ALPHA
ARCHITECT ETF TRUST
STATEMENT
OF ASSETS AND LIABILITIES
March
31, 2020 (Unaudited)
|
|
|
Alpha Architect U.S. Quantitative Value ETF
|
|
|
Alpha Architect International Quantitative
Value ETF
|
|
|
Assets:
|
|
|
|
|
|
|
|
Investments, at value
|
|
$
|
60,446,423
|
|
|
$
|
72,170,941
|
|
|
Dividends and interest receivable
|
|
|
299,728
|
|
|
|
976,934
|
|
|
Spot trade receivable
|
|
|
-
|
|
|
|
8,911
|
|
|
Total assets
|
|
|
60,746,151
|
|
|
|
73,156,786
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
Accrued investment advisory fees
|
|
|
29,779
|
|
|
|
37,739
|
|
|
Spot trade payable
|
|
|
-
|
|
|
|
9,004
|
|
|
Total liabilities
|
|
|
29,779
|
|
|
|
46,743
|
|
|
Net Assets
|
|
$
|
60,716,372
|
|
|
$
|
73,110,043
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets Consist of:
|
|
|
|
|
|
|
|
|
|
Capital stock
|
|
$
|
135,346,952
|
|
|
$
|
118,211,544
|
|
|
Total Distributable Earnings
|
|
|
(74,630,580
|
)
|
|
|
(45,101,501
|
)
|
|
Net Assets:
|
|
$
|
60,716,372
|
|
|
$
|
73,110,043
|
|
|
|
|
|
|
|
|
|
|
|
|
Calculation of Net Asset Value Per Share:
|
|
|
|
|
|
|
|
|
|
Net Assets
|
|
$
|
60,716,372
|
|
|
$
|
73,110,043
|
|
|
Shares Outstanding (unlimited shares of beneficial interest authorized, no par value)
|
|
|
3,350,000
|
|
|
|
3,500,000
|
|
|
Net Asset Value per Share
|
|
$
|
18.12
|
|
|
$
|
20.89
|
|
|
|
|
|
|
|
|
|
|
|
|
Cost of Investments
|
|
$
|
89,037,684
|
|
|
$
|
101,195,978
|
|
The
accompanying notes are an integral part of these financial statements.
ALPHA
ARCHITECT ETF TRUST
STATEMENT
OF ASSETS AND LIABILITIES
March
31, 2020 (Unaudited)
|
|
|
Alpha Architect U.S.
Quantitative
Momentum ETF
|
|
|
Alpha Architect International Quantitative Momentum ETF
|
|
|
Assets:
|
|
|
|
|
|
|
|
Investments, at value
|
|
$
|
48,234,538
|
|
|
$
|
47,491,711
|
|
|
Receivable for investments sold
|
|
|
2,626,741
|
|
|
|
-
|
|
|
Dividends and interest receivable
|
|
|
12,607
|
|
|
|
238,193
|
|
|
Spot trade receivable
|
|
|
-
|
|
|
|
22,271
|
|
|
Total assets
|
|
|
50,873,886
|
|
|
|
47,752,175
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
Payable for fund shares redeemed
|
|
|
2,640,465
|
|
|
|
-
|
|
|
Accrued investment advisory fees
|
|
|
22,085
|
|
|
|
24,569
|
|
|
Spot trade payable
|
|
|
-
|
|
|
|
22,502
|
|
|
Total liabilities
|
|
|
2,662,550
|
|
|
|
47,071
|
|
|
Net Assets
|
|
$
|
48,211,336
|
|
|
$
|
47,705,104
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets Consist of:
|
|
|
|
|
|
|
|
|
|
Capital stock
|
|
$
|
77,554,752
|
|
|
$
|
83,770,081
|
|
|
Total Distributable Earnings
|
|
|
(29,343,416
|
)
|
|
|
(36,064,977
|
)
|
|
Net Assets:
|
|
$
|
48,211,336
|
|
|
$
|
47,705,104
|
|
|
|
|
|
|
|
|
|
|
|
|
Calculation of Net Asset Value Per Share:
|
|
|
|
|
|
|
|
|
|
Net Assets
|
|
$
|
48,211,336
|
|
|
$
|
47,705,104
|
|
|
Shares Outstanding (unlimited shares of beneficial interest authorized, no par value)
|
|
|
1,850,000
|
|
|
|
2,300,000
|
|
|
Net Asset Value per Share
|
|
$
|
26.06
|
|
|
$
|
20.74
|
|
|
|
|
|
|
|
|
|
|
|
|
Cost of Investments
|
|
$
|
58,490,169
|
|
|
$
|
55,732,986
|
|
The
accompanying notes are an integral part of these financial statements.
ALPHA
ARCHITECT ETF TRUST
STATEMENT
OF ASSETS AND LIABILITIES
March
31, 2020 (Unaudited)
|
|
|
Alpha Architect Value
Momentum Trend ETF
|
|
Assets:
|
|
|
|
Investments in affiliates, at value
|
|
$
|
41,786,530
|
|
|
Non-affiliated investments, at value
|
|
|
16,705
|
|
|
Deposit at broker for securities sold short
|
|
|
41,310,595
|
|
|
Receivable for investments sold
|
|
|
449,280
|
|
|
Interest receivable
|
|
|
47
|
|
|
Total assets
|
|
|
83,563,157
|
|
|
Liabilities:
|
|
|
|
|
|
Securities sold short, at value
|
|
|
34,443,473
|
|
|
Payable for fund shares redeemed
|
|
|
517,873
|
|
|
Payable for investment securities purchased
|
|
|
368,654
|
|
|
Distribution payable
|
|
|
56,218
|
|
|
Accrued investment advisory fees
|
|
|
9,555
|
|
|
Broker Interest Payable
|
|
|
4,298
|
|
|
Total liabilities
|
|
|
35,400,071
|
|
|
Net Assets
|
|
$
|
48,163,086
|
|
|
|
|
|
|
|
|
Net Assets Consist of:
|
|
|
|
|
|
Capital Stock
|
|
$
|
74,434,911
|
|
|
Total Distributable Earnings
|
|
|
(26,271,825
|
)
|
|
Net Assets:
|
|
$
|
48,163,086
|
|
|
|
|
|
|
|
|
Calculation of Net Asset Value Per Share:
|
|
|
|
|
|
Net Assets
|
|
$
|
48,163,086
|
|
|
Shares Outstanding (unlimited shares of beneficial interest authorized, no par value)
|
|
|
2,325,000
|
|
|
Net Asset Value per Share
|
|
$
|
20.72
|
|
|
|
|
|
|
|
|
Cost of Investments in Affiliates
|
|
$
|
60,460,409
|
|
|
Cost of Non-Affiliated Investments
|
|
$
|
16,705
|
|
|
Proceeds from Securities Sold Short
|
|
$
|
40,652,302
|
|
The
accompanying notes are an integral part of these financial statements.
ALPHA
ARCHITECT ETF TRUST
STATEMENT
OF OPERATIONS
For
the Six Months Ended March 31, 2020 (Unaudited)
|
|
|
Alpha Architect U.S.
Quantitative
Value ETF
|
|
|
Alpha Architect International Quantitative
Value ETF
|
|
|
Investment Income:
|
|
|
|
|
|
|
|
Dividend income (net of foreign withholding tax of $0 and $94,245, respectively)
|
|
$
|
1,469,209
|
|
|
$
|
1,326,193
|
|
|
Interest income
|
|
|
2,225
|
|
|
|
1,651
|
|
|
Total investment income
|
|
|
1,471,434
|
|
|
|
1,327,844
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
Investment advisory fees
|
|
|
233,457
|
|
|
|
265,018
|
|
|
Total expenses
|
|
|
233,457
|
|
|
|
265,018
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
1,237,977
|
|
|
|
1,062,826
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized and Unrealized Gain (Loss) on Investments:
|
|
|
|
|
|
|
|
|
|
Net realized gain (loss) on:
|
|
|
|
|
|
|
|
|
|
Investments
|
|
|
(12,055,840
|
)
|
|
|
(5,074,382
|
)
|
|
In-kind redemptions
|
|
|
3,558,542
|
|
|
|
5,385,369
|
|
|
Foreign currency
|
|
|
-
|
|
|
|
(48,461
|
)
|
|
|
|
|
(8,497,298
|
)
|
|
|
262,526
|
|
|
Net change in unrealized depreciation on:
|
|
|
|
|
|
|
|
|
|
Investments
|
|
|
(26,880,204
|
)
|
|
|
(20,810,508
|
)
|
|
Foreign currency
|
|
|
-
|
|
|
|
(1,448,982
|
)
|
|
|
|
|
(26,880,204
|
)
|
|
|
(22,259,490
|
)
|
|
Net realized and unrealized loss on investments:
|
|
|
(35,377,502
|
)
|
|
|
(21,996,964
|
)
|
|
Net decrease in net assets resulting from operations
|
|
$
|
(34,139,525
|
)
|
|
$
|
(20,934,138
|
)
|
The
accompanying notes are an integral part of these financial statements.
ALPHA
ARCHITECT ETF TRUST
STATEMENT
OF OPERATIONS
For
the Six Months Ended March 31, 2020 (Unaudited)
|
|
|
Alpha Architect U.S.
Quantitative
Momentum ETF
|
|
|
Alpha Architect International Quantitative
Momentum ETF
|
|
|
Investment Income:
|
|
|
|
|
|
|
|
Dividend income (net of foreign withholding tax of $0 and $35,792, respectivley)
|
|
$
|
254,791
|
|
|
$
|
507,226
|
|
|
Interest income
|
|
|
1,715
|
|
|
|
1,608
|
|
|
Total investment income
|
|
|
256,506
|
|
|
|
508,834
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
Investment advisory fees
|
|
|
149,141
|
|
|
|
177,378
|
|
|
Overdraft fees expense
|
|
|
-
|
|
|
|
1,427
|
|
|
Total expenses
|
|
|
149,141
|
|
|
|
178,805
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
107,365
|
|
|
|
330,029
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized and Unrealized Gain (Loss) on Investments:
|
|
|
|
|
|
|
|
|
|
Net realized gain (loss) on:
|
|
|
|
|
|
|
|
|
|
Investments
|
|
|
(2,468,523
|
)
|
|
|
(5,248,331
|
)
|
|
In-kind redemptions
|
|
|
7,236,075
|
|
|
|
4,001,363
|
|
|
Foreign currency
|
|
|
-
|
|
|
|
(140,209
|
)
|
|
|
|
|
4,767,552
|
|
|
|
(1,387,177
|
)
|
|
Net change in unrealized depreciation on:
|
|
|
|
|
|
|
|
|
|
Investments
|
|
|
(12,221,331
|
)
|
|
|
(9,207,901
|
)
|
|
Foreign currency translation
|
|
|
-
|
|
|
|
(885,224
|
)
|
|
|
|
|
(12,221,331
|
)
|
|
|
(10,093,125
|
)
|
|
Net realized and unrealized loss
|
|
|
(7,453,779
|
)
|
|
|
(11,480,302
|
)
|
|
Net decrease in net assets resulting from operations
|
|
$
|
(7,346,414
|
)
|
|
$
|
(11,150,273
|
)
|
The
accompanying notes are an integral part of these financial statements.
ALPHA
ARCHITECT ETF TRUST
STATEMENT
OF OPERATIONS
For
the Six Months Ended March 31, 2020 (Unaudited)
|
|
|
Alpha Architect Value
Momentum Trend ETF
|
|
|
Investment Income:
|
|
|
|
|
|
Dividend income from affiliates
|
|
$
|
528,297
|
|
|
Interest income
|
|
|
13,725
|
|
|
Total investment income
|
|
|
542,022
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
Investment advisory fees
|
|
|
162,460
|
|
|
Dividend expense
|
|
|
56,218
|
|
|
Other expenses
|
|
|
4,298
|
|
|
Total expenses
|
|
|
222,976
|
|
|
Less: Reimbursement of expenses from Advisor (Note 3)
|
|
|
(74,609
|
)
|
|
Net expenses
|
|
|
148,367
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
393,655
|
|
|
|
|
|
|
|
|
Realized and Unrealized Loss on Investments:
|
|
|
|
|
|
Net realized loss on:
|
|
|
|
|
|
Investments in affiliates
|
|
|
(522,402
|
)
|
|
In-kind redemptions
|
|
|
(1,097,076
|
)
|
|
Securities sold short
|
|
|
(18,021
|
)
|
|
|
|
|
(1,637,499
|
)
|
|
Net change in unrealized appreciation (depreciation) on:
|
|
|
|
|
|
Investments in affiliates
|
|
|
(9,841,896
|
)
|
|
Securities sold short
|
|
|
5,694,725
|
|
|
|
|
|
(4,147,171
|
)
|
|
Net realized and unrealized loss on investments
|
|
|
(5,784,670
|
)
|
|
Net decrease in net assets resulting from operations
|
|
$
|
(5,391,015
|
)
|
The
accompanying notes are an integral part of these financial statements.
ALPHA
ARCHITECT ETF TRUST
STATEMENT
OF CHANGES IN NET ASSETS
|
|
|
Alpha Architect U.S. Quantitative
Value ETF
|
|
|
Alpha Architect International
Quantitative Value ETF
|
|
|
|
|
Six Months
Ended
March 31,
2020
(Unaudited)
|
|
|
Year Ended
September 30,
2019
|
|
|
Six Months Ended
March 31,
2020
(Unaudited)
|
|
|
Year Ended
September 30,
2019
|
|
|
Increase (Decrease) in Net Assets from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
$
|
1,237,977
|
|
|
$
|
1,765,206
|
|
|
$
|
1,062,826
|
|
|
$
|
2,334,134
|
|
|
Net realized gain (loss) on investments
|
|
|
(8,497,298
|
)
|
|
|
(12,846,214
|
)
|
|
|
262,526
|
|
|
|
(8,983,453
|
)
|
|
Net change in unrealized appreciation (depreciation) on investments
|
|
|
(26,880,204
|
)
|
|
|
154,988
|
|
|
|
(22,259,490
|
)
|
|
|
(4,759,142
|
)
|
|
Net decrease in net assets resulting from operations
|
|
|
(34,139,525
|
)
|
|
|
(10,926,020
|
)
|
|
|
(20,934,138
|
)
|
|
|
(11,408,461
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions to Shareholders:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
(1,096,292
|
)
|
|
|
(1,800,483
|
)
|
|
|
(1,209,047
|
)
|
|
|
(2,390,973
|
)
|
|
Total distributions
|
|
|
(1,096,292
|
)
|
|
|
(1,800,483
|
)
|
|
|
(1,209,047
|
)
|
|
|
(2,390,973
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Share Transactions:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Proceeds from shares sold
|
|
|
51,607,300
|
|
|
|
64,953,370
|
|
|
|
41,836,834
|
|
|
|
29,327,925
|
|
|
Payments for shares redeemed
|
|
|
(47,596,520
|
)
|
|
|
(84,435,665
|
)
|
|
|
(26,877,770
|
)
|
|
|
(38,331,625
|
)
|
|
Net increase (decrease) in net assets from net change in capital share transactions
|
|
|
4,010,780
|
|
|
|
(19,482,295
|
)
|
|
|
14,959,064
|
|
|
|
(9,003,700
|
)
|
|
Total decrease in net assets
|
|
|
(31,225,037
|
)
|
|
|
(32,208,798
|
)
|
|
|
(7,184,121
|
)
|
|
|
(22,803,134
|
)
|
|
Net Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beginning of period
|
|
|
91,941,409
|
|
|
|
124,150,207
|
|
|
|
80,294,164
|
|
|
|
103,097,298
|
|
|
End of period
|
|
$
|
60,716,372
|
|
|
$
|
91,941,409
|
|
|
$
|
73,110,043
|
|
|
$
|
80,294,164
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Changes in Shares Outstanding
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares outstanding, beginning of period
|
|
|
3,300,000
|
|
|
|
4,000,000
|
|
|
|
3,000,000
|
|
|
|
3,350,000
|
|
|
Shares sold
|
|
|
1,850,000
|
|
|
|
2,350,000
|
|
|
|
1,450,000
|
|
|
|
1,050,000
|
|
|
Shares reinvested
|
|
|
-
|
|
|
|
–
|
|
|
|
-
|
|
|
|
–
|
|
|
Shares repurchased
|
|
|
(1,800,000
|
)
|
|
|
(3,050,000
|
)
|
|
|
(950,000
|
)
|
|
|
(1,400,000
|
)
|
|
Shares outstanding, end of period
|
|
|
3,350,000
|
|
|
|
3,300,000
|
|
|
|
3,500,000
|
|
|
|
3,000,000
|
|
The
accompanying notes are an integral part of these financial statements.
