SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
(Exact name of registrant as specified in charter)
(Address of principal executive offices) (Zip code)
(Name and address of agent for service)
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(a)
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Arch Indices VOI Absolute Income ETF
Ticker: VWI
SEMI ANNUAL REPORT TO SHAREHOLDERS
MARCH 31, 2024
TABLE OF CONTENTS
Arch Indices VOI Absolute Income ETF
Expense Example (Unaudited)
March 31, 2024
As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees, shareholder servicing fees, and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from October 4, 2023 (inception of the Fund) to March 31, 2024 (the “period”).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as sales charges (loads). Therefore, the second line of the table is useful in comparing the ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs could have been higher.
Expenses Paid During the Period
| Beginning Account Value (1) |
Ending Account Value |
Expenses Paid During the Period (2) |
||||||||||
| Actual Fund Return | $ | 1,000.00 | $ | 1,118.20 | $ | 2.59 | ||||||
| Hypothetical 5% Return | 1,000.00 | 1,010.00 | 2.46 | |||||||||
| (1) | Commencement of operations on October 4, 2023. |
| (2) | Expenses are equal to the Fund’s annualized expense ratio of 0.50%, multiplied by the average account value over the period, multiplied by 179/366. The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested. |
Arch Indices VOI Absolute Income ETF
Allocation of Portfolio Holdings (Unaudited)
(Calculated as a percentage of Total Investments)
March 31, 2024
Arch Indices VOI Absolute Income ETF
Schedule of Investments (Unaudited)
March 31, 2024
| Security | Shares | Value | ||||||
| Closed-End Funds — 14.8% | ||||||||
| Financials — 14.8% | ||||||||
| Ares Capital Corp. | 3,630 | $ | 75,577 | |||||
| Blue Owl Capital Corp. | 5,511 | 84,759 | ||||||
| Main Street Capital Corp. | 520 | 24,601 | ||||||
| Oaktree Specialty Lending Corp. | 4,368 | 85,875 | ||||||
| PIMCO Dynamic Income Fund | 1,289 | 24,865 | ||||||
| Prospect Capital Corp. | 4,279 | 23,620 | ||||||
| Total Financials | 319,297 | |||||||
| Total Closed-End Funds (Cost — $311,492) | 319,297 | |||||||
| Exchange Traded Funds — 20.9% | ||||||||
| iShares Broad USD High Yield Corporate Bond ETF | 1,481 | 54,190 | ||||||
| Janus Henderson AAA CLO ETF | 5,247 | 266,233 | ||||||
| Vanguard Intermediate-Term Bond ETF | 71 | 5,353 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF | 217 | 17,471 | ||||||
| Vanguard Intermediate-Term Treasury ETF | 208 | 12,178 | ||||||
| Vanguard Short-Term Inflation-Protected Securities ETF | 1,241 | 59,431 | ||||||
| Vanguard Tax-Exempt Bond Index ETF | 133 | 6,730 | ||||||
| Vanguard Total Bond Market ETF | 241 | 17,504 | ||||||
| Vanguard Total International Bond ETF | 225 | 11,068 | ||||||
| Total Exchange Traded Funds (Cost — $446,091) | 450,158 | |||||||
| Common Stocks — 62.3% | ||||||||
| Communications — 3.4% | ||||||||
| BCE, Inc. | 1,049 | 35,644 | ||||||
| Telefonica SA, ADR | 2,111 | 9,310 | ||||||
| Verizon Communications, Inc. | 119 | 4,993 | ||||||
| Vodafone Group PLC, ADR | 2,615 | 23,274 | ||||||
| Total Communications | 73,221 | |||||||
| Consumer Discretionary — 3.9% | ||||||||
| Best Buy Co., Inc. | 31 | 2,543 | ||||||
| Buckle, Inc. | 441 | 17,759 | ||||||
| Cracker Barrel Old Country Store, Inc. | 61 | 4,437 | ||||||
| Darden Restaurants, Inc. | 14 | 2,340 | ||||||
| Ford Motor Co. | 1,375 | 18,260 | ||||||
| Leggett & Platt, Inc. | 264 | 5,056 | ||||||
| Magna International, Inc. | 108 | 5,884 | ||||||
| McDonald’s Corp. | 21 | 5,921 | ||||||
| Stellantis NV | 120 | 3,396 | ||||||
| Vail Resorts, Inc. | 11 | 2,451 | ||||||
The Accompanying Notes are an Integral Part of these Financial Statements.
