Certified Semi-annual Shareholder Report for Management Investment Companies (n-csrs)

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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number 811-22917

Absolute Shares Trust
(Exact name of registrant as specified in charter)

Millington Securities, Inc.

331 Newman Springs Rd Suite 122

Red Bank, New Jersey 07701
(Address of principal executive offices) (Zip code)

Don Schreiber, Jr.

Millington Securities, Inc.

331 Newman Springs Rd Suite 122

Red Bank, New Jersey 07701
(Name and address of agent for service)

(732) 842-4920

Registrant's telephone number, including area code

Date of fiscal year end: June 30

Date of reporting period: December 31, 2019

Item 1. Reports to Stockholders.

SEMI-ANNUAL REPORT

December 31, 2019

WBI BullBear Rising Income 3000 ETF | WBIE

WBI BullBear Value 3000 ETF | WBIF

WBI BullBear Yield 3000 ETF | WBIG

WBI BullBear Quality 3000 ETF | WBIL

WBI BullBear Global Income ETF | WBII

WBI Power Factor^® High Dividend ETF | WBIY

WBI BullBear Trend Switch US 3000 Total Return ETF | WBIT

WBI BullBear Trend Switch US Total Return ETF | WBIN

Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Funds’ shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the Funds’ reports from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. Please contact your financial intermediary to elect to receive shareholder reports and other Fund communications electronically.

You may elect to receive all future reports in paper free of charge. Please contact your financial intermediary to inform them that you wish to continue receiving paper copies of shareholder reports and for details about whether your election to receive reports in paper will apply to all funds held with your financial intermediary.

Absolute Shares Trust

Table of Contents

Portfolio Allocations	1
Schedules of Investments	2
Statements of Assets and Liabilities	15
Statements of Operations	17
Statements of Changes in Net Assets	19
Financial Highlights	21
Notes to Financial Statements	25
Expense Examples	34
Approval of Advisory Agreements and Board Considerations	37
Information About the Portfolio Holdings	39
Information About Proxy Voting	39
Information About the Funds’ Trustees	39
Frequency Distributions of Premiums and Discounts	39

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Absolute Shares Trust

Portfolio Allocations

As of December 31, 2019 (Unaudited)

WBI BullBear Rising Income 3000 ETF
	Percentage of
Industry Group	Net Assets
Banks	15.3%
Pharmaceuticals,
Biotechnology & Life Sciences	11.4%
Capital Goods	7.4%
Technology Hardware &
Equipment	7.1%
Food, Beverage & Tobacco	6.7%
Diversified Financials	5.6%
Retailing	5.4%
Short-Term Investments and
Other Assets and Liabilities	5.3%
Software & Services	5.2%
Semiconductors &
Semiconductor Equipment	5.2%
Media & Entertainment	4.2%
Insurance	4.2%
Health Care Equipment
& Services	4.0%
Telecommunication Services	3.4%
Transportation	3.1%
Consumer Services	2.5%
Commercial &
Professional Services	1.6%
Materials	1.4%
Household & Personal Products	1.0%
TOTAL	100.0%

WBI BullBear Value 3000 ETF
	Percentage of
Industry Group	Net Assets
Health Care Equipment
& Services	14.1%
Diversified Financials	11.6%
Banks	10.7%
Capital Goods	10.5%
Software & Services	8.1%
Semiconductors &
Semiconductor Equipment	6.7%
Insurance	6.6%
Materials	6.1%
Technology Hardware
& Equipment	4.2%
Telecommunication Services	4.0%
Pharmaceuticals,
Biotechnology & Life Sciences	3.5%
Retailing	3.5%
Consumer Services	2.7%
Food, Beverage & Tobacco	2.5%
Household & Personal Products	1.6%
Transportation	1.6%
Consumer Durables & Apparel	1.2%
Short-Term Investments and
Other Assets and Liabilities	0.8%
TOTAL	100.0%

WBI BullBear Yield 3000 ETF
	Percentage of
Industry Group	Net Assets
Banks	15.5%
Diversified Financials	12.4%
Capital Goods	11.1%
Pharmaceuticals,
Biotechnology & Life Sciences	10.0%
Retailing	7.5%
Transportation	5.0%
Technology
Hardware & Equipment	4.3%
Health Care Equipment & Services	4.2%
Telecommunication Services	4.0%
Materials	4.0%
Utilities	3.8%
Food, Beverage & Tobacco	3.5%
Consumer Durables & Apparel	3.3%
Software & Services	3.2%
Consumer Services	2.8%
Household & Personal Products	1.3%
Short-Term Investments and
Other Assets and Liabilities	0.8%
Semiconductors &
Semiconductor Equipment	0.8%
Food & Staples Retailing	0.7%
Automobiles & Components	0.5%
Media & Entertainment	0.5%
Commercial &
Professional Services	0.4%
Insurance	0.4%
TOTAL	100.0%

WBI BullBear Quality 3000 ETF
	Percentage of
Industry Group	Net Assets
Diversified Financials	15.6%
Software & Services	11.3%
Pharmaceuticals,
Biotechnology & Life Sciences	10.8%
Capital Goods	9.1%
Household & Personal Products	9.0%
Materials	7.1%
Banks	6.2%
Semiconductors &
Semiconductor Equipment	5.4%
Food, Beverage & Tobacco	4.4%
Health Care Equipment & Services	4.3%
Technology
Hardware & Equipment	4.3%
Consumer Durables & Apparel	3.1%
Transportation	3.0%
Retailing	2.9%
Automobiles & Components	1.4%
Telecommunication Services	1.0%
Short-Term Investments and
Other Assets and Liabilities	0.7%
Commercial &
Professional Services	0.4%
TOTAL	100.0%

WBI BullBear Global Income ETF
	Percentage of
Industry Group	Net Assets
Exchange Traded Funds	98.6%
Short-Term Investments and
Other Assets and Liabilities	1.4%
TOTAL	100.0%

WBI Power Factor^® High Dividend ETF
	Percentage of
Industry Group	Net Assets
Energy	16.6%
Materials	13.7%
Retailing	13.4%
Food, Beverage & Tobacco	9.9%
Automobiles & Components	8.6%
Telecommunication Services	6.0%
Pharmaceuticals,
Biotechnology & Life Sciences	5.3%
Consumer Services	4.3%
Diversified Financials	4.3%
Banks	4.1%
Technology
Hardware & Equipment	4.0%
Consumer Durables & Apparel	2.4%
Media & Entertainment	2.3%
Software & Services	1.4%
Insurance	1.3%
Transportation	0.8%
Short-Term Investments and
Other Assets and Liabilities	0.6%
Capital Goods	0.4%
Commercial &
Professional Services	0.3%
Food & Staples Retailing	0.3%
TOTAL	100.0%

WBI BullBear Trend Switch
US 3000 Total Return ETF
	Percentage of
Industry Group	Net Assets
Exchange Traded Funds	99.1%
Short-Term Investments and
Other Assets and Liabilities	0.9%
TOTAL	100.0%

WBI BullBear Trend Switch
US Total Return ETF
	Percentage of
Industry Group	Net Assets
Exchange Traded Funds	99.1%
Short-Term Investments and
Other Assets and Liabilities	0.9%
TOTAL	100.0%

Absolute Shares Trust

WBI BullBear Rising Income 3000 ETF

Schedule of Investments

December 31, 2019 (Unaudited)

Shares		Security Description	Value
COMMON STOCKS — 94.7%

Banks — 15.3%
	35,949	Comerica, Inc.	$	2,579,341
		BancShares, Inc. — Class A		149,019
	51,311	KeyCorp		1,038,534
	13,540	PNC Financial Services Group, Inc. +		2,161,390
	29,783	Wintrust Financial Corporation		2,111,615
	5,733	Zions Bancorporation		297,657
				8,337,556
Capital Goods — 7.4%
	20,661	Allegion plc		2,573,121
	3,663	Federal Signal Corporation		118,132
	4,004	Fortune Brands Home & Security, Inc.		261,621
	1,965	Hubbell, Inc.		290,466
	3,077	Illinois Tool Works, Inc. +		552,721
	3,204	MSC Industrial Direct
		Company, Inc. — Class A +		251,418
				4,047,479
Commercial & Professional Services — 1.6%
	23,885	HNI Corporation		894,732

Consumer Services — 2.5%
	22,127	Carnival Corporation +		1,124,715
	11,166	Wendy’s Company		247,997
				1,372,712
Diversified Financials — 5.6%
	5,821	Cboe Global Markets, Inc.		698,520
	19,608	Intercontinental Exchange, Inc.		1,814,720
	1,992	S&P Global, Inc.		543,916
				3,057,156
Food, Beverage & Tobacco — 6.7%
	38,658	Campbell Soup Company +		1,910,478
	11,765	Hershey Company		1,729,220
				3,639,698
Health Care Equipment & Services — 4.0%
	2,182	Edwards Lifesciences Corporation*		509,039
	2,950	Humana, Inc. +		1,081,234
	5,358	Quest Diagnostics, Inc.		572,181
				2,162,454
Household & Personal Products — 1.0%
	2,736	Estee Lauder Companies, Inc. —
		Class A		565,093

Insurance — 4.2%
	45,291	Fidelity National Financial, Inc.		2,053,947
	1,479	Reinsurance Group of America, Inc.		241,166
				2,295,113
Materials — 1.4%
	918	Sherwin-Williams Company		535,690
	7,661	Silgan Holdings, Inc.		238,104
				773,794
Media & Entertainment — 4.2%
	38,686	Activision Blizzard, Inc. +		2,298,722

Pharmaceuticals, Biotechnology & Life Sciences — 11.4%
	26,371	AbbVie, Inc.		2,334,888
	2,378	Amgen, Inc.		573,265
	35,826	Bristol-Myers Squibb Company		2,299,671
	11,363	Merck & Company, Inc.		1,033,465
				6,241,289
Retailing — 5.4%
	15,275	eBay, Inc. +		551,580
	18,544	Ross Stores, Inc.		2,158,893
	3,426	Williams-Sonoma, Inc. +		251,605
				2,962,078
Semiconductors & Semiconductor Equipment — 5.2%
	6,100	QUALCOMM, Inc.		538,203
	33,549	Teradyne, Inc. +		2,287,706
				2,825,909
Software & Services — 5.2%
	3,863	Amdocs, Ltd.		278,870
	12,285	CSG Systems International, Inc.		636,117
	5,902	Microsoft Corporation		930,746
	5,319	Visa, Inc. — Class A +		999,440
				2,845,173
Technology Hardware & Equipment — 7.1%
	37,620	Benchmark Electronics, Inc.		1,292,623
	18,055	CDW Corporation		2,578,976
				3,871,599
Telecommunication Services — 3.4%
	30,514	Verizon Communications, Inc.		1,873,560

Transportation — 3.1%
	4,394	Ryder System, Inc.		238,638
	6,799	Southwest Airlines Company		367,010
	9,344	United Parcel Service, Inc. —
		Class B +		1,093,809
				1,699,457
TOTAL COMMON STOCKS
(Cost $47,216,260)				51,763,574

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

Absolute Shares Trust

WBI BullBear Rising Income 3000 ETF

Schedule of Investments

December 31, 2019 (Unaudited) (concluded)

Shares/
Amount		Security Description	Value
SHORT-TERM INVESTMENTS — 1.7%
	948,929	U.S. Bank Money Market
		Deposit Account, 1.50%	$	948,929
TOTAL SHORT-TERM INVESTMENTS
(Cost $948,929)				948,929

INVESTMENTS PURCHASED WITH PROCEEDS
FROM SECURITIES LENDING — 20.7%
	11,335,408	Mount Vernon Liquid Assets
		Portfolio, LLC, 1.81% (a)(b)		11,335,408
TOTAL INVESTMENTS PURCHASED WITH
PROCEEDS FROM SECURITIES LENDING
(Cost $11,335,408)				11,335,408
TOTAL INVESTMENTS — 117.1%
(Cost $59,500,597)				64,047,911
Liabilities in Excess of Other Assets — (17.1)%				(9,347,113	)
NET ASSETS — 100.0%			$	54,700,798

_________

+	All or a portion of this security is on loan as of December 31, 2019. Total value of securities on loan is $11,105,938.
*	Non-income producing security.
(a)	The rate quoted is the annualized seven-day yield as of December 31, 2019.
(b)	Privately offered liquidity fund.

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 accompanying notes are an integral part of these financial statements.

Absolute Shares Trust

WBI BullBear Value 3000 ETF

Schedule of Investments

December 31, 2019 (Unaudited)

Shares		Security Description	Value
COMMON STOCKS — 99.2%

Banks — 10.7%
	62,584	Associated Banc-Corporation	$	1,379,351
	20,447	Citizens Financial Group, Inc. +		830,353
	82,433	First Horizon National Corporation +		1,365,090
	13,013	PNC Financial Services Group, Inc.		2,077,265
	7,502	Renasant Corporation		265,721
				5,917,780
Capital Goods — 10.5%
	12,630	Cummins, Inc.		2,260,265
	3,125	Illinois Tool Works, Inc.		561,344
	2,138	MSC Industrial Direct
		Company, Inc. — Class A +		167,769
	1,381	Snap-on, Inc. +		233,941
	7,644	W.W. Grainger, Inc.		2,587,647
				5,810,966
Consumer Durables & Apparel — 1.2%
	44,807	Hanesbrands, Inc. +		665,384

Consumer Services — 2.7%
	4,247	Boyd Gaming Corporation +		127,155
	28,695	Yum China Holdings, Inc.		1,377,647
				1,504,802
Diversified Financials — 11.6%
	19,317	Intercontinental Exchange, Inc.		1,787,788
	22,826	Morgan Stanley		1,166,865
	166,892	Navient Corporation		2,283,083
	7,237	Raymond James Financial, Inc.		647,422
	2,028	S&P Global, Inc.		553,745
				6,438,903
Food, Beverage & Tobacco — 2.5%
	9,250	Hershey Company		1,359,565

Health Care Equipment & Services — 14.1%
	2,580	Anthem, Inc.		779,237
	3,326	Edwards Lifesciences Corporation*		775,923
	7,267	Humana, Inc. +		2,663,501
	12,131	Quest Diagnostics, Inc.		1,295,469
	7,812	UnitedHealth Group, Inc.		2,296,572
				7,810,702
Household & Personal Products — 1.6%
	4,174	Estee Lauder
		Companies, Inc. — Class A		862,098

Insurance — 6.6%
	2,296	Assurant, Inc. +		300,960
	25,697	Fidelity National Financial, Inc.		1,165,359
	20,788	Globe Life, Inc.		2,187,937
				3,654,256
Materials — 6.1%
	3,510	Avery Dennison Corporation		459,178
	35,133	H.B. Fuller Company +		1,811,809
	8,047	PolyOne Corporation		296,049
	937	Sherwin-Williams Company		546,777
	9,088	Silgan Holdings, Inc.		282,455
				3,396,268
Pharmaceuticals, Biotechnology & Life Sciences — 3.5%
	3,629	Amgen, Inc.		874,843
	11,379	Merck & Company, Inc.		1,034,920
				1,909,763
Retailing — 3.5%
	15,524	eBay, Inc.		560,572
	10,548	Target Corporation		1,352,359
				1,912,931
Semiconductors & Semiconductor Equipment — 6.7%
	22,716	NXP Semiconductors NV		2,890,838
	9,298	QUALCOMM, Inc.		820,363
				3,711,201
Software & Services — 8.1%
	15,640	Cognizant Technology Solutions
		Corporation — Class A		969,993
	34,630	CSG Systems International, Inc.		1,793,141
	5,265	Microsoft Corporation		830,291
	4,637	Visa, Inc. — Class A +		871,292
				4,464,717
Technology Hardware & Equipment — 4.2%
	16,336	CDW Corporation		2,333,434

Telecommunication Services — 4.0%
	36,236	Verizon Communications, Inc.		2,224,890

Transportation — 1.6%
	7,743	United Parcel Service, Inc. — Class B		906,396
TOTAL COMMON STOCKS
(Cost $51,511,264)				54,884,056

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

Absolute Shares Trust

WBI BullBear Value 3000 ETF

Schedule of Investments

December 31, 2019 (Unaudited) (concluded)

Shares/
Amount		Security Description	Value
SHORT-TERM INVESTMENTS — 1.1%
	603,224	U.S. Bank Money Market
		Deposit Account, 1.50%	$	603,224
TOTAL SHORT-TERM INVESTMENTS
(Cost $603,224)				603,224

INVESTMENTS PURCHASED WITH PROCEEDS
FROM SECURITIES LENDING — 12.9%
	7,119,271	Mount Vernon Liquid Assets
		Portfolio, LLC, 1.81% (a)(b)		7,119,271
TOTAL INVESTMENTS PURCHASED WITH
PROCEEDS FROM SECURITIES LENDING
(Cost $7,119,271)				7,119,271
TOTAL INVESTMENTS — 113.2%
(Cost $59,233,759)				62,606,551
Liabilities in Excess of Other Assets — (13.2)%				(7,298,495	)
NET ASSETS — 100.0%			$	55,308,056

_________

+	All or a portion of this security is on loan as of December 31, 2019. Total value of securities on loan is $6,952,007.
*	Non-income producing security.
(a)	The rate quoted is the annualized seven-day yield as of December 31, 2019.
(b)	Privately offered liquidity fund.

