc.
|
521 | 40,648 |
|
Extra Space Storage, Inc., REIT
|
775 | 81,856 |
|
Exxon Mobil Corp.
|
6,873 | 479,598 |
|
F5 Networks, Inc.(a)
|
1,136 | 158,642 |
|
Facebook, Inc., Class A(a)
|
544 | 111,656 |
|
Fastenal Co.
|
2,138 | 78,999 |
|
Federal Realty Investment Trust, REIT
|
331 | 42,610 |
|
FedEx Corp.
|
479 | 72,430 |
|
Fidelity National Information Services, Inc.
|
383 | 53,271 |
|
Fifth Third Bancorp
|
1,139 | 35,013 |
|
First Republic Bank
|
1,228 | 144,229 |
|
FirstEnergy Corp.
|
1,103 | 53,606 |
|
Fiserv, Inc.(a)
|
453 | 52,380 |
|
FleetCor Technologies, Inc.(a)
|
139 | 39,993 |
|
FLIR Systems, Inc.
|
4,486 | 233,586 |
|
Flowserve Corp.
|
1,639 | 81,573 |
|
FMC Corp.
|
400 | 39,928 |
|
Ford Motor Co.
|
17,187 | 159,839 |
|
Fortinet, Inc.(a)
|
1,000 | 106,760 |
|
Fortive Corp.
|
352 | 26,889 |
|
Fortune Brands Home & Security, Inc.
|
1,219 | 79,649 |
| 8 |
| Security Description | Shares | Value |
|
Fox Corp., Class A
|
1,723 | $63,872 |
|
FoxCorp., Class B(a)
|
1,767 | 64,319 |
|
Franklin Resources, Inc.
|
3,486 | 90,566 |
|
Freeport-McMoRan, Inc.
|
16,440 | 215,693 |
|
Gap, Inc.
|
4,753 | 84,033 |
|
Garmin Ltd.
|
2,170 | 211,705 |
|
Gartner, Inc.(a)
|
805 | 124,051 |
|
General Dynamics Corp.
|
590 | 104,047 |
|
General Electric Co.
|
6,998 | 78,098 |
|
General Mills, Inc.
|
2,635 | 141,131 |
|
General Motors Co.
|
4,449 | 162,833 |
|
Genuine Parts Co.
|
754 | 80,097 |
|
Gilead Sciences, Inc.
|
1,382 | 89,802 |
|
Global Payments, Inc.
|
236 | 43,084 |
|
Globe Life, Inc.
|
1,001 | 105,355 |
|
Goldman Sachs Group, Inc.
|
705 | 162,101 |
|
H&R Block, Inc.
|
3,377 | 79,292 |
|
Halliburton Co.
|
4,959 | 121,347 |
|
Hanesbrands, Inc.
|
11,018 | 163,617 |
|
Harley-Davidson, Inc.
|
4,247 | 157,946 |
|
Hartford Financial Services Group, Inc.
|
1,299 | 78,940 |
|
Hasbro, Inc.
|
1,143 | 120,712 |
|
HCA Healthcare, Inc.
|
987 | 145,888 |
|
Healthpeak Properties, Inc., REIT
|
2,187 | 75,386 |
|
Helmerich & Payne, Inc.
|
2,826 | 128,385 |
|
Henry Schein, Inc.(a)
|
2,318 | 154,657 |
|
Hershey Co.
|
808 | 118,760 |
|
Hess Corp.
|
848 | 56,655 |
|
Hewlett Packard Enterprise Co.
|
9,900 | 157,014 |
|
Hilton Worldwide Holdings, Inc.
|
658 | 72,979 |
|
HollyFrontier Corp.
|
4,740 | 240,365 |
|
Hologic, Inc.(a)
|
2,983 | 155,742 |
|
Home Depot, Inc.
|
741 | 161,820 |
|
Honeywell International, Inc.
|
448 | 79,296 |
|
Hormel Foods Corp.
|
7,066 | 318,747 |
|
Host Hotels & Resorts, Inc., REIT
|
3,927 | 72,846 |
|
HP, Inc.
|
15,589 | 320,354 |
|
Humana, Inc.
|
479 | 175,563 |
|
Huntington Bancshares, Inc.
|
2,299 | 34,669 |
|
Huntington Ingalls Industries, Inc.
|
316 | 79,278 |
|
IDEX Corp.
|
474 | 81,528 |
|
IDEXX Laboratories, Inc.(a)
|
627 | 163,729 |
|
IHS Markit Ltd.(a)
|
1,418 | 106,846 |
|
Illinois Tool Works, Inc.
|
447 | 80,295 |
|
Illumina, Inc.(a)
|
325 | 107,816 |
|
Incyte Corp.(a)
|
989 | 86,359 |
|
Ingersoll-Rand PLC
|
395 | 52,503 |
|
Intel Corp.
|
1,219 | 72,957 |
|
Intercontinental Exchange, Inc.
|
460 | 42,573 |
|
International Business Machines Corp.
|
945 | 126,668 |
|
International Flavors & Fragrances, Inc.
|
237 | 30,578 |
|
International Paper Co.
|
1,140 | 52,497 |
| Security Description | Shares | Value |
|
Interpublic Group of Companies, Inc.
|
4,591 | $106,052 |
|
Intuit, Inc.
