# EDGAR Filing Document

**Accession Number:** 0001540305
**File Stem:** 0001398344-23-005923
**Filing Date:** 2023-3
**Character Count:** 142043
**Document Hash:** 146b9ed305df2bc6b389adfc002ceea7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001398344-23-005923.hdr.sgml**: 20230309

**ACCESSION NUMBER**: 0001398344-23-005923

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 13

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230309

**DATE AS OF CHANGE**: 20230309

**EFFECTIVENESS DATE**: 20230309

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** ETF Series Solutions
- **CENTRAL INDEX KEY:** 0001540305
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1112

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22668
- **FILM NUMBER:** 23719556

**BUSINESS ADDRESS:**
- **STREET 1:** 615 EAST MICHIGAN ST
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53202
- **BUSINESS PHONE:** 414-287-3700

**MAIL ADDRESS:**
- **STREET 1:** 615 EAST MICHIGAN ST
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53202

## Series and Classes Contracts Data

### LHA Market State Alpha Seeker ETF (Series ID: S000067502)

| Class ID   | Class Name                        | Ticker Symbol   |
|:---|:---|:---|
| C000217044 | LHA Market State Alpha Seeker ETF | MSVX            |

### LHA Market State Tactical Beta ETF (Series ID: S000069542)

| Class ID   | Class Name                         | Ticker Symbol   |
|:---|:---|:---|
| C000221894 | LHA Market State Tactical Beta ETF | MSTB            |

### LHA Market State Tactical Q ETF (Series ID: S000075031)

| Class ID   | Class Name                      | Ticker Symbol   |
|:---|:---|:---|
| C000233733 | LHA Market State Tactical Q ETF | MSTQ            |

As filed with the U.S. Securities and Exchange Commission on March 9, 2023

UNITED STATES<br> SECURITIES AND EXCHANGE COMMISSION<br> Washington, D.C. 20549

**FORM N-CSR**

**CERTIFIED SHAREHOLDER REPORT OF REGISTERED <br> MANAGEMENT INVESTMENT COMPANIES**

Investment Company Act file number **<u>811-22668</u>**

**<u>ETF Series Solutions</u>**<br> (Exact name of registrant as specified in charter)

**615 East Michigan Street**

**<u>Milwaukee, WI 53202</u>**<br> (Address of principal executive offices) (Zip code)

**Kristina R. Nelson**

**ETF Series Solutions**

**615 East Michigan Street**

**Milwaukee, WI 53202**

(Name and address of agent for service)

**(414) 516-1645**

Registrant's telephone number, including area code

Date of fiscal year end: **<u>December 31</u>**

Date of reporting period: **<u>December 31, 2022</u>**

**<u>Item 1. Reports to Stockholders.</u>**

(a) ![](fp0081711-3_i.jpg)

**Annual Report** 

**December 31, 2022** 

**LHA Market State <sup>TM</sup>** **Alpha Seeker ETF** 

**Ticker: MSVX** 

**LHA Market State <sup>TM</sup>** **Tactical Beta ETF** 

**Ticker: MSTB** 

**LHA Market State <sup>TM</sup>** **Tactical Q ETF** 

**Ticker: MSTQ** 

**LHA Market State<sup>TM</sup>** **Shares** 

**TABLE OF CONTENTS** 

---

| | |
|:---|:---|
|  | **Page** |
| Letter to Shareholders  | 1 |
| Performance Summary  | 4 |
| Portfolio Allocation  | 7 |
| Schedules of Investments  | 8 |
| Statements of Assets & Liabilities  | 15 |
| Statements of Operations  | 16 |
| Statements of Changes in Net Assets  | 17 |
| Financial Highlights  | 20 |
| Notes to Financial Statements  | 23 |
| Report of Independent Registered Public Accounting Firm  | 40 |
| Trustees and Officers  | 42 |
| Expense Example  | 45 |
| Review of Liquidity Risk Management Program  | 47 |
| Federal Tax Information  | 48 |
| Information About Portfolio Holdings  | 49 |
| Frequency Distribution of Premiums and Discounts  | 49 |

---

![](fp0081711-3_1.jpg)

Dear Shareholder,

This Annual Report reflects the Funds' performance for the period of January 1, 2022 through December 31, 2022 (the "current fiscal period") for the LHA Market State<sup>TM</sup> Alpha Seeker ETF ("MSVX") and the LHA Market State<sup>TM</sup> Tactical Beta ETF ("MSTB") and the period from March 14, 2022 to December 31, 2022 (the "current fiscal period") for LHA Market State<sup>TM</sup> Tactical Q ETF ("MSTQ").

US and Global Equity markets reversed course after a very strong 2021, as the S&P 500<sup>®</sup> Index posted an -18.11% loss for the year. In contrast to this time a year ago, Global economies are seesawing under the emergence of new COVID strains, continued supply chain disruptions, increased inflation, chaos in Washington, and ongoing conflicts with Russia and China. As we enter this new economic regime, characterized by reduced monetary stimulus and rising interest rates, investors continue to try to adapt to this "new normal". While it is impossible to discern which of these factors will prove impactful in 2023 and how disruptive any or all may be, there are clearly potential sources of concern.

The signs of a possibly of continued volatility in the markets are myriad. The timing of fear routing greed is especially difficult. As in most years, the coming 12 months may also hold at least a few surprises. With luck, they will be predominantly positive. However, it's not certain that anyone saw COVID coming. Fortunately, our process is about responding to markets as they are, not as we think they should or may be.

**MSVX** 

MSVX may be described as an absolute return strategy that seeks to provide positive returns across multiple market cycles for purposes of portfolio diversification. From January 1, 2022 through December 31, 2022 in a challenging year for both equity and fixed income strategies, MSVX's Net Asset Value ("NAV") decreased -0.70%. MSVX's market value fell -0.61% during the same current fiscal period. The S&P 500<sup>®</sup> Index declined -18.11% during the current fiscal period.

In a variety of different VIX and equity market environments, MSVX is intended to offer valuable diversifying exposure characteristics that can act like a hedge during crisis periods, but also seek to provide return in calm markets when dedicated hedges often suffer substantial losses. This profile has the potential to add distinct optionality that can improve the risk/reward tradeoff of a traditional diversified portfolio.

**MSTB** 

In a year with numerous fluctuations in the S&P 500<sup>®</sup> Index and the VIX<sup>®</sup> index averaging close to 26 for the year, MSTB had a net return of -22.09% on a NAV basis during the current fiscal period. MSTB's market value returned -22.68% during the same current fiscal period. The S&P 500<sup>®</sup> Index declined -18.11% during the current fiscal period.

Little Harbor Advisors, LLC \| 30 Doaks Lane ● Marblehead, MA 01945 \| www.LittleHarborAdvisors.com

![](fp0081711-3_2.jpg)

Periods with periodic volatility spikes in a generally middling VIX<sup>®</sup> environment can be somewhat problematic for the technology underlying MSTB. Minor corrections can induce minor hedges which are subsequently unwound, negatively impacting returns. More extreme price movements are when the strategy has added its most value in the past and is expected to in the future.

**MSTQ** 

During the current fiscal period the NASDAQ-100 Index declined -15.56% while MSTQ lost -20.17% on a NAV basis and its market value fell -20.43%. Given the signal overlap between MSTB and MSTQ (net and gross exposures should be roughly the same) the shortfall can be attributed to the same market conditions that affected MSTB.

**Impact of derivatives (MSTB, MSVX, MSTQ)** 

Consistent with the funds' mandates, derivatives are used to obtain the desired exposures for the individual funds. They may be used for either speculative or hedging purposes and present a cash efficient and tax efficient method to obtain those exposures. The performance of any derivatives exposures has been consistent with historical experience and current guidelines.

We thank you once again for your support and confidence and are optimistic that MSVX, MSTB, and MSTQ will fulfill expectations in 2023.

Sincerely,

![](fp0081711-3_2a.jpg)

Jeff Landle, CFA<br> Chief Investment Officer

**Must be proceeded or accompanied by a current prospectus.** 

**Past performance does not guarantee future results.** 

*This information is provided for informational purposes only. This is not an offer to sell or a solicitation of an offer to buy an interest in any investment fund or for the provision of any investment management or advisory services. **Investing involves risk. Principal loss is possible.*** 

Shares of any ETF are bought and sold at market price (not NAV), may trade at a discount or premium to NAV, and are not individually redeemed from the particular fund. Brokerage commissions will reduce returns. MSVX, MSTB, and MSTQ (each referred to as a "Fund") will use future contracts. The potential loss of principal in

Little Harbor Advisors, LLC \| 30 Doaks Lane ● Marblehead, MA 01945 \| www.LittleHarborAdvisors.com

![](fp0081711-3_3.jpg)

regard to futures contracts can be in amounts greater than the initial amount invested in the futures contract. The Fund will invest in other ETFs which involves additional risks such as limited liquidity and greater volatility.

Fund holdings and sector allocations are subject to change at any time and should not be considered recommendations to buy or sell any security. Please see the Schedule of Investments in this report for a complete list of fund holdings.

The Funds may use leverage which may cause the effect of an increase or decrease in the value of the portfolio securities to be magnified and the Fund to be more volatile than if leverage was not used. Derivatives involve special risks including correlation, counterparty, liquidity, operational, accounting and tax risks. These risks, in certain cases, may be greater than the risks presented by more traditional investments.

The Cboe Volatility Index<sup>®</sup> (VIX<sup>®</sup>) is a leading measure of market expectations of near-term volatility conveyed by S&P 500<sup>®</sup> Index (SPX) option prices. It is not possible to invest directly in an index.

The S&P 500<sup>®</sup> Index is an unmanaged index containing common stocks of 500 industrial, transportation, utility, and financial companies, regarded as generally representative of the U.S. stock market. The index return reflects the reinvestment of income dividends and capital gain distributions, if any, but does not reflect fees, brokerage commissions, or other expenses of investing. It is not possible to invest directly in an index.

The NASDAQ-100 Index comprises the 100 largest non-financial companies traded on the Nasdaq. It is not possible to invest directly in an index.

Opinions expressed are subject to change at any time, are not guaranteed, and should not be considered investment advice. Diversification does not assure a profit, nor does it protect against a loss in a declining market.

MSVX, MSTB, and MSTQ are distributed by Quasar Distributors, LLC. No other products mentioned are distributed by Quasar Distributors, LLC.

Little Harbor Advisors, LLC \| 30 Doaks Lane ● Marblehead, MA 01945 \| www.LittleHarborAdvisors.com

**LHA Market State<sup>TM</sup>** **Alpha Seeker ETF** 

**Performance Summary**<br> (Unaudited)

**Growth of $10,000**![](fp0081711-3_4.jpg)

---

| | | |
|:---|:---|:---|
| **Average Annual Returns<br> December 31, 2022** | **One Year** | **Since <br> Inception<br> (5/13/2020)** |
| LHA Market State<sup>TM</sup> Alpha Seeker ETF - NAV  | -0.70% | 0.64% |
| LHA Market State<sup>TM</sup> Alpha Seeker ETF - Market  | -0.61% | 0.64% |
| S&P 500<sup>®</sup> Index | -18.11% | 14.21% |

---

This chart illustrates the performance of a hypothetical $10,000 investment made on May 13, 2020 and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The chart assumes reinvestment of capital gains and dividends. It is not possible to invest directly in an index.

*The Performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The total operating expenses as stated in the fee table to the Fund's prospectus dated April 30, 2022, is 1.42%. For performance information current to the most recent month-end, please visit the fund's website at www.lhafunds.com.*

**LHA Market State<sup>TM</sup>** **Tactical Beta ETF** 

**PERFORMANCE SUMMARY**<br> (Unaudited)

**Growth of $10,000**![](fp0081711-3_5.jpg)

---

| | | |
|:---|:---|:---|
| **Average Annual Returns<br> December 31, 2022** | **One Year** | **Since <br> Inception<br> (9/29/2020)** |
| LHA Market State<sup>TM</sup> Tactical Beta ETF - NAV  | -22.09% | 1.94% |
| LHA Market State<sup>TM</sup> Tactical Beta ETF - Market  | -22.68% | 1.71% |
| S&P 500<sup>®</sup> Index | -18.11% | 8.09% |

---

This chart illustrates the performance of a hypothetical $10,000 investment made on September 29, 2020, and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The chart assumes reinvestment of capital gains and dividends. It is not possible to invest directly in an index.

*The Performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The total operating expenses as stated in the fee table to the Fund's prospectus dated April 30, 2022, is 1.21%. For performance information current to the most recent month-end, please visit the fund's website at www.lhafunds.com.*

**LHA Market State<sup>TM</sup>** **Tactical Q ETF** 

**PERFORMANCE SUMMARY**<br> (Unaudited)

**Growth of $10,000**![](fp0081711-3_6.jpg)

---

| | |
|:---|:---|
| **Cumulative Returns<br> December 31, 2022** | **Since <br> Inception<br> (3/14/2022)** |
| LHA Market State<sup>TM</sup> Tactical Q ETF - NAV | -20.17% |
| LHA Market State<sup>TM</sup> Tactical Q ETF - Market  | -20.43% |
| NASDAQ-100 Index | -15.56% |

---

This chart illustrates the performance of a hypothetical $10,000 investment made on March 14, 2022, and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The chart assumes reinvestment of capital gains and dividends. It is not possible to invest directly in an index.

*The Performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The total operating expenses as stated in the fee table to the Fund's prospectus dated January 28, 2022, is 1.15%. For performance information current to the most recent month-end, please visit the fund's website at www.lhafunds.com.*

**LHA Market State<sup>TM</sup>** **Shares** 

**Portfolio Allocation**\*

As of December 31, 2022 (Unaudited)

**LHA Market State<sup>TM</sup>** **Alpha Seeker ETF** 

---

| | |
|:---|:---|
| **Security Type** | **Percentage of <br> Net Assets** |
| Exchange-Traded Funds | 4.5% |
| Purchased Options | 0.1 |
| Short-Term Investments  | 98.9 |
| Liabilities in Excess of Other Assets | (3.5) |
| &nbsp;&nbsp;&nbsp;**Total** | 100.0% |

---

**LHA Market State<sup>TM</sup>** **Tactical Beta ETF** 

---

| | |
|:---|:---|
| **Security Type** | **Percentage of <br> Net Assets** |
| Exchange-Traded Funds | 67.8% |
| Short-Term Investments  | 34.4 |
| Liabilities in Excess of Other Assets | (2.2) |
| &nbsp;&nbsp;&nbsp;**Total** | 100.0% |

---

**LHA Market State<sup>TM</sup>** **Tactical Q ETF** 

---

| | |
|:---|:---|
| **Security Type** | **Percentage of <br> Net Assets** |
| Exchange-Traded Funds | 37.8% |
| Short-Term Investments  | 66.8 |
| Liabilities in Excess of Other Assets | (4.6) |
| &nbsp;&nbsp;&nbsp;**Total** | 100.0% |

---

\* Portfolio allocation charts do not reflect derivative exposure.