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

Absolute Shares Trust

WBI BullBear Yield 3000 ETF

Schedule of Investments

December 31, 2019 (Unaudited)

Shares		Security Description	Value
COMMON STOCKS — 99.2%

Automobiles & Components — 0.5%
	22,962	Dana, Inc.	$	417,908

Banks — 15.5%
	48,640	Bank OZK +		1,483,763
	18,308	Citizens Financial Group, Inc.		743,488
	12,510	First Hawaiian, Inc.		360,914
	205,930	Huntington Bancshares, Inc.		3,105,424
	80,256	KeyCorp		1,624,381
	10,415	PacWest Bancorp +		398,582
	306	Park National Corporation		31,328
	19,819	PNC Financial Services Group, Inc. +		3,163,707
	57,743	Regions Financial Corporation		990,870
	13,815	Trustmark Corporation +		476,756
				12,379,213
Capital Goods — 11.1%
	9,920	Cummins, Inc.		1,775,283
	33,284	Eaton Corporation plc		3,152,661
	35,651	Emerson Electric Company		2,718,745
	4,456	Illinois Tool Works, Inc. +		800,431
	5,150	MSC Industrial Direct
		Company, Inc. — Class A +		404,121
				8,851,241
Commercial & Professional Services — 0.4%
	13,808	Knoll, Inc.		348,790

Consumer Durables & Apparel — 3.3%
	179,405	Hanesbrands, Inc. +		2,664,164

Consumer Services — 2.8%
	30,479	Carnival Corporation +		1,549,247
	2,179	Domino’s Pizza, Inc. +		640,147
				2,189,394
Diversified Financials — 12.4%
	76,154	Apollo Global Management, Inc. +		3,633,307
	28,260	Intercontinental Exchange, Inc.		2,615,463
	128,296	Invesco, Ltd.		2,306,762
	7,168	OneMain Holdings, Inc.		302,131
	3,608	S&P Global, Inc.		985,165
				9,842,828
Food & Staples Retailing — 0.7%
	14,546	Weis Markets, Inc. +		588,968

Food, Beverage & Tobacco — 3.5%
	55,803	Campbell Soup Company +		2,757,784

Health Care Equipment & Services — 4.2%
	3,952	Edwards Lifesciences Corporation*		921,962
	8,258	UnitedHealth Group, Inc.		2,427,687
				3,349,649
Household & Personal Products — 1.3%
	4,955	Estee Lauder Companies, Inc. —
		Class A		1,023,406

Insurance — 0.4%
	5,690	First American Financial Corporation		331,841

Materials — 4.0%
	54,727	Greif, Inc. — Class A +		2,418,934
	1,332	Sherwin-Williams Company		777,275
				3,196,209
Media & Entertainment — 0.5%
	7,972	John Wiley & Sons, Inc. — Class A +		386,801

Pharmaceuticals, Biotechnology & Life Sciences — 10.0%
	15,411	AbbVie, Inc. +		1,364,490
	4,306	Amgen, Inc.		1,038,047
	51,678	Bristol-Myers Squibb Company		3,317,211
	24,404	Merck & Company, Inc.		2,219,544
				7,939,292
Retailing — 7.5%
	35,626	Best Buy Company, Inc.		3,127,963
	28,431	Buckle, Inc.		768,774
	27,654	eBay, Inc. +		998,586
	24,594	Rent-A-Center, Inc. +		709,291
	5,040	Williams-Sonoma, Inc. +		370,138
				5,974,752
Semiconductors & Semiconductor Equipment — 0.8%
	9,290	Teradyne, Inc.		633,485

Software & Services — 3.2%
	3,902	Accenture plc — Class A +		821,644
	11,907	CSG Systems International, Inc.		616,544
	5,762	Visa, Inc. — Class A +		1,082,680
				2,520,868
Technology Hardware & Equipment — 4.3%
	23,876	CDW Corporation		3,410,448

Telecommunication Services — 4.0%
	51,904	Verizon Communications, Inc.		3,186,906

Transportation — 5.0%
	4,388	Union Pacific Corporation		793,307
	27,525	United Parcel Service, Inc. — Class B		3,222,076
				4,015,383
Utilities — 3.8%
	151,486	AES Corporation		3,014,571
TOTAL COMMON STOCKS
(Cost $73,562,846)				79,023,901

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

Absolute Shares Trust

WBI BullBear Yield 3000 ETF

Schedule of Investments

December 31, 2019 (Unaudited) (concluded)

Shares/
Amount		Security Description	Value
SHORT-TERM INVESTMENTS — 1.0%
	779,242	U.S. Bank Money Market
		Deposit Account, 1.50%	$	779,242
TOTAL SHORT-TERM INVESTMENTS
(Cost $779,242)				779,242

INVESTMENTS PURCHASED WITH PROCEEDS
FROM SECURITIES LENDING — 15.6%
	12,434,255	Mount Vernon Liquid Assets
		Portfolio, LLC, 1.81% (a)(b)		12,434,255
TOTAL INVESTMENTS PURCHASED WITH
PROCEEDS FROM SECURITIES LENDING
(Cost $12,434,255)				12,434,255
TOTAL INVESTMENTS — 115.8%
(Cost $86,776,343)				92,237,398
Liabilities in Excess of Other Assets — (15.8)%				(12,575,519	)
NET ASSETS — 100.0%			$	79,661,879

_________

+	All or a portion of this security is on loan as of December 31, 2019. Total value of securities on loan is $12,140,382.
*	Non-income producing security.
(a)	The rate quoted is the annualized seven-day yield as of December 31, 2019.
(b)	Privately offered liquidity fund.

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

Absolute Shares Trust

WBI BullBear Quality 3000 ETF

Schedule of Investments

December 31, 2019 (Unaudited)

Shares		Security Description	Value
COMMON STOCKS — 99.3%

Automobiles & Components — 1.4%
	37,229	Dana, Inc.	$	677,568

Banks — 6.2%
	34,268	CVB Financial Corporation +		739,503
	12,172	PNC Financial Services Group, Inc.		1,943,016
	9,108	Radian Group, Inc.		229,157
	5,996	Trustmark Corporation +		206,922
				3,118,598
Capital Goods — 9.1%
	3,068	CSW Industrials, Inc.		236,236
	21,192	Eaton Corporation plc		2,007,306
	2,252	IDEX Corporation		387,344
	2,809	Illinois Tool Works, Inc. +		504,581
	4,636	L3Harris Technologies, Inc.		917,326
	2,111	Oshkosh Corporation		199,806
	5,976	Pentair plc		274,119
				4,526,718
Commercial & Professional Services — 0.4%
	7,344	Knoll, Inc.		185,509

Consumer Durables & Apparel — 3.1%
	15,725	Hanesbrands, Inc. +		233,516
	12,924	NIKE, Inc. — Class B		1,309,331
				1,542,847
Diversified Financials — 15.6%
	14,541	Ameriprise Financial, Inc.		2,422,240
	4,238	Cboe Global Markets, Inc.		508,560
	27,305	Federated Investors, Inc. — Class B +		889,870
	4,368	Houlihan Lokey, Inc.		213,464
	18,037	Intercontinental Exchange, Inc.		1,669,324
	17,490	LPL Financial Holdings, Inc.		1,613,453
	1,819	S&P Global, Inc.		496,678
				7,813,589
Food, Beverage & Tobacco — 4.4%
	44,461	Campbell Soup Company +		2,197,263

Health Care Equipment & Services — 4.3%
	1,991	Edwards Lifesciences Corporation*		464,481
	4,656	Humana, Inc. +		1,706,517
				2,170,998
Household & Personal Products — 9.0%
	11,237	Estee Lauder Companies, Inc. — Class A		2,320,890
	17,366	Procter & Gamble Company		2,169,013
				4,489,903
Materials — 7.1%
	3,126	NewMarket Corporation		1,520,862
	3,497	Sherwin-Williams Company		2,040,639
				3,561,501
Pharmaceuticals, Biotechnology & Life Sciences — 10.8%
	23,404	AbbVie, Inc. +		2,072,190
	2,170	Amgen, Inc.		523,122
	33,092	Bristol-Myers Squibb Company		2,124,175
	7,705	Merck & Company, Inc.		700,770
				5,420,257
Retailing — 2.9%
	11,199	Target Corporation		1,435,824

Semiconductors & Semiconductor Equipment — 5.4%
	5,568	QUALCOMM, Inc.		491,264
	32,372	Teradyne, Inc. +		2,207,447
				2,698,711
Software & Services — 11.3%
	2,457	Accenture plc — Class A +		517,371
	3,269	Booz Allen Hamilton
		Holding Corporation		232,524
	3,927	CSG Systems International, Inc.		203,340
	53,356	EVERTEC, Inc. +		1,816,238
	13,675	Microsoft Corporation		2,156,548
	3,708	Visa, Inc. — Class A +		696,733
				5,622,754
Technology Hardware & Equipment — 4.3%
	14,955	CDW Corporation		2,136,172

Telecommunication Services — 1.0%
	8,030	Verizon Communications, Inc.		493,042

Transportation — 3.0%
	1,333	Landstar System, Inc.		151,789
	2,766	Union Pacific Corporation		500,065
	7,231	United Parcel Service, Inc. — Class B		846,461
				1,498,315
TOTAL COMMON STOCKS
(Cost $46,144,156)				49,589,569

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

Absolute Shares Trust

WBI BullBear Quality 3000 ETF

Schedule of Investments

December 31, 2019 (Unaudited) (concluded)

Shares/
Amount		Security Description	Value
SHORT-TERM INVESTMENTS — 1.4%
	707,129	U.S. Bank Money Market
		Deposit Account, 1.50%	$	707,129
TOTAL SHORT-TERM INVESTMENTS
(Cost $707,129)				707,129

INVESTMENTS PURCHASED WITH PROCEEDS
FROM SECURITIES LENDING — 13.8%
	6,891,274	Mount Vernon Liquid Assets
		Portfolio, LLC, 1.81% (a)(b)		6,891,274
TOTAL INVESTMENTS PURCHASED WITH
PROCEEDS FROM SECURITIES LENDING
(Cost $6,891,274)				6,891,274
TOTAL INVESTMENTS — 114.5%
(Cost $53,742,559)				57,187,972
Liabilities in Excess of Other Assets — (14.5)%				(7,248,829	)
NET ASSETS — 100.0%			$	49,939,143

_________

+	All or a portion of this security is on loan as of December 31, 2019. Total value of securities on loan is $6,725,346.
*	Non-income producing security.
(a)	The rate quoted is the annualized seven-day yield as of December 31, 2019.
(b)	Privately offered liquidity fund.

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

Absolute Shares Trust

WBI BullBear Global Income ETF

Schedule of Investments

December 31, 2019 (Unaudited)

Shares		Security Description	Value
EXCHANGE TRADED FUNDS — 98.6%
	757,085	iShares Broad USD High Yield
		Corporate Bond ETF +	$	31,116,193
	113,930	iShares Intermediate-Term
		Corporate Bond ETF		6,605,662
	103,156	SPDR Bloomberg Barclays
		High Yield Bond ETF +		11,299,708
	103,970	Vanguard Long-Term
		Corporate Bond ETF		10,538,399
	79,375	VanEck Vectors Fallen Angel
		High Yield Bond ETF +		2,369,344
	620,519	Xtrackers USD High Yield
		Corporate Bond ETF +		31,255,542
TOTAL EXCHANGE TRADED FUNDS
(Cost $91,928,250)				93,184,848

Shares/
Amount

SHORT-TERM INVESTMENTS — 1.5%
	1,412,229	U.S. Bank Money Market
		Deposit Account, 1.50%	1,412,229

TOTAL SHORT-TERM INVESTMENTS
(Cost $1,412,229)				1,412,229

INVESTMENTS PURCHASED WITH PROCEEDS
FROM SECURITIES LENDING — 20.9%
	19,732,627	Mount Vernon Liquid Assets
		Portfolio, LLC, 1.81% (a)(b)		19,732,627
TOTAL INVESTMENTS PURCHASED WITH
PROCEEDS FROM SECURITIES LENDING
(Cost $19,732,627)				19,732,627
TOTAL INVESTMENTS — 121.0%
(Cost $113,073,106)				114,329,704
Liabilities in Excess of Other Assets — (21.0)%				(19,825,134	)
NET ASSETS — 100.0%			$	94,504,570

_________

+	All or a portion of this security is on loan as of December 31, 2019. Total value of securities on loan is $19,325,384.
(a)	The rate quoted is the annualized seven-day yield as of December 31, 2019.
(b)	Privately offered liquidity fund.