|
407 | 106,606 |
|
Intuitive Surgical, Inc.(a)
|
55 | 32,513 |
|
Invesco Ltd.
|
5,144 | 92,489 |
|
IPG Photonics Corp.(a)
|
183 | 26,520 |
|
IQVIA Holdings, Inc.(a)
|
730 | 112,792 |
|
Iron Mountain, Inc., REIT
|
1,340 | 42,706 |
|
Jack Henry & Associates, Inc.
|
363 | 52,878 |
|
Jacobs Engineering Group, Inc.
|
2,643 | 237,421 |
|
JB Hunt Transport Services, Inc.
|
350 | 40,873 |
|
JM Smucker Co.
|
1,339 | 139,430 |
|
Johnson & Johnson
|
1,496 | 218,222 |
|
Johnson Controls International PLC
|
1,962 | 79,873 |
|
JPMorgan Chase & Co.
|
579 | 80,713 |
|
Juniper Networks, Inc.
|
6,574 | 161,918 |
|
Kansas City Southern
|
262 | 40,128 |
|
Kellogg Co.
|
1,795 | 124,142 |
|
KeyCorp
|
1,756 | 35,541 |
|
Keysight Technologies, Inc.(a)
|
245 | 25,144 |
|
Kimberly-Clark Corp.
|
2,000 | 275,100 |
|
Kimco Realty Corp. REIT
|
2,083 | 43,139 |
|
Kinder Morgan, Inc.
|
10,474 | 221,735 |
|
KLA Corp.
|
822 | 146,456 |
|
Kohl's Corp.
|
2,628 | 133,897 |
|
Kraft Heinz Co.
|
4,314 | 138,609 |
|
Kroger Co.
|
16,937 | 491,004 |
|
L Brands, Inc.
|
4,479 | 81,159 |
|
L3Harris Technologies, Inc.
|
1,188 | 235,070 |
|
Laboratory Corp. of America Holdings(a)
|
423 | 71,559 |
|
Lam Research Corp.
|
499 | 145,908 |
|
Lamb Weston Holdings, Inc.
|
1,617 | 139,111 |
|
Las Vegas Sands Corp.
|
1,021 | 70,490 |
|
Leggett & Platt, Inc.
|
1,564 | 79,498 |
|
Leidos Holdings, Inc.
|
1,382 | 135,284 |
|
Lennar Corp., Class A
|
2,721 | 151,805 |
|
Lincoln National Corp.
|
1,771 | 104,507 |
|
Linde PLC
|
152 | 32,361 |
|
Live Nation Entertainment, Inc.(a)
|
705 | 50,386 |
|
LKQ Corp.(a)
|
2,633 | 93,998 |
|
Lockheed Martin Corp.
|
205 | 79,823 |
|
Loews Corp.
|
6,269 | 329,060 |
|
Lowe's Companies, Inc.
|
1,339 | 160,359 |
|
LyondellBasell Industries N.V., Class A
|
571 | 53,948 |
|
M&T Bank Corp.
|
207 | 35,138 |
|
Macy's, Inc.
|
8,356 | 142,052 |
|
Marathon Oil Corp.
|
4,155 | 56,425 |
|
Marathon Petroleum Corp.
|
4,058 | 244,494 |
|
MarketAxess Holdings, Inc.
|
113 | 42,839 |
|
Marriott International, Inc., Class A
|
482 | 72,989 |
|
Marsh & McLennan Companies, Inc.
|
382 | 42,559 |
|
Martin Marietta Materials, Inc.
|
383 | 107,102 |
|
Masco Corp.
|
1,687 | 80,959 |
| 9 |
| Security Description | Shares | Value |
|
Mastercard, Inc., Class A
|
143 | $42,698 |
|
Maxim Integrated Products, Inc.
|
3,552 | 218,484 |
|
McCormick & Co., Inc.
|
812 | 137,821 |
|
McDonald's Corp.
|
2,414 | 477,031 |
|
McKesson Corp.
|
1,128 | 156,025 |
|
Medtronic PLC
|
279 | 31,653 |
|
Merck & Co., Inc.
|
1,016 | 92,405 |
|
MetLife, Inc.
|
2,099 | 106,986 |
|
Mettler-Toledo International, Inc.(a)
|
34 | 26,972 |
|
MGM Resorts International
|
2,153 | 71,630 |
|
Microchip Technology, Inc.
|
690 | 72,257 |
|
Micron Technology, Inc.(a)
|
1,376 | 74,001 |
|
Microsoft Corp.
|
2,742 | 432,413 |
|
Mid-America Apartment Communities, Inc., REIT
|
608 | 80,171 |
|
Mohawk Industries, Inc.(a)
|
575 | 78,419 |
|
Molson Coors Brewing Co., Class B
|
3,122 | 168,276 |
|
Mondelez International, Inc., Class A
|
2,235 | 123,104 |
|
Monster Beverage Corp.(a)
|
3,828 | 243,269 |
|
Moody's Corp.
|
270 | 64,101 |
|
Morgan Stanley
|
3,157 | 161,386 |
|
Mosaic Co.
|
2,130 | 46,093 |
|
Motorola Solutions, Inc.
|
1,318 | 212,383 |
|
MSCI, Inc.
