Absolute Shares Trust N-CSRCertified annual shareholder report (management investment company)

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Dear Shareholder:

Thank you for reviewing this annual report for the period ended June 30, 2021. Annual reports help convey important information about fund returns, including market factors that affected the Funds’ performance during the reporting period. If you have any questions, we encourage you to contact your financial advisor or WBI directly. You will find additional information, including our daily portfolio holdings, on the WBI ETFs website located at: www.wbietfs.com.

In our experience, the conditions that affect investments are consistently subject to the possibility of uncertainty and change. We believe that the appropriate approach to investing in a volatile world is one that is responsive to continually changing conditions and opportunities. We think that the process should be focused on managing risk as well as on pursuing return. It should be disciplined and have a track record that spans both good times and bad. In short, our opinion is that it should be just like the process we have used for our investment management clients for over 30 years, and continue to use to manage the WBI ETFs today. We believe that the consistent application of this disciplined approach will continue to be extremely valuable and attractive to both current and prospective shareholders.

Here at WBI, we believe preserving capital to unleash the powerful benefits of compounding is the most important element of a successful investment approach. We build outcome-oriented solutions for our clients. We don’t focus on beating the markets every minute of every day, but instead aim to grow capital consistently over time. Our strategies are designed to manage risk to capital, unleash the benefits of compounding, and grow capital efficiently through both good and bad market cycles.

We appreciate your continued faith in our approach and wish you and your families both health and peace as we all navigate through these extraordinary times.

Sincerely,

Following the market’s 35% drop in Q1 of 2020 and the rapid rally off the lows in Q2, the overall market continued to grind higher throughout most of Q3 and Q4 last year as the potential for economic recovery and a temporary decrease in new COVID-19 infections brought continued optimism to some market participants. However, renewed pandemic fears, vaccine trial results, political and economic concerns resulted in significant volatility. In contrast to previous quarters, the best performers in Q4 were small and mid-sized capitalization companies which are very sensitive to changes in economic conditions.

For many years, small-capitalization companies, and especially those with a value bias, have underperformed large-capitalization companies. Even during the post-March market recovery, large technology companies that dominate both the S&P 500 and the NASDAQ Composite indices generally rallied back in force. This is typically common in late-stage bull markets where investors are attracted to the biggest companies with the largest remaining growth potential. However, beginning in Q4 of last year, this relationship started to change.

When coming out of a recessionary environment, however brief it was, and during the early stages of a new business cycle, small-capitalization stocks usually outperform large-capitalization companies due to their greater sensitivity to the economic cycle. This is especially true with value based companies which exhibit quality fundamentals but appear to be undervalued. Throughout Q4 of 2020 and through most of the first half of 2021, smaller capitalization companies with a value bias outperformed large-capitalization companies significantly. Investors were looking for companies that were decimated during the market decline and months that followed, but now show promise of huge gains due to vaccine programs, continued easy monetary policy and indications of significant economic growth potential in the months and years ahead.

Some equity investments directly benefitted from the pandemic. Healthcare companies that worked hard to design COVID-19 treatments and vaccines experienced significant investor demand. So did companies related to the “work-from-home” paradigm shift in which so many employees learned how to be just as productive from home as they are in the office. Those same individuals wanted to keep physically fit, even in the absence of public gyms, which also helped companies that produce home exercise equipment.  However, the vast majority of the market was driven higher by easy monetary policy and bailout programs of central banks around the world, including the Federal Reserve Bank (“Fed”) in the United States. Furthermore, several huge rounds of government fiscal stimulus provided the other necessary fuel to seemingly prevent the economy from stalling out.

The Fed went on a buying spree as it looked to keep interest rates low, provide enough demand to offset supply and prevent another liquidity crisis like those seen earlier in 2020 and during the past recession. One material difference this time was that the Fed wasn’t just buying U.S. Treasury bonds and mortgages. This time they were also using their balance sheet to purchase exchange traded funds that were backed by corporate debt. Much of this corporate debt was issued by companies with so called “junk” ratings that are often well below investment grade (a.k.a. high yield debt). This Fed action was great for those lower-quality companies that desperately needed to borrow money to stay afloat. It is our view that without these stimulus packages and Fed policy accommodation, we would probably be in the midst of another full-blown depression.