Arch Indices VOI Absolute Income ETF
Schedule of Investments (Unaudited)
March 31, 2024
| Security | Shares | Value | ||||||
| Wendy’s Co. | 855 | $ | 16,108 | |||||
| Total Consumer Discretionary | 84,155 | |||||||
| Consumer Staples — 19.1% | ||||||||
| Altria Group, Inc. | 3,737 | 163,008 | ||||||
| Ambev SA, ADR | 7,200 | 17,856 | ||||||
| British American Tobacco PLC, ADR | 3,360 | 102,481 | ||||||
| Coca-Cola Co. | 72 | 4,405 | ||||||
| Coca-Cola Europacific Partners PLC | 152 | 10,632 | ||||||
| Conagra Brands, Inc. | 119 | 3,527 | ||||||
| Kimberly-Clark Corp. | 374 | 48,377 | ||||||
| Kraft Heinz Co. | 107 | 3,948 | ||||||
| Nu Skin Enterprises, Inc., Class A | 951 | 13,152 | ||||||
| Unilever PLC, ADR | 623 | 31,269 | ||||||
| Universal Corp./VA | 160 | 8,275 | ||||||
| Walgreens Boots Alliance, Inc. | 384 | 8,329 | ||||||
| Total Consumer Staples | 415,259 | |||||||
| Energy — 3.5% | ||||||||
| Antero Midstream Corp. | 568 | 7,986 | ||||||
| Baker Hughes Co. | 105 | 3,518 | ||||||
| Civitas Resources, Inc. | 40 | 3,036 | ||||||
| Enbridge, Inc. | 568 | 20,550 | ||||||
| Eni SpA, ADR | 111 | 3,521 | ||||||
| Equinor ASA, ADR | 160 | 4,325 | ||||||
| Kinder Morgan, Inc. | 1,391 | 25,511 | ||||||
| TC Energy Corp. | 137 | 5,507 | ||||||
| Total Energy | 73,954 | |||||||
| Financials — 10.9% | ||||||||
| American Financial Group, Inc./OH | 152 | 20,745 | ||||||
| ARMOUR Residential REIT, Inc. | 249 | 4,923 | ||||||
| Blackstone Mortgage Trust, Inc., Class A | 361 | 7,188 | ||||||
| Blackstone Secured Lending Fund | 2,192 | 68,281 | ||||||
| Canadian Imperial Bank of Commerce | 161 | 8,166 | ||||||
| Citigroup, Inc. | 157 | 9,929 | ||||||
| CME Group, Inc. | 188 | 40,475 | ||||||
| Fidelity National Financial, Inc. | 63 | 3,345 | ||||||
| First Hawaiian, Inc. | 207 | 4,546 | ||||||
| HSBC Holdings PLC, ADR | 328 | 12,909 | ||||||
| Manulife Financial Corp. | 145 | 3,624 | ||||||
| Moelis & Co., Class A | 48 | 2,725 | ||||||
| PennyMac Mortgage Investment Trust | 424 | 6,224 | ||||||
| PNC Financial Services Group, Inc. | 56 | 9,050 | ||||||
| Redwood Trust, Inc. | 471 | 3,000 | ||||||
The Accompanying Notes are an Integral Part of these Financial Statements.
Arch Indices VOI Absolute Income ETF
Schedule of Investments (Unaudited)
March 31, 2024
| Security | Shares | Value | ||||||
| Sun Life Financial, Inc. | 167 | $ | 9,115 | |||||
| Truist Financial Corp. | 135 | 5,262 | ||||||
| Virtu Financial, Inc., Class A | 520 | 10,670 | ||||||
| Westamerica BanCorp | 71 | 3,470 | ||||||
| Total Financials | 233,647 | |||||||
| Health Care — 3.6% | ||||||||
| AbbVie, Inc. | 71 | 12,929 | ||||||
| Bristol-Myers Squibb Co. | 304 | 16,486 | ||||||
| Cardinal Health, Inc. | 27 | 3,021 | ||||||
| Gilead Sciences, Inc. | 34 | 2,491 | ||||||
| GSK PLC, ADR | 104 | 4,458 | ||||||
| Johnson & Johnson | 24 | 3,797 | ||||||
| Medtronic PLC | 32 | 2,789 | ||||||
| Novartis AG, ADR | 23 | 2,225 | ||||||
| Organon & Co. | 223 | 4,192 | ||||||
| Patterson Companies, Inc. | 103 | 2,848 | ||||||
| Pfizer, Inc. | 519 | 14,402 | ||||||
| Premier, Inc., Class A | 128 | 2,829 | ||||||
| Viatris, Inc. | 471 | 5,624 | ||||||
| Total Health Care | 78,091 | |||||||
| Industrials — 3.5% | ||||||||
| 3M Co. | 144 | 15,274 | ||||||
| AGCO Corp. | 25 | 3,076 | ||||||