**LHA Market State<sup>TM</sup>** **Alpha Seeker ETF** 

**Schedule of Investments** <br> December 31, 2022

---

| | | |
|:---|:---|:---|
| **Shares** | &nbsp;&nbsp;**Security Description** | **Value** |
|  | &nbsp;&nbsp;**EXCHANGE-TRADED FUNDS — 4.5% <sup>(a)</sup>** |  |
| 172016 | &nbsp;&nbsp;ProShares VIX Short-Term Futures ETF <sup>(b)</sup>  | $1957542 |
|  | &nbsp;&nbsp;TOTAL EXCHANGE-TRADED FUNDS (Cost $2,127,029)  | 1957542 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Contracts** |  | **Notional <br> Amount** |  |
|  | &nbsp;&nbsp;**PURCHASED OPTIONS — 0.1% <sup>(c)</sup>** |  |  |
|  | &nbsp;&nbsp;**Call Options — 0.1%**  |  |  |
| 20 | &nbsp;&nbsp;S&P 500 Index, Expiration: 1/3/2023, Exercise Price: $3,840.00  | 7679000 | 46200 |
|  | &nbsp;&nbsp;TOTAL PURCHASED OPTIONS (Cost $35,825)  |  | 46200 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Par** |  | **Effective <br> Yield** | **Maturity**  |  |
|  | &nbsp;&nbsp;**SHORT-TERM INVESTMENTS — 98.9%** | &nbsp;&nbsp;**SHORT-TERM INVESTMENTS — 98.9%** |  |  |
|  | &nbsp;&nbsp;**U.S. Treasury Bills -28.8%** | &nbsp;&nbsp;**U.S. Treasury Bills -28.8%** |  |  |
| $12500000 | &nbsp;&nbsp;United States Treasury Bill <sup>(d)(e)</sup>  | 1.98% | 4/20/2023 | 12337214 |

---

The accompanying notes are an integral part of these financial statements.

**LHA Market State<sup>TM</sup>** **Alpha Seeker ETF** 

**Schedule of Investments** <br> December 31, 2022 (continued)

---

| | | |
|:---|:---|:---|
| **Shares** | &nbsp;&nbsp;**Security Description** | **Value** |
|  | &nbsp;&nbsp;**SHORT-TERM INVESTMENTS — 98.9% (Continued)** |  |
|  | &nbsp;&nbsp;**Money Market Funds — 70.1%** |  |
| 15004487 | &nbsp;&nbsp;First American Government Obligations Fund, Class X, 4.09% <sup>(f)(g)</sup>  | $15004487 |
| 15004487 | &nbsp;&nbsp;First American Treasury Obligations Fund, Class X, 4.19% <sup>(f)(g)</sup>  | 15004487 |
|  |  | 30008974 |
|  | &nbsp;&nbsp;TOTAL SHORT-TERM INVESTMENTS (Cost $42,435,358)  | 42346188 |
|  | &nbsp;&nbsp;TOTAL INVESTMENTS — 103.5% (Cost $44,598,212)  | 44349930 |
|  | &nbsp;&nbsp;LIABILITIES IN EXCESS OF OTHER ASSETS — (3.5)%  | (1511513) |
|  | &nbsp;&nbsp;NET ASSETS — 100.0%  | $42838417 |

---

Percentages are stated as a percentage of net assets.

(a) The risks of investing in investment companies, such as the underlying ETFs, typically reflect the risks of the types of investments in which the investment companies invest. See Note 9 in Notes to Financial Statements.

(b) Non-income producing security.

(c) Exchange-Traded.

(d) Zero coupon bond.

(e) All or a portion of this security is held as collateral for written options and futures contracts. At December 31, 2022, the total value of this security held as collateral amounted to $12,337,214 or 28.8% of net assets.

(f) Fair value of this security exceeds 25% of the Fund's net assets. Additional information about this security, including the financial statements, is available from the SEC's EDGAR database at www.sec.gov.

(g) Annualized seven-day yield as of December 31, 2022.

The accompanying notes are an integral part of these financial statements.

**LHA Market State<sup>TM</sup>** **Alpha Seeker ETF** 

**Schedule of Open Futures Contracts**<br> December 31, 2022

---

| | | | |
|:---|:---|:---|:---|
| **Number <br> of Short <br> Contracts** | **Expiration <br> Month** | **Notional <br> Value** | **Value & <br> Unrealized <br> Appreciation <br> (Depreciation)** |
| (45) &nbsp;&nbsp;S&P 500 E-Mini Future <sup>(a)</sup>  | March 2023 | $(8687250) | $65101 |

---

(a) Exchange-Traded.

The accompanying notes are an integral part of these financial statements.

**LHA Market State<sup>TM</sup>** **Tactical Beta ETF** 

**Schedule of Investments** <br> December 31, 2022

---

| | | |
|:---|:---|:---|
| **Shares** | &nbsp;&nbsp;**Security Description** | **Value** |
|  | &nbsp;&nbsp;**EXCHANGE-TRADED FUNDS — 67.8% <sup>(a)</sup>** |  |
| 299667 | &nbsp;&nbsp;SPDR S&P 500 ETF Trust <sup>(b)(c)</sup>  | $114601651 |
|  | &nbsp;&nbsp;TOTAL EXCHANGE-TRADED FUNDS (Cost $135,119,191)  | 114601651 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Par** |  | **Effective <br> Yield** | **Maturity**  |  |
|  | &nbsp;&nbsp;**SHORT-TERM INVESTMENTS — 34.4%** | &nbsp;&nbsp;**SHORT-TERM INVESTMENTS — 34.4%** |  |  |
|  | &nbsp;&nbsp;**U.S. Treasury Bills — 26.7%** | &nbsp;&nbsp;**U.S. Treasury Bills — 26.7%** |  |  |
| $27366000 | &nbsp;&nbsp;United States Treasury Bill <sup>(c)(d)</sup>  | 0.73% | 1/26/2023 | 27298242 |
| 18288000 | &nbsp;&nbsp;United States Treasury Bill <sup>(c)(d)</sup>  | 3.17% | 8/10/2023 | 17795283 |
|  |  |  |  | 45093525 |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  |  |
|  | &nbsp;&nbsp;**Money Market Funds — 7.7%** |  |
| 6540365 | &nbsp;&nbsp;First American Government Obligations Fund, Class X, 4.09% <sup>(e)</sup>  | 6540365 |
| 6540365 | &nbsp;&nbsp;First American Treasury Obligations Fund, Class X, 4.19% <sup>(e)</sup>  | 6540365 |
|  |  | 13080730 |
|  | &nbsp;&nbsp;TOTAL SHORT-TERM INVESTMENTS (Cost $58,376,848)  | 58174255 |
|  | &nbsp;&nbsp;TOTAL INVESTMENTS — 102.2% (Cost $193,496,039)  | 172775906 |
|  | &nbsp;&nbsp;LIABILITIES IN EXCESS OF OTHER ASSETS — (2.2)%  | (3701204) |
|  | &nbsp;&nbsp;NET ASSETS — 100.0%  | $169074702 |

---

Percentages are stated as a percentage of net assets.

(a) The risks of investing in investment companies, such as the underlying ETFs, typically reflect the risks of the types of investments in which the investment companies invest. See Note 9 in Notes to Financial Statements.

(b) Fair value of this security exceeds 25% of the Fund's net assets. Additional information about this security, including the financial statements, is available from the SEC's EDGAR database at www.sec.gov.

(c) All or a portion of this security is held as collateral for written options and futures. At December 31, 2022, the total value of securities held as collateral amounted to $128,472,443 or 76.0% of net assets.

(d) Zero coupon bond.

(e) Annualized seven-day yield as of December 31, 2022.

The accompanying notes are an integral part of these financial statements.

**LHA Market State<sup>TM</sup>** **Tactical Beta ETF** 

**Schedule of Open Futures Contracts**<br> December 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number <br> of Long <br> Contracts** | **Description** | **Expiration <br> Month** | **Notional <br> Value** | **Value & <br> Unrealized <br> Appreciation <br> (Depreciation)** |
| 226 | &nbsp;&nbsp;Cboe VIX Future <sup>(a)</sup>  | January 2023 | $5220171 | $(381182) |
| 151 | &nbsp;&nbsp;Cboe VIX Future <sup>(a)</sup>  | February 2023 | 3706340 | (18533) |
| 209 | &nbsp;&nbsp;S&P 500 E-Mini Future <sup>(a)</sup>  | March 2023 | 40347450 | (2784925) |
|  |  |  |  | $(3184640) |

---

(a) Exchange-Traded.

The accompanying notes are an integral part of these financial statements.

**LHA Market State<sup>TM</sup>** **Tactical Q ETF** 

**Schedule of Investments** <br> December 31, 2022

---

| | | |
|:---|:---|:---|
| **Shares** | &nbsp;&nbsp;**Security Description** | **Value** |
|  | &nbsp;&nbsp;**EXCHANGE-TRADED FUNDS — 37.8% <sup>(a)</sup>** |  |
| 4961 | &nbsp;&nbsp;Invesco QQQ Trust, Series 1 <sup>(b)(c)</sup>  | $1321016 |
|  | &nbsp;&nbsp;TOTAL EXCHANGE-TRADED FUNDS (Cost $1,420,408)  | 1321016 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Par** |  | **Effective <br> Yield** | **Maturity**  |  |
|  | &nbsp;&nbsp;**SHORT-TERM INVESTMENTS — 66.8%** | &nbsp;&nbsp;**SHORT-TERM INVESTMENTS — 66.8%** |  |  |
|  | &nbsp;&nbsp;**U.S. Treasury Bills — 40.1%** | &nbsp;&nbsp;**U.S. Treasury Bills — 40.1%** |  |  |
| $1465000 | &nbsp;&nbsp;United States Treasury Bill <sup>(d)</sup>  | 4.68% | 12/28/2023 | 1399185 |
|  |  |  |  | 1399185 |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  |  |
|  | &nbsp;&nbsp;**Money Market Funds — 26.7%** |  |
| 466821 | &nbsp;&nbsp;First American Government Obligations Fund, Class X, 4.09% <sup>(e)</sup>  | 466821 |
| 466821 | &nbsp;&nbsp;First American Treasury Obligations Fund, Class X, 4.19% <sup>(e)</sup>  | 466821 |
|  |  | 933642 |
|  | &nbsp;&nbsp;TOTAL SHORT-TERM INVESTMENTS (Cost $2,333,709)  | 2332827 |
|  | &nbsp;&nbsp;TOTAL INVESTMENTS — 104.6% (Cost $3,754,117)  | 3653843 |
|  | &nbsp;&nbsp;LIABILITIES IN EXCESS OF OTHER ASSETS - (4.6)%  | (160872) |
|  | &nbsp;&nbsp;NET ASSETS — 100.0%  | $3492971 |

---

Percentages are stated as a percentage of net assets.

(a) The risks of investing in investment companies, such as the underlying ETFs, typically reflect the risks of the types of investments in which the investment companies invest. See Note 9 in Notes to Financial Statements.

(b) Fair value of this security exceeds 25% of the Fund's net assets. Additional information about this security, including the financial statements, is available from the SEC's EDGAR database at www.sec.gov.

(c) All or a portion of this security is held as collateral for written options and futures. At December 31, 2022, the total value of securities held as collateral amounted to $1,228,083 or 35.2% of net assets.

(d) Zero coupon bond.

(e) Annualized seven-day yield as of December 31, 2022.

The accompanying notes are an integral part of these financial statements.

**LHA Market State<sup>TM</sup>** **Tactical Q ETF** 

**Schedule of Open Futures Contracts**<br> December 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number <br> of Long <br> Contracts** | **Description** | **Expiration <br> Month** | **Notional <br> Value** | **Value & <br> Unrealized <br> Appreciation <br> (Depreciation)** |
| 4 | &nbsp;&nbsp;Cboe VIX Future <sup>(a)</sup>  | January 2023 | $92392 | $(8219) |
| 3 | &nbsp;&nbsp;Cboe VIX Future <sup>(a)</sup>  | February 2023 | 73636 | (1122) |
| 8 | &nbsp;&nbsp;NASDAQ 100 E-Mini Future <sup>(a)</sup>  | March 2023 | 1763560 | (201210) |
|  |  |  |  | $(210551) |

---

(a) Exchange-Traded.

The accompanying notes are an integral part of these financial statements.

**LHA Market State<sup>TM</sup>** **Shares** 

**Statements of Assets and Liabilities** <br> December 31, 2022

---

| | | | |
|:---|:---|:---|:---|
|  | **LHA Market <br> State<sup>TM</sup>** **Alpha <br> Seeker ETF** | **LHA Market <br> State<sup>TM</sup>** **Tactical <br> Beta ETF** | **LHA Market <br> State<sup>TM</sup>** **Tactical <br> Q ETF** |
| **ASSETS** |  |  |  |
| Investments in securities, at value<sup>(a)</sup>  | $44349930 | $172775906 | $3653843 |
| Unrealized appreciation on open futures contracts  | 65101 |  |  |
| Dividends and interest receivable  | 104761 | 648853 | 2962 |
| Receivable for securities sold  | 56718 | 7013676 | 73435 |
| Transaction fees receivable  | 237 | 83 |  |
| &nbsp;&nbsp;&nbsp;Total Assets  | 44576747 | 180438518 | 3730240 |
| **LIABILITIES** |  |  |  |
| Unrealized depreciation on open futures contracts  |  | 3184640 | 210551 |
| Payable for capital shares redeemed  | 1241040 | 7430160 |  |
| Payable to broker for futures and options  | 455911 | 569557 | 23311 |
| Management fees payable  | 41379 | 179459 | 3407 |
| &nbsp;&nbsp;&nbsp;Total Liabilities  | 1738330 | 11363816 | 237269 |
| **NET ASSETS**  | $42838417 | $169074702 | $3492971 |
| **NET ASSETS CONSIST OF:** |  |  |  |
| Paid-in capital  | $44039681 | $224395330 | $4835807 |
| Total distributable earnings (accumulated deficit)  | (1201264) | (55320628) | (1342836) |
| &nbsp;&nbsp;&nbsp;Net assets | $42838417 | $169074702 | $3492971 |
| **Net asset value:** |  |  |  |
| Net assets  | $42838417 | $169074702 | $3492971 |
| Shares outstanding <sup>(b)</sup>  | 1725000 | 6825000 | 175000 |
| Net asset value, offering and redemption price per share  | $24.83 | $24.77 | $19.96 |
| <sup>(a)</sup> Identified Cost: |  |  |  |
| &nbsp;&nbsp;&nbsp;Investments in securities  | $44598212 | $193496039 | $3754117 |
| <sup>(b)</sup> No par value, unlimited number of shares authorized.  |  |  |  |

---

The accompanying notes are an integral part of these financial statements.