|
244 | 62,996 |
|
Mylan N.V.(a)
|
16,624 | 334,142 |
|
Nasdaq, Inc.
|
405 | 43,376 |
|
National Oilwell Varco, Inc.
|
10,000 | 250,500 |
|
NetApp, Inc.
|
2,507 | 156,061 |
|
Netflix, Inc.(a)
|
151 | 48,859 |
|
Newell Brands, Inc.
|
6,142 | 118,049 |
|
Newmont Goldcorp Corp.
|
5,124 | 222,638 |
|
News Corp., Class A
|
4,674 | 66,090 |
|
News Corp., Class B
|
4,563 | 66,209 |
|
NextEra Energy, Inc.
|
382 | 92,505 |
|
Nielsen Holdings PLC
|
5,302 | 107,631 |
|
NIKE, Inc., Class B
|
1,298 | 131,500 |
|
NiSource, Inc.
|
5,901 | 164,284 |
|
Noble Energy, Inc.
|
5,311 | 131,925 |
|
Nordstrom, Inc.
|
3,306 | 135,315 |
|
Norfolk Southern Corp.
|
209 | 40,573 |
|
Northern Trust Corp.
|
839 | 89,135 |
|
Northrop Grumman Corp.
|
230 | 79,113 |
|
NortonLifeLock, Inc.
|
4,069 | 103,841 |
|
Norwegian Cruise Line Holdings Ltd.(a)
|
1,264 | 73,830 |
|
NRG Energy, Inc.
|
5,369 | 213,418 |
|
Nucor Corp.
|
3,744 | 210,712 |
|
NVIDIA Corp.
|
315 | 74,120 |
|
NVR, Inc.(a)
|
42 | 159,953 |
|
Occidental Petroleum Corp.
|
1,401 | 57,735 |
|
Old Dominion Freight Line, Inc.
|
212 | 40,233 |
|
Omnicom Group, Inc.
|
1,289 | 104,435 |
|
ONEOK, Inc.
|
2,890 | 218,686 |
| Security Description | Shares | Value |
|
Oracle Corp.
|
1,940 | $102,781 |
|
O'Reilly Automotive, Inc.(a)
|
216 | 94,664 |
|
PACCAR, Inc.
|
1,289 | 101,960 |
|
Packaging Corp. of America
|
476 | 53,307 |
|
Parker-Hannifin Corp.
|
256 | 52,690 |
|
Paychex, Inc.
|
1,241 | 105,559 |
|
PayPal Holdings, Inc.(a)
|
490 | 53,003 |
|
Pentair PLC
|
1,730 | 79,355 |
|
People's United Financial, Inc.
|
12,714 | 214,867 |
|
PepsiCo, Inc.
|
863 | 117,946 |
|
PerkinElmer, Inc.
|
1,120 | 108,752 |
|
Perrigo Co. PLC
|
5,883 | 303,916 |
|
Pfizer, Inc.
|
2,365 | 92,661 |
|
Philip Morris International, Inc.
|
2,810 | 239,103 |
|
Phillips 66
|
2,105 | 234,518 |
|
Pinnacle West Capital Corp.
|
614 | 55,217 |
|
Pioneer Natural Resources Co.
|
377 | 57,066 |
|
PNC Financial Services Group, Inc.
|
222 | 35,438 |
|
PPG Industries, Inc.
|
397 | 52,996 |
|
PPL Corp.
|
1,484 | 53,246 |
|
Principal Financial Group, Inc.
|
1,670 | 91,850 |
|
Procter & Gamble Co.
|
2,167 | 270,658 |
|
Progressive Corp.
|
2,198 | 159,113 |
|
Prologis, Inc., REIT
|
477 | 42,520 |
|
Prudential Financial, Inc.
|
1,123 | 105,270 |
|
Public Service Enterprise Group, Inc.
|
1,548 | 91,409 |
|
Public Storage, REIT
|
386 | 82,203 |
|
PulteGroup, Inc.
|
3,928 | 152,406 |
|
PVH Corp.
|
759 | 79,809 |
|
Qorvo, Inc.(a)
|
1,245 | 144,706 |
|
QUALCOMM, Inc.
|
1,605 | 141,609 |
|
Quanta Services, Inc.
|
5,797 | 235,996 |
|
Quest Diagnostics, Inc.
|
670 | 71,549 |
|
Ralph Lauren Corp.
|
678 | 79,475 |
|
Raymond James Financial, Inc.
|
1,164 | 104,131 |
|
Raytheon Co.
|
365 | 80,205 |
|
Realty Income Corp. REIT
|
584 | 43,000 |
|
Regency Centers Corp. REIT
|
693 | 43,721 |
|
Regeneron Pharmaceuticals, Inc.(a)
|
241 | 90,491 |
|
Regions Financial Corp.
|
2,052 | 35,212 |
|
Republic Services, Inc.
|
1,335 | 119,656 |
|
ResMed, Inc.
|
688 | 106,619 |
|
Robert Half International, Inc.
|
1,715 | 108,302 |
|
Rockwell Automation, Inc.
|
130 | 26,347 |
|
Rollins, Inc.
|
3,611 | 119,741 |
|
Roper Technologies, Inc.
|
151 | 53,489 |
|
Ross Stores, Inc.