| Copa Holdings SA, Class A | 24 | 2,500 | ||||||
| Frontline PLC | 175 | 4,092 | ||||||
| International Seaways, Inc. | 127 | 6,756 | ||||||
| Lockheed Martin Corp. | 30 | 13,646 | ||||||
| MSC Industrial Direct Co, Inc., Class A | 32 | 3,105 | ||||||
| Nordic American Tankers Ltd. | 3,760 | 14,739 | ||||||
| PACCAR, Inc. | 88 | 10,902 | ||||||
| United Parcel Service, Inc., Class B | 16 | 2,378 | ||||||
| Total Industrials | 76,468 | |||||||
| Materials — 3.6% | ||||||||
| B2Gold Corp. | 2,856 | 7,454 | ||||||
| Boise Cascade Co. | 48 | 7,362 | ||||||
| Dow, Inc. | 275 | 15,930 | ||||||
| LyondellBasell Industries NV, Class A | 144 | 14,728 | ||||||
| Newmont Corp. | 120 | 4,301 | ||||||
| Sociedad Quimica y Minera de Chile SA, ADR | 209 | 10,274 | ||||||
| Vale SA, ADR | 1,343 | 16,372 | ||||||
| Total Materials | 76,421 | |||||||
| Real Estate — 1.9% | ||||||||
| Easterly Government Properties, Inc. | 264 | 3,039 | ||||||
The Accompanying Notes are an Integral Part of these Financial Statements.
Arch Indices VOI Absolute Income ETF
Schedule of Investments (Unaudited)
March 31, 2024
| Security | Shares/Units | Value | ||||||
| Gaming and Leisure Properties, Inc. | 351 | $ | 16,171 | |||||
| Omega Healthcare Investors, Inc. | 512 | 16,214 | ||||||
| Sabra Health Care REIT, Inc. | 375 | 5,539 | ||||||
| Total Real Estate | 40,963 | |||||||
| Technology — 5.8% | ||||||||
| ASE Technology Holding Co. Ltd., ADR | 305 | 3,352 | ||||||
| Corning, Inc. | 231 | 7,614 | ||||||
| HP, Inc. | 127 | 3,838 | ||||||
| International Business Machines Corp. | 84 | 16,041 | ||||||
| Nokia Oyj, ADR | 2,880 | 10,195 | ||||||
| Thomson Reuters Corp. | 188 | 29,296 | ||||||
| United Microelectronics Corp., ADR | 3,368 | 27,247 | ||||||
| Western Union Co. | 2,095 | 29,287 | ||||||
| Total Technology | 126,870 | |||||||
| Utilities — 3.1% | ||||||||
| Atlantica Sustainable Infrastructure PLC | 711 | 13,139 | ||||||
| Dominion Energy, Inc. | 208 | 10,232 | ||||||
| National Grid PLC, ADR | 204 | 13,917 | ||||||
| OGE Energy Corp. | 175 | 6,003 | ||||||
| PNM Resources, Inc. | 608 | 22,884 | ||||||
| Total Utilities | 66,175 | |||||||
| Total Common Stocks (Cost — $1,284,418) | 1,345,224 | |||||||
| Preferred Stocks — 1.3% | ||||||||
| Financials — 0.4% | ||||||||
| Banco Bradesco SA, ADR | 784 | 2,242 | ||||||
| Bancolombia SA, ADR | 216 | 7,392 | ||||||
| Total Financials | 9,634 | |||||||
| Materials — 0.3% | ||||||||
| Gerdau SA, ADR | 1,223 | 5,406 | ||||||
| Total Materials | 5,406 | |||||||
| Utilities — 0.6% | ||||||||
| Cia Energetica de Minas Gerais, ADR | 5,575 | 13,770 | ||||||
| Total Utilities | 13,770 | |||||||
| Total Preferred Stocks (Cost — $26,743) | 28,810 | |||||||
| Short-Term Investments — 0.0% | ||||||||
| Money Market Funds — 0.00% | ||||||||
| First American Government Obligations Fund - Class X - 5.23% (a) | 1,024 | 1,024 | ||||||
| Total Money Market Funds (Cost — $1,024) | 1,024 | |||||||
| Total Short-Term Investments (Cost — $1,024) | 1,024 | |||||||
| Total Investments — 99.3% (Cost — $2,069,768) | $ | 2,144,513 | ||
| Other Assets in Excess of Liabilities — 0.7% | 14,491 | |||
| Total Net Assets — 100.0% | $ | 2,159,004 |
The Accompanying Notes are an Integral Part of these Financial Statements.