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

Absolute Shares Trust

WBI Power Factor^® High Dividend ETF

Schedule of Investments

December 31, 2019 (Unaudited)

Shares		Security Description	Value
COMMON STOCKS — 99.4%

Automobiles & Components — 8.6%
	471,653	Ford Motor Company	$	4,386,373
	27,611	General Motors Company		1,010,563
	87,146	Goodyear Tire & Rubber Company		1,355,556
	34,597	Harley-Davidson, Inc. +		1,286,662
				8,039,154
Banks — 4.1%
	18,676	Boston Private Financial Holdings, Inc.		224,672
	15,479	Hope Bancorp, Inc.		230,018
	79,583	Huntington Bancshares, Inc.		1,200,112
	62,882	KeyCorp		1,272,732
	23,028	PacWest Bancorp +		881,282
				3,808,816
Capital Goods — 0.4%
	4,305	MSC Industrial Direct
		Company, Inc. — Class A		337,813

Commercial & Professional Services — 0.3%
	18,686	Covanta Holding Corporation		277,300

Consumer Durables & Apparel — 2.4%
	11,334	Ethan Allen Interiors, Inc. +		216,026
	76,091	Tapestry, Inc.		2,052,174
				2,268,200
Consumer Services — 4.3%
	53,590	Carnival Corporation +		2,723,980
	55,259	H&R Block, Inc.		1,297,481
				4,021,461
Diversified Financials — 4.3%
	10,752	Artisan Partners Asset
		Management, Inc. — Class A		347,505
	132,178	Invesco, Ltd.		2,376,560
	59,708	Navient Corporation		816,805
	26,884	Waddell & Reed
		Financial, Inc. — Class A +		449,501
				3,990,371
Energy — 16.6%
	17,040	CVR Energy, Inc. +		688,927
	54,015	Exxon Mobil Corporation +		3,769,167
	106,541	Occidental Petroleum Corporation +		4,390,554
	134,739	Schlumberger, Ltd.		5,416,508
	13,586	Valero Energy Corporation		1,272,329
				15,537,485
Food & Staples Retailing — 0.3%
	17,142	SpartanNash Company		244,102

Food, Beverage & Tobacco — 9.9%
	97,038	Altria Group, Inc.		4,843,167
	52,725	Philip Morris International, Inc.		4,486,370
				9,329,537
Insurance — 1.3%
	13,207	Prudential Financial, Inc.		1,238,024

Materials — 13.7%
	99,257	Chemours Company +		1,795,559
	22,517	Domtar Corporation		861,050
	6,036	Greif, Inc. — Class A		266,791
	65,308	International Paper Company		3,007,433
	30,539	LyondellBasell
		Industries N.V. — Class A		2,885,325
	70,291	Olin Corporation		1,212,520
	66,182	Westrock Company		2,839,870
				12,868,548
Media & Entertainment — 2.3%
	84,574	AMC Entertainment
		Holdings, Inc. — Class A +		612,316
	67,288	Interpublic Group of Companies, Inc.		1,554,353
				2,166,669
Pharmaceuticals, Biotechnology & Life Sciences — 5.3%
	56,029	AbbVie, Inc.		4,960,808

Retailing — 13.4%
	81,798	Abercrombie & Fitch
		Company — Class A		1,414,288
	44,892	Big Lots, Inc. +		1,289,298
	120,055	Gap, Inc. +		2,122,572
	38,082	Kohl’s Corporation +		1,940,278
	227,186	Macy’s, Inc. +		3,862,162
	36,170	Nordstrom, Inc. +		1,480,438
	19,955	PetMed Express, Inc. +		469,342
				12,578,378
Software & Services — 1.4%
	10,087	International Business
		Machines Corporation		1,352,061

Technology Hardware & Equipment — 4.0%
	63,712	Seagate Technology plc		3,790,864

Telecommunication Services — 6.0%
	111,346	AT&T, Inc.		4,351,401
	20,262	Verizon Communications, Inc.		1,244,087
				5,595,488
Transportation — 0.8%
	14,734	Ryder System, Inc.		800,203
TOTAL COMMON STOCKS
(Cost $88,735,190)				93,205,282

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

Absolute Shares Trust

WBI Power Factor^® High Dividend ETF

Schedule of Investments

December 31, 2019 (Unaudited) (concluded)

Shares/
Amount		Security Description	Value
SHORT-TERM INVESTMENTS — 1.8%
	1,643,655	U.S. Bank Money Market
		Deposit Account, 1.50%	$	1,643,655
TOTAL SHORT-TERM INVESTMENTS
(Cost $1,643,655)				1,643,655

INVESTMENTS PURCHASED WITH PROCEEDS
FROM SECURITIES LENDING — 21.7%
	20,384,551	Mount Vernon Liquid Assets
		Portfolio, LLC, 1.81% (a)(b)		20,384,551
TOTAL INVESTMENTS PURCHASED WITH
PROCEEDS FROM SECURITIES LENDING
(Cost $20,384,551)				20,384,551
TOTAL INVESTMENTS — 122.9%
(Cost $110,763,396)				115,233,488
Liabilities in Excess of Other Assets — (22.9)%				(21,434,726	)
NET ASSETS — 100.0%			$	93,798,762

_________

+	All or a portion of this security is on loan as of December 31, 2019. Total value of securities on loan is $19,987,281.
(a)	The rate quoted is the annualized seven-day yield as of December 31, 2019.
(b)	Privately offered liquidity fund.

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

Absolute Shares Trust

WBI BullBear Trend Switch US 3000 Total Return ETF

Schedule of Investments

December 31, 2019 (Unaudited)

Shares		Security Description	Value
EXCHANGE TRADED FUNDS — 99.1%
	440,925	iShares Broad USD High Yield
		Corporate Bond ETF +	$	18,122,018
	59,888	SPDR Bloomberg Barclays
		High Yield Bond ETF		6,560,131
	362,986	Xtrackers USD High Yield
		Corporate Bond ETF		18,283,605
TOTAL EXCHANGE TRADED FUNDS
(Cost $42,339,146)				42,965,754

Shares/
Amount
SHORT-TERM INVESTMENTS — 1.2%
	527,750	U.S. Bank Money Market
		Deposit Account, 1.50%		527,750
TOTAL SHORT-TERM INVESTMENTS
(Cost $527,750)				527,750

INVESTMENTS PURCHASED WITH PROCEEDS
FROM SECURITIES LENDING — 0.2%
	100,800	Mount Vernon Liquid Assets
		Portfolio, LLC, 1.81% (a)(b)		100,800
TOTAL INVESTMENTS PURCHASED WITH
PROCEEDS FROM SECURITIES LENDING
(Cost $100,800)				100,800
TOTAL INVESTMENTS — 100.5%
(Cost $42,967,696)				43,594,304
Liabilities in Excess of Other Assets — (0.5)%				(240,152	)
NET ASSETS — 100.0%			$	43,354,152

_________

+	All or a portion of this security is on loan as of December 31, 2019. Total value of securities on loan is $98,640.
(a)	The rate quoted is the annualized seven-day yield as of December 31, 2019.
(b)	Privately offered liquidity fund.

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

Absolute Shares Trust

WBI BullBear Trend Switch US Total Return ETF

Schedule of Investments

December 31, 2019 (Unaudited)

Shares		Security Description	Value
EXCHANGE TRADED FUNDS — 99.1%
	204,462	iShares Broad USD High Yield
		Corporate Bond ETF +	$	8,403,388
	27,796	SPDR Bloomberg Barclays
		High Yield Bond ETF		3,044,774
	168,301	Xtrackers USD High Yield
		Corporate Bond ETF		8,477,321
TOTAL EXCHANGE TRADED FUNDS
(Cost $19,634,709)				19,925,483

Shares/
Amount
SHORT-TERM INVESTMENTS — 1.2%
	243,847	U.S. Bank Money Market
		Deposit Account, 1.50%		243,847
TOTAL SHORT-TERM INVESTMENTS
(Cost $243,847)				243,847

INVESTMENTS PURCHASED WITH PROCEEDS
FROM SECURITIES LENDING — 7.8%
	1,570,800	Mount Vernon Liquid Assets
		Portfolio, LLC, 1.81% (a)(b)		1,570,800
TOTAL INVESTMENTS PURCHASED WITH
PROCEEDS FROM SECURITIES LENDING
(Cost $1,570,800)				1,570,800
TOTAL INVESTMENTS — 108.1%
(Cost $21,449,356)				21,740,130
Liabilities in Excess of Other Assets — (8.1)%				(1,636,706	)
NET ASSETS — 100.0%			$	20,103,424

_________

+	All or a portion of this security is on loan as of December 31, 2019. Total value of securities on loan is $1,537,140.
(a)	The rate quoted is the annualized seven-day yield as of December 31, 2019.
(b)	Privately offered liquidity fund.

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

Absolute Shares Trust

Statements of Assets and Liabilities

December 31, 2019 (Unaudited)

	WBI BullBear
	Rising Income			WBI BullBear			WBI BullBear			WBI BullBear
	3000 ETF			Value 3000 ETF			Yield 3000 ETF			Quality 3000 ETF
ASSETS
Investments in securities, at value *+ (Note 2)	$	64,047,911		$	62,606,551		$	92,237,398		$	57,187,972
Receivable for investments sold		2,176,309			—			—			—
Dividends and interest receivable		32,900			50,339			114,493			24,728
Prepaid expenses and other assets		28,169			28,169			28,169			28,169
Securities lending income receivable		1,010			966			1,458			966
Total Assets		66,286,299			62,686,025			92,381,518			57,241,835

LIABILITIES
Payables
Collateral received for securities loaned (Note 7)		11,335,408			7,119,271			12,434,255			6,891,274
Investments purchased		—			—			—			195,694
Distribution payable		151,273			157,255			167,557			119,294
Fund Shares redeemed		—			—			—			—
Management fees (Note 3)		39,747			42,926			57,599			37,486
Administration and fund accounting fees		29,473			29,481			29,480			29,472
Audit fees		18,053			18,062			18,060			18,056
Chief Compliance Officer fee		1,536			1,536			1,536			1,535
Custody fees		1,447			1,368			3,098			1,002
Directors fees		—			—			—			—
Legal fees		—			—			—			—
Accrued other expenses		8,564			8,070			8,054			8,879
Total Liabilities		11,585,501			7,377,969			12,719,639			7,302,692
NET ASSETS	$	54,700,798		$	55,308,056		$	79,661,879		$	49,939,143

NET ASSETS CONSIST OF:
Paid-in Capital	$	91,935,091		$	71,442,263		$	133,912,005		$	78,418,045
Total distributable earnings (accumulated deficit)		(37,234,293	)		(16,134,207	)		(54,250,126	)		(28,478,902	)
Net Assets	$	54,700,798		$	55,308,056		$	79,661,879		$	49,939,143
*Cost
Investments in securities	$	59,500,597		$	59,233,759		$	86,776,343		$	53,742,559
Net Asset Value (unlimited shares authorized):
Net Assets	$	54,700,798		$	55,308,056		$	79,661,879		$	49,939,143
Shares Outstanding ^		1,946,278			1,988,315			3,230,183			1,827,182
Net Asset Value, Offering and Redemption Price per Share	$	28.11		$	27.82		$	24.66		$	27.33

^	No Par Value
+	Including securities on loan of $11,105,938, $6,952,007, $12,140,382 and $6,725,346, respectively.

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

Absolute Shares Trust

Statements of Assets and Liabilities (concluded)

December 31, 2019 (Unaudited)

							WBI BullBear			WBI BullBear
	WBI BullBear			WBI Power			Trend Switch			Trend Switch
	Global			Factor^® High			US 3000 Total			US Total
	Income ETF			Dividend ETF			Return ETF			Return ETF
ASSETS
Investments in securities, at value *+ (Note 2)	$	114,329,704		$	115,233,488		$	43,594,304		$	21,740,130
Receivable for investments sold		—			1,652,290			1,536,002			766,456
Dividends and interest receivable		11,662			478,696			419			197
Prepaid expenses and other assets		6,104			6,104			3,745			4,247
Securities lending income receivable		5,985			5,515			3			244
Total Assets		114,353,455			117,376,093			45,134,473			22,511,274

LIABILITIES
Payables
Collateral received for securities loaned (Note 7)		19,732,627			20,384,551			100,800			1,570,800
Investments purchased		—			337,899			—			—
Distribution payable		—			1,449,049			1,655,458			825,628
Fund shares redeemed		—			1,316,115			—			—
Management fees (Note 3)		68,427			43,110			23,960			11,422
Administration and fund accounting fees		20,310			19,995			—			—
Audit fees		12,286			12,027			—			—
Chief Compliance Officer fee		1,548			1,548			—			—
Custody fees		1,765			2,695			—			—
Directors fees		103			103			103			—
Legal fees		3,021			3,021			—			—
Accrued other expenses		8,798			7,218			—			—
Total Liabilities		19,848,885			23,577,331			1,780,321			2,407,850
NET ASSETS	$	94,504,570		$	93,798,762		$	43,354,152		$	20,103,424

NET ASSETS CONSIST OF:
Paid-in Capital	$	98,469,636		$	96,694,252		$	43,499,704		$	20,496,393
Total distributable earnings (accumulated deficit)		(3,965,066	)		(2,895,490	)		(145,552	)		(392,969	)
Net Assets	$	94,504,570		$	93,798,762		$	43,354,152		$	20,103,424
*Cost
Investments in securities	$	113,073,106		$	110,763,396		$	42,967,696		$	21,449,356
Net Asset Value (unlimited shares authorized):
Net Assets	$	94,504,570		$	93,798,762		$	43,354,152		$	20,103,424
Shares Outstanding ^		3,700,000			3,550,000			2,125,000			1,025,000
Net Asset Value, Offering and Redemption Price per Share	$	25.54		$	26.42		$	20.40		$	19.61

^	No Par Value
+	Including securities on loan of $19,325,384, $19,987,281, $98,640 and $1,537,140 respectively.

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

Absolute Shares Trust

Statements of Operations

For the Period Ended December 31, 2019 (Unaudited)

	WBI BullBear
	Rising Income		WBI BullBear			WBI BullBear			WBI BullBear
	3000 ETF		Value 3000 ETF			Yield 3000 ETF			Quality 3000 ETF
INVESTMENT INCOME
Income:
Dividends +	$	478,030	$	447,241		$	869,290		$	397,880
Interest		58,464		74,763			96,431			72,324
Securities lending income (Note 7)		6,212		6,625			9,317			5,875
Total Investment Income		542,706		528,629			975,038			476,079

Expenses:
Management fees (Note 3)		243,873		231,111			325,339			230,517
Administration, fund accounting and custodian fees (Note 6)		32,886		32,617			34,257			32,312
Professional fees		22,608		22,608			22,608			22,608
Exchange fees		4,068		4,068			4,068			4,068
Directors’ fees and expenses		5,450		5,450			5,450			5,450
Shareholder reporting expenses		3,660		3,660			3,660			3,660
Insurance expenses		4,425		4,425			4,425			4,425
Miscellaneous expenses		2,782		2,781			2,781			2,782
Total Expenses		319,752		306,720			402,588			305,822
Less: Fees (Waived)/Recouped		—		—			—			—
Net Expenses		319,752		306,720			402,588			305,822
Net Investment Income		222,954		221,909			572,450			170,257

REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investments in securities		772,905		(1,010,019	)		(328,933	)		(447,877	)
Net change in unrealized appreciation (depreciation) of:
Investments in securities		1,942,264		2,445,505			2,723,341			688,081
Net realized and unrealized gain (loss) on investments		2,715,169		1,435,486			2,394,408			240,204
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS	$	2,938,123	$	1,657,395		$	2,966,858		$	410,461

+	Net of withholding taxes of $0, $2,993, $0 and $0, respectively.

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

Absolute Shares Trust

Statements of Operations (concluded)

For the Period Ended December 31, 2019 (Unaudited)

						WBI BullBear		WBI BullBear
	WBI BullBear		WBI Power			Trend Switch		Trend Switch
	Global		Factor^® High			US 3000 Total		US Total
	Income ETF		Dividend ETF			Return ETF		Return ETF*
INVESTMENT INCOME
Income:
Dividends +	$	3,262,601	$	2,607,923		$	1,339,595	$	637,983
Interest		10,742		10,189			4,581		1,682
Securities lending income (Note 7)		84,973		31,387			1,963		3,515
Total Investment Income		3,358,316		2,649,499			1,346,139		643,180

Expenses:
Management fees (Note 3)		472,335		263,872			134,371		65,141
Administration, fund accounting and custodian fees (Note 6)		34,813		35,248			—		—
Professional fees		20,933		20,933			2,052		2,078
Exchange fees		5,404		4,147			—		—
Directors’ fees and expenses		5,401		5,401			5,401		5,126
Shareholder reporting expenses		3,016		3,016			—		—
Insurance expenses		4,283		4,284			—		—
Miscellaneous expenses		2,788		2,783			—		—
Total Expenses		548,973		339,684			141,824		72,345
Less: Fees (Waived)/Recouped		—		(3,847	)		—		—
Net Expenses		548,973		335,837			141,824		72,345
Net Investment Income		2,809,343		2,313,662			1,204,315		570,835

REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investments in securities		647,274		(783,666	)		119,368		(33,954	)
Net change in unrealized appreciation (depreciation) of:
Investments in securities		26,825		7,398,288			133,760		290,774
Net realized and unrealized gain (loss) on investments		674,099		6,614,622			253,128		256,820
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS	$	3,483,442	$	8,928,284		$	1,457,443	$	827,655

*	Fund commenced operations on July 18, 2019. This information presented is for the period from July 18, 2019 to December 31, 2019.
+	Net of withholding taxes of $0, $0, $0, and $0, respectively.