**LHA Market State<sup>TM</sup>** **Shares** 

**Statements of Operations** 

For the Year/Period Ended December 31, 2022

---

| | | | |
|:---|:---|:---|:---|
|  | **LHA Market <br> State**<sup>TM</sup> **Alpha <br> Seeker ETF** | **LHA Market <br> State**<sup>TM</sup> **Tactical <br> Beta ETF** | **LHA Market <br> State**<sup>TM</sup> **Tactical <br> Q ETF<sup>1</sup>** |
| **INVES**TM**ENT INCOME** |  |  |  |
| &nbsp;&nbsp;&nbsp;Dividends  | $3 | $2172725 | $16105 |
| &nbsp;&nbsp;&nbsp;Interest  | 638810 | 892803 | 34522 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total investment income  | 638813 | 3065528 | 50627 |
| **EXPENSES** |  |  |  |
| &nbsp;&nbsp;&nbsp;Management fees  | 459706 | 2671243 | 45867 |
| &nbsp;&nbsp;&nbsp;Broker interest expense, net of broker interest income  | 13406 | 194084 | 11497 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total expenses  | 473112 | 2865327 | 57364 |
| **Net investment income (loss)**  | 165701 | 200201 | (6737) |
| **REALIZED AND UNREALIZED GAIN (LOSS) ON** INVESTMENT**S** |  |  |  |
| Net realized gain (loss) on: |  |  |  |
| &nbsp;&nbsp;&nbsp;Investments  | (1039790) | 5459359 | (449055) |
| &nbsp;&nbsp;&nbsp;Futures  | 71609 | (29569643) | (572141) |
| &nbsp;&nbsp;&nbsp;Written options  | 340856 | 603554 | 284 |
| Change in unrealized appreciation (depreciation) on: |  |  |  |
| &nbsp;&nbsp;&nbsp;Investments  | (247523) | (41652369) | (100274) |
| &nbsp;&nbsp;&nbsp;Futures  | 28797 | (5213601) | (210551) |
| **Net realized and unrealized gain (loss) on investments**  | (846051) | (70372700) | (1331737) |
| **NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS**  | $(680350) | $(70172499) | $(1338474) |

---

<sup>1</sup> The Fund commenced operations on March 14, 2022. The information presented is for the period from March 14, 2022 to December 31, 2022.

The accompanying notes are an integral part of these financial statements.

**LHA Market State<sup>TM</sup>** **Alpha Seeker ETF** 

**Statements of Changes in Net Assets**

<br> ---

| | | |
|:---|:---|:---|
|  | **Year Ended <br> December 31, <br> 2022** | **Year Ended <br> December 31, <br> 2021** |
| **OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)  | $165701 | $(267261) |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) on investments, written options and futures  | (627325) | 1115421 |
| &nbsp;&nbsp;&nbsp;Change in unrealized appreciation (depreciation) on investments and futures  | (218726) | 39913 |
| &nbsp;&nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations**  | (680350) | 888073 |
| **DISTRIBUTIONS TO SHAREHOLDERS** |  |  |
| &nbsp;&nbsp;&nbsp;Net distributions to shareholders  | (48910) | (103144) |
| &nbsp;&nbsp;&nbsp;**Total distributions to shareholders**  | (48910) | (103144) |
| **CAPITAL SHARE TRANSACTIONS** |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold  | 21076578 | 11561270 |
| &nbsp;&nbsp;&nbsp;Payments for shares redeemed  | (5040295) | (2551583) |
| &nbsp;&nbsp;&nbsp;Transaction fees (Note 8)  | 5163 | 2823 |
| &nbsp;&nbsp;&nbsp;**Net increase (decrease) in net assets derived from capital share transactions** <sup>(a)</sup>  | 16041446 | 9012510 |
| **Net increase (decrease) in net assets**  | $15301786 | $9797439 |
| **NET ASSETS** |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of year  | $27526231 | $17728792 |
| &nbsp;&nbsp;&nbsp;End of year  | $42838417 | $27526231 |

---

(a) A summary of capital share transactions is as follows:

---

| | | |
|:---|:---|:---|
| | **Shares** | **Shares** |
| Shares sold  | 825000 | 450000 |
| Shares redeemed  | (200000) | (100000) |
| Net increase (decrease)  | 625000 | 350000 |

---

The accompanying notes are an integral part of these financial statements.

**LHA Market State<sup>TM</sup>** **Tactical Beta ETF** 

**Statements of Changes in Net Assets** 

<br> ---

| | | |
|:---|:---|:---|
|  | **Year Ended <br> December 31, <br> 2022** | **Year Ended <br> December 31, <br> 2021** |
| **OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)  | $200201 | $(455905) |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) on investments, written options and futures  | (23506730) | 9282599 |
| &nbsp;&nbsp;&nbsp;Change in unrealized appreciation (depreciation) on investments and futures  | (46865970) | 21628095 |
| &nbsp;&nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations**  | (70172499) | 30454789 |
| **DISTRIBUTIONS TO SHAREHOLDERS** |  |  |
| &nbsp;&nbsp;&nbsp;Net distributions to shareholders  | (2503820) | (7040398) |
| &nbsp;&nbsp;&nbsp;**Total distributions to shareholders**  | (2503820) | (7040398) |
| **CAPITAL SHARE TRANSACTIONS** |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold  | 71177390 | 303171275 |
| &nbsp;&nbsp;&nbsp;Payments for shares redeemed  | (171647538) | (20818003) |
| &nbsp;&nbsp;&nbsp;Transaction fees (Note 8)  | 40351 | 70248 |
| &nbsp;&nbsp;&nbsp;**Net increase (decrease) in net assets derived from capital share transactions** <sup>(a)</sup>  | (100429797) | 282423520 |
| **Net increase (decrease) in net assets**  | $(173106116) | $305837911 |
| **NET ASSETS** |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of year  | $342180818 | $36342907 |
| &nbsp;&nbsp;&nbsp;End of year  | $169074702 | $342180818 |

---

(a) A summary of capital share transactions is as follows:

---

| | | |
|:---|:---|:---|
| | **Shares** | **Shares** |
| Shares sold  | 2375000 | 9950000 |
| Shares redeemed  | (6175000) | (675000) |
| Net increase (decrease)  | (3800000) | 9275000 |

---

The accompanying notes are an integral part of these financial statements.

**LHA Market State<sup>TM</sup>** **Tactical Q ETF** 

**Statement of Changes in Net Assets** 

<br> ---

| | |
|:---|:---|
|  | **Period Ended <br> December 31, <br> 2022<sup>(a)</sup>** |
| **OPERATIONS** |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)  | $(6737) |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) on investments, written options and futures  | (1020912) |
| &nbsp;&nbsp;&nbsp;Change in unrealized appreciation (depreciation) on investments and futures  | (310825) |
| &nbsp;&nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations**  | (1338474) |
| **CAPITAL SHARE TRANSACTIONS** |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold  | 6941293 |
| &nbsp;&nbsp;&nbsp;Payments for shares redeemed  | (2110725) |
| &nbsp;&nbsp;&nbsp;Transaction fees (Note 8)  | 877 |
| &nbsp;&nbsp;&nbsp;**Net increase (decrease) in net assets derived from capital share transactions** <sup>(b)</sup>  | 4831445 |
| **Net increase (decrease) in net assets**  | $3492971 |
| **NET ASSETS** |  |
| &nbsp;&nbsp;&nbsp;Beginning of period  | $— |
| &nbsp;&nbsp;&nbsp;End of period  | $3492971 |

---

(a) The Fund commenced operations on March 14, 2022. The information presented is for the period from March 14, 2022 to December 31, 2022.

(b) A summary of capital share transactions is as follows:

---

| | |
|:---|:---|
| | **Shares** |
| Shares sold  | 275000 |
| Shares redeemed  | (100000) |
| Net increase (decrease)  | 175000 |

---

The accompanying notes are an integral part of these financial statements.

**LHA Market State<sup>TM</sup>** **Alpha Seeker ETF** 

**Financial Highlights** 

For a capital share outstanding throughout the year/period

---

| | | | |
|:---|:---|:---|:---|
|  | **Year Ended <br> December 31, <br> 2022** | **Year Ended <br> December 31, <br> 2021**  | **Period Ended <br> December 31, <br> 2020<sup>(a)</sup>**  |
| Net asset value, beginning of year/period  | $25.02 | $23.64 | $25.00 |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |
| Net investment income (loss) <sup>(b)(f)</sup>  | 0.10 | (0.29) | (0.20) |
| Net realized and unrealized gain (loss) on investments <sup>(j)</sup>  | (0.26) | 1.76 | (0.71) |
| Total from investment operations  | (0.16) | 1.47 | (0.91) |
| **DISTRIBUTIONS TO SHAREHOLDERS:** |  |  |  |
| From net investment income  | (0.03) | (0.09) | (0.46) |
| Total distributions to shareholders  | (0.03) | (0.09) | (0.46) |
| **CAPITAL SHARE TRANSACTIONS** |  |  |  |
| Transaction fees (Note 8)  | 0.00 <sup>(i)</sup> | 0.00 <sup>(i)</sup> | 0.01 |
| Net asset value, end of year/period  | $24.83 | $25.02 | $23.64 |
| Total return  | -0.70% | 6.28% | -3.62 %<sup>(c)</sup> |
| **SUPPLEMENTAL DATA:** |  |  |  |
| Net assets at end of year/period (000's)  | $42838 | $27526 | $17729 |
| **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |
| Expenses to average net assets<sup>(g)(h)</sup>  | 1.13% | 1.17% | 1.42 %<sup>(d)</sup> |
| Net investment income (loss) to average net assets<sup>(f)</sup>  | 0.40% | -1.14% | -1.33 %<sup>(d)</sup> |
| Portfolio turnover rate <sup>(e)</sup>  | 11063% | 3520% | 1603 %<sup>(c)</sup> |

---

<sup>(a)</sup> The Fund commenced operations on May 13, 2020.

<sup>(b)</sup> Calculated based on average shares outstanding during the year/period.

<sup>(c)</sup> Not annualized.

<sup>(d)</sup> Annualized.

<sup>(e)</sup> Excludes the impact of in-kind transactions.

<sup>(f)</sup> Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the underlying companies in which the Fund invests.

<sup>(g)</sup> Does not include expenses of investment companies in which the Fund invests.

<sup>(h)</sup> Includes broker interest expense of 0.03%, 0.07% and 0.32%, respectively.

<sup>(i)</sup> Less than $0.005.

<sup>(j)</sup> Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statements of Operations due to share transactions for the period.

The accompanying notes are an integral part of these financial statements.

**LHA Market State<sup>TM</sup>** **Tactical Beta ETF** 

**Financial Highlights** 

For a capital share outstanding throughout the year/period

---

| | | | |
|:---|:---|:---|:---|
|  | **Year Ended <br> December 31, <br> 2022** | **Year Ended <br> December 31, <br> 2021**  | **Period Ended <br> December 31, <br> 2020<sup>(a)</sup>**  |
| Net asset value, beginning of year/period | $32.21 | $26.92 | $25.00 |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |
| Net investment income (loss) <sup>(b)(f)</sup>  | 0.02 | (0.08) | (0.01) |
| Net realized and unrealized gain (loss) on investments <sup>(j)</sup>  | (7.13) | 6.07 | 2.41 |
| Total from investment operations  | (7.11) | 5.99 | 2.40 |
| **DISTRIBUTIONS TO SHAREHOLDERS:** |  |  |  |
| From net investment income  |  |  | (0.27) |
| From net realized gains  | (0.33) | (0.71) | (0.21) |
| Total distributions to shareholders  | (0.33) | (0.71) | (0.48) |
| **CAPITAL SHARE TRANSACTIONS** |  |  |  |
| Transaction fees (Note 8)  | 0.00 <sup>(i)</sup> | 0.01 |  |
| Net asset value, end of year/period  | $24.77 | $32.21 | $26.92 |
| Total return  | -22.09% | 22.25% | 9.65 %<sup>(c)</sup> |
| **SUPPLEMENTAL DATA:** |  |  |  |
| Net assets at end of year/period (000's)  | $169075 | $342181 | $36343 |
| **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |
| Expenses to average net assets<sup>(g)(h)</sup>  | 1.18% | 1.13% | 1.13 %<sup>(d)</sup> |
| Net investment income (loss) to average net assets<sup>(f)</sup>  | 0.08% | -0.27% | -0.11 %<sup>(d)</sup> |
| Portfolio turnover rate <sup>(e)</sup>  | 0% | 132% | 132 %<sup>(c)</sup> |

---

<sup>(a)</sup> The Fund commenced operations on September 29, 2020.

<sup>(b)</sup> Calculated based on average shares outstanding during the year/period.

<sup>(c)</sup> Not annualized.

<sup>(d)</sup> Annualized.

<sup>(e)</sup> Excludes the impact of in-kind transactions.

<sup>(f)</sup> Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the underlying companies in which the Fund invests.

<sup>(g)</sup> Does not include expenses of investment companies in which the Fund invests.

<sup>(h)</sup> Includes broker interest expense of 0.08%, 0.03% and 0.03%, respectively.

<sup>(i)</sup> Less than $0.005.

<sup>(j)</sup> Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statements of Operations due to share transactions for the period.

The accompanying notes are an integral part of these financial statements.