Arch Indices VOI Absolute Income ETF
Schedule of Investments (Unaudited)
March 31, 2024
ADR - American Depositary Receipt
CLO - Collateralized Loan Obligation
PLC - Public Limited Company
REIT - Real Estate Investment Trust
| (a) | The rate reported is the annualized seven-day yield as of March 31, 2024. |
The Accompanying Notes are an Integral Part of these Financial Statements.
Arch Indices VOI Absolute Income ETF
Statement of Assets and Liabilities (Unaudited)
March 31, 2024
| Assets: | ||||
| Investments in securities at value (cost $2,069,768) | $ | 2,144,513 | ||
| Cash | 5,321 | |||
| Receivables: | ||||
| Dividends and interest | 13,833 | |||
| Total assets | 2,163,667 | |||
| Liabilities: | ||||
| Payables: | ||||
| Due to Investment Advisor | 4,663 | |||
| Total liabilities | 4,663 | |||
| Net Assets | $ | 2,159,004 | ||
| Components of Net Assets: | ||||
| Paid-in capital | $ | 2,067,452 | ||
| Total accumulated gain | 91,552 | |||
| Net Assets | $ | 2,159,004 | ||
| Net Assets | $ | 2,159,004 | ||
| Shares Outstanding (unlimited number of shares authorized, no par value) | 80,000 | |||
| Net asset value, offering and redemption price per share | $ | 26.99 | ||
The Accompanying Notes are an Integral Part of these Financial Statements.
Arch Indices VOI Absolute Income ETF
Statement of Operations (Unaudited)
For the Period Ended March 31, 2024*
| Investment Income: | ||||
| Dividend income (Net of foreign tax of $597) | $ | 36,913 | ||
| Interest income | 28 | |||
| Total investment income | 36,941 | |||
| Expenses: | ||||
| Advisory fees | 2,486 | |||
| Total expenses | 2,486 | |||
| Expense Waiver (See Note 6) | (414 | ) | ||
| Net Expenses | 2,072 | |||
| Net investment income | 34,869 | |||
| Realized and Unrealized Gain on Investments and In-Kind Redemptions | ||||
| Net realized gain (loss) on: | ||||
| Investments | (5,086 | ) | ||
| In-Kind Redemptions | 17,358 | |||
| Net realized gain | 12,272 | |||
| Net change in unrealized appreciation/depreciation on investments | 74,745 | |||
| Net realized and unrealized gain on investments and in-kind redemptions | 87,017 | |||
| Net Increase in Net Assets Resulting from Operations | $ | 121,886 | ||
| * | Commencement of operations on October 4, 2023. |
The Accompanying Notes are an Integral Part of these Financial Statements.
Arch Indices VOI Absolute Income ETF
Statement of Changes in Net Assets
| For the Period * Ended March 31, 2024 (Unaudited) |
||||
| Operations: | ||||
| Net investment income | $ | 34,869 | ||
| Net realized gain on investments and in-kind redemptions | 12,272 | |||
| Net change in unrealized appreciation/depreciation on investments | 74,745 | |||
| Net increase in net assets resulting from operations | 121,886 | |||
| Distributions to shareholders: | (30,334 | ) | ||
| Decrease in net assets from distributions to shareholders | (30,334 | ) | ||
| Capital Transactions: | ||||
| Proceeds from shares sold | 2,580,520 | |||
| Cost of shares repurchased | (513,068 | ) | ||
| Net increase in net assets from capital transactions | 2,067,452 | |||
| Total Increase in Net Assets | 2,159,004 | |||
| Net Assets: | ||||
| Beginning of period | — | |||
| End of period | $ | 2,159,004 | ||
| Capital Share Transactions: | ||||
| Shares sold | 100,000 | |||
| Shares repurchased | (20,000 | ) | ||
| Net increase in shares outstanding | 80,000 | |||
| * | Commencement of operations on October 4, 2023. |
The Accompanying Notes are an Integral Part of these Financial Statements.