|
1,097 | 127,713 |
|
Royal Caribbean Cruises Ltd.
|
561 | 74,899 |
|
S&P Global, Inc.
|
234 | 63,894 |
|
salesforce.com, Inc.(a)
|
656 | 106,692 |
|
SBA Communications Corp. REIT
|
179 | 43,137 |
|
Schlumberger Ltd.
|
3,050 | 122,610 |
| 10 |
| Security Description | Shares | Value |
|
Seagate Technology PLC
|
2,697 | $160,471 |
|
Sealed Air Corp.
|
1,390 | 55,364 |
|
Sempra Energy
|
355 | 53,775 |
|
ServiceNow, Inc.(a)
|
387 | 109,258 |
|
Sherwin-Williams Co.
|
92 | 53,686 |
|
Simon Property Group, Inc., REIT
|
293 | 43,645 |
|
Skyworks Solutions, Inc.
|
1,893 | 228,826 |
|
SL Green Realty Corp. REIT
|
477 | 43,827 |
|
Snap-on, Inc.
|
698 | 118,241 |
|
Southern Co.
|
870 | 55,419 |
|
Southwest Airlines Co.
|
1,758 | 94,897 |
|
Stanley Black & Decker, Inc.
|
723 | 119,830 |
|
Starbucks Corp.
|
3,577 | 314,490 |
|
State Street Corp.
|
1,002 | 79,258 |
|
STERIS PLC
|
209 | 31,856 |
|
Stryker Corp.
|
391 | 82,087 |
|
SVB Financial Group(a)
|
567 | 142,340 |
|
Synchrony Financial
|
2,805 | 101,008 |
|
Synopsys, Inc.(a)
|
1,543 | 214,786 |
|
Sysco Corp.
|
5,696 | 487,236 |
|
T Rowe Price Group, Inc.
|
736 | 89,674 |
|
Take-Two Interactive Software, Inc.(a)
|
1,736 | 212,538 |
|
Tapestry, Inc.
|
4,892 | 131,937 |
|
Target Corp.
|
831 | 106,543 |
|
TE Connectivity Ltd.
|
1,266 | 121,333 |
|
TechnipFMC PLC
|
5,948 | 127,525 |
|
Teleflex, Inc.
|
147 | 55,337 |
|
Texas Instruments, Inc.
|
1,668 | 213,988 |
|
Textron, Inc.
|
2,437 | 108,690 |
|
Thermo Fisher Scientific, Inc.
|
330 | 107,207 |
|
Tiffany & Co.
|
949 | 126,834 |
|
TJX Companies, Inc.
|
2,102 | 128,348 |
|
T-Mobile US, Inc.(a)
|
2,103 | 164,917 |
|
Tractor Supply Co.
|
833 | 77,836 |
|
TransDigm Group, Inc.
|
92 | 51,520 |
|
Travelers Companies, Inc.
|
1,169 | 160,095 |
|
Truist Financial Corp.
|
630 | 35,482 |
|
Twitter, Inc.(a)
|
3,478 | 111,470 |
|
Tyson Foods, Inc., Class A
|
3,606 | 328,290 |
|
UDR, Inc., REIT
|
1,714 | 80,044 |
|
Ulta Salon Cosmetics & Fragrance, Inc.(a)
|
625 | 158,212 |
|
Under Armour, Inc., Class A(a)
|
3,248 | 70,157 |
|
Under Armour, Inc., Class C(a)
|
3,570 | 68,473 |
|
Union Pacific Corp.
|
224 | 40,497 |
|
United Airlines Holdings, Inc.(a)
|
1,086 | 95,666 |
|
United Parcel Service, Inc., Class B
|
668 | 78,196 |
|
United Rentals, Inc.(a)
|
488 | 81,384 |
|
United Technologies Corp.
|
532 | 79,672 |
|
UnitedHealth Group, Inc.
