Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (n-q)
February 27 2020 - 12:38PM
Edgar (US Regulatory)
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY
Investment Company Act file number 811-22961
Alpha Architect ETF Trust
213 Foxcroft Road
Broomall, PA 19008
U.S. Bancorp Fund Services, LLC
615 E. Michigan Street
Milwaukee, WI 53202
215-882-9983
Date of fiscal year end: September 30, 2020
Date of reporting period: December 31, 2019
Item 1. Schedule of Investments.
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Merlyn.AI Bull-Rider Bear-Fighter ETF
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Schedule of Investments
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December 31, 2019 (Unaudited)
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Shares
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Value
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INVESTMENT COMPANIES - 99.9%
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129,279
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ETFMG Prime Mobile Payments ETF
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$
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6,407,067
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15,531
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Invesco QQQ Trust
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3,302,046
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52,186
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Invesco S&P MidCap Momentum ETF
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3,190,652
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53,315
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iShares Broad USD Investment Grade Corporate Bond ETF
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3,108,265
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24,314
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iShares iBoxx USD Investment Grade Corporate Bond ETF
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3,111,219
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23,355
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iShares Morningstar Large-Cap Growth ETF
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4,903,616
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12,173
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iShares Morningstar Mid-Cap Growth ETF
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3,201,186
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20,296
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Vanguard Information Technology Index Fund ETF
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4,969,476
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TOTAL INVESTMENT COMPANIES (Cost $31,249,530)
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32,193,527
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MONEY MARKET FUND - 0.3%
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100,013
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First American Government Obligations Fund, 1.51% (a)
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100,013
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TOTAL MONEY MARKET FUND (Cost $100,013)
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100,013
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TOTAL INVESTMENTS (Cost $31,349,543) - 100.2%
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32,293,540
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Liabilities in Excess of Other Assets - (0.2)%
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(53,016
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)
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TOTAL NET ASSETS - 100.0%
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$
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32,240,524
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Percentages are stated as a percent of net assets.
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(a) Rate shown is the 7-day effective yield.
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The accompanying notes are an integral part of these financial statements.
The unaudited cost basis of investments for federal income tax purposes at December 31, 2019 was as follows*:
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Merlyn.AI Bull-Rider Bear-Fighter ETF
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Cost of investments
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$
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31,349,543
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Gross unrealized appreciation
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$
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947,840
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Gross unrealized depreciation
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$
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(3,843
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)
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Net unrealized appreciation/(depreciation)
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$
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943,997
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*Because tax adjustments are calculated annually at the end of the Funds’ fiscal year, the above tables do not reflect tax adjustments for the current fiscal year.
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VALUATION MEASUREMENTS (Unaudited)
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The Fund follows authoritative fair valuation accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional
disclosures about the various inputs and valuation techniques used to develop the measurement of fair value and a discussion in changes in valuation techniques and related inputs during the period. These inputs are summarized in the three
broad levels below:
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Level 1 - Quoted prices in active markets for identical securities
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Level 2 - Evaluated price based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment spreads, credit risk, etc.)
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Level 3 - Significant unobservable inputs (including the Fund's own assumptions in determining fair value of investments)
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The inputs or methodology used for valuing securities are not an indication of the credit risk associated with investing in those securities.
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The following is a summary of the inputs used to value the Fund's net assets as of December 31, 2019:
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Merlyn.AI Bull-Rider Bear-Fighter ETF
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Assets
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Level 1
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Level 2
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Level 3
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Total
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Investment Companies*
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$
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32,193,527
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$
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-
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$
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-
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$
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32,193,527
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Money Market Funds*
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100,013
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-
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-
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100,013
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Total Investments in Securites
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$
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32,293,540
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$
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-
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$
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-
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$
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32,293,540
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* For further detail on each asset class, see the Schedule of Investments.
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Item 2. Controls and Procedures.
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(a)
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The Registrant’s President/Principal Executive Officer and Treasurer/Principal Financial Officer have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of
1940 (the “1940 Act”)) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b)
under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d‑15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).
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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 1940 Act) (17 CFR 270.30a-3(d)) that occurred during the Registrant's last fiscal quarter that have
materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
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Item 3. Exhibits.
Separate certifications for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)). Filed herewith.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly
authorized.
(Registrant) Alpha Architect ETF Trust
By (Signature and Title) /s/ Wesley R Gray
Wesley R. Gray, Principal Executive Officer, President
Date 2/26/2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities
and on the dates indicated.
By (Signature and Title) /s/ Wesley R Gray
Wesley R. Gray, Principal Executive Officer, President
Date 2/26/2020
By (Signature and Title) /s/ John R. Vogel
John R. Vogel, Principal Financial Officer, Treasurer
Date 2/26/2020
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