Arch Indices VOI Absolute Income ETF
For a capital share outstanding throughout the period:
| For the Period * Ended March 31, 2024 (Unaudited) |
||||
| Net Asset Value, Beginning of Period | $ | 24.82 | ||
| Income from Investment Operations: | ||||
| Net investment income (1) | 1.08 | |||
| Net realized and unrealized gain on investments | 1.83 | |||
| Total Gain from Investment Operations | 2.91 | |||
| Less Distributions: | ||||
| Net investment income | (0.74 | ) | ||
| Total Distributions | (0.74 | ) | ||
| Net Asset Value, End of Period | $ | 26.99 | ||
| Total Return | 11.82 | %(2) | ||
| Supplemental Data and Ratios: | ||||
| Net assets, end of period (in thousands) | $ | 2,159 | ||
| Ratios to average net assets | ||||
| Gross expenses | 0.60 | %(3) | ||
| Net Expenses | 0.50 | %(3) | ||
| Net investment income | 8.42 | % | ||
| Portfolio turnover rate (4) | 22 | %(2) | ||
| * | Commencement of operations on October 4, 2023. |
| (1) | Per share amounts have been calculated using average shares method. |
| (2) | Not Annualized. |
| (3) | Annualized. |
| (4) | Portfolio turnover rate excludes securities received or delivered in-kind. |
The Accompanying Notes are an Integral Part of these Financial Statements.
Arch Indices VOI Absolute Income ETF
Notes to Financial Statements (Unaudited)
March 31, 2024
Note 1 – Organization
Arch Indices VOI Absolute Income ETF (the “Fund”) is a diversified series of Advisor Managed Portfolios (the “AMP Trust”). The Trust was organized on February 16, 2023, as a Delaware Statutory Trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end investment management company. Arch Indices Investment Advisors, LLC (the “Advisor”) serves as the investment manager to the Fund. The inception date of the Fund was October 4, 2023. The investment objective of the Fund seeks to track the performance, before fees and expenses, of the Index.
Shares of the Fund are listed and traded on the NYSE Arca, Inc. (“NYSE” or the “Exchange”). Market prices for the shares may be different from their net asset value (“NAV”). The Fund issues and redeems shares on a continuous basis at NAV only in large blocks of shares, called “Creation Units,” which generally consist of 10,000 shares. Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, shares generally trade in the secondary market at market prices that change throughout the day in amounts less than a Creation Unit. Except when aggregated in Creation Units, shares are not redeemable securities of a Fund.
Shares of a Fund may only be purchased directly from or redeemed directly to a Fund by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with Quasar Distributors, LLC (the “Distributor”). Most retail investors do not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.
A standard transaction fee of $300 will be charged by the Fund's custodian in connection with the issuance or redemption of Creation Units. The standard fee will be the same regardless of the number of Creation Units issued or redeemed. In addition, a variable fee of up to 2% of the value of a Creation Unit may be charged by the Fund for cash purchases, non-standard orders, or partial cash purchases, and is designed to cover broker commissions and other transaction costs. Any variable fees received by the Fund are included in the Capital Transactions on the Statement of Changes in Net Assets.
Note 2 – Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”) for investment companies. The Fund is considered an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies in the Financial Accounting Standards Board Accounting Standards Codification Topic 946. The presentation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the period reported. Actual results may differ from those estimates.
Arch Indices VOI Absolute Income ETF
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2024
(a) Securities Valuation – Investments in securities traded on a national securities exchange are valued at the last reported sales price on the exchange on which the security is principally traded. Securities traded on the NASDAQ exchanges are valued at the NASDAQ Official Closing Price (“NOCP”). Exchange-traded securities for which no sale was reported and NASDAQ securities for which there is no NOCP are valued at the mean of the most recent quoted bid and ask prices. Unlisted securities held by the Fund are valued at the last sale price in the over-the-counter (“OTC”) market. If there is no trading on a particular day, the mean between the last quoted bid and ask price is used.
When reliable market quotations are not readily available or a pricing service does not provide a valuation (or provides a valuation that in the judgment of the Advisor does not represent the security’s fair value) or when, in the judgment of the Advisor, events have rendered the market value unreliable, a security is fair valued in good faith by the Advisor under procedures approved by the Board.
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized into three broad levels and described below:
| Level 1 - | quoted prices in active markets for identical securities. An active market for the security is a market in which transactions occur with sufficient frequency and volume to provide pricing information on an ongoing basis. A quoted price in an active market provides the most reliable evidence of fair value. |
| Level 2 - | observable inputs other than quoted prices included in level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data. |
| Level 3 - | significant unobservable inputs, including the Fund’s own assumptions in determining the fair value of investments. |
Equity securities that are traded on a national securities exchange are stated at the last reported sales price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.
Short-term investments classified as money market instruments are valued at net asset value (“NAV”). These investments are categorized as Level 1 of the fair value hierarchy.