|
593 | 174,330 |
|
Universal Health Services, Inc., Class B
|
977 | 140,160 |
|
Unum Group
|
3,486 | 101,652 |
|
US Bancorp
|
585 | 34,685 |
| (a) | Non-income producing security. |
| PLC=Public Limited Company |
| REIT=Real Estate Investment Trust |
| 11 |
| INDUSTRY |
PERCENTAGE OF
NET ASSETS |
|
Upstream Energy
|
3.3% |
|
Processed Foods
|
3.2 |
|
Business Software for Specific Uses
|
3.1 |
|
Food Distributors
|
3.1 |
|
Downstream Energy
|
3.1 |
|
Branded Pharmaceuticals
|
3.1 |
|
Restaurants
|
3.1 |
|
Commercial Hardware
|
2.3 |
|
Transaction Services
|
2.2 |
|
Investment Services
|
2.2 |
|
Commercial Insurance
|
2.2 |
|
Electric Competitive
|
2.2 |
|
Internet Services and Websites
|
2.1 |
|
Content Providers
|
2.1 |
|
Rental
|
2.1 |
|
Telecommunication Networks
|
2.1 |
|
End User Hardware
|
2.1 |
|
Management and IT Services
|
2.1 |
|
Operators and Developers
|
2.1 |
|
Electric Regulated
|
2.0 |
|
Consumer Insurance
|
1.9 |
|
Midstream and Gas
|
1.9 |
|
Non Real Estate Banking
|
1.7 |
|
Healthcare Insurance
|
1.6 |
|
Alcohol and Tobacco
|
1.6 |
|
Primary Foods
|
1.6 |
|
Capital Markets
|
1.6 |
|
Home Office and Consumer Equipment Retail
|
1.6 |
|
Auto Products
|
1.5 |
|
Specialty Services
|
1.5 |
|
Home Office and Consumer Equipment Manufacture
|
1.5 |
|
Distribution Services
|
1.5 |
|
Information and Electrical Components
|
1.5 |
|
Transportation Services
|
1.5 |
|
Analog and Mixed Signal Integrated Circuits
|
1.4 |
|
Digital Integrated Circuits
|
1.4 |
|
Healthcare Providers and Facilities
|
1.4 |
|
Semiconductor Services and Equipment
|
1.4 |
|
Drugstores
|
1.4 |
|
Personal Products
|
1.3 |
|
Accessories and Footwear
|
1.3 |
|
Diversified Household and Personal Products
|
1.3 |
|
Chemicals
|
1.3 |
|
Other Natural Resources
|
1.3 |
|
Mechanical Components
|
1.3 |
|
Transport Aerospace and Defense Equipment
|
1.2 |
|
Medical Devices
|
1.1 |
|
Medical Research Services and Equipment
|
1.1 |
|
Apparel Retailers
|
1.1 |
| INDUSTRY |
PERCENTAGE OF
NET ASSETS |
|
Hospital Equipment
|
1.1% |
|
Metals
|
1.0 |
|
Diversified Drugs and Devices
|
1.0 |
|
Healthcare Products Distribution
|
1.0 |
|
Industrial Conglomerates
|
0.9 |
|
Production Equipment
|
0.8 |
|
Branded Apparel
|
0.8 |
|
Operating Systems and Middleware
|
0.7 |
|
Consumer Paper Products
|
0.4 |
|
Real Estate Banking
|
0.3 |
|
Business Software for Specific Industries
|
0.2 |
|
Other Assets in Excess of Liabilities
|
0.2 |
| Total | 100.0% |
| 12 |
| ASSETS | |
|
Investments in securities of unaffiliated issuers
|
$61,993,730 |
|
Cash
|
92,187 |
|
Receivable from the Advisor
|
75,546 |
|
Dividends receivable
|
79,528 |
|
Total Assets
|
62,240,991 |
| LIABILITIES | |
|
Accrued Management fee
|
23,652 |
|
Accrued Trustee Fees
|
25,000 |
|
Accrued Other fees and expenses
|
43,407 |
|
Total Liabilities
|
92,059 |
|
NET ASSETS
|
$62,148,932 |
| NET ASSETS CONSISTS OF: | |
|
Paid in Capital
|
52,831,599 |
|
Distributable earnings
|
9,317,333 |
|
NET ASSETS
|
$62,148,932 |
|
NET ASSET VALUE PER SHARE
|
$50.73 |
|
SHARES OUTSTANDING (unlimited number of shares authorized, no par value)
|
1,225,000 |
| COST OF INVESTMENTS: | |
|
Cost of Investments
|
$51,837,688 |
| 13 |
|
For the Period 1/2/19(a)
to 12/31/19 |
|
| INVESTMENT INCOME | |
|
Dividend income
|
$1,101,662 |
|
Total Investment Income
|
1,101,662 |
| EXPENSES | |
|
Management fee
|
235,145 |
|
Trustee fee
|
100,000 |
|
CCO fee
|
49,999 |
|
Audit fee
|
36,500 |
|
Total Expenses
|
421,644 |
|
Expense Waiver/Reimbursement
|
(262,321) |
|
Net Expenses
|
159,323 |
|
NET INVESTMENT INCOME (LOSS)
|
942,339 |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
|
Net realized gain (loss) on Investments
|
(428,382) |
|
Net change in unrealized appreciation/depreciation on Investments
|
12,145,204 |
|
NET REALIZED AND UNREALIZED GAIN (LOSS)
|
11,716,822 |
|
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
|
$12,659,161 |
| (a) | Fund commenced operations on January 2, 2019. |
| 14 |
|
For the Period 1/2/19(a)
to 12/31/19 |
|
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |
|
Net investment income (loss)
|
$942,339 |
|
Net realized gain (loss)
|
(428,382) |
|
Net change in unrealized appreciation/depreciation
|
12,145,204 |
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
|
12,659,161 |
| DISTRIBUTIONS TO SHAREHOLDERS | |
|
Distributions to Shareholders
|
(964,675) |
| INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS: | |
|
Proceeds from Shares Sold
|
56,595,018 |
|
Cost of Shares Redeemed
|
(6,240,572) |
|
INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS:
|
50,354,446 |
|
NET INCREASE (DECREASE) IN NET ASSETS DURING THE PERIOD
|
62,048,932 |
|
NET ASSETS AT BEGINNING OF PERIOD
|
100,000 |
|
NET ASSETS AT END OF PERIOD
|
$62,148,932 |
| SHARE TRANSACTIONS: | |
|
Shares sold
|
1,372,500 |
|
Shares redeemed
|
(150,000) |
|
NET INCREASE
|
1,222,500 |
| (a) | Fund commenced operations on January 2, 2019. |
| 15 |
|
For the