ALPHA
ARCHITECT ETF TRUST
STATEMENT
OF CHANGES IN NET ASSETS
|
|
|
Alpha Architect U.S. Quantitative
Momentum ETF
|
|
|
Alpha Architect International
Quantitative Momentum ETF
|
|
|
|
|
Six Months
Ended
March 31,
2020
(Unaudited)
|
|
|
Year Ended
September 30,
2019
|
|
|
Six Months
Ended
March 31,
2020
(Unaudited)
|
|
|
Year Ended
September 30,
2019
|
|
|
Increase (Decrease) in Net Assets from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
$
|
107,365
|
|
|
$
|
(8,509
|
)
|
|
$
|
330,029
|
|
|
$
|
620,927
|
|
|
Net realized gain (loss) on investments
|
|
|
4,767,552
|
|
|
|
(5,328,685
|
)
|
|
|
(1,387,177
|
)
|
|
|
(6,429,673
|
)
|
|
Net change in unrealized appreciation (depreciation) on investments
|
|
|
(12,221,331
|
)
|
|
|
(4,839,439
|
)
|
|
|
(10,093,125
|
)
|
|
|
65,297
|
|
|
Net decrease in net assets resulting from operations
|
|
|
(7,346,414
|
)
|
|
|
(10,176,633
|
)
|
|
|
(11,150,273
|
)
|
|
|
(5,743,449
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions to Shareholders:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
(84,369
|
)
|
|
|
(34,407
|
)
|
|
|
(401,245
|
)
|
|
|
(763,251
|
)
|
|
Total distributions
|
|
|
(84,369
|
)
|
|
|
(34,407
|
)
|
|
|
(401,245
|
)
|
|
|
(763,251
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Share Transactions:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Proceeds from shares sold
|
|
|
60,551,260
|
|
|
|
72,363,622
|
|
|
|
44,926,104
|
|
|
|
68,801,846
|
|
|
Payments for shares redeemed
|
|
|
(60,452,820
|
)
|
|
|
(91,589,810
|
)
|
|
|
(42,057,455
|
)
|
|
|
(71,203,020
|
)
|
|
Net increase (decrease) in net assets from net change in capital share transactions
|
|
|
98,440
|
|
|
|
(19,226,188
|
)
|
|
|
2,868,649
|
|
|
|
(2,401,174
|
)
|
|
Total increase in net assets
|
|
|
(7,332,343
|
)
|
|
|
(29,437,228
|
)
|
|
|
(8,682,869
|
)
|
|
|
(8,907,874
|
)
|
|
Net Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beginning of period
|
|
|
55,543,679
|
|
|
|
84,980,907
|
|
|
|
56,387,973
|
|
|
|
65,295,847
|
|
|
End of period
|
|
$
|
48,211,336
|
|
|
$
|
55,543,679
|
|
|
$
|
47,705,104
|
|
|
$
|
56,387,973
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Changes in Shares Outstanding
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares outstanding, beginning of period
|
|
|
1,850,000
|
|
|
|
2,500,000
|
|
|
|
2,200,000
|
|
|
|
2,300,000
|
|
|
Shares sold
|
|
|
1,900,000
|
|
|
|
2,450,000
|
|
|
|
1,750,000
|
|
|
|
2,700,000
|
|
|
Shares reinvested
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
Shares repurchased
|
|
|
(1,900,000
|
)
|
|
|
(3,100,000
|
)
|
|
|
(1,650,000
|
)
|
|
|
(2,800,000
|
)
|
|
Shares outstanding, end of period
|
|
|
1,850,000
|
|
|
|
1,850,000
|
|
|
|
2,300,000
|
|
|
|
2,200,000
|
|
The
accompanying notes are an integral part of these financial statements.
ALPHA
ARCHITECT ETF TRUST
STATEMENT
OF CHANGES IN NET ASSETS
|
|
|
Alpha Architect Value Momentum Trend
ETF
|
|
|
|
|
Six Months
Ended
March 31,
2020
(Unaudited)
|
|
|
Year Ended
September 30,
2019
|
|
|
Increase (Decrease) in Net Assets from:
|
|
|
|
|
|
|
|
Operations:
|
|
|
|
|
|
|
|
Net investment income
|
|
$
|
393,655
|
|
|
$
|
353,238
|
|
|
Net realized loss on investments
|
|
|
(1,637,499
|
)
|
|
|
(8,818,755
|
)
|
|
Net change in unrealized depreciation on investments
|
|
|
(4,147,171
|
)
|
|
|
(13,849,496
|
)
|
|
Net decrease in net assets resulting from operations
|
|
|
(5,391,015
|
)
|
|
|
(22,315,013
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Distributions to Shareholders:
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
(1,105,437
|
)
|
|
|
(483,624
|
)
|
|
Total distributions
|
|
|
(1,105,437
|
)
|
|
|
(483,624
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Capital Share Transactions:
|
|
|
|
|
|
|
|
|
|
Proceeds from shares sold
|
|
|
1,072,975
|
|
|
|
8,584,400
|
|
|
Payments for shares redeemed
|
|
|
(27,566,968
|
)
|
|
|
(35,048,555
|
)
|
|
Net decrease in net assets from net change in capital share transactions
|
|
|
(26,493,993
|
)
|
|
|
(26,464,155
|
)
|
|
Total decrease in net assets
|
|
|
(32,990,445
|
)
|
|
|
(49,262,792
|
)
|
|
Net Assets:
|
|
|
|
|
|
|
|
|
|
Beginning of period
|
|
|
81,153,531
|
|
|
|
130,416,323
|
|
|
End of period
|
|
$
|
48,163,086
|
|
|
$
|
81,153,531
|
|
|
|
|
|
|
|
|
|
|
|
|
Changes in Shares Outstanding
|
|
|
|
|
|
|
|
|
|
Shares outstanding, beginning of period
|
|
|
3,450,000
|
|
|
|
4,500,000
|
|
|
Shares sold
|
|
|
50,000
|
|
|
|
350,000
|
|
|
Shares reinvested
|
|
|
-
|
|
|
|
-
|
|
|
Shares repurchased
|
|
|
(1,175,000
|
)
|
|
|
(1,400,000
|
)
|
|
Shares outstanding, end of period
|
|
|
2,325,000
|
|
|
|
3,450,000
|
|
The
accompanying notes are an integral part of these financial statements.
ALPHA
ARCHITECT ETF TRUST
FINANCIAL
HIGHLIGHTS
March
31, 2020 (Unaudited)
|
|
|
Net
Asset
Value,
Beginning of
Period
|
|
Net
Investment
Income
(Loss)(1)
|
|
Net
Realized
and Unrealized
Gains (Loss) on
Investments
|
|
Net
Increase
(Decrease) in
Net Asset Value
Resulting from
Operations
|
|
Distributions
from Net
Investment
Income
|
|
Return
of
Capital
Distribution
|
|
Total
Distributions
|
|
Net
Asset
Value,
End of
Period
|
|
Alpha Architect
U.S. Quantitative Value ETF
|
|
|
|
|
|
Six Months Ended March 31, 2020 (Unaudited)
|
|
$27.86
|
|
0.36
|
|
(9.78)
|
|
(9.42)
|
|
(0.32)
|
|
-
|
|
(0.32)
|
|
$18.12
|
|
Year Ended September 30, 2019
|
|
$31.04
|
|
0.51
|
|
(3.32)
|
|
(2.81)
|
|
(0.37)
|
|
-
|
|
(0.37)
|
|
$27.86
|
|
Year Ended September 30, 2018
|
|
$27.11
|
|
0.39
|
|
3.88
|
|
4.27
|
|
(0.34)
|
|
-
|
|
(0.34)
|
|
$31.04
|
|
Year Ended September 30, 2017
|
|
$23.12
|
|
0.32
|
|
3.98
|
|
4.30
|
|
(0.31)
|
|
-
|
|
(0.31)
|
|
$27.11
|
|
Year ended September 30, 2016
|
|
$23.09
|
|
0.33
|
|
0.03
|
|
0.36
|
|
(0.33)
|
|
-
|
|
(0.33)
|
|
$23.12
|
|
October 22, 2014(7)
to September 30, 2015
|
|
$25.00
|
|
0.29
|
|
(1.95)
|
|
(1.66)
|
|
(0.25)
|
|
-
|
|
(0.25)
|
|
$23.09
|
|
|
|
|
|
|
|
Alpha Architect
International Quantitative Value ETF
|
|
|
|
|
|
Six Months Ended March 31, 2020 (Unaudited)
|
|
$26.76
|
|
0.32
|
|
(5.84)
|
|
(5.52)
|
|
(0.35)
|
|
-
|
|
(0.35)
|
|
$20.89
|
|
Year Ended September 30, 2019
|
|
$30.78
|
|
0.73
|
|
(3.99)
|
|
(3.26)
|
|
(0.76)
|
|
-
|
|
(0.76)
|
|
$26.76
|
|
Year Ended September 30, 2018
|
|
$31.89
|
|
0.84
|
|
(1.11)
|
|
(0.27)
|
|
(0.84)
|
|
-
|
|
(0.84)
|
|
$30.78
|
|
Year Ended September 30, 2017
|
|
$24.66
|
|
0.62
|
|
7.13
|
|
7.75
|
|
(0.52)
|
|
-
|
|
(0.52)
|
|
$31.89
|
|
Year ended September 30, 2016
|
|
$23.16
|
|
0.46
|
|
1.38
|
|
1.84
|
|
(0.34)
|
|
-
|
|
(0.34)
|
|
$24.66
|
|
December 17, 2014(7)
to September 30, 2015
|
|
$25.00
|
|
0.54
|
|
(1.98)
|
|
(1.44)
|
|
(0.40)
|
|
-
|
|
(0.40)
|
|
$23.16
|
|
|
|
|
|
|
|
Alpha Architect
U.S. Quantitative Momentum ETF
|
|
|
|
|
|
Six Months Ended March 31, 2020 (Unaudited)
|
|
$30.02
|
|
0.06
|
|
(3.98)
|
|
(3.92)
|
|
(0.04)
|
|
-
|
|
(0.04)
|
|
$26.06
|
|
Year Ended September 30, 2019
|
|
$33.99
|
|
(0.00)(8)
|
|
(3.96)
|
|
(3.96)
|
|
(0.01)
|
|
-
|
|
(0.01)
|
|
$30.02
|
|
Year Ended September 30, 2018
|
|
$27.15
|
|
(0.03)
|
|
6.87
|
|
6.84
|
|
-
|
|
-
|
|
-
|
|
$33.99
|
|
Year Ended September 30, 2017
|
|
$24.56
|
|
0.06
|
|
2.61
|
|
2.67
|
|
(0.07)
|
|
(0.01)
|
|
(0.08)
|
|
$27.15
|
|
December 2, 2015(7)
to September 30, 2016
|
|
$25.00
|
|
0.05
|
|
(0.45)
|
|
(0.40)
|
|
(0.04)
|
|
-
|
|
(0.04)
|
|
$24.56
|
|
|
|
|
|
|
|
Alpha Architect
International Quantitative Momentum ETF
|
|
|
|
|
|
Six Months Ended March 31, 2020 (Unaudited)
|
|
$25.63
|
|
0.14
|
|
(4.86)
|
|
(4.72)
|
|
(0.17)
|
|
-
|
|
(0.17)
|
|
$20.74
|
|
Year Ended September 30, 2019
|
|
$28.39
|
|
0.28
|
|
(2.69)
|
|
(2.41)
|
|
(0.35)
|
|
-
|
|
(0.35)
|
|
$25.63
|
|
Year Ended September 30, 2018
|
|
$28.24
|
|
0.27
|
|
0.15
|
|
0.42
|
|
(0.27)
|
|
-
|
|
(0.27)
|
|
$28.39
|
|
Year Ended September 30, 2017
|
|
$25.88
|
|
0.28
|
|
2.26
|
|
2.54
|
|
(0.18)
|
|
-
|
|
(0.18)
|
|
$28.24
|
|
December 23, 2015(7)
to September 30, 2016
|
|
$25.00
|
|
0.18
|
|
0.81
|
|
0.99
|
|
(0.11)
|
|
(0.00)(8)
|
|
(0.11)
|
|
$25.88
|
|
|
|
|
|
|
|
Alpha Architect
Value Momentum Trend ETF
|
|
|
|
|
|
Six Months Ended March 31, 2020 (Unaudited)
|
|
$23.52
|
|
0.13
|
|
(2.57)
|
|
(2.44)
|
|
(0.36)
|
|
-
|
|
(0.36)
|
|
$20.72
|
|
Year Ended September 30, 2019
|
|
$28.98
|
|
0.09
|
|
(5.43)
|
|
(5.34)
|
|
(0.12)
|
|
-
|
|
(0.12)
|
|
$23.52
|
|
Year Ended September 30, 2018
|
|
$27.10
|
|
0.34
|
|
1.87
|
|
2.21
|
|
(0.33)
|
|
-
|
|
(0.33)
|
|
$28.98
|
|
May 3, 2017(7)
to September 30, 2017
|
|
$25.00
|
|
0.13
|
|
2.06
|
|
2.19
|
|
(0.09)
|
|
(0.00)(8)
|
|
(0.09)
|
|
$27.10
|
ALPHA
ARCHITECT ETF TRUST
FINANCIAL
HIGHLIGHTS (CONTINUED)
March
31, 2020 (Unaudited)
|
|
|
|
|
|
|
Ratios
to Average Net Assets
|
|
|
|
Total
Return(2)
|
|
Net Assets,
End of
Period (000’s)
|
|
Net
Expenses(3)(4)
|
|
Gross
Expenses(3)
|
|
Net
Investment
Income(3)
|
|
Portfolio
Turnover
Rate(6)
|
|
Alpha Architect U.S. Quantitative Value ETF
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended March 31, 2020 (Unaudited)
|
|
(34.16%)
|
|
$60,716
|
|
0.49%
|
|
0.49%
|
|
2.60%
|
|
33%
|
|
Year Ended September 30, 2019
|
|
(8.43%)
|
|
$91,941
|
|
0.59%
|
|
0.59%
|
|
1.83%
|
|
77%
|
|
Year Ended September 30, 2018
|
|
15.72%
|
|
$124,150
|
|
0.79%
|
|
0.79%
|
|
1.28%
|
|
46%
|
|
Year Ended September 30, 2017
|
|
18.71%
|
|
$74,565
|
|
0.79%
|
|
0.79%
|
|
1.28%
|
|
81%
|
|
Year ended September 30, 2016
|
|
1.58%
|
|
$55,480
|
|
0.79%
|
|
0.79%
|
|
1.46%
|
|
74%
|
|
October 22, 2014(7) to September 30,
2015
|
|
(6.72%)
|
|
$47,343
|
|
0.79%
|
|
0.79%
|
|
1.17%
|
|
69%
|
|
|
|
Alpha Architect International Quantitative
Value ETF
|
|
Six Months Ended March 31, 2020 (Unaudited)
|
|
(20.79%)
|
|
$73,110
|
|
0.59%
|
|
0.59%
|
|
2.37%
|
|
28%
|
|
Year Ended September 30, 2019
|
|
(10.46%)
|
|
$80,294
|
|
0.66%
|
|
0.66%
|
|
2.70%
|
|
76%
|
|
Year Ended September 30, 2018
|
|
(0.92%)
|
|
$103,097
|
|
0.79%
|
|
0.79%
|
|
2.62%
|
|
30%
|
|
Year Ended September 30, 2017
|
|
31.77%
|
|
$68,554
|
|
0.79%
|
|
0.79%
|
|
2.18%
|
|
44%
|
|
Year ended September 30, 2016
|
|
8.00%
|
|
$35,755
|
|
0.79%
|
|
0.79%
|
|
1.95%
|
|
119%
|
|
December 17, 2014(7) to
September 30, 2015
|
|
(5.96%)
|
|
$18,529
|
|
0.79%
|
|
0.79%
|
|
2.67%
|
|
33%
|
|
|
|
Alpha Architect U.S. Quantitative
Momentum ETF
|
|
Six Months Ended March 31, 2020 (Unaudited)
|
|
(13.03%)
|
|
$48,211
|
|
0.49%
|
|
0.49%
|
|
0.35%
|
|
47%
|
|
Year Ended September 30, 2019
|
|
(11.63%)
|
|
$55,544
|
|
0.59%
|
|
0.59%
|
|
(0.01)%
|
|
115%
|
|
Year Ended September 30, 2018
|
|
25.19%
|
|
$84,981
|
|
0.79%
|
|
0.79%
|
|
(0.11)%
|
|
91%
|
|
Year Ended September 30, 2017
|
|
10.90%
|
|
$39,370
|
|
0.79%
|
|
0.79%
|
|
0.24%
|
|
168%
|
|
December 2, 2015(7) to September 30,
2016
|
|
(1.58%)
|
|
$23,332
|
|
0.79%
|
|
0.79%
|
|
0.28%
|
|
213%
|
|
|
|
Alpha Architect International Quantitative
Momentum ETF
|
|
Six Months Ended March 31, 2020 (Unaudited)
|
|
(18.39%)
|
|
$47,705
|
|
0.59%
|
|
0.59%
|
|
1.10%
|
|
64%
|
|
Year Ended September 30, 2019
|
|
(8.45%)
|
|
$56,388
|
|
0.66%
|
|
0.66%
|
|
1.09%
|
|
135%
|
|
Year Ended September 30, 2018
|
|
1.42%
|
|
$65,296
|
|
0.79%
|
|
0.79%
|
|
0.91%
|
|
119%
|
|
Year Ended September 30, 2017
|
|
9.90%
|
|
$43,767
|
|
0.79%
|
|
0.79%
|
|
1.11%
|
|
105%
|
|
December 23, 2015(7) to September
30, 2016
|
|
3.96%
|
|
$19,408
|
|
0.79%
|
|
0.79%
|
|
0.93%
|
|
217%
|
|
|
|
Alpha Architect Value Momentum Trend
ETF
|
|
Six Months Ended March 31, 2020 (Unaudited)
|
|
(10.67%)
|
|
$48,163
|
|
0.41%
|
|
0.62%
|
|
1.09%
|
|
3%
|
|
Year Ended September 30, 2019
|
|
(18.43%)
|
|
$81,154
|
|
1.84%
|
|
2.14%
|
|
0.37%
|
|
155%
|
|
Year Ended September 30, 2018
|
|
8.17%
|
|
$130,416
|
|
0.01%(5)
|
|
0.46%(5)
|
|
1.16%(5)
|
|
44%
|
|
May 3, 2017(7) to September
30, 2017
|
|
8.77%
|
|
$40,644
|
|
0.00%
|
|
0.45%
|
|
1.27%
|
|
0%
|
|
(1)
|
Net
investment income (loss) per share represents net investment income (loss) divided by the daily average shares of beneficial
interest outstanding throughout each period.