Arch Indices VOI Absolute Income ETF
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2024
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 inputs used to fair value the Fund’s investments in each category investment type as of March 31, 2024:
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Assets | ||||||||||||||||
| Long-Term Investments | ||||||||||||||||
| Closed-End Funds | $ | 319,297 | $ | — | $ | — | $ | 319,297 | ||||||||
| Exchange-Traded Funds | 450,158 | — | — | 450,158 | ||||||||||||
| Common Stocks | 1,345,224 | — | — | 1,345,224 | ||||||||||||
| Preferred Stocks | 28,810 | — | — | 28,810 | ||||||||||||
| Total Long-Term Investments | 2,143,489 | — | — | 2,143,489 | ||||||||||||
| Short-Term Investments | 1,024 | — | — | 1,024 | ||||||||||||
| Total Investments | $ | 2,144,513 | $ | — | $ | — | $ | 2,144,513 | ||||||||
See the Schedule of Investments for further detail of investment classifications.
(b) Securities Transactions, Investment Income and Distributions – The Fund records security transactions based on trade date. Realized gains and losses on sales of securities are reported based on identified cost of securities delivered. Dividend income and expense are recognized on the ex-dividend date, and interest income and expense are recognized on an accrual basis. Withholding taxes on foreign dividends have been provided for in accordance with the Trust’s understanding of the applicable country’s tax rules and rates. The Advisor pays any Trust-level expenses allocated to the Fund.
(c) Distributions to shareholders – Distributions of net investment income, if any, are distributed monthly. Net realized gains from investment transactions, if any, will be distributed to shareholders annually. Distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.
The tax character of distributions paid during the period ended March 31, 2024 was as follows:
| Distributions Paid From: | Period Ended March 31, 2024 |
|||
| Ordinary Income | $ | 30,334 | ||
| Total Distributions Paid | $ | 30,334 | ||
(d) Federal Income Taxes – The Fund has elected to be taxed as a Regulated Investment Company (“RIC”) under the U.S. Internal Revenue Code of 1986, as amended, and intends to maintain this qualification and to distribute substantially all net taxable income to its shareholders. Therefore, no provision is made for federal income taxes. Due to the timing of dividend distributions and the differences in accounting for income and realized gains and losses for financial statement and federal income tax purpose, the fiscal year in which amounts are distributed may differ from the year in which the income and realized gains and losses is recorded by the Fund.
Management of the Fund is required to analyze all open tax years, as defined by IRS statute of limitations for all major jurisdictions, including federal tax authorities and certain state authorities. As of and during the period ended March 31, 2024, the Fund did not have a liability for any unrecognized tax benefits. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as interest expense and other expense for penalties in the statement of operations. During the period, the Fund did not incur any interest or tax penalties. The Fund has not currently filed any tax returns; generally, tax authorities can examine tax returns filed for the preceding three years.
Arch Indices VOI Absolute Income ETF
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2024
(e) REIT distribution – The character of distributions received from Real Estate Investment Trusts (‘’REITs’’) held by the Fund is generally comprised of net investment income, capital gains, and return of capital. It is the policy of the Fund to estimate the character of distributions received from underlying REITs based on historical data provided by the REITs. After each calendar year end, REITs report the actual tax character of these distributions. Differences between the estimated and actual amounts reported by the REITs are reflected in the Fund’s records in the year in which they are reported by the REITs by adjusting related investment cost basis, capital gains and income, as necessary.
Note 3 – Investment Management Agreement and Other Related Party Transactions
The Trust has an agreement with the Advisor to furnish investment advisory services to the Fund. Under the terms of this agreement, the Fund will pay the Advisor a monthly fee based on the Fund’s average daily net assets at annual rate of 0.60%. The management fee is a unitary fee, whereby the Advisor has agreed to pay substantially all expenses of the Fund, including the cost of transfer agency, custody, fund administration, legal, audit and other services. The Advisor is not responsible for interest charges on any borrowings, dividends, and other expenses on securities sold short, taxes, brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, expenses associated with the purchase, sale, or ownership of securities, acquired fund fees and expenses, accrued deferred tax liability, extraordinary expenses, and distribution (12b-1) fees and expenses.
The Advisor has contractually agreed to waive 0.10% of its unitary management fee to reduce the unitary management fee to 0.50% (the “Fee Waiver”) . The Fee Waiver will remain in effect through at least October 31, 2024, and may be terminated only by the Board. The Fee Waiver is not subject to recoupment by the Advisor.
U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as the Fund’s administrator, fund accountant, and transfer agent and provides compliance services to the Fund. The officers of the Trust are employees of Fund Services. U.S. Bank serves as the Fund’s custodian. Quasar Distributors, LLC (“Quasar” or the “Distributor”) acts as the Fund’s distributor and principal underwriter.