**LHA Market State<sup>TM</sup>** **Tactical Q ETF** 

**Financial Highlights** 

For a capital share outstanding throughout the period

---

| | |
|:---|:---|
|  | **Period Ended <br> December 31, <br> 2022<sup>(a)</sup>**  |
| Net asset value, beginning of period  | $25.00 |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |
| Net investment income (loss) <sup>(b)(f)</sup>  | (0.03) |
| Net realized and unrealized gain (loss) on investments <sup>(j)</sup>  | (5.01) |
| Total from investment operations  | (5.04) |
| **CAPITAL SHARE TRANSACTIONS** |  |
| Transaction fees (Note 8)  | 0.00 <sup>(i)</sup> |
| Net asset value, end of period  | $19.96 |
| Total return  | -20.17 %<sup>(c)</sup> |
| **SUPPLEMENTAL DATA:** |  |
| Net assets at end of period (000's)  | $3493 |
| **RATIOS TO AVERAGE NET ASSETS:** |  |
| Expenses to average net assets<sup>(g)(h)</sup>  | 1.38 %<sup>(d)</sup> |
| Net investment income (loss) to average net assets<sup>(f)</sup>  | -0.16 %<sup>(d)</sup> |
| Portfolio turnover rate <sup>(e)</sup>  | 138 %<sup>(c)</sup> |

---

<sup>(a)</sup> The Fund commenced operations on March 14, 2022.

<sup>(b)</sup> Calculated based on average shares outstanding during the period.

<sup>(c)</sup> Not annualized.

<sup>(d)</sup> Annualized.

<sup>(e)</sup> Excludes the impact of in-kind transactions.

<sup>(f)</sup> Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the underlying companies in which the Fund invests.

<sup>(g)</sup> Does not include expenses of investment companies in which the Fund invests.

<sup>(h)</sup> Includes broker interest expense of 0.28%.

<sup>(i)</sup> Less than $0.005.

<sup>(j)</sup> Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statement of Operations due to share transactions for the period.

The accompanying notes are an integral part of these financial statements.

**LHA Market State<sup>TM</sup>** **Shares** 

**Notes to Financial Statements** 

December 31, 2022

**NOTE 1 – ORGANIZATION** 

LHA Market State<sup>TM</sup> Alpha Seeker ETF, LHA Market State<sup>TM</sup> Tactical Beta ETF and LHA Market State<sup>TM</sup> Tactical Q ETF (individually each a "Fund" or collectively the "Funds") are non-diversified series of ETF Series Solutions ("ESS" or the "Trust"), an open-end management investment company consisting of multiple investment series, organized as a Delaware statutory trust on February 9, 2012. 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 is registered under the Securities Act of 1933, as amended (the "Securities Act"). LHA Market State<sup>TM</sup> Alpha Seeker ETF is an actively-managed exchange-traded fund ("ETF") that seeks to provide positive returns across multiple market cycles that are generally not correlated to the U.S. equity or fixed income markets by investing long or short in instruments linked directly or indirectly to the performance and/or volatility of the S&P 500<sup>®</sup> Index based on models and analyses that seek to estimate the direction of the U.S. equity market. LHA Market State<sup>TM</sup> Tactical Beta is an actively-managed ETF and seeks long-term out-performance relative to the large-capitalization U.S. equity market by investing long or short in instruments linked directly or indirectly to the performance and/or volatility of the S&P 500 Index based on models and analyses that seek to estimate the direction of the S&P 500<sup>®</sup> Index. LHA Market State<sup>TM</sup> Tactical Q ETF is an actively-managed ETF that seeks long-term out-performance relative to the large-capitalization U.S. growth equity market by investing in equity instruments linked directly or indirectly to the performance of U.S.-listed, large capitalization, growth-oriented companies. LHA Market State<sup>TM</sup> Alpha Seeker ETF commenced operations on May 13, 2020, LHA Market State<sup>TM</sup> Tactical Beta ETF commenced operations on September 29, 2020, and LHA Market State<sup>TM</sup> Tactical Q ETF commenced operations on March 14, 2022.

The end of the reporting period for the Funds is December 31, 2022. The period covered by these Notes to Financial Statements is the period from January 1, 2022 through December 31, 2022 for LHA Market State<sup>TM</sup> Alpha Seeker ETF and LHA Market State<sup>TM</sup> Tactical Beta ETF and the period from March 14, 2022 to December 31, 2022 for LHA Market State<sup>TM</sup> Tactical Q ETF (each, respectively, the "current fiscal period").

**NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES** 

The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 Financial Services - Investment Companies.

**LHA Market State<sup>TM</sup>** **Shares** 

**NOTES TO FINANCIAL STATEMENTS** <br> December 31, 2022 (Continued)

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 ("U.S. GAAP").

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;A. *Security Valuation.* All equity securities, including domestic and foreign common stocks, preferred stocks, and exchange-traded funds that are traded on a national securities exchange, except those listed on the Nasdaq Global Market<sup>TM</sup>, Nasdaq Global Select Market<sup>TM</sup>, and the Nasdaq Capital Market Exchange<sup>TM</sup> (collectively, "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 mean between the most recent quoted bid and asked prices will be used. All equity securities that are not traded on a listed exchange are 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.

Futures contracts will be valued at the settlement price from the exchange on which they are traded.

Exchange traded options are valued at the composite mean price, which calculates the mean of the highest bid price and lowest asked price across the exchanges where the option is principally traded. On the last trading day prior to expiration, expiring options will be priced at intrinsic value.

Investments in mutual funds, including money market funds, are valued at their net asset value ("NAV") per share.

Debt securities, including short-term debt instruments having a maturity of less than 60 days, are valued in accordance with prices provided by a pricing service. Pricing services may use various valuation methodologies such as the mean between the bid and asked prices, matrix pricing and other analytical pricing models as well as market transactions and dealer quotations.

Securities for which quotations are not readily available are valued at their respective fair values in accordance with pricing procedures adopted by the Funds' Board of Trustees (the "Board"). 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

**LHA Market State<sup>TM</sup>** **Shares** 

**NOTES TO FINANCIAL STATEMENTS** <br> December 31, 2022 (Continued)

procedures adopted by the Board. The use of fair value pricing by the Funds may cause the NAV of their shares to differ significantly from NAV that would be calculated without regard to such considerations.

As described above, the Funds utilize various methods to measure the fair value of their investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuations 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, and would be based on the best information available.

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.

**LHA Market State<sup>TM</sup>** **Shares** 

**NOTES TO FINANCIAL STATEMENTS** <br> December 31, 2022 (Continued)

The following is a summary of the inputs used to value the Funds' investments as of the end of the current fiscal period:

**LHA Market State**<sup>TM</sup> **Alpha Seeker ETF** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Assets^** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;Exchange-Traded Funds | $1957542 | $— | $— | $1957542 |
| &nbsp;&nbsp;Purchased Options |  | 46200 |  | 46200 |
| &nbsp;&nbsp;Short-Term Investments | 30008974 | 12337214 |  | 42346188 |
| &nbsp;&nbsp;Total Investments in Securities | $31966516 | $12383414 | $— | $44349930 |

---

^ See Schedule of Investments for further disaggregation of investment categories.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Other Financial <br> Instruments <sup>(a)</sup>** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;Futures Contracts | $65101 | $— | $— | $65101 |

---

<sup>(a)</sup> Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures contracts which are reflected at the unrealized appreciation (depreciation) on the instrument.

**LHA Market State**<sup>TM</sup> **Tactical Beta ETF** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Assets^** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;Exchange-Traded Funds | $114601651 | $— | $— | $114601651 |
| &nbsp;&nbsp;Short-Term Investments | 13080730 | 45093525 |  | 58174255 |
| &nbsp;&nbsp;Total Investments in Securities | $127682381 | $45093525 | $— | $172775906 |

---

^ See Schedule of Investments for further disaggregation of investment categories.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Other Financial <br> Instruments <sup>(a)</sup>** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;Futures Contracts | $(3184640) | $— | $— | $(3184640) |

---

<sup>(a)</sup> Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures contracts which are reflected at the unrealized appreciation (depreciation) on the instrument.

**LHA Market State<sup>TM</sup>** **Shares** 

**NOTES TO FINANCIAL STATEMENTS** <br> December 31, 2022 (Continued)

**LHA Market State**<sup>TM</sup> **Tactical Q ETF** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Assets^** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;Exchange-Traded Funds | $1321016 | $— | $— | $1321016 |
| &nbsp;&nbsp;Short-Term Investments | 933642 | 1399185 |  | 2332827 |
| &nbsp;&nbsp;Total Investments in Securities | $2254658 | $1399185 | $— | $3653843 |

---

^ See Schedule of Investments for further disaggregation of investment categories.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Other Financial <br> Instruments <sup>(a)</sup>** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;Futures Contracts | $(210551) | $— | $— | $(210551) |

---

<sup>(a)</sup> Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures contracts which are reflected at the unrealized appreciation (depreciation) on the instrument.

During the current fiscal period, the Funds did not recognize any transfers to or from Level 3.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;B. *Federal Income Taxes.* The Funds' policy is to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and to distribute substantially all of their net investment income and net capital gains to shareholders. Therefore, no federal income tax provision is required. The Funds plan to file U.S. Federal and various state and local tax returns.

The Funds recognize the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained. Management has analyzed the Funds' uncertain tax positions and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions. Management is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next 12 months. Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits on uncertain positions as income tax expenses in the Statements of Operations. During the current fiscal period, the Funds did not incur any interest or penalties.

**LHA Market State<sup>TM</sup>** **Shares** 

**NOTES TO FINANCIAL STATEMENTS** <br> December 31, 2022 (Continued)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;C. *Security Transactions and Investment Income.* Investment securities transactions are accounted for on the trade date. Gains and losses realized from sales of securities are determined on a specific identification basis. Dividend income is recorded on the ex-dividend date. Non-cash dividends included in dividend income or separately disclosed, if any, are recorded at fair value of the security received. Interest income is recorded on an accrual basis. Discounts and premiums on securities purchased are accreted and amortized using the effective yield method.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;D. *Distributions to Shareholders.* Distributions to shareholders from net investment income and net realized gains on securities are declared and paid at least on an annual basis. Distributions are recorded on the ex-dividend date.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;E. *Use of Estimates.* The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, as well as the reported amounts of revenues and expenses during the current fiscal period. Actual results could differ from those estimates.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;F. *Share Valuation.* The NAV per share of each Fund is calculated by dividing the sum of the value of the securities held by the Funds, plus cash and other assets, minus all liabilities (including estimated accrued expenses) by the total number of shares outstanding of each 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 trading. The offering and redemption price per share of each Fund is equal to each Fund's NAV per share.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;G. *Reclassification of Capital Accounts.* U.S. 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 NAV per share.

These differences are primarily due to differing book and tax treatments for in-kind transactions and net operating losses. For the fiscal year ended December 31, 2022, the following table shows the reclassifications made:

---

| | | |
|:---|:---|:---|
|  | **Distributable <br> Earnings <br> (Accumulated <br> Deficit)** | **Paid-In <br> Capital** |
| LHA Market State<sup>TM</sup> Alpha Seeker ETF  | $48252 | $(48252) |
| LHA Market State<sup>TM</sup> Tactical Beta ETF | $(5892768) | $5892768 |
| LHA Market State<sup>TM</sup> Tactical Q ETF | $(4362) | $4362 |

---

**LHA Market State<sup>TM</sup>** **Shares** 

**NOTES TO FINANCIAL STATEMENTS** <br> December 31, 2022 (Continued)

During the fiscal period ended December 31, 2022, the Funds realized the following net capital gains (losses) from in-kind redemptions, in which shareholders exchanged Fund shares for securities held by the Funds rather than for cash. Because such gains (losses) are not taxable to the Funds, and gains are not distributed to shareholders, they have been reclassified from distributable earnings (accumulated deficit) to paid-in capital.

---

| | |
|:---|:---|
| LHA Market State<sup>TM</sup> Alpha Seeker ETF  | $(2285) |
| LHA Market State<sup>TM</sup> Tactical Beta ETF | $5436863 |
| LHA Market State<sup>TM</sup> Tactical Q ETF | $11099 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;H. *Guarantees and Indemnifications.* In the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;I. *Subsequent Events.* In preparing these financial statements, management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued. There were no events or transactions that occurred during the period subsequent to the end of the current fiscal period that materially impacted the amounts or disclosures in the Funds' financial statements.

**NOTE 3 – ADDITIONAL DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS** 

*Futures Contracts.* Each Fund may invest in futures contracts to hedge or manage risks associated with the Fund's investments in securities or to gain exposure to certain asset classes or markets. Each Fund may purchase or sell futures contracts only if the Fund's liabilities for the futures position are "covered" by an offsetting position in a futures contract or by the Fund segregating liquid assets equal to the Fund's liabilities on the futures contract. Upon entering into a financial futures contract, a Fund is required to pledge to the broker an amount of cash, U.S. government securities or other assets, equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as "variation margin," are made or received by the Funds on an as needed basis. The Funds record an unrealized gain or loss by marking each futures contract to market. A realized gain or loss is recorded when the contract is closed. Should market conditions move unexpectedly, the Funds may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying assets. Futures contracts

**LHA Market State<sup>TM</sup>** **Shares** 

**NOTES TO FINANCIAL STATEMENTS** <br> December 31, 2022 (Continued)

may have off-balance sheet risk. Off-balance sheet risk exists when the maximum potential loss on a particular financial instrument is greater than the value of such financial instrument, as reflected in the Schedules of Open Futures Contracts.

Positions in futures contracts may be closed out only on an exchange that provides a secondary market for such futures. However, there can be no assurance that a liquid secondary market will exist for any particular futures contract at any specific time. Thus, it may not be possible to close a futures position. In the event of adverse price movements, the Funds may be required to make cash payments to maintain the required margin. In such situations, if a Fund had insufficient cash, it might have to sell portfolio securities to meet margin requirements at a time when it would be disadvantageous to do so. In addition, the Fund might be required to make delivery of the underlying instruments of futures contracts it holds. The inability to close positions in futures could also have an adverse impact on the Funds' ability to hedge or manage risks effectively. Cash collateral held by the Funds is presented on the Statements of Assets and Liabilities under segregated cash at broker for futures and options, if any.

*Options Contracts.* The Funds may also purchase put or call options (or options spreads) on the VIX Index, the S&P 500, or in ETNs or ETFs that seek exposure to short-term VIX Index futures contracts.