|
|
(2)
|
All
returns reflect reinvested dividends, if any, but do not reflect the impact of taxes. Total return for a period of less than
one year is not annualized.
|
|
(3)
|
For
periods of less than one year, these ratios are annualized.
|
|
(4)
|
Net
expenses include effects of any reimbursement or recoupment.
|
|
(5)
|
The
net expenses, total expenses, and net investment income (loss) ratios excluding the effect of broker interest expense on securities
sold short were 0.00%, 0.45%, and 1.17%, respectively.
|
|
(6)
|
Portfolio
turnover is not annualized and is calculated without regard to short-term securities having a maturity of less than one year.
|
|
(7)
|
Commencement
of operations.
|
|
(8)
|
Rounds
to less than $.005.
|
The
accompanying Notes to the Financial Statements are an integral part of these Financial Statements.
ALPHA
ARCHITECT ETF TRUST
NOTES
TO FINANCIAL STATEMENTS
March
31, 2020 (UNAUDITED)
NOTE
1 – ORGANIZATION
Each
of Alpha Architect U.S. Quantitative Value ETF, Alpha Architect International Quantitative Value ETF, Alpha Architect U.S.
Quantitative Momentum ETF, Alpha Architect International Quantitative Momentum ETF, and Alpha Architect Value Momentum Trend
ETF (individually a “Fund” or collectively the “Funds”) is a series of the Alpha Architect ETF Trust
(the “Trust”), which was organized as a Delaware statutory trust on October 11, 2013. The Trust is registered
with the Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the
“1940 Act”), as an open-end management investment company and the offering of the Funds’ shares
(“Shares”) is registered under the Securities Act of 1933, as amended (the “Securities Act”). Each of
Alpha Architect U.S. Quantitative Value ETF, Alpha Architect International Quantitative Value ETF, Alpha Architect U.S.
Quantitative Momentum ETF, and Alpha Architect International Quantitative Momentum ETF are considered diversified under the
1940 Act. In contrast, Alpha Architect Value Momentum Trend ETF is currently considered non-diversified under the 1940 Act.
Non-diversified funds generally hold securities of fewer issuers than diversified funds and may be more susceptible to the
risks associated with these particular issuers, or to a single economic, political or regulatory occurrence affecting these
issuers. Each Fund qualifies as an investment company as defined in the Financial Accounting Standards Codification Topic
946-Financial Services - Investment Companies. The investment objective of each Fund is to track the total return
performance, before fees and expenses, of its particular index. The underlying index for each Fund is defined
below:
|
Fund
|
|
Index
|
|
Alpha
Architect U.S. Quantitative Value ETF
|
|
Alpha
Architect Quantitative Value Index
|
|
Alpha
Architect International Quantitative Value ETF
|
|
Alpha
Architect International Quantitative Value Index
|
|
Alpha
Architect U.S. Quantitative Momentum ETF
|
|
Alpha
Architect Quantitative Momentum Index
|
|
Alpha
Architect International Quantitative Momentum ETF
|
|
Alpha
Architect International Quantitative Momentum Index
|
|
Alpha
Architect Value Momentum Trend ETF
|
|
Alpha
Architect Value Momentum Trend Index
|
Alpha
Architect U.S. Quantitative Value ETF, Alpha Architect International Quantitative Value ETF, Alpha Architect U.S. Quantitative
Momentum ETF, and Alpha Architect International Quantitative Momentum ETF began managing to each Fund’s respective index
effective February 1, 2017. A short description of each index is as follows:
The
Alpha Architect Quantitative Value Index uses a 5-step, quantitative, rules-based methodology to identify a portfolio of approximately
40-50 undervalued U.S. equity securities with the potential for capital appreciation.
The
Alpha Architect International Quantitative Value Index uses a 5-step, quantitative, rules-based methodology to identify a portfolio
of approximately 40-50 undervalued non-U.S. equity securities or their depositary receipts with the potential for capital appreciation.
The
Alpha Architect Quantitative Momentum Index uses a 5-step, quantitative, rules-based methodology to identify a portfolio of approximately
40-50 U.S. equity securities with positive momentum, as described in the Prospectus. A “momentum” style of investing
emphasizes investing in securities that have had higher recent total return performance compared to other securities.
ALPHA
ARCHITECT ETF TRUST
NOTES
TO FINANCIAL STATEMENTS
March
31, 2020 (UNAUDITED)
The
Alpha Architect International Quantitative Momentum Index uses a 5-step, quantitative, rules-based methodology to identify a portfolio
of approximately 40-50 non-U.S. equity securities with positive momentum, as described in the Prospectus. A “momentum”
style of investing emphasizes investing in securities that have had higher recent total return performance compared to other securities.
Alpha
Architect Value Momentum Trend ETF commenced operations on May 3, 2017 and manages to the Alpha Architect Value Momentum Trend
Index. The Alpha Architect Value Momentum Trend Index is comprised of the following ETFs advised by Empowered Funds, LLC (“Adviser”):
U.S. Quantitative Value ETF, Alpha Architect International Quantitative Value ETF, Alpha Architect U.S. Quantitative Momentum
ETF, and Alpha Architect International Quantitative Momentum ETF (collectively, the “Alpha Architect ETFs”). The
Alpha Architect ETFs invest in either domestic or international equity securities, and employ either a “momentum”
or a “value” investment strategy. In addition, the Index may, from time to time, use hedging strategies.
Shares
of the Funds are listed and traded on Cboe BZX Exchange, Inc. (“Cboe”). Market prices for the shares may be different
from their net asset value (“NAV”). Each Fund issues and redeems shares on a continuous basis at NAV only in blocks
of shares, called “Creation Units.” For Alpha Architect U.S. Quantitative Value ETF, Alpha Architect International
Quantitative Value ETF, Alpha Architect U.S. Quantitative Momentum ETF, and Alpha Architect International Quantitative Momentum
ETF a Creation Unit consists of 50,000 shares. During a portion of the period covered by this Report, a Creation Unit for Alpha
Architect Value Momentum Trend ETF also consisted of 50,000 shares. However, effective as of March 20, 2020, a Creation Unit for
Alpha Architect Value Momentum Trend ETF consists of 25,000 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 share 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 or redeemed by certain financial institutions (“Authorized
Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through
the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case,
must have executed a Participant Agreement with the Distributor. Most retail investors do not qualify as Authorized Participants
nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem the shares directly
from a Fund. Rather, most retail investors may purchase shares in the secondary market with the assistance of a broker and are
subject to customary brokerage commissions or fees.
Authorized
Participants may be required to pay a Transaction Fee to compensate the Trust or its custodian for costs incurred in connection
with creation and redemption transactions. The standard transaction fee, which is payable to the Trust’s custodian, typically
applies to in-kind purchases of a Fund effected through the clearing process on any business day, regardless of the number of
Creation Units purchased or redeemed that day (Standard Transaction Fees”). Variable fees are imposed to compensate the
Funds for the transaction costs associated with the cash transactions fees. Certain fund deposits consisting of cash-in-lieu or
cash value may be subject to a variable charge (“Variable Transaction Fees”), which is payable to the Funds, of up
to 2.00% of the value of the order in addition to the Standard Transaction Fees. Variable Transaction Fees received by each Fund,
if any, are displayed in the Capital Share Transactions sections of the Statements of Changes in Net Assets.
Because,
among other things, each Fund imposes transaction fees on purchases and redemptions of Shares to cover the custodial and
other costs incurred by the Fund in effecting trades, the Board determined that it is not necessary to adopt policies and
procedures to detect and deter market timing of the Fund’s Shares.
ALPHA
ARCHITECT ETF TRUST
NOTES
TO FINANCIAL STATEMENTS
March
31, 2020 (UNAUDITED)
NOTE
2 - SIGNIFICANT ACCOUNTING POLICIES
The
following is a summary of significant accounting policies consistently followed by the Funds. These policies are in conformity
with accounting principles generally accepted in the United States of America (“GAAP”).
|
|
A.
|
Security
Valuation. Equity securities that are traded on a national securities exchange, except
those listed on the NASDAQ Global Market® (“NASDAQ”) are valued
at the last reported sale price on the exchange on which the security is principally
traded. Securities traded on NASDAQ will be valued at the NASDAQ Official Closing Price
(“NOCP”). If on a particular day an exchange-traded or NASDAQ security does
not trade, then the most recent quoted bid for exchange-traded or the mean between the
most recent quoted bid and ask price for NASDAQ securities will be used. Equity securities
that are not traded on a listed exchange are generally valued at the last sale price
in the over-the-counter market. If a non-exchange traded security does not trade on a
particular day, then the mean between the last quoted closing bid and asked price will
be used. Prices denominated in foreign currencies are converted to U.S. dollar equivalents
at the current exchange rate, which approximates fair value. Redeemable securities issued
by open-end investment companies are valued at the investment company’s applicable
net asset value, with the exception of exchange-traded open-end investment companies
which are priced as equity securities.
|
Securities
for which quotations are not readily available are valued by a committee established by the Trust’s Board of Trustees (the
“Board”) in accordance with procedures established by the Board. This “fair valuation” process is designed
to value the subject security at the price the Trust would reasonably expect to receive upon its current sale. When a security
is “fair valued,” consideration is given to the facts and circumstances relevant to the particular situation, including
a review of various factors set forth in the pricing procedures adopted by the Board. The use of “fair value” pricing
by a Fund may cause the net asset value of its shares to differ significantly from the net asset value that would be calculated
without regard to such considerations. As of March 31, 2020, the Funds did not hold any “fair valued” securities.
As
described above, the Funds may use various methods to measure the fair value of their investments on a recurring basis. GAAP establishes
a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are:
Level
1- Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.
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- Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the
Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, would be
based on the best information available.
ALPHA
ARCHITECT ETF TRUST
NOTES
TO FINANCIAL STATEMENTS
March
31, 2020 (UNAUDITED)
The
availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including,
for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets,
and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less
observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment
exercised in determining fair value is greatest for instruments categorized in Level 3.
The
inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes,
the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the
lowest level input that is significant to the fair value measurement in its entirety.
The
following is a summary of the fair value classification of each Fund’s investments as of March 31, 2020:
NOTES
TO FINANCIAL STATEMENTS
March
31, 2020 (UNAUDITED)
The
risks of foreign securities typically are greater in emerging and less developed markets. For example, in addition to the risks
associated with investments in any foreign country, political, legal and economic structures in these less developed countries
may be new and changing rapidly, which may cause instability and greater risk of loss. These securities markets may be less developed
and securities in those markets are generally more volatile and less liquid than those in developed markets. Investing in emerging
market countries may involve substantial risk due to, among other reasons, limited information; higher brokerage costs; different
accounting, auditing and financial reporting standards; less developed legal systems and thinner trading markets as compared to
those in developed countries; different clearing and settlement procedures and custodial services; and currency blockages or transfer
restrictions. Emerging market countries also are more likely to experience high levels of inflation, deflation or currency devaluations,
which could hurt their economies and securities markets. Certain emerging markets also may face other significant internal or
external risks, including a heightened risk of war and ethnic, religious and racial conflicts. In addition, governments in many
emerging market countries participate to a significant degree in their economies and securities markets, which may impair investment
and economic growth of companies in those markets. Such markets may also be heavily reliant on foreign capital and, therefore,
vulnerable to capital flight.
For
Alpha Architect Value Momentum Trend ETF, the risks of hedging include hedging activity sometimes being ineffective due to unexpected
changes in the market. Hedging also involves the risk that changes in the value of the related security or basket of securities
will not match those of the instruments being hedged as expected, in which case any losses on the instruments being hedged may
not be reduced. Hedging strategies could limit the Fund’s gains in rising markets and may expose the Fund to costs to which
it would otherwise not have been exposed.