Note 4 – Investment Transactions
Purchases and sales of investment securities (excluding short-term securities, in-kind transactions, and U.S. government obligations) for the period ended March 31, 2024, were as follows:
| Purchases | $ | 235,311 | ||
| Sales | $ | 396,312 |
Arch Indices VOI Absolute Income ETF
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2024
Purchases and sales of in-kind transactions associated with creations and redemptions during the period ended March 31, 2024, were as follows:
| Purchases In-Kind | $ | 2,577,564 | ||
| Sales In-Kind | $ | 359,754 |
Note 5 – Indemnifications
In the normal course of business, the Fund enters into contracts that provide general indemnifications by the Fund to the counterparty to the contract. The Fund’s maximum exposure under these arrangements is dependent on future claims that may be made against the Fund and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote.
Note 6 – Subsequent Events
Management has evaluated events and transactions that occurred subsequent to March 31, 2024, through the date the financial statements have been issued and has determined that there were no significant subsequent events that would require adjustment to or additional disclosure in these financial statements.
Arch Indices VOI Absolute Income ETF
Additional Information (Unaudited)
March 31, 2024
Quarterly Portfolio Schedule
The Fund files its complete schedule of portfolio holdings for the first and third quarters of each fiscal year with the Securities and Exchange Commission (SEC) on Part F of Form N-PORT. The Fund’s Form N-PORT is available without charge by visiting the SEC’s Web site at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. You may obtain information on the operation of the Public Reference Room by calling 1-800-SEC-0330.
Proxy Voting
You may obtain a description of the Fund’s proxy voting policy and voting records, without charge, upon request by contacting the Fund directly at 1-646-389-2422 or on the EDGAR Database on the SEC’s website at ww.sec.gov. The Fund files its proxy voting records annually as of June 30, with the SEC on Form N-PX. The Fund’s Form N-PX is available without charge by visiting the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. You may obtain information on the operation of the Public Reference Room by calling 1-800-SEC-0330.
Frequency Distribution of Premiums and Discounts
Information regarding how often shares of each Fund traded on the Exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV is available on the Fund’s website at www.archindicesadvisors.com.
Approval of Investment Advisory Agreement and Investment Sub-Advisory Agreement
At meetings held on August 30 and 31, 2023 (collectively the “Meetings”), the Board of Trustees (the “Board”) of Trust considered the approval of the following agreements (collectively, the “Agreements”):
| ● | the Advisory Agreement between the Advisor and the Trust, on behalf of the Fund; and |
| ● | the Sub-Advisory Agreement between the Advisor and Vident Asset Management (the “Sub-Advisor”) with respect to the Fund. |
The Board, including all Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), as that term is defined in the Investment Company Act of 1940, considered and approved the Agreements on behalf of the Fund for a two-year term to commence upon the commencement of operations of the Fund.
Ahead of the Meeting, the Board received and reviewed substantial information regarding the Fund, the Advisor and Sub-Advisor, and the services to be provided by the Advisor and Sub-Advisor to the Fund under the Agreements. This information formed the primary (but not exclusive) basis for the Board’s determinations. The Board received and reviewed extensive information from the Advisor and Sub-Advisor relating to the Fund, including information regarding portfolio managers and the resources of the Advisor and Sub-Advisor. The Independent Trustees were advised by independent legal counsel during the review process and met in executive session with counsel without representatives from the Advisor or Sub-Advisor present. In connection with their review, the Independent Trustees also received memoranda from independent legal counsel outlining their fiduciary duties and the legal standards applicable to the review of the Agreements.
Arch Indices VOI Absolute Income ETF
Additional Information (Unaudited)
March 31, 2024
In considering the Agreements, the Board considered the following factors and made the following determinations. In its deliberations, the Board did not identify any single factor or piece of information as all important, controlling, or determinative of its decision, and each Trustee may have attributed different weights to the various factors and information.
In considering the nature, extent and quality of the services to be provided by the Advisor and Sub-Advisor, the Trustees considered the Advisor’s and Sub-Advisor’s specific responsibilities in all aspects of the day-to-day management of the Fund, as well as the qualifications, experience and responsibilities of the portfolio managers and other key personnel who would be involved in the day-to-day activities of the Fund. The Board considered the Advisor’s oversight responsibilities as they relate to the Sub-Advisor, both in terms of investment and compliance monitoring, and the other services to be provided to the Fund by the Advisor. The Board also considered the Advisor’s and Sub-Advisor’s resources and compliance structure, including information regarding their respective compliance program, chief compliance officer, compliance record, and disaster recovery/business continuity plan. The Board concluded that the Advisor and Sub-Advisor had sufficient quality and depth of personnel, resources, investment methods and compliance policies and procedures essential to performing its duties under the Advisory Agreement and Sub-Advisory Agreement, respectively, and that, in the Board’s view, the nature, overall quality, and extent of the management services to be provided were satisfactory and reliable.