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

Absolute Shares Trust

Statements of Changes in Net Assets

	WBI BullBear Rising Income 3000 ETF						WBI BullBear Value 3000 ETF
	Six-Months Ended						Six-Months Ended
	December 31, 2019			Year Ended			December 31, 2019			Year Ended
	(Unaudited)			June 30, 2019			(Unaudited)			June 30, 2019
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS
Net investment income	$	222,954		$	547,760		$	221,909		$	499,486
Net realized gain (loss) on investments		772,905			4,030,831			(1,010,019	)		1,567,690
Net change in unrealized appreciation (depreciation)
of investments		1,942,264			(242,722	)		2,445,505			(1,054,522	)
Net increase (decrease) in net assets
resulting from operations		2,938,123			4,335,869			1,657,395			1,012,654
DISTRIBUTIONS TO SHAREHOLDERS
Net distributions to shareholders		(222,666	)		(561,691	)		(242,901	)		(485,571	)
Total distributions to shareholders		(222,666	)		(561,691	)		(242,901	)		(485,571	)
CAPITAL SHARE TRANSACTIONS
Net increase (decrease) in net assets
from capital share transactions		(9,619,177	)		(17,453,115	)		3,596,194			(15,072,530	)
Total increase (decrease) in net assets	$	(6,903,720	)	$	(13,678,937	)	$	5,010,688		$	(14,545,447	)
NET ASSETS
Beginning of Period/Year	$	61,604,518		$	75,283,455		$	50,297,368		$	64,842,815
End of Period/Year	$	54,700,798		$	61,604,518		$	55,308,056		$	50,297,368


	WBI BullBear Yield 3000 ETF						WBI BullBear Quality 3000 ETF
	Six-Months Ended						Six-Months Ended
	December 31, 2019			Year Ended			December 31, 2019			Year Ended
	(Unaudited)			June 30, 2019			(Unaudited)			June 30, 2019
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS
Net investment income	$	572,450		$	1,651,835		$	170,257		$	303,446
Net realized gain (loss) on investments		(328,933	)		(5,767,435	)		(447,877	)		1,920,255
Net change in unrealized appreciation (depreciation)
of investments		2,723,341			(702,154	)		688,081			1,936,011
Net increase (decrease) in net assets
resulting from operations		2,966,858			(4,817,754	)		410,461			4,159,712
DISTRIBUTIONS TO SHAREHOLDERS
Net distributions to shareholders		(632,113	)		(1,601,703	)		(173,238	)		(322,761	)
Total distributions to shareholders		(632,113	)		(1,601,703	)		(173,238	)		(322,761	)
CAPITAL SHARE TRANSACTIONS
Net increase (decrease) in net assets
from capital share transactions		2,855,117			(1,887,575	)		(11,499,723	)		(2,590,450	)
Total increase (decrease) in net assets	$	5,189,862		$	(8,307,032	)	$	(11,262,500	)	$	1,246,501
NET ASSETS
Beginning of Period/Year	$	74,472,017		$	82,779,049		$	61,201,643		$	59,955,142
End of Period/Year	$	79,661,879		$	74,472,017		$	49,939,143		$	61,201,643

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

Absolute Shares Trust

Statements of Changes in Net Assets (concluded)

	WBI BullBear Global Income ETF					WBI Power Factor^® High Dividend ETF
	Six-Months Ended						Six-Months Ended
	December 31, 2019			Year Ended		December 31, 2019					Year Ended
	(Unaudited)			June 30, 2019				(Unaudited)			June 30, 2019
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS
Net investment income	$	2,809,343		$	3,905,081			$	2,313,662		$	4,565,044
Net realized gain (loss) on investments		647,274			5,105,961				(783,666	)		(9,985,413	)
Net change in unrealized appreciation (depreciation)
of investments		26,825			1,907,353				7,398,288			(6,000,041	)
Net increase (decrease) in net assets
resulting from operations		3,483,442			10,918,395				8,928,284			(11,420,410	)
DISTRIBUTIONS TO SHAREHOLDERS
Net distributions to shareholders		(2,141,215	)		(3,929,336	)			(2,385,753	)		(5,384,656	)
Total distributions to shareholders		(2,141,215	)		(3,929,336	)			(2,385,753	)		(5,384,656	)
CAPITAL SHARE TRANSACTIONS
Net increase (decrease) in net assets
from capital share transactions		(43,126,125	)		32,673,530				(15,904,190	)		67,563,125
Total increase (decrease) in net assets	$	(41,783,898	)	$	39,662,589			$	(9,361,659	)	$	50,758,059
NET ASSETS
Beginning of Period/Year	$	136,288,468		$	96,625,879			$	103,160,421		$	52,402,362
End of Period/Year	$	94,504,570		$	136,288,468			$	93,798,762		$	103,160,421

	WBI BullBear Trend Switch					WBI BullBear Trend Switch
	US 3000 Total Return ETF					US Total Return ETF
	Six-Months Ended						Period Ended
	December 31, 2019			Period Ended			December 31, 2019²
	(Unaudited)			June 30, 2019¹			(Unaudited)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS
Net investment income	$	1,204,315		$	36,225		$	570,835
Net realized gain (loss) on investments		119,368			77,409			(33,954	)
Net change in unrealized appreciation (depreciation)
of investments		133,760			492,848			290,774
Net increase (decrease) in net assets
resulting from operations		1,457,443			606,482			827,655
DISTRIBUTIONS TO SHAREHOLDERS
Net distributions to shareholders		(2,168,482	)		(40,995	)		(1,220,624	)
Total distributions to shareholders		(2,168,482	)		(40,995	)		(1,220,624	)
CAPITAL SHARE TRANSACTIONS
Net increase (decrease) in net assets
from capital share transactions		(2,964,646	)		46,464,350			20,496,393
Total increase (decrease) in net assets	$	(3,675,685	)	$	47,029,837		$	20,103,424
NET ASSETS
Beginning of Period	$	47,029,837		$	—		$	—
End of Period	$	43,354,152		$	47,029,837		$	20,103,424

¹	Fund commenced operations on May 28, 2019. The information presented is for the period from May 28, 2019 to June 30, 2019.
²	Fund commenced operations on July 18, 2019 The information presented is for the period from July 18, 2019 to December 31, 2019.

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

Absolute Shares Trust

Financial Highlights

For capital share outstanding throughout each period/year

	WBI BullBear Rising Income 3000 ETF
	Six-Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	December 31, 2019			June 30,			June 30,			June 30,			June 30,			June 30,
	(Unaudited)			2019			2018			2017			2016			2015¹
Net Asset Value, Beginning of Period/Year	$	26.78		$	25.96		$	24.53		$	21.92		$	24.45		$	25.00
Income (Loss) from Investment Operations:
Net investment income (loss)²		0.11			0.27			0.15			0.16			0.06			0.28
Net gain (loss) on investments (realized and unrealized)⁶		1.33			0.85			1.41			2.64			(2.53	)		(0.59	)
Total from investment operations		1.44			1.12			1.56			2.80			(2.47	)		(0.31	)
Less Distributions:
Distributions from net investment income		(0.11	)		(0.30	)		(0.13	)		(0.19	)		(0.06	)		(0.24	)
Tax return of capital to shareholders		—			—			—			—			—			—
Distributions from net realized gain		—			—			—			—			—			—
Total Distributions		(0.11	)		(0.30	)		(0.13	)		(0.19	)		(0.06	)		(0.24	)
Net asset value, end of period/year	$	28.11		$	26.78		$	25.96		$	24.53		$	21.92		$	24.45
Market price, end of period/year	$	28.04		$	26.75		$	25.93		$	24.58		$	21.83		$	24.51
Net Assets Total Return⁷		5.37	%³		4.22	%		6.52	%		12.88	%		-10.14	%		-1.25	%³

Supplemental Data:
Net assets, end of period/year (000’s)	$	54,701		$	61,605		$	75,283		$	50,291		$	73,427		$	138,152
Ratios to Average Net Assets:
Expenses before fees (waived)/recouped		1.11	%⁴		1.13	%		1.05	%		1.05	%		0.99	%		1.02	%⁴
Expenses after fees (waived)/recouped		1.11	%⁴		1.13	%		1.05	%		1.05	%		0.99	%		1.02	%⁴
Net investment income (loss) to average net assets		0.78	%⁴		1.01	%		0.57	%		0.72	%		0.25	%		1.30	%⁴
Portfolio turnover rate⁵		227	%³		512	%		496	%		279	%		571	%		240	%³

	WBI BullBear Value 3000 ETF
	Six-Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	December 31, 2019			June 30,			June 30,			June 30,			June 30,			June 30,
	(Unaudited)			2019			2018			2017			2016			2015¹
Net Asset Value, Beginning of Period/Year	$	27.19		$	28.19		$	26.20		$	21.85		$	23.98		$	25.00
Income (Loss) from Investment Operations:
Net investment income (loss)²		0.11			0.32			0.18			0.29			0.04			0.24
Net gain (loss) on investments (realized and unrealized)⁶		0.64			(0.99	)		2.00			4.35			(2.12	)		(1.04	)
Total from investment operations		0.75			(0.67	)		2.18			4.64			(2.08	)		(0.80	)
Less Distributions:
Distributions from net investment income		(0.12	)		(0.33	)		(0.19	)		(0.29	)		(0.05	)		(0.22	)
Tax return of capital to shareholders		—			—			—			—			—			—
Distributions from net realized gain		—			—			—			—			—			—
Total Distributions		(0.12	)		(0.33	)		(0.19	)		(0.29	)		(0.05	)		(0.22	)
Net asset value, end of period/year	$	27.82		$	27.19		$	28.19		$	26.20		$	21.85		$	23.98
Market price, end of period/year	$	27.82		$	27.16		$	28.17		$	26.28		$	21.77		$	23.98
Net Assets Total Return⁷		2.79	%³		-2.53	%		8.40	%		21.34	%		-8.63	%		-3.29	%³

Supplemental Data:
Net assets, end of period/year (000’s)	$	55,308		$	50,297		$	64,843		$	78,601		$	72,097		$	112,691
Ratios to Average Net Assets:
Expenses before fees (waived)/recouped		1.13	%⁴		1.18	%		1.05	%		1.03	%		0.99	%		1.04	%⁴
Expenses after fees (waived)/recouped		1.13	%⁴		1.18	%		1.05	%		1.03	%		0.99	%		1.04	%⁴
Net investment income (loss) to average net assets		0.82	%⁴		1.11	%		0.64	%		1.19	%		0.19	%		1.17	%⁴
Portfolio turnover rate⁵		268	%³		567	%		527	%		388	%		573	%		294	%³

¹	Fund commenced operations on August 25, 2014. The information presented is for the period from August 25, 2014 to June 30, 2015.
²	Calculated based on average shares outstanding during the period.
³	Not annualized.
⁴	Annualized.
⁵	Excludes securities received or delivered as a result of processing capital share transactions in creation units.
⁶	The amount for a share outstanding throughout the period may not be in accordance with the aggregate net realized and unrealized gain (loss) on investment for the period because of the timing of capital share transactions in relation to fluctuating market values of the Fund’s underlying securities.
⁷	Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and the redemption on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

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

Absolute Shares Trust

Financial Highlights (continued)

For capital share outstanding throughout each period/year

	WBI BullBear Yield 3000 ETF
	Six-Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	December 31, 2019			June 30,			June 30,			June 30,			June 30,			June 30,
	(Unaudited)			2019			2018			2017			2016			2015¹
Net Asset Value, Beginning of Period/Year	$	24.02		$	25.87		$	22.89		$	20.25		$	23.48		$	25.00
Income (Loss) from Investment Operations:
Net investment income (loss)²		0.18			0.51			0.25			0.31			0.08			0.35
Net gain (loss) on investments (realized and unrealized)⁶		0.65			(1.84	)		2.98			2.66			(3.22	)		(1.58	)
Total from investment operations		0.83			(1.33	)		3.23			2.97			(3.14	)		(1.23	)
Less Distributions:
Distributions from net investment income		(0.19	)		(0.52	)		(0.25	)		(0.33	)		(0.09	)		(0.29	)
Tax return of capital to shareholders		—			—			—			—			—			—
Distributions from net realized gain		—			—			—			—			—			—
Total Distributions		(0.19	)		(0.52	)		(0.25	)		(0.33	)		(0.09	)		(0.29	)
Net asset value, end of period/year	$	24.66		$	24.02		$	25.87		$	22.89		$	20.25		$	23.48
Market price, end of period/year	$	24.60		$	23.96		$	25.83		$	22.95		$	20.19		$	23.50
Net Assets Total Return⁷		3.56	%³		-5.22	%		14.14	%		14.82	%		-13.37	%		-4.98	%³

Supplemental Data:
Net assets, end of period/year (000’s)	$	79,662		$	74,472		$	82,779		$	78,982		$	99,236		$	140,876
Ratios to Average Net Assets:
Expenses before fees (waived)/recouped		1.05	%⁴		1.04	%		1.04	%		1.02	%		0.98	%		1.02	%⁴
Expenses after fees (waived)/recouped		1.05	%⁴		1.04	%		1.04	%		1.02	%		0.98	%		1.02	%⁴
Net investment income (loss) to average net assets		1.50	%⁴		2.04	%		0.99	%		1.47	%		0.38	%		1.67	%⁴
Portfolio turnover rate⁵		263	%³		610	%		491	%		352	%		584	%		277	%³

	WBI BullBear Quality 3000 ETF
	Six-Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	December 31, 2019			June 30,			June 30,			June 30,			June 30,			June 30,
	(Unaudited)			2019			2018			2017			2016			2015¹
Net Asset Value, Beginning of Period/Year	$	27.20		$	26.07		$	25.25		$	21.87		$	23.85		$	25.00
Income (Loss) from Investment Operations:
Net investment income (loss)²		0.08			0.20			0.23			0.22			0.04			0.06
Net gain (loss) on investments (realized and unrealized)⁶		0.14			1.13			0.81			3.42			(2.00	)		(1.16	)
Total from investment operations		0.22			1.33			1.04			3.64			(1.96	)		(1.10	)
Less Distributions:
Distributions from net investment income		(0.09	)		(0.20	)		(0.22	)		(0.26	)		(0.02	)		(0.04	)
Tax return of capital to shareholders		—			—			—			—			—			(0.01	)
Distributions from net realized gain		—			—			—			—			—			—
Total Distributions		(0.09	)		(0.20	)		(0.22	)		(0.26	)		(0.02	)		(0.05	)
Net asset value, end of period/year	$	27.33		$	27.20		$	26.07		$	25.25		$	21.87		$	23.85
Market price, end of period/year	$	27.29		$	27.18		$	26.10		$	25.32		$	21.79		$	23.88
Net Assets Total Return⁷		0.82	%³		5.08	%		4.11	%		16.80	%		-8.22	%		-4.41	%³

Supplemental Data:
Net assets, end of period/year (000’s)	$	49,939		$	61,202		$	59,955		$	47,983		$	80,909		$	121,629
Ratios to Average Net Assets:
Expenses before fees (waived)/recouped		1.13	%⁴		1.21	%		1.07	%		1.04	%		0.98	%		1.02	%⁴
Expenses after fees (waived)/recouped		1.13	%⁴		1.21	%		1.07	%		1.04	%		0.98	%		1.02	%⁴
Net investment income (loss) to average net assets		0.63	%⁴		0.74	%		0.86	%		0.94	%		0.17	%		0.27	%⁴
Portfolio turnover rate⁵		268	%³		477	%		553	%		320	%		493	%		296	%³

¹	Fund commenced operations on August 25, 2014. The information presented is for the period from August 25, 2014 to June 30, 2015.
²	Calculated based on average shares outstanding during the period.
³	Not annualized.
⁴	Annualized.
⁵	Excludes securities received or delivered as a result of processing capital share transactions in creation units.
⁶	The amount for a share outstanding throughout the period may not be in accordance with the aggregate net realized and unrealized gain (loss) on investment for the period because of the timing of capital share transactions in relation to fluctuating market values of the Fund’s underlying securities.
⁷	Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and the redemption on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