Purchasing a call option gives the buyer the right to purchase shares of the reference asset at a specified price ("strike price") until a specified date ("expiration date") (American-style options) or at the expiration date (European-style options). The buyer of the call option pays an amount (premium) for buying the option. In the event the reference asset appreciates above the strike price, the buyer can exercise the option and receive the reference asset (for American-style options) or receive the difference between the value of the reference asset and the strike price (for European-style options) (which gain is offset by the premium initially paid), and in the event the reference asset declines in value, the call option may end up worthless and the Funds' loss is limited to the amount of premium it paid. The Funds' investments in call options and put options on the S&P 500 or the VIX Index are generally expected to be European-style options.

Purchasing a put option gives the buyer the right to sell shares of a reference asset at a strike price until the expiration date (American-style options) or at the expiration date (European-style options). The buyer of the put option pays an amount (premium) for buying the option. In the event the reference asset declines in value below the strike price and a Fund exercises its put option, the Fund will be entitled to deliver the reference asset (for American-style options) or receive the difference between the strike price and the value of the reference asset (for European-style options)

**LHA Market State<sup>TM</sup>** **Shares** 

**NOTES TO FINANCIAL STATEMENTS** <br> December 31, 2022 (Continued)

(which gain is offset by the premium originally paid by the Fund), and in the event the reference asset closes above the strike price as of the expiration date, the put option may end up worthless and the Fund's loss is limited to the amount of premium it paid.

A call spread entails the purchase of a call option and the sale of a call option on the same reference asset with the same expiration date but a higher strike price. A put spread entails the purchase of a put option and the sale of a put option on the same reference asset with the same expiration date but a lower strike price. The premium received from the sale of the call or put options is generally expected to offset the cost to the Fund of the purchased options in exchange for limiting the maximum return from such options.

The Funds may also write options. A written (sold) call option gives the seller the obligation to sell shares of the underlying asset at a specified prince ("strike price") at a specified date ("expiration date"). The writer (seller) of the call option receives an amount (premium) for writing (selling) the option. In the event the underlying asset appreciates above the strike price as of the expiration date, the writer (seller) of the call option will have to pay the difference between the value of the underlying asset and the strike price (which loss is offset by the premium initially received), and in the event the underlying asset declines in value, the call option may end up worthless and the writer (seller) of the call option retains the premium.

A written (sold) put option gives the seller the obligation to buy shares of the underlying asset at a specified price ("strike price") at a specified date ("expiration date"). The writer (seller) of the put option receives an amount (premium) for writing (selling) the option. In the event the underlying asset depreciates below the strike price as of the expiration date, the writer (seller) of the put option pays the difference between the value of the underlying asset and the strike price (which loss is offset by the premium initially received), and in the event the underlying asset appreciates in value, the put option may end up worthless and the writer (seller) of the call option retains the premium.

When the Funds write an option, an amount equal to the premium received by the Funds is recorded as a liability and is subsequently adjusted to the current fair value of the options written. Premiums received from writing options that expire unexercised are treated by the Funds on the expiration date as realized gains from options written. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or, if the premium is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Funds have realized a gain or loss. The Funds, as a writer of an option, bear the market risk of an unfavorable change in the price of the security underlying the written option.

**LHA Market State<sup>TM</sup>** **Shares** 

**NOTES TO FINANCIAL STATEMENTS** <br> December 31, 2022 (Continued)

For financial statement purposes, cash held at or due to the broker for futures and options is included in the Statements of Assets and Liabilities as deposits at broker for futures and options or payable to broker for futures and options. Broker interest paid by the Funds, if any, is included as broker interest expense in the Statements of Operations. As collateral for written options, the Funds maintain segregated assets consisting of cash, cash equivalents, or liquid securities (e.g. Permissible Assets). Segregated cash, if any, is included as segregated cash at broker for futures and options in the Statements of Assets and Liabilities. The Advisor may earmark or instruct the Funds' custodian to segregate Permissible Assets in an amount at least equal to the market value, calculated on a daily basis, of the written options. Alternatively, a written call option contract can be "covered" through (a) ownership of the underlying instruments or (b) ownership of an option on such instruments at an exercise price equal to or lower than the exercise price of the short option, and a written put option contract can be "covered" (a) through ownership of a put option with an exercise price at least equal to the Funds' delivery or purchase obligation or (b) through selling short the underlying instrument at a price at least equal to the Funds' purchase obligation.

The effect of derivative instruments on the Statements of Assets and Liabilities as of the end of the current fiscal period was as follows:

---

| | | | |
|:---|:---|:---|:---|
| | | **Asset Derivatives** | **Asset Derivatives** |
| <br>**Fund** | <br>**Derivatives <br> Not Accounted <br> For as Hedging <br> Instruments** | **Statement of <br> Assets and <br> Liabilities Location** | **Value** |
| LHA Market State<sup>TM</sup> Alpha Seeker ETF | Equity Contracts - Purchased Options | Investments in securities, at value | $46200 |
| LHA Market State<sup>TM</sup> Alpha Seeker ETF | Equity Contracts - Futures | Unrealized appreciation on open futures contracts | 65101 |

---

---

| | | | |
|:---|:---|:---|:---|
| | | **Liability Derivatives** | **Liability Derivatives** |
| <br>**Fund** | <br>**Derivatives <br> Not Accounted <br> For as Hedging <br> Instruments** | **Statement of <br> Assets and <br> Liabilities Location** | **Value** |
| LHA Market State<sup>TM</sup> Tactical Beta ETF | Equity Contracts - Futures | Unrealized depreciation on open futures contracts | $3184640 |
| LHA Market State<sup>TM</sup> Tactical Q ETF | Equity Contracts - Futures | Unrealized depreciation on open futures contracts | 210551 |

---

**LHA Market State<sup>TM</sup>** **Shares** 

**NOTES TO FINANCIAL STATEMENTS** <br> December 31, 2022 (Continued)

The effect of derivative instruments on the Statements of Operations for the current fiscal period was as follows:

---

| | | | |
|:---|:---|:---|:---|
| **Fund** | **Derivatives <br> Not Accounted <br> For as Hedging <br> Instruments** | **Net Realized <br> Gain (Loss)** | **Change in <br> Unrealized <br> Appreciation <br> (Depreciation)** |
| LHA Market State<sup>TM</sup> Alpha Seeker ETF | Equity Contracts - Futures | $71609 | $28797 |
| LHA Market State<sup>TM</sup> Alpha Seeker ETF | Equity Contracts - Purchased Options | (634347) | 10375 |
| LHA Market State<sup>TM</sup> Alpha Seeker ETF | Equity Contracts - Written Options | 340856 |  |
| LHA Market State<sup>TM</sup> Tactical Beta ETF | Equity Contracts - Futures | (29569643) | (5213601) |
| LHA Market State<sup>TM</sup> Tactical Beta ETF | Equity Contracts - Purchased Options | 2375 |  |
| LHA Market State<sup>TM</sup> Tactical Beta ETF | Equity Contracts - Written Options | 603554 |  |
| LHA Market State<sup>TM</sup> Tactical Q ETF | Equity Contracts - Futures | (572141) | (210551) |
| LHA Market State<sup>TM</sup> Tactical Q ETF | Equity Contracts - Written Options | 284 |  |

---

\* Included in net realized gain (loss) on investments as reported on the Statement of Operations. <br> \*\* Included in net change in unrealized appreciation (depreciation) on investments as reported in the Statements of Operations.

The average monthly values of outstanding purchased and written options during the current fiscal period were as follows:

---

| | | |
|:---|:---|:---|
|  | **Purchased <br> Options** | **Written <br> Options** |
| LHA Market State<sup>TM</sup> Alpha Seeker ETF | $6390 | $(2251) |
| LHA Market State<sup>TM</sup> Tactical Beta ETF |  | (192) |
| LHA Market State<sup>TM</sup> Tactical Q ETF |  | (5) |

---

**LHA Market State<sup>TM</sup>** **Shares** 

**NOTES TO FINANCIAL STATEMENTS** <br> December 31, 2022 (Continued)

The average monthly notional amount of short and long futures during the current fiscal period were as follows:

---

| | | |
|:---|:---|:---|
|  | **Long<br> Futures** | **Short<br> Futures** |
| LHA Market State<sup>TM</sup> Alpha Seeker ETF | $4987123 | $(1983174) |
| LHA Market State<sup>TM</sup> Tactical Beta ETF | 104876847 |  |
| LHA Market State<sup>TM</sup> Tactical Q ETF | 2872810 |  |

---

**Offsetting of Financial Assets and Derivatives Assets:** 

During the ordinary course of business, the Funds may enter into transactions subject to enforceable netting agreements or other similar arrangements ("netting agreements"). Generally, the right to offset in netting agreements allows the Funds to offset any exposure to a specific counterparty with any collateral received or delivered to that counterparty based on the terms of the agreement. Generally, the Funds manage their cash collateral and securities collateral on a counterparty basis.

The following table provides a summary of offsetting financial assets and derivatives and the effect of derivative instruments on the Statements of Assets and Liabilities as of the end of the current fiscal period.

**LHA Market State**<sup>TM</sup> **Alpha Seeker ETF** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Gross Amounts not <br> offset in the Statement <br> of Assets and Liabilities** | **Gross Amounts not <br> offset in the Statement <br> of Assets and Liabilities** | |
| <br>**Description / <br> Counterparty** | **Gross**<br>**Amounts of <br> Recognized <br> Assets** | **Gross <br> Amounts<br> Offset in <br> the<br> Statement**<br>**of Assets <br> and <br> Liabilities** | **Net <br> Amounts <br> Presented<br> in the<br> Statement**<br>**of Assets <br> and <br> Liabilities** | **Financial <br> Instruments** | **Collateral <br> Pledged** | <br>**Net <br> Amount** |
| **Assets** | **Assets** |  |  |  |  |  |
| Goldman Sachs | Goldman Sachs |  |  |  |  |  |
| &nbsp;&nbsp;Futures Contracts  | $65101 | $— | $65101 | $— | $— | $65101 |
|  | $65101 | $— | $65101 | $— | $— | $65101 |

---

**LHA Market State<sup>TM</sup>** **Shares** 

**NOTES TO FINANCIAL STATEMENTS** <br> December 31, 2022 (Continued)

**LHA Market State**<sup>TM</sup> **Tactical Beta ETF** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Gross Amounts not <br> offset in the Statement <br> of Assets and Liabilities** | **Gross Amounts not <br> offset in the Statement <br> of Assets and Liabilities** | |
| <br>**Description / <br> Counterparty** | **Gross**<br>**Amounts of <br> Recognized <br> Assets** | **Gross <br> Amounts<br> Offset in <br> the<br> Statement**<br>**of Assets <br> and <br> Liabilities** | **Net <br> Amounts <br> Presented<br> in the<br> Statement**<br>**of Assets <br> and <br> Liabilities** | **Financial <br> Instruments** | **Collateral <br> Pledged** | <br>**Net <br> Amount** |
| **Liabilities** | **Liabilities** |  |  |  |  |  |
| Goldman Sachs | Goldman Sachs |  |  |  |  |  |
| &nbsp;&nbsp;Futures Contracts  | $(3184640) | $— | $(3184640) | $3184640 | $— | $— |
|  | $(3184640) | $— | $(3184640) | $3184640 | $— | $— |

---

**LHA Market State<sup>TM</sup>** **Tactical Q ETF** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Gross Amounts not <br> offset in the Statement <br> of Assets and Liabilities** | **Gross Amounts not <br> offset in the Statement <br> of Assets and Liabilities** | |
| <br>**Description / <br> Counterparty** | **Gross**<br>**Amounts of <br> Recognized <br> Assets** | **Gross <br> Amounts<br> Offset in <br> the<br> Statement**<br>**of Assets <br> and <br> Liabilities** | **Net <br> Amounts <br> Presented<br> in the<br> Statement**<br>**of Assets <br> and <br> Liabilities** | **Financial <br> Instruments** | **Collateral <br> Pledged** | <br>**Net <br> Amount** |
| **Liabilities** | **Liabilities** |  |  |  |  |  |
| Goldman Sachs | Goldman Sachs |  |  |  |  |  |
| &nbsp;&nbsp;Futures Contracts  | $(210551) | $— | $(210551) | $210551 | $— | $— |
|  | $(210551) | $— | $(210551) | $210551 | $— | $— |

---

In some instances, the collateral amounts disclosed in the tables were adjusted due to the requirement to limit the collateral amounts to avoid the effect of overcollateralization. Actual collateral received/pledged may be more than the amounts disclosed herein.

**NOTE 5 – COMMITMENTS AND OTHER RELATED PARTY TRANSACTIONS** 

Little Harbor Advisors, LLC ("the Adviser"), serves as the investment adviser to the Funds. Pursuant to an Investment Advisory Agreement ("Advisory Agreement") between the Trust, on behalf of the Funds, and the Adviser, the Adviser provides

**LHA Market State<sup>TM</sup>** **Shares** 

**NOTES TO FINANCIAL STATEMENTS** <br> December 31, 2022 (Continued)

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 Agreement, the Adviser is also responsible for arranging transfer agency, custody, fund administration, and all other related services necessary for the Funds to operate. Under the Advisory Agreement, the Adviser has agreed to pay all expenses incurred by the Fund, except for: the fee paid to the Adviser pursuant to the Advisory Agreement, interest charges on any borrowings, dividends and other expenses on securities sold short, taxes, brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, accrued deferred tax liability, extraordinary expenses, and distribution (12b-1) fees and expenses. For the services it provides to the Funds, the Funds each pay the Adviser a unified management fee, which is calculated daily and paid monthly, at an annual rate of 1.10% of each Fund's average daily net assets.

U.S. Bancorp Fund Services, LLC ("Fund Services" or "Administrator"), doing business as U.S. Bank Global Fund Services, acts as the Funds' Administrator and, in that capacity, performs various administrative and accounting services for the Funds. The Administrator prepares various federal and state regulatory filings, reports and returns for the Funds, including regulatory compliance monitoring and financial reporting; prepares reports and materials to be supplied to the Board and monitors the activities of the Funds' Custodian, transfer agent and fund accountant. Fund Services also serves as the transfer agent and fund accountant to the Funds. U.S. Bank N.A. (the "Custodian"), an affiliate of Fund Services, serves as the Funds' Custodian.