The Board noted that the Fund had not commenced operations and concluded that past performance was, thus, not a relevant factor in its deliberations.
The Trustees reviewed the anticipated cost of the Advisor’s and Sub-Advisor’s services, and the proposed structure and level of the Fund’s advisory fee as a unitary fee, including a comparison to fees charged by a peer group of funds. The Trustees noted that the Fund’s unitary fee was within the peer group range. The Board considered that the Advisor would be responsible for paying the Sub-Advisor out of the unitary fee and that the sub- advisory fee reflected an arm’s-length negotiation between the Advisor and Sub-Advisor based on the nature of services to be provided. After reviewing the materials that were provided, the Trustees concluded that the fee to be charged to the Fund was fair and reasonable.
The Trustees considered the Advisor’s assertion that, through the Advisor’s commitment to use a unitary fee structure, economies of scale, if and when achieved, will be shared with the Fund. The Board noted that the unitary fee arrangement between the Advisor and the Trust with respect to the Fund would limit the fees paid by shareholders. The Trustees considered the possible growth in asset levels of the Fund and concluded that they will have the opportunity to periodically reexamine whether economies of scale have been achieved by the Fund.
The Trustees considered the expected profitability of the Advisor from managing the Fund. In assessing the Advisor’s expected profitability, the Trustees reviewed the Advisor’s financial information that was provided in the materials and took into account both the direct and indirect benefits to the Advisor from managing the Fund. The Trustees concluded that the Advisor’s profits from managing the Fund would not be excessive and, after a review of the relevant financial information, the Advisor appeared to have adequate capitalization and/or would maintain adequate profit levels to support the Fund.
Arch Indices VOI Absolute Income ETF
Additional Information (Unaudited)
March 31, 2024
The Trustees considered the expected profitability of the Advisor and Sub- Advisor from managing the Fund. The Board noted the benefits expected to be received by the Advisor and Sub-Advisor from their relationship with the Fund. The Trustees concluded that the Advisor’s and Sub-Advisor’s expected profits from managing the Fund did not appear excessive and, after a review of the relevant financial information, the Advisor and Sub-Advisor appeared to have adequate capitalization and/or would maintain adequate profit levels to support the Fund.
The Fund collects non-public information about you from the following sources:
| ● | Information we receive about you on applications or other forms; |
| ● | Information you give us orally; and/or |
| ● | Information about your transactions with us or others. |
We do not disclose any non-public personal information about our customers or former customers without the customer’s authorization, except as permitted by law or in response to inquiries from governmental authorities. We may share information with affiliated and unaffiliated third parties with whom we have contracts for servicing the Fund. We will provide unaffiliated third parties with only the information necessary to carry out their assigned responsibilities. We maintain physical, electronic and procedural safeguards to guard your non-public personal information and require third parties to treat your personal information with the same high degree of confidentiality.
In the event that you hold shares of the Fund through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your non-public personal information would be shared by those entities with unaffiliated third parties.
Investment Advisor
Arch Indices Investment Advisors LLC
401 Park Avenue South, 10th Floor
New York, New York 10016
Investment Sub-Advisor
Vident Asset Management
1125 Sanctuary Parkway, Suite 515
Alpharetta, Georgia 30009
Distributor
Quasar Distributors, LLC
3 Canal Plaza, Suite 100
Portland, Maine 04101
Custodian
U.S. Bank National Association
Custody Operations
1555 North River Center Drive, Suite 302
Milwaukee, Wisconsin 53212
Transfer Agent, Administrator
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, Wisconsin 53202
Independent Registered Public Accounting Firm
Cohen & Company, Ltd.
1835 Market Street, Suite 310
Philadelphia, PA 19103
Legal Counsel
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
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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(b)
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Not applicable.
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(a)
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Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
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(b)
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Not Applicable.
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(a)
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The Registrant’s President/Principal Executive Officer and Treasurer/Principal Financial Officer have reviewed the Registrant's disclosure controls and procedures
(as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d‑15(b) under the Securities
Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded,
processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider.
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(b)
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There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period
covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
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(a)
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(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 Item 2 requirements through filing an
exhibit. Not applicable.
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