See
the Funds’ Prospectus and Statement of Additional Information regarding the risks of investing in shares of the Funds.
|
|
C.
|
Foreign
Currency. Investment securities and other assets and liabilities denominated in foreign
currencies are translated into U.S. dollar amounts using the spot rate of exchange at
the date of valuation. Purchases and sales of investment securities and income and expense
items denominated in foreign currencies are translated into U.S. dollar amounts on the
respective dates of such transactions.
|
The
Funds isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from
the fluctuations arising from changes in market prices of securities held. That portion of gains (losses) attributable to changes
in foreign exchange rates is included on the “Statement of Operations” under “Net realized gain (loss) –
Foreign currency” and “Change in Net Unrealized Appreciation (Depreciation) – Foreign Currency.” The remainder
of gains (losses) attributable to securities is included on the “Statement of Operations” under “Net realized
gain (loss) – Investments,” “Net realized gain (loss) – In-kind redemptions,” and “Change
in Net Unrealized Appreciation (Depreciation) – Investments.
Each
Fund reports net realized foreign exchange gains or losses that arise from sales of foreign currencies, currency gains or losses
realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends,
interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually
received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities,
other than investments in securities at fiscal period end, resulting from changes in exchange rates.
ALPHA
ARCHITECT ETF TRUST
NOTES
TO FINANCIAL STATEMENTS
March
31, 2020 (UNAUDITED)
|
|
D.
|
Federal
Income Taxes. Each Fund intends to continue to comply with the requirements of subchapter
M of the Internal Revenue Code of 1986, as amended, as necessary to qualify as a regulated
investment company and distribute substantially all net taxable investment income and
net realized gains to shareholders in a manner which results in no tax cost to a Fund.
Therefore, no federal income tax provision is required. As of and during the fiscal period
ended March 31, 2020, the Funds did not have any tax positions that did not meet the
“more-likely-than-not” threshold of being sustained by the applicable tax
authority. As of and during the fiscal period ended March 31, 2020, the Funds did not
have liabilities for any unrecognized tax benefits. A Fund would/will recognize interest
and penalties, if any, related to unrecognized tax benefits on uncertain tax positions
as income tax expense in the Statement of Operations. During the fiscal period ended
March 31, 2020, the Funds did not incur any interest or penalties.
|
Each
Fund is subject to examination by U.S. taxing authorities for the tax periods since each Fund’s commencement of operations.
Each Fund may be subject to taxes imposed on realized and unrealized gains on securities of certain foreign countries in which
the Fund invests. The foreign tax expense, if any, was recorded on an accrual basis and is included in “Net realized gain
(loss) on investments” and “Net increase (decrease) in unrealized appreciation or depreciation on investments”
on the accompanying Statements of Operations. The amount of foreign tax owed, if any, is included in “Payable for foreign
taxes” on the accompanying Statements of Assets and Liabilities and is comprised of withholding taxes on foreign dividends
and taxes on unrealized gains.
|
|
E.
|
Security
Transactions and Investment Income. Investment securities transactions are accounted
for on the trade date. Gains and losses realized on sales of securities are determined
on a specific identification basis. Dividend income is recorded on the ex-dividend date,
net of any foreign taxes withheld at source. Interest income is recorded on an accrual
basis. Withholding taxes on foreign dividends have been provided for in accordance with
the Funds’ understanding of the applicable tax rules and regulations.
|
|
|
F.
|
Distributions
to Shareholders. Distributions to shareholders from net investment income for each
Fund are declared and paid on a quarterly basis and distributions to shareholders from
net realized gains on securities normally are declared and paid on an annual basis. Distributions
are recorded on the ex-dividend date. Each Fund may distribute more frequently, if necessary
for tax purposes.
|
|
|
G.
|
Use
of Estimates. The preparation of financial statements in conformity with GAAP requires
management to make estimates and assumptions that affect the reported amounts of assets
and liabilities at the date of the financial statements, as well as the reported amounts
of increases and decreases in net assets from operations during the period. Actual results
could differ from those estimates.
|
|
|
H.
|
Share
Valuation. The NAV per share of each Fund is calculated by dividing the sum of the
value of the securities held by the Fund, plus cash and other assets, minus all liabilities
(including estimated accrued expenses) by the total number of shares outstanding for
the Fund, rounded to the nearest cent. The Funds’ shares will not be priced on
the days on which the New York Stock Exchange (“NYSE”) is closed for regular
trading. The offering and redemption price per share for each Fund is equal to the Fund’s
net asset value per share.
|
ALPHA
ARCHITECT ETF TRUST
NOTES
TO FINANCIAL STATEMENTS
March
31, 2020 (UNAUDITED)
|
|
I.
|
Guarantees
and Indemnifications. In the normal course of business, the Funds enter into contracts
with service providers that contain general indemnification clauses. Additionally, as
is customary, the Trust’s organizational documents permit the Trust to indemnify
its officers and trustees against certain liabilities under certain circumstances. Each
Fund’s maximum exposure under these arrangements is unknown as this would involve
future claims that may be against the Fund that have not yet occurred. As of the date
of this Report, no claim has been made for indemnification pursuant to any such agreement
of the Funds.
|
|
|
J.
|
Reclassification
of Capital Accounts. GAAP requires that certain components of net assets relating
to permanent differences be reclassified between financial and tax reporting. These reclassifications
have no effect on net assets or net asset value per share. In addition, the Funds realized
net capital gains resulting from in-kind redemptions, in which shareholders exchanged
Fund shares for securities held by the Funds rather than for cash. Because such gains
are not taxable to the Funds, and are not distributed to shareholders, they have been
reclassified from accumulated net realized losses to paid-in capital. For the fiscal
year ended September 30, 2019, the following table shows the reclassifications made:
|
|
|
|
Undistributed Net
Investment
Gain (Loss)
|
|
|
Accumulated
Net Realized
Gain (Loss)
|
|
|
Paid in
Capital
|
|
|
Alpha Architect U.S. Quantitative Value ETF
|
|
$
|
(1
|
)
|
|
$
|
(5,800,361
|
)
|
|
$
|
5,800,362
|
|
|
Alpha Architect International Quantitative Value ETF
|
|
|
197,272
|
|
|
|
(3,346,941
|
)
|
|
|
3,149,669
|
|
|
Alpha Architect U.S. Quantitative Momentum ETF
|
|
|
4,200
|
|
|
|
(10,084,244
|
)
|
|
|
10,080,044
|
|
|
Alpha Architect International Quantitative Momentum ETF
|
|
|
(42,876
|
)
|
|
|
(6,418,547
|
)
|
|
|
6,461,423
|
|
|
Alpha Architect Value Momentum Trend ETF
|
|
|
940,999
|
|
|
|
(2,037,803
|
)
|
|
|
1,096,804
|
|
NOTE
3 - COMMITMENTS AND OTHER RELATED PARTY TRANSACTIONS.
Empowered
Funds, LLC (the “Adviser”) serves as the investment adviser to the Funds. Pursuant to Investment Advisory Agreements
(the “Advisory Agreements”) between the Trust, on behalf of the Funds, and the Adviser, the Adviser provides investment
advice to the Funds and oversees the day-to-day operations of the Funds, subject to the direction and control of the Board and
the officers of the Trust. Under the Advisory Agreements, the Adviser is also responsible for arranging transfer agency, custody,
fund administration and accounting, and other non-distribution related services necessary for the Funds to operate. The Adviser
administers the Funds’ business affairs, provides office facilities and equipment and certain clerical, bookkeeping and
administrative services. The Adviser agrees to pay all expenses incurred by the Funds except for the fee paid to the Adviser pursuant
to the Advisory Agreement, payments under any distribution plan adopted pursuant to Rule 12b-1, brokerage expenses, acquired fund
fees and expenses, taxes, interest (including borrowing costs), litigation expenses and other non-routine or extraordinary expenses.
At
an in-person Board meeting held on October 14, 2019, the Board of Trustees of the Trust (the “Trustees”) including
each Trustee who is not an “interested person” of the Trust, as defined in the 1940 Act (the “Independent Trustees”),
approved the Advisory Agreements. The table below represents the annual rate based on average daily net assets that each Fund
pays the Adviser monthly:
|
Alpha
Architect U.S. Quantitative Value ETF
|
0.49%
|
|
Alpha
Architect International Quantitative Value ETF
|
0.59%
|
|
Alpha
Architect U.S. Quantitative Momentum ETF
|
0.49%
|
|
Alpha
Architect International Quantitative Momentum ETF
|
0.59%
|
|
Alpha
Architect Value Momentum Trend ETF
|
0.45%
|
The
Adviser has contractually agreed to waive all or a portion of its management fee for the Alpha Architect Value Momentum Trend
ETF until at least February 1, 2021 to the extent necessary to prevent (i) management fees paid to the investment adviser for
the Fund plus (ii) the aggregate amount of management fees paid to the Adviser for management of the Alpha Architect ETFs that
are directly attributable to the Fund’s ownership of shares of the Alpha Architect ETFs, from exceeding 0.79% of the Fund’s
daily net assets. This waiver agreement may be terminated only by agreement of the investment adviser and the Fund’s Board
of Trustees. The fee waived is not subject to recoupment.
On
December 21, 2015, a Participation Agreement was executed between Advanced Alpha Architect, L.P. (“Investing Fund”),
a limited partnership organized under the laws of the State of Delaware, and the Trust. Alpha Architect, LLC is the General Partner
of the Investing Fund and conducts the investment program of the Investing Fund. Each of the Investing Fund and Alpha Architect,
LLC is an affiliate of the Adviser.
As
of March 31, 2020, Advanced Alpha Architect, L.P. owned shares of the Funds as follows:
|
|
|
Shares
|
|
|
% Ownership
|
|
|
Alpha Architect U.S. Quantitative Value ETF
|
|
|
48,362
|
|
|
|
1.44
|
|
|
Alpha Architect International Quantitative Value ETF
|
|
|
61,660
|
|
|
|
1.76
|
|
|
Alpha Architect U.S. Quantitative Momentum ETF
|
|
|
44,665
|
|
|
|
2.35
|
|
|
Alpha Architect International Quantitative Momentum ETF
|
|
|
61,689
|
|
|
|
2.68
|
|
|
Alpha Architect Value Momentum Trend ETF
|
|
|
-
|
|
|
|
-
|
|
ALPHA
ARCHITECT ETF TRUST
NOTES
TO FINANCIAL STATEMENTS
March
31, 2020 (UNAUDITED)
NOTE
4 - PURCHASES AND SALES OF SECURITIES
For
the fiscal period ended March 31, 2020, purchases and sales of securities for the Funds, excluding short-term securities and in-kind
transactions, were as follows:
|
|
|
Purchases
|
|
|
Sales
|
|
|
Alpha Architect U.S. Quantitative Value ETF
|
|
$
|
65,768,969
|
|
|
$
|
30,436,156
|
|
|
Alpha Architect International Quantitative Value ETF
|
|
|
46,986,649
|
|
|
|
24,692,129
|
|
|
Alpha Architect U.S. Quantitative Momentum ETF
|
|
|
75,262,547
|
|
|
|
27,905,803
|
|
|
Alpha Architect International Quantitative Momentum ETF
|
|
|
75,562,300
|
|
|
|
37,777,765
|
|
|
Alpha Architect Value Momentum Trend ETF
|
|
|
2,030,758
|
|
|
|
30,596,549
|
|
For
the fiscal period ended March 31, 2020, in-kind transactions associated with creations and redemptions were as follows:
|
|
|
Purchases
|
|
|
Sales
|
|
|
Alpha Architect U.S. Quantitative Value ETF
|
|
$
|
16,198,186
|
|
|
$
|
47,677,239
|
|
|
Alpha Architect International Quantitative Value ETF
|
|
|
18,656,199
|
|
|
|
26,417,515
|
|
|
Alpha Architect U.S. Quantitative Momentum ETF
|
|
|
12,667,042
|
|
|
|
59,798,006
|
|
|
Alpha Architect International Quantitative Momentum ETF
|
|
|
6,576,157
|
|
|
|
41,693,916
|
|
|
Alpha Architect Value Momentum Trend ETF
|
|
|
978,032
|
|
|
|
27,243,868
|
|
There
were no purchases or sales of U.S. Government securities during the year.
NOTE
5 – TRANSACTIONS WITH AFFILIATES
The
Alpha Architect Value Momentum Trend ETF’s transactions with affiliates represent holdings for
which it and the Alpha Architect ETFs have the same investment adviser. The Alpha Architect Value Momentum Trend ETF had
the following transactions with such affiliated investee funds during the fiscal period ended March 31, 2020:
|
|
|
Alpha Architect
U.S. Quantitative Value ETF
|
|
|
Alpha Architect
International Quantitative Value ETF
|
|
|
Alpha Architect
U.S.
Quantitative Momentum ETF
|
|
|
Alpha Architect
International
Quantitative Momentum ETF
|
|
|
Total
|
|
|
Value, Beginning of Period
|
|
$
|
18,557,017
|
|
|
$
|
22,315,732
|
|
|
$
|
19,252,878
|
|
|
$
|
22,506,855
|
|
|
$
|
82,632,482
|
|
|
Purchases
|
|
|
235,017
|
|
|
|
314,897
|
|
|
|
315,335
|
|
|
|
2,143,542
|
|
|
|
3,008,791
|
|
|
Proceeds from Sales
|
|
|
(7,983,920
|
)
|
|
|
(8,778,928
|
)
|
|
|
(7,416,791
|
)
|
|
|
(8,213,732
|
)
|
|
|
(32,393,371
|
)
|
|
Net Realized Gains (Losses)(1)
|
|
|
(238,002
|
)
|
|
|
(1,489,149
|
)
|
|
|
868,496
|
|
|
|
(760,821
|
)
|
|
|
(1,619,476
|
)
|
|
Change in Unrealized Appreciation (Depreciation)
|
|
|
(3,531,334
|
)
|
|
|
(1,623,573
|
)
|
|
|
(2,190,607
|
)
|
|
|
(2,496,382
|
)
|
|
|
(9,841,896
|
)
|
|
Value, End of Period
|
|
|
7,038,778
|
|
|
|
10,738,979
|
|
|
|
10,829,311
|
|
|
|
13,179,462
|
|
|
|
41,786,530
|
|
|
Dividend Income
|
|
|
159,517
|
|
|
|
223,743
|
|
|
|
19,510
|
|
|
|
125,527
|
|
|
|
528,297
|
|
|
Capital Gains Distributions
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
(1)
|
The total Net Realized Loss of $1,619,476 agrees to the
sum of the following components of Realized Gain/(Loss) on the Statement of Operations: “Investments in affiliates”
and “In-kind redemptions”.
|
|
|
|
Alpha Architect U.S. Quantitative Value ETF
|
|
|
Alpha Architect
International
Quantitative Value ETF
|
|
|
Alpha Architect
U.S. Quantitative Momentum ETF
|
|
|
Alpha Architect
International Quantitative Momentum ETF
|
|
|
Shares, Beginning of Period
|
|
|
666,081
|
|
|
|
829,686
|
|
|
|
641,256
|
|
|
|
878,450
|
|
|
Number of Shares Purchased
|
|
|
10,151
|
|
|
|
13,498
|
|
|
|
10,890
|
|
|
|
84,131
|
|
|
Number of Shares Sold
|
|
|
(287,564
|
)
|
|
|
(326,390
|
)
|
|
|
(235,185
|
)
|
|
|
(325,892
|
)
|
|
Shares, End of Period
|
|
|
388,668
|
|
|
|
516,794
|
|
|
|
416,961
|
|
|
|
636,689
|
|
NOTE
6 – TAX INFORMATION
The
components of tax basis cost of investments and net unrealized appreciation (depreciation) for federal income tax purposes at
March 31, 2020 were as follows*:
|
|
|
Alpha Architect U.S. Quantitative Value ETF
|
|
|
Alpha Architect
International Quantitative Value ETF
|
|
|
Alpha Architect
U.S. Quantitative Momentum ETF
|
|
|
Alpha Architect
International Quantitative Momentum ETF
|
|
|
Alpha Architect
Value Momentum Trend ETF
|
|
|
Tax cost of Investments
|
|
$
|
93,685,796
|
|
|
$
|
86,435,194
|
|
|
$
|
53,580,357
|
|
|
$
|
54,673,479
|
|
|
$
|
68,853,939
|
|
|
Gross tax unrealized appreciation
|
|
|
4,703,031
|
|
|
|
4,967,143
|
|
|
|
4,112,390
|
|
|
|
3,150,093
|
|
|
|
1,465,188
|
|
|
Gross tax unrealized depreciation
|
|
|
(6,554,868
|
)
|
|
|
(11,766,503
|
)
|
|
|
(2,151,544
|
)
|
|
|
(1,555,659
|
)
|
|
|
(10,120,777
|
)
|
|
Net tax unrealized appreciation (depreciation)
|
|
$
|
(1,851,837
|
)
|
|
$
|
(6,799,360
|
)
|
|
$
|
1,960,846
|
|
|
$
|
1,594,434
|
|
|
$
|
(8,655,589
|
)
|
|
Undistributed ordinary income
|
|
|
188,094
|
|
|
|
502,828
|
|
|
|
-
|
|
|
|
108,231
|
|
|
|
820,897
|
|
|
Undistributed long-term gain
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
Total distributable earnings
|
|
|
188,094
|
|
|
|
502,828
|
|
|
|
-
|
|
|
|
108,231
|
|
|
|
820,897
|
|
|
Other accumulated gain (loss)
|
|
|
(37,731,019
|
)
|
|
|
(16,661,784
|
)
|
|
|
(23,873,479
|
)
|
|
|
(26,216,124
|
)
|
|
|
(11,940,681
|
)
|
|
Total accumulated gain (loss)
|
|
$
|
(39,394,762
|
)
|
|
$
|
(22,958,316
|
)
|
|
$
|
(21,912,633
|
)
|
|
$
|
(24,513,459
|
)
|
|
$
|
(19,775,373
|
)
|
*
Because tax adjustments are calculated annually at the end of the Funds’ fiscal year, the above table does not reflect tax
adjustments for the current fiscal year. For the previous fiscal year’s federal income tax information, please refer to
the Notes to Financial Statements section in the Funds’ most recent annual report.