Period 1/2/19(a) to 12/31/19 |
|
|
Net asset value, beginning of period
|
$40.00 |
| Income (loss) from investment operations: | |
|
Net investment income (loss)(b)
|
0.84 |
|
Net realized and unrealized gain (loss)
|
10.68 |
|
Total from investment operations
|
11.52 |
| Less Distributions from: | |
|
Net investment income
|
(0.79) |
|
Net asset value, end of period
|
$50.73 |
|
Total return(c)
|
28.81%(d) |
| Ratios and Supplemental Data: | |
|
Net assets, end of period (000s)
|
$62,149 |
| Ratios to average net assets: | |
|
Total expenses
|
0.80%(e) |
|
Net expenses(f)
|
0.30%(e) |
|
Net investment income (loss)(f)
|
1.80%(e) |
|
Portfolio turnover rate(g)
|
34%(d) |
| (a) | Fund commenced operations on January 2, 2019. |
| (b) | Per Share numbers have been calculated using the average shares method. |
| (c) | Total return is calculated assuming a purchase of Shares at net asset value per Share on the first day and a sale at net asset value per Share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in this calculation. Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. |
| (d) | Not annualized. |
| (e) | Annualized. |
| (f) | Net of expenses waived/reimbursed by the Advisor. |
| (g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions of Shares. |
| 16 |
| 17 |
| • | Level 1 — Quoted prices in active markets for identical investments |
| • | Level 2 — Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| • | Level 3 — Significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments) |
| Description |
Level 1—
Prices |
Level 2—
Other Significant Observable Inputs |
Level 3—
Significant Unobservable Inputs |
Total |
| ASSETS: | ||||
| INVESTMENTS: | ||||
|
Common Stock
|
$61,993,730 | $— | $— | $61,993,730 |
| Distributions paid from: | 2019 | |
|
Ordinary Income
|
$964,675 |
| 18 |
|
Undistributed ordinary income
|
$70,122 |
|
Undistributed long-term capital gains
|
$0 |
|
Net unrealized appreciation
|
$9,247,211 |
| 19 |
| Tax Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net Unrealized
Appreciation (Depreciation) |
||||
|
Syntax Stratified LargeCap ETF
|
$52,746,519 | $10,145,508 | $(898,297) | $9,247,211 |
| 20 |
| 21 |
| 22 |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Syntax ETF Trust and Shareholders of Syntax Stratified LargeCap ETF
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Syntax Stratified LargeCap ETF (the “Fund”) (one of the funds constituting the Syntax ETF Trust (the “Trust”)), including the portfolio of investments, as of December 31, 2019 and the statements of operations and changes in net assets and the financial highlights for the period from January 2, 2019 (commencement of operations) to December 31, 2019 and the related notes (collectively referred to as the “financial statements”) In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund at December 31, 2019, the results of its operations, the changes in its net assets and its financial highlights for the period from January 2, 2019 (commencement of operations) to December 31, 2019, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audit, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audit included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks.
Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019, through correspondence with the custodian. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audit provides a reasonable basis for our opinion.
We have served as the auditor of one or more Syntax investment companies since 2018.
Boston, Massachusetts
February 26, 2020
| 23 |
| 24 |
| Actual |
Hypothetical (assuming a 5%
return before expenses) |
||||||||
|
Annualized
Expense Ratio |
Ending Account
Value |
Expenses Paid
During Period |
Ending Account
Value |
Expenses Paid
During Period |
|||||
|
Syntax Stratified LargeCap ETF
|
0.30% | $1,086.90 | $1.58 | $1,023.70 | $1.53 | ||||
| 25 |
| 26 |
| 27 |
| 28 |
TRUSTEES AND OFFICERS OF THE TRUST
TRUSTEES
|
NAME, ADDRESS
|
POSITION(S)
|
TERM OF OFFICE
OF TIME SERVED |
PRINCIPAL
|
NUMBER OF
PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE |
OTHER
|
|
Independent Trustees |
|||||
|
Deborah Fuhr
(1959) |
Independent Trustee | Term: Unlimited Trustee since 2018 | Co-Founder and Managing Partner, ETFGI LLP (research and consulting) (2012 to present); | 3 | Co-Founder and Board Member, Women in ETFs (Not for Profit) (2014 to present); Co- founder and Board Member, Women in ETFs Europe Limited (Educational Association) (2015 to present); Director and Board Member, 2 Culford Gardens RTM (Property) (2011 to present); Director and Board Member (2 Culford Gardens Freehold (Property) (2011 to present) |
|
George Hornig
|
Independent Trustee and Chairman of the Audit Committee
|
Term: Unlimited Trustee since 2018
|
Managing Member, George Hornig, LLC (2017 to present) (investments); Senior Managing Director and Chief Operating Officer, Pinebridge Investments (investment adviser) (2010 to 2016).