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

Absolute Shares Trust

Financial Highlights (continued)

For capital share outstanding throughout each period/year

	WBI BullBear Global Income ETF
	Six-Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	December 31, 2019			June 30,			June 30,			June 30,			June 30,			June 30,
	(Unaudited)			2019			2018			2017			2016			2015¹
Net Asset Value, Beginning of Period/Year	$	25.24		$	23.86		$	25.35		$	25.18		$	25.46		$	25.00
Income (Loss) from Investment Operations:
Net investment income (loss)³		0.65			0.87			0.68			0.38			0.34			0.23
Net gain (loss) on investments (realized and unrealized)⁷		0.12			1.40			(1.47	)		0.20			(0.23	)		0.46
Total from investment operations		0.77			2.27			(0.79	)		0.58			0.11			0.69
Less Distributions:
Distributions from net investment income		(0.47	)		(0.89	)		(0.70	)		(0.41	)		(0.33	)		(0.23	)
Tax return of capital to shareholders		—			—			—			—			—			—
Distributions from net realized gain		—			—			—			—			(0.06	)		—
Total Distributions		(0.47	)		(0.89	)		(0.70	)		(0.41	)		(0.39	)		(0.23	)
Net asset value, end of period/year	$	25.54		$	25.24		$	23.86		$	25.35		$	25.18		$	25.46
Market price, end of period/year	$	25.52		$	25.20		$	23.83		$	25.38		$	25.16		$	25.48
Net Assets Total Return⁸		3.10	%⁴		9.75	%		-3.20	%		2.36	%		0.45	%		2.77	%⁴

Supplemental Data:
Net assets, end of period/year (000’s)	$	94,505		$	136,288		$	96,626		$	162,243		$	396,558		$	308,062
Ratios to Average Net Assets:
Expenses before fees (waived)/recouped		0.99	%⁵		0.99	%		1.02	%		1.00	%		0.95	%		0.99	%⁵
Expenses after fees (waived)/recouped		0.99	%⁵		0.99	%		1.02	%		1.00	%		0.95	%		0.99	%⁵
Net investment income (loss) to average net assets		5.06	%⁵		3.60	%		2.71	%		1.53	%		1.35	%		1.08	%⁵
Portfolio turnover rate⁶		498	%⁴		686	%		551	%		479	%		364	%		308	%⁴

	WBI Power Factor^® High Dividend ETF
	Six-Months Ended			Year Ended			Year Ended			Period Ended
	December 31, 2019			June 30,			June 30,			June 30,
	(Unaudited)			2019			2018			2017²
Net Asset Value, Beginning of Period/Year	$	24.56		$	26.87		$	24.22		$	25.00
Income (Loss) from Investment Operations:
Net investment income (loss)³		0.60			1.12			1.21			0.53
Net gain (loss) on investments (realized and unrealized)⁷		1.90			(2.08	)		3.19			(0.94	)
Total from investment operations		2.50			(0.96	)		4.40			(0.41	)
Less Distributions:
Distributions from net investment income		(0.64	)		(1.13	)		(1.15	)		(0.37	)
Tax return of capital to shareholders		—			—			—			—
Distributions from net realized gain		—			(0.22	)		(0.60	)		—
Total Distributions		(0.64	)		(1.35	)		(1.75	)		(0.37	)
Net asset value, end of period/year	$	26.42		$	24.56		$	26.87		$	24.22
Market price, end of period/year	$	26.30		$	24.53		$	26.87		$	24.34
Net Assets Total Return⁸		10.28	%⁴		-3.25	%		18.51	%		-1.64	%⁴

Supplemental Data:
Net assets, end of period/year (000’s)	$	93,799		$	103,160		$	52,402		$	33,903
Ratios to Average Net Assets:
Expenses before fees (waived)/recouped		0.71	%⁵		0.70	%		0.85	%		1.37	%⁵
Expenses after fees (waived)/recouped		0.70	%⁵		0.70	%		0.70	%		0.70	%⁵
Net investment income (loss) to average net assets		4.82	%⁵		4.46	%		4.73	%		3.81	%⁵
Portfolio turnover rate⁶		68	%⁴		163	%		171	%		78	%⁴

¹	Fund commenced operations on August 25, 2014. The information presented is for the period from August 25, 2014 to June 30, 2015.
²	Fund commenced operations on December 19, 2016. The information presented is for the period from December 19, 2016 to June 30, 2017.
³	Calculated based on average shares outstanding during the period.
⁴	Not annualized.
⁵	Annualized.
⁶	Excludes securities received or delivered as a result of processing capital share transactions in creation units.
⁷	The amount for a share outstanding throughout the period may not be in accordance with the aggregate net realized and unrealized gain (loss) on investment for the period because of the timing of capital share transactions in relation to fluctuating market values of the Fund’s underlying securities.
⁸	Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and the redemption on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

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

Absolute Shares Trust

Financial Highlights (concluded)

For capital share outstanding throughout each period/year

							WBI BullBear
	WBI BullBear Trend Switch						Trend Switch US
	US 3000 Total Return ETF						Total Return ETF
	Six-Months Ended			Period Ended			Period Ended
	December 31, 2019			June 30,			December 31,
	(Unaudited)			2019¹			2019²
Net Asset Value, Beginning of Period/Year	$	20.67		$	20.00		$	20.00
Income (Loss) from Investment Operations:
Net investment income (loss)³		0.61			0.02			0.53
Net gain (loss) on investments (realized and unrealized)⁷		0.18			0.67			0.23
Total from investment operations		0.79			0.69			0.76
Less Distributions:
Distributions from net investment income		(0.61	)		(0.02	)		(0.52	)
Tax return of capital to shareholders		—			—			—
Distributions from net realized gain		(0.45	)		—			(0.63	)
Total Distributions		(1.06	)		(0.02	)		(1.15	)
Net asset value, end of period/year	$	20.40		$	20.67		$	19.61
Market price, end of period/year	$	21.41		$	20.69		$	19.60
Net Assets Total Return⁸		3.87	%⁴		3.45	%⁴		3.85	%⁴

Supplemental Data:
Net assets, end of period/year (000’s)	$	43,354		$	47,030		$	20,103
Ratios to Average Net Assets:
Expenses before fees (waived)/recouped		0.69	%⁵		0.66	%⁵		0.65	%⁵
Expenses after fees (waived)/recouped		0.69	%⁵		0.66	%⁵		0.65	%⁵
Net investment income (loss) to average net assets		5.83	%⁵		1.07	%⁵		5.14	%⁵
Portfolio turnover rate⁶		609	%⁴		126	%⁴		687	%⁴

¹	Fund commenced operations on May 28, 2019. The information presented is for the period from May 28, 2019 to June 30, 2019.
²	Fund commenced operations on July 18, 2019. The information presented is for the period from July 18, 2019 to December 31, 2019.
³	Calculated based on average shares outstanding during the period.
⁴	Not annualized.
⁵	Annualized.
⁶	Excludes securities received or delivered as a result of processing capital share transactions in creation units.
⁷	The amount for a share outstanding throughout the period may not be in accordance with the aggregate net realized and unrealized gain (loss) on investment for the period because of the timing of capital share transactions in relation to fluctuating market values of the Fund’s underlying securities.
⁸	Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and the redemption on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

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

Absolute Shares Trust

Notes to Financial Statements

December 31, 2019 (Unaudited)

NOTE 1 — ORGANIZATION

Absolute Shares Trust (the “Trust”) was organized as a Delaware statutory trust on November 7, 2013 and is authorized to have multiple segregated series or portfolios. The Trust is an open-end management investment company registered under the Investment Company Act of 1940 (the “1940 Act”). The Trust currently consists of the following eight separate investment portfolios (each, a “Fund” or, individually and, together, the “Funds”):

WBI BullBear Rising Income 3000 ETF

WBI BullBear Value 3000 ETF

WBI BullBear Yield 3000 ETF

WBI BullBear Quality 3000 ETF

WBI BullBear Global Income ETF

WBI Power Factor^® High Dividend ETF

WBI BullBear Trend Switch US 3000 Total Return ETF

WBI BullBear Trend Switch US Total Return ETF

Each Fund is classified as diversified.

The Funds’ investment advisor, Millington Securities, Inc. (“Advisor” or “Affiliated Broker Dealer”), has selected its affiliate, WBI Investments, Inc. (“Sub-Advisor”), to act as Sub-Advisor. Both the Advisor and Sub-Advisor are registered as investment advisors with the Securities and Exchange Commission (“SEC”). The Advisor is also registered as a broker-dealer with the SEC and is a member of the Financial Industry Regulatory Authority. The Board of Trustees (the “Board” and each member a “Trustee”) supervises the conduct of the Funds.

The end of the reporting period for the Funds is December 31, 2019, and the period covered by these Notes to Financial Statements is the fiscal period from July 1, 2019 through December 31, 2019 for all funds except WBI BullBear Trend Switch US Total Return ETF, where the period covered is July 18, 2019 through December 31, 2019. (each, respectively, the “current fiscal period”).

NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Funds. The financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and are stated in U.S. dollars. The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance for the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

The preparation of the financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amount of assets, liabilities and the disclosure of contingent assets and liabilities at the end of the current fiscal period. Actual results could differ from these estimates.

A. Valuation. All equity securities, including domestic common stocks, preferred stocks, exchange traded funds and exchange traded notes, that are traded on a national securities exchange, except those listed on the Nasdaq Global Market^®, Nasdaq Select Market^® and Nasdaq Capital Market^® (collectively, “Nasdaq”) are valued at the last reported sale price on the exchange on which the security is principally traded. Securities traded on Nasdaq are 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 is 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 is used.

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

Shares in privately offered liquidity funds are valued at their NAV per share.

Short-term securities that have maturities of less than 60 days at the time of purchase are valued at amortized cost, which, when combined with accrued interest, approximates fair value.

Securities for which quotations are not readily available are valued by the Trust’s valuation committee based on the valuation procedures adopted by the Board (the “Valuation Procedures”) and information it receives from the Sub-Advisor and U.S. Bancorp Fund Services, LLC doing business as U.S. Bank Global Fund Services (“Fund Services”). 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 Valuation Procedures. The use of fair value pricing by the Funds may cause the NAV of their shares to differ significantly from the NAV that would be calculated without regard to such considerations.

Absolute Shares Trust

Notes to Financial Statements (continued)

December 31, 2019 (Unaudited)

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; including the Funds’ Valuation Committee’s assumptions used in determining the fair value of investments. The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

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

WBI BullBear Rising Income 3000 ETF
Assets^	Level 1		Level 2		Level 3		Total
Common Stocks	$	51,763,574	$	—	$	—	$	51,763,574
Short-Term Investments		—		948,929		—		948,929
Investments Purchased With Proceeds From Securities Lending		—		11,335,408		—		11,335,408
Total Investments in Securities, at value	$	51,763,574	$	12,284,337	$	—	$	64,047,911

WBI BullBear Value 3000 ETF
Assets^	Level 1		Level 2		Level 3		Total
Common Stocks	$	54,884,056	$	—	$	—	$	54,884,056
Short-Term Investments		—		603,224		—		603,224
Investments Purchased With Proceeds From Securities Lending		—		7,119,271		—		7,119,271
Total Investments in Securities, at value	$	54,884,056	$	7,722,495	$	—	$	62,606,551

WBI BullBear Yield 3000 ETF
Assets^	Level 1		Level 2		Level 3		Total
Common Stocks	$	79,023,901	$	—	$	—	$	79,023,901
Short-Term Investments		—		779,242		—		779,242
Investments Purchased With Proceeds From Securities Lending		—		12,434,255		—		12,434,255
Total Investments in Securities, at value	$	79,023,901	$	13,213,497	$	—	$	92,237,398

WBI BullBear Quality 3000 ETF
Assets^	Level 1		Level 2		Level 3		Total
Common Stocks	$	49,589,569	$	—	$	—	$	49,589,569
Short-Term Investments		—		707,129		—		707,129
Investments Purchased With Proceeds From Securities Lending		—		6,891,274		—		6,891,274
Total Investments in Securities, at value	$	49,589,569	$	7,598,403	$	—	$	57,187,972

WBI BullBear Global Income ETF
Assets^	Level 1		Level 2		Level 3		Total
Exchange Traded Funds	$	93,184,848	$	—	$	—	$	93,184,848
Short-Term Investments		—		1,412,229		—		1,412,229
Investments Purchased With Proceeds From Securities Lending		—		19,732,627		—		19,732,627
Total Investments in Securities, at value	$	93,184,848	$	21,144,856	$	—	$	114,329,704

WBI Power Factor^® High Dividend ETF
Assets^	Level 1		Level 2		Level 3		Total
Common Stocks	$	93,205,282	$	—	$	—	$	93,205,282
Short-Term Investments		—		1,643,655		—		1,643,655
Investments Purchased With Proceeds From Securities Lending		—		20,384,551		—		20,384,551
Total Investments in Securities, at value	$	93,205,282	$	22,028,206	$	—	$	115,233,488

Absolute Shares Trust

Notes to Financial Statements (continued)

December 31, 2019 (Unaudited)

WBI BullBear Trend Switch US 3000 Total Return ETF
Assets^	Level 1		Level 2		Level 3		Total
Exchange Traded Funds	$	42,965,754	$	—	$	—	$	42,965,754
Short-Term Investments		—		527,750		—		527,750
Investments Purchased With Proceeds From Securities Lending		—		100,800		—		100,800
Total Investments in Securities, at value	$	42,965,754	$	628,550	$	—	$	43,594,304

WBI BullBear Trend Switch US Total Return ETF
Assets^	Level 1		Level 2		Level 3		Total
Exchange Traded Funds	$	19,925,483	$	—	$	—	$	19,925,483
Short-Term Investments		—		243,847		—		243,847
Investments Purchased With Proceeds From Securities Lending		—		1,570,800		—		1,570,800
Total Investments in Securities, at value	$	19,925,483	$	1,814,647	$	—	$	21,740,130

^ See Schedules of Investments for breakout of investments by industry group classification.

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

B. Certain Risks. Some risks apply to all Funds, while others are specific to the investment strategy of certain Funds. Each Fund may be subject to other risks in addition to these identified risks. This section discusses certain common principal risks encountered by the Funds. The shares of the Funds are referred to herein as “Fund Shares” or “Shares”.

ETF and Other Investment Companies Risk — When a Fund invests in another ETF or other investment company (e.g., mutual fund, closed-end fund, business development company), it will bear additional expenses based on its pro rata share of such investment company’s operating expenses, including the potential duplication of management fees. The risk of owning an ETF or other investment company generally reflects the risks of owning the underlying securities and other assets held by the ETF or other investment company. A Fund also will incur brokerage costs when it purchases ETFs and other exchange-listed investment companies. Additionally, a Fund will be indirectly exposed to the risks of the portfolio assets held by an ETF or other investment company, including but not limited to those of ETNs, equity options, derivatives, currencies, index, leverage, and replication management.

Market Risk — Either the stock market as a whole or the value of a Fund asset or an investment held by an exchange-traded product (“ETP”) in which a Fund invests may go down, resulting in a decrease in the NAV of the Fund or its Shares or a decrease in the market price of the Shares.

Equity Securities Risk — Common stocks are susceptible to general stock market fluctuations and to volatile increases and decreases in value as market confidence in and perceptions of their issuers change. If a Fund or an ETP holds common stock equivalents of any given issuer, the Fund or ETP will generally be exposed to greater risk than if the Fund or ETP held preferred stocks and debt obligations of such issuer.

Foreign and Emerging Market Securities Risk — Foreign investments may carry risks associated with investing outside the United States, such as currency fluctuation, economic or financial instability, lack of timely or reliable financial information, or unfavorable political or legal developments. Foreign securities can be more volatile than domestic (U.S.) securities. Securities markets of other countries are generally smaller than U.S. securities markets. Many foreign securities may also be less liquid than U.S. securities, which could affect the Funds’ investments. Investments in emerging markets may have more risk because the markets are less developed and less liquid as well as being subject to increased economic, political, regulatory, or other uncertainties. Also, as foreign and emerging markets decline, investors tend to exit these markets in unison.