ALPHA
ARCHITECT ETF TRUST
NOTES
TO FINANCIAL STATEMENTS
March
31, 2020 (UNAUDITED)
The
difference between book and tax-basis cost is attributable to the realization for tax purposes of unrealized gains on investments
in REITs, partnerships, passive foreign investment companies and wash sales. Under tax law, certain capital and foreign currency
losses realized after October 31 and within the taxable year are deemed to arise on the first business day of each Fund’s
next taxable year.
For
the period ended September 30, 2019, the Funds had the following qualified late year losses:
|
|
|
Post October Late Year Loss Deferral
|
|
|
Post October Capital Loss Deferral
|
|
|
Alpha Architect U.S. Quantitative Value ETF
|
|
$
|
-
|
|
|
$
|
-
|
|
|
Alpha Architect International Quantitative Value ETF
|
|
|
-
|
|
|
|
-
|
|
|
Alpha Architect U.S. Quantitative Momentum ETF
|
|
|
75,391
|
|
|
|
-
|
|
|
Alpha Architect International Quantitative Momentum ETF
|
|
|
-
|
|
|
|
-
|
|
|
Alpha Architect Value Momentum Trend ETF
|
|
|
-
|
|
|
|
-
|
|
At
September 30, 2019, the Funds had the following capital loss carryforwards:
|
|
|
Unlimited Short-Term
|
|
|
Unlimited Long-Term
|
|
|
Alpha Architect U.S. Quantitative Value ETF
|
|
$
|
(29,354,097
|
)
|
|
$
|
(8,376,922
|
)
|
|
Alpha Architect International Quantitative Value ETF
|
|
|
(13,615,915
|
)
|
|
|
(3,045,869
|
)
|
|
Alpha Architect U.S. Quantitative Momentum ETF
|
|
|
(23,798,088
|
)
|
|
|
-
|
|
|
Alpha Architect International Quantitative Momentum ETF
|
|
|
(26,216,124
|
)
|
|
|
-
|
|
|
Alpha Architect Value Momentum Trend ETF
|
|
|
(11,806,192
|
)
|
|
|
(134,489
|
)
|
NOTE
7 – DISTRIBUTIONS TO SHAREHOLDERS
The
tax character of distributions paid by the Funds during the fiscal period ended March 31, 2020 and fiscal year ended September
30, 2019 were as follows:
|
|
|
For the Six Months Ended
March 31,
2020
|
|
|
Fiscal Year Ended
September 30,
2019
|
|
|
|
|
Ordinary Income
|
|
|
Ordinary Income
|
|
|
Alpha Architect U.S. Quantitative Value ETF
|
|
$
|
1,096,293
|
|
|
$
|
1,800,483
|
|
|
Alpha Architect International Quantitative Value ETF
|
|
|
1,209,047
|
|
|
|
2,390,973
|
|
|
Alpha Architect U.S. Quantitative Momentum ETF
|
|
|
84,369
|
|
|
|
34,407
|
|
|
Alpha Architect International Quantitative Momentum ETF
|
|
|
401,245
|
|
|
|
763,251
|
|
|
Alpha Architect Value Momentum Trend ETF
|
|
|
1,105,437
|
|
|
|
483,624
|
|
NOTE
8 – OTHER INFORMATION
In
August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure
Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness
of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair
value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim
periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified
disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public
companies only, until their effective date. Management is currently evaluating the impact these changes will have on the Funds’
financial statements and disclosures.
NOTE
9 – SUBSEQUENT EVENTS
In
preparing these financial statements, management of the Funds have evaluated events and transactions for potential recognition
or disclosure through date the financial statements were issued.
There
were no transactions that occurred during the period subsequent to March 31, 2020, that materially impacted the amounts or disclosures
in the Funds’ financial statements.
Effective
March 31, 2020, Foreside Financial Group, LLC (“Foreside”) acquired Quasar Distributors, LLC (“Quasar”),
the Funds’ distributor, from U.S. Bancorp. As a result of the acquisition, Quasar became a wholly-owned broker-dealer subsidiary
of Foreside and is no longer affiliated with U.S. Bancorp. The Board of Trustees of the Funds’ has approved a new Distribution
Agreement to enable Quasar to continue serving as the Funds’ distributor.
The
recent global outbreak of COVID-19 has disrupted economic markets and the prolonged economic impact is uncertain. The operational
and financial performance of the issuers of securities in which the Fund invests depends on future developments, including the
duration and spread of the outbreak, and such uncertainty may in turn impact the value of the Fund’s investments.
Effective on or about July 1, 2020, each Fund will become actively managed. Accordingly, each Fund’s investment objective
will be changed, respectively.
ALPHA ARCHITECT ETF TRUST
FREQUENCY DISTRIBUTION OF PREMIUMS AND DISCOUNTS
(Unaudited)
Closing
Price vs. NAV
The
following Frequency Distribution of Premiums and Discounts chart is provided to show the frequency at which the closing price
for the Funds were at a premium or discount to their daily net asset value (NAV). Shareholders may pay more than net asset value
when they buy Fund shares and receive less than net asset value when they sell those shares, because shares are bought and sold
at current market prices. The chart presented represents past performance and cannot be used to predict future results.
|
|
|
Alpha
Architect U.S.
|
|
|
Alpha
Architect International
|
|
|
|
|
Quantitative
Value
|
|
|
Quantitative
Value
|
|
|
|
|
ETF
|
|
|
ETF
|
|
|
|
|
Fiscal
Period Ended
September 30, 2015
|
|
|
Fiscal
Period Ended
September 30, 2015
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Premium/Discount
Range
|
|
Number
of
Trading Days
|
|
|
%
of Total
Trade Days
|
|
|
Number
of
Trading Days
|
|
|
%
of Total
Trade Days
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1.00%
or more
|
|
|
0
|
|
|
|
0.00%
|
|
|
|
13
|
|
|
|
6.53%
|
|
|
0.75%
to 0.999%
|
|
|
3
|
|
|
|
1.26%
|
|
|
|
14
|
|
|
|
7.04%
|
|
|
0.50%
to 0.749%
|
|
|
2
|
|
|
|
0.84%
|
|
|
|
25
|
|
|
|
12.56%
|
|
|
0.25%
to 0.499%
|
|
|
12
|
|
|
|
5.04%
|
|
|
|
44
|
|
|
|
22.10%
|
|
|
0.00%
to 0.249%
|
|
|
151
|
|
|
|
63.45%
|
|
|
|
34
|
|
|
|
17.09%
|
|
|
-0.001%
to -0.249%
|
|
|
60
|
|
|
|
25.21%
|
|
|
|
28
|
|
|
|
14.07%
|
|
|
-0.25%
to -0.499%
|
|
|
6
|
|
|
|
2.52%
|
|
|
|
14
|
|
|
|
7.04%
|
|
|
-0.50%
to -0.749%
|
|
|
3
|
|
|
|
1.26%
|
|
|
|
11
|
|
|
|
5.53%
|
|
|
-0.75%
to -0.999%
|
|
|
1
|
|
|
|
0.42%
|
|
|
|
3
|
|
|
|
1.51%
|
|
|
-1.00%
or more
|
|
|
0
|
|
|
|
0.00%
|
|
|
|
13
|
|
|
|
6.53%
|
|
|
|
|
|
238
|
|
|
|
100.00%
|
|
|
|
199
|
|
|
|
100.00%
|
|
ALPHA ARCHITECT ETF TRUST
FREQUENCY DISTRIBUTION OF PREMIUMS AND DISCOUNTS
(Unaudited)
|
|
|
Alpha Architect U.S.
|
|
|
Alpha Architect International
|
|
|
|
|
Quantitative Value
|
|
|
Quantitative Value
|
|
|
|
|
ETF
|
|
|
ETF
|
|
|
|
|
Fiscal Year Ended
September 30, 2016
|
|
|
Fiscal Year Ended
September 30, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Premium/Discount Range
|
|
Number of
Trading Days
|
|
|
% of Total
Trade Days
|
|
|
Number of
Trading Days
|
|
|
% of Total
Trade Days
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1.00% or more
|
|
|
0
|
|
|
|
0.00%
|
|
|
|
34
|
|
|
|
13.44%
|
|
|
0.75% to 0.999%
|
|
|
3
|
|
|
|
1.19%
|
|
|
|
21
|
|
|
|
8.30%
|
|
|
0.50% to 0.749%
|
|
|
5
|
|
|
|
1.98%
|
|
|
|
26
|
|
|
|
10.28%
|
|
|
0.25% to 0.499%
|
|
|
12
|
|
|
|
4.74%
|
|
|
|
31
|
|
|
|
12.25%
|
|
|
0.00% to 0.249%
|
|
|
95
|
|
|
|
37.55%
|
|
|
|
23
|
|
|
|
9.09%
|
|
|
-0.001% to -0.249%
|
|
|
106
|
|
|
|
41.89%
|
|
|
|
29
|
|
|
|
11.47%
|
|
|
-0.25% to -0.499%
|
|
|
19
|
|
|
|
7.51%
|
|
|
|
29
|
|
|
|
11.46%
|
|
|
-0.50% to -0.749%
|
|
|
6
|
|
|
|
2.37%
|
|
|
|
27
|
|
|
|
10.67%
|
|
|
-0.75% to -0.999%
|
|
|
5
|
|
|
|
1.98%
|
|
|
|
12
|
|
|
|
4.74%
|
|
|
-1.00% or more
|
|
|
2
|
|
|
|
0.79%
|
|
|
|
21
|
|
|
|
8.30%
|
|
|
|
|
|
253
|
|
|
|
100.00%
|
|
|
|
253
|
|
|
|
100.00%
|
|
|
|
|
Alpha Architect U.S.
|
|
|
Alpha Architect International
|
|
|
|
|
Quantitative Momentum
|
|
|
Quantitative Momentum
|
|
|
|
|
ETF
|
|
|
ETF
|
|
|
|
|
Fiscal Period Ended
September 30, 2016
|
|
|
Fiscal Period Ended
September 30, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Premium/Discount Range
|
|
Number of
Trading Days
|
|
|
% of Total
Trade Days
|
|
|
Number of
Trading Days
|
|
|
% of Total
Trade Days
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1.00% or more
|
|
|
12
|
|
|
|
5.69%
|
|
|
|
34
|
|
|
|
17.35%
|
|
|
0.75% to 0.999%
|
|
|
4
|
|
|
|
1.90%
|
|
|
|
14
|
|
|
|
7.14%
|
|
|
0.50% to 0.749%
|
|
|
13
|
|
|
|
6.16%
|
|
|
|
21
|
|
|
|
10.71%
|
|
|
0.25% to 0.499%
|
|
|
15
|
|
|
|
7.11%
|
|
|
|
36
|
|
|
|
18.38%
|
|
|
0.00% to 0.249%
|
|
|
65
|
|
|
|
30.80%
|
|
|
|
25
|
|
|
|
12.76%
|
|
|
-0.001% to -0.249%
|
|
|
47
|
|
|
|
22.27%
|
|
|
|
21
|
|
|
|
10.71%
|
|
|
-0.25% to -0.499%
|
|
|
23
|
|
|
|
10.90%
|
|
|
|
11
|
|
|
|
5.61%
|
|
|
-0.50% to -0.749%
|
|
|
10
|
|
|
|
4.74%
|
|
|
|
7
|
|
|
|
3.57%
|
|
|
-0.75% to -0.999%
|
|
|
5
|
|
|
|
2.37%
|
|
|
|
6
|
|
|
|
3.06%
|
|
|
-1.00% or more
|
|
|
17
|
|
|
|
8.06%
|
|
|
|
21
|
|
|
|
10.71%
|
|
|
|
|
|
211
|
|
|
|
100.00%
|
|
|
|
196
|
|
|
|
100.00%
|
|
ALPHA ARCHITECT ETF TRUST
FREQUENCY DISTRIBUTION OF PREMIUMS AND DISCOUNTS
(Unaudited)
|
|
|
Alpha Architect U.S.
|
|
|
Alpha Architect International
|
|
|
|
|
Quantitative Value
|
|
|
Quantitative Value
|
|
|
|
|
ETF
|
|
|
ETF
|
|
|
|
|
Fiscal Year Ended
September 30, 2017
|
|
|
Fiscal Year Ended
September 30, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Premium/Discount Range
|
|
Number of
Trading Days
|
|
|
% of Total
Trade Days
|
|
|
Number of
Trading Days
|
|
|
% of Total
Trade Days
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1.00% or more
|
|
|
1
|
|
|
|
0.40%
|
|
|
|
10
|
|
|
|
3.98%
|
|
|
0.75% to 0.999%
|
|
|
1
|
|
|
|
0.40%
|
|
|
|
24
|
|
|
|
9.56%
|
|
|
0.50% to 0.749%
|
|
|
2
|
|
|
|
0.80%
|
|
|
|
45
|
|
|
|
17.93%
|
|
|
0.25% to 0.499%
|
|
|
19
|
|
|
|
7.57%
|
|
|
|
67
|
|
|
|
26.70%
|
|
|
0.00% to 0.249%
|
|
|
113
|
|
|
|
45.01%
|
|
|
|
55
|
|
|
|
21.92%
|
|
|
-0.001% to -0.249%
|
|
|
101
|
|
|
|
40.24%
|
|
|
|
26
|
|
|
|
10.36%
|
|
|
-0.25% to -0.499%
|
|
|
12
|
|
|
|
4.78%
|
|
|
|
12
|
|
|
|
4.78%
|
|
|
-0.50% to -0.749%
|
|
|
2
|
|
|
|
0.80%
|
|
|
|
4
|
|
|
|
1.59%
|
|
|
-0.75% to -0.999%
|
|
|
0
|
|
|
|
0.00%
|
|
|
|
4
|
|
|
|
1.59%
|
|
|
-1.00% or more
|
|
|
0
|
|
|
|
0.00%
|
|
|
|
4
|
|
|
|
1.59%
|
|
|
|
|
|
251
|
|
|
|
100.00%
|
|
|
|
251
|
|
|
|
100.00%
|
|
|
|
|
Alpha Architect U.S.
