UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY
Investment Company Act file number (811-23377)
Tidal ETF Trust
(Exact name of registrant as specified in charter)
898 N. Broadway, Suite 2
Massapequa, New York 11758
(Address of principal executive offices) (Zip code)
Eric W. Falkeis
Tidal ETF Trust
898 N. Broadway, Suite 2
Massapequa, New York 11758
(Name and address of agent for service)
(844) 986-7676
Registrant’s telephone number, including area code
Date of fiscal year end: November 30
Date of reporting period: February 29, 2020
Item 1. Schedule of Investments.
RPAR Risk Parity ETF
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SCHEDULE OF INVESTMENTS at February 29, 2020 (Unaudited)
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Shares
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Value
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Common Stocks - 10.0%
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Biotechnology - 0.3%
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Corteva, Inc.
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21,002
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$
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571,254
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Building Materials - 0.3%
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Geberit AG
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1,131
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559,687
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Chemicals - 1.2%
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CF Industries Holdings, Inc.
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5,557
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204,831
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Ecolab, Inc.
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2,513
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453,471
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FMC Corp.
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3,612
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336,277
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The Mosaic Co.
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9,806
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166,996
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Nutrien Ltd.
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14,618
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590,775
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OCI NV (1)
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5,278
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87,863
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PhosAgro PJSC
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9,802
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107,920
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Sociedad Quimica y Minera de Chile SA
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6,884
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188,484
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Yara International ASA
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6,409
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230,735
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2,367,352
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Distribution & Wholesale - 0.1%
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Ferguson PLC
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1,885
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162,280
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Electrical Components & Equipment - 0.1%
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Xinjiang Goldwind Science & Technology Co. Ltd. - Class H
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179,829
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178,605
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Energy - Alternate Sources - 0.7%
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Enphase Energy, Inc. (1)
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3,174
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155,431
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First Solar, Inc. (1)
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2,901
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132,779
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Siemens Gamesa Renewable Energy SA
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16,965
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270,677
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SolarEdge Technologies, Inc. (1)
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1,190
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148,417
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Vestas Wind Systems A/S
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4,901
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467,829
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Xinyi Solar Holdings Ltd.
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243,165
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192,521
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1,367,654
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Food - 0.3%
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P/F Bakkafrost
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1,131
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70,629
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Grieg Seafood ASA
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6,032
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76,230
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Leroy Seafood Group ASA (1)
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15,080
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91,418
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Mowi ASA
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12,064
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252,124
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Salmar ASA
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2,639
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117,186
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607,587
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Housewares - 0.2%
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The Scotts Miracle-Gro Co.
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1,537
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162,906
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The Toro Co.
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2,941
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210,076
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372,982
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Iron & Steel - 0.7%
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Fortescue Metals Group Ltd.
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56,927
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369,973
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Vale SA
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105,780
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1,038,759
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1,408,732
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Machinery - Diversified - 1.2%
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AGCO Corp.
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2,018
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121,948
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CNH Industrial NV - Class A
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33,604
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312,517
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Deere & Co.
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8,018
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1,254,657
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IDEX Corp.
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674
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99,752
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Kubota Corp.
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29,429
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415,523
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Xylem, Inc.
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1,569
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121,346
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2,325,743
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Mining - 4.1%
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Anglo American PLC
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22,997
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526,326
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Antofagasta PLC
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19,981
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191,924
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BHP Group Ltd.
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45,691
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1,978,877
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Boliden AB
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6,032
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123,439
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China Molybdenum Co. Ltd. - Class H
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586,235
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218,906
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First Quantum Minerals Ltd.
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14,089
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104,118
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Freeport-McMoRan, Inc.
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29,457
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293,392
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Ganfeng Lithium Co. Ltd. - H Shares
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198,679
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771,205
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Jiangxi Copper Co. Ltd. - H Shares
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112,723
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132,206
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MMC Norilsk Nickel PJSC
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29,406
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883,944
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Rio Tinto PLC
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32,280
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1,514,900
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South32 Ltd.
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102,167
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146,236
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Southern Copper Corp.
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14,617
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491,862
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Sumitomo Metal Mining Co. Ltd.
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7,600
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189,216
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Teck Resources Ltd. - Class B (1)
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11,692
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117,586
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Vedanta Ltd.
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18,238
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119,824
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7,803,961
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Oil & Gas - 0.6%
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Gazprom PJSC
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15,834
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95,479
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LUKOIL PJSC
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3,016
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256,722
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Novatek PJSC
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1,131
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162,072
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OMV AG (1)
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1,508
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62,697
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Repsol SA
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7,540
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83,900
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Rosneft Oil Co. PJSC
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49,764
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301,072
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Surgutneftegas PJSC
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17,342
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98,850
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Tatneft PJSC
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1,508
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89,847
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Woodside Petroleum Ltd.
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4,147
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74,652
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1,225,291
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Water - 0.2%
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American Water Works Co., Inc.
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1,525
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188,581
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Guangdong Investment Ltd.