Even acknowledging the enormous amount of monetary and fiscal stimulus that was injected into the market, John Williams (President of the New York Federal Reserve Bank) explained, “The coronavirus pandemic has created circumstances we have never experienced before in our lifetimes, and the reality is that the full scale of the economic consequences is still unknown.”  He noted further “To put the current situation in context, we are running more open market operations, for greater sums, than at any time in our history.” So, although the markets have already rebounded and continue to make new highs almost daily due to prospects of returning the country back to “normal” again, the real economic impact is just starting to be revealed and it will be many months, if not years, before the full impact is truly understood.

WBI’s general investment philosophy is based on our belief that protecting capital is essential to providing long-term portfolio growth or a consistent stream of income. We believe it is important to offer a variety of alternatives that investors can choose from as they address changing circumstances. The ability to adapt and evolve as risks and opportunities appear is the key to pursuing a stable outcome in an uncertain world. The goal of the WBI ETFs (or the “Funds”) is to provide consistent, attractive returns with less volatility and risk to capital than traditional approaches.

WBI ETFs include actively managed, passive (“smart-beta”) and trend-switch based portfolio strategies. Actively managed equity strategies include multifactor security selection models paired with our advanced dynamic trailing stop loss process to protect capital. Actively managed fixed income strategies rely on a blend of quantitative models and tactical fixed income allocation decisions. The passively managed smart-beta strategy is designed to provide an investment alternative for clients seeking returns based on multifactor security selection models in a portfolio that is generally fully invested and rebalances quarterly. The trend-switch strategy utilizes quantitative trend models to optimize risk and return for domestic stock and fixed income exposure.

With the exception of the passive index fund, the WBI Power Factor^® High Dividend ETF, the strategies used in the management of the Funds do not attempt to replicate or track the performance of any index and differ significantly from the methods used to construct and maintain the indices that serve as their respective benchmarks. The three actively managed equity-focused funds (the “Active Equity Funds”) typically use proprietary processes to screen, rank, and purchase securities with particular attributes, and sell securities when certain thresholds are reached, while benchmark indices are unmanaged, and consist of a passive representation of all securities that meet the definition of the index constituents. In addition, each Active Equity Fund uses strategies intended to mitigate volatility and protect capital, and as a result these Funds will often have a significant allocation to cash equivalents. Therefore, while each Active Equity Fund’s performance includes the effect of an investment in cash equivalents from the proceeds of sales when certain thresholds are met, benchmark indices do not include an allocation to cash equivalents.

A distinguishing characteristic of cash equivalents is that their prices are extremely stable and not subject to the levels of price volatility generally exhibited by other investments. Therefore, in periods during which the prices of the securities represented in benchmark indices are falling, an allocation to cash equivalents may contribute to Active Equity Fund performance that is superior to that of their benchmarks. In periods during which the prices of the securities represented in benchmark indices are rising, an allocation to cash equivalents in an Active Equity Fund may cause its performance to trail that of its benchmark.

Similarly, the WBI BullBear Global Income ETF (the “Active Income Fund”), as well as the WBI BullBear Trend Switch US 3000 Total Return ETF (the “Trend Switch Fund”) do not attempt to replicate or track the performance of any index and differ significantly from the methods used to construct and maintain the index that serves as their respective benchmarks. The Trend Switch Fund aims to optimize risk and return by utilizing both a quantitative equity model (the “Equity Model”) to evaluate when conditions are deemed favorable for equity market exposure, and a quantitative bond model (the “Bond Model”) which is used to identify the credit quality and duration exposure that will be implemented in the Fund. The WBI BullBear Global Income ETF strategy currently relies upon a combination of the Bond Model’s recommended exposure along with tactical investments in perceived lower risk and higher return opportunities in varying segments of the fixed income or equity markets.

The WBI Power Factor^® High Dividend ETF (the “Passive Index Fund”) is intended to track its underlying index, the Solactive Power Factor^™ High Dividend GTR Index, and can reasonably be compared to the index in evaluating its performance.

For the fiscal year ended June 30, 2021, the WBI BullBear Value 3000 ETF (WBIF) returned +25.59% on a Net Asset Value (“NAV”) basis, and +25.63% based on market value, versus the +45.40% return of the Russell 3000 Value Total Return Index, the Fund’s benchmark.

Highlights:

For the fiscal year ended June 30, 2021, the WBI BullBear Yield 3000 ETF (WBIG) returned +20.36% on a NAV basis, and +20.46% based on market value, versus the +45.40% return of the Russell 3000 Value Total Return Index, the Fund’s benchmark.