A Trustee and all officers of the Trust are affiliated with the Administrator and Custodian.

**NOTE 6 – PURCHASES AND SALES OF SECURITIES** 

During the current fiscal period, purchases and sales of securities by the Funds, excluding short-term securities and in-kind transactions, were as follows:

---

| | | |
|:---|:---|:---|
|  | **Purchases** | **Sales** |
| LHA Market State<sup>TM</sup> Alpha Seeker ETF | $118498792 | $117048870 |
| LHA Market State<sup>TM</sup> Tactical Beta ETF |  |  |
| LHA Market State<sup>TM</sup> Tactical Q ETF | 3412624 | 4537696 |

---

**LHA Market State<sup>TM</sup>** **Shares** 

**NOTES TO FINANCIAL STATEMENTS** <br> December 31, 2022 (Continued)

During the current fiscal period, there were no purchases or sales of long-term U.S. Government securities by the Funds. The Funds held U.S. Treasury Bills during the current fiscal period which are considered short-term securities.

During the current fiscal period, in-kind transactions associated with creations and redemptions were as follows:

---

| | | |
|:---|:---|:---|
|  | **In-Kind <br> Purchases** | **In-Kind <br> Sales** |
| LHA Market State<sup>TM</sup> Alpha Seeker ETF | $1274273 | $122432 |
| LHA Market State<sup>TM</sup> Tactical Beta ETF | 35103218 | 82364742 |
| LHA Market State<sup>TM</sup> Tactical Q ETF | 4674765 | 292168 |

---

**NOTE 7 – INCOME TAX INFORMATION** 

The components of distributable earnings/(accumulated deficit) and cost basis of investments for federal income tax purposes as of December 31, 2022 in the Funds, were as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | **LHA Market <br> State**<sup>TM</sup> **Alpha <br> Seeker ETF**  | **LHA Market <br> State**<sup>TM</sup> **Tactical <br> Beta ETF** | **LHA Market <br> State**<sup>TM</sup> **Tactical <br> Q ETF** |
| Tax cost of investments | $44608587 | $193525523 | $3961893 |
| Gross tax unrealized appreciation | $— | $— | $— |
| Gross tax unrealized depreciation | (258657) | (20749617) | (308050) |
| Net tax unrealized appreciation (depreciation) | (258657) | (20749617) | (308050) |
| Undistributed ordinary income | 116791 | 200169 |  |
| Undistributed long-term gain |  |  |  |
| Other accumulated gain (loss) | (1059398) | (34771180) | (1034786) |
| Distributable earnings (accumulated deficit) | $(1201264) | $(55320628) | $(1342836) |

---

The difference between book and tax-basis cost is attributable to wash sales and Section 1256 mark-to-market on purchased options.

At December 31, 2022, the Funds deferred, on a tax basis, no post-October capital losses or late-year ordinary losses.

**LHA Market State<sup>TM</sup>** **Shares** 

**NOTES TO FINANCIAL STATEMENTS** <br> December 31, 2022 (Continued)

As of December 31, 2022, the Funds had the following capital loss carryforwards with no expiration:

---

| | | |
|:---|:---|:---|
|  | **Short-Term** | **Long-Term** |
| LHA Market State<sup>TM</sup> Alpha Seeker ETF | $953908 | $105490 |
| LHA Market State<sup>TM</sup> Tactical Beta ETF | 13816406 | 20954774 |
| LHA Market State<sup>TM</sup> Tactical Q ETF | 565170 | 469616 |

---

The tax character of distributions paid by the Funds during the fiscal year ended December 31, 2022 and December 31, 2021, were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Year Ended December 31, 2022** | **Year Ended December 31, 2022** | **Year Ended December 31, 2021** | **Year Ended December 31, 2021** |
|  | **Ordinary <br> Income** | **Long-Term <br> Capital Gain** | **Ordinary <br> Income** | **Long-Term <br> Capital Gain** |
| LHA Market State<sup>TM</sup> Alpha Seeker ETF | $48910 | $— | $103144 | $— |
| LHA Market State<sup>TM</sup> Tactical Beta ETF | 2503820 |  |  | 7040398 |
| LHA Market State<sup>TM</sup> Tactical Q ETF |  |  | N/A | N/A |

---

**NOTE 8 – SHARE TRANSACTIONS** 

Shares of the Funds are listed and traded on the Cboe BZX Exchange, Inc. ("Cboe"). Market prices for the shares may be different from their NAV. The Funds issue and redeem shares on a continuous basis at NAV generally in blocks of 25,000 shares, called "Creation Units." 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. Except when aggregated in Creation Units, shares are not redeemable securities of the Funds. Shares of the Funds 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 Depository Trust Company 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 shares directly from the 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.

**LHA Market State<sup>TM</sup>** **Shares** 

**NOTES TO FINANCIAL STATEMENTS** <br> December 31, 2022 (Continued)

The Funds currently offer one class of shares, which has no front-end sales load, no deferred sales charge, and no redemption fee. A fixed transaction fee is imposed for the transfer and other transaction costs associated with the creation or redemption of Creation Units. The standard fixed creation and redemption transaction fee for the Funds are $300 payable to the Custodian. The fixed transaction fee may be waived on certain orders if the Funds' Custodian has determined to waive some or all of the costs associated with the order, or another party, such as the Adviser, has agreed to pay such fee. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units of up to a maximum of 2% as a percentage of the value of the Creation Units subject to the transaction. Variable fees received by the Funds, if any, are displayed in the Capital Shares Transactions section of the Statements of Changes in Net Assets. The Funds may issue an unlimited number of shares of beneficial interest, with no par value. All shares of the Funds have equal rights and privileges.

**NOTE 9 – PRINCIPAL RISKS** 

*Investment Company Risk.* The risks of investing in investment companies, such as the Underlying ETFs, typically reflect the risks of the types of instruments in which the investment companies invest. By investing in another investment company, the Funds become a shareholder of that investment company and bear their proportionate share of the fees and expenses of the other investment company. The Funds may be subject to statutory limits with respect to the amount they can invest in other ETFs, which may adversely affect the Funds' ability to achieve their investment objective. Investments in ETFs are also subject to the following risks: (i) the market price of an ETF's shares may trade above or below their NAV; (ii) an active trading market for an ETF's shares may not develop or be maintained; and (iii) trading of an ETF's shares may be halted for a number of reasons.

*COVID-19 Risk.* 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 Funds invest depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn impact the value of the Funds' investments.

**LHA Market State<sup>TM</sup>** **Shares** 

**Report of Independent Registered Public Accounting Firm** 

<br> To the Shareholders of LHA Market State Shares and <br> Board of Trustees of ETF Series Solutions

<u><u>Opinion on the Financial Statements</u></u>

We have audited the accompanying statements of assets and liabilities, including the schedules of investments and open futures contracts, of LHA Market State Shares comprising the Funds listed below (the "Funds"), each a series of ETF Series Solutions, as of December 31, 2022 , the related statements of operations, the statements of changes in net assets, the related notes, and the financial highlights for each of the periods indicated below (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2022, the results of their operations, the changes in net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.

---

| | | | |
|:---|:---|:---|:---|
| Fund Name | Statements of <br> Operations  | Statements <br> of Changes in <br> Net Assets | Financial Highlights |
| LHA Market State Alpha Seeker ETF  | For the year ended December 31, 2022  | For the years ended December 31, 2022 and 2021  | For the years ended December 31, 2022 and 2021 and for the period from May 13, 2020 (commencement of operations) to December 31, 2020 |
| LHA Market State Tactical Beta ETF  | For the year ended December 31, 2022  | For the years ended December 31, 2022 and 2021 | For the years ended December 31, 2022 and 2021 and for the period from September 29, 2020 (commencement of operations) to December 31, 2020  |
| LHA Market State Tactical Q ETF  | For the period from March 14, 2022 (commencement of operations) to December 31, 2022  | For the period from March 14, 2022 (commencement of operations) to December 31, 2022  | For the period from March 14, 2022 (commencement of operations) to December 31, 2022  |

---

<u><u>Basis for Opinion</u></u>

These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting

**LHA Market State<sup>TM</sup>** **Shares** 

**Report of Independent Registered Public Accounting Firm** <br> (Continued)

Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more of Little Harbor Advisors LLC's investment companies since 2018.

![](fp0081711-3_41.jpg)

COHEN & COMPANY, LTD.<br> Milwaukee, Wisconsin <br> February 24, 2023

**LHA Market State<sup>TM</sup>** **Shares** 

**Trustees and Officers** 

(Unaudited)

Additional information about each Trustee of the Trust is set forth below. The address of each Trustee of the Trust is c/o U.S. Bank Global Fund Services, 615 E. Michigan Street, Milwaukee, WI 53202.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Name and<br> Year of Birth** | **Position <br> Held with <br> the Trust** | **Term of <br> Office and <br> Length of <br> Time <br> Served** | **Principal Occupation(s) <br> During Past 5 Years** | **Number of <br> Portfolios <br> in Fund <br> Complex <br> Overseen <br> by Trustee** | **Other <br> Directorships <br> Held <br> by Trustee <br> During <br> Past 5 Years** |
| **Independent Trustees** | **Independent Trustees** | **Independent Trustees** | **Independent Trustees** | **Independent Trustees** | **Independent Trustees** |
| Leonard M. Rush, CPA Born: 1946 | &nbsp;&nbsp;Lead Independent Trustee and Audit Committee Chairman | &nbsp;&nbsp;Indefinite term; since 2012 | &nbsp;&nbsp;Retired; formerly Chief Financial Officer, Robert W. Baird & Co. Incorporated (wealth management firm) (2000–2011). | 57 | &nbsp;&nbsp;Independent Trustee, Managed Portfolio Series (34 portfolios) (since 2011). |
| David A. Massart Born: 1967  | &nbsp;&nbsp;Trustee and Nominating and Governance Committee Chairman | &nbsp;&nbsp;Indefinite term; since 2012 | &nbsp;&nbsp;Partner and Managing Director, Beacon Pointe Advisors, LLC (since 2022); Co-Founder, President, and Chief Investment Strategist, Next Generation Wealth Management, Inc. (2005-2021). | 57 | &nbsp;&nbsp;Independent Trustee, Managed Portfolio Series (34 portfolios) (since 2011). |
| Janet D. Olsen <br> Born: 1956  | &nbsp;&nbsp;Trustee | &nbsp;&nbsp;Indefinite term; since 2018 | &nbsp;&nbsp;Retired; formerly Managing Director and General Counsel, Artisan Partners Limited Partnership (investment adviser) (2000–2013); Executive Vice President and General Counsel, Artisan Partners Asset Management Inc. (2012–2013); Vice President and General Counsel, Artisan Funds, Inc. (investment company) (2001–2012). | 57 | &nbsp;&nbsp;Independent Trustee, PPM Funds (2 portfolios) (since 2018). |
| **Interested Trustee** | **Interested Trustee** | **Interested Trustee** | **Interested Trustee** | **Interested Trustee** | **Interested Trustee** |
| Michael A. Castino Born: 1967 | &nbsp;&nbsp;Trustee and Chairman | &nbsp;&nbsp;Indefinite term; Trustee since 2014; Chairman since 2013 | &nbsp;&nbsp;Senior Vice President, U.S. Bancorp Fund Services, LLC (since 2013); Managing Director of Index Services, Zacks Investment Management (2011–2013). | 57 |  |

---

**LHA Market State<sup>TM</sup>** **Shares** 

**TRUSTEES AND OFFICERS** 

(Unaudited) (Continued)

The officers of the Trust conduct and supervise its daily business. The address of each officer of the Trust is c/o U.S. Bank Global Fund Services, 615 E. Michigan Street, Milwaukee, WI 53202. Additional information about the Trust's officers is as follows:

---

| | | | |
|:---|:---|:---|:---|
| **Name and<br> Year of Birth** | **Position(s)<br> Held with <br> the Trust** | **Term of Office and <br> Length of Time <br> Served** | **Principal Occupation(s)<br> During Past 5 Years** |
| **Principal Officers of the Trust** | **Principal Officers of the Trust** | **Principal Officers of the Trust** | **Principal Officers of the Trust** |
| Kristina R. Nelson <br> Born: 1982 | &nbsp;&nbsp;President | &nbsp;&nbsp;Indefinite term; since 2019 | &nbsp;&nbsp;Senior Vice President, U.S. Bancorp Fund Services, LLC (since 2020); Vice President, U.S. Bancorp Fund Services, LLC (2014–2020). |
| Alyssa M. Bernard <br> Born: 1988 | &nbsp;&nbsp;Vice President | &nbsp;&nbsp;Indefinite term; since 2021 | &nbsp;&nbsp;Vice President, U.S. Bancorp Fund Services, LLC (since 2021); Assistant Vice President, U.S. Bancorp Fund Services, LLC (2018–2021); Attorney, Waddell & Reed Financial, Inc. (2017–2018). |
| Cynthia L. Andrae<br> Born: 1971 | &nbsp;&nbsp;Chief Compliance Officer and Anti-Money Laundering Officer | &nbsp;&nbsp;Indefinite term; since 2022 (other roles since 2021) | &nbsp;&nbsp;Vice President, U.S. Bancorp Fund Services, LLC (since 2019); Compliance Officer, U.S. Bancorp Fund Services, LLC (2015-2019). |
| Kristen M. Weitzel<br> Born: 1977 | &nbsp;&nbsp;Treasurer | &nbsp;&nbsp;Indefinite term; since 2014 (other roles since 2013) | &nbsp;&nbsp;Vice President, U.S. Bancorp Fund Services, LLC (since 2015); Assistant Vice President, U.S. Bancorp Fund Services, LLC (2011–2015). |
| Isabella K. Zoller<br> Born: 1994 | &nbsp;&nbsp;Secretary | &nbsp;&nbsp;Indefinite term; since 2021 (other roles since 2020) | &nbsp;&nbsp;Assistant Vice President, U.S. Bancorp Fund Services, LLC (since 2021); Regulatory Administration Attorney, U.S. Bancorp Fund Services, LLC (since 2019); Regulatory Administration Intern, U.S. Bancorp Fund Services, LLC (2018–2019); Law Student (2016–2019). |
| Jason E. Shlensky <br> Born: 1987 | &nbsp;&nbsp;Assistant Treasurer | &nbsp;&nbsp;Indefinite term; since 2019 | &nbsp;&nbsp;Assistant Vice President, U.S. Bancorp Fund Services, LLC (since 2019); Officer, U.S. Bancorp Fund Services, LLC (2014–2019). |
| Jessica L. Vorbeck <br> Born: 1984  | &nbsp;&nbsp;Assistant Treasurer | &nbsp;&nbsp;Indefinite term; since 2020 | &nbsp;&nbsp;Officer, U.S. Bancorp Fund Services, LLC (since 2018; 2014-2017). |
| Vladimir V. Gurevich<br> Born: 1983 | &nbsp;&nbsp;Assistant Treasurer | &nbsp;&nbsp;Indefinite term; since 2022 | &nbsp;&nbsp;Officer, U.S. Bancorp Fund Services, LLC (since 2021); Fund Administrator, UMB Fund Services, Inc. (2015 -2021). |

---

**LHA Market State<sup>TM</sup>** **Shares** 

**TRUSTEES AND OFFICERS** 

(Unaudited) (Continued)

The Statement of Additional Information ("SAI") includes additional information about the Trustees and is available without charge, upon request, by calling toll free at (800) 617-0004, or by accessing the SEC's website at www.sec.gov, or by accessing the Funds' website at www.lhafunds.com.