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64,844
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121,816
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Veolia Environnement SA
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5,278
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150,333
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460,730
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Total Common Stocks
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(Cost $21,995,028)
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19,411,858
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Exchange Traded Funds - 39.5%
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Fidelity MSCI Energy Index ETF
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828,206
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9,996,446
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Graniteshares Gold Trust (1)
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1,200,771
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18,876,120
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iShares Core S&P Total U.S. Stock Market ETF
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357,163
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23,840,630
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SPDR Portfolio Developed World ex-US ETF
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336,424
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9,456,879
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SPDR Portfolio Emerging Markets ETF
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415,135
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14,172,709
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Total Exchange Traded Funds
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(Cost $75,867,846)
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76,342,784
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Principal Amount
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United States Treasury Obligations - 52.5%
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United States Treasury Bills - 15.8%
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1.433%, 6/18/20 (2)(3)
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$
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30,610,000
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30,496,360
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United States Treasury Inflation Indexed Bonds - 36.7%
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2.125%, 2/15/40
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4,016,206
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5,719,781
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2.125%, 2/15/41
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7,240,187
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10,425,843
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0.750%, 2/15/42
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6,476,639
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7,448,365
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0.625%, 2/15/43
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6,641,433
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7,462,722
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1.375%, 2/15/44
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6,324,571
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8,269,457
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0.750%, 2/15/45
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6,467,957
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7,513,873
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1.000%, 2/15/46
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5,453,017
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6,717,049
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0.875%, 2/15/47
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5,134,325
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6,202,422
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1.000%, 2/15/48
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4,877,976
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6,098,080
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1.000%, 2/15/49
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4,009,310
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5,053,604
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70,911,196
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Total United States Treasury Obligations
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(Cost $97,191,136)
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101,407,556
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Shares
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Short-Term Investments - 0.1%
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Money Market Funds - 0.1%
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First American Treasury Obligations Fund, Class X, 1.492% (4)
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101,176
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101,176
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Total Short-Term Investments
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(Cost $101,176)
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101,176
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Total Investments in Securities - 102.1%
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(Cost $195,155,186)
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197,263,374
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Liabilities in Excess of Other Assets - ( 2.1)%
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(4,134,705)
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Total Net Assets - 100.0%
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$
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193,128,669
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(1)
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Non-income producing security.
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(2)
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Rate represents the annualized effective yield to maturity from the purchase price.
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(3)
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Zero coupon security.
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(4)
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The rate quoted is the annualized seven-day effective yield as of February 29, 2020.
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Schedule of Futures Contracts at February 29, 2020 (Unaudited)
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The RPAR Risk Parity ETF (the “Fund”) had the following futures contracts outstanding with PhillipCapital.
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Unrealized
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Number of
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Notional
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Appreciation
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Long Futures Contracts Outstanding
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Contracts
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Amount
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(Depreciation)
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10-Year U.S. Treasury Note Futures (06/2020)
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257
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$
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26,815,250
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$
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341,827
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Ultra Long-Term U.S. Treasury Bond Futures (06/2020)
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155
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32,162,500
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769,461
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$
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58,977,750
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$
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1,111,288
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There is no variation margin due to or from the Fund as of February 29, 2020.
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Summary of Fair Value Exposure at February 29, 2020 (Unaudited)
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The Fund utilizes various methods to measure the fair value of its investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are:
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• Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has 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 spreads, 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 Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or
liability, and would be based on the best information available.
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The following is a summary of the inputs used to value the Fund’s investments and other financial instruments as of February 29, 2020:
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Description
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Level 1
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Level 2
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Level 3
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Total
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Common Stocks (1)
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$
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19,411,858
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$
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–
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$
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–
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$
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19,411,858
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Exchange Traded Funds
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76,342,784
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-
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-
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76,342,784
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United States Treasury Obligations (2)
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-
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101,407,556
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-
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101,407,556
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Short-Term Investments
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101,176
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-
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-
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101,176
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Total Investments in Securities
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$
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95,855,818
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$
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101,407,556
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$
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–
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$
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197,263,374
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Other Financial Instruments (3)
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Long Treasury Futures
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$
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1,111,288
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$
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–
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$
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–
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$
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1,111,288
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(1) See Schedule of Investments for industry breakout.
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(2) See Schedule of Investments for security type breakout.
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(3) Other Financial Instruments are derivative instruments not
reflected in the Schedule of Investments, such as futures contracts, which are presented at the unrealized
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appreciation/(depreciation) on the investment.
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Item 2. Controls and Procedures.
(a)
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The Registrant’s President/Principal Executive Officer and Treasurer/Principal Financial Officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under
the Investment Company Act of 1940 (the “1940 Act”)) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the
evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d‑15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or
240.15d-15(d)).
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(b)
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There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) (17 CFR 270.30a-3(d)) that occurred during the Registrant’s last
fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
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Item 3. Exhibits.
Separate certifications for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)).
Filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned,
thereunto duly authorized.
(Registrant) Tidal ETF Trust
By (Signature and Title) /s/ Eric W. Falkeis
Eric W. Falkeis, President/Principal Executive Officer
Date 04/23/2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant
and in the capacities and on the dates indicated.
By (Signature and Title)* /s/ Eric W. Falkeis
Eric W. Falkeis, President/Principal Executive Officer
Date 04/23/2020
By (Signature and Title)* /s/ Daniel H. Carlson
Daniel H. Carlson, Treasurer/Principal Financial Officer
Date 04/23/2020
* Print the name and title of each signing officer under his or her signature.