Fluctuation of Net Asset Value — The NAV of the Shares will fluctuate with changes in market value of the Funds’ holdings.

Shares are Not Individually Redeemable — Shares are only redeemable by the Funds at NAV if they are tendered in large blocks known as “Creation Units” which are expected to be worth in excess of $1 million each. Only Authorized Participants (“APs”) may engage in such creation and redemption transactions directly with the Funds. Individual Shares may be sold on a stock exchange at their current market prices, which may be less, more, or equal to their NAV. There can be no assurance that an active trading market will be maintained for the Shares.

C. Federal Income Taxes. The Funds’ policy is to comply with the requirements 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.

Each Fund recognizes the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained. Management has analyzed each Fund’s 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

Absolute Shares Trust

Notes to Financial Statements (continued)

December 31, 2019 (Unaudited)

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. These timing differences are primarily due to differing book and tax treatments for in-kind transactions and losses deferred due to wash sales.

D. Security Transactions and Investment Income. Investment securities transactions are accounted for on the trade date. Gains and losses realized on sales of securities are determined on a specific identification basis. Dividend income is recorded on the ex-dividend date, net of any foreign taxes withheld at source. Interest income is recorded on an accrual basis. Withholding taxes on foreign dividends, if any, have been provided for in accordance with the Funds’ understanding of the applicable tax rules and regulations. Premiums and discounts are amortized/accreted using the effective interest method over the lives of the respective debt instruments.

E. Distributions to Shareholders. Distributions to shareholders from net investment income are declared and paid by WBI BullBear Rising Income 3000 ETF, WBI BullBear Value 3000 ETF, WBI BullBear Quality 3000 ETF, WBI Power Factor^® High Dividend ETF, and WBI BullBear Trend Switch US 3000 Total Return ETF on a quarterly basis. Distributions to shareholders from net investment income are declared and paid by WBI BullBear Yield 3000 ETF, and WBI BullBear Global Income ETF, and WBI BullBear Trend Switch US Total Return ETF on a monthly basis. Distributions from net realized gains on securities are normally declared and paid by all Funds on an annual basis. Distributions are recorded on the ex-dividend date.

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 Fund, plus cash and other assets, minus all liabilities (including estimated accrued expenses) by the total number of shares outstanding for the Fund, rounded to the nearest cent. The Funds’ shares will not be priced on the days on which the NYSE ARCA, Inc., the exchange where the Funds’ shares are listed, is closed for trading. The offering and redemption price per share for each Fund is equal to the Fund’s NAV per share.

G. Guarantees and Indemnifications. The Funds’ officers and trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the Funds. Additionally, in the normal course of business the Funds enter into contracts with service providers that contain general indemnification clauses. Each Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be against the Fund that have not yet occurred.

H. Expenses. Expenses directly attributable to a Fund are charged directly to the Fund, while expenses which are attributable to the Fund and other investment companies advised by the Adviser are allocated among the respective investment companies, including the Fund, based either upon relative average net assets or evenly among the Funds.

I. Subsequent Events. In preparing these financial statements, the Advisor has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were available to be issued. There were no events or transactions that occurred during the period subsequent to the end of the reporting period, that materially impacted that amounts or disclosures in the Funds financial statements.

J. New Accounting Pronouncements and Other Matters. In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management has evaluated ASU 2018-13 and has adopted the disclosure framework.

NOTE 3 — MANAGEMENT FEE

Pursuant to an investment advisory agreement (“Advisory Agreement”) between the Trust, on behalf of the Funds, and the Advisor, the Advisor serves as the investment advisor, makes investment decisions for each Fund, and manages the investment portfolios of the Funds, subject to the supervision of and policies of the Board. Under the Advisory Agreement for the Funds the Advisor may retain an investment sub-advisor for the Funds, subject to approval by the Board and Fund shareholders. Under a sub-advisory agreement, (“Sub-Advisory Agreement”) the Sub-Advisor serves as the investment sub-advisor and is responsible for the day to day management of the Funds, subject to the supervision of the Advisor and the Board. For the services the Sub-Advisor provides to each Fund, the Sub-Advisor receives a fee that is equal to 0.85% per year of the average daily net assets (calculated daily and paid monthly) of WBI BullBear Rising Income 3000 ETF, WBI BullBear Value 3000 ETF, WBI BullBear Yield 3000 ETF, WBI BullBear Quality 3000 ETF, and WBI BullBear Global Income ETF. For the services the Sub-Advisor provides to WBI Power Factor^® High Dividend ETF, the Sub-Advisor receives a fee that is equal to 0.55% per year of average daily net assets, which is calculated daily and paid monthly. The Advisor is paid 0.04% of each Fund’s average daily net assets (calculated daily and paid monthly) from the management fees collected by the Sub-Advisor.

Absolute Shares Trust

Notes to Financial Statements (continued)

December 31, 2019 (Unaudited)

Separately, under the Advisory Agreement, for the WBI BullBear Trend Switch US 3000 Total Return ETF and WBI BullBear Trend Switch US Total Return ETF (the “Fund”), the Advisor has agreed to pay or will cause its affiliated Sub-Advisor to pay, all of the expenses of the Funds, except for: the fee payment under the Advisory Agreement, payments under the Funds’ 12b-1 plan, brokerage expenses, acquired fund fees and expenses, taxes, interest (including borrowing costs and dividend expenses on securities sold short), compensation and expenses of the independent Trustees (including independent Trustee counsel fees), litigation expenses and other extraordinary expenses (including litigation to which the Trust or a Funds may be a party and indemnification of the Trustees and officers with respect thereto). For the services the Sub-Advisor provides to the Fund, the Sub-Advisor receives a fee that is equal to 0.65% per year of the average daily net assets of the Funds which is calculated daily and paid monthly. The Advisor is paid 0.04% of the Fund’s average daily net assets (calculated daily and paid monthly) from the management fees collected by the Sub-Advisor.

NOTE 4 — PORTFOLIO TRANSACTIONS AND BROKERAGE

Pursuant to the Sub-Advisory Agreement, the Sub-Advisor determines which securities are to be purchased and sold by the Funds and which broker-dealers are eligible to execute the Funds’ portfolio transactions. The Sub-Advisor typically determines to execute portfolio transactions through the Advisor in its capacity as a registered broker-dealer. For the current fiscal period, the Funds paid the Affiliated Broker Dealer, $0 for brokerage commissions. However, the Affiliated Broker Dealer did receive indirect compensation in the form of payment for order flow (“PFOF”). PFOF is compensation that the Affiliated Broker Dealer receives for providing liquidity to certain market destinations related to the Sub-Advisor’s customer orders routed to these market destinations.

NOTE 5 — EXPENSE LIMITATION AND REIMBURSEMENT

The Sub-Advisor has entered into an Expense Limitation Agreement (an “Agreement”) with the Trust to waive the fees and reimburse expenses of each Fund until at least October 31, 2020 (the “Expiration Date”) so that the total operating expenses (exclusive of interest, taxes, brokerage commissions, acquired fund fees, dividend payments on short sales, other expenditures which are capitalized in accordance with U.S. GAAP, other extraordinary expenses not incurred in the ordinary course of the Fund’s business, and amounts, if any, payable pursuant to a plan adopted in accordance with Rule 12b-1 under the Investment Company Act of 1940) and organizational costs (the “Operating Expenses”) of WBI Power Factor^® High Dividend ETF is limited to 0.70% and WBI BullBear Rising Income 3000 ETF, WBI BullBear Value 3000 ETF, WBI BullBear Yield 3000 ETF, WBI BullBear Quality 3000 ETF, and WBI BullBear Global Income ETF is limited to 1.25% of average net assets (the “Expense Caps”). The Sub-Advisor may discontinue its obligations under the Agreements at any time in its sole discretion after the Expiration Date. The Funds have agreed to repay the amounts borne by the Sub-Advisor under the Agreements within the three year period after the Sub-Advisor bears the expense, when and if requested by the Sub-Advisor, to the extent the Operating Expenses of the Funds are less than the lower of the Expense Cap and any expense limitation agreement then in effect with respect to the Operating Expenses. The repayment may not raise the level of Operating Expenses of the Funds in the month of repayment to exceed the Expense Cap.

The following table shows the remaining waived and/or reimbursed expenses subject to potential recovery during the current fiscal period. The Sub-Advisor may recapture a portion of the unreimbursed amounts no later than the dates stated:

	Expiration
	June 30, 2020	June 30, 2021	June 30, 2022	December 31, 2022
WBI Power Factor^® High Dividend ETF	$57,475	$71,269	$17,864	$4,223

During the current fiscal period, the amount recouped by the sub-advisor was as follows:

	Amount
WBI Power Factor^® High Dividend ETF	$376

The Funds must pay their current ordinary operating expense before the Sub-Advisor is entitled to any reimbursement of fees and/or expenses. Any such reimbursement is also contingent upon the Board of Trustees’ review and approval.

NOTE 6 — COMPLIANCE AND ADMINISTRATION SERVICING AGREEMENTS

The Trust has entered into an agreement with Foreside Compliance Services, LLC (“Foreside”), whereby Foreside agrees to provide a Chief Compliance Officer (“CCO”), as described in Rule 38a-1 of the 1940 Act.

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (the “Administrator”) serves as the independent administrator and U.S. Bank National Association (the “Custodian”) serves as the custodian to the Funds. Under the Fund Administration Servicing, Fund Accounting Servicing, and Transfer Agent Servicing Agreements, the Administrator is responsible for keeping financial books and records of the Funds and generally managing the administrative affairs and transfer agency services.

NOTE 7 — SECURITIES LENDING

The Funds may lend up to 331⁄3% of the value of the securities in their portfolios to brokers, dealers and financial institutions (but not individuals) under terms of participation in a securities lending program administered by U.S Bank N.A (“the Custodian” and

Absolute Shares Trust

Notes to Financial Statements (continued)

December 31, 2019 (Unaudited)

“Securities Lending Agent”). The securities lending agreement requires that loans are collateralized at all times in an amount equal to at least 102% of the value of any loaned securities at the time of the loan, plus accrued interest, except in the case of loans of foreign securities which are denominated and payable in U.S. dollars and shall be collateralized in the amount equal to 105% of the value of any loaned securities at the time of the loan plus accrued interest. The Funds receive compensation in the form of fees and earn interest on the cash collateral. The amount of fees depends on a number of factors including the type of security and length of the loan. The Funds continue to receive interest payments or dividends on the securities loaned during the borrowing period. Gain or loss in the fair value of securities loaned that may occur during the term of the loan will be for the account of the Funds. The Funds have the right under the terms of the securities lending agreement to recall the securities from the borrower on demand. During the current fiscal period, Funds had loaned securities that were collateralized by cash equivalents. The cash collateral is invested by the Custodian in accordance with approved investment guidelines. Those guidelines require the cash collateral to be invested in readily marketable, high quality, short-term obligations; however, such investments are subject to risk of payment delays or default on the part of the issuer or counterparty or otherwise may not generate sufficient interest to support the costs associated with securities lending. The Funds could also experience delays in recovering its securities and possible loss of income or value if the borrower fails to return the borrowed securities, although the Funds are indemnified from this risk by contract with the Securities Lending Agent.

As of the end of the current fiscal period, the value of the securities on loan and payable for collateral due to broker were as follows:

Fund	Value of Securities on Loan			Collateral Received*
WBI BullBear Rising Income 3000 ETF		$	11,105,938		$	11,335,408
WBI BullBear Value 3000 ETF			6,952,007			7,119,271
WBI BullBear Yield 3000 ETF			12,140,382			12,434,255
WBI BullBear Quality 3000 ETF			6,725,346			6,891,274
WBI BullBear Global Income ETF			19,325,384			19,732,627
WBI Power Factor^® High Dividend ETF			19,987,281			20,384,551
WBI BullBear Trend Switch US 3000 Total Return ETF			98,640			100,800
WBI BullBear Trend Switch US Total Return ETF			1,537,140			1,570,800

________

*	The cash collateral received was invested in the Mount Vernon Liquid Assets Portfolio as shown on the Schedule of Investments, a short-term investment portfolio with an overnight and continuous maturity.

Fees and interest income earned on collateral investments and recognized by the Funds during the current fiscal period, was as follows:

Fees and Interest Income Earned

Fund	Creation Unit
WBI BullBear Rising Income 3000 ETF	50,000
WBI BullBear Value 3000 ETF	50,000
WBI BullBear Yield 3000 ETF	50,000
WBI BullBear Quality 3000 ETF	50,000
WBI BullBear Global Income ETF	50,000
WBI Power Factor^® High Dividend ETF	50,000
WBI BullBear Trend Switch US 3000 Total Return ETF	25,000
WBI BullBear Trend Switch US Total Return ETF	25,000

Offsetting Assets and Liabilities. The Funds are subject to various netting arrangements, which govern the terms of certain transactions with counterparties. The arrangements allow the Funds to close out and net their total exposure to counterparty in the event of a default with respect to all transactions governed under a single agreement with a counterparty. The following is a summary of the arrangements subject to offsetting during the current fiscal period.

				Gross Amounts		Net Amounts
		Gross Amounts		Offset in the		Presented in the
		of Recognized		Statement of		Statement of		Collateral		Net
Fund	Description	Liabilities		Assets & Liabilities		Assets & Liabilities		Received		Amount
WBI BullBear Rising Income 3000 ETF	Securities Lending	$	11,335,408	$	—	$	11,335,408	$	11,335,408	$	—
WBI BullBear Value 3000 ETF	Securities Lending		7,119,271		—		7,119,271		7,119,271		—
WBI BullBear Yield 3000 ETF	Securities Lending		12,434,255		—		12,434,255		12,434,255		—
WBI BullBear Quality 3000 ETF	Securities Lending		6,891,274		—		6,891,274		6,891,274		—
WBI BullBear Global Income ETF	Securities Lending		19,732,627		—		19,732,627		19,732,627		—
WBI Power Factor^® High Dividend ETF	Securities Lending		20,384,551		—		20,384,551		20,384,551		—
WBI BullBear Trend Switch
US 3000 Total Return ETF	Securities Lending		100,800		—		100,800		100,800		—
WBI BullBear Trend Switch US
Total Return ETF	Securities Lending		1,570,800		—		1,570,800		1,570,800		—

Absolute Shares Trust

Notes to Financial Statements (continued)

December 31, 2019 (Unaudited)

NOTE 8 — TAX INFORMATION

The tax character of distributions declared by the Funds during the six-months/period ended December 31, 2019 and year/period ended June 30, 2019 was as follows:

	For Six-Months/Period¹ Ended						Year/Period² Ended
	December 31, 2019						June 30, 2019
	Ordinary		Long Term		Return of		Ordinary		Long Term		Return of
Fund	Income		Capital Gain		Capital		Income		Capital Gain		Capital
WBI BullBear Rising Income 3000 ETF	$	222,666	$	—	$	—	$	561,691	$	—	$	—
WBI BullBear Value 3000 ETF		242,901		—		—		485,571		—		—
WBI BullBear Yield 3000 ETF		632,113		—		—		1,601,703		—		—
WBI BullBear Quality 3000 ETF		173,238		—		—		322,761		—		—
WBI BullBear Global Income ETF		2,141,215		—		—		3,929,336		—		—
WBI Power Factor^® High Dividend ETF		2,385,753		—		—		5,130,398		254,258		—
WBI BullBear Trend Switch US 3000 Total Return ETF		1,204,221		964,261		—		40,995		—		—
WBI BullBear Trend Switch US Total Return ETF		571,030		649,594		—		N/A		N/A		N/A

¹	Information for WBI BullBear Trend Switch US Total Return ETF is for the period from July 18, 2019 to December 31, 2019.
²	Information for WBI BullBear Trend Switch US 3000 Total Return ETF is for the period from May 28, 2019 to June 30, 2019.