**LHA Market State<sup>TM</sup>** **Shares** 

**Expense Example** 

For the Six-Months Ended December 31, 2022

As a shareholder of the Funds you incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of Funds shares, and (2) ongoing costs, including management fees and other Funds expenses. These examples are 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 funds. These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated in the following Expense Example tables.

**Actual Expenses** 

The first line of the table provides information about actual account values based on actual returns 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'' to estimate the expenses you paid on your account during this period.

**Hypothetical Example for Comparison Purposes** 

The second line of the table provides information about hypothetical account values based on a hypothetical return and hypothetical expenses based on the Funds' actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds' actual returns. 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 each Fund 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 Funds 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 costs were included, your costs would have been higher.

**LHA Market State<sup>TM</sup>** **Shares** 

**Expense Example** <br> For the Period Ended December 31, 2022 (Continued)

**LHA Market State**<sup>TM</sup> **Alpha Seeker ETF** 

---

| | | | |
|:---|:---|:---|:---|
|  | **Beginning <br> Account Value <br> July 1, 2022** | **Ending <br> Account Value <br> December 31, 2022** | **Expenses Paid <br> During the Period<sup>(1)</sup>** |
| Actual | $1000.00 | $978.30 | $5.67 |
| Hypothetical (5% annual return before expenses) | $1000.00 | $1019.47 | $5.79 |

---

**LHA Market State**<sup>TM</sup> **Tactical Beta ETF** 

---

| | | | |
|:---|:---|:---|:---|
|  | **Beginning <br> Account Value <br> July 1, 2022** | **Ending <br> Account Value <br> December 31, 2022** | **Expenses Paid <br> During the Period<sup>(2)</sup>** |
| Actual | $1000.00 | $1004.20 | $5.91 |
| Hypothetical (5% annual return before expenses) | $1000.00 | $1019.30 | $5.96 |

---

**LHA Market State**<sup>TM</sup> **Tactical Q ETF** 

---

| | | | |
|:---|:---|:---|:---|
|  | **Beginning <br> Account Value <br> July 1, 2022** | **Ending <br> Account Value <br> December 31, 2022** | **Expenses Paid <br> During the Period<sup>(3)</sup>** |
| Actual | $1000.00 | $938.90 | $7.19 |
| Hypothetical (5% annual return before expenses) | $1000.00 | $1017.79 | $7.48 |

---

<sup>(1)</sup> The dollar amounts shown as expenses paid during the period are equal to the annualized expense ratio, 1.14%, multiplied by the average account value during the six-month period, multiplied by 184/365, to reflect the one-half year period.

<sup>(2)</sup> The dollar amounts shown as expenses paid during the period are equal to the annualized expense ratio, 1.17%, multiplied by the average account value during the six-month period, multiplied by 184/365, to reflect the one-half year period.

<sup>(3)</sup> The dollar amounts shown as expenses paid during the period are equal to the annualized expense ratio, 1.47%, multiplied by the average account value during the six-month period, multiplied by 184/365, to reflect the one-half year period.

**LHA Market State<sup>TM</sup>** **Shares** 

**Review of Liquidity Risk Management Program** 

(Unaudited)

Pursuant to Rule 22e-4 under the Investment Company Act of 1940, the Trust, on behalf of the series of the Trust covered by this shareholder report (the "Series"), has adopted a liquidity risk management program to govern the Trust's approach to managing liquidity risk. Rule 22e-4 seeks to promote effective liquidity risk management, thereby reducing the risk that a fund will be unable to meet its redemption obligations and mitigating dilution of the interests of fund shareholders. The Trust's liquidity risk management program is tailored to reflect the Series' particular risks, but not to eliminate all adverse impacts of liquidity risk, which would be incompatible with the nature of such Series.

The investment adviser to the Series has adopted and implemented its own written liquidity risk management program (the "Program") tailored specifically to assess and manage the liquidity risk of the Series.

At a recent meeting of the Board of Trustees of the Trust, the Trustees received a report pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the period ended December 31, 2021. The report concluded that the Program is reasonably designed to assess and manage the Series' liquidity risk and has operated adequately and effectively to manage such risk. The report reflected that there were no liquidity events that impacted the Series' ability to timely meet redemptions without dilution to existing shareholders. The report further noted that no material changes have been made to the Program since its implementation.

There can be no assurance that the Program will achieve its objectives in the future. Please refer to the prospectus for more information regarding the Series' exposure to liquidity risk and other principal risks to which an investment in the Series may be subject.

**LHA Market State<sup>TM</sup>** **Shares** 

**Federal Tax Information** 

(Unaudited)

**QUALIFIED DIVIDEND INCOME/DIVIDENDS RECEIVED DEDUCTION** 

For the fiscal period ended December 31, 2022, certain dividends paid by the Funds may be subject to a maximum tax rate of 23.8%, 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:

---

| | |
|:---|:---|
| LHA Market State<sup>TM</sup> Alpha Seeker ETF | 0.00% |
| LHA Market State<sup>TM</sup> Tactical Beta ETF | 53.98% |
| LHA Market State<sup>TM</sup> Tactical Q ETF | 0.00% |

---

For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividend received deduction for the period ended December 31, 2022 was as follows:

---

| | |
|:---|:---|
| LHA Market State<sup>TM</sup> Alpha Seeker ETF | 0.00% |
| LHA Market State<sup>TM</sup> Tactical Beta ETF | 55.23% |
| LHA Market State<sup>TM</sup> Tactical Q ETF | 0.00% |

---

The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(C) for each Fund was as follows:

---

| | |
|:---|:---|
| LHA Market State<sup>TM</sup> Alpha Seeker ETF | 0.00% |
| LHA Market State<sup>TM</sup> Tactical Beta ETF | 100.00% |
| LHA Market State<sup>TM</sup> Tactical Q ETF | 0.00% |

---

**LHA Market State<sup>TM</sup>** **Shares** 

**Information About Portfolio Holdings** 

(Unaudited)

The Funds file their complete schedules of portfolio holdings for their first and third fiscal quarters with the SEC on Part F of Form N-PORT. The Funds' Part F of Form N-PORT is available without charge, upon request, by calling toll-free at (800) 617-0004. Furthermore, you may obtain the Part F of Form N-PORT on the SEC's website at <u>www.sec.gov</u>.

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 toll-free at (800) 617-0004, by accessing the SEC's website at <u>www.sec.gov</u>, or by accessing the Funds' website at <u>www.lhafunds.com</u>.

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 toll-free at (800) 617-0004 and (2) the SEC's website at <u>www.sec.gov</u>.

**Frequency Distribution of Premiums and Discounts** <br> (Unaudited)

Information regarding how often shares of the Funds trade on the exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the daily net asset value (NAV) is available, without charge, on the Funds' website at <u>www.lhafunds.com</u>.

***Adviser***

Little Harbor Advisors, LLC <br> 30 Doaks Lane<br> Marblehead, Massachusetts 01945

***Distributor***

Quasar Distributors, LLC<br> 111 East Kilbourn Avenue, Suite 2200<br> Milwaukee, Wisconsin 53202

***Custodian***

U.S. Bank National Association<br> 1555 North Rivercenter Drive, Suite 302<br> Milwaukee, Wisconsin 53212

***Transfer Agent***

U.S. Bancorp Fund Services, LLC<br> 615 East Michigan Street<br> Milwaukee, Wisconsin 53202

***Independent Registered Public Accounting Firm***

Cohen & Company, Ltd.<br> 342 North Water Street, Suite 830<br> Milwaukee, Wisconsin 53202

***Legal Counsel***

Morgan, Lewis & Bockius LLP<br> 1111 Pennsylvania Avenue, NW<br> Washington, DC 20004-2541

**LHA Market State**<sup>TM</sup> **Alpha Seeker ETF** 

Symbol – MSVX<br> CUSIP – 26922A156

**LHA Market State**<sup>TM</sup> **Tactical Beta ETF** 

Symbol – MSTB<br> CUSIP – 26922B105

**LHA Market State**<sup>TM</sup> **Tactical Q ETF** 

Symbol – MSTQ<br> CUSIP – 26922B733

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

**<u>Item 2. Code of Ethics.</u>**

The registrant has adopted a code of ethics that applies to the registrant's principal executive officer and principal financial officer. The registrant has not made any substantive amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.

A copy of the registrant's Code of Ethics is filed herewith.

**<u>Item 3. Audit Committee Financial Expert.</u>**

The registrant's board of trustees has determined that there is at least one audit committee financial expert serving on its audit committee. Mr. Leonard Rush is the "audit committee financial expert" and is considered to be "independent" as each term is defined in Item 3 of Form N-CSR.

**<u>Item 4. Principal Accountant Fees and Services.</u>**

The registrant has engaged its principal accountant to perform audit services, audit-related services, tax services and other services during the past two fiscal years. "Audit services" refer to performing an audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. "Audit-related services" refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. "Tax services" refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. There were no "Other services" provided by the principal accountant. The following table details the aggregate fees billed or expected to be billed for each of the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.

**LHA Market State<sup>TM</sup> Alpha Seeker ETF**

---

| | | |
|:---|:---|:---|
| | FYE 12/31/2022 | FYE 12/31/2021 |
| Audit Fees | &nbsp;&nbsp;&nbsp;&nbsp;$15000 | &nbsp;&nbsp;&nbsp;&nbsp;$15000 |
| Audit-Related Fees | N/A | N/A |
| Tax Fees | $3500 | $3500 |
| All Other Fees | N/A | N/A |

---

**LHA Market State<sup>TM</sup> Tactical Beta ETF**

---

| | | |
|:---|:---|:---|
| | FYE 12/31/2022 | FYE 12/31/2021 |
| Audit Fees | &nbsp;&nbsp;&nbsp;&nbsp;$15000 | $15000 |
| Audit-Related Fees | N/A | N/A |
| Tax Fees | $3500 | $3500 |
| All Other Fees | N/A | N/A |

---

**LHA Market State<sup>TM</sup> Tactical Q ETF**

---

| | | |
|:---|:---|:---|
| | FYE 12/31/2022 | FYE 12/31/2021 |
| Audit Fees | &nbsp;&nbsp;&nbsp;&nbsp;$15000 | N/A |
| Audit-Related Fees | N/A | N/A |
| Tax Fees | $3500 | N/A |
| All Other Fees | N/A | N/A |

---

The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.

The percentage of fees billed by Cohen & Company, Ltd. applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:

**LHA Market State<sup>TM</sup> Alpha Seeker ETF**

---

| | | |
|:---|:---|:---|
| | FYE 12/31/2022 | FYE 12/31/2021 |
| Audit Fees | 0% | 0% |
| Tax Fees | 0% | 0% |
| All Other Fees | 0% | 0% |

---

**LHA Market State<sup>TM</sup> Tactical Beta ETF**

---

| | | |
|:---|:---|:---|
| | FYE 12/31/2022 | FYE 12/31/2021 |
| Audit-Related Fees | 0% | 0% |
| Tax Fees | 0% | 0% |
| All Other Fees | 0% | 0% |

---

**LHA Market State<sup>TM</sup> Tactical Q ETF**

---

| | | |
|:---|:---|:---|
| | FYE 12/31/2022 | FYE 12/31/2021 |
| Audit-Related Fees | 0% | N/A |
| Tax Fees | 0% | N/A |
| All Other Fees | 0% | N/A |

---

All of the principal accountant's hours spent on auditing the registrant's financial statements were attributed to work performed by full-time permanent employees of the principal accountant.

The following table indicates the non-audit fees billed or expected to be billed by the registrant's accountant for services to the registrant and to the registrant's investment adviser (and any other controlling entity, etc.—not sub-adviser) for the last two years.

**LHA Market State<sup>TM</sup> Alpha Seeker ETF**

 

<u>Non-Audit Related Fees</u> <u>FYE 12/31/2022</u> <u>FYE 12/31/2021</u> <br> Registrant N/A N/A <br> <u>Registrant's Investment Adviser</u> <u> N/A </u> <u> N/A </u>

**LHA Market State<sup>TM</sup> Tactical Beta ETF**

 

<u>Non-Audit Related Fees</u> <u>FYE 12/31/2022</u> <u>FYE 12/31/2021</u> <br> Registrant N/A N/A <br> <u>Registrant's Investment Adviser</u> <u> N/A </u> <u> N/A </u>

**LHA Market State<sup>TM</sup> Tactical Q ETF**

<u>Non-Audit Related Fees</u> <u>FYE 12/31/2022</u> <u>FYE 12/31/2021</u> <br> Registrant N/A N/A <br> <u>Registrant's Investment Adviser</u> <u> N/A </u> <u> N/A </u>

The audit committee of the board of trustees/directors has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser is compatible with maintaining the principal accountant's independence and has concluded that the provision of such non-audit services by the accountant has not compromised the accountant's independence.

The registrant has not been identified by the U.S. Securities and Exchange Commission as having filed an annual report issued by a registered public accounting firm branch or office that is located in a foreign jurisdiction where the Public Company Accounting Oversight Board is unable to inspect or completely investigate because of a position taken by an authority in that jurisdiction.

The registrant is not a foreign issuer.