Highlights:

For the fiscal year ended June 30, 2021, the WBI BullBear Quality 3000 ETF (WBIL) returned +18.21% on a NAV basis, and +18.22% based on market value, versus the +44.16% return of the Russell 3000 Total Return Index, the Fund’s benchmark.

Highlights:

For the fiscal year ended June 30, 2021, the WBI BullBear Global Income ETF (WBII) returned +9.48% on a NAV basis, and +9.35% based on market value, versus the -0.33% return of the Bloomberg Barclays US Aggregate Bond Total Return Index, the Fund’s benchmark.

Highlights:

For the fiscal year ended June 30, 2021, the WBI Power Factor^® High Dividend ETF (WBIY) returned +53.09% on a NAV basis, and +53.40% based on market value, versus the +45.40% return of the Russell 3000 Value Total Return Index, the Fund’s benchmark, and versus the +52.51% return of the Solactive Power Factor^TM High Dividend GTR Index, the Fund’s underlying index.

Highlights:

For the fiscal year ended June 30, 2021, the WBI BullBear Trend Switch US 3000 Total Return ETF (WBIT) returned +23.42% on a NAV basis, and +23.01% based on market value, versus the +44.16% of the Russell 3000 Total Return Index, the Fund’s benchmark.

Highlights:

Opinions expressed are those of WBI Investments, Inc. (“WBI”), the Funds’ investment sub-adviser, are subject to change, are not guaranteed, and should not be construed as recommendations or investment advice or a solicitation to purchase or sell securities referenced in the Investment Commentary.

Exchange Traded Fund investing involves risk. Principal loss is possible. The Funds invest in emerging market and foreign securities which involve political, economic and currency risks, greater volatility and differences in accounting methods. These risks can be greater in emerging markets. The Funds invest in smaller and medium sized companies, which involve additional risks such as limited liquidity and greater volatility. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investments by the Funds in lower-rated and non-rated securities present a greater risk of loss to principal and interest than higher-rated securities. Investments in mortgage-backed securities may involve additional risks, such as credit risk, prepayment risk, possible illiquidity and default, and susceptibility to adverse economic developments. Because the Funds invest in other exchange-traded funds (“ETFs”), they are subject to additional risks that do not apply to conventional funds, including the risks that the market price of an ETF’s shares may trade at a discount to its net asset value (“NAV”), an active secondary trading market may not develop or be maintained, or trading may be halted by the exchange in which they trade, which may impact a Fund’s ability to sell its shares. The Funds may invest in exchange-traded notes (“ETN”), which are subject to the credit risk of the issuer. Additional risks include volatility, lack of liquidity, and sensitivity to currencies, commodities markets, and interest rate changes. The Funds may invest in Real Estate Investment Trusts (REIT). Risks commonly associated with the direct ownership of real estate include fluctuations in the value of underlying properties, defaults by borrowers or tenants, changes in interest rates and risks related to general or local economic conditions. The Funds may invest in master limited partnerships (“MLP”), which are subject to certain risks inherent in the structure of MLPs, including complex tax structure risks, the limited ability for election or removal of management, limited voting rights, potential dependence on parent companies or sponsors for revenues to satisfy obligations, and potential conflicts of interest between partners, members and affiliates. The Funds may also use options and future contracts, which have the risk of unlimited losses of the underlying holdings due to unanticipated market movements, and failure to correctly predict the direction of securities prices, interest rates and currency exchange rates. The investment in options is not suitable for all investors. Diversification does not assure a profit or protect against a loss in a declining market.

An investment in money market funds is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency. Although money market funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in these funds.

A stop loss order directs a brokerage firm to sell a specified security at the prevailing market price should that security’s price fall to or below a stipulated price. A stop limit order directs a brokerage firm to sell a specified security should that security’s price fall to or below a stipulated price, but only if the transaction can be executed at or above the limit price given as part of the order. The Funds use the Sub Advisor’s proprietary Dynamic Trailing Stop Loss System (DTS), which is designed to help control the risk to invested capital when investing in volatile securities and markets. The DTS is not a stop loss order or stop limit order placed with a brokerage firm, but an internal process for monitoring price movements. While the DTS may be used to initiate the process for selling a security, it does not assure that a particular execution price will be received.

Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. References to other funds should not be interpreted as an offer of these securities. For a complete list of Fund holdings, please refer to the Schedule of Investments in this report.

Any tax or legal information provided is merely a summary of our understanding and interpretation of some of the current income tax regulations and is not exhaustive. Investors must consult their tax advisor or legal counsel for advice and information concerning their particular situation. Neither the Funds nor any of their representatives may give legal or tax advice.

This report must be preceded or accompanied by a prospectus.

WBI Exchange Traded Funds are distributed by Foreside Fund Services, LLC.

Unless otherwise indicated, the source for index price and performance data used in the discussion of market conditions and market commentary is Bloomberg.

The Russell 3000 Total Return Index is a float-adjusted market-cap weighted index that includes 3,000 stocks and covers 98% of the U.S. equity investable universe.

The Russell 3000 Value Total Return Index uses the value characteristic book-to-price ratio to create a style index based upon the Russell 3000 that contains companies with lower predicted and historical growth rates.

The Bloomberg Barclays US Aggregate Bond Total Return Index is calculated based on the U.S. dollar denominated, investment grade fixed-rate taxable bond market including treasury, government-related, corporate, MBS, ABS and CMBS debt, and includes the performance effect of income earned by securities in the index.

The Solactive Power Factor^TM High Dividend GTR Index is constructed by scoring each ordinary dividend paying, common stock constituent from the 3,000 largest U.S. companies both directly and relative to industry peers using the three Power Factors and ranking those securities in descending order according to their dividend indicated yield. The 50 companies with the largest dividend indicated yield are subsequently chosen as Index components.

The Dow Jones Industrial Average (DJIA or “The Dow”) is a price-weighted average of 30 of the largest blue-chip issues traded on the New York Stock Exchange.

The S&P 500 Index is a float-market-cap-weighted average of 500 large-cap U.S. companies in all major sectors.

The NASDAQ Composite Index is a market-value weighted index of all common stocks listed on NASDAQ.

The Russell 1000 Index is a float-adjusted market-cap weighted index that includes the largest 1,000 stocks by market-cap of the Russell 3000 Index.

The Russell 2000 Index is a float-adjusted market-cap weighted index that includes the smallest 2,000 stocks by market-cap of the Russell 3000 Index.

The Russell 1000 Value Index uses the value characteristic book-to-price ratio to create a style index based upon the Russell 1000 that contains companies with lower predicted and historical growth rates.

The Russell 2000 Value Index uses the value characteristic book-to-price ratio to create a style index based upon the Russell 2000 that contains companies with lower predicted and historical growth rates.

Due to the close proximity of the NAV and market returns for the Fund throughout the time period depicted in the graph, the separation of the respective line charts shown above may not be clearly visible.

This chart illustrates the performance of a hypothetical $10,000 investment made on August 25, 2014, 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.

Due to the close proximity of the NAV and market returns for the Fund throughout the time period depicted in the graph, the separation of the respective line charts shown above may not be clearly visible.

This chart illustrates the performance of a hypothetical $10,000 investment made on August 25, 2014, 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.

Due to the close proximity of the NAV and market returns for the Fund throughout the time period depicted in the graph, the separation of the respective line charts shown above may not be clearly visible.

This chart illustrates the performance of a hypothetical $10,000 investment made on August 25, 2014, 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.

Due to the close proximity of the NAV and market returns for the Fund throughout the time period depicted in the graph, the separation of the respective line charts shown above may not be clearly visible.

This chart illustrates the performance of a hypothetical $10,000 investment made on August 25, 2014, 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.

Due to the close proximity of the NAV and market returns for the Fund throughout the time period depicted in the graph, the separation of the respective line charts shown above may not be clearly visible.

This chart illustrates the performance of a hypothetical $10,000 investment made on December 19, 2016, 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.

Due to the close proximity of the NAV and market returns for the Fund throughout the time period depicted in the graph, the separation of the respective line charts shown above may not be clearly visible.

This chart illustrates the performance of a hypothetical $10,000 investment made on May 28, 2019, 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.

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The Global Industry Classification Standard (GICS^®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

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The Global Industry Classification Standard (GICS^®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

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The Global Industry Classification Standard (GICS^®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

_________

The Global Industry Classification Standard (GICS^®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

_________

The Global Industry Classification Standard (GICS^®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

_________

The Global Industry Classification Standard (GICS^®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.