|
|
|
Alpha Architect International
|
|
|
|
|
Quantitative Momentum
|
|
|
Quantitative Momentum
|
|
|
|
|
ETF
|
|
|
ETF
|
|
|
|
|
Fiscal Year Ended
September 30, 2017
|
|
|
Fiscal Year Ended
September 30, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Premium/Discount Range
|
|
Number of
Trading Days
|
|
|
% of Total
Trade Days
|
|
|
Number of
Trading Days
|
|
|
% of Total
Trade Days
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1.00% or more
|
|
|
5
|
|
|
|
1.99%
|
|
|
|
6
|
|
|
|
2.39%
|
|
|
0.75% to 0.999%
|
|
|
4
|
|
|
|
1.59%
|
|
|
|
31
|
|
|
|
12.35%
|
|
|
0.50% to 0.749%
|
|
|
9
|
|
|
|
3.59%
|
|
|
|
44
|
|
|
|
17.53%
|
|
|
0.25% to 0.499%
|
|
|
22
|
|
|
|
8.76%
|
|
|
|
61
|
|
|
|
24.30%
|
|
|
0.00% to 0.249%
|
|
|
82
|
|
|
|
32.68%
|
|
|
|
51
|
|
|
|
20.32%
|
|
|
-0.001% to -0.249%
|
|
|
81
|
|
|
|
32.27%
|
|
|
|
24
|
|
|
|
9.56%
|
|
|
-0.25% to -0.499%
|
|
|
23
|
|
|
|
9.16%
|
|
|
|
20
|
|
|
|
7.97%
|
|
|
-0.50% to -0.749%
|
|
|
13
|
|
|
|
5.18%
|
|
|
|
11
|
|
|
|
4.38%
|
|
|
-0.75% to -0.999%
|
|
|
6
|
|
|
|
2.39%
|
|
|
|
2
|
|
|
|
0.80%
|
|
|
-1.00% or more
|
|
|
6
|
|
|
|
2.39%
|
|
|
|
1
|
|
|
|
0.40%
|
|
|
|
|
|
251
|
|
|
|
100.00%
|
|
|
|
251
|
|
|
|
100.00%
|
|
ALPHA ARCHITECT ETF TRUST
FREQUENCY DISTRIBUTION OF PREMIUMS AND DISCOUNTS
(Unaudited)
|
|
|
Alpha Architect Value
|
|
|
|
|
Momentum Trend
|
|
|
|
|
ETF
|
|
|
|
|
Fiscal Period Ended
September 30, 2017
|
|
|
|
|
|
|
|
|
|
|
Premium/Discount Range
|
|
Number of
Trading Days
|
|
|
% of Total
Trade Days
|
|
|
|
|
|
|
|
|
|
|
1.00% or more
|
|
|
0
|
|
|
|
0.00%
|
|
|
0.75% to 0.999%
|
|
|
0
|
|
|
|
0.00%
|
|
|
0.50% to 0.749%
|
|
|
2
|
|
|
|
1.89%
|
|
|
0.25% to 0.499%
|
|
|
24
|
|
|
|
22.64%
|
|
|
0.00% to 0.249%
|
|
|
58
|
|
|
|
54.71%
|
|
|
-0.001% to -0.249%
|
|
|
17
|
|
|
|
16.04%
|
|
|
-0.25% to -0.499%
|
|
|
5
|
|
|
|
4.72%
|
|
|
-0.50% to -0.749%
|
|
|
0
|
|
|
|
0.00%
|
|
|
-0.75% to -0.999%
|
|
|
0
|
|
|
|
0.00%
|
|
|
-1.00% or more
|
|
|
0
|
|
|
|
0.00%
|
|
|
|
|
|
106
|
|
|
|
100.00%
|
|
ALPHA ARCHITECT ETF TRUST
FREQUENCY DISTRIBUTION OF PREMIUMS AND DISCOUNTS
(Unaudited)
|
|
|
Alpha Architect U.S.
|
|
|
Alpha Architect International
|
|
|
|
|
Quantitative Value
|
|
|
Quantitative Value
|
|
|
|
|
ETF
|
|
|
ETF
|
|
|
|
|
Fiscal Year Ended
September 30, 2018
|
|
|
Fiscal Year Ended
September 30, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Premium/Discount Range
|
|
Number of
Trading Days
|
|
|
% of Total
Trade Days
|
|
|
Number of
Trading Days
|
|
|
% of Total
Trade Days
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1.00% or more
|
|
|
0
|
|
|
|
0.00%
|
|
|
|
10
|
|
|
|
3.98%
|
|
|
0.75% to 0.999%
|
|
|
0
|
|
|
|
0.00%
|
|
|
|
11
|
|
|
|
4.38%
|
|
|
0.50% to 0.749%
|
|
|
2
|
|
|
|
0.80%
|
|
|
|
47
|
|
|
|
18.73%
|
|
|
0.25% to 0.499%
|
|
|
11
|
|
|
|
4.38%
|
|
|
|
65
|
|
|
|
25.90%
|
|
|
0.00% to 0.249%
|
|
|
142
|
|
|
|
56.57%
|
|
|
|
59
|
|
|
|
23.51%
|
|
|
-0.001% to -0.249%
|
|
|
90
|
|
|
|
35.86%
|
|
|
|
35
|
|
|
|
13.94%
|
|
|
-0.25% to -0.499%
|
|
|
5
|
|
|
|
1.99%
|
|
|
|
11
|
|
|
|
4.38%
|
|
|
-0.50% to -0.749%
|
|
|
0
|
|
|
|
0.00%
|
|
|
|
6
|
|
|
|
2.39%
|
|
|
-0.75% to -0.999%
|
|
|
0
|
|
|
|
0.00%
|
|
|
|
2
|
|
|
|
0.80%
|
|
|
-1.00% or more
|
|
|
1
|
|
|
|
0.40%
|
|
|
|
5
|
|
|
|
1.99%
|
|
|
|
|
|
251
|
|
|
|
100.00%
|
|
|
|
251
|
|
|
|
100.00%
|
|
|
|
|
Alpha Architect U.S.
|
|
|
Alpha Architect International
|
|
|
|
|
Quantitative Momentum
|
|
|
Quantitative Momentum
|
|
|
|
|
ETF
|
|
|
ETF
|
|
|
|
|
Fiscal Year Ended
September 30, 2018
|
|
|
Fiscal Year Ended
September 30, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Premium/Discount Range
|
|
Number of
Trading Days
|
|
|
% of Total
Trade Days
|
|
|
Number of
Trading Days
|
|
|
% of Total
Trade Days
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1.00% or more
|
|
|
6
|
|
|
|
2.39%
|
|
|
|
22
|
|
|
|
8.76%
|
|
|
0.75% to 0.999%
|
|
|
7
|
|
|
|
2.79%
|
|
|
|
22
|
|
|
|
8.76%
|
|
|
0.50% to 0.749%
|
|
|
13
|
|
|
|
5.18%
|
|
|
|
46
|
|
|
|
18.33%
|
|
|
0.25% to 0.499%
|
|
|
19
|
|
|
|
7.57%
|
|
|
|
69
|
|
|
|
27.49%
|
|
|
0.00% to 0.249%
|
|
|
73
|
|
|
|
29.08%
|
|
|
|
46
|
|
|
|
18.33%
|
|
|
-0.001% to -0.249%
|
|
|
78
|
|
|
|
31.08%
|
|
|
|
23
|
|
|
|
9.16%
|
|
|
-0.25% to -0.499%
|
|
|
29
|
|
|
|
11.55%
|
|
|
|
9
|
|
|
|
3.59%
|
|
|
-0.50% to -0.749%
|
|
|
10
|
|
|
|
3.98%
|
|
|
|
6
|
|
|
|
2.39%
|
|
|
-0.75% to -0.999%
|
|
|
9
|
|
|
|
3.59%
|
|
|
|
3
|
|
|
|
1.20%
|
|
|
-1.00% or more
|
|
|
7
|
|
|
|
2.79%
|
|
|
|
5
|
|
|
|
1.99%
|
|
|
|
|
|
251
|
|
|
|
100.00%
|
|
|
|
251
|
|
|
|
100.00%
|
|
ALPHA ARCHITECT ETF TRUST
FREQUENCY DISTRIBUTION OF PREMIUMS AND DISCOUNTS
(Unaudited)
|
|
|
Alpha Architect Value
|
|
|
|
|
Momentum Trend
|
|
|
|
|
ETF
|
|
|
|
|
Fiscal Year Ended
September 30, 2018
|
|
|
|
|
|
|
|
|
|
|
Premium/Discount Range
|
|
Number of Trading Days
|
|
|
% of Total
Trade Days
|
|
|
|
|
|
|
|
|
|
|
1.00% or more
|
|
|
0
|
|
|
|
0.00%
|
|
|
0.75% to 0.999%
|
|
|
1
|
|
|
|
0.40%
|
|
|
0.50% to 0.749%
|
|
|
5
|
|
|
|
1.99%
|
|
|
0.25% to 0.499%
|
|
|
45
|
|
|
|
17.93%
|
|
|
0.00% to 0.249%
|
|
|
143
|
|
|
|
56.96%
|
|
|
-0.001% to -0.249%
|
|
|
43
|
|
|
|
17.13%
|
|
|
-0.25% to -0.499%
|
|
|
9
|
|
|
|
3.59%
|
|
|
-0.50% to -0.749%
|
|
|
2
|
|
|
|
0.80%
|
|
|
-0.75% to -0.999%
|
|
|
2
|
|
|
|
0.80%
|
|
|
-1.00% or more
|
|
|
1
|
|
|
|
0.40%
|
|
|
|
|
|
251
|
|
|
|
100.00%
|
|
ALPHA ARCHITECT ETF TRUST
FREQUENCY DISTRIBUTION OF PREMIUMS AND DISCOUNTS
(Unaudited)
|
|
|
Alpha Architect U.S.
|
|
|
Alpha Architect International
|
|
|
|
|
Quantitative Value
|
|
|
Quantitative Value
|
|
|
|
|
ETF
|
|
|
ETF
|
|
|
|
|
Fiscal Year Ended
September 30, 2019
|
|
|
Fiscal Year Ended
September 30, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Premium/Discount Range
|
|
Number of
Trading Days
|
|
|
% of Total
Trade Days
|
|
|
Number of
Trading Days
|
|
|
% of Total
Trade Days
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1.00% or more
|
|
|
0
|
|
|
|
0.00%
|
|
|
|
5
|
|
|
|
1.99%
|
|
|
0.75% to 0.999%
|
|
|
2
|
|
|
|
0.80%
|
|
|
|
5
|
|
|
|
1.99%
|
|
|
0.50% to 0.749%
|
|
|
1
|
|
|
|
0.40%
|
|
|
|
17
|
|
|
|
6.77%
|
|
|
0.25% to 0.499%
|
|
|
6
|
|
|
|
2.39%
|
|
|
|
34
|
|
|
|
13.55%
|
|
|
0.00% to 0.249%
|
|
|
136
|
|
|
|
54.17%
|
|
|
|
54
|
|
|
|
21.51%
|
|
|
-0.001% to -0.249%
|
|
|
97
|
|
|
|
38.65%
|
|
|
|
46
|
|
|
|
18.33%
|
|
|
-0.25% to -0.499%
|
|
|
6
|
|
|
|
2.39%
|
|
|
|
38
|
|
|
|
15.14%
|
|
|
-0.50% to -0.749%
|
|
|
3
|
|
|
|
1.20%
|
|
|
|
23
|
|
|
|
9.16%
|
|
|
-0.75% to -0.999%
|
|
|
0
|
|
|
|
0.00%
|
|
|
|
8
|
|
|
|
3.19%
|
|
|
-1.00% or more
|
|
|
0
|
|
|
|
0.00%
|
|
|
|
21
|
|
|
|
8.37%
|
|
|
|
|
|
251
|
|
|
|
100.00%
|
|
|
|
251
|
|
|
|
100.00%
|
|
|
|
|
Alpha Architect U.S.
|
|
|
Alpha Architect International
|
|
|
|
|
Quantitative Momentum
|
|
|
Quantitative Momentum
|
|
|
|
|
ETF
|
|
|
ETF
|
|
|
|
|
Fiscal Year Ended
September 30, 2019
|
|
|
Fiscal Year Ended
September 30, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Premium/Discount Range
|
|
Number of
Trading Days
|
|
|
% of Total
Trade Days
|
|
|
Number of
Trading Days
|
|
|
% of Total
Trade Days
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1.00% or more
|
|
|
3
|
|
|
|
1.20%
|
|
|
|
3
|
|
|
|
1.20%
|
|
|
0.75% to 0.999%
|
|
|
1
|
|
|
|
0.40%
|
|
|
|
7
|
|
|
|
2.79%
|
|
|
0.50% to 0.749%
|
|
|
3
|
|
|
|
1.20%
|
|
|
|
13
|
|
|
|
5.18%
|
|
|
0.25% to 0.499%
|
|
|
7
|
|
|
|
2.79%
|
|
|
|
45
|
|
|
|
17.93%
|
|
|
0.00% to 0.249%
|
|
|
109
|
|
|
|
43.43%
|
|
|
|
72
|
|
|
|
28.68%
|
|
|
-0.001% to -0.249%
|
|
|
111
|
|
|
|
44.21%
|
|
|
|
55
|
|
|
|
21.91%
|
|
|
-0.25% to -0.499%
|
|
|
10
|
|
|
|
3.98%
|
|
|
|
28
|
|
|
|
11.16%
|
|
|
-0.50% to -0.749%
|
|
|
4
|
|
|
|
1.59%
|
|
|
|
10
|
|
|
|
3.98%
|
|
|
-0.75% to -0.999%
|
|
|
1
|
|
|
|
0.40%
|
|
|
|
10
|
|
|
|
3.98%
|
|
|
-1.00% or more
|
|
|
2
|
|
|
|
0.80%
|
|
|
|
8
|
|
|
|
3.19%
|
|
|
|
|
|
251
|
|
|
|
100.00%
|
|
|
|
251
|
|
|
|
100.00%
|
|
ALPHA ARCHITECT ETF TRUST
FREQUENCY DISTRIBUTION OF PREMIUMS AND DISCOUNTS
(Unaudited)
|
|
|
Alpha Architect Value
|
|
|
|
|
Momentum Trend
|
|
|
|
|
ETF
|
|
|
|
|
Fiscal Year Ended
September 30, 2019
|
|
|
|
|
|
|
|
|
|
|
Premium/Discount Range
|
|
Number of
Trading Days
|
|
|
% of Total
Trade Days
|
|
|
|
|
|
|
|
|
|
|
1.00% or more
|
|
|
0
|
|
|
|
0.00%
|
|
|
0.75% to 0.999%
|
|
|
1
|
|
|
|
0.40%
|
|
|
0.50% to 0.749%
|
|
|
2
|
|
|
|
0.80%
|
|
|
0.25% to 0.499%
|
|
|
6
|
|
|
|
2.39%
|
|
|
0.00% to 0.249%
|
|
|
94
|
|
|
|
37.45%
|
|
|
-0.001% to -0.249%
|
|
|
132
|
|
|
|
52.58%
|
|
|
-0.25% to -0.499%
|
|
|
15
|
|
|
|
5.98%
|
|
|
-0.50% to -0.749%
|
|
|
1
|
|
|
|
0.40%
|
|
|
-0.75% to -0.999%
|
|
|
0
|
|
|
|
0.00%
|
|
|
-1.00% or more
|
|
|
0
|
|
|
|
0.00%
|
|
|
|
|
|
251
|
|
|
|
100.00%
|
|
ALPHA ARCHITECT ETF TRUST
FREQUENCY DISTRIBUTION OF PREMIUMS AND DISCOUNTS
(Unaudited)
|
|
|
Alpha Architect U.S.