**<u>Item 5. Audit Committee of Listed Registrants.</u>**

The registrant is an issuer as defined in Rule 10A-3 under the Securities Exchange Act of 1934, (the "Act") and has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Act. The independent members of the committee are as follows: Leonard M. Rush, David A. Massart, and Janet D. Olsen.

**<u>Item 6. Investments.</u>**

Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.

**<u>Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.</u>**

Not applicable to open-end investment companies.

**<u>Item 8. Portfolio Managers of Closed-End Management Investment Companies.</u>**

Not applicable to open-end investment companies.

**<u>Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.</u>**

Not applicable to open-end investment companies.

**<u>Item 10. Submission of Matters to a Vote of Security Holders.</u>**

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant's board of Trustees.

**<u>Item 11. Controls and Procedures.</u>**

(a) The Registrant's President (principal executive officer) and Treasurer (principal financial officer) have reviewed the Registrant's
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the "Act")) as of
a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under
the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are
effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported
and made known to them by others within the Registrant and by the Registrant's service provider.

(b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that
occurred during the period covered by this report that has materially affected, or are reasonably likely to materially affect, the Registrant's
internal control over financial reporting.

**<u>Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.</u>**

Not applicable to open-end investment companies.

**<u>Item 13. Exhibits.</u>**

(a) (1) *[Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit.](fp0081711-3_ex99code.htm)* [Filed herewith](fp0081711-3_ex99code.htm) .

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) *[A separate certification for each principal executive officer and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.](fp0081711-3_ex99cert.htm)* [Filed herewith.](fp0081711-3_ex99cert.htm)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3) *Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.* Not applicable to open-end investment companies.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4) *Change in registrant's independent public accountant.* There was no change in the registrant's public accountant for the period covered by this report.

 

*(b)* *[Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.](fp0081711-3_ex99906cert.htm)* [Furnished herewith.](fp0081711-3_ex99906cert.htm)

**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) | ETF Series Solutions |
| By (Signature and Title)\* | /s/ Kristina R. Nelson |
|  | Kristina R. Nelson, President (principal executive officer) |
| Date | 3/8/23 |

---

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/ Kristina R. Nelson |
|  | Kristina R. Nelson, President (principal executive officer) |
| Date | 3/8/23 |
| By (Signature and Title)\* | /s/ Kristen M. Weitzel |
|  | Kristen M. Weitzel, Treasurer (principal financial officer) |
| Date | 3/8/23 |

---

*\* Print the name and title of each signing officer under his or her signature.*

## Ex-99.Code

**ETF Series Solutions**

**Code of Ethics**

**For Principal Executive Officer & Principal Financial Officer**

&nbsp;&nbsp;&nbsp;&nbsp;**I.** **Introduction/Covered Persons** 

ETF Series Solutions (the "Trust") has been successful in large part by managing its business with honesty and integrity. The principal officers of the Trust have an important and elevated role in corporate governance and in promoting investor confidence. To further the ends of ethical and honest conduct among its officers, the Audit Committee of the Board of Trustees of the Trust has adopted this Code of Ethics. This Code of Ethics is designed to comply with Section 406 of the Sarbanes-Oxley Act of 2002 ("Sarbanes-Oxley") and the rules promulgated by the Securities and Exchange Commission (the "SEC") thereunder. This Code of Ethics applies to the principal executive officer, principal financial officer, controller and other senior financial officers of the Trust, as may be identified from time to time by the Audit Committee (collectively, the "Covered Persons").

The Audit Committee shall be responsible for the overall administration of this Code of Ethics, but has delegated to the Trust's Chief Compliance Officer (the "Chief Compliance Officer") the responsibility to oversee the day-to-day operation of this Code of Ethics. This Code of Ethics is in addition to, not in replacement of, the Trust's Code of Ethics for access persons (the "Investment Company Code of Ethics"), adopted pursuant to Rule 17j-1 under the Investment Company Act of 1940, as amended (the "Investment Company Act"). The Covered Persons may also be subject to the Investment Company Code of Ethics.

&nbsp;&nbsp;&nbsp;&nbsp;II. Code of Ethics Requirements

This Code of Ethics requires each Covered Person to:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Act with honesty and integrity, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Provide full, fair, accurate, timely and understandable disclosure in reports submitted to or filed with the SEC and in all other public communications made by the Trust;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Comply with laws, rules and regulations of the federal government, state governments and other regulatory agencies as they apply to the Trust;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. Disclose promptly to the Chief Compliance Officer any violations of this Code of Ethics of which the Covered Person may become aware; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5. Not retaliate against any other Covered Person or any employee of the Trust or their affiliated persons for reports of potential violations that are made in good faith.

&nbsp;&nbsp;&nbsp;&nbsp;III. Conflicts of Interest

A conflict of interest occurs when a Covered Person's private interest interferes in any way—or even appears to interfere—with the interests of the Trust as a whole or with his or her service to the Trust. For example, a conflict of interest would arise if a Covered Person, or a member of his or her family, receives improper personal benefits as a result of his or her position with the Trust.

Certain conflicts of interest arise out of the relationships between Covered Persons and the Trust and already are subject to conflict of interest provisions in the Investment Company Act and the Investment Advisers Act of 1940, as amended (the "Investment Advisers Act"). For example, Covered Persons may not individually engage in certain transactions with the Trust (such as the purchase or sale of securities or other property, except the Trust's own fund shares) because of their status as "affiliated persons" of the Trust. The Trust's and the investment adviser's compliance programs and procedures are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code.

Although typically not presenting an opportunity for improper personal benefit, conflicts may arise from, or as a result of, the contractual relationship between the Trust and its investment adviser and/or administrator of which the Covered Persons are also officers or employees. As a result, this Code recognizes that the Covered Persons will, in the normal course of their duties (whether formally for the Trust or for the adviser and/or administrator, or for both), be involved in establishing policies and implementing decisions that will have different effects on the adviser and/or administrator and the Trust. The participation of the Covered Persons in such activities is inherent in the contractual relationship between the Trust and its investment adviser and/or administrator and is consistent with the performance by the Covered Persons of their duties as officers of the Trust. Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically.

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Persons should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Person should not be placed improperly before the interest of the Trust.

Each Covered Person must:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• not use his or her personal influence or personal relationships improperly to influence investment decisions or financial reporting by the Trust whereby the Covered Person would benefit personally to the detriment of the Trust; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• not cause the Trust to take action, or fail to take action, for the individual personal benefit of the Covered Person rather than for the benefit of the Trust.

There are some conflict of interest situations that should be discussed with the Chief Compliance Officer if material. Examples of these include:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• any ownership interest in, or any consulting or employment relationship with, any of the Trust's service providers, other than its investment adviser, principal underwriter, administrator or any affiliated person thereof; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• a direct or indirect financial interest in commissions, transaction charges or spreads paid by the Trust for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Person's employment, such as compensation or equity ownership.

&nbsp;&nbsp;&nbsp;&nbsp;IV. Accurate, Complete, Timely and Understandable Information

The Covered Persons are responsible for ensuring that Trust's shareholders and the public receive financial and other information that is accurate, complete, timely and understandable. Covered Persons are obligated to comply with all laws and regulations governing the public disclosure of Trust information. All public statements, whether oral or written, must be understandable and accurate, with no material omissions.

The books and records of the Trust must be kept accurate and current to ensure that the public receives information that is full, fair, accurate, complete and timely. The Covered Persons must ensure that transactions are completely and accurately recorded on the Trust's books and records in accordance with generally accepted accounting principles. Economic evaluations must fairly represent all information relevant to the evaluation being made. No secret or unrecorded cash funds or other assets may be established or maintained for any purpose. Each Covered Person shall also comply with the Trust's disclosure controls and procedures and the Trust's internal controls and procedures for financial reporting.

&nbsp;&nbsp;&nbsp;&nbsp;V. Waivers

The Audit Committee may grant a waiver from one or more provisions of this Code of Ethics upon the request of a Covered Person and after a review of the relevant facts and circumstances. The decision by the Audit Committee whether to grant a waiver from this Code of Ethics shall be final.

"Waiver" shall mean the approval of a material departure from a provision of this Code of Ethics. If an executive officer becomes aware of a material departure from a provision of this Code of Ethics by any Covered Person, he or she shall immediately report such violation to the Chief Compliance Officer or the Audit Committee, as appropriate. The Chief Compliance Officer shall promptly report the violation to the Audit Committee. If the Audit Committee fails to take action with respect to the violation within ten business days, the Trust shall be deemed to have made an "implicit waiver" from this Code of Ethics.

If a waiver from one or more provisions of Section II of this Code of Ethics is granted by the Audit Committee to any Covered Person, including an implicit waiver, the Audit Committee shall direct the Trust to (a) post a notice and description of the waiver on the each applicable Fund's website within five business days following the waiver, including the name of the person to whom the Trust granted the waiver and the date of the waiver, maintain such notice on the website for at least 12 months, and retain such notice for a period of at least 6 years following the end of the fiscal year in which the waiver occurred; or (b) include a description of the waiver in the Trust's next report on Form N-CSR relating to the applicable Fund. If the waiver will be disclosed via a Fund's website, the Trust must have first disclosed in its most recent Form N-CSR relating to the applicable Fund that it intends to disclose these events on the Fund's website and website's address.

&nbsp;&nbsp;&nbsp;&nbsp;VI. Amendments

This Code of Ethics may be amended by the Audit Committee as it deems appropriate. If a provision of the Code of Ethics that applies to any Covered Person and that relates to one or more provisions of Section II of this Code is amended, the Audit Committee shall direct the applicable Fund to (a) post a notice and description of the amendment on the Fund's website within five business days following the amendment, maintain such notice on the website for at least 12 months, and retain such notice for a period of at least 6 years following the end of the fiscal year in which the amendment occurred; or (b) include a description of the amendment in the Trust's next report on Form N-CSR relating to the applicable Fund. If the amendment will be disclosed via a Fund's website, the rules applicable to website postings of waivers, discussed in Section V above, apply. Technical, administrative or other non-substantive amendments to the Code of Ethics need not be disclosed.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;VII. Violations

If the Audit Committee becomes aware of an actual or potential violation of this Code of Ethics, it shall direct an investigation into the facts and circumstances surrounding the violation. If a violation is found, the Audit Committee may impose on the Covered Person found to be in violation of this Code of Ethics any of a wide range of consequences as it deems appropriate, including warnings or letters of reprimand for less significant, first-time offenses, fines, reduced professional duties, suspension without pay and, in the most serious cases, termination.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;VIII. Disclosure

The Audit Committee shall direct the Trust to make this Code of Ethics publicly available through one of the following three methods: (1) filing the Code as an exhibit to the Trust's annual report on Form N-CSR relating to each Fund; (2) posting the text of the Code on the applicable Fund's website, provided that the Fund has first disclosed the website's address and intent to provide disclosure in this manner in its most report on Form N-CSR and provided further that the text of the Code remains on the applicable Fund's website for as long as the Trust remains subject to the SEC's rules promulgated under Section 406 of Sarbanes-Oxley ; or (3) providing an undertaking in its most recent report on Form N-CSR relating to each applicable Fund to provide a copy of the Code of Ethics to any person without charge upon request.

&nbsp;&nbsp;&nbsp;&nbsp;IX. Acknowledgement

Each Covered Person shall, in the form attached hereto as Appendix A, acknowledge receipt of and compliance with the Code of Ethics upon adoption of this Code of Ethics or when initially hired, whichever occurs later. Each Covered Person shall annually, in the form attached hereto as Appendix B, acknowledge receipt of and compliance with this Code of Ethics.

&nbsp;&nbsp;&nbsp;&nbsp;X. Confidentiality

All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code or in the course of investigating any alleged violation of this Code, such matters shall not be disclosed to anyone other than the Board, its counsel, the Trust, its counsel, the investment adviser, and its counsel.

&nbsp;&nbsp;&nbsp;&nbsp;XI. Internal Use

The Code is intended solely for the internal use by the Trust and does not constitute an admission, by or on behalf of any Trust, as to any fact, circumstance, or legal conclusion.

**Adopted: March 27, 2012**

**Amended: April 21, 2022**

## Ex-99.Cert

EX.99.CERT

**<u>CERTIFICATIONS</u>**

I, Kristina R. Nelson, certify that:

1. I have reviewed this report on Form N-CSR of ETF Series Solutions;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary
to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period
covered by this report;

3. Based on my knowledge,
the financial statements, and other financial information included in this report, fairly present in all material respects the financial
condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement
of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined
in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision,
to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others
within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under
our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements
for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about
the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based
on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period
covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control
over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee
of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which
are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information;
and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's
internal control over financial reporting.

---

| | | |
|:---|:---|:---|
| Date: | 3/8/23 | /s/ Kristina R. Nelson |
|  |  | Kristina R. Nelson |
|  |  | President (principal executive officer) |
|  |  | ETF Series Solutions |

---

EX.99.CERT

**<u>CERTIFICATIONS</u>**

I, Kristen M. Weitzel, certify that:

1. I have reviewed this report on Form N-CSR of ETF Series Solutions;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary
to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period
covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material
respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required
to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined
in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision,
to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others
within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under
our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements
for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions
about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report
based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period
covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control
over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee
of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which
are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information;
and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's
internal control over financial reporting.

---

| | | |
|:---|:---|:---|
| Date: | 3/8/23 | /s/ Kristen M. Weitzel |
|  |  | Kristen M. Weitzel |
|  |  | Treasurer (principal financial officer) |

---

## Exhibit 99.906

EX.99.906CERT

**<u>Certification Pursuant to Section 906 of the Sarbanes-Oxley Act</u>**

Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, each of the undersigned officers of ETF Series Solutions, does hereby certify, to such officer's knowledge, that the report on Form N-CSR of ETF Series Solutions, for the year ended December 31, 2022 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable, and that the information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of ETF Series Solutions for the stated period.

---

| | |
|:---|:---|
| /s/ Kristina R. Nelson | /s/ Kristen M. Weitzel |
| Kristina R. Nelson | Kristen M. Weitzel |
| President (principal executive officer) | Treasurer (principal financial officer) |
| ETF Series Solutions | ETF Series Solutions |

---

Dated: <u>3/8/23</u> Dated: <u>3/8/23</u>

This statement accompanies this report on Form N-CSR pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and shall not be deemed as filed by ETF Series Solutions for purposes of Section 18 of the Securities Exchange Act of 1934.