|
3 |
Director, Forrester Research, Inc. (technology research company) (1996 to 2018); Director, Daniel J. Edelman Holding (2016 to present) (communications marketing firm); Director, Xometry (advanced manufacturing platform business) (2014 to present); Director, KBL Merger Corp IV (2017 to present) (healthcare). |
| 29 |
|
Richard Lyons
|
Lead Independent Trustee and Chairman of the Nominating and Governance Committee | Term: Unlimited Trustee since 2018 |
Chief Innovation and Entrepreneurship Officer, UC Berkeley (since 2020); Professor and William & Janet Cronk Chair in Innovative Leadership (2019), Dean (2008- 19), Haas School of Business, UC Berkeley;, Haas School of Business, UC Berkeley; Chief Learning Officer (2006 to 2008), Goldman Sachs (investment banking and investment management); Executive Associate Dean (2005 to 2006), Acting Dean (2004 to 2005), Professor (2000 to 2004), Associate Professor (1996 to 2000), Assistant Professor (1993 to 1996), Haas School of Business, UC Berkeley. |
3 |
Director (2013 to 2016), Matthews A Share Selections Fund, LLC (mutual funds). |
|
Stewart Myers
|
Independent Trustee |
Term: Unlimited Trustee since 2018 |
Professor, MIT Sloan School of Management (since 2015); Principal, The Brattle Group, Inc. (since 1991). | 3 |
Director, Entergy Corp. (2009 to 2015). |
| Interested Trustees | |||||
|
Rory Riggs
|
Trustee and Chief Executive Officer |
Term: Unlimited Trustee since 2017 |
Founder and Chief Executive Officer, Locus Analytics, LLC (since 2010); Founder and Chief Executive Officer, Syntax Advisors, LLC (Since 2013); Chief Executive Officer and Founder of Syntax LLC (Since 2009). |
3 | Managing Member of Balfour, LLC (since 2001); Board Member, Nuredis, Inc. (2016 to present); Co-founder and Chairman, RP Management, LLC Chairman and co- founder, Royalty Pharma (1996 to present) (biopharmaceuticals); Chairman and Co- Founder, Cibus Global, Ltd. (2012 to present) (gene editing agriculture); Director GeneNews Limited (2000 to present); Director, Intra-Cellular Therapies, Inc. (since 2014); Director, FibroGen, Inc. (1993 to present). |
|
Kathy Cuocolo
|
Trustee and President |
Term: Unlimited Trustee since 2018
|
President and Senior Vice President, Syntax Advisors, LLC and predecessor companies (2014 to present); Managing Director, Head of Global ETF Services, BNY Mellon (2008 to 2013); Executive Vice President, State Street (1982 to 2003). |
3 |
Greenbacker Renewable Energy LLC, Audit Chair (2013 to present); Guardian Life Family of Funds (2005 – 2007); Select Sector Trust, Chairman (2000 to 2007); The China Fund (1999 to 2003). |
The Statement of Additional Information contains further information about the trustees and is available without charge upon your request by calling (866) 972-4492 (toll-free) or by visiting www.syntaxadvisors.com.
| 30 |
OFFICERS
|
NAME, ADDRESS
AND YEAR OF BIRTH |
POSITION(S)
|
TERM OF
AND LENGTH
|
PRINCIPAL
OCCUPATION(S)
|
|
OFFICERS |
|||
|
Rory Riggs
(1953) |
Chief Executive | Since 2018 | See Trustee table above |
|
Kathy Cuocolo
|
President | Since 2018 | See Trustee table above |
|
David Jaffin
|
Treasurer | Since 2019 |
Partner, B2B CFO® (January 2019 to present); Chief Financial Officer, Poliwogg Holdings, Inc. (October 2012 to August 2018). |
|
Carly Arison
|
Secretary | Since 2018 |
Senior Vice President Vice President, and Manager,, Syntax Advisors, LLC and predecessor companies (2012 to present) |
|
Brandon Kipp
|
Chief Compliance Officer | Since 2019 | Director, Foreside Financial Group, LLC (since May 2019); Senior Fund Compliance Officer, Ultimus Fund Solutions, LLC (from July 2017 to May 2019); Assistant Vice President and Compliance Manager, UMB Fund Services, Inc. (March 2014 to July 2017). |
| 31 |
| 32 |
| Item 2: | Code of Ethics. |
| (a) | The Registrant has adopted a code of ethics that applies to its principal executive officer, principal financial officer, and any other officers who serve a similar function. |
| (b) | The Registrant’s code of ethics is reasonably designed as described in this Form N-CSR. |
| (c) | During the period covered by the report no amendments were made to the provisions of this code of ethics. |
| (d) | During the period covered by the report, the Registrant did not grant any waivers, including implicit waivers, from the provisions of this code of ethics. |
| (e) | Not Applicable. |
| (f) | The Registrant has filed this code of ethics as an exhibit pursuant to Item 13(a)(1) of Form N-CSR. |
| Item 3: | Audit Committee Financial Experts. |
The Registrant’s Board of Trustees has determined that George Hornig, Richard Lyons and Stewart Myers are “audit committee financial experts,” as such term is defined in Item 3 of Form N-CSR. Messrs. Hornig, Lyons and Myers are “independent” under the standards set forth in Item 3 of Form N-CSR. The designation of Messrs. Hornig, Lyons and Myers as “audit committee financial experts” pursuant to Item 3 of Form N-CSR does not (i) impose upon them any duties, obligations, or liabilities that are greater than the duties, obligations and liabilities imposed upon them as a member of the Registrant’s audit committee or Board of Trustees in the absence of such designation; or (ii) affect the duties, obligations or liabilities of any other member of the Registrant’s audit committee or Board of Trustees.