The amount and character of tax-basis distributions and composition of net assets are finalized at fiscal year-end; accordingly, tax-basis balances have not been determined for the semi-annual period ended December 31, 2019.

The Funds designated as long-term capital gain dividend, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Funds related to net capital gain to zero.

Each Fund’s cost basis of investments for federal income tax purposes as of December 31, 2019 was as follows+:

	WBI BullBear
	Rising Income			WBI BullBear			WBI BullBear			WBI BullBear
	3000 ETF			Value 3000 ETF			Yield 3000 ETF			Quality 3000 ETF
Cost of investments	$	59,500,597		$	59,233,759		$	86,776,343		$	53,742,559
Gross tax unrealized appreciation		4,722,132			3,555,798			5,678,225			3,630,784
Gross tax unrealized depreciation		(174,818	)		(183,006	)		(217,170	)		(185,371	)
Net tax unrealized appreciation	$	4,547,314		$	3,372,792		$	5,461,055		$	3,445,413
							WBI BullBear			WBI BullBear
	WBI BullBear			WBI Power			Trend Switch			Trend Switch
	Global			Factor^® High			US 3000 Total			US Total
	Income ETF			Dividend ETF			Return ETF			Return ETF
Cost of investments	$	113,073,106		$	110,763,396		$	42,967,696		$	21,449,356
Gross tax unrealized appreciation		1,256,598			6,626,439			626,608			290,774
Gross tax unrealized depreciation		—			(2,156,347	)		—			—
Net tax unrealized appreciation	$	1,256,598		$	4,470,092		$	626,608		$	290,774

Because tax adjustments are calculated annually at the end of the Funds’ fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous fiscal year’s federal income tax information, refer to the Notes to Financial Statements section in the Funds’ most recent annual report.

The components of distributable earnings (losses) for federal income tax purposes as of June 30, 2019 were as follows:

	WBI BullBear
	Rising Income			WBI BullBear			WBI BullBear			WBI BullBear
	3000 ETF			Value 3000 ETF			Yield 3000 ETF			Quality 3000 ETF
Net tax unrealized appreciation (depreciation)	$	2,156,701		$	670,105		$	2,308,173		$	2,564,133
Undistributed ordinary income		—			20,961			59,932			—
Undistributed long term gain (loss)		—			—			—			—
Total distributable earnings		—			20,961			59,932			—
Other accumulated gain (loss)		(17,885,556	)		(3,434,315	)		(21,139,629	)		(10,840,526	)
Total accumulated gain (loss)	$	(15,728,855	)	$	(2,743,249	)	$	(18,771,524	)	$	(8,276,393	)

Absolute Shares Trust

Notes to Financial Statements (continued)

December 31, 2019 (Unaudited)

							WBI BullBear		WBI BullBear
	WBI BullBear			WBI Power			Trend Switch		Trend Switch
	Global			Factor^® High			US 3000 Total		US Total
	Income ETF			Dividend ETF			Return ETF		Return ETF*
Net tax unrealized appreciation (depreciation)	$	1,050,245		$	(3,726,682	)	$	492,848		N/A
Undistributed ordinary income		—			70,859			72,639		N/A
Undistributed long term gain		—			—			—		N/A
Total distributable earnings		—			70,859			72,639		N/A
Other accumulated (loss)		(6,357,538	)		(5,782,198	)		—		N/A
Total accumulated gain	$	(5,307,293	)	$	(9,438,021	)	$	565,487		N/A

*	Fund commenced operations on July 18, 2019.

Net capital losses incurred after October 31, 2018, and within the taxable year are deemed to arise on the first business day of each Fund’s next taxable year. As of June 30, 2019, the Funds deferred, on a tax basis, no late year losses, except for WBI Power Factor^® High Dividend ETF that deferred $5,782,198.

As of June 30, 2019, the Funds had the following short-term capital loss carryforward available for federal income tax purposes, with an indefinite expiration:

	Short-Term		Long-Term
WBI BullBear Rising Income 3000 ETF	$	17,885,556	$	—
WBI BullBear Value 3000 ETF		3,433,673		642
WBI BullBear Yield 3000 ETF		21,139,629		—
WBI BullBear Quality 3000 ETF		10,840,526		—
WBI BullBear Global Income ETF		6,357,538		—
WBI Power Factor^® High Dividend ETF		—		—
WBI BullBear Trend Switch US 3000 Total Return ETF		—		—
WBI BullBear Trend Switch US Total Return ETF*		N/A		N/A

*	Fund commenced operations on July 18, 2019.

NOTE 9 — 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:

	All Other
Fund	Purchases		Sales
WBI BullBear Rising Income 3000 ETF	$	125,796,484	$	121,406,196
WBI BullBear Value 3000 ETF		139,169,320		131,824,908
WBI BullBear Yield 3000 ETF		195,639,511		182,847,497
WBI BullBear Quality 3000 ETF		139,009,018		134,046,306
WBI BullBear Global Income ETF		544,870,973		544,972,658
WBI Power Factor^® High Dividend ETF		64,303,210		64,454,954
WBI BullBear Trend Switch US 3000 Total Return ETF		247,550,736		248,431,083
WBI BullBear Trend Switch US Total Return ETF		132,370,989		132,996,946

During the current fiscal period, the values of the in kind security transactions were as follows:

Fund	Subscriptions		Redemptions
WBI BullBear Rising Income 3000 ETF	$	2,607,805	$	17,907,114
WBI BullBear Value 3000 ETF		11,633,800		16,099,367
WBI BullBear Yield 3000 ETF		16,230,736		23,007,522
WBI BullBear Quality 3000 ETF		—		15,964,668
WBI BullBear Global Income ETF		—		42,715,352
WBI Power Factor^® High Dividend ETF		3,406,023		19,110,477
WBI BullBear Trend Switch US 3000 Total Return ETF		11,448,433		14,389,071
WBI BullBear Trend Switch US Total Return ETF		23,830,093		3,535,473

During the current fiscal period, there were no purchases or sales of U.S. Government securities.

NOTE 10 — SHARE TRANSACTIONS

The Funds each currently offer one class of shares, which has no front-end sales load, no deferred sales charge, and no redemption fee. The Funds may issue an unlimited number of shares of beneficial interest, with no par value. All shares of each Fund have equal rights and privileges as the other shares of such Fund.

The Trust has entered into an agreement with NYSE Group, Inc. to list the Funds’ shares (“Shares”) on NYSE Arca, Inc., an indirect wholly-owned subsidiary of NYSE Group, Inc. Market prices for the Shares may be different from their NAV. The Funds will issue

Absolute Shares Trust

Notes to Financial Statements (continued)

December 31, 2019 (Unaudited)

and redeem Shares on a continuous basis at NAV only in large blocks of Shares, called “Creation Units.” Each Fund’s typical creation unit size is as follows:

Fund		Creation Unit
WBI BullBear Rising Income 3000 ETF		50,000
WBI BullBear Value 3000 ETF		50,000
WBI BullBear Yield 3000 ETF		50,000
WBI BullBear Quality 3000 ETF		50,000
WBI BullBear Global Income ETF		50,000
WBI Power Factor^® High Dividend ETF		50,000
WBI BullBear Trend Switch US 3000 Total Return ETF		25,000
WBI BullBear Trend Switch US Total Return ETF		25,000

Creation Units will be issued and redeemed principally in-kind, however, the Trust reserves the right to offer a cash option for creations and redemptions of Shares. Once created, Shares generally will trade in the secondary market at market prices that change throughout the day in amounts less than a Creation Unit. Except when aggregated in Creation Units, Shares are not redeemable securities of a Fund. Shares of a Fund may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a Depository Trust Corporation participant and, in each case, must have executed a participant agreement with Foreside Fund Services, LLC, the Funds’ distributor (the “Distributor”). Most retail investors will not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the Shares directly from a Fund. Rather, most retail investors will purchase Shares in the secondary market with the assistance of a broker and will be subject to customary brokerage commissions or fees.

	WBI BullBear Rising Income 3000 ETF												WBI BullBear Value 3000 ETF
	Six-Months Ended						Year Ended						Six-Months Ended						Year Ended
	December 31, 2019						June 30, 2019						December 31, 2019						June 30, 2019
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares Sold		100,000		$	2,715,500			1,050,000		$	27,672,385			500,000		$	13,545,800			750,000		$	20,272,680
Shares issued in Connection
with Acquisition*		246,278			6,605,263			—			—			288,315			7,730,719			—			—
Shares Redeemed		(700,000	)		(18,939,940	)		(1,650,000	)		(45,125,500	)		(650,000	)		(17,680,325	)		(1,200,000	)		(35,345,210	)
		(353,722	)	$	(9,619,177	)		(600,000	)	$	(17,453,115	)		138,315		$	3,596,194			(450,000	)	$	(15,072,530	)
Beginning Shares		2,300,000						2,900,000						1,850,000						2,300,000
Ending Shares		1,946,278						2,300,000						1,988,315						1,850,000

	WBI BullBear Yield 3000 ETF												WBI BullBear Quality 3000 ETF
	Six-Months Ended						Year Ended						Six-Months Ended						Year Ended
	December 31, 2019						June 30, 2019						December 31, 2019						June 30, 2019
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares Sold		750,000		$	17,952,855			1,900,000		$	46,859,775			—		$	—			1,550,000		$	40,419,805
Shares issued in Connection
with Acquisition*		430,183			10,042,052			—			—			227,182			5,906,637			—			—
Shares Redeemed		(1,050,000	)		(25,139,790	)		(2,000,000	)		(48,747,350	)		(650,000	)		(17,406,360	)		(1,600,000	)		(43,010,255	)
		130,183		$	2,855,117			(100,000	)	$	(1,887,575	)		(422,818	)	$	(11,499,723	)		(50,000	)	$	(2,590,450	)
Beginning Shares		3,100,000						3,200,000						2,250,000						2,300,000
Ending Shares		3,230,183						3,100,000						1,827,182						2,250,000

	WBI BullBear Global Income ETF												WBI Power Factor^® High Dividend ETF
	Six-Months Ended						Year Ended						Six-Months Ended						Period Ended
	December 31, 2019						June 30, 2019						December 31, 2019						June 30, 2019
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares Sold		—		$	—			3,350,000		$	81,459,125			150,000		$	3,460,740			4,650,000		$	123,161,665
Shares Redeemed		(1,700,000	)		(43,126,125	)		(2,000,000	)		(48,785,595	)		(800,000	)		(19,364,930	)		(2,400,000	)		(55,598,540	)
		(1,700,000	)	$	(43,126,125	)		1,350,000		$	32,673,530			(650,000	)	$	(15,904,190	)		2,250,000		$	67,563,125
Beginning Shares		5,400,000						4,050,000						4,200,000						1,950,000
Ending Shares		3,700,000						5,400,000						3,550,000						4,200,000

Absolute Shares Trust

Notes to Financial Statements (continued)

December 31, 2019 (Unaudited)

	WBI BullBear Trend Switch US 3000 Total Return ETF										WBI BullBear Trend Switch US Total Return ETF
	Six-Months Ended						Period Ended					Period Ended
	December 31, 2019						June 30, 2019					December 31, 2019
	Shares			Amount			Shares		Amount			Shares			Amount
Shares Sold		550,000		$	11,593,952			2,275,000	$	46,464,350			1,200,000		$	24,063,510
Shares Redeemed		(700,000	)		(14,558,598	)		—		—			(175,000	)		(3,567,117	)
		(150,000	)	$	(2,964,646	)		2,275,000	$	46,464,350			1,025,000		$	20,496,393
Beginning Shares		2,275,000						—					—
Ending Shares		2,125,000						2,275,000					1,025,000

* See Note 11 regarding the reorganization of Funds effective October 25, 2019.

NOTE 11 — PLAN OF REORGANIZATION

On July 31, 2019, the Board of Trustees of the Trust approved a plan of reorganization pursuant to which (1) each “Acquired Fund” was reorganized into the “Acquiring Fund,” as identified in the table below; and (2) each Acquired Fund was dissolved subsequent to this reorganization, effective October 25, 2019.

Acquired Fund	Acquiring Fund	Acquiring Fund (Former Name)
WBI BullBear Rising	WBI BullBear Rising	WBI BullBear Rising
Income 2000 ETF (WBIA)	Income 3000 ETF (WBIE)	Income 1000 ETF
WBI BullBear Value 2000 ETF (WBIB)	WBI BullBear Value 3000 ETF (WBIF)	WBI BullBear Value 1000 ETF
WBI BullBear Yield 2000 ETF (WBIC)	WBI BullBear Yield 3000 ETF (WBIG)	WBI BullBear Yield 1000 ETF
WBI BullBear Quality 2000 ETF (WBID)	WBI BullBear Quality 3000 ETF (WBIL)	WBI BullBear Quality 1000 ETF

The tax free reorganization was effected by transferring all of the assets and liabilities of the Acquired Funds to the respective Acquiring Fund, in exchange for shares of the Acquiring Fund.

			Shares Issued by	Value of Shares Issued
Acquired Fund	Acquiring Fund	Exchange Ratio	Acquiring Fund	by Acquiring Fund
WBI BullBear Rising	WBI BullBear Rising	0.82092975	246,278		$	6,605,263
Income 2000 ETF (WBIA)	Income 3000 ETF (WBIE)
WBI BullBear	WBI BullBear	0.82375976	288,315			7,730,719
Value 2000 ETF (WBIB)	Value 3000 ETF (WBIF)
WBI BullBear	WBI BullBear	0.78215107	430,183			10,042,052
Yield 2000 ETF (WBIC)	Yield 3000 ETF (WBIG)
WBI BullBear	WBI BullBear	0.75727610	227,182			5,906,637
Quality 2000 ETF (WBID)	Quality 3000 ETF (WBIL)

Acquired Fund

Acquiring Fund

Net Assets

Immediately

Before the

After the

Acquired Fund

Acquiring Fund

Acquisition

WBI BullBear Rising

6,605,263

52,299,452

58,904,715

Income 2000 ETF (WBIA)

Income 3000 ETF (WBIE)

WBI BullBear Value

7,730,719

53,626,747

61,357,466

2000 ETF (WBIB)

3000 ETF (WBIF)

WBI BullBear

10,042,052

78,201,237

88,243,289

Yield 2000 ETF (WBIC)

Yield 3000 ETF (WBIG)

WBI BullBear Quality

5,906,637

48,099,108

54,005,745

2000 ETF (WBID)

3000 ETF (WBIL)

Absolute Shares Trust

Expense Examples

For the Period Ended December 31, 2019 (Unaudited)

As a shareholder you incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of Fund shares, and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period (July 1, 2019 — December 31, 2019) for all funds except for WBI BullBear Trend Switch US Total Return ETF, which is based on the period July 18, 2019 — December 31, 2019.

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 Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If these transactional costs were included, your costs would have been higher.