|
|
|
Alpha Architect International
|
|
|
|
|
Quantitative Value
|
|
|
Quantitative Value
|
|
|
|
|
ETF
|
|
|
ETF
|
|
|
|
|
Period Ended
March 31, 2020
|
|
|
Period Ended
March 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Premium/Discount Range
|
|
Number of
Trading Days
|
|
|
% of Total
Trade Days
|
|
|
Number of
Trading Days
|
|
|
% of Total
Trade Days
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1.00% or more
|
|
|
0
|
|
|
|
0.00%
|
|
|
|
12
|
|
|
|
9.53%
|
|
|
0.75% to 0.999%
|
|
|
0
|
|
|
|
0.00%
|
|
|
|
6
|
|
|
|
4.76%
|
|
|
0.50% to 0.749%
|
|
|
1
|
|
|
|
0.79%
|
|
|
|
20
|
|
|
|
15.87%
|
|
|
0.25% to 0.499%
|
|
|
3
|
|
|
|
2.38%
|
|
|
|
25
|
|
|
|
19.84%
|
|
|
0.00% to 0.249%
|
|
|
78
|
|
|
|
61.91%
|
|
|
|
23
|
|
|
|
18.26%
|
|
|
-0.001% to -0.249%
|
|
|
41
|
|
|
|
32.54%
|
|
|
|
9
|
|
|
|
7.14%
|
|
|
-0.25% to -0.499%
|
|
|
1
|
|
|
|
0.79%
|
|
|
|
7
|
|
|
|
5.56%
|
|
|
-0.50% to -0.749%
|
|
|
2
|
|
|
|
1.59%
|
|
|
|
4
|
|
|
|
3.17%
|
|
|
-0.75% to -0.999%
|
|
|
0
|
|
|
|
0.00%
|
|
|
|
5
|
|
|
|
3.97%
|
|
|
-1.00% or more
|
|
|
0
|
|
|
|
0.00%
|
|
|
|
15
|
|
|
|
11.90%
|
|
|
|
|
|
126
|
|
|
|
100.00%
|
|
|
|
126
|
|
|
|
100.00%
|
|
|
|
|
Alpha Architect U.S.
|
|
|
Alpha Architect International
|
|
|
|
|
Quantitative Momentum
|
|
|
Quantitative Momentum
|
|
|
|
|
ETF
|
|
|
ETF
|
|
|
|
|
Period Ended
March 31, 2020
|
|
|
Period Ended
March 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Premium/Discount Range
|
|
Number of
Trading Days
|
|
|
% of Total
Trade Days
|
|
|
Number of
Trading Days
|
|
|
% of Total
Trade Days
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1.00% or more
|
|
|
0
|
|
|
|
0.00%
|
|
|
|
7
|
|
|
|
5.56%
|
|
|
0.75% to 0.999%
|
|
|
0
|
|
|
|
0.00%
|
|
|
|
5
|
|
|
|
3.97%
|
|
|
0.50% to 0.749%
|
|
|
1
|
|
|
|
0.79%
|
|
|
|
10
|
|
|
|
7.94%
|
|
|
0.25% to 0.499%
|
|
|
7
|
|
|
|
5.56%
|
|
|
|
32
|
|
|
|
25.39%
|
|
|
0.00% to 0.249%
|
|
|
69
|
|
|
|
54.77%
|
|
|
|
24
|
|
|
|
19.05%
|
|
|
-0.001% to -0.249%
|
|
|
43
|
|
|
|
34.13%
|
|
|
|
23
|
|
|
|
18.25%
|
|
|
-0.25% to -0.499%
|
|
|
4
|
|
|
|
3.17%
|
|
|
|
7
|
|
|
|
5.55%
|
|
|
-0.50% to -0.749%
|
|
|
1
|
|
|
|
0.79%
|
|
|
|
6
|
|
|
|
4.76%
|
|
|
-0.75% to -0.999%
|
|
|
1
|
|
|
|
0.79%
|
|
|
|
2
|
|
|
|
1.59%
|
|
|
-1.00% or more
|
|
|
0
|
|
|
|
0.00%
|
|
|
|
10
|
|
|
|
7.94%
|
|
|
|
|
|
126
|
|
|
|
100.00%
|
|
|
|
126
|
|
|
|
100.00%
|
|
ALPHA ARCHITECT ETF TRUST
FREQUENCY DISTRIBUTION OF PREMIUMS AND DISCOUNTS
(Unaudited)
|
|
|
Alpha Architect Value
|
|
|
|
|
Momentum Trend
|
|
|
|
|
ETF
|
|
|
|
|
Period Ended
March 31, 2020
|
|
|
|
|
|
|
|
|
|
|
Premium/Discount Range
|
|
Number of
Trading Days
|
|
|
% of Total
Trade Days
|
|
|
|
|
|
|
|
|
|
|
1.00% or more
|
|
|
0
|
|
|
|
0.00%
|
|
|
0.75% to 0.999%
|
|
|
1
|
|
|
|
0.79%
|
|
|
0.50% to 0.749%
|
|
|
1
|
|
|
|
0.79%
|
|
|
0.25% to 0.499%
|
|
|
0
|
|
|
|
0.00%
|
|
|
0.00% to 0.249%
|
|
|
14
|
|
|
|
11.11%
|
|
|
-0.001% to -0.249%
|
|
|
90
|
|
|
|
71.43%
|
|
|
-0.25% to -0.499%
|
|
|
11
|
|
|
|
8.73%
|
|
|
-0.50% to -0.749%
|
|
|
6
|
|
|
|
4.76%
|
|
|
-0.75% to -0.999%
|
|
|
2
|
|
|
|
1.59%
|
|
|
-1.00% or more
|
|
|
1
|
|
|
|
0.80%
|
|
|
|
|
|
126
|
|
|
|
100.00%
|
|
ALPHA
ARCHITECT ETF TRUST
Expense Example
March 31, 2020 (Unaudited)
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of
Fund shares, and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you
understand your ongoing costs (in dollars) of investing in each 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 the entire period (October 1, 2019 to March 31, 2020).
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 that you paid over the period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled
“Expenses Paid During the Period October 1, 2019 to March 31, 2020” to estimate the expenses you paid on your account
during this period.
Hypothetical Example for Comparison
Purposes
The second line of the table below
provides information about hypothetical account values and hypothetical expenses based on a 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’s and other funds. To do so,
compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other
funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any
transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line of
the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning
different funds. If these transactional cost were included, your costs would have been higher.
|
|
|
Annualized
|
|
Beginning
|
|
Ending
|
|
Expenses Paid
During Period
|
|
|
|
Expense
|
|
Account Value
|
|
Account Value
|
|
October 1, 2019 to
|
|
|
|
Ratio
|
|
October 1, 2019
|
|
March 31, 2020
|
|
March 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|
Alpha Architect U.S. Quantitative Value ETF1
|
|
|
|
|
|
|
|
|
|
Actual
|
|
0.49%
|
|
$1,000.00
|
|
$658.40
|
|
$2.03
|
|
Hypothetical (5% annual return before expenses)
|
|
0.49%
|
|
1,000.00
|
|
1,022.55
|
|
2.48
|
|
Alpha Architect International Quantitative Value ETF1
|
|
|
|
|
|
|
|
|
|
Actual
|
|
0.59%
|
|
$1,000.00
|
|
$792.10
|
|
$2.64
|
|
Hypothetical (5% annual return before expenses)
|
|
0.59%
|
|
1,000.00
|
|
1,022.05
|
|
2.98
|
|
Alpha Architect U.S. Quantitative Momentum ETF 1
|
|
|
|
|
|
|
|
|
|
Actual
|
|
0.49%
|
|
$1,000.00
|
|
$869.70
|
|
$2.29
|
|
Hypothetical (5% annual return before expenses)
|
|
0.49%
|
|
1,000.00
|
|
1,022.55
|
|
2.48
|
|
Alpha Architect International Quantitative Momentum ETF 1
|
|
|
|
|
|
|
|
|
|
Actual
|
|
0.59%
|
|
$1,000.00
|
|
$816.10
|
|
$2.68
|
|
Hypothetical (5% annual return before expenses)
|
|
0.59%
|
|
1,000.00
|
|
1,022.05
|
|
2.98
|
|
Alpha Architect Value Momentum Trend ETF1,2
|
|
|
|
|
|
|
|
|
|
Actual
|
|
0.41%
|
|
$1,000.00
|
|
$893.30
|
|
$1.94
|
|
Hypothetical (5% annual return before expenses)
|
|
0.41%
|
|
1,000.00
|
|
1,022.95
|
|
2.07
|
|
|
1.
|
The dollar amounts shown as expenses paid during the period
are equal to the annualized six-month expense ratio multiplied by the average account value during the period, multiplied by 183/366,
to reflect the one-half year period.
|
|
|
2.
|
The Advisor has waived fees incurred by the Fund that are
directly attributable to the Fund’s ownership of shares of the Alpha Architect ETFs, to prevent management fees from exceeding
0.79% of the Fund’s daily net assets.
|
ALPHA
ARCHITECT ETF TRUST
Federal
Tax Information (Unaudited)
QUALIFIED
DIVIDEND INCOME/DIVIDENDS RECEIVED DEDUCTION
For
the fiscal year ended September 30, 2019, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%, as
provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The percentage of dividends declared from ordinary
income designated as qualified dividend income was as follows:
|
Alpha Architect U.S. Quantitative Value ETF
|
|
|
100.00
|
%
|
|
Alpha Architect International Quantitative Value ETF
|
|
|
100.00
|
%
|
|
Alpha Architect U.S. Quantitative Momentum ETF
|
|
|
100.00
|
%
|
|
Alpha Architect International Quantitative Momentum ETF
|
|
|
100.00
|
%
|
|
Alpha Architect Value Momentum Trend ETF
|
|
|
99.96
|
%
|
For
corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received
deduction for the fiscal year ended September 30, 2019 was as follows:
|
Alpha Architect U.S. Quantitative Value ETF
|
|
|
100.00
|
%
|
|
Alpha Architect International Quantitative Value ETF
|
|
|
0.00
|
%
|
|
Alpha Architect U.S. Quantitative Momentum ETF
|
|
|
100.00
|
%
|
|
Alpha Architect International Quantitative Momentum ETF
|
|
|
0.00
|
%
|
|
Alpha Architect Value Momentum Trend ETF
|
|
|
32.33
|
%
|
SHORT
TERM CAPITAL GAIN
The
percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under the Internal
Revenue Section 871 (k)(2)(C) for each Fund was 0.00% (unaudited).
ALPHA
ARCHITECT ETF TRUST
Foreign
Tax Credit Pass Through
(Unaudited)
Pursuant
to Section 853 of the Internal Revenue code, the Funds designate the following amounts as foreign taxes paid for the year ended
September 30, 2019. Foreign taxes paid for financial statement purposes of Section 853 may be less than actual foreign taxes paid
for financial statement purposes.
|
|
|
Creditable Foreign Tax Credit Paid
|
|
|
Per Share Amount
|
|
|
Portion of Ordinary Income Distribution Derived From Foreign Sourced Income
|
|
Alpha Architect International Quantitative Value ETF
|
|
$
|
251,734
|
|
|
$
|
0.0839
|
|
|
100.00%
|
|
Alpha Architect International Quantitative Momentum ETF
|
|
|
96,942
|
|
|
|
0.0441
|
|
|
100.00%
|
Foreign
taxes paid or withheld should be included in taxable income with an offsetting deduction from gross income or as a credit for
taxes paid to foreign governments.
Above
figures may differ from those cited elsewhere in this report due to difference in the calculation of income and gains under GAAP
purposes and Internal Revenue Service purposes.
Shareholders
are strongly advised to consult their own tax advisers with respect to the tax consequences of their investments in the Funds.
ALPHA
ARCHITECT ETF TRUST
OFFICERS
AND AFFILIATED TRUSTEE
The
table below sets forth certain information about each of the Trust’s executive officers as well as its affiliated Trustee.
Name
and Year of
Birth
|
Position(s)
Held
with the Trust
|
Term
of Office
and Length of
Time Served
|
Principal
Occupation(s) During Past
Five Years
|
|
Wesley
R. Gray
1980
|
Chief
Executive Officer/Chief Investment Officer
|
Indefinite
term; Trustee since 2014; CEO / CIO since 2010
|
CEO
/ CIO, Alpha Architect (Since 2010)
Assistant
Professor of Finance, Drexel University (2010-2014)
|
|
John
R. Vogel
1983
|
Chief
Financial Officer/Chief Investment Officer
|
Indefinite
term; Principal Financial Officer since 2014, CFO / CIO since 2011
|
CFO
/ CIO, Alpha Architect (Since 2011)
|
|
Patrick
R. Cleary
1982
|
Chief
Operating Officer/Chief Compliance Officer
|
Indefinite
term; CCO / COO since 2015. COO since 2014.
|
CCO
/ COO, Alpha Architect (Since 2015)
|
INDEPENDENT
TRUSTEES
The
following table sets forth certain information about the Trust’s Independent Trustees.
Name,
Address,
and Year of Birth
|
Position(s)
Held with
Trust
|
Term
of
Office
and
Length
of Time
Served
|
Principal
Occupation During Past 5 Years
|
Number
of
Funds in
Fund
Complex
Overseen by Trustee
|
Other
Directorships
Held by
Trustee
During Past
5 Years
|
|
Independent
Trustees
|
|
Daniel
Dorn
Born:
1975
c/o
Alpha Architect Trust
213
Foxcroft Road, Broomall, PA 19008
|
Trustee
|
Since
2014
|
Associate
Professor of Finance, Drexel University, LeBow College of Business (2003 – present)
|
8
|
None
|
|
Chukwuemeka
(Emeka) O. Oguh
Born:
1983
c/o
Alpha Architect Trust
213
Foxcroft Road, Broomall, PA 19008
|
Trustee
|
Since
2018
|
Co-founder
and CEO, PeopleJoy (2016 – present); Co-founder and CEO, Apptempo (2013 – 2015); Head of Product, Dataminr (2011
– 2013); Fund of Funds analyst, Merrill Lynch (2005 – 2009)
|
8
|
None
|
|
Michael
S. Pagano, Ph.D., CFA
Born:
1962
c/o
Alpha Architect Trust
213
Foxcroft Road, Broomall, PA 19008
|
Trustee
|
Since
2014
|
The
Robert J. and Mary Ellen Darretta Endowed Chair in Finance, Villanova University (1999
- present); Associate Editor of The Financial Review (2009 - present) and Editorial
Board Member of the International Journal of Managerial Finance (2005 - present),
Atlantic Economic Journal (2014 – 2015) and Advances in Quantitative
Analysis of Finance and Accounting (2010 - present); Founder, Michael S. Pagano,
LLC (business consulting firm) (2008 - present); Member of FINRA’s Market Regulation
Committee (2009 - present); Member of Bloomberg’s Tradebook Advisory Council (2012
- 2014).
|
8
|
None
|
Additional
information about the Affiliated Trustee and Independent Trustees is available in the Statement of Additional Information (SAI).
ALPHA
ARCHITECT ETF TRUST
BOARD
REVIEW AND APPROVAL OF ADVISORY CONTRACTS (Unaudited)
The
Board (the members of which are referred to as “Trustees”) of the Alpha Architect ETF Trust (the “Trust”)
met in person on October 14, 2019 to consider the approval of both (a) the Advisory Agreement (the “AA Advisory Agreement”)
between the Trust, on behalf of Alpha Architect U.S. Quantitative Value ETF, Alpha Architect International Quantitative Value
ETF, Alpha Architect U.S. Quantitative Momentum ETF, and Alpha Architect International Quantitative Momentum ETF, and Empowered
Funds, LLC (the “Adviser”); and (b) Advisory Agreement (the “VMOT Advisory Agreement”) between
the Trust, on behalf of the on behalf of Alpha Architect Value Momentum Trend ETF series of the Trust, and the Adviser.
In
accordance with Section 15(c) of the 1940 Act, the Board requested, reviewed and considered materials furnished by the Adviser
relevant to the Board’s consideration of whether to approve each of the AA Advisory Agreement and the VMOT Advisory Agreement
(together, the “Advisory Agreements”). In connection with considering approval of the Advisory Agreements,
the Trustees who are not “interested persons” of the Trust, as that term is defined in the 1940 Act (the “Independent
Trustees”), met in executive session with counsel to the Trust, who provided assistance and advice.
In
reaching the decision to approve the Advisory Agreements, the Board considered and reviewed information provided by the Adviser,
including among other things information about its personnel, operations, financial condition, and compliance and risk management.
The Board also reviewed copies of the proposed Advisory Agreements.
During
their review and consideration, the Board focused on and reviewed the factors they deemed relevant, including:
|
|
1)
|
Nature,
Quality and Extent of Services. The Board was presented and considered information
concerning the nature, quality and extent of the overall services expected to be provided
by the Adviser to the Funds. In this connection, the Board considered the responsibilities
of the Adviser, recognizing that the Adviser had invested significant time and effort
in structuring the Trust and the Funds, obtaining the necessary exemptive relief from
the Securities and Exchange Commission (“SEC”) and arranging service providers
for the Funds. In addition, the Board considered that the Adviser is responsible for
providing investment advisory services to each Fund, monitoring compliance with each
Fund's objectives, policies and restrictions, and carrying out directives of the Board.
The Board also considered the services expected to be provided by the Adviser in the
oversight of the Trust's administrator, transfer agent and custodian. In addition, the
Board evaluated the integrity of the Adviser’s personnel, the experience of the
portfolio management team in managing assets and the adequacy of the Adviser’s
resources.
|
|
|
2)
|
Performance.
The Board considered the relative performance information for each of the Funds. The
Board utilized performance reports provided to the Board in anticipation of the meeting,
as well as performance reports provided at regular Board meetings for the Funds.
|
Alpha
Architect U.S. Quantitative Value ETF: The Board considered the third-party peer group analysis that included comparison against
both other exchanged-traded funds and mutual funds. The Board also considered that the third-party analyses classified the Fund
classified as an actively-managed ETF focused on value stocks in the US stock market. The Board noted that the Fund tracks a proprietary
index called the Alpha Architect Quantitative Value Index. In addition, the Fund is benchmarked against the S&P 500 Value
Index as shown in the Trust’s prospectus. The Board examined the Fund’s net expense ratio versus its peers, its fee
levels on an active share basis, the Fund’s active share level, and its performance over the prior twelve months. In addition,
the Board considered other Fund performance information provided in the Materials. Among other things, it was noted the Fund’s
performance trailed its benchmark on a one-year and since inception basis, but slightly outperformed on a three-year basis. However,
given the Fund’s high active share level and the rules-based nature of the management of the Fund, the Board was satisfied
with the Fund’s performance.
Alpha
Architect International Quantitative Value ETF: The Board considered the third-party peer group analysis that included comparison
against both other exchanged-traded funds and mutual funds. The Board also considered that the third-party analyses classified
as an actively-managed ETF focused on value stocks in the stock markets outside of the United States. The Board noted that the
Fund tracks a proprietary index called the Alpha Architect International Quantitative Value Index. In addition, the Fund is benchmarked
against the MSCI EAFE Value Index as shown in the Trust’s prospectus. The Board examined the Fund’s net expense ratio
versus its peers, its fee levels on an active share basis, the Fund’s active share level, and its performance over the prior
twelve months. In addition, the Board considered other Fund performance information provided in the Materials. Among other things,
it was noted the Fund’s performance trailed its benchmark on a one-year, but outperformed on a three-year and since-inception
basis. Given the foregoing, and the Fund’s high active share level and the rules-based nature of the management of the Fund,
the Board was pleased with the Fund’s performance.
Alpha
Architect U.S. Quantitative Momentum ETF: The Board considered the third-party peer group analysis that included comparison
against both other exchanged-traded funds and mutual funds. The Board also considered that the third-party analyses classified
the Fund as an actively-managed ETF focused on momentum stocks in the US stock market. The Board noted that the passively-managed
Fund tracks a proprietary index called the Alpha Architect Quantitative Momentum Index. In addition, the Fund is benchmarked against
the S&P 500 Growth Index as shown in the Trust’s prospectus. The Board examined the Fund’s net expense ratio versus
its peers, its fee levels on an active share basis, the Fund’s active share level, and its performance over the prior twelve
months. In addition, the Board considered other Fund performance information provided in the Materials. Among other things, it
was noted the Fund’s performance trailed its benchmark on a one-year, three-year and since-inception basis. However, given
the Fund’s high active share level and the rules-based nature of the management of the Fund, the Board was satisfied with
the Fund’s performance.
Alpha
Architect International Quantitative Momentum ETF: The Board considered the third-party peer group analysis that included
comparison against both other exchanged-traded funds and mutual funds. The Board also considered that the third-party analyses
classified the Fund classified as an actively-managed ETF focused on momentum stocks in the stock markets outside of the United
States. The Board noted that the passively-managed Fund tracks a proprietary index called the Alpha Architect International Quantitative
Momentum Index. In addition, the Fund is benchmarked against the MSCI EAFE Growth Index as shown in the Trust’s prospectus.
The Board examined the Fund’s net expense ratio versus its peers, its fee levels on an active share basis, the Fund’s
active share level, and its performance over the prior twelve months. In addition, the Board considered other Fund performance
information provided in the Materials. Among other things, it was noted the Fund’s performance trailed its benchmark on
a one-year, three-year and since-inception basis. However, given the Fund’s high active share level and the rules-based
nature of the management of the Fund, the Board was satisfied with the Fund’s performance.
Alpha
Architect Value Momentum Trend ETF: The Board considered the third-party peer group analysis that included comparison against
both other exchanged-traded funds and mutual funds. The Board also considered that the third-party analyses classified the Fund
classified as an actively-managed fund-of-funds ETF. The Board noted that the passively-managed Fund tracks a proprietary index
called the Alpha Architect Value Momentum Trend Index. In addition, the Fund is benchmarked against the MSCI World Index as shown
in the Trust’s prospectus. The Board examined the Fund’s net expense ratio versus its peers, its fee levels on an
active share basis, the Fund’s active share level and its performance over the prior twelve months. In addition, the Board
considered other Fund performance information provided in the Materials. Among other things, it was noted the Fund’s performance
trailed its benchmark on a one-year and since inception basis, but outperformed on a three-year basis. However, given the Fund’s
high active share level and the passive-index nature of the Fund, the Board was satisfied with the Fund’s performance.
|
|
3)
|
Comparative
Fees and Expenses. In considering the advisory fees, the Board reviewed and considered
the fees in light of the nature, quality and extent of the services expected to be provided
by the Adviser. With respect to the advisory fee and expense ratio for each Fund, the
Board also considered the fees and expense ratios versus the fees and expenses charged
to other exchange-traded funds and mutual funds on both a standard and active share basis.
The Board noted that there were few passively-managed and actively-managed ETFs and mutual
funds using the strategies comparable to Adviser’s strategies, and it was therefore
difficult to compare a Fund’s management fee and estimated expenses with the fees
and expenses of comparable passively-managed and actively-managed ETFs and mutual funds.
|
Nonetheless,
the Board considered, among other information, the data provided in the third-party report.
Alpha
Architect U.S. Quantitative Value ETF: The Board considered the third-party peer group analysis that included comparison of
the Fund’s net expense ratio and active fees against both other exchanged-traded funds and mutual funds, which were in the
third and second quartile, respectively, versus ETFs on a standard and active share basis. Additionally, the Fund’s fees
were in the first quartile versus mutual funds on both a standard and active share basis. The Board also considered the recent
decrease in the Fund’s advisory fee level. The Board was satisfied with the Fund’s current fee level.
Alpha
Architect International Quantitative Value ETF: The Board considered the third-party peer group analysis that included comparison
of the Fund’s net expense ratio and active fees against both other exchanged-traded funds and mutual funds, which were in
the fourth quartile versus ETFs and the first quartile versus mutual funds on both a standard and active share basis. The Board
was satisfied with the Fund’s current fee level.
Alpha
Architect U.S. Quantitative Momentum ETF: The Board considered the third-party peer group analysis that included comparison
of the Fund’s net expense ratio and active fees against both other exchanged-traded funds and mutual funds, which were in
the third quartile versus ETFs and the second quartile versus mutual funds on both a standard and active share basis. The Board
also considered the recent decrease in the Fund’s advisory fee level. The Board was satisfied with the Fund’s current
fee level.
Alpha
Architect International Quantitative Momentum ETF: The Board considered the third-party peer group analysis that included
comparison of the Fund’s net expense ratio and active fees against both other exchanged-traded funds and mutual funds, which
were in the third quartile versus ETFs and the second quartile versus mutual funds on both a standard and active share basis.
The Board was satisfied with the Fund’s current fee level.
Alpha
Architect Value Momentum Trend ETF: The Board considered the third-party peer group analysis that included comparison of the
Fund’s net expense ratio excluding hedging expenses against both other fund-of-fund exchanged-traded funds and mutual funds,
which were in the third quartile versus ETFs and the second quartile versus mutual funds. Additionally, The Board considered the
third-party peer group analysis that included comparison of the Fund’s net expense ratio including hedging expenses against
both long-short exchanged-traded funds and mutual funds, which were in the fourth quartile versus ETFs and the second quartile
versus mutual funds. The Board considered the Adviser’s explanation that other long-short funds’ expense ratios do
not reflect hedging due to their use of futures, versus the Fund’s shorting expenses which are included in the Fund’s
total expense ratio. The Board was satisfied with the Fund’s current fee level.
|
|
4)
|
Costs
and Profitability. The Board further considered information regarding the profits
realized by the Adviser in connection with providing services to the Funds. The Board
reviewed estimated profit and loss information provided by the Adviser with respect to
the Funds, and the costs associated with the personnel, systems and equipment necessary
to manage each Fund and to meet the regulatory and compliance requirements adopted by
the SEC and other regulatory bodies as well as other expenses the Adviser would pay in
accordance with the Advisory Agreements. The Board also took into consideration that
the Adviser agreed to pay all expenses incurred by the Funds except for the fees paid
to the Adviser pursuant to the Agreement, payments under any distribution plan adopted
pursuant to Rule 12b-1, brokerage expenses, acquired fund fees and expenses, taxes, interest
(including borrowing costs), litigation expenses and other non-routine or extraordinary
expenses.
|
|
|
5)
|
Other
Benefits. The Board further considered the extent to which the Adviser might derive
ancillary benefits from Fund operations. For example, the Adviser may engage in soft
dollar transactions in the future, although it did not currently plan to do so. The Board
concluded that the Adviser would not receive any material fall-out benefits from its
advisory services to the Funds.
|
|
|
6)
|
Economies
of Scale. The Board also considered whether economies of scale would be realized
by each Fund as its assets grow larger, including the extent to which this is reflected
in the level of fees to be charged. The Board noted that the advisory fees for QVAL and
QMOM were reduced in the past year. The Board also noted that the proposed advisory fees
for each Fund do not include breakpoints, but concluded that it was still premature to
meaningfully evaluate potential economies of scale.
|
Conclusion. No
single factor was determinative of the Board’s decision to approve the Advisory Agreements; rather, the Board based its
determination on the total mix of information available to it. Based on a consideration of all the factors in their totality,
the Board, including a majority of the Independent Trustees, approved the Advisory Agreements, including the compensation payable
under the Agreements.
ALPHA
ARCHITECT ETF TRUST
INFORMATION
ABOUT PORTFOLIO HOLDINGS
(Unaudited)
The Funds file their complete schedules
of portfolio holdings for their first and third fiscal quarters with the Securities and Exchange Commission
(“SEC”) on Part F of Form N-PORT. The Funds’ Form N-PORT is available without charge, upon request, by
calling (215) 882-9983. Furthermore, you may obtain the Form N-PORT on the SEC’s website at www.sec.gov. The
Funds’ portfolio holdings are posted on their website at http://www.alphaarchitect.com/funds daily.
INFORMATION ABOUT PROXY VOTING
(Unaudited)
A description of the policies
and procedures the Funds use to determine how to vote proxies relating to portfolio securities is provided in the Statement of
Additional Information (“SAI”). The SAI is available without charge upon request by calling (215) 882-9983, by accessing
the SEC’s website at www.sec.gov, or by accessing the Funds’ website at http://www.alphaarchitect.com/funds.
When available, information
regarding how the Funds voted proxies relating to portfolio securities during the twelve months ending June 30 will be
(1) available by calling (215) 882-9983 and (2) the SEC’s website at www.sec.gov.
PRIVACY
POLICY
(Unaudited)
ALPHA
ARCHITECT ETF TRUST (the “Trust”) is strongly committed to preserving and safeguarding the personal financial information
of any customers of the Trust. Confidentiality is extremely important to us.
Regulation
S-P requires, among others, each investment company to "adopt written policies and procedures that address administrative,
technical, and physical safeguards for the protection of customer records and information.”
However,
Pursuant to Regulation S-P’s definition of “customer,” the Trust currently does not have, nor does it anticipate
having in the future, any customers. In addition, the Trust does not collect any non-public personal information from any consumers.
Nonetheless,
the Trust has instituted certain technical, administrative and physical safeguards through which Trust would seek to protect personal
financial information about any customers from unauthorized use and access. First, technical procedures are used in order to limit
the accessibility and exposure of Trust-maintained information contained in electronic form. If customer information were obtained
by the Trust, such technical procedures would cover such information.
Second,
administrative procedures that are in place, would be used to control the number and type of employees, affiliated and nonaffiliated
persons, to whom customer information (if the Trust were to obtain any) would be accessible.
Third,
physical safeguards have been established, which if customer information were obtained by the Trust, to prevent access to such
information contained in hard-copy form.
As
these procedures illustrate, the Trust realizes the importance of information confidentiality and security and emphasizes practices
which are aimed at achieving those goals.
Adviser
Empowered
Funds, LLC
213
Foxcroft Road
Broomall,
PA 19008
Distributor
Quasar
Distributors, LLC
111
East Kilbourn Ave, Suite 1250
Milwaukee,
Wisconsin 53202
Custodian
U.S.
Bank National Association
Custody
Operations
1555
North River Center Drive, Suite 302
Milwaukee,
Wisconsin 53212
Transfer
Agent
U.S.
Bancorp Fund Services, LLC
doing business as U.S. Bank Global Fund Services, LLC
615
East Michigan Street
Milwaukee,
Wisconsin 53202
Independent
Registered Public Accounting Firm
Spicer
Jeffries LLP
4601
DTC Boulevard, Suite 700
Denver,
CO 80237
Legal
Counsel
Pellegrino,
LLC
303
West Lancaster Avenue, Suite 302
Wayne,
PA 19087
Alpha
Architect U.S. Quantitative Value ETF
Symbol
– QVAL
CUSIP
– 02072L102
Alpha
Architect International Quantitative Value ETF
Symbol
– IVAL
CUSIP
– 02072L201
Alpha
Architect U.S. Quantitative Momentum ETF
Symbol
– QMOM
CUSIP
– 02072L409
Alpha
Architect International Quantitative Momentum ETF
Symbol
– IMOM
CUSIP
– 02072L300
Alpha
Architect Value Momentum Trend ETF
Symbol
– VMOT
CUSIP
– 02072L508