| Item 4: | Principal Accountant Fees and Services. |
|
Fiscal Year Ended 12/31
|
||||||
| 2019 | ||||||
| (a) | Audit Fees | $ | 28,500 | |||
| (b) | Audit Related Fees(1) | $ | 0 | |||
| (c) | Tax Fees(2) | $ | 8,000 | |||
| (d) | All Other Fees(3) | $ | 0 | |||
|
(1) |
Audit-Related Fees represent assurance and related services provided that are reasonably related to the performance of the audit of the financial statements of the fund comprising the Registrant, specifically data verification and agreed-upon procedures related to asset securitizations and agreed-upon procedures engagements. |
| (2) | Tax Fees represent tax compliance, tax planning and tax advice services provided in connection with the review of the distributions for excise tax purposes, fiscal year end taxable income calculations and certain fiscal year end shareholder reporting items on behalf of the fund comprising the Registrant. |
| (3) | All Other Fees represent service fees for analysis of potential Passive Foreign Investment Company holdings and N-14 merger related items. |
2
| (e)(1) | Audit Committee Pre-Approval Policies and Procedures. Generally, the Registrant’s Audit Committee must preapprove (i) all audit and non-audit services performed for the Registrant by the independent accountant and (ii) all non-audit services performed by the Registrant’s independent accountant for the Registrant’s investment adviser, and certain of the adviser’s affiliates that provide ongoing services to the Registrant, if the services to be provided by the accountant relate directly to the operations and financial reporting of the Registrant. |
The Audit Committee may delegate preapproval authority to one or more of its members. The member or members to whom such authority is delegated shall report any preapproval decisions to the Audit Committee at its next scheduled meeting.
In accordance with the Procedures, the annual audit services engagement terms and fees for the Registrant will be subject to the preapproval of the Audit Committee. In addition to the annual audit services engagement approved by the Audit Committee, the Audit Committee may grant preapproval for other audit services, which are those services that only the independent accountant reasonably can provide.
Requests or applications to provide services that require separate approval by the Audit Committee will be submitted to the Audit Committee by both the independent accountant and the Registrant’s treasurer, and must include a joint statement as to whether, in their view, the request or application is consistent with the Securities and Exchange Commissions’ rules on auditor independence.
Management will promptly report to the Chair of the Audit Committee any violation of this Procedure of which it becomes aware.
| (e)(2) | The percentage of services described in paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X for fiscal year ended 2019 was 100%. |
| (f) | Not Applicable. |
| (g) | Not Applicable. |
| (h) | The Registrant’s Audit Committee has considered whether the provision of non-audit services that were rendered to the Registrant’s Adviser, and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintain the principal accountant’s independence. |
3
| Item 5: | Audit Committee of Listed Registrants. |
The following individuals comprise the standing Audit Committee: Deborah Fuhr, George Hornig, Richard Lyons and Stewart Myers.
| Item 6: | Schedule of Investments. |
| (a) | The schedules of investments and consolidated schedules of investments are included in the Annual Report to shareholders filed under Item 1 of this Form N-CSR. |
| (b) | Not applicable. |
| Item 7: | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
| Item 8: | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
| Item 9: | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
| Item 10: | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees that have been implemented since the Registrant last provided disclosure in response to the requirements of this Item.
| Item 11: | Controls and Procedures. |
| (a) | The Registrant’s principal executive officer and principal financial officer evaluated the Registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are appropriately designed to ensure that information required to be disclosed by the Registrant in the reports that it files on Form N-CSR (a) is accumulated and communicated to Registrant's management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission. |
| (b) | The Registrant’s principal executive officer and principal financial officer are aware of no change in the Registrant’s internal control over financial reporting that occurred during the Registrant’s most recent fiscal half- year that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
4
| Item 12: | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable.
| Item 13: | Exhibits. |
| (a)(1) | Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. The Registrant’s code of ethics (that is the subject of the disclosure required by Item 2(a)) is attached. |
| (a)(2) | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Separate certifications for Registrant's principal executive officer and principal financial officer, as required by Rule 30a-2(a) under the 1940 Act, are attached. |
| (a)(3) | Any written solicitation to purchase securities under Rule 23c 1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable. |
| (a)(4) | Change in the registrant’s independent public accountant. Not applicable. |
| (b) | Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. A certification for Registrant's principal executive officer and principal financial officer, as required by Rule 30a-2(b) under the 1940 Act, is attached. The certification furnished pursuant to this paragraph is not deemed to be “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to liability of that section. Such certification is not deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the Registrant specifically incorporates it by reference. |
5
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| Syntax ETF Trust | ||
| (Registrant) | ||
| By: | /s/ Rory B. Riggs | |
| Rory B. Riggs | ||
| Chief Executive Officer | ||
| (Principal Executive Officer) | ||
| Date: | March 19, 2020 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
| By: | /s/ Rory B. Riggs | ||
| Rory B. Riggs | |||
| Chief Executive Officer | |||
| (Principal Executive Officer) | |||
| Date: | March 19, 2020 | ||
| By: | /s/ David Jaffin | ||
| David Jaffin | |||
| Treasurer | |||
| (Principal Financial Officer) | |||
| Date: | March 19, 2020 |
6
EXHIBIT INDEX
7
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