WBI BullBear Rising Income 3000 ETF
	Beginning	Ending
	Account Value	Account Value	Expenses Paid
	July 1, 2019	December 31, 2019	During the Period^
Actual	$1,000.00	$1,053.70	$5.75
Hypothetical (5% annual return before expenses)	$1,000.00	$1,019.53	$5.66

WBI BullBear Value 3000 ETF
	Beginning	Ending
	Account Value	Account Value	Expenses Paid
	July 1, 2019	December 31, 2019	During the Period^
Actual	$1,000.00	$1,027.90	$5.75
Hypothetical (5% annual return before expenses)	$1,000.00	$1,019.47	$5.73

WBI BullBear Yield 3000 ETF
	Beginning	Ending
	Account Value	Account Value	Expenses Paid
	July 1, 2019	December 31, 2019	During the Period^
Actual	$1,000.00	$1,035.60	$5.38
Hypothetical (5% annual return before expenses)	$1,000.00	$1,019.85	$5.34

WBI BullBear Quality 3000 ETF
	Beginning	Ending
	Account Value	Account Value	Expenses Paid
	July 1, 2019	December 31, 2019	During the Period^
Actual	$1,000.00	$1,008.20	$5.69
Hypothetical (5% annual return before expenses)	$1,000.00	$1,019.47	$5.72

Absolute Shares Trust

Expense Examples (concluded)

For the Six-Months Ended December 31, 2019 (Unaudited)

WBI BullBear Global Income ETF
	Beginning	Ending
	Account Value	Account Value	Expenses Paid
	July 1, 2019	December 31, 2019	During the Period^
Actual	$1,000.00	$1,031.00	$5.04
Hypothetical (5% annual return before expenses)	$1,000.00	$1,020.17	$5.02

WBI Power Factor^® High Dividend ETF
	Beginning	Ending
	Account Value	Account Value	Expenses Paid
	July 1, 2019	December 31, 2019	During the Period^
Actual	$1,000.00	$1,102.80	$3.70
Hypothetical (5% annual return before expenses)	$1,000.00	$1,021.62	$3.56

WBI BullBear Trend Switch US 3000 Total Return ETF
	Beginning	Ending
	Account Value	Account Value	Expenses Paid
	July 1, 2019	December 31, 2019	During the Period^
Actual	$1,000.00	$1,038.70	$3.52
Hypothetical (5% annual return before expenses)	$1,000.00	$1,021.69	$3.49

WBI BullBear Trend Switch US Total Return ETF
	Beginning	Ending
	Account Value	Account Value	Expenses Paid
	July 18, 2019	December 31, 2019	During the Period
Actual	$1,000.00	$1,038.50	$3.34*
Hypothetical (5% annual return before expenses)	$1,000.00	$1,021.51	$3.67^

_________

^	The dollar amounts shown as expenses paid during the period are equal to the annualized expense ratio multiplied by the average account value during the period, multiplied by 184/366 to reflect the one-half year period.
*	The dollar amount shown as expenses paid during the period is equal to the annualized expense ratio multiplied by the average value during the period, multiplied by 166/366 to reflect the current period.

Absolute Shares Trust

Approval of Advisory Agreements and Board Considerations

(Unaudited)

The Board (the members of which are referred to as “Trustees”) of the Trust met in person on March 5, 2019 to consider whether to approve, with respect to WBIN,: (1) the investment advisory agreement (the “Advisory Agreement”) between the Trust, on behalf of WBIN, and the Advisor, and (2) the investment sub-advisory agreement (the “Sub-Advisory Agreement”) between the Advisor and the Sub-Advisor.

The Board considered approving the Advisory Agreement and the Sub-Advisory Agreement and the engagement of the Advisor and the Sub-Advisor separately, although the advisers are affiliates.

In accordance with Section 15(c) of the Investment Company Act of 1940, as amended (“1940 Act”), the Board requested, reviewed and considered materials furnished by the Advisor and the Sub-Advisor relevant to the Board’s consideration of whether to approve the Advisory Agreement and the Sub-Advisory Agreement. In connection with considering whether to approve the Advisory Agreement and Sub-Advisory Agreement, the Trustees who are not “interested persons” of the Trust, as that term is defined in the 1940 Act (the “Independent Trustees”), met in executive session with counsel to the Trust, who provided assistance and advice. The consideration of approving the Advisory Agreement and Sub-Advisory Agreement was conducted by both the full Board and the Independent Trustees, who also voted separately.

During their review and consideration, the Board and the Independent Trustees focused on and analyzed the factors they deemed relevant, including, but not limited to: (1) the nature, extent and quality of the services provided by each of the Advisor and the Sub-Advisor; (2) the investment advice and performance of each of the Advisor and the Sub-Advisor, including the reorganization plan with respect to the planned merging of several Funds; (3) the fees of the services provided and profits realized by each of the Advisor and the Sub-Advisor from their relationships with the Trust; (4) the expected expenses of WBIN and the extent to which economies of scale could be realized and are expected to reduce Fund expenses; (5) any benefits derived or to be derived by each of the Advisor and the Sub-Advisor from the relationship with the Trust; and (6) potential conflicts of interest and associated compliance regimes adopted by the Advisor and Sub-Advisor.

In reviewing such factors, the Board relied on certain information, including (1) copies of the Advisory Agreement and the Sub-Advisory Agreement; (2) information describing the Advisor, the Sub-Advisor and the services provided thereby; (3) information regarding the compliance programs of the Advisor and the Sub-Advisor; (4) copies of the Forms ADV for the Advisor and the Sub-Advisor; and (5) memoranda and guidance from K&L Gates LLP on the fiduciary responsibilities of trustees, including Independent Trustees, in considering advisory and distribution agreements under the 1940 Act. In addition, as part of the Advisor and Sub-Advisor’s responses to submitted questions, the Board was provided with data and information comparing the advisory fees and expenses of WBIN with expenses and performance of other exchange-traded funds (“ETFs”) with similar investment objectives and policies (namely, active equity ETFs). The Trustees also considered their personal experiences as Trustees and participants in the ETF and mutual fund industry, as applicable.

In particular, the Trustees, including the Independent Trustees, considered and discussed the following with respect to WBIN:

1. The nature, extent and quality of the facilities and services provided by each of the Advisor and the Sub-Advisor. The Board received information on and considered the division of responsibility of services provided by the Advisor and the Sub-Advisor, including the fact that portfolio management would be conducted by the Sub-Advisor. In addition to the Sub-Advisor’s performance managing the Funds, the Board reviewed the experience and resources that the Sub-Advisor had in managing strategies similar to those utilized by WBIN, including information regarding the education and experience of management and investment personnel, particularly with respect to personnel and role changes at the Sub-Advisor.

The Board determined that WBIN would benefit from the services and resources available from the Advisor and the Sub-Advisor, with respect to their responsibilities under the Advisory and Sub-Advisory Agreements. In particular, they noted the extensive experience of the Sub-Advisor’s management personnel in developing and administering strategies utilized by the Funds, as well as the performance history of the Sub-Advisor since its inception. The Board also noted the compliance regimes of the Advisor and the Sub-Advisor and their effectiveness.

2. The advisory fees paid by and overall expenses of WBIN. The Board considered comprehensive data and information comparing the advisory fees and expense ratios of WBIN. The Board acknowledged that WBIN was distinct in ways from their peer group of ETFs and that the universe of comparable funds had reduced in the prior year due to the withdrawal from the market by several active equity ETFs. Nevertheless, the Sub-Advisor’s peer group analysis and methodology had not substantially changed from the prior year. The Board determined that the advisory fees charged and overall expenses of WBIN were competitive and in line with the related universe of funds. The Advisor and Sub-Advisor also presented the Board with several “fall-out” benefits the Advisor or the Sub-Advisor derive from its relationship to the Trust and the Funds, including WBIN, such as the Sub-Advisor’s offering of the Funds to help expand the Sub-Advisor’s distribution channels for its other investment products. In light of the nature, quality, and extent of services provided by the Advisor and Sub-Advisor and the costs incurred by the Advisor and Sub-Advisor in rendering those services, and taking into account the “fall-out” benefits inured, the Board concluded that the level of fees paid to the Advisor and Sub-Advisor with respect to each Fund, including WBIN, were fair and reasonable.

3. Brokerage and portfolio transactions. The Board was presented with materials and a thorough discussion of the brokerage practices of the Advisor, in its capacity as an affiliated broker-dealer, and Sub-Advisor, including a walk-through of the Advisor’s ability to continue providing commission-free trading to the Funds, including WBIN, and the Advisor’s track record for delivering effective brokerage execution services for the benefit of the Funds compared to services that could otherwise be expected from unaffiliated broker-dealers. The Advisor presented on its execution services and policies and the Sub-Advisor discussed its policies and procedures for allocating brokerage. Additionally, the Board considered information relating to the amount, sources and transactions generating payments for order flow that the Advisor received in its capacity as an

Absolute Shares Trust

Approval of Advisory Agreements and Board Considerations

(Unaudited) (concluded)

affiliated broker-dealer the last year, in light of both the advisory fees paid and generally as related to the Advisor and/or Sub-Advisor adhering to their best execution obligations and Rule 17e-1 procedures, upon execution of portfolio transactions for each of the Funds. The Independent Trustees determined the brokerage policies of both the Advisor and Sub-Advisor would benefit WBIN.

4. Financial condition of each of the Advisor and the Sub-Advisor. After considering information relating to the financial condition of the Advisor and Sub-Advisor, as well as the fees and operating costs relating to the management of the Funds, the Board determined that each of the Advisor and Sub-Advisor continue to be capable of providing services to WBIN. In this determination, the Board considered the Sub-Advisor’s plan to reorganize several Funds and determined that such plan was in the best interest of each of the Funds.

5. Possible conflicts of interest. The Board considered the experience and ability of the advisory personnel assigned to the Funds, soft-dollar arrangements and the brokerage policies of the Advisor (including a discussion of the execution policies and total compensation earned by the Advisor in its capacity as affiliated broker-dealer, in the form of commissions, fees and other remuneration received, including payment for order flow), and the substance and administration of the Codes of Ethics of the Trust, the Advisor and the Sub-Advisor. The Board determined that the compliance policies of the Trust, Advisor and Sub-Advisor were each reasonably designed to monitor for and prevent violations of the federal securities laws and breaches of fiduciary duties.

6. Effect of the WBIN’s growth and size on its investment performance and expenses. The Board considered information relating to the year- over-year trading of the Funds. It determined that the expense ratios of the Funds, including WBIN, were well suited in light of expectations for continued asset accumulation and projected growth therefrom.

With respect to WBIN, the Board further noted that the Advisor and Sub-Advisor proposed charging a unitary advisory fee. The Advisor and Sub-Advisor noted that under the unitary fee structure, the Advisor, and not WBIN, would be responsible for paying almost all of the expenses necessary to service WBIN, including those of other service providers, and that the Advisor would bear the risk of these expenses increasing. The Board noted that WBIN was not expected to incur material additional expenses besides the unitary advisory fee, and received information regarding WBIN’s anticipated expense ratios. The Board considered that the unitary fee structure is becoming more prevalent among other active equity ETFs as a way to rationalize expenses for shareholders and obviate the need for an expense limitation agreement, and its subsequent annual renewals. The Board also observed that the unitary fee provides predictability in Fund expenses at various asset levels and also protects WBIN against the risks of increases in third-party service provider fees and other expenses covered under the unitary fee.

Based on the foregoing and such other matters as were deemed relevant, and while no single factor was determinative in the decision, all of the Trustees, including the Independent Trustees, concluded that the advisory fee rates and total expense ratios are reasonable in relation to the services provided by the Advisor to WBIN, as well as the costs incurred and the benefits gained by the Advisor in providing such services. The Board also found the investment advisory fees paid to the Advisor to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar expected size. Based on these and other considerations, the Board, in the exercise of its reasonable judgment, determined that the fees and expenses proposed for WBIN were fair and reasonable. As a result, all of the Board members, including the Independent Trustees, approved the Advisory Agreement.

With respect to the Sub-Advisor and based on the foregoing analysis and such other matters as were deemed relevant, and while no single factor was determinative in the decision, all of the Trustees, including the Independent Trustees, concluded that the sub-advisory fee rates and total expense ratios are reasonable in relation to the services provided by the Sub-Advisor to WBIN, as well as the costs incurred and the benefits gained by the Sub-Advisor in providing such services. Based on these and other considerations, the Board, in the exercise of its reasonable judgment, determined that the fees and expenses proposed for WBIN were fair and reasonable. As a result, all of the Trustees, including the Independent Trustees, approved the Sub-Advisory Agreement.

Absolute Shares Trust

Information About the Portfolio Holdings

(Unaudited)

The Trust files its complete schedules of portfolio holdings for its first and third fiscal quarters with the Securities and Exchange Commission (“SEC”) on Form N-Q or Part F of Form N-PORT (beginning with filings after March 31, 2020). The Trust’s Form N-Q or Part F of Form N-PORT is available without charge, upon request, by calling toll-free at (800) 772-5810. Furthermore, you may obtain the Form N-Q or Part F of Form N-PORT on the SEC’s website at www.sec.gov. The Funds’ portfolio holdings are updated daily and posted on its website at www.wbietfs.com.

Information About Proxy Voting

(Unaudited)

A description of the policies and procedures the Trust uses 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) 772-5810, by accessing the SEC’s website at www.sec.gov, or by accessing the Funds’ website at www.wbietfs.com.

When available, information regarding how the Funds voted proxies relating to portfolio securities during the period ending June 30 will be available by calling toll-free at (800) 772-5810 or by accessing the SEC’s website at www.sec.gov.

Information About the Funds’ Trustees

(Unaudited)

The SAI includes additional information about the Trustees and is available without charge, upon request, by calling toll free at (800) 772-5810, or by accessing the SEC’s website at www.sec.gov, or by accessing the Fund’s website at www.wbietfs.com.

Frequency Distributions of Premiums and Discounts

(Unaudited)

Information regarding how often shares of the Funds trade on an exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Funds is available, without charge, on the Funds’ website at www.wbietfs.com.

Absolute Shares Trust

Advisor

Millington Securities

331 Newman Springs Road Suite 101

Red Bank, New Jersey 07701

Sub-Advisor

WBI Investments, Inc

331 Newman Springs Road Suite 122

Red Bank, New Jersey 07701

Index Provider (WBIY only)

Solactive AG

Guiollettstraβe 54

60325 Frankfurt am Main, Germany

Distributor

Foreside Fund Services, LLC

Three Canal Plaza, Suite 100

Portland, Maine 04101

Custodian

U.S. Bank National Association

1555 North Rivercenter Drive, Suite 302

Milwaukee, Wisconsin 53212

Transfer Agent

U.S. Bancorp Fund Services, LLC

615 East Michigan Street

Milwaukee, Wisconsin 53202

Securities Lending Agent

U.S. Bank, National Association

Securities Lending

800 Nicolet Mall

Minneapolis, Minnesota 55402-7020

Independent Registered

Public Accounting Firm

KPMG LLP

51 John F. Kennedy Parkway

Short Hills, New Jersey 07078

Legal Counsel

K&L Gates LLP

599 Lexington Avenue

New York, New York 10022

WBI BullBear Rising Income 3000 ETF	WBIE
WBI BullBear Value 3000 ETF	WBIF
WBI BullBear Yield 3000 ETF	WBIG
WBI BullBear Quality 3000 ETF	WBIL
WBI BullBear Global Income ETF	WBII
WBI Power Factor^® High Dividend ETF	WBIY
WBI BullBear Trend Switch US 3000 Total Return ETF	WBIT
WBI BullBear Trend Switch US Total Return ETF	WBIN

Item 2. Code of Ethics.

Not applicable for semi-annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable for semi-annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable for semi-annual reports.

Item 5. Audit Committee of Listed Registrants.

Not applicable for semi-annual reports.

Item 6. Investments.

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

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to open-end investment companies.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to open-end investment companies.

Item 9. Purchases of Equity Securities by Closed‑End Management Investment Company and Affiliated Purchasers.

Not applicable to open-end investment companies.

Item 10. Submission of Matters to a Vote of Security Holders.

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

Item 11. Controls and Procedures.

(a)

The Registrant’s Principal Executive Officer and 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 second fiscal quarter of 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.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable to open-end investment companies.

Item 13. Exhibits.

(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. Not Applicable.

(2) A separate certification for each principal executive officer and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.

(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.

(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.

(b)	Certifications pursuant to Section 906 of the Sarbanes‑Oxley Act of 2002. Furnished herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) Absolute Shares Trust

By (Signature and Title)* /s/Don Schreiber, Jr.

Don Schreiber, Jr., President and Principal Executive Officer

Date March 6, 2020

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)* /s/Don Schreiber, Jr.

Don Schreiber, Jr., President and Principal Executive Officer

Date March 6, 2020

By (Signature and Title)* /s/Steven Van Solkema

Steven Van Solkema, Treasurer and Principal Financial Officer

Date March 9, 